FS Series Trust N-CSRS Certified semi-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: 811-23216

FS Series Trust

(Exact name of registrant as specified in charter)

201 Rouse Boulevard, Philadelphia, Pennsylvania	19112
(Address of principal executive officers)	(Zip code)

Michael C. Forman
FS Series Trust
201 Rouse Boulevard
Philadelphia, Pennsylvania 19112

(Name and address of agent for service)

Registrant’s telephone number, including area code: (215) 495-1185

Date of fiscal year end: December 31

Date of reporting period: June 30, 2021

Item 1.   Reports to Shareholders.

(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”):

1

	Semi-annual report
	2021

FS Series Trust

FS Multi-Strategy Alternatives Fund

FS Managed Futures Fund

FS Alternative Income Opportunities Fund

FS Real Asset Fund

FS Long/Short Equity Fund

TABLE OF CONTENTS

Semi-Annual Report for the Six Months Ended June 30, 2021

​	Page
Shareholder Fee Examples (unaudited)	​	1
Schedule of Investments	​	​
FS Multi-Strategy Alternatives Fund	​	4
FS Managed Futures Fund	​	45
FS Alternative Income Opportunities Fund	​	51
FS Real Asset Fund	​	68
FS Long/Short Equity Fund	​	70
Statements of Assets and Liabilities	​	82
Statement of Operations	​	85
Statement of Changes in Net Assets	​	87
Financial Highlights	​	​
FS Multi-Strategy Alternatives Fund	​	90
FS Managed Futures Fund	​	94
FS Alternative Income Opportunities Fund	​	96
FS Real Asset Fund	​	98
FS Long/Short Equity Fund	​	100
Notes to Financial Statements	​	102
Supplemental Information (unaudited)	​	132

Shareholder Fee Example (Unaudited)

Fund Expenses — for the period from January 01, 2021 through June 30, 2021 (Unaudited)

Example:   As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase (if any); and (2) ongoing costs, including management fees; distribution and/or service fees (12b-1 fees); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The actual and hypothetical expense examples are based on an investment of $1,000 invested at the beginning of a six month period and held through the six months ended June 30, 2021.

Actual Expenses:   The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, 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 section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:   The second section 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 Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing 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 section 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.

FS Multi-Strategy Alternatives Fund	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Net Expense Ratio(**)
Actual	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,088.00	​	$	10.22	​	1.97%
Class I Shares	​	$	1,000.00	​	$	1,088.80	​	$	8.94	​	1.73%

​	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Expense Ratio(**)
Hypothetical (5% annual return before expenses)	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,015.00	​	$	9.87	​	1.97%
Class I Shares	​	$	1,000.00	​	$	1,016.23	​	$	8.63	​	1.73%

FS Managed Futures Fund	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Net Expense Ratio(**)
Actual	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,047.40	​	$	2.54	​	0.50%
Class I Shares	​	$	1,000.00	​	$	1,049.40	​	$	1.27	​	0.25%

1

​	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Expense Ratio(**)
Hypothetical (5% annual return before expenses)	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,022.31	​	$	2.51	​	0.50%
Class I Shares	​	$	1,000.00	​	$	1,023.56	​	$	1.25	​	0.25%

FS Alternative Income Opportunities Fund	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Net Expense Ratio(**)
Actual	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,022.20	​	$	2.51	​	0.50%
Class I Shares	​	$	1,000.00	​	$	1,022.80	​	$	1.25	​	0.25%

​	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Expense Ratio(**)
Hypothetical (5% annual return before expenses)	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,022.31	​	$	2.51	​	0.50%
Class I Shares	​	$	1,000.00	​	$	1,023.56	​	$	1.25	​	0.25%

FS Real Asset Fund	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Net Expense Ratio(**)
Actual	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,158.30	​	$	2.69	​	0.50%
Class I Shares	​	$	1,000.00	​	$	1,158.80	​	$	1.34	​	0.25%

​	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Expense Ratio(**)
Hypothetical (5% annual return before expenses)	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,022.31	​	$	2.52	​	0.50%
Class I Shares	​	$	1,000.00	​	$	1,023.56	​	$	1.25	​	0.25%

FS Long/Short Equity Fund	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Net Expense Ratio(**)
Actual	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	979.20	​	$	5.55	​	1.13%
Class I Shares	​	$	1,000.00	​	$	981.30	​	$	4.19	​	0.85%

​	Beginning Account Value (1/1/21)			Ending Account Value (6/30/21)			Expenses Paid During the Period(*)			Annualized Expense Ratio(**)
Hypothetical (5% annual return before expenses)	​	​	​	​	​	​	​	​	​	​	​
Class A Shares	​	$	1,000.00	​	$	1,019.19	​	$	5.66	​	1.13%
Class I Shares	​	$	1,000.00	​	$	1,020.56	​	$	4.28	​	0.85%

2

*

Hypothetical expenses are equal to the Fund’s annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Example assumes that the $1,000 was invested at the net asset value per share determined at the opening of business on January 1, 2021.

**

Annualized ratio of expenses to average net assets for the period from January 1, 2021 through June 30, 2021. The expense ratio includes the effect of expenses waived or reimbursed by FS Fund Advisor, LLC, each Fund’s investment adviser.

3

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)			Amortized Cost			Fair Value(c)
Corporate Bonds – 25.7%	​	​	​	​	​	​	​	​	​	​	​
Alliance Data Systems Corp., 4.8%, 12/15/24	(d)	Diversified Financial Services	​	$	410	​	$	355	​	$	422
Altice France Holding S.A., 6.0%, 2/15/28	(d)	Telecommunications	​	​	209	​	​	197	​	​	208
Apollo Commercial Real Estate Finance, Inc., 4.6%, 6/15/29	(d)	Real Estate Investment Trusts	​	​	376	​	​	376	​	​	371
APX Group, Inc., 7.9%, 12/1/22	​	Commercial Services	​	​	74	​	​	74	​	​	75
APX Group, Inc., 6.8%, 2/15/27	(d)	Commercial Services	​	​	429	​	​	460	​	​	458
APX Group, Inc., 8.5%, 11/1/24	​	Commercial Services	​	​	306	​	​	318	​	​	320
Aretec Escrow Issuer, Inc., 7.5%, 4/1/29	(d)	Diversified Financial Services	​	​	120	​	​	122	​	​	124
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.3%, 3/15/25	(d)	Commercial Services	​	​	278	​	​	283	​	​	282
B&G Foods, Inc., 5.3%, 4/1/25	​	Food	​	​	123	​	​	126	​	​	126
Bausch Health Companies, Inc., 6.1%, 4/15/25	(d)	Pharmaceuticals	​	​	959	​	​	980	​	​	984
Bombardier, Inc., 7.1%, 6/15/26	(d)	Miscellaneous Manufacturing	​	​	122	​	​	122	​	​	128
Bombardier, Inc., 7.9%, 4/15/27	(d)	Miscellaneous Manufacturing	​	​	209	​	​	197	​	​	217
Boxer Parent Companies, Inc., 9.1%, 3/1/26	(d)	Software	​	​	361	​	​	383	​	​	382
Caesars Resort Collection LLC / CRC Finco, Inc., 5.8%, 7/1/25	(d)	Entertainment	​	​	396	​	​	417	​	​	418
Carriage Services, Inc., 4.3%, 5/15/29	(d)	Commercial Services	​	​	44	​	​	44	​	​	44
CCO Holdings LLC / CCO Holdings Capital Corp., 5.8%, 2/15/26	(d)	Media Entertainment	​	​	701	​	​	723	​	​	726
CITGO Petroleum Corp., 7.0%, 6/15/25	(d)	Oil & Gas	​	​	624	​	​	624	​	​	651
CITGO Petroleum Corp., 6.4%, 6/15/26	(d)	Oil & Gas	​	​	93	​	​	93	​	​	97
Core & Main Holdings LP, 8.6%, 9/15/24	(d)	Distribution/Wholesale	​	​	336	​	​	344	​	​	344
CoreCivic, Inc., 4.8%, 10/15/27	​	Commercial Services	​	​	236	​	​	209	​	​	216
CoreCivic, Inc., 8.3%, 4/15/26	​	Commercial Services	​	​	133	​	​	134	​	​	138
CP Atlas Buyer, Inc., 7.0%, 12/1/28	(d)	Building Materials	​	​	268	​	​	277	​	​	278
Dealer Tire LLC / DT Issuer LLC, 8.0%, 2/1/28	(d)	Auto Parts & Equipment	​	​	665	​	​	582	​	​	719
Dell International LLC / EMC Corp., 7.1%, 6/15/24	(d)	Computers	​	​	884	​	​	903	​	​	909
Delta Air Lines, Inc., 7.0%, 5/1/25	(d)	Airlines	​	​	661	​	​	756	​	​	772
Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.5%, 10/20/25	(d)	Airlines	​	​	171	​	​	181	​	​	184
DISH DBS Corp., 5.0%, 3/15/23	​	Media Entertainment	​	​	214	​	​	221	​	​	224
eG Global Finance Plc, 6.8%, 2/7/25	(d)	Retail	​	​	986	​	​	977	​	​	1,021
Elastic N.V., 4.1%, 7/15/29	(d)	Software	​	​	72	​	​	72	​	​	72
Everi Holdings Inc., 5.0%, 7/15/29	(d)	Entertainment	​	​	50	​	​	50	​	​	50
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/25	(d)	Real Estate	​	​	832	​	​	811	​	​	881
Fortress Transportation and Infrastructure Investors LLC, 9.8%, 8/1/27	(d)	Trucking & Leasing	​	​	561	​	​	648	​	​	650
Gateway Casinos & Entertainment Ltd., 8.3%, 3/1/24	(d)	Entertainment	​	​	434	​	​	447	​	​	436
GEO Group, Inc., 5.1%, 4/1/23	​	Real Estate Investment Trusts	​	​	210	​	​	198	​	​	200

See notes to unaudited consolidated financial statements.

4

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)			Amortized Cost			Fair Value(c)
GEO Group, Inc., 6.0%, 4/15/26	​	Real Estate Investment Trusts	​	$	203	​	$	176	​	$	165
Graham Packaging Co., Inc., 7.1%, 8/15/28	(d)	Packaging & Containers	​	​	507	​	​	527	​	​	548
H-Food Holdings LLC / Hearthside Finance Co., Inc., 8.5%, 6/1/26	(d)	Food	​	​	246	​	​	253	​	​	257
Hadrian Merger Sub, Inc., 8.5%, 5/1/26	(d)	Healthcare-Services	​	​	283	​	​	296	​	​	296
Herbalife Nutrition Ltd. / HLF Financing, Inc., 7.9%, 9/1/25	(d)	Pharmaceuticals	​	​	174	​	​	174	​	​	189
iStar, Inc., 5.5%, 2/15/26	​	Real Estate Investment Trusts	​	​	292	​	​	303	​	​	307
Jacobs Entertainment, Inc., 7.9%, 2/1/24	(d)	Entertainment	​	​	43	​	​	45	​	​	45
KAR Auction Services, Inc., 5.1%, 6/1/25	(d)	Distribution/Wholesale	​	​	445	​	​	450	​	​	457
Kronos Acquisition Holdings, Inc., 7.0%, 12/31/27	(d)	Household Products/Wares	​	​	253	​	​	258	​	​	254
Kronos Acquisition Holdings, Inc., 5.0%, 12/31/26	(d)	Household Products/Wares	​	​	110	​	​	112	​	​	112
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.3%, 2/1/27	(d)	Real Estate Investment Trusts	​	​	231	​	​	204	​	​	231
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.8%, 6/15/29	(d)	Real Estate Investment Trusts	​	​	209	​	​	209	​	​	209
Lannett Co., Inc., 7.8%, 4/15/26	(d)	Pharmaceuticals	​	​	150	​	​	150	​	​	150
Level 3 Financing, Inc., 5.4%, 5/1/25	​	Telecommunications	​	​	245	​	​	251	​	​	251
Life Time, Inc., 5.8%, 1/15/26	(d)	Leisure Time	​	​	260	​	​	265	​	​	270
LifePoint Health, Inc., 5.4%, 1/15/29	(d)	Healthcare-Services	​	​	411	​	​	408	​	​	401
Lumen Technologies, Inc., 5.6%, 4/1/25	​	Telecommunications	​	​	430	​	​	460	​	​	468
Madison IAQ LLC, 5.9%, 6/30/29	(d)	Environmental Control	​	​	72	​	​	72	​	​	73
Mattel, Inc., 6.8%, 12/31/25	(d)	Toys/Games/Hobbies	​	​	92	​	​	97	​	​	97
Maxim Crane Works Holdings Capital LLC, 10.1%, 8/1/24	(d)	Machinery-Diversified	​	​	676	​	​	684	​	​	699
Metis Merger Sub LLC, 6.5%, 5/15/29	(d)	Commercial Services	​	​	224	​	​	224	​	​	221
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc., 7.9%, 10/1/22	(d)	Commercial Services	​	​	205	​	​	203	​	​	200
Midcap Financial Issuer Trust, 5.6%, 1/15/30	(d)	Diversified Financial Services	​	​	116	​	​	116	​	​	117
Midcap Financial Issuer Trust, 6.5%, 5/1/28	(d)	Diversified Financial Services	​	​	78	​	​	78	​	​	82
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.5%, 6/20/27	(d)	Airlines	​	​	481	​	​	490	​	​	530
Modulaire Global Finance 2 Plc, 10.0%, 8/15/23	(d)	Storage/Warehousing	​	​	130	​	​	133	​	​	136
Modulaire Global Finance Plc, 8.0%, 2/15/23	(d)	Commercial Services	​	​	1,481	​	​	1,466	​	​	1,526
Mohegan Gaming & Entertainment, 8.0%, 2/1/26	(d)	Entertainment	​	​	820	​	​	820	​	​	858
New Enterprise Stone & Lime Co., Inc., 6.3%, 3/15/26	(d)	Engineering & Construction	​	​	459	​	​	448	​	​	473
New Home Co., Inc., 7.3%, 10/15/25	(d)	Home Builders	​	​	566	​	​	568	​	​	602
Outfront Media Capital LLC / Outfront Media Capital Corp., 6.3%, 6/15/25	(d)	Advertising	​	​	164	​	​	174	​	​	174
Pactiv LLC , 8.0%, 12/15/25	​	Packaging & Containers	​	​	217	​	​	220	​	​	245

See notes to unaudited consolidated financial statements.

5

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)			Amortized Cost			Fair Value(c)
Pactiv LLC, 8.4%, 4/15/27	​	Packaging & Containers	​	$	861	​	$	915	​	$	981
Panther BF Aggregator 2 LP / Panther Finance Co., Inc., 8.5%, 5/15/27	(d)	Auto Parts & Equipment	​	​	271	​	​	289	​	​	296
Par Petroleum LLC / Par Petroleum Finance Corp., 7.8%, 12/15/25	(d)	Oil & Gas	​	​	132	​	​	129	​	​	133
Prime Healthcare Services, Inc., 7.3%, 11/1/25	(d)	Healthcare-Services	​	​	264	​	​	272	​	​	286
Prime Security Services Borrower LLC / Prime Finance, Inc., 5.8%, 4/15/26	(d)	Commercial Services	​	​	270	​	​	295	​	​	299
Raptor Acquisition Corp. / Raptor Co-Issuer LLC, 4.9%, 11/1/26	(d)	Entertainment	​	​	208	​	​	210	​	​	211
RLJ Lodging Trust LP, 3.8%, 7/1/26	(d)	Real Estate Investment Trusts	​	​	294	​	​	294	​	​	297
RP Escrow Issuer LLC, 5.3%, 12/15/25	(d)	Healthcare-Services	​	​	239	​	​	248	​	​	250
SeaWorld Parks & Entertainment, Inc., 8.8%, 5/1/25	(d)	Entertainment	​	​	402	​	​	436	​	​	437
Service Properties Trust, 7.5%, 9/15/25	​	Real Estate Investment Trusts	​	​	215	​	​	243	​	​	244
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.0%, 9/20/25	(d)	Airlines	​	​	326	​	​	365	​	​	369
Staples, Inc., 7.5%, 4/15/26	(d)	Retail	​	​	172	​	​	177	​	​	178
Stars Group Holdings B.V. / Stars Group US Co-Borrower LLC, 7.0%, 7/15/26	(d)	Entertainment	​	​	481	​	​	500	​	​	498
Starwood Property Trust, Inc., 3.6%, 7/15/26	(d)	Real Estate Investment Trusts	​	​	202	​	​	202	​	​	204
Stericycle, Inc., 5.4%, 7/15/24	(d)	Environmental Control	​	​	325	​	​	332	​	​	335
Sunoco LP / Sunoco Finance Corp., 6.0%, 4/15/27	​	Oil & Gas	​	​	96	​	​	86	​	​	101
Surgery Center Holdings, Inc., 6.8%, 7/1/25	(d)	Healthcare-Services	​	​	275	​	​	281	​	​	281
T-Mobile USA, Inc., 4.0%, 4/15/22	​	Telecommunications	​	​	229	​	​	235	​	​	234
Telesat Canada / Telesat LLC, 4.9%, 6/1/27	(d)	Telecommunications	​	​	248	​	​	241	​	​	240
TKC Holdings, Inc., 6.9%, 5/15/28	(d)	Food Service	​	​	309	​	​	311	​	​	319
TransDigm UK Holdings Plc, 6.9%, 5/15/26	​	Aerospace/Defense	​	​	258	​	​	273	​	​	273
Triumph Group, Inc., 8.9%, 6/1/24	(d)	Aerospace/Defense	​	​	266	​	​	293	​	​	296
Triumph Group, Inc., 6.3%, 9/15/24	(d)	Aerospace/Defense	​	​	56	​	​	56	​	​	57
United Airlines, Inc., 4.6%, 4/15/29	(d)	Airlines	​	​	59	​	​	59	​	​	61
United Airlines, Inc., 4.4%, 4/15/26	(d)	Airlines	​	​	47	​	​	47	​	​	49
United Natural Foods, Inc., 6.8%, 10/15/28	(d)	Food	​	​	238	​	​	242	​	​	257
Univision Communications, Inc., 5.1%, 2/15/25	(d)	Media Entertainment	​	​	248	​	​	249	​	​	254
US Acute Care Solutions LLC, 6.4%, 3/1/26	(d)	Healthcare-Services	​	​	169	​	​	172	​	​	175
Vector Group Ltd., 5.8%, 2/1/29	(d)	Agriculture	​	​	709	​	​	710	​	​	723
Vector Group Ltd., 10.5%, 11/1/26	(d)	Agriculture	​	​	185	​	​	195	​	​	197
WASH Multifamily Acquisition, Inc., 5.8%, 4/15/26	(d)	Home Furnishings	​	​	229	​	​	231	​	​	239
Waste Pro USA, Inc., 5.5%, 2/15/26	(d)	Environmental Control	​	​	648	​	​	666	​	​	671
Xerox Holdings Corp., 5.0%, 8/15/25	(d)	Office/Business Equipment	​	​	49	​	​	51	​	​	52
XHR LP, 4.9%, 6/1/29	(d)	Real Estate Investment Trusts	​	​	540	​	​	544	​	​	558
Total Corporate Bonds	​	​	​	​	​	​	​	32,887	​	​	33,825

See notes to unaudited consolidated financial statements.

6

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)			Amortized Cost			Fair Value(c)
Convertible Bonds – 0.6%	​	​	​	​	​	​	​	​	​	​	​
Apollo Commercial Real Estate Finance, Inc., 4.8%, 8/23/22	​	Real Estate Investment Trusts	​	$	115	​	$	114	​	$	116
Apollo Commercial Real Estate Finance, Inc., 5.4%, 10/15/23	​	Real Estate Investment Trusts	​	​	434	​	​	429	​	​	441
RWT Holdings, Inc., 5.8%, 10/1/25	​	Holding Companies-Diversified	​	​	273	​	​	272	​	​	277
Total Convertible Bonds	​	​	​	​	​	​	​	815	​	​	834

Portfolio Company(a)	Footnotes	Industry	Number of Shares		Cost(b)			Fair Value(c)
Common Stock – 6.7%	​	​	​	​	​	​	​	​	​	​
Adobe, Inc.	(e)	Software	​	210	​	$	95	​	$	123
Alkuri Global Acquisition Corp.	(e)	Holding Companies-Diversified	​	27,482	​	​	272	​	​	272
Ball Corp.	(f)	Packaging & Containers	​	7,776	​	​	513	​	​	630
Booking Holdings, Inc.	(e)	Internet	​	19	​	​	39	​	​	42
Brown-Forman Corp.	​	Beverages	​	145	​	​	8	​	​	11
Canadian National Railway Co.	​	Transportation	​	1,351	​	​	142	​	​	143
Chipotle Mexican Grill, Inc.	(e)	Retail	​	128	​	​	181	​	​	198
Cintas Corp.	(f)	Commercial Services	​	894	​	​	219	​	​	342
Costco Wholesale Corp.	(f)	Retail	​	853	​	​	246	​	​	337
CSX Corp.	​	Transportation	​	6,006	​	​	155	​	​	193
CVS Health Corp.	​	Pharmaceuticals	​	1,991	​	​	149	​	​	166
Danaher Corp.	​	Healthcare-Products	​	1,120	​	​	252	​	​	301
Davide Campari-Milano N.V.	​	Beverages	​	18,134	​	​	137	​	​	243
Deere & Co.	​	Machinery-Diversified	​	329	​	​	109	​	​	116
Domino’s Pizza, Inc.	​	Retail	​	388	​	​	123	​	​	181
Five Below, Inc.	(e) (f)	Retail	​	1,118	​	​	121	​	​	216
Home Depot, Inc.	​	Retail	​	1,333	​	​	265	​	​	425
II-VI, Inc.	(e)	Electronics	​	912	​	​	67	​	​	66
Intuit, Inc.	​	Software	​	315	​	​	89	​	​	154
Kansas City Southern	(f)	Transportation	​	1,408	​	​	219	​	​	399
Mastercard, Inc.	(f)	Diversified Financial Services	​	725	​	​	195	​	​	265
Match Group, Inc.	(e)	Internet	​	731	​	​	109	​	​	118
Mettler-Toledo International, Inc.	(e)	Electronics	​	334	​	​	211	​	​	463
Microsoft Corp.	(f)	Software	​	1,688	​	​	243	​	​	457
Moody’s Corp.	​	Commercial Services	​	623	​	​	137	​	​	226
PayPal Holdings, Inc.	(e)	Commercial Services	​	730	​	​	180	​	​	213
Pool Corp.	​	Distribution/Wholesale	​	441	​	​	89	​	​	202
Republic Services, Inc.	(f)	Environmental Control	​	2,618	​	​	206	​	​	288
Sherwin-Williams Co.	​	Chemicals	​	2,132	​	​	353	​	​	581

See notes to unaudited consolidated financial statements.

7

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Portfolio Company(a)	Footnotes	Industry	Number of Shares		Cost(b)			Fair Value(c)
Stanley Black & Decker, Inc.	​	Hand/Machine Tools	​	438	​	$	89	​	$	90
Switchback II Corp.	(e)	Holding Companies-Diversified	​	9,781	​	​	97	​	​	97
Target Corp.	​	Retail	​	788	​	​	148	​	​	190
Texas Instruments, Inc.	​	Semiconductors	​	812	​	​	137	​	​	156
Thermo Fisher Scientific, Inc.	​	Healthcare-Products	​	364	​	​	106	​	​	184
Toro Co.	(f)	Machinery-Diversified	​	1,150	​	​	80	​	​	126
Tractor Supply Co.	​	Retail	​	728	​	​	107	​	​	135
Union Pacific Corp.	(f)	Transportation	​	1,773	​	​	271	​	​	390
Watches of Switzerland Group Plc	(d) (e)	Retail	​	8,040	​	​	74	​	​	93
Total Common Stock	​	​	​	​	​	​	6,233	​	​	8,832

Portfolio Company(a)	Footnotes	Yield	Number of Shares		Cost			​	Fair Value(c)
Short-Term Investments – 54.5%	​	​	​	​	​	​	​	​	​	​	​
State Street Institutional Liquid Reserves Fund – Premier Class	(g)	0.05%	​	71,550,577	​	$	71,573	​	​	$	71,572
Total Short-Term Investments	​	​	​	​	​	​	71,573	​	​	​	71,572
TOTAL INVESTMENTS – 87.6%	​	​	​	​	​	$	111,508	​	​	​	115,063
Other Assets in Excess of Liabilities – 12.4%	​	​	​	​	​	​	​	​	​	​	16,353
Net Assets – 100.0%	​	​	​	​	​	​	​	���	​	$	131,416

Investments Sold Short

Portfolio Company(a)	Footnotes	Number of Shares		Cost			Fair Value(c)
Mutual Funds Sold Short – (1.5)%	​	​	​	​	​	​	​	​	​
SPDR S&P 500 ETF Trust	​	​	(4,388)	​	$	(1,740)	​	$	(1,878)
SPDR S&P Homebuilders ETF	​	​	(1,395)	​	​	(100)	​	​	(102)
VanEck Vectors Semiconductor ETF	​	​	(140)	​	​	(36)	​	​	(37)
Total Mutual Funds Sold Short	​	​	​	​	$	(1,876)	​	$	(2,017)

Portfolio Company(a)	Footnotes	Industry	Par(b)			Cost			Fair Value(c)
Corporate Bonds Sold Short – (2.8)%	​	​	​	​	​	​	​	​	​	​	​
Adient Global Holdings Ltd., 4.9%, 8/15/26	​	Auto Parts & Equipment	​	$	(401)	​	$	(397)	​	$	(413)
Cimarex Energy Co., 4.4%, 3/15/29	​	Oil & Gas	​	​	(402)	​	​	(426)	​	​	(457)
Delta Air Lines, Inc., 7.4%, 1/15/26	​	Airlines	​	​	(227)	​	​	(258)	​	​	(266)
Life Time, Inc., 8.0%, 4/15/26	​	Leisure Time	​	​	(260)	​	​	(260)	​	​	(278)
Navient Corp., 6.8%, 6/15/26	​	Diversified Financial Services	​	​	(402)	​	​	(416)	​	​	(449)
Radiate Holdco LLC / Radiate Finance, Inc., 6.5%, 9/15/28	​	Media Entertainment	​	​	(322)	​	​	(333)	​	​	(339)
Staples, Inc., 10.8%, 4/15/27	​	Retail	​	​	(129)	​	​	(133)	​	​	(132)

See notes to unaudited consolidated financial statements.

8

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Portfolio Company(a)	Footnotes	Industry	Par(b)			Cost			Fair Value(c)
Telesat Canada / Telesat LLC, 6.5%, 10/15/27	​	Telecommunications	​	$	(248)	​	$	(236)	​	$	(237)
Teva Pharmaceutical Finance Netherlands III B.V., 6.8%, 3/1/28	​	Pharmaceuticals	​	​	(121)	​	​	(135)	​	​	(133)
United Rentals North America, Inc., 4.9%, 1/15/28	​	Commercial Services	​	​	(692)	​	​	(715)	​	​	(735)
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.5%, 3/1/25	​	Lodging	​	​	(227)	​	​	(214)	​	​	(245)
Total Corporate Bonds Sold Short	​	​	​	​	​	​	$	(3,523)	​	$	(3,684)

Portfolio Company(a)	Footnotes	Industry	Number of Shares		Cost			Fair Value(c)
Common Stocks Sold Short – (1.0)%	​	​	​	​	​	​	​	​	​	​
Airbnb, Inc.	​	Internet	​	(19)	​	$	(3)	​	$	(3)
Allstate Corp.	​	Insurance	​	(326)	​	​	(43)	​	​	(42)
AMC Entertainment Holdings, Inc.	​	Entertainment	​	(233)	​	​	(16)	​	​	(13)
American Airlines Group, Inc.	​	Airlines	​	(1,396)	​	​	(35)	​	​	(30)
American Express Co.	​	Diversified Financial Services	​	(93)	​	​	(16)	​	​	(15)
Berkshire Hathaway, Inc.	​	Insurance	​	(140)	​	​	(39)	​	​	(39)
Boeing Co.	​	Aerospace/Defense	​	(186)	​	​	(45)	​	​	(45)
Caesars Entertainment, Inc.	​	Entertainment	​	(93)	​	​	(9)	​	​	(10)
Callaway Golf Co.	​	Leisure Time	​	(500)	​	​	(17)	​	​	(17)
Carnival Corp.	​	Leisure Time	​	(1,438)	​	​	(39)	​	​	(38)
Church & Dwight Co., Inc.	​	Household Products/​ Wares	​	(882)	​	​	(78)	​	​	(75)
Citigroup, Inc.	​	Banks	​	(140)	​	​	(11)	​	​	(10)
CME Group, Inc.	​	Diversified Financial Services	​	(325)	​	​	(68)	​	​	(69)
Credit Acceptance Corp.	​	Diversified Financial Services	​	(39)	​	​	(13)	​	​	(18)
Denny’s Corp.	​	Retail	​	(464)	​	​	(8)	​	​	(8)
DoorDash, Inc.	​	Internet	​	(47)	​	​	(7)	​	​	(8)
FedEx Corp.	​	Transportation	​	(232)	​	​	(72)	​	​	(69)
Fox Factory Holding Corp.	​	Auto Parts & Equipment	​	(93)	​	​	(14)	​	​	(14)
General Electric Co.	​	Miscellaneous Manufacturing	​	(3,953)	​	​	(55)	​	​	(53)
Honest Co., Inc.	​	Cosmetics/Personal Care	​	(1,862)	​	​	(29)	​	​	(30)
Intel Corp.	​	Semiconductors	​	(691)	​	​	(45)	​	​	(39)
L3Harris Technologies, Inc.	​	Aerospace/Defense	​	(37)	​	​	(8)	​	​	(8)

See notes to unaudited consolidated financial statements.

9

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Portfolio Company(a)	Footnotes	Industry	Number of Shares		Cost			Fair Value(c)
La-Z-Boy, Inc.	​	Retail	​	(46)	​	$	(2)	​	$	(2)
Lancaster Colony Corp.	​	Food	​	(9)	​	​	(2)	​	​	(2)
Lordstown Motors Corp.	​	Auto Manufacturers	​	(140)	​	​	(1)	​	​	(2)
Louisiana-Pacific Corp.	​	Building Materials	​	(186)	​	​	(12)	​	​	(11)
Mattel, Inc.	​	Toys/Games/Hobbies	​	(1,397)	​	​	(28)	​	​	(28)
MicroStrategy, Inc.	​	Software	​	(5)	​	​	(2)	​	​	(3)
Mission Produce, Inc.	​	Advertising	​	(92)	​	​	(2)	​	​	(2)
Open Lending Corp.	​	Internet	​	(92)	​	​	(3)	​	​	(4)
Palantir Technologies, Inc.	​	Software	​	(162)	​	​	(3)	​	​	(4)
Paychex, Inc.	​	Software	​	(462)	​	​	(45)	​	​	(50)
Planet Fitness, Inc.	​	Leisure Time	​	(233)	​	​	(18)	​	​	(18)
PotlatchDeltic Corp.	​	Real Estate Investment Trusts	​	(326)	​	​	(19)	​	​	(17)
Progressive Corp.	​	Insurance	​	(651)	​	​	(63)	​	​	(64)
Raytheon Technologies Corp.	​	Aerospace/Defense	​	(93)	​	​	(8)	​	​	(8)
Royal Caribbean Cruises Ltd.	​	Leisure Time	​	(557)	​	​	(46)	​	​	(48)
salesforce.com, Inc.	​	Software	​	(93)	​	​	(22)	​	​	(23)
Snap-on, Inc.	​	Hand/Machine Tools	​	(9)	​	​	(2)	​	​	(2)
Snowflake, Inc.	​	Software	​	(93)	​	​	(22)	​	​	(22)
Swedish Match AB	​	Agriculture	​	(2,000)	​	​	(17)	​	​	(17)
Taiwan Semiconductor Manufacturing Co. Ltd.	​	Semiconductors	​	(70)	​	​	(8)	​	​	(8)
Tempur Sealy International, Inc.	​	Home Furnishings	​	(1,071)	​	​	(40)	​	​	(42)
Teradata Corp.	​	Software	​	(466)	​	​	(22)	​	​	(23)
Textron, Inc.	​	Miscellaneous Manufacturing	​	(93)	​	​	(6)	​	​	(6)
Trupanion, Inc.	​	Insurance	​	(19)	​	​	(2)	​	​	(2)
Twitter, Inc.	​	Internet	​	(46)	​	​	(3)	​	​	(3)
Uber Technologies, Inc.	​	Internet	​	(93)	​	​	(5)	​	​	(5)
Walgreens Boots Alliance, Inc.	​	Retail	​	(1,771)	​	​	(94)	​	​	(93)
West Fraser Timber Co. Ltd.	​	Forest Products & Paper	​	(372)	​	​	(28)	​	​	(27)
Weyerhaeuser Co.	​	Real Estate Investment Trusts	​	(1,856)	​	​	(72)	​	​	(64)
Total Common Stocks Sold Short	​	​	​	​	​	$	(1,267)	​	$	(1,253)
Total Investments Sold Short	​	​	​	​	​	$	(6,666)	​	$	(6,954)

See notes to unaudited consolidated financial statements.

10

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Forward Foreign Currency Exchange Contracts

Counterparty	Contract Settlement Date		Currency and Amount to be Received		Currency and Amount to be Delivered		Unrealized Appreciation	Unrealized Depreciation
Deutsche Bank AG	​	8/4/21	AUD	200	JPY	(16,703)	$ —	$ —
Deutsche Bank AG	​	8/4/21	AUD	200	JPY	(16,825)	—	2
Deutsche Bank AG	​	8/4/21	AUD	229	GBP	(125)	—	1
Deutsche Bank AG	​	8/4/21	AUD	600	JPY	(50,401)	—	4
Deutsche Bank AG	​	8/4/21	AUD	600	JPY	(50,223)	—	2
Deutsche Bank AG	​	8/4/21	AUD	800	NZD	(861)	—	2
Deutsche Bank AG	​	8/4/21	AUD	231	GBP	(125)	1	—
Deutsche Bank AG	​	8/4/21	AUD	198	EUR	(125)	—	—
Deutsche Bank AG	​	8/4/21	AUD	600	JPY	(49,762)	2	—
Deutsche Bank AG	​	8/4/21	AUD	100	USD	76	—	1
Deutsche Bank AG	​	8/4/21	AUD	1,300	USD	985	—	10
Deutsche Bank AG	​	8/4/21	AUD	400	USD	302	—	2
Deutsche Bank AG	​	8/4/21	AUD	200	USD	150	—	—
Deutsche Bank AG	​	8/4/21	CAD	300	USD	243	—	1
Deutsche Bank AG	​	8/4/21	CAD	200	USD	163	—	1
Deutsche Bank AG	​	8/4/21	CAD	200	USD	162	—	1
Deutsche Bank AG	​	8/4/21	CHF	125	USD	136	—	1
Deutsche Bank AG	​	7/26/21	CLP	74,984	USD	100	2	—
Deutsche Bank AG	​	7/19/21	CLP	75,335	USD	100	3	—
Deutsche Bank AG	​	7/12/21	CLP	72,578	USD	100	—	1
Deutsche Bank AG	​	8/4/21	CNH	1,295	USD	200	—	—
Deutsche Bank AG	​	8/4/21	CNH	1,944	USD	300	—	—
Deutsche Bank AG	​	8/4/21	CNH	7,806	USD	1,200	4	—
Deutsche Bank AG	​	8/4/21	CNH	1,945	USD	300	—	—
Deutsche Bank AG	​	8/4/21	EUR	250	USD	299	—	2
Deutsche Bank AG	​	8/4/21	EUR	250	USD	298	—	2
Deutsche Bank AG	​	8/4/21	EUR	125	USD	149	—	1
Deutsche Bank AG	​	8/4/21	EUR	125	USD	149	—	1
Deutsche Bank AG	​	8/4/21	GBP	313	USD	436	—	4
Deutsche Bank AG	​	8/4/21	GBP	500	USD	699	—	7
Deutsche Bank AG	​	8/4/21	GBP	125	USD	174	—	1
Deutsche Bank AG	​	8/4/21	HUF	29,709	USD	100	—	—
Deutsche Bank AG	​	8/4/21	ILS	326	USD	100	—	—
Deutsche Bank AG	​	7/8/21	INR	88	USD	1	—	—
Deutsche Bank AG	​	7/8/21	INR	7,236	USD	99	—	2
Deutsche Bank AG	​	7/6/21	INR	7,313	USD	100	—	2

See notes to unaudited consolidated financial statements.

11

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Counterparty	Contract Settlement Date		Currency and Amount to be Received		Currency and Amount to be Delivered		Unrealized Appreciation	Unrealized Depreciation
Deutsche Bank AG	​	7/28/21	INR	7,444	USD	100	$ —	$ —
Deutsche Bank AG	​	7/26/21	INR	7,442	USD	100	—	—
Deutsche Bank AG	​	7/22/21	INR	7,459	USD	100	—	—
Deutsche Bank AG	​	7/22/21	INR	7,459	USD	100	—	—
Deutsche Bank AG	​	7/19/21	INR	7,457	USD	100	—	—
Deutsche Bank AG	​	7/26/21	INR	1,400	USD	19	—	—
Deutsche Bank AG	​	7/26/21	INR	6,041	USD	81	—	—
Deutsche Bank AG	​	7/12/21	INR	7,349	USD	100	—	1
Deutsche Bank AG	​	7/19/21	INR	7,357	USD	100	—	1
Deutsche Bank AG	​	7/9/21	INR	7,304	USD	100	—	2
Deutsche Bank AG	​	7/9/21	INR	7,305	USD	100	—	2
Deutsche Bank AG	​	7/12/21	INR	7,306	USD	100	—	2
Deutsche Bank AG	​	8/4/21	JPY	37,500	USD	339	—	1
Deutsche Bank AG	​	8/4/21	JPY	87,500	USD	791	—	3
Deutsche Bank AG	​	8/4/21	JPY	25,000	USD	226	—	1
Deutsche Bank AG	​	8/4/21	JPY	62,500	USD	566	—	4
Deutsche Bank AG	​	7/6/21	KRW	222,484	USD	200	—	3
Deutsche Bank AG	​	8/2/21	KRW	112,987	USD	100	—	—
Deutsche Bank AG	​	7/26/21	KRW	226,534	USD	200	1	—
Deutsche Bank AG	​	7/21/21	KRW	226,594	USD	200	1	—
Deutsche Bank AG	​	7/22/21	KRW	75,765	USD	67	—	—
Deutsche Bank AG	​	7/22/21	KRW	74,920	USD	66	—	—
Deutsche Bank AG	​	7/22/21	KRW	75,751	USD	67	—	—
Deutsche Bank AG	​	7/15/21	KRW	222,024	USD	200	—	4
Deutsche Bank AG	​	8/4/21	MXN	500	USD	25	—	—
Deutsche Bank AG	​	8/4/21	MXN	2,500	USD	126	—	1
Deutsche Bank AG	​	8/4/21	MXN	3,000	USD	151	—	1
Deutsche Bank AG	​	8/4/21	MXN	5,500	USD	277	—	3
Deutsche Bank AG	​	8/4/21	MXN	500	USD	25	—	—
Deutsche Bank AG	​	8/4/21	MXN	500	USD	25	—	—
Deutsche Bank AG	​	8/4/21	MXN	500	USD	25	—	—
Deutsche Bank AG	​	8/4/21	MXN	1,500	USD	72	3	—
Deutsche Bank AG	​	8/4/21	NOK	2,576	USD	300	—	1
Deutsche Bank AG	​	8/4/21	NZD	300	USD	212	—	3
Deutsche Bank AG	​	8/4/21	NZD	300	USD	212	—	2
Deutsche Bank AG	​	8/4/21	NZD	100	USD	70	—	—
Deutsche Bank AG	​	8/4/21	NZD	200	USD	140	—	—

See notes to unaudited consolidated financial statements.

12

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Counterparty	Contract Settlement Date		Currency and Amount to be Received		Currency and Amount to be Delivered		Unrealized Appreciation	Unrealized Depreciation
Deutsche Bank AG	​	8/4/21	PLN	381	USD	100	$ —	$ —
Deutsche Bank AG	​	8/4/21	RUB	7,281	USD	100	—	1
Deutsche Bank AG	​	8/4/21	SEK	854	USD	100	—	—
Deutsche Bank AG	​	8/4/21	SGD	403	USD	300	—	—
Deutsche Bank AG	​	8/18/21	TRY	875	USD	100	—	2
Deutsche Bank AG	​	8/18/21	TRY	883	USD	100	—	1
Deutsche Bank AG	​	8/18/21	TRY	886	USD	100	—	1
Deutsche Bank AG	​	8/18/21	TRY	868	USD	100	—	3
Deutsche Bank AG	​	8/18/21	TRY	895	USD	100	—	—
Deutsche Bank AG	​	7/6/21	TWD	5,504	USD	200	—	3
Deutsche Bank AG	​	7/26/21	TWD	5,575	USD	200	—	—
Deutsche Bank AG	​	8/2/21	TWD	2,784	USD	100	—	—
Deutsche Bank AG	​	8/2/21	TWD	2,784	USD	100	—	—
Deutsche Bank AG	​	7/26/21	TWD	2,793	USD	100	—	—
Deutsche Bank AG	​	7/16/21	TWD	2,801	USD	100	—	—
Deutsche Bank AG	​	7/23/21	TWD	2,779	USD	100	—	—
Deutsche Bank AG	​	7/6/21	TWD	2,754	USD	100	—	1
Deutsche Bank AG	​	7/16/21	TWD	2,750	USD	100	—	1
Deutsche Bank AG	​	7/12/21	TWD	2,752	USD	100	—	1
Deutsche Bank AG	​	8/4/21	USD	376	AUD	500	1	—
Deutsche Bank AG	​	8/4/21	USD	151	AUD	200	1	—
Deutsche Bank AG	​	8/4/21	USD	76	AUD	100	1	—
Deutsche Bank AG	​	8/4/21	USD	1,202	AUD	1,600	2	—
Deutsche Bank AG	​	8/4/21	USD	81	CAD	100	—	—
Deutsche Bank AG	​	8/4/21	USD	81	CAD	100	1	—
Deutsche Bank AG	​	8/4/21	USD	162	CAD	200	1	—
Deutsche Bank AG	​	8/4/21	USD	136	CHF	125	1	—
Deutsche Bank AG	​	8/4/21	USD	136	CHF	125	1	—
Deutsche Bank AG	​	8/4/21	USD	136	CHF	125	1	—
Deutsche Bank AG	​	8/4/21	USD	136	CHF	125	1	—
Deutsche Bank AG	​	7/26/21	USD	100	CLP	75,352	—	3
Deutsche Bank AG	​	7/19/21	USD	100	CLP	72,590	1	—
Deutsche Bank AG	​	7/12/21	USD	100	CLP	72,169	2	—
Deutsche Bank AG	​	8/4/21	USD	500	CNH	3,241	—	—
Deutsche Bank AG	​	8/4/21	USD	100	CNH	648	—	—
Deutsche Bank AG	​	8/4/21	USD	100	CNH	648	—	—
Deutsche Bank AG	​	8/4/21	USD	500	CNH	3,249	—	1

See notes to unaudited consolidated financial statements.

13

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Counterparty	Contract Settlement Date		Currency and Amount to be Received		Currency and Amount to be Delivered		Unrealized Appreciation	Unrealized Depreciation
Deutsche Bank AG	​	8/4/21	USD	100	CNH	650	$ —	$ —
Deutsche Bank AG	​	8/4/21	USD	1,300	CNH	8,426	—	—
Deutsche Bank AG	​	8/4/21	USD	149	EUR	125	1	—
Deutsche Bank AG	​	8/4/21	USD	149	EUR	125	1	—
Deutsche Bank AG	​	8/4/21	USD	298	EUR	250	1	—
Deutsche Bank AG	​	8/4/21	USD	299	EUR	250	2	—
Deutsche Bank AG	​	8/4/21	USD	448	EUR	375	3	—
Deutsche Bank AG	​	8/4/21	USD	149	EUR	125	1	—
Deutsche Bank AG	​	8/4/21	USD	518	GBP	375	—	1
Deutsche Bank AG	​	8/4/21	USD	522	GBP	375	3	—
Deutsche Bank AG	​	8/4/21	USD	87	GBP	63	1	—
Deutsche Bank AG	​	8/4/21	USD	261	GBP	188	1	—
Deutsche Bank AG	​	8/4/21	USD	100	ILS	326	—	—
Deutsche Bank AG	​	8/2/21	USD	200	INR	14,898	—	—
Deutsche Bank AG	​	7/28/21	USD	11	INR	811	—	—
Deutsche Bank AG	​	7/28/21	USD	17	INR	1,230	—	—
Deutsche Bank AG	​	7/28/21	USD	18	INR	1,350	—	—
Deutsche Bank AG	​	7/28/21	USD	18	INR	1,352	—	—
Deutsche Bank AG	​	7/28/21	USD	18	INR	1,352	—	—
Deutsche Bank AG	​	7/28/21	USD	18	INR	1,352	—	—
Deutsche Bank AG	​	7/26/21	USD	100	INR	7,465	—	—
Deutsche Bank AG	​	7/26/21	USD	100	INR	7,464	—	—
Deutsche Bank AG	​	7/19/21	USD	100	INR	7,457	—	—
Deutsche Bank AG	​	7/22/21	USD	78	INR	5,783	—	—
Deutsche Bank AG	​	7/22/21	USD	20	INR	1,521	—	—
Deutsche Bank AG	​	7/22/21	USD	100	INR	7,444	—	—
Deutsche Bank AG	​	7/22/21	USD	2	INR	152	—	—
Deutsche Bank AG	​	7/19/21	USD	100	INR	7,357	1	—
Deutsche Bank AG	​	7/12/21	USD	100	INR	7,349	1	—
Deutsche Bank AG	​	7/8/21	USD	100	INR	7,304	2	—
Deutsche Bank AG	​	7/12/21	USD	100	INR	7,308	2	—
Deutsche Bank AG	​	7/6/21	USD	100	INR	7,303	2	—
Deutsche Bank AG	​	7/9/21	USD	38	INR	2,794	1	—
Deutsche Bank AG	​	7/9/21	USD	61	INR	4,477	1	—
Deutsche Bank AG	​	7/9/21	USD	86	INR	6,267	2	—
Deutsche Bank AG	​	7/9/21	USD	15	INR	1,075	—	—
Deutsche Bank AG	​	8/4/21	USD	113	JPY	12,500	1	—

See notes to unaudited consolidated financial statements.

14

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Counterparty	Contract Settlement Date		Currency and Amount to be Received		Currency and Amount to be Delivered			Unrealized Appreciation	Unrealized Depreciation
Deutsche Bank AG	​	8/4/21	USD	113	JPY	���	12,500	$ —	$ —
Deutsche Bank AG	​	8/4/21	USD	564	JPY	​	62,500	1	—
Deutsche Bank AG	​	8/4/21	USD	1,353	JPY	​	150,000	3	—
Deutsche Bank AG	​	8/4/21	USD	113	JPY	​	12,500	1	—
Deutsche Bank AG	​	7/26/21	USD	100	KRW	​	113,020	—	—
Deutsche Bank AG	​	7/15/21	USD	200	KRW	​	226,662	—	1
Deutsche Bank AG	​	7/22/21	USD	200	KRW	​	226,604	—	1
Deutsche Bank AG	​	7/26/21	USD	100	KRW	​	113,283	—	—
Deutsche Bank AG	​	7/21/21	USD	34	KRW	​	38,935	—	—
Deutsche Bank AG	​	7/21/21	USD	35	KRW	​	38,993	—	—
Deutsche Bank AG	​	7/21/21	USD	34	KRW	​	38,901	—	—
Deutsche Bank AG	​	7/21/21	USD	20	KRW	​	22,464	—	—
Deutsche Bank AG	​	7/21/21	USD	15	KRW	​	16,513	—	—
Deutsche Bank AG	​	7/21/21	USD	31	KRW	​	35,066	—	—
Deutsche Bank AG	​	7/21/21	USD	31	KRW	​	34,931	—	—
Deutsche Bank AG	​	7/6/21	USD	200	KRW	​	222,058	3	—
Deutsche Bank AG	​	8/4/21	USD	25	MXN	​	500	—	—
Deutsche Bank AG	​	8/4/21	USD	25	MXN	​	500	—	—
Deutsche Bank AG	​	8/4/21	USD	25	MXN	​	500	—	—
Deutsche Bank AG	​	8/4/21	USD	361	MXN	​	7,500	—	14
Deutsche Bank AG	​	8/4/21	USD	200	NOK	​	1,706	2	—
Deutsche Bank AG	​	8/4/21	USD	70	NZD	​	100	—	—
Deutsche Bank AG	​	8/4/21	USD	140	NZD	​	200	1	—
Deutsche Bank AG	​	8/4/21	USD	279	NZD	​	400	—	—
Deutsche Bank AG	​	8/4/21	USD	100	RUB	​	7,355	—	—
Deutsche Bank AG	​	8/4/21	USD	100	SEK	​	854	—	—
Deutsche Bank AG	​	8/4/21	USD	100	SGD	​	134	—	—
Deutsche Bank AG	​	8/18/21	USD	100	TRY	​	875	2	—
Deutsche Bank AG	​	8/18/21	USD	100	TRY	​	881	1	—
Deutsche Bank AG	​	8/18/21	USD	100	TRY	​	894	—	—
Deutsche Bank AG	​	8/18/21	USD	200	TRY	​	1,764	2	—
Deutsche Bank AG	​	8/2/21	USD	200	TWD	​	5,573	—	—
Deutsche Bank AG	​	7/26/21	USD	100	TWD	​	2,788	—	—
Deutsche Bank AG	​	7/16/21	USD	100	TWD	​	2,798	—	—
Deutsche Bank AG	​	7/26/21	USD	100	TWD	​	2,793	—	—
Deutsche Bank AG	​	7/26/21	USD	100	TWD	​	2,793	—	—
Deutsche Bank AG	​	7/23/21	USD	100	TWD	​	2,800	—	—

See notes to unaudited consolidated financial statements.

15

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Counterparty	Contract Settlement Date		Currency and Amount to be Received		Currency and Amount to be Delivered		Unrealized Appreciation	Unrealized Depreciation
Deutsche Bank AG	​	7/6/21	USD	200	TWD	5,509	$  3	$ —
Deutsche Bank AG	​	7/16/21	USD	100	TWD	2,751	1	—
Deutsche Bank AG	​	7/12/21	USD	100	TWD	2,764	1	—
Deutsche Bank AG	​	7/6/21	USD	100	TWD	2,757	1	—
Deutsche Bank AG	​	8/4/21	USD	100	ZAR	1,430	—	—
Deutsche Bank AG	​	8/4/21	ZAR	1,435	USD	100	—	—
Deutsche Bank AG	​	8/4/21	CAD	184	EUR	(125)	—	—
Deutsche Bank AG	​	8/4/21	CAD	200	JPY	(18,023)	—	1
Deutsche Bank AG	​	8/4/21	CAD	200	JPY	(17,836)	1	—
Deutsche Bank AG	​	8/4/21	CAD	184	EUR	(125)	—	—
Deutsche Bank AG	​	8/4/21	CAD	553	EUR	(375)	1	—
Deutsche Bank AG	​	8/4/21	EUR	200	GBP	(172)	—	1
Deutsche Bank AG	​	8/4/21	EUR	500	GBP	(429)	—	—
Deutsche Bank AG	​	8/4/21	EUR	125	CAD	(184)	—	—
Deutsche Bank AG	​	8/4/21	EUR	600	GBP	(516)	—	1
Deutsche Bank AG	​	8/4/21	EUR	300	JPY	(39,720)	—	2
Deutsche Bank AG	​	8/4/21	EUR	100	PLN	(452)	—	—
Deutsche Bank AG	​	8/4/21	EUR	125	CAD	(184)	—	—
Deutsche Bank AG	​	8/4/21	EUR	500	JPY	(66,137)	—	2
Deutsche Bank AG	​	8/4/21	EUR	125	SEK	(1,266)	—	—
Deutsche Bank AG	​	8/4/21	EUR	125	SEK	(1,266)	—	—
Deutsche Bank AG	​	8/4/21	EUR	400	GBP	(342)	2	—
Deutsche Bank AG	​	8/4/21	EUR	250	CHF	(274)	1	—
Deutsche Bank AG	​	8/4/21	EUR	200	JPY	(26,304)	1	—
Deutsche Bank AG	​	8/4/21	EUR	125	AUD	(198)	—	—
Deutsche Bank AG	​	8/4/21	JPY	15,444	NZD	(200)	—	1
Deutsche Bank AG	​	8/4/21	JPY	33,212	AUD	(400)	—	1
Deutsche Bank AG	​	8/4/21	JPY	13,186	EUR	(100)	—	—
Deutsche Bank AG	​	8/4/21	JPY	17,912	CAD	(200)	—	—
Deutsche Bank AG	​	8/4/21	JPY	13,214	EUR	(100)	—	—
Deutsche Bank AG	​	8/4/21	JPY	38,508	GBP	(250)	1	—
Deutsche Bank AG	​	8/4/21	JPY	13,233	EUR	(100)	1	—
Deutsche Bank AG	​	8/4/21	JPY	18,007	CAD	(200)	1	—
Deutsche Bank AG	​	8/4/21	JPY	19,364	GBP	(125)	1	—
Deutsche Bank AG	​	8/4/21	JPY	30,202	CHF	(250)	2	—
Deutsche Bank AG	​	8/4/21	JPY	65,759	EUR	(500)	—	1
Deutsche Bank AG	​	8/4/21	JPY	82,937	AUD	(1,000)	—	3

See notes to unaudited consolidated financial statements.

16

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Counterparty	Contract Settlement Date		Currency and Amount to be Received		Currency and Amount to be Delivered		Unrealized Appreciation	Unrealized Depreciation
Deutsche Bank AG	​	8/4/21	JPY	30,824	NZD	(400)	$ —	$  2
Deutsche Bank AG	​	8/4/21	NZD	430	AUD	(400)	1	—
Deutsche Bank AG	​	8/4/21	NZD	200	JPY	(15,570)	—	—
Deutsche Bank AG	​	8/4/21	NZD	200	JPY	(15,412)	1	—
Deutsche Bank AG	​	8/4/21	NOK	500	SEK	(498)	—	—
Deutsche Bank AG	​	8/4/21	NOK	500	SEK	(498)	—	—
Deutsche Bank AG	​	8/4/21	NOK	2,557	EUR	(250)	—	—
Deutsche Bank AG	​	8/4/21	PLN	451	EUR	(100)	—	1
Deutsche Bank AG	​	8/4/21	GBP	125	JPY	(19,088)	1	—
Deutsche Bank AG	​	8/4/21	GBP	86	EUR	(100)	1	—
Deutsche Bank AG	​	8/4/21	GBP	250	JPY	(38,339)	1	—
Deutsche Bank AG	​	8/4/21	GBP	125	AUD	(230)	—	—
Deutsche Bank AG	​	8/4/21	GBP	86	EUR	(100)	—	—
Deutsche Bank AG	​	8/4/21	GBP	125	AUD	(231)	—	1
Deutsche Bank AG	​	8/4/21	GBP	600	EUR	(700)	—	—
Deutsche Bank AG	​	8/4/21	GBP	125	JPY	(19,172)	—	—
Deutsche Bank AG	​	8/4/21	GBP	172	EUR	(200)	—	—
Deutsche Bank AG	​	8/4/21	GBP	125	JPY	(19,172)	—	—
Deutsche Bank AG	​	8/4/21	GBP	125	CHF	(160)	—	—
Deutsche Bank AG	​	8/4/21	SEK	498	NOK	(500)	—	—
Deutsche Bank AG	​	8/4/21	SEK	1,270	EUR	(125)	—	—
Deutsche Bank AG	​	8/4/21	SEK	497	NOK	(500)	—	—
Deutsche Bank AG	​	8/4/21	SEK	2,543	EUR	(250)	1	—
Deutsche Bank AG	​	8/4/21	CHF	159	GBP	(125)	—	1
Deutsche Bank AG	​	8/4/21	CHF	250	JPY	(30,050)	—	—
Morgan Stanley & Co. International PLC	​	9/15/21	SEK	111	USD	13	—	—
Morgan Stanley & Co. International PLC	​	9/15/21	SEK	38	USD	4	—	—
Morgan Stanley & Co. International PLC	​	9/15/21	USD	241	EUR	199	6	—
Morgan Stanley & Co. International PLC	​	9/15/21	USD	91	GBP	65	2	—
Morgan Stanley & Co. International PLC	​	9/15/21	USD	2	GBP	2	—	—
Total Forward Foreign Currency Exchange Contracts	​	​	​	​	​	​	$106	$139

See notes to unaudited consolidated financial statements.

17

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Futures Contracts

Description	Number of Contracts		Position		Expiration Date	Notional Amount	Unrealized Appreciation	Unrealized Depreciation
Commodity Futures	​	​	​	​	​	​	​	​
Aluminum	​	3	​	Long	7/6/2021	170	$ 18	$ —
Aluminum	​	1	​	Long	7/9/2021	57	6	—
Aluminum	​	1	​	Long	7/13/2021	58	5	—
Aluminum	​	2	​	Long	7/14/2021	116	10	—
Aluminum	​	2	���	Long	7/16/2021	119	7	—
Aluminum	​	1	​	Long	7/21/2021	58	5	—
Aluminum	​	1	​	Long	7/27/2021	61	2	—
Aluminum	​	1	​	Long	8/19/2021	60	3	—
Aluminum	​	1	​	Long	8/24/2021	58	5	—
Aluminum	​	1	​	Long	8/25/2021	62	1	—
Aluminum	​	1	​	Long	8/26/2021	59	4	—
Aluminum	​	1	​	Long	8/27/2021	62	1	—
Copper	​	1	​	Long	7/6/2021	225	9	—
Copper	​	1	​	Long	7/9/2021	234	—	—
Copper	​	1	​	Long	7/13/2021	222	11	—
Copper	​	3	​	Long	7/14/2021	675	27	—
Copper	​	2	​	Long	7/19/2021	469	—	1
Copper	​	2	​	Long	7/23/2021	476	—	8
Copper	​	2	​	Long	7/26/2021	484	—	16
Copper	​	4	​	Long	7/29/2021	988	—	52
Copper	​	2	​	Long	7/30/2021	519	—	51
Copper	​	1	​	Long	8/6/2021	260	—	25
Copper	​	1	​	Long	8/10/2021	268	—	34
Copper	​	1	​	Long	8/11/2021	261	—	27
Copper	​	1	​	Long	8/13/2021	252	—	17
Copper	​	2	​	Long	8/17/2021	513	—	45
Copper	​	1	​	Long	8/19/2021	253	—	19
Copper	​	1	​	Long	8/20/2021	253	—	19
Copper	​	1	​	Long	8/24/2021	254	—	19
Copper	​	1	​	Long	8/25/2021	254	—	19
Copper	​	2	​	Long	8/26/2021	496	—	27
Copper	​	1	​	Long	9/3/2021	248	—	13
Copper	​	3	​	Long	9/10/2021	724	—	20
Copper	​	1	​	Long	9/15/2021	237	—	3
Copper	​	2	​	Long	9/16/2021	481	—	12
Copper	​	1	​	Long	9/17/2021	237	—	3

See notes to unaudited consolidated financial statements.

18

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Description	Number of Contracts		Position		Expiration Date	Notional Amount	Unrealized Appreciation	Unrealized Depreciation
Copper	​	1	​	Long	9/21/2021	227	$  7	$ —
Copper	​	1	​	Long	9/6/2021	248	—	14
Corn	​	5	​	Long	12/14/2021	136	11	—
Corn	​	1	​	Long	5/13/2022	27	2	—
Corn	​	1	​	Long	9/14/2021	29	1	—
E-Mini Crude Oil Index	​	1	​	Long	7/19/2021	36	1	—
E-Mini Natural Index	​	1	​	Long	7/27/2021	9	—	—
Gasoline RBOB	​	2	​	Long	7/30/2021	186	1	—
Lead	​	2	​	Long	7/7/2021	101	13	—
Lead	​	1	​	Long	7/12/2021	49	7	—
Lead	​	1	​	Long	7/13/2021	50	7	—
Lead	​	1	​	Long	7/14/2021	50	7	—
Lead	​	2	​	Long	7/16/2021	102	11	—
Lead	​	1	​	Long	7/19/2021	51	5	—
Lead	​	1	​	Long	7/20/2021	53	4	—
Lead	​	1	​	Long	7/28/2021	56	1	—
Lead	​	1	​	Long	7/29/2021	56	1	—
Lead	​	1	​	Long	8/4/2021	54	2	—
Lead	​	1	​	Long	8/10/2021	56	1	—
Lead	​	1	​	Long	8/17/2021	55	2	—
Lead	​	1	​	Long	8/26/2021	54	2	—
Lead	​	2	​	Long	9/10/2021	110	3	—
Lead	​	1	​	Long	9/14/2021	55	2	—
Lead	​	2	​	Long	9/15/2021	110	4	—
Lean Hogs	​	2	​	Long	8/13/2021	82	—	—
Live Cattle	​	1	​	Long	8/31/2021	49	—	—
Maize	​	1	​	Long	8/5/2021	14	—	—
Natural Gas	​	4	​	Long	7/28/2021	141	5	—
Nickel	​	1	​	Long	7/1/2021	100	10	—
Nickel	​	1	​	Long	7/6/2021	100	9	—
Nickel	​	3	​	Long	7/7/2021	302	26	—
Nickel	​	1	​	Long	7/9/2021	100	9	—
Nickel	​	1	​	Long	7/13/2021	97	12	—
Nickel	​	1	​	Long	7/23/2021	97	12	—
Nickel	​	1	​	Long	7/27/2021	107	3	—
Nickel	​	2	​	Long	8/13/2021	209	10	—
Nickel	​	1	​	Long	8/17/2021	106	3	—
Nickel	​	1	​	Long	8/18/2021	109	1	—

See notes to unaudited consolidated financial statements.

19

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Description	Number of Contracts		Position		Expiration Date	Notional Amount	Unrealized Appreciation	Unrealized Depreciation
Nickel	​	1	​	Long	8/25/2021	109	$  1	$ —
Nickel	​	1	​	Long	9/1/2021	110	—	1
Nickel	​	1	​	Long	9/3/2021	109	1	—
Nickel	​	1	​	Long	9/15/2021	111	—	1
Nickel	​	1	​	Long	9/17/2021	104	5	—
Nickel	​	1	​	Long	9/23/2021	107	3	—
NY Harbor ULSD	​	1	​	Long	7/30/2021	89	—	—
Palladium	​	1	​	Long	9/28/2021	267	10	—
Rapeseed	​	1	​	Long	7/30/2021	28	4	—
Soybean	​	2	​	Long	11/12/2021	139	1	—
Soybean Meal	​	3	​	Long	12/14/2021	105	9	—
Soybean Oil	​	2	​	Long	12/14/2021	73	2	—
Sugar	​	2	​	Long	9/30/2021	39	1	—
Tin	​	1	​	Long	7/8/2021	129	36	—
Tin	​	1	​	Long	7/13/2021	135	30	—
Tin	​	1	​	Long	8/6/2021	150	12	—
Tin	​	1	​	Long	8/18/2021	149	13	—
Tin	​	1	​	Long	8/19/2021	153	8	—
Wheat	​	1	​	Long	12/14/2021	35	—	1
WTI Crude	​	1	​	Long	11/19/2021	70	1	—
Zinc	​	1	​	Long	7/8/2021	72	2	—
Zinc	​	1	​	Long	7/12/2021	72	2	—
Zinc	​	3	​	Long	7/14/2021	211	12	—
Zinc	​	1	​	Long	7/16/2021	72	3	—
Zinc	​	2	​	Long	7/19/2021	143	6	—
Zinc	​	1	​	Long	7/26/2021	72	2	—
Zinc	​	1	​	Long	9/15/2021	76	—	1
Zinc	​	1	​	Long	9/16/2021	76	—	1
Zinc	​	2	​	Long	9/17/2021	145	4	—
Total Commodity Futures Contracts	​	​	​	​	​	​	$477	$449
Equity Futures	​	​	​	​	​	​	​	​
DJIA mini E-CBOT	​	4	​	Long	9/17/2021	678	10	—
E-mini Russell 2000	​	3	​	Long	9/17/2021	347	—	1
FTSE China	​	7	​	Long	7/29/2021	122	—	1
FTSE Taiwan	​	1	​	Long	7/29/2021	61	—	—
FTSES 100 Index	​	3	​	Long	9/17/2021	292	—	—
Mini H-Shares Index	​	1	​	Long	7/29/2021	14	—	—
Mini HSI Index	​	4	​	Long	7/29/2021	150	—	3

See notes to unaudited consolidated financial statements.

20

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Description	Number of Contracts		Position		Expiration Date	Notional Amount	Unrealized Appreciation	Unrealized Depreciation
MSCI Singapore Index	​	5	​	Long	7/29/2021	132	$ —	$ —
NASDAQ 100 E-Mini	​	7	​	Long	9/17/2021	2,021	16	—
OMXS 30 Index	​	3	​	Long	7/16/2021	80	—	—
S&P 500 E-mini	​	25	​	Long	9/17/2021	5,354	7	—
SET 50 Index	​	2	​	Long	9/29/2021	12	—	—
SPI 200 Index	​	4	​	Long	9/16/2021	545	—	—
Total Equity Futures Contracts	​	​	​	​	​	​	$ 33	$  5
Foreign Currency Futures	​	​	​	​	​	​	​	​
Brazilian Real	​	1	​	Long	7/30/2021	20	—	—
Micro, EUR/USD	​	1	​	Long	9/13/2021	15	—	—
TRY Dollar	​	4	​	Long	8/31/2021	4	—	—
Total Foreign Currency Futures Contracts	​	​	​	​	​	​	$ —	$ —
Interest Rate Futures	​	​	​	​	​	​	​	​
Australia 10-Year Bond	​	4	​	Long	9/15/2021	427	1	—
Euro-BTP	​	6	​	Long	9/8/2021	1,077	4	—
Euro-Bund	​	14	​	Long	9/8/2021	2,870	7	—
Short Euro-BTP	​	2	​	Long	9/8/2021	272	—	—
U.S. Treasury 10-Year Note	​	1	​	Long	9/21/2021	132	—	—
U.S. Treasury 5-Year Note	​	2	​	Long	9/30/2021	247	—	—
Total Interest Rate Futures Contracts	​	​	​	​	​	​	$ 12	$ —
Commodity Futures	​	​	​	​	​	​	​	​
Aluminum	​	3	​	Short	7/6/2021	170	—	19
Aluminum	​	1	​	Short	7/9/2021	57	—	6
Aluminum	​	1	​	Short	7/13/2021	58	—	5
Aluminum	​	2	​	Short	7/14/2021	118	—	8
Aluminum	​	2	​	Short	7/16/2021	116	—	10
Aluminum	​	1	​	Short	7/21/2021	61	—	2
Aluminum	​	1	​	Short	7/27/2021	60	—	3
Aluminum	​	1	​	Short	8/19/2021	59	—	4
Aluminum	​	1	​	Short	8/24/2021	62	—	1
Aluminum	​	1	​	Short	8/25/2021	59	—	4
Aluminum	​	1	​	Short	8/26/2021	62	—	1
Aluminum	​	1	​	Short	8/27/2021	62	—	2
Aluminum	​	2	​	Short	9/17/2021	59	—	4
Brent Crude	​	1	​	Short	7/30/2021	75	1	—
Cocoa	​	1	​	Short	9/15/2021	47	—	1
Copper	​	1	​	Short	9/28/2021	108	—	—
Copper	​	1	​	Short	7/6/2021	225	—	9

See notes to unaudited consolidated financial statements.

21

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Description	Number of Contracts		Position		Expiration Date	Notional Amount	Unrealized Appreciation	Unrealized Depreciation
Copper	​	1	​	Short	7/9/2021	224	$ —	$ 10
Copper	​	1	​	Short	7/13/2021	225	—	9
Copper	​	3	​	Short	7/14/2021	703	1	—
Copper	​	2	​	Short	7/19/2021	468	—	—
Copper	​	2	​	Short	7/23/2021	494	26	—
Copper	​	2	​	Short	7/26/2021	494	26	—
Copper	​	4	​	Short	7/29/2021	1,030	94	—
Copper	​	2	​	Short	7/30/2021	494	26	—
Copper	​	1	​	Short	8/6/2021	256	22	—
Copper	​	1	​	Short	8/10/2021	263	29	—
Copper	​	1	​	Short	8/11/2021	256	22	—
Copper	​	1	​	Short	8/13/2021	258	24	—
Copper	​	2	​	Short	8/17/2021	502	33	—
Copper	​	1	​	Short	8/19/2021	248	14	—
Copper	​	1	​	Short	8/20/2021	254	19	—
Copper	​	1	​	Short	8/24/2021	245	11	—
Copper	​	1	​	Short	8/25/2021	249	14	—
Copper	​	2	​	Short	8/26/2021	486	18	—
Copper	​	1	​	Short	9/3/2021	247	13	—
Copper	​	3	​	Short	9/10/2021	742	39	—
Copper	​	2	​	Short	9/16/2021	474	5	—
Copper	​	1	​	Short	9/17/2021	231	—	4
Copper	​	1	​	Short	9/21/2021	237	3	—
Copper	​	1	​	Short	9/6/2021	248	13	—
Gold (OSE)	​	1	​	Short	4/25/2022	56	—	—
Gold 100 OZ	​	2	​	Short	8/27/2021	356	2	—
Lead	​	2	​	Short	7/7/2021	99	—	15
Lead	​	1	​	Short	7/12/2021	51	—	6
Lead	​	1	​	Short	7/13/2021	51	—	5
Lead	​	1	​	Short	7/14/2021	51	—	6
Lead	​	2	​	Short	7/16/2021	107	—	6
Lead	​	1	​	Short	7/19/2021	51	—	5
Lead	​	1	​	Short	7/20/2021	51	—	5
Lead	​	1	​	Short	7/28/2021	52	—	4
Lead	​	1	​	Short	7/29/2021	53	—	4
Lead	​	1	​	Short	8/4/2021	56	—	1
Lead	​	1	​	Short	8/10/2021	55	—	2
Lead	​	1	​	Short	8/17/2021	54	—	2

See notes to unaudited consolidated financial statements.

22

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Description	Number of Contracts		Position		Expiration Date	Notional Amount	Unrealized Appreciation	Unrealized Depreciation
Lead	​	1	​	Short	8/26/2021	55	$ —	$  2
Lead	​	2	​	Short	9/10/2021	110	—	4
Lead	​	1	​	Short	9/14/2021	55	—	2
Lead	​	2	​	Short	9/15/2021	109	—	5
Live Feeder	​	1	​	Short	8/26/2021	80	2	—
Milk	​	1	​	Short	8/3/2021	33	—	—
Nickel	​	1	​	Short	7/1/2021	97	—	13
Nickel	​	1	​	Short	7/6/2021	100	—	10
Nickel	​	3	​	Short	7/7/2021	297	—	31
Nickel	​	1	​	Short	7/9/2021	100	—	9
Nickel	​	1	​	Short	7/13/2021	96	—	13
Nickel	​	1	​	Short	7/23/2021	107	—	3
Nickel	​	1	​	Short	7/27/2021	102	—	7
Nickel	​	2	​	Short	8/13/2021	209	—	10
Nickel	​	1	​	Short	8/17/2021	109	—	1
Nickel	​	1	​	Short	8/18/2021	108	—	1
Nickel	​	1	​	Short	8/25/2021	102	—	7
Nickel	​	1	​	Short	9/1/2021	109	—	1
Nickel	​	1	​	Short	9/3/2021	109	—	—
Nickel	​	1	​	Short	9/15/2021	107	—	2
Nickel	​	1	​	Short	9/17/2021	110	1	—
Nickel	​	1	​	Short	9/28/2021	110	1	—
Platinum	​	1	​	Short	10/27/2021	56	2	—
Red Wheat	​	2	​	Short	9/14/2021	81	���	4
Tin	​	1	​	Short	7/8/2021	135	—	30
Tin	​	1	​	Short	7/13/2021	128	—	37
Tin	​	1	​	Short	8/6/2021	149	—	13
Tin	​	1	​	Short	8/18/2021	153	—	8
Tin	​	1	​	Short	8/19/2021	148	—	13
Zinc	​	1	​	Short	7/8/2021	71	—	3
Zinc	​	1	​	Short	7/12/2021	70	—	5
Zinc	​	3	​	Short	7/14/2021	216	—	7
Zinc	​	1	​	Short	7/16/2021	71	—	3
Zinc	​	2	​	Short	7/19/2021	143	—	5
Zinc	​	1	​	Short	7/26/2021	72	—	2
Zinc	​	1	​	Short	9/15/2021	75	1	—
Zinc	​	1	​	Short	9/16/2021	73	—	2
Zinc	​	2	​	Short	9/17/2021	148	—	1
Total Commodity Futures Contracts	​	​	​	​	​	​	$462	$417

See notes to unaudited consolidated financial statements.

23

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Description	Number of Contracts		Position		Expiration Date	Notional Amount	Unrealized Appreciation	Unrealized Depreciation
Equity Futures	​	​	​	​	​	​	​	​
BIST 30 Index	​	4	​	Short	8/31/2021	7	$ —	$ —
CAC40 10 Euro	​	3	​	Short	7/16/2021	231	—	1
CBOE Volatility Index	​	29	​	Short	8/18/2021	573	1	—
CBOE Volatility Index	​	6	​	Short	7/21/2021	107	—	—
DAX Mini Index	​	2	​	Short	9/17/2021	184	—	1
Euro-STOXX 50 Index	​	5	​	Short	9/17/2021	242	1	—
HSCEI Index	​	2	​	Short	7/29/2021	137	1	—
IBEX 35 Index	​	1	​	Short	7/16/2021	106	1	—
MSCI Emerging Market Index	​	1	​	Short	9/17/2021	68	—	—
Nikkei 225 Mini Index	​	1	​	Short	9/9/2021	26	—	—
WIG 20 Index	​	2	​	Short	9/17/2021	23	—	—
Total Equity Futures Contracts	​	​	​	​	​	​	$  4	$  2
Foreign Currency Futures	​	​	​	​	​	​	​	​
Canadian Dollar	​	1	​	Short	9/14/2021	81	—	—
INR/USD	​	2	​	Short	7/28/2021	54	—	—
New Zealand Dollar	​	2	​	Short	9/13/2021	140	1	—
Total Foreign Currency Futures Contracts	​	​	​	​	​	​	$  1	$ —
Interest Rate Futures	​	​	​	​	​	​	​	​
90 Day Eurodollar	​	1	​	Short	6/17/2024	247	—	—
90 Day Eurodollar	​	3	​	Short	9/18/2023	743	—	—
90 Day Sterling	​	2	​	Short	9/21/2022	346	—	—
Canada 10-Year Bond	​	2	​	Short	9/21/2021	236	—	1
Euro BOBL	​	2	​	Short	9/8/2021	320	—	—
Euro-Oat	​	2	​	Short	9/8/2021	377	—	1
Euro-Schatz	​	4	​	Short	9/8/2021	535	—	—
Japan 10-Year Bond	​	5	​	Short	9/13/2021	6,915	2	—
Long Gilt	​	4	​	Short	9/28/2021	709	—	2
U.S. Treasury 10-Year Ultra Bond	​	6	​	Short	9/21/2021	880	—	3
U.S. Treasury Ultra Bond	​	2	​	Short	9/21/2021	382	—	3
Total Interest Rate Futures Contracts	​	​	​	​	​	​	$  2	$ 10

See notes to unaudited consolidated financial statements.

24

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Total Return Index Swaps(h) – (0.7)%

Counterparty	Fund Pays	Fund Receives	Notional Amount	Expiration Date		Periodic Payment Frequency	Premium Paid (Received)	Fair Value(c)	Unrealized Appreciation	Unrealized Depreciation
Bank of America, N.A.	0.00%	Total return on BofA Merrill Lynch Commodity Excess Return Strategy Index(i)	USD 11,844	​	8/18/21	Quarterly	$—	$206	$206	$—
Bank of America, N.A.	Fixed Rate of 0.20%	Total return on BofA Merrill Lynch Sort Upside Vol Index(j)	USD 5,902	​	2/25/22	Quarterly	—	19	19	—
Barclays Bank PLC	Total return on Barclays Short Interest Short Basket Index(k)	Federal Funds Rate – 1.05%	USD 9,060	​	2/2/22	Quarterly	—	(635)	—	635
Barclays Bank PLC	3 Month LIBOR + 0.10%	Total return on Russell 2000 Index Total Return Index(l)	USD 9,340	​	2/2/22	Quarterly	—	150	150	—
Barclays Bank PLC	0.00%	Total return on Barclays EB05 Desk Strategy Index(m)	USD 23,900	​	6/8/22	Quarterly	—	(12)	—	12
BNP Paribas	Total return on BNP Equity Growth Factor Index(n)	3 Month LIBOR + 0.10%	USD 6,469	​	6/15/22	Quarterly	—	(113)	—	113
BNP Paribas	3 Month LIBOR + 0.30%	Total return on BNP Equity Value Factor Index(o)	USD 12,690	​	6/15/22	Quarterly	—	(127)	—	127
BNP Paribas	3 Month LIBOR + 0.02%	Total return on MSCI Emerging Net Total Return USD Index(p)	USD 10,119	​	6/3/22	Quarterly	—	(40)	—	40
Credit Suisse International	Fixed Rate of 0.50%	Total return on Credit Suisse Gamma Weighted Dispersion Index ER(q)	USD 6,259	​	5/20/22	Monthly	—	17	17	—
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Systematic Skew US Series 1D Excess Return Strategy Index(r)	USD 9,401	​	11/6/21	Quarterly	—	126	126	—
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Calls-vs-Calls US Series 2 Excess Return Strategy Index(s)	USD 8,010	​	11/6/21	Quarterly	—	(275)	—	275
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Macro Index VA01(t)	USD 18,813	​	5/17/22	Quarterly	—	(236)	—	236
JP Morgan Chase Bank, N.A.	Fixed Rate of 0.25%	Total return on JP Morgan Correlation Spread Index(u)	USD 7,075	​	7/30/21	Quarterly	—	(59)	—	59

See notes to unaudited consolidated financial statements.

25

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Counterparty	Fund Pays	Fund Receives	Notional Amount	Expiration Date		Periodic Payment Frequency	Premium Paid (Received)	Fair Value(c)	Unrealized Appreciation	Unrealized Depreciation
JP Morgan Chase Bank, N.A.	Fixed Rate of 0.20%	Total return on US Conviction Mean Reversion Index(v)	USD 6,332	​	11/4/21	Quarterly	$—	$160	$160	$—
JP Morgan Chase Bank, N.A.	0.00%	Total return on JP Morgan Equity Risk Premium – Global Pure Low Vol L/S USD Index 1(w)	USD 8,221	​	6/28/22	Quarterly	—	25	25	—
JPMorgan Chase Bank, N.A.	Total return on iBoxx USD Liquid High Yield Index	3 Month LIBOR	USD 5,000	​	12/20/21	Quarterly	—	(30)	—	30
JPMorgan Chase Bank, N.A.	3 Month LIBOR + 0.60%	Total return on JPM Long ERP Sector Index(x)	USD 10,021	​	2/18/22	Quarterly	—	(399)	—	399
JPMorgan Chase Bank, N.A.	Total return on JPM Short ERP Sector Index(y)	3 Month LIBOR -0.25%	USD 7,519	​	2/18/22	Quarterly	—	86	86	—
Macquarie Bank, Ltd.	Fixed Rate of 0.25%	Total return on Macquarie US Equity Overnight Mean Reversion Index(z)	USD 5,994	​	3/9/22	Quarterly	—	10	10	—
Morgan Stanley & Co. International PLC	Federal Funds Rate + 1.07%	Total return on Morgan Stanley US Sector-Neutral Quality Basket Index(aa)	USD 8,702	​	3/31/22	Quarterly	—	(8)	—	8
Morgan Stanley Capital Services LLC	Fixed Rate of 0.20%	Total return on Morgan Stanley DXY Index(ab)	USD 11,682	​	3/2/22	Quarterly	—	332	332	—
Nomura Securities Co., Ltd.	Fixed Rate of 0.15%	Total return on Nomura G10 All Currencies Mean Reversion 25x w/ no Vol Adjustment Index(ac)	USD 9,420	​	7/30/21	Quarterly	—	75	75	—
Societe Generale	Fixed Rate of 0.40%	Total return on Soc Gen STEP Index(ad)	USD 3,281	​	3/14/22	Quarterly	—	8	8	—
Societe Generale	Fixed Rate of 0.40%	Total return on Soc Gen STEP Index(ae)	USD 3,000	​	3/14/22	Quarterly	—	7	7	—
Societe Generale	Federal Funds Rate	Total return on Soc Gen Vol Roll on Rates Index(af)	USD 19,665	​	4/5/22	N/A	—	(365)	—	365
Societe Generale	Fixed Rate of 0.15%	Total return on Soc Gen Delta Capped Mean Reversion Index(ag)	USD 6,620	​	11/9/21	Quarterly	—	205	205	—
Total Total Return Index Swaps	​	​	​	​	​	​	$—	$(873)	$1,426	$2,299

(a)

Security may be an obligation of one or more entities affiliated with the named company.

(b)

Denominated in U.S. dollars unless otherwise noted.

(c)

Fair value as of June 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust”). See Note 2 for information on the Fund’s policy regarding valuation of investments, fair value hierarchy and other significant accounting policies.

See notes to unaudited consolidated financial statements.

26

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(d)

Exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $29,350, which represents approximately 22.3% of net assets as of June 30, 2021.

(e)

Security is non-income producing.

(f)

Security or portion thereof is pledged as collateral supporting the amounts outstanding under the prime brokerage facility with Morgan Stanley & Co. (“MSC”). Securities may be rehypothecated from time to time as permitted under Rule 15c-1(a)(1) promulgated under the Securities Exchange Act of 1934, as amended, subject to terms and conditions governing the prime brokerage facility with MSC. As of June 30, 2021, there were no securities rehypothecated by MSC.

(g)

Rate represents the seven-day yield as of June 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov.

(h)

The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented.

(i)

Basket of three commodity strategies: Cross-Maturity Seasonal Carry, Cross-Sectional Carry/Backwardation, and Spot Price Mean Reversion Value.

Top Underlying Components	Notional		Percentage of Notional
Futures	​	​	​	​	​
WTI CRUDE Oct21	​	2,615	​	21.70%	​
NATURAL GAS Nov21	​	(2,470)	​	-20.50%	​
BRENT CRUDE Nov21	​	2,085	​	17.30%	​
CORN Dec21	​	1,615	​	13.40%	​
WTI CRUDE Dec21	​	1,458	​	12.10%	​
LME COPPER Oct21	​	1,386	​	11.50%	​
BRENT CRUDE Dec21	​	1,169	​	9.70%	​
LME PRI ALUM Oct21	​	1,169	​	9.70%	​
SOYBEAN OIL Jan22	​	1,145	​	9.50%	​
CORN Mar22	​	1,000	​	8.30%	​
Low Su Gasoil G Oct21	​	807	​	6.70%	​
LME ZINC Oct21	​	747	​	6.20%	​
SOYBEAN MEAL Jan22	​	711	​	5.90%	​
GASOLINE RBOB Oct21	​	699	​	5.80%	​
NY Harb ULSD Oct21	​	651	​	5.40%	​
SOYBEAN Nov21	​	651	​	5.40%	​
SOYBEAN OIL Dec21	​	627	​	5.20%	​
LME NICKEL Oct21	​	615	​	5.10%	​
LME COPPER Dec21	​	602	​	5.00%	���
LEAN HOGS Aug21	​	(578)	​	-4.80%	​
GASOLINE RBOB Sep21	​	(530)	​	-4.40%	​
Low Su Gasoil G Sep21	​	530	​	4.40%	​
NY Harb ULSD Sep21	​	530	​	4.40%	​
WTI CRUDE Sep21	​	(530)	​	-4.40%	​

See notes to unaudited consolidated financial statements.

27

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
Low Su Gasoil G Dec21	​	446	​	3.70%
GASOLINE RBOB Dec21	​	410	​	3.40%
CORN Sep21	​	(361)	​	-3.00%
COTTON NO.2 Mar22	​	361	​	3.00%
KC HRW WHEAT Sep21	​	349	​	2.90%
WHEAT (CBT) Sep21	​	349	​	2.90%
NY Harb ULSD Dec21	​	277	​	2.30%
LEAN HOGS Oct21	​	265	​	2.20%
LME PRI ALUM Dec21	​	145	​	1.20%
SUGAR #11 (WORLD) Jul22	​	96	​	0.80%
LEAN HOGS Dec21	​	60	​	0.50%
COTTON NO.2 Dec21	​	48	​	0.40%

(j)

Seeks to monetize SPX upside implied-to-realized volatility by selling and delta hedging the upside wing of the strip.

Top Underlying Components	Notional		Percentage of Notional
Cash	​	​	​	​
US Dollar	​	5,736	​	96.87%
Index	​	​	​	​
SPX Index	​	195	​	3.30%
Options	​	​	​	​
SPX US 07/16/21 C4400 Index	​	(1)	​	-0.01%
SPX US 07/16/21 C4390 Index	​	(1)	​	-0.01%
SPX US 07/16/21 C4410 Index	​	(1)	​	-0.01%
SPX US 07/16/21 C4380 Index	​	(1)	​	-0.01%
SPX US 07/16/21 C4385 Index	​	(1)	​	-0.01%
SPX US 07/16/21 C4370 Index	​	0	​	-0.01%
SPX US 07/16/21 C4375 Index	​	0	​	-0.01%
SPX US 07/16/21 C4420 Index	​	0	​	-0.01%
SPX US 07/16/21 C4395 Index	​	0	​	-0.01%
SPX US 07/16/21 C4340 Index	​	0	​	-0.01%
SPX US 07/16/21 C4360 Index	​	0	​	-0.01%
SPX US 07/16/21 C4430 Index	​	0	​	-0.01%
SPX US 07/16/21 C4440 Index	​	0	​	-0.01%
SPX US 07/16/21 C4425 Index	​	0	​	-0.01%
SPX US 07/16/21 C4405 Index	​	0	​	-0.01%
SPX US 07/16/21 C4350 Index	​	0	​	0.00%
SPX US 07/16/21 C4450 Index	​	0	​	0.00%
SPX US 07/16/21 C4415 Index	​	0	​	0.00%
SPX US 07/16/21 C4460 Index	​	0	​	0.00%
SPX US 07/16/21 C4365 Index	​	0	​	0.00%
SPX US 07/16/21 C4490 Index	​	0	​	0.00%

See notes to unaudited consolidated financial statements.

28

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
SPX US 07/16/21 C4500 Index	​	0	​	0.00%
SPX US 07/16/21 C4470 Index	​	0	​	0.00%
SPX US 07/16/21 C4480 Index	​	0	​	0.00%
SPX US 07/16/21 C4435 Index	​	0	​	0.00%
SPX US 07/16/21 C4510 Index	​	0	​	0.00%
SPX US 07/16/21 C4445 Index	​	0	​	0.00%
SPX US 07/16/21 C4475 Index	​	0	​	0.00%
SPX US 07/16/21 C4455 Index	​	0	​	0.00%
SPX US 07/16/21 C4550 Index	​	0	​	0.00%
SPX US 07/16/21 C4465 Index	​	0	​	0.00%
SPX US 07/16/21 C4520 Index	​	0	​	0.00%
SPX US 07/16/21 C4600 Index	​	0	​	0.00%
SPX US 07/16/21 C4525 Index	​	0	​	0.00%
SPX US 07/16/21 C4700 Index	​	0	​	0.00%
SPX US 07/16/21 C4750 Index	​	0	​	0.00%

(k)

A basket of stocks with the highest short interest based on public short interest filings.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Smith & Wesson Brands Inc	​	(1,493)	​	(52)	​	-0.53%
3D Systems Corp	​	(1,281)	​	(51)	​	-0.53%
Editas Medicine Inc	​	(868)	​	(49)	​	-0.51%
SunPower Corp	​	(1,677)	​	(49)	​	-0.51%
Appian Corp	​	(355)	​	(49)	​	-0.51%
Laredo Petroleum Inc	​	(525)	​	(49)	​	-0.50%
MannKind Corp	​	(8,940)	​	(49)	​	-0.50%
Cardlytics Inc	​	(384)	​	(49)	​	-0.50%
Sunrun Inc	​	(870)	​	(49)	​	-0.50%
Canadian Solar Inc	​	(1,082)	​	(49)	​	-0.50%
Codexis Inc	​	(2,134)	​	(48)	​	-0.50%
Sunnova Energy International Inc	​	(1,279)	​	(48)	​	-0.50%
Bloom Energy Corp	​	(1,791)	​	(48)	​	-0.50%
Everbridge Inc	​	(353)	​	(48)	​	-0.50%
Trupaanion Inc	​	(416)	​	(48)	​	-0.49%
Invitae Corp	​	(1,417)	​	(48)	​	-0.49%
Zillow Group Inc	​	(391)	​	(48)	​	-0.49%
Coupa Software Inc	​	(182)	​	(48)	​	-0.49%
QuantumScape Corp	​	(1,627)	​	(48)	​	-0.49%
PagerDuty Inc	​	(1,117)	​	(48)	​	-0.49%
LivePerson Inc	​	(751)	​	(48)	​	-0.49%
Iovance Biotherapeutics Inc	​	(1,826)	​	(48)	​	-0.49%

See notes to unaudited consolidated financial statements.

29

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Redfin Corp	​	(749)	​	(48)	​	-0.49%
Proto Labs Inc	​	(517)	​	(47)	​	-0.49%
Cargurus Inc	​	(1,805)	​	(47)	​	-0.49%
NRG Energy Inc	​	(1,472)	​	(47)	​	-0.49%
8x8 Inc	​	(1,704)	​	(47)	​	-0.49%
iStar Inc	​	(2,281)	​	(47)	​	-0.49%
Fastly Inc	​	(793)	​	(47)	​	-0.49%
Altair Engineering Inc	​	(685)	​	(47)	​	-0.49%
Bandwidth Inc	​	(343)	​	(47)	​	-0.49%
Square Inc	​	(194)	​	(47)	​	-0.49%
Carvana Co	​	(156)	​	(47)	​	-0.49%
Aerie Pharmaceuticals Inc	​	(2,946)	​	(47)	​	-0.49%
SM Energy Co	​	(1,914)	​	(47)	​	-0.49%
Camping World Holdings Inc	​	(1,149)	​	(47)	​	-0.49%
Danimer Scientific Inc	​	(1,880)	​	(47)	​	-0.49%
Cree Inc	​	(480)	​	(47)	​	-0.49%
DraftKings Inc	​	(901)	​	(47)	​	-0.49%
Callon Petroleum Co	​	(815)	​	(47)	​	-0.49%
Stitch Fix Inc	​	(779)	​	(47)	​	-0.49%
Arcturus Therapeutics Holdings Inc	​	(1,388)	​	(47)	​	-0.48%
Hannon Armstrong Sustainable Infrastructure Capital Inc	​	(836)	​	(47)	​	-0.48%
CarParts.com Inc	​	(2,306)	​	(47)	​	-0.48%
Lithium Americas Corp	​	(3,162)	​	(47)	​	-0.48%
PetMed Express Inc	​	(1,473)	​	(47)	​	-0.48%
Intercept Pharmaceuticals Inc	​	(2,347)	​	(47)	​	-0.48%
The RealReal Inc	​	(2,372)	​	(47)	​	-0.48%
Karyopharm Therapeutics Inc	​	(4,542)	​	(47)	​	-0.48%
Rigel Pharmaceuticals Inc	​	(10,792)	​	(47)	​	-0.48%

(l)

Long exposure in a stock market index of the 2,000 smallest market cap stocks in the Russell 3000 Index, which seeks to be a benchmark of the entire US stock market.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
Russell 2000 Total Return Index	​	9,494	​	100.00%

(m)

Seeks to capture intraday momentum in global equity markets.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
Barclays EB05 strategy	​	23,888	​	100.00%

See notes to unaudited consolidated financial statements.

30

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(n)

Seeks to provide directional exposure that is short the most expensive names in the Russell 3000 as determined by the Wilshire Value model.

Top Underlying Components	Shares		Notional	Percentage of Notional
Common Stock	​	​	​	​	​
Cardlytics Inc	​	(266)	(34)	​	-0.51%
Bandwidth Inc	​	(236)	(33)	​	-0.49%
Anterix Inc	​	(540)	(32)	​	-0.49%
Appian Corp	​	(235)	(32)	​	-0.49%
Magnite Inc	​	(935)	(32)	​	-0.48%
TechTarget Inc	​	(408)	(32)	​	-0.48%
DocuSign Inc	​	(110)	(31)	​	-0.47%
Enphase Energy Inc	​	(160)	(29)	​	-0.45%
Cable One Inc	​	(15)	(29)	​	-0.45%
The Trade Desk Inc	​	(378)	(29)	​	-0.44%
Liberty Broadband Corp	​	(168)	(29)	​	-0.44%
Iridium Communications Inc	​	(730)	(29)	​	-0.44%
Loral Space & Communications Inc	​	(740)	(29)	​	-0.44%
SiTime Corp	​	(224)	(28)	​	-0.43%
Sprout Social Inc	​	(317)	(28)	​	-0.43%
3D Systems Corp	​	(709)	(28)	​	-0.43%
Liberty Media Corp-Liberty Braves	​	(996)	(28)	​	-0.43%
Vonage Holdings Corp	​	(1,946)	(28)	​	-0.43%
The New York Times Co	​	(641)	(28)	​	-0.42%
SunPower Corp	​	(951)	(28)	​	-0.42%
Cloudflare Inc	​	(262)	(28)	​	-0.42%
Sirius XM Holdings Inc	​	(4,230)	(28)	​	-0.42%
nLight Inc	​	(762)	(28)	​	-0.42%
Cogent Communications Holdings	​	(358)	(28)	​	-0.42%
ORBCOMM Inc	​	(2,418)	(27)	​	-0.41%
National CineMedia Inc	​	(5,354)	(27)	​	-0.41%
Marvell Technology Group Ltd	​	(549)	(27)	​	-0.40%
Domo Inc	​	(327)	(26)	​	-0.40%
Ooma Inc	​	(1,398)	(26)	​	-0.40%
GTY Technology Holdings Inc	​	(3,660)	(26)	​	-0.40%
8x8 Inc	​	(928)	(26)	​	-0.39%
Cinemark Holdings Inc	​	(1,170)	(26)	​	-0.39%
Avid Technology Inc	​	(652)	(26)	​	-0.39%
NVIDIA Corp	​	(32)	(25)	​	-0.38%
Unity Software Inc	​	(230)	(25)	​	-0.38%
Liberty TripAdvisor Holdings Inc	​	(6,204)	(25)	​	-0.38%
Zscaler Inc	​	(116)	(25)	​	-0.38%

See notes to unaudited consolidated financial statements.

31

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional	Percentage of Notional
Atomera Inc	​	(1,173)	(25)	​	-0.38%
Advanced Micro Devices Inc	​	(267)	(25)	​	-0.38%
RingCentral Inc	​	(86)	(25)	​	-0.38%
Crowdstrike Holdings Inc	​	(99)	(25)	​	-0.38%
Coupa Software Inc	​	(95)	(25)	​	-0.38%
SolarEdge Technologies Inc	​	(90)	(25)	​	-0.38%
Nutanix Inc	​	(645)	(25)	​	-0.37%
Five9 Inc	​	(134)	(25)	​	-0.37%
Elastic NV	​	(165)	(24)	​	-0.37%
Akoustis Technologies Inc	​	(2,239)	(24)	​	-0.36%
Monolithic Power Systems Inc	​	(64)	(24)	​	-0.36%
Apple Inc	​	(174)	(24)	​	-0.36%
Napco Security Technologies Inc	​	(653)	(24)	​	-0.36%

(o)

Seeks to provide directional exposure that is long undervalued names in the Russell 3000 as determined by the Wilshire Value model.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Entravision Communications Corp	​	10,974	​	73	​	0.58%
AMC Networks Inc	​	899	​	60	​	0.48%
Meredith Corp	​	1,331	​	58	​	0.46%
Liberty Media Corp-Liberty Formula One	​	1,279	​	55	​	0.43%
Gannett Co Inc	​	9,851	​	54	​	0.43%
DHI Group Inc	​	15,798	​	53	​	0.43%
Plantronics Inc	​	1,248	​	52	​	0.41%
World Wrestling Entertainment Inc	​	899	​	52	​	0.41%
Lions Gate Entertainment Corp	​	2,659	​	52	​	0.41%
Rambus Inc	​	2,185	​	52	​	0.41%
Alaska Communications Systems	​	15,324	​	51	​	0.41%
Gray Television Inc	​	2,171	​	51	​	0.40%
Synaptics Inc	​	325	​	51	​	0.40%
First Solar Inc	​	558	​	50	​	0.40%
Sinclair Broadcast Group Inc	​	1,513	​	50	​	0.40%
AT&T Inc	​	1,746	​	50	​	0.40%
TrueCar Inc	​	8,890	​	50	​	0.40%
Cars.com Inc	​	3,497	​	50	​	0.40%
The EW Scripps Co	​	2,452	​	50	​	0.40%
Synchronoss Technologies Inc	​	13,918	​	50	​	0.40%
Liberty Latin America Ltd	​	3,591	​	50	​	0.40%
Ebix Inc	​	1,457	​	49	​	0.39%
Mitek Systems Inc	​	2,534	​	49	​	0.39%

See notes to unaudited consolidated financial statements.

32

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Consolidated Communications Holdings Inc	​	5,534	​	49	​	0.39%
A10 Networks Inc	​	4,272	​	48	​	0.38%
United States Cellular Corp	​	1,320	​	48	​	0.38%
SecureWorks Corp	​	2,552	​	47	​	0.38%
Cirrus Logic Inc	​	548	​	47	​	0.37%
Amkor Technology Inc	​	1,962	​	46	​	0.37%
CenturyLink Inc	​	3,404	​	46	​	0.37%
Cornerstone OnDemand Inc	​	896	​	46	​	0.37%
j2 Global Inc	​	331	​	46	​	0.36%
Diodes Inc	​	567	​	45	​	0.36%
StarTek Inc	​	6,292	​	45	​	0.36%
Telephone & Data Systems Inc	​	1,973	​	45	​	0.36%
McAfee Corp	​	1,572	​	44	​	0.35%
SMART Global Holdings Inc	​	917	​	44	​	0.35%
Micron Technology Inc	​	512	​	44	​	0.35%
Jabil Inc	​	742	​	43	​	0.34%
CommScope Holding Co Inc	​	2,021	​	43	​	0.34%
ChannelAdvisor Corp	​	1,756	​	43	​	0.34%
SolarWinds Corp	​	2,544	​	43	​	0.34%
Teradata Corp	​	860	​	43	​	0.34%
Gaia Inc	​	3,907	​	43	​	0.34%
Progress Software Corp	​	927	​	43	​	0.34%
Benefitfocus Inc	​	3,039	​	43	​	0.34%
Photronics Inc	​	3,241	​	43	​	0.34%
Lumentum Holdings Inc	​	521	​	43	​	0.34%
Cohu Inc	​	1,161	​	43	​	0.34%
Bottomline Technologies DE Inc	​	1,152	​	43	​	0.34%

(p)

Seeks to provide directional exposure that is long the MSCI Emerging Markets Net Total Return USD Index.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
MSCI Emerging Net Total Return USD Index	​	10,079	​	100.00%

(q)

Defensive S&P 500 vs. Top 50 dispersion strategy, combining a short position in index volatility with a long position in single stocks volatility.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPY US 08/20/2021 P350 Equity	​	(894)	​	-14.24%
SPY US 08/20/2021 P355 Equity	​	(881)	​	-14.04%
SPY US 08/20/2021 P360 Equity	​	(869)	​	-13.85%
SPY US 08/20/2021 P365 Equity	​	(686)	​	-10.93%

See notes to unaudited consolidated financial statements.

33

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
AAPL US 07/16/2021 P110 Equity	​	342	​	5.45%
SPY US 08/20/2021 P368 Equity	​	(340)	​	-5.42%
AAPL US 07/16/2021 P115 Equity	​	327	​	5.22%
AAPL US 07/16/2021 P120 Equity	​	314	​	5.00%
AAPL US 07/16/2021 C130 Equity	​	290	​	4.61%
AAPL US 08/20/2021 P115 Equity	​	288	​	4.59%
AAPL US 07/16/2021 C135 Equity	​	279	​	4.44%
AAPL US 08/20/2021 P120 Equity	​	276	​	4.40%
AAPL US 07/16/2021 C140 Equity	​	269	​	4.28%
AAPL US 08/20/2021 P125 Equity	​	265	​	4.23%
AAPL US 08/20/2021 C135 Equity	​	246	​	3.91%
AAPL US 08/20/2021 C140 Equity	​	237	​	3.77%
AAPL US 08/20/2021 C145 Equity	​	229	​	3.64%
AAPL US 08/20/2021 C150 Equity	​	221	​	3.52%
SPY US 07/16/2021 P345 Equity	​	(213)	​	-3.40%
SPY US 07/16/2021 P346 Equity	​	(213)	​	-3.39%
SPY US 07/16/2021 P347 Equity	​	(212)	​	-3.38%
SPY US 07/16/2021 P348 Equity	​	(211)	​	-3.37%
SPY US 07/16/2021 P349 Equity	​	(211)	​	-3.36%
SPY US 07/16/2021 P350 Equity	​	(210)	​	-3.35%
SPY US 07/16/2021 P351 Equity	​	(210)	​	-3.34%
SPY US 07/16/2021 P352 Equity	​	(209)	​	-3.33%
SPY US 07/16/2021 P353 Equity	​	(208)	​	-3.32%
SPY US 07/16/2021 P354 Equity	​	(208)	​	-3.31%
SPY US 07/16/2021 P355 Equity	​	(207)	​	-3.30%
SPY US 07/16/2021 P356 Equity	​	(207)	​	-3.29%
SPY US 07/16/2021 P357 Equity	​	(206)	​	-3.28%
SPY US 07/16/2021 P358 Equity	​	(206)	​	-3.28%
SPY US 07/16/2021 P359 Equity	​	(205)	​	-3.27%
SPY US 07/16/2021 P360 Equity	​	(204)	​	-3.26%
SPY US 07/16/2021 P361 Equity	​	(204)	​	-3.25%
SPY US 07/16/2021 P362 Equity	​	(203)	​	-3.24%
SPY US 07/16/2021 P363 Equity	​	(203)	​	-3.23%
SPY US 07/16/2021 P364 Equity	​	(202)	​	-3.22%
SPY US 07/16/2021 P365 Equity	​	(202)	​	-3.21%
SPY US 07/16/2021 P366 Equity	​	(201)	​	-3.20%
SPY US 07/16/2021 P367 Equity	​	(201)	​	-3.20%
SPY US 07/16/2021 P368 Equity	​	(200)	​	-3.19%
SPY US 07/16/2021 P369 Equity	​	(199)	​	-3.18%
SPY US 07/16/2021 P370 Equity	​	(199)	​	-3.17%

See notes to unaudited consolidated financial statements.

34

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
SPY US 07/16/2021 P371 Equity	​	(198)	​	-3.16%
SPY US 07/16/2021 P372 Equity	​	(198)	​	-3.15%
SPY US 07/16/2021 P373 Equity	​	(197)	​	-3.14%
SPY US 07/16/2021 P374 Equity	​	(197)	​	-3.14%
SPY US 07/16/2021 P375 Equity	​	(196)	​	-3.13%
SPY US 07/16/2021 P376 Equity	​	(196)	​	-3.12%

(r)

Seeks to capture the risk premium associated with selling equity puts while buying equity calls. Delta and gamma hedges daily to reduce market and volatility premium exposures.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPX European Call Option	​	25,660	​	269.27%
SPX EQ Forward	​	(23,386)	​	-245.41%
Cash	​	​	​	​
US Dollar	​	(291)	​	-3.05%

(s)

Attempts to generate income by selling dislocated single stock calls while offsetting the market risk with a long S&P call.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPX European Call Option	​	19,348	​	250.10%
ADBE American Call Option	​	(922)	​	-11.92%
AAPL American Call Option	​	(783)	​	-10.12%
PEP American Call Option	​	(781)	​	-10.09%
UPS American Call Option	​	(573)	​	-7.40%
USB American Call Option	​	(514)	​	-6.65%
FDX American Call Option	​	(492)	​	-6.37%
NKE American Call Option	​	(480)	​	-6.21%
MS American Call Option	​	(473)	​	-6.12%
AMZN American Call Option	​	(443)	​	-5.72%
MU American Call Option	​	(440)	​	-5.69%
GOOGL American Call Option	​	(402)	​	-5.19%
ORCL American Call Option	​	(366)	​	-4.73%
XOM American Call Option	​	(362)	​	-4.68%
MSFT American Call Option	​	(361)	​	-4.66%
WFC American Call Option	​	(351)	​	-4.54%
LLY American Call Option	​	(333)	​	-4.30%
NVDA American Call Option	​	(326)	​	-4.21%
NEE American Call Option	​	(317)	​	-4.10%
CHTR American Call Option	​	(317)	​	-4.09%
ACN American Call Option	​	(311)	​	-4.02%
COP American Call Option	​	(310)	​	-4.01%

See notes to unaudited consolidated financial statements.

35

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
GOOG American Call Option	​	(307)	​	-3.97%
CCI American Call Option	​	(288)	​	-3.72%
TMO American Call Option	​	(280)	​	-3.61%
TJX American Call Option	​	(272)	​	-3.51%
AMAT American Call Option	​	(270)	​	-3.49%
PYPL American Call Option	​	(256)	​	-3.31%
CAT American Call Option	​	(254)	​	-3.28%
SCHW American Call Option	​	(253)	​	-3.27%
UNH American Call Option	​	(249)	​	-3.22%
DE American Call Option	​	(247)	​	-3.20%
FB American Call Option	​	(228)	​	-2.95%
ABT American Call Option	​	(221)	​	-2.85%
NOW American Call Option	​	(218)	​	-2.82%
DIS American Call Option	​	(211)	​	-2.73%
GM American Call Option	​	(204)	​	-2.63%
PFE American Call Option	​	(195)	​	-2.53%
BA American Call Option	​	(190)	​	-2.45%
MA American Call Option	​	(187)	​	-2.42%
MCD American Call Option	​	(185)	​	-2.39%
BKNG American Call Option	​	(178)	​	-2.30%
HD American Call Option	​	(176)	​	-2.28%
FIS American Call Option	​	(176)	​	-2.28%
LRCX American Call Option	​	(175)	​	-2.26%
CSCO American Call Option	​	(165)	​	-2.13%
TGT American Call Option	​	(161)	​	-2.08%
PNC American Call Option	​	(160)	​	-2.06%
VZ American Call Option	​	(157)	​	-2.02%
Cash	​	​	​	​
US Dollar	​	407	​	5.26%

(t)

Aims to take advantage of the convergence in the performance of bonds with higher vs. lower real yields across G8 government bonds.

Top Underlying Components	Notional		Percentage of Notional
Futures	​	​	​	​
Euro-BUND Sep21	​	(14,064)	​	-75.69%
LONG GILT Sep21	​	(10,518)	​	-56.61%
US 10YR NOTE (CBT) Sep21	​	(4,791)	​	-25.78%
AUST 10Y BOND Sep21	​	4,481	​	24.12%
Euro-BTP Sep21	​	1,447	​	7.79%
CAN 10YR BOND Sep21	​	1,303	​	7.01%
JPN 10Y BOND (OSE) Sep21	​	155	​	0.84%
Euro-OAT Sep21	​	0	​	0.00%

See notes to unaudited consolidated financial statements.

36

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(u)

Aims to capture the spread of realized correlation between US equity and US equity volatility.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
iPath Series B S&P 500 VIX Short-Term Futures ETN	​	83	​	1.18%
S&P 500 Index	​	80	​	1.14%

(v)

Seeks to monetize the tendency for the equity market to mean revert over short periods of time.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
JPM US Conviction Mean Reversion Index	​	(6,305)	​	-97.10%

(w)

Market neutral strategy that seeks to provide exposure to low volatility risk premium.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
The Trade Desk Inc	​	(700)	​	(54)	​	-0.66%
Etsy Inc	​	(247)	​	(51)	​	-0.62%
Enphase Energy Inc	​	(272)	​	(50)	​	-0.61%
Moderna Inc	​	(209)	​	(49)	​	-0.60%
NIKE Inc	​	317	​	49	​	0.59%
Peloton Interactive Inc	​	(393)	​	(49)	​	-0.59%
Twilio Inc	​	(124)	​	(49)	​	-0.59%
Splunk Inc	​	(335)	​	(48)	​	-0.59%
Twitter Inc	​	(689)	​	(47)	​	-0.58%
Unity Software Inc	​	(427)	​	(47)	​	-0.57%
Pinterest Inc	​	(593)	​	(47)	​	-0.57%
Coupa Software Inc	​	(178)	​	(47)	​	-0.57%
Chipotle Mexican Grill Inc	​	30	​	46	​	0.56%
Clarivate PLC	​	(1,677)	​	(46)	​	-0.56%
SolarEdge Technologies Inc	​	(167)	​	(46)	​	-0.56%
DocuSign Inc	​	(163)	​	(46)	​	-0.55%
Danaher Corp	​	169	​	45	​	0.55%
Teladoc Health Inc	​	(272)	​	(45)	​	-0.55%
Liberty Broadband Corp	​	260	​	45	​	0.55%
NRG Energy Inc	​	(1,403)	​	(45)	​	-0.55%
Afterpay Ltd	​	(507)	​	(45)	​	-0.55%
ViacomCBS Inc	​	(988)	​	(45)	​	-0.54%
Carvana Co	​	(148)	​	(45)	​	-0.54%
RingCentral Inc	​	(153)	​	(45)	​	-0.54%
Vertex Pharmaceuticals Inc	​	(220)	​	(44)	​	-0.54%
AutoZone Inc	​	30	​	44	​	0.54%
Crowdstrike Holdings Inc	​	(176)	​	(44)	​	-0.54%
Netflix Inc	​	(84)	​	(44)	​	-0.54%

See notes to unaudited consolidated financial statements.

37

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Mercari Inc	​	(834)	​	(44)	​	-0.54%
Liberty Media Corp-Liberty Formula One	​	919	​	44	​	0.54%
Zoom Video Communications Inc	​	(114)	​	(44)	​	-0.54%
DraftKings Inc	​	(847)	​	(44)	​	-0.54%
Autodesk Inc	​	151	​	44	​	0.53%
Xinyi Glass Holdings Ltd	​	(10,798)	​	(44)	​	-0.53%
IDEXX Laboratories Inc	​	70	​	44	​	0.53%
Palantir Technologies Inc	​	(1,666)	​	(44)	​	-0.53%
Lyft Inc	​	(725)	​	(44)	​	-0.53%
Datadog Inc	​	(420)	​	(44)	​	-0.53%
Cognex Corp	​	520	​	44	​	0.53%
Athene Holding Ltd	​	(647)	​	(44)	​	-0.53%
Synopsys Inc	​	158	​	44	​	0.53%
The Home Depot Inc	​	137	​	44	​	0.53%
BioMerieux	​	(374)	​	(43)	​	-0.53%
Black Knight Inc	​	556	​	43	​	0.53%
PTC Inc	​	323	​	43	​	0.53%
Charles River Laboratories International Inc	​	117	​	43	​	0.53%
Trimble Inc	​	528	​	43	​	0.52%
Target Corp	​	179	​	43	​	0.52%
Zebra Technologies Corp	​	82	​	43	​	0.52%
Merck KGaA	​	225	​	43	​	0.52%

(x)

Uses factor-based stock selection to provide long exposure to the equity of natural resource, real estate, equipment and industrial, and infrastructure companies.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Antero Resources Corp	​	16,509	​	248	​	2.58%
Edison International	​	3,992	​	231	​	2.40%
Eaton Corp PLC	​	1,551	​	230	​	2.39%
ONEOK Inc	​	4,131	​	230	​	2.39%
Fastenal Co	​	4,309	​	224	​	2.33%
Emerson Electric Co	​	2,318	​	223	​	2.32%
3M Co	​	1,118	​	222	​	2.31%
General Dynamics Corp	​	1,180	​	222	​	2.31%
Lockheed Martin Corp	​	587	​	222	​	2.31%
OGE Energy Corp	​	6,573	​	221	​	2.30%
Omega Healthcare Investors Inc	​	6,069	​	220	​	2.29%
International Paper Co	​	3,576	​	219	​	2.28%
WP Carey Inc	​	2,906	​	219	​	2.28%
PACCAR Inc	​	2,446	​	218	​	2.27%

See notes to unaudited consolidated financial statements.

38

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
PPL Corp	​	7,805	​	218	​	2.27%
SL Green Realty Corp	​	2,729	​	218	​	2.27%
Amcor PLC	​	18,798	​	215	​	2.24%
Cummins Inc	​	884	​	215	​	2.24%
CH Robinson Worldwide Inc	​	2,290	​	214	​	2.23%
Packaging Corp of America	​	1,584	​	214	​	2.23%
The Williams Cos Inc	​	8,078	​	214	​	2.23%
Dow Inc	​	3,298	​	209	​	2.17%
LyondellBasell Industries NV	​	2,019	​	208	​	2.16%
Iron Mountain Inc	​	4,818	​	204	​	2.12%
Huntington Ingalls Industries Inc	​	940	​	198	​	2.06%
Antero Midstream GP LP	​	17,309	​	180	​	1.87%
FuelCell Energy Inc	​	20,099	​	179	​	1.86%
Kinder Morgan Inc	​	9,549	​	174	​	1.81%
The Macerich Co	​	9,169	​	167	​	1.74%
Tanger Factory Outlet Centers Inc	​	8,520	​	161	​	1.67%
Medical Properties Trust Inc	​	7,751	​	156	​	1.62%
MGM Growth Properties LLC	​	4,254	​	156	​	1.62%
ManpowerGroup Inc	​	1,270	​	151	​	1.57%
The Chemours Co	​	4,256	​	148	​	1.54%
South Jersey Industries Inc	​	5,675	​	147	​	1.53%
Clean Energy Fuels Corp	​	13,739	​	139	​	1.45%
Equitrans Midstream Corp	​	16,387	​	139	​	1.45%
Hubbell Inc	​	721	​	135	​	1.40%
Sabra Health Care REIT Inc	​	7,398	​	135	​	1.40%
Gaming and Leisure Properties	​	2,802	​	130	​	1.35%
EnLink Midstream LLC	​	19,867	​	127	​	1.32%
Physicians Realty Trust	​	6,821	​	126	​	1.31%
United Technologies Corp	​	1,477	​	126	​	1.31%
MSC Industrial Direct Co Inc	​	1,265	​	113	​	1.18%
Olin Corp	​	2,370	​	110	​	1.14%
Plains GP Holdings LP	​	8,780	​	105	​	1.09%
Spirit Realty Capital Inc	​	2,091	​	100	​	1.04%
National Health Investors Inc	​	1,363	​	91	​	0.95%
Atlas Air Worldwide Holdings Inc	​	1,327	​	90	​	0.94%
Brandywine Realty Trust	​	5,822	​	80	​	0.83%

See notes to unaudited consolidated financial statements.

39

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(y)

Uses factor-based stock selection to provide short exposure to the equity of natural resource, real estate, equipment and industrial, and infrastructure companies.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Sunrun Inc	​	(3,557)	​	(198)	​	-2.67%
Occidental Petroleum Corp	​	(5,442)	​	(170)	​	-2.29%
Lyft Inc	​	(2,777)	​	(168)	​	-2.26%
Transocean Ltd	​	(36,988)	​	(167)	​	-2.25%
Continental Resources Inc	​	(4,338)	​	(165)	​	-2.22%
Trex Co Inc	​	(1,578)	​	(161)	​	-2.17%
Roper Technologies Inc	​	(341)	​	(160)	​	-2.16%
TransUnion	​	(1,462)	​	(160)	​	-2.16%
American Tower Corp	​	(578)	​	(156)	​	-2.10%
NextEra Energy Inc	​	(2,129)	​	(156)	​	-2.10%
SBA Communications Corp	​	(487)	​	(155)	​	-2.09%
American Homes 4 Rent	​	(3,978)	​	(155)	​	-2.08%
EQT Corp	​	(6,876)	​	(153)	​	-2.06%
Textron Inc	​	(2,226)	​	(153)	​	-2.06%
Equinix Inc	​	(190)	​	(152)	​	-2.05%
PG&E Corp	​	(14,978)	​	(152)	​	-2.05%
Berry Global Group Inc	​	(2,324)	​	(152)	​	-2.04%
Cheniere Energy Inc	​	(1,748)	​	(152)	​	-2.04%
The Sherwin-Williams Co	​	(556)	​	(152)	​	-2.04%
American Water Works Co Inc	​	(979)	​	(151)	​	-2.03%
General Electric Co	​	(11,206)	​	(151)	​	-2.03%
TransDigm Group Inc	​	(232)	​	(150)	​	-2.02%
XPO Logistics Inc	​	(1,073)	​	(150)	​	-2.02%
Ecolab Inc	​	(725)	​	(149)	​	-2.01%
Prologis Inc	​	(1,250)	​	(149)	​	-2.01%
Axalta Coating Systems Ltd	​	(4,874)	​	(149)	​	-2.00%
Host Hotels & Resorts Inc	​	(8,652)	​	(148)	​	-1.99%
Delta Air Lines Inc	​	(3,315)	​	(143)	​	-1.93%
Jones Lang LaSalle Inc	​	(734)	​	(143)	​	-1.93%
Alaska Air Group Inc	​	(2,353)	​	(142)	​	-1.91%
Spirit AeroSystems Holdings Inc	​	(3,007)	​	(142)	​	-1.91%
Halliburton Co	​	(6,042)	​	(140)	​	-1.88%
JetBlue Airways Corp	​	(8,192)	​	(137)	​	-1.85%
National Oilwell Varco Inc	​	(8,973)	​	(137)	​	-1.85%
American Airlines Group Inc	​	(6,446)	​	(137)	​	-1.84%
United States Steel Corp	​	(5,635)	​	(135)	​	-1.82%
HEICO Corp	​	(926)	​	(130)	​	-1.75%

See notes to unaudited consolidated financial statements.

40

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Evoqua Water Technologies Corp	​	(3,629)	​	(123)	​	-1.65%
Sensata Technologies Holding PLC	​	(2,064)	​	(120)	​	-1.61%
The AZEK Co Inc	​	(2,800)	​	(119)	​	-1.60%
PBF Energy Inc	​	(7,722)	​	(118)	​	-1.59%
Park Hotels & Resorts Inc	​	(5,552)	​	(114)	​	-1.54%
Eagle Materials Inc	​	(800)	​	(114)	​	-1.53%
Old Dominion Freight Line Inc	​	(422)	​	(107)	​	-1.44%
CACI International Inc	​	(411)	​	(105)	​	-1.41%
Sun Communities Inc	​	(611)	​	(105)	​	-1.41%
Summit Materials Inc	​	(2,942)	​	(103)	​	-1.38%
Hexcel Corp	​	(1,584)	​	(99)	​	-1.33%
Colfax Corp	​	(1,930)	​	(88)	​	-1.19%
Schlumberger Ltd	​	(2,716)	​	(87)	​	-1.17%

(z)

Seeks to monetize the tendency for the equity market to mean revert over short periods of time.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
US Equity Overnight Mean Reversion Index	​	6,004	​	100.00%

(aa)

Market neutral strategy that seeks to provide exposure to quality risk premium.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
AMC Entertainment Holdings Inc	​	(6,681)	​	(379)	​	-4.35%
MicroStrategy Inc	​	(152)	​	(101)	​	-1.16%
DocuSign Inc	​	(355)	​	(99)	​	-1.14%
3D Systems Corp	​	(2,434)	​	(97)	​	-1.12%
Cloudflare Inc	​	(873)	​	(92)	​	-1.06%
NVIDIA Corp	​	115	​	92	​	1.06%
SunPower Corp	​	(3,062)	​	(89)	​	-1.03%
Advanced Micro Devices Inc	​	934	​	88	​	1.01%
Zoom Video Communications Inc	​	226	​	87	​	1.00%
Adobe Inc	​	148	​	87	​	1.00%
Nutanix Inc	​	(2,226)	​	(85)	​	-0.98%
Skyworks Solutions Inc	​	439	​	84	​	0.97%
PayPal Holdings Inc	​	288	​	84	​	0.96%
Intuit Inc	​	170	​	83	​	0.96%
Apple Inc	​	600	​	82	​	0.94%
Microsoft Corp	​	299	​	81	​	0.93%
Roku Inc	​	173	​	79	​	0.91%
Accenture PLC	​	265	​	78	​	0.90%
salesforce.com Inc	​	314	​	77	​	0.88%
Automatic Data Processing Inc	​	381	​	76	​	0.87%

See notes to unaudited consolidated financial statements.

41

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Cisco Systems Inc	​	1,413	​	75	​	0.86%
Autodesk Inc	​	255	​	74	​	0.85%
Anaplan Inc	​	(1,390)	​	(74)	​	-0.85%
Oracle Corp	​	949	​	74	​	0.85%
DXC Technology Co	​	(1,888)	​	(74)	​	-0.84%
Intel Corp	​	1309	​	73	​	0.84%
Pure Storage Inc	​	(3,761)	​	(73)	​	-0.84%
Cognizant Technology Solutions	​	1045	​	72	​	0.83%
Cree Inc	​	(716)	​	(70)	​	-0.81%
Pinterest Inc	​	(880)	​	(69)	​	-0.80%
Smartsheet Inc	​	(959)	​	(69)	​	-0.80%
ON Semiconductor Corp	​	(1,788)	​	(68)	​	-0.79%
Twitter Inc	​	(991)	​	(68)	​	-0.78%
Synopsys Inc	​	247	​	68	​	0.78%
Western Digital Corp	​	(952)	​	(68)	​	-0.78%
Teradata Corp	​	(1,316)	​	(66)	​	-0.76%
FireEye Inc	​	(3,201)	​	(65)	​	-0.74%
Match Group Inc	​	(401)	​	(65)	​	-0.74%
Sabre Corp	​	(5,170)	​	(65)	​	-0.74%
ViacomCBS Inc	​	1415	​	64	​	0.73%
WEX Inc	​	(328)	​	(64)	​	-0.73%
Facebook Inc	​	183	​	63	​	0.73%
Netflix Inc	​	119	​	63	​	0.72%
Charter Communications Inc	​	86	​	62	​	0.72%
Alphabet Inc	​	25	​	62	​	0.71%
Alliance Data Systems Corp	​	(591)	​	(62)	​	-0.71%
T-Mobile US Inc	​	424	​	61	​	0.71%
Comcast Corp	​	1,047	​	60	​	0.69%
Verizon Communications Inc	​	1,062	​	60	​	0.68%
Activision Blizzard Inc	​	611	​	58	​	0.67%

(ab)

Provides exposure to the US Dollar Index.

Top Underlying Components	Notional		Percentage of Notional
Foreign Currencies	​	​	​	​
Euro	​	(6,921)	​	-57.60%
Japanese Yen/US Dollar	​	(1,634)	​	-13.60%
British Pound Sterling	​	(1,430)	​	-11.90%
Canadian Dollar/US Dollar	​	(1,093)	​	-9.10%
Swedish Krona/US Dollar	​	(505)	​	-4.20%
Swiss Franc/US Dollar	​	(433)	​	-3.60%

See notes to unaudited consolidated financial statements.

42

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(ac)

Currency selection strategy using mean reversion signals.

Top Underlying Components	Notional		Percentage of Notional
Foreign Currencies	​	​	​	​
Norwegian Krone	​	686	​	7.22%
Japanese Yen	​	(681)	​	-7.17%
Swiss Franc	​	434	​	4.57%
Australian Dollar	​	431	​	4.53%
Swedish Krona	​	394	​	4.15%
New Zealand Dollar	​	376	​	3.96%
Euro	​	273	​	2.88%
Canadian Dollar	​	(110)	​	-1.16%
British Pound Sterling	​	35	​	0.37%

(ad)

Systematic strategy seeks to monetize the implied-to-realized volatility risk premium by selling short-dated OTM puts.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPXW US 07/02/21 P4140 Index	​	619	​	18.82%
SPXW US 07/02/21 P4075 Index	​	310	​	9.43%
SPXW US 07/06/21 P4105 Index	​	310	​	9.41%
SPXW US 07/02/21 P4025 Index	​	208	​	6.31%
SPXW US 07/06/21 P4050 Index	​	207	​	6.29%
SPXW US 07/07/21 P4080 Index	​	206	​	6.27%

(ae)

Systematic strategy seeks to monetize the implied-to-realized volatility risk premium by selling short-dated OTM puts.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPXW US 07/02/21 P4140 Index	​	566	​	18.82%
SPXW US 07/02/21 P4075 Index	​	284	​	9.43%
SPXW US 07/06/21 P4105 Index	​	283	​	9.41%
SPXW US 07/02/21 P4025 Index	​	190	​	6.31%
SPXW US 07/06/21 P4050 Index	​	189	​	6.29%
SPXW US 07/07/21 P4080 Index	​	189	​	6.27%

(af)

Systematic strategy that takes advantage of the volatility curve to generate positive carry.

Top Underlying Components	Notional		Percentage of Notional
Derivatives	​	​	​	​
1y Forward 3y7y Straddle	​	10,765	​	55.77%
1y Forward 5y20y Straddle	​	5,197	​	26.92%
1y Forward 1y7y Straddle	​	1,856	​	9.62%
1y Forward 10y20y Straddle	​	1,485	​	7.69%

See notes to unaudited consolidated financial statements.

43

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(ag)

Seeks to monetize the tendency for the equity market to mean revert over short periods of time.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
S&P 500 Index	​	(4,773)	​	-69.93%

AUD – Australian Dollar

BofA – Bank of America

CAD – Canadian Dollar

CHF – Swiss Franc

CLP – Chilean Peso

CNH – Chinese Yuan

ETF – Exchange Traded Fund

EUR – Euro

GBP – British Pound

GSCI – Goldman Sachs Commodity Index

HUF – Hungarian Forint

ILS – Israeli New Shekel

INR – India Rupee

JPY – Japanese Yen

KRW – Korean Won

LIBOR – London Interbank Offered Rate

L/S – Long/Short

MSCI – Morgan Stanley Capital International

MXN – Mexican Peso

NOK – Norwegian Krone

NZD – New Zealand Dollar

PLN – Polish Zloty

RBOB – Reformulated Blendstock for Oxygenate Blending

RUB – Russian Ruble

SEK – Swedish Krona

SGD – Singapore Dollar

Soc Gen – Societe Generale

TRY – Turkish Lira

TWD – Taiwan Dollar

ULSD – Ultra-Low Sulfur Diesel

USD – U.S. Dollar

Vol – Volatility

ZAR – South African Rand

See notes to unaudited consolidated financial statements.

44

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments
As of June 30, 2021
(in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Yield	Number of Shares		Cost			Fair Value(c)
Short-Term Investments – 95.6%	​	​	​	​	​	​	​	​	​	​
State Street Institutional Liquid Reserves Fund – Premier Class	(c)	0.05%	​	2,083,993	​	$	2,085	​	$	2,085
Total Short-Term Investments	​	​	​	​	​	​	2,085	​	​	2,085
TOTAL INVESTMENTS – 95.6%	​	​	​	​	​	$	2,085	​	​	2,085
Other Assets in Excess of Liabilities – 4.4%	​	​	​	​	​	​	​	​	​	95
Net Assets – 100.0%	​	​	​	​	​	​	​	​	$	2,180

Total Return Index Swaps(d) – 3.6%

Counterparty	Fund Pays	Fund Receives	Notional Amount	Expiration Date		Periodic Payment Frequency	Premium Paid (Received)	Fair Value(b)	Unrealized Appreciation	Unrealized Depreciation
Bank of America, N.A.	3 Month LIBOR + 0.55%	Total return on iShares S&P GSCI Commodity-Indexed Trust	USD 319	​	3/18/22	N/A	$—	$46	$46	$—
Barclays Bank PLC	0.00%	Total return on Barclays EB05 Desk Strategy (Asia/SPX IDMO basket) Index(e)	USD 780	​	7/8/22	N/A	—	—	—	—
BNP Paribas	Fixed Rate of 0.10%	Total return on BNP Paribas Artificial Intelligence Trend ex-Como USD 2021 Index(f)	USD 530	​	5/6/22	N/A	—	4	4	—
Deutsche Bank AG	0.00%	Total return on Deutsche Bank Diversified Rates Strategy Index 008(g)	USD 444	​	7/7/22	Quarterly	—	1	1	—
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Cross Asset Trend Basket Series 11 Excess Return Strategy Index(h)	USD 1,110	​	2/4/22	N/A	—	(2)	—	2
JP Morgan Chase Bank, N.A.	Fixed Rate of 0.20%	Total return JPM Bi-Weekly 1 Month Variance US Conviction Mean Reversion Index(i)	USD 448	​	2/4/22	N/A	—	18	18	—
JP Morgan Chase Bank, N.A.	0.00%	Total return on JP Morgan Equity Risk Premium — Global Pure Low Vol L/S USD Index(j)	USD 286	​	7/28/22	N/A	—	1	1	—
JP Morgan Chase Bank, N.A.	Fixed Rate of 0.25%	Total return on JP Morgan Correlation Spread Index(k)	USD 222	​	7/28/22	N/A	—	—	—	—
JP Morgan Chase Bank, N.A.	0.00%	Total return on JPM FX Momentum Index(l)	USD 264	​	2/4/22	N/A	—	7	7	—

See notes to unaudited consolidated financial statements.

45

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Counterparty	Fund Pays	Fund Receives	Notional Amount	Expiration Date		Periodic Payment Frequency	Premium Paid (Received)	Fair Value(b)	Unrealized Appreciation	Unrealized Depreciation
Macquarie Bank, Ltd.	Fixed Rate of 0.25%	Total return on Macquarie US Equity Overnight Mean Reversion Index(m)	USD 200	​	3/9/22	Quarterly	$—	$—	$—	$—
Nomura Securities Co., Ltd.	Fixed Rate of 0.15%	Total return on Nomura G10 All Currencies Mean Reversion 25x w/ no Vol Adjustment Index(n)	USD 300	​	2/4/22	N/A	—	4	4	—
Total Total Return Index Swaps	​	​	​	​	​	​	$—	$79	$81	$ 2

(a)

Security may be an obligation of one or more entities affiliated with the named company.

(b)

Fair value as of June 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust”). See Note 2 for information on the Fund’s policy regarding valuation of investments, fair value hierarchy and other significant accounting policies.

(c)

Rate represents the seven-day yield as of June 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov.

(d)

The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented.

(e)

Seeks to capture intraday momentum in global equity markets.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
Barclays EB05 strategy	​	780	​	100.00%

(f)

Futures-based liquid strategy that is composed of BNP proprietary trend strategies across Equity and Fixed Income markets.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
BNP Paribas EUR 10Y Futures Index	​	534	​	100.00%

(g)

Seeks to monetize short-term interest rate momentum by taking long or short positions in US and European rates markets.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
Deutsche Bank Duration Bias US	​	101	​	22.67%
Deutsche Bank Duration Bias EU	​	(25)	​	-5.66%

(h)

Future and forward based liquid and fully transparent strategy that is composed of Goldman Sachs’ proprietary strategies across three asset classes — FX Trend, Rates & Bonds Trend, and Equity Trend.

Top Underlying Components	Notional		Percentage of Notional
Futures	​	​	​	​
Euro-SCHATZ Sep21	​	(2,160)	​	-194.64%
90DAY Euro$ Mar22	​	1,668	​	150.33%

See notes to unaudited consolidated financial statements.

46

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
90DAY Euro$ Dec21	​	1,668	​	150.31%
3MO Euro EURIBOR Dec22	​	(1,633)	​	-147.21%
90DAY STERLING FU Dec21	​	(1,632)	​	-147.08%
90DAY STERLING FU Mar22	​	(1,630)	​	-146.91%
90DAY STERLING FU Sep22	​	(1,629)	​	-146.78%
90DAY STERLING FU Dec22	​	(1,628)	​	-146.70%
3MO Euro EURIBOR Sep22	​	(1,339)	​	-120.64%
3MO Euro EURIBOR Dec21	​	1,044	​	94.06%
3MO Euro EURIBOR Mar22	​	(1,044)	​	-94.05%
Euro-BOBL Sep21	​	(778)	​	-70.11%
US 5YR NOTE (CBT) Sep21	​	(559)	​	-50.40%
90DAY Euro$ Sep22	​	462	​	41.62%
US 10YR NOTE (CBT)Sep21	​	(439)	​	-39.57%
LONG GILT Sep21	​	(428)	​	-38.60%
Euro-BUND Sep21	​	(428)	​	-38.58%
JPN 10Y BOND(OSE) Sep21	​	355	​	31.98%
90DAY Euro$ Dec22	​	301	​	27.11%
US LONG BOND (CBT) Sep21	​	(279)	​	-25.13%
US 2YR NOTE (CBT) Sep21	​	200	​	18.01%
S&P/TSX 60 IX Sep21	​	55	​	4.94%
SWISS MKT IX Sep21	​	54	​	4.91%
SPI 200 Jul21	​	53	​	4.74%
CAC40 10 Euro Jul21	​	49	​	4.39%
S&P500 EMINI Sep21	​	47	​	4.22%
FTSE/MIB IDX Sep21	​	47	​	4.20%
KOSPI2 INX Sep21	​	44	​	4.01%
FTSE 100 IDX Sep21	​	44	​	4.00%
Euro STOXX 50 Sep21	​	42	​	3.78%
DAX INDEX Sep21	​	41	​	3.70%
AMSTERDAM IDX Jul21	​	41	​	3.69%
IBEX 35 INDX Jul21	​	38	​	3.47%
SET50 Sep21	​	37	​	3.29%
Forwards	​	​	​	​
Philippines Peso	​	164	​	14.74%
China Offshore Spot	​	143	​	12.90%
Indonesian Rupiah	​	102	​	9.21%
Israeli Shekel	​	90	​	8.07%
Indian Rupee	​	85	​	7.68%
Canadian Dollar	​	77	​	6.90%
Czech Koruna	​	64	​	5.76%

See notes to unaudited consolidated financial statements.

47

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
Mexican Peso	​	55	​	5.00%
Hungarian Forint	​	51	​	4.61%
Russian Ruble	​	47	​	4.23%
South African Rand	​	47	​	4.23%
Singapore Dollar	​	44	​	3.99%
Swedish Krona	​	42	​	3.79%
Brazilian Real	​	38	​	3.46%
Norwegian Krone	​	38	​	3.45%
South Korean Won	​	37	​	3.38%

(i)

Seeks to monetize the tendency for the equity market to mean revert over short periods of time.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
JPM US Conviction Mean Reversion Index	​	(453)	​	-97.10%

(j)

Market neutral strategy that seeks to provide exposure to Low Volatility risk premium.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
The Trade Desk Inc	​	(24)	​	(2)	​	-0.66%
Etsy Inc	​	(9)	​	(2)	​	-0.62%
Enphase Energy Inc	​	(9)	​	(2)	​	-0.61%
Moderna Inc	​	(7)	​	(2)	​	-0.60%
NIKE Inc	​	11	​	2	​	0.59%
Peloton Interactive Inc	​	(14)	​	(2)	​	-0.59%
Twilio Inc	​	(4)	​	(2)	​	-0.59%
Splunk Inc	​	(12)	​	(2)	​	-0.59%
Twitter Inc	​	(24)	​	(2)	​	-0.58%
Unity Software Inc	​	(15)	​	(2)	​	-0.57%
Pinterest Inc	​	(21)	​	(2)	​	-0.57%
Coupa Software Inc	​	(6)	​	(2)	​	-0.57%
Chipotle Mexican Grill Inc	​	1	​	2	​	0.56%
Clarivate PLC	​	(58)	​	(2)	​	-0.56%
SolarEdge Technologies Inc	​	(6)	​	(2)	​	-0.56%
DocuSign Inc	​	(6)	​	(2)	​	-0.55%
Danaher Corp	​	6	​	2	​	0.55%
Teladoc Health Inc	​	(9)	​	(2)	​	-0.55%
Liberty Broadband Corp	​	9	​	2	​	0.55%
NRG Energy Inc	​	(49)	​	(2)	​	-0.55%
Afterpay Ltd	​	(18)	​	(2)	​	-0.55%
ViacomCBS Inc	​	(34)	​	(2)	​	-0.54%
Carvana Co	​	(5)	​	(2)	​	-0.54%

See notes to unaudited consolidated financial statements.

48

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
RingCentral Inc	​	(5)	​	(2)	​	-0.54%
Vertex Pharmaceuticals Inc	​	(8)	​	(2)	​	-0.54%
AutoZone Inc	​	1	​	2	​	0.54%
Crowdstrike Holdings Inc	​	(6)	​	(2)	​	-0.54%
Netflix Inc	​	(3)	​	(2)	​	-0.54%
Mercari Inc	​	(29)	​	(2)	​	-0.54%
Liberty Media Corp-Liberty Formula One	​	32	​	2	​	0.54%
Zoom Video Communications Inc	​	(4)	​	(2)	​	-0.54%
DraftKings Inc	​	(29)	​	(2)	​	-0.54%
Autodesk Inc	​	5	​	2	​	0.53%
Xinyi Glass Holdings Ltd	​	(375)	​	(2)	​	-0.53%
IDEXX Laboratories Inc	​	2	​	2	​	0.53%
Palantir Technologies Inc	​	(58)	​	(2)	​	-0.53%
Lyft Inc	​	(25)	​	(2)	​	-0.53%
Datadog Inc	​	(15)	​	(2)	​	-0.53%
Cognex Corp	​	18	​	2	​	0.53%
Athene Holding Ltd	​	(22)	​	(2)	​	-0.53%
Synopsys Inc	​	5	​	2	​	0.53%
The Home Depot Inc	​	5	​	2	​	0.53%
BioMerieux	​	(13)	​	(2)	​	-0.53%
Black Knight Inc	​	19	​	2	​	0.53%
PTC Inc	​	11	​	2	​	0.53%
Charles River Laboratories International Inc	​	4	​	2	​	0.53%
Trimble Inc	​	18	​	2	​	0.52%
Target Corp	​	6	​	2	​	0.52%
Merck KGaA	​	8	​	2	​	0.52%
Zebra Technologies Corp	​	3	​	2	​	0.52%

(k)

Aims to capture the spread of realized correlation between US Equity and US Equity volatility.

Top Underlying Components	Notional		Percentage of Notional
iPath Series B S&P 500 VIX Short-Term Futures ETN	​	3	​	1.18%
S&P 500 Index	​	3	​	1.14%

(l)

Currency selection strategy based on equity market performance. Anticipates flows driven by hedging activities.

Top Underlying Components	Notional		Percentage of Notional
Foreign Currency	​	​	​	​
South African Rand	​	(4)	​	-1.52%
Japanese Yen	​	(4)	​	-1.51%
Polish Zloty	​	4	​	1.48%
New Zealand Dollar	​	(3)	​	-1.12%
Russian Ruble	​	3	​	1.04%

See notes to unaudited consolidated financial statements.

49

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
Hungarian Forint	​	2	​	0.91%
Turkish Lira	​	(2)	​	-0.89%
Swedish Krona	​	1	​	0.51%
Euro	​	1	​	0.45%
Norwegian Krone	​	1	​	0.23%
Mexican Peso	​	1	​	0.22%
Australian Dollar	​	0	​	0.06%
Canadian Dollar	​	0	​	0.06%

(m)

Seeks to monetize the tendency for the equity market to mean revert over short periods of time.

Top Underlying Components	Notional		Percentage of Notional
US Equity Overnight Mean Reversion Index	​	200	​	100.00%

(n)

Currency selection strategy using mean reversion signals.

Top Underlying Components	Notional		Percentage of Notional
Foreign Currency	​	​	​	​
Norwegian Krone	​	22	​	7.22%
Japanese Yen	​	(22)	​	-7.17%
Swiss Franc	​	14	​	4.57%
Australian Dollar	​	14	​	4.53%
Swedish Krona	​	13	​	4.15%
New Zealand Dollar	​	12	​	3.96%
Euro	​	9	​	2.88%
Canadian Dollar	​	(4)	​	-1.16%
British Pound Sterling	​	1	​	0.37%

See notes to unaudited consolidated financial statements.

50

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments
As of June 30, 2021
(in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)			Amortized Cost			Fair Value(c)
Corporate Bonds – 55.9%	​	​	​	​	​	​	​	​	​	​	​
APX Group, Inc., 8.5%, 11/1/24	​	Commercial Services	​	$	275	​	$	289	​	$	288
APX Group, Inc., 7.9%, 12/1/22	​	Commercial Services	​	​	75	​	​	75	​	​	76
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.3%, 3/15/25	(d)	Commercial Services	​	​	5	​	​	5	​	​	5
B&G Foods, Inc., 5.3%, 4/1/25	​	Food	​	​	27	​	​	28	​	​	28
Bausch Health Companies, Inc., 6.1%, 4/15/25	(d)	Pharmaceuticals	​	​	173	​	​	177	​	​	178
Boxer Parent Companies, Inc., 9.1%, 3/1/26	(d)	Software	​	​	40	​	​	43	​	​	42
Caesars Resort Collection LLC / CRC Finco, Inc., 5.8%, 7/1/25	(d)	Entertainment	​	​	125	​	​	131	​	​	132
CCO Holdings LLC / CCO Holdings Capital Corp., 5.8%, 2/15/26	(d)	Media Entertainment	​	​	158	​	​	163	​	​	164
Cincinnati Bell, Inc., 8.0%, 10/15/25	(d)	Telecommunications	​	​	100	​	​	106	​	​	105
CITGO Petroleum Corp., 7.0%, 6/15/25	(d)	Oil & Gas	​	​	50	​	​	50	​	​	52
CoreCivic, Inc., 8.3%, 4/15/26	​	Commercial Services	​	​	31	​	​	31	​	​	32
Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.5%, 10/20/25	(d)	Airlines	​	​	39	​	​	41	​	​	42
DISH DBS Corp., 5.0%, 3/15/23	​	Media Entertainment	​	​	49	​	​	51	​	​	51
eG Global Finance Plc, 6.8%, 2/7/25	(d)	Retail	​	​	194	​	​	200	​	​	201
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/25	(d)	Real Estate	​	​	150	​	​	158	​	​	159
Ford Motor Credit Co. LLC, 5.1%, 6/16/25	​	Auto Manufacturers	​	​	150	​	​	152	​	​	165
Fortress Transportation and Infrastructure Investors LLC, 9.8%, 8/1/27	(d)	Trucking & Leasing	​	​	4	​	​	5	​	​	5
Gateway Casinos & Entertainment Ltd., 8.3%, 3/1/24	(d)	Entertainment	​	​	75	​	​	71	​	​	75
Intelsat Jackson Holdings S.A., 8.0%, 2/15/24	(d) (e)	Telecommunications	​	​	50	​	​	51	​	​	52
IRB Holding Corp., 6.8%, 2/15/26	(d)	Retail	​	​	38	​	​	39	​	​	39
Jacobs Entertainment, Inc., 7.9%, 2/1/24	(d)	Entertainment	​	​	10	​	​	10	​	​	10
KAR Auction Services, Inc., 5.1%, 6/1/25	(d)	Distribution/​ Wholesale	​	​	104	​	​	105	​	​	107
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 5.3%, 3/15/22	(d)	Real Estate Investment Trusts	​	​	245	​	​	246	​	​	247
Lannett Co., Inc., 7.8%, 4/15/26	(d)	Pharmaceuticals	​	​	35	​	​	35	​	​	35
Midas Intermediate Holdco II LLC / Midas Intermediate Holdco II Finance, Inc., 7.9%, 10/1/22	(d)	Commercial Services	​	​	45	​	​	45	​	​	44
Modulaire Global Finance 2 Plc, 10.0%, 8/15/23	(d)	Storage/​ Warehousing	​	​	19	​	​	19	​	​	20
Modulaire Global Finance Plc, 8.0%, 2/15/23	(d)	Commercial Services	​	​	222	​	​	226	​	​	229
New Enterprise Stone & Lime Co., Inc., 6.3%, 3/15/26	(d)	Engineering & Construction	​	​	55	​	​	57	​	​	57
New Home Co., Inc., 7.3%, 10/15/25	(d)	Home Builders	​	​	106	​	​	109	​	​	113

See notes to unaudited consolidated financial statements.

51

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)			Amortized Cost			Fair Value(c)
Pactiv LLC , 8.0%, 12/15/25	​	Packaging & Containers	​	$	160	​	$	179	​	$	180
Par Petroleum LLC / Par Petroleum Finance Corp., 7.8%, 12/15/25	(d)	Oil & Gas	​	​	30	​	​	29	​	​	30
Prime Healthcare Services, Inc., 7.3%, 11/1/25	(d)	Healthcare-Services	​	​	51	​	​	53	​	​	55
Prime Security Services Borrower LLC / Prime Finance, Inc., 5.8%, 4/15/26	(d)	Commercial Services	​	​	150	​	​	162	​	​	166
RP Escrow Issuer LLC, 5.3%, 12/15/25	(d)	Healthcare-Services	​	​	55	​	​	57	​	​	58
SeaWorld Parks & Entertainment, Inc., 8.8%, 5/1/25	(d)	Entertainment	​	​	65	​	​	70	​	​	71
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.0%, 9/20/25	(d)	Airlines	​	​	73	​	​	81	​	​	83
Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 5.6%, 3/1/24	(d)	Home Builders	​	​	150	​	​	160	​	​	163
Triumph Group, Inc., 6.3%, 9/15/24	(d)	Aerospace/​ Defense	​	​	9	​	​	9	​	​	9
Triumph Group, Inc., 8.9%, 6/1/24	(d)	Aerospace/​ Defense	​	​	51	​	​	56	​	​	57
United Airlines, Inc., 4.4%, 4/15/26	(d)	Airlines	​	​	11	​	​	11	​	​	11
Univision Communications, Inc., 5.1%, 2/15/25	(d)	Media Entertainment	​	​	36	​	​	36	​	​	37
US Acute Care Solutions LLC, 6.4%, 3/1/26	(d)	Healthcare-Services	​	​	38	​	​	39	​	​	39
WASH Multifamily Acquisition, Inc., 5.8%, 4/15/26	(d)	Home Furnishings	​	​	55	​	​	56	​	​	57
Waste Pro USA, Inc., 5.5%, 2/15/26	(d)	Environmental Control	​	​	130	​	​	133	​	​	135
Xerox Holdings Corp., 5.0%, 8/15/25	(d)	Office/Business Equipment	​	​	11	​	​	11	​	​	12
Total Corporate Bonds	​	​	​	​	​	​	​	3,860	​	​	3,916
Convertible Bonds – 2.4%	​	​	​	​	​	​	​	​	​	​	​
Apollo Commercial Real Estate Finance, Inc., 4.8%, 8/23/22	​	Real Estate Investment Trusts	​	$	26	​	$	26	​	$	26
Apollo Commercial Real Estate Finance, Inc., 5.4%, 10/15/23	​	Real Estate Investment Trusts	​	​	76	​	​	75	​	​	77
RWT Holdings, Inc., 5.8%, 10/1/25	​	Holding Companies- Diversified	​	​	65	​	​	65	​	​	66
Total Convertible Bonds	​	​	​	​	​	​	​	166	​	​	169

Portfolio Company(a)	Footnotes	Yield	Number of Shares		Cost			Fair Value(c)
Short-Term Investments – 39.4%	​	​	​	​	​	​	​	​	​	​
State Street Institutional Liquid Reserves Fund – Premier Class	(f)	0.05%	​	2,760,473	​	$	2,761	​	$	2,761
Total Short-Term Investments	​	​	​	​	​	​	2,761	​	​	2,761
TOTAL INVESTMENTS – 97.8%	​	​	​	​	​	$	6,787	​	​	6,846
Other Assets in Excess of Liabilities – 2.2%	​	​	​	​	​	​	​	​	​	154
Net Assets – 100.0%	​	​	​	​	​	​	​	​	$	7,000

See notes to unaudited consolidated financial statements.

52

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Total Return Index Swaps(g) – (0.7)%

Counterparty	Fund Pays	Fund Receives	Notional Amount	Expiration Date	Periodic Payment Frequency	Premium Paid (Received)	Fair Value(b)	Unrealized Appreciation	Unrealized Depreciation
Bank of America, N.A.	Fixed Rate of 0.20%	Total return on BofA Merrill Lynch Short Upside Vol Index(h)	USD 350	2/25/22	Quarterly	$—	$  1	$ 1	$ —
Barclays Bank PLC	Fixed Rate of 0.35%	Total return on Barclays Equity Intraday Momentum Index(i)	USD 548	2/23/22	Quarterly	—	(1)	—	1
Deutsche Bank AG	0.00%	Total return on Deutsche Bank Cross Asset Carry USD Index Ex Commodities(j)	USD 1,799	12/31/21	Quarterly	—	—	—	—
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs RP Equity Carry Series 01 Excess Return Strategy Index(k)	USD 693	1/4/22	Quarterly	—	7	7	—
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Macro Index VA01 Index(l)	USD 1,425	2/22/22	Quarterly	—	(12)	—	12
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Calls-vs-Calls US Series 2 Excess Return Strategy Index(m)	USD 731	11/16/21	Quarterly	—	(17)	—	17
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Systematic Skew US Series 1D Excess Return Strategy Index(n)	USD 371	11/16/21	Quarterly	—	6	6	—
JPMorgan Chase Bank, N.A.	3 Month LIBOR + 0.60%	Total return on JPM Long ERP Sector Index(o)	USD 720	11/16/21	Quarterly	—	(29)	—	29
JPMorgan Chase Bank, N.A.	Total return on JPM Short ERP Sector Index(p)	3 Month LIBOR -0.25%	USD 570	11/16/21	Quarterly	—	7	7	—
Morgan Stanley Capital Services LLC	3 Month LIBOR + 0.50%	Total return on Morgan Stanley Sustainable Div Non-US Index(q)	USD 1,028	3/31/22	Quarterly	—	10	10	—
Nomura Securities Co., Ltd.	1 Month LIBOR + 0.40%	Total return on Wolfe Neutralized Div Yield Long Basket Index(r)	USD 2,172	3/11/22	Quarterly	—	(39)	—	39
Nomura Securities Co., Ltd.	Total return on Wolfe Neutralized Div Yield Short Basket Index(s)	1 Month LIBOR -0.10%	USD 2,086	3/11/22	Quarterly	—	(20)	—	20

See notes to unaudited consolidated financial statements.

53

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Counterparty	Fund Pays	Fund Receives	Notional Amount	Expiration Date	Periodic Payment Frequency	Premium Paid (Received)	Fair Value(b)	Unrealized Appreciation	Unrealized Depreciation
Nomura Securities Co., Ltd.	0.00%	Total return on Nomura Bespoke Transaction Interest Rate Risk Premia Basket(t)	USD 7,000	1/4/22	Quarterly	$—	$ 21	$21	$ —
Societe Generale	Fed Funds Rate	Total return on Soc Gen Vol Roll on Rates Index(u)	USD 1,050	2/18/22	N/A	—	16	16	—
Societe Generale	Fixed Rate of 0.40%	Total return on Soc Gen STEP Index(v)	USD 350	2/24/22	Quarterly	—	1	1	—
Total Total Return Index Swaps	​	​	​	​	​	$—	$(49)	$69	$118

(a)

Security may be an obligation of one or more entities affiliated with the named company.

(b)

Denominated in U.S. dollars unless otherwise noted.

(c)

Fair value as of June 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust”). See Note 2 for information on the Fund’s policy regarding valuation of investments, fair value hierarchy and other significant accounting policies.

(d)

Exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $3,096, which represents approximately 44.2% of net assets as of June 30, 2021.

(e)

Security is in default.

(f)

Rate represents the seven-day yield as of June 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov.

(g)

The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented.

See notes to unaudited consolidated financial statements.

54

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

(h)

Seeks to monetize SPX upside implied-to-realized volatility by selling and delta hedging the upside wing of the strip.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPX US 07/16/21 C4400 Index	​	0	​	-0.01%
SPX US 07/16/21 C4390 Index	​	0	​	-0.01%
SPX US 07/16/21 C4410 Index	​	0	​	-0.01%
SPX US 07/16/21 C4380 Index	​	0	​	-0.01%
SPX US 07/16/21 C4385 Index	​	0	​	-0.01%
SPX US 07/16/21 C4370 Index	​	0	​	-0.01%
SPX US 07/16/21 C4375 Index	​	0	​	-0.01%
SPX US 07/16/21 C4420 Index	​	0	​	-0.01%
SPX US 07/16/21 C4395 Index	​	0	​	-0.01%
SPX US 07/16/21 C4340 Index	​	0	​	-0.01%
SPX US 07/16/21 C4360 Index	​	0	​	-0.01%
SPX US 07/16/21 C4430 Index	​	0	​	-0.01%
SPX US 07/16/21 C4440 Index	​	0	​	-0.01%
SPX US 07/16/21 C4425 Index	​	0	​	-0.01%
SPX US 07/16/21 C4405 Index	​	0	​	-0.01%
SPX US 07/16/21 C4350 Index	​	0	​	0.00%
SPX US 07/16/21 C4450 Index	​	0	​	0.00%
SPX US 07/16/21 C4415 Index	​	0	​	0.00%
SPX US 07/16/21 C4460 Index	​	0	​	0.00%
SPX US 07/16/21 C4365 Index	​	0	​	0.00%
SPX US 07/16/21 C4490 Index	​	0	​	0.00%
SPX US 07/16/21 C4500 Index	​	0	​	0.00%
SPX US 07/16/21 C4470 Index	​	0	​	0.00%
SPX US 07/16/21 C4480 Index	​	0	​	0.00%
SPX US 07/16/21 C4435 Index	​	0	​	0.00%
SPX US 07/16/21 C4510 Index	​	0	​	0.00%
SPX US 07/16/21 C4445 Index	​	0	​	0.00%
SPX US 07/16/21 C4475 Index	​	0	​	0.00%
SPX US 07/16/21 C4455 Index	​	0	​	0.00%
SPX US 07/16/21 C4550 Index	​	0	​	0.00%
SPX US 07/16/21 C4465 Index	​	0	​	0.00%
SPX US 07/16/21 C4520 Index	​	0	​	0.00%
SPX US 07/16/21 C4600 Index	​	0	​	0.00%
SPX US 07/16/21 C4525 Index	​	0	​	0.00%
SPX US 07/16/21 C4700 Index	​	0	​	0.00%
SPX US 07/16/21 C4750 Index	​	0	​	0.00%
Index	​	​	​	​
SPX Index	​	12	​	3.30%

See notes to unaudited consolidated financial statements.

55

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

(i)

Aims to capture intraday trends and momentum in the S&P 500.

Top Underlying Components	Notional		Percentage of Notional
Index	​		​
Barclays IDME Strategy	​	548	​	100.00%

(j)

Cross Asset carry strategy excluding commodities.

Top Underlying Components	Notional		Percentage of Notional
Index	​		​
Deutsche Bank Duration Bias US	​	233	​	12.97%
Deutsche Bank Duration Bias EU	​	198	​	11.03%
CDX.NA.HY 5Y Long Excess Return	​	164	​	9.12%
ITRX XOVER CDSI S34 5Y Corp	​	157	​	8.74%
Deutsche Bank Duration Bias JP	​	152	​	8.47%
Deutsche Bank Duration Bias GB	​	139	​	7.72%
Futures	​	​	​	​
FTSE 100 IDX Sep21	​	73	​	4.08%
MSCI EmgMkt Sep21	​	68	​	3.77%
Euro STOXX 50 Sep21	​	50	​	2.78%
S&P500 EMINI Sep21	​	39	​	2.15%
Foreign Currency	​	​	​	​
Euro	​	-56	​	-3.11%
Brazilian Real	​	26	​	1.44%

(k)

Market neutral strategy based on futures versus spot differentials across equity markets.

Top Underlying Components	Notional		Percentage of Notional
Futures	​	​	​	​
FTSE Taiwan Index Jul21	​	129	​	18.38%
BIST 30 Aug21	​	(125)	​	-17.90%
NASDAQ 100 E-MINI Sep21	​	(115)	​	-16.46%
IBEX 35 INDX Jul21	​	106	​	15.20%
HANG SENG IDX Jul21	​	98	​	13.97%
HSCEI Jul21	​	97	​	13.93%
E-Mini Russ 2000 Sep21	​	(87)	​	-12.37%
SWISS MKT IX Sep21	​	(86)	​	-12.35%
FTSE 100 IDX Sep21	​	76	​	10.88%
KOSPI2 INX Sep21	​	(61)	​	-8.71%
S&P500 EMINI Sep21	​	(56)	​	-8.03%
S&P/TSX 60 IX Sep21	​	48	​	6.92%
SPI 200 Jul21	​	33	​	4.72%
Euro STOXX 50 Sep21	​	(31)	​	-4.38%
FTSE/JSE TOP 40 Sep21	​	(25)	​	-3.62%

See notes to unaudited consolidated financial statements.

56

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
CAC40 10 Euro Jul21	​	(25)	​	-3.58%
TOPIX INDX Sep21	​	(25)	​	-3.58%
AMSTERDAM IDX Jul21	​	17	​	2.50%
FTSE/MIB IDX Sep21	​	13	​	1.79%
MSCI EmgMkt Sep21	​	13	​	1.79%
SET50 Sep21	​	5	​	0.70%
Foreign Currency	​	​	​	​
Swiss Franc	​	(0)	​	0.00%
British Pound Sterling	​	(0)	​	0.00%
US Dollar	​	0	​	0.00%
Euro	​	0	​	0.00%

(l)

Aims to take advantage of the convergence in the performance of bonds with higher vs. lower real yields across G8 government bonds.

Top Underlying Components	Notional		Percentage of Notional
Futures	​	​	​	​
Euro-BUND Sep21	​	(1,070)	​	-75.69%
LONG GILT Sep21	​	(800)	​	-56.61%
US 10YR NOTE (CBT) Sep21	​	(365)	​	-25.78%
AUST 10Y BOND Sep21	​	341	​	24.12%
Euro-BTP Sep21	​	110	​	7.79%
CAN 10YR BOND Sep21	​	99	​	7.01%
JPN 10Y BOND (OSE) Sep21	​	12	​	0.84%
Euro-OAT Sep21	​	(0)	​	0.00%

(m)

Attempts to generate income by selling dislocated single stock calls while offsetting the market risk with a long S&P call.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPX European Call Option	​	1,788	​	250.10%
ADBE American Call Option	​	(85)	​	-11.92%
AAPL American Call Option	​	(72)	​	-10.12%
PEP American Call Option	​	(72)	​	-10.09%
UPS American Call Option	​	(53)	​	-7.40%
USB American Call Option	​	(48)	​	-6.65%
FDX American Call Option	​	(46)	​	-6.37%
NKE American Call Option	​	(44)	​	-6.21%
MS American Call Option	​	(44)	​	-6.12%
AMZN American Call Option	​	(41)	​	-5.72%
MU American Call Option	​	(41)	​	-5.68%
GOOGL American Call Option	​	(37)	​	-5.19%
ORCL American Call Option	​	(34)	​	-4.73%

See notes to unaudited consolidated financial statements.

57

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Notional		Percentage of Notional
XOM American Call Option	​	(33)	​	-4.68%
MSFT American Call Option	​	(33)	​	-4.66%
WFC American Call Option	​	(32)	​	-4.54%
LLY American Call Option	​	(31)	​	-4.30%
NVDA American Call Option	​	(30)	​	-4.21%
NEE American Call Option	​	(29)	​	-4.10%
CHTR American Call Option	​	(29)	​	-4.09%
ACN American Call Option	​	(29)	​	-4.02%
COP American Call Option	​	(29)	​	-4.01%
GOOG American Call Option	​	(28)	​	-3.97%
CCI American Call Option	​	(27)	​	-3.72%
TMO American Call Option	​	(26)	​	-3.61%
TJX American Call Option	​	(25)	​	-3.51%
AMAT American Call Option	​	(25)	​	-3.49%
PYPL American Call Option	​	(24)	​	-3.31%
CAT American Call Option	​	(23)	​	-3.28%
SCHW American Call Option	​	(23)	​	-3.27%
UNH American Call Option	​	(23)	​	-3.22%
DE American Call Option	​	(23)	​	-3.20%
FB American Call Option	​	(21)	​	-2.95%
ABT American Call Option	​	(20)	​	-2.85%
NOW American Call Option	​	(20)	​	-2.82%
DIS American Call Option	​	(20)	​	-2.73%
GM American Call Option	​	(19)	​	-2.63%
PFE American Call Option	​	(18)	​	-2.53%
BA American Call Option	​	(18)	​	-2.45%
MA American Call Option	​	(17)	​	-2.42%
MCD American Call Option	​	(17)	​	-2.39%
BKNG American Call Option	​	(16)	​	-2.30%
HD American Call Option	​	(16)	​	-2.28%
FIS American Call Option	​	(16)	​	-2.28%
LRCX American Call Option	​	(16)	​	-2.26%
CSCO American Call Option	​	(15)	​	-2.13%
TGT American Call Option	​	(15)	​	-2.08%
PNC American Call Option	​	(15)	​	-2.06%
VZ American Call Option	​	(14)	​	-2.02%
Cash	​	​	​	​
US Dollar	​	38	​	5.26%

See notes to unaudited consolidated financial statements.

58

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

(n)

Seeks to capture the risk premium associated with selling equity puts while buying equity calls. Delta and gamma hedges daily to reduce market and volatility premium exposures.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPX European Call Option	​	1,014	​	269.27%
SPX EQ Forward	​	(924)	​	-245.41%
Cash	​	​	​	​
US Dollar	​	(11)	​	-3.05%

(o)

Uses factor-based stock selection to provide long exposure to the equity of natural resource, real estate, equipment and industrial, and infrastructure companies.

Top Underlying Components	Shares		​	Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​	​
Antero Resources Corp	​	1,186	​	​	18	​	2.58%
Edison International	​	287	​	​	17	​	2.40%
Eaton Corp PLC	​	111	​	​	17	​	2.39%
ONEOK Inc	​	297	​	​	17	​	2.39%
Fastenal Co	​	310	​	​	16	​	2.33%
Emerson Electric Co	​	167	​	​	16	​	2.32%
3M Co	​	80	​	​	16	​	2.31%
General Dynamics Corp	​	85	​	​	16	​	2.31%
Lockheed Martin Corp	​	42	​	​	16	​	2.31%
OGE Energy Corp	​	472	​	​	16	​	2.30%
Omega Healthcare Investors Inc	​	436	​	​	16	​	2.29%
International Paper Co	​	257	​	​	16	​	2.28%
WP Carey Inc	​	209	​	​	16	​	2.28%
PACCAR Inc	​	176	​	​	16	​	2.27%
PPL Corp	​	561	​	​	16	​	2.27%
SL Green Realty Corp	​	196	���	​	16	​	2.27%
Amcor PLC	​	1,351	​	​	15	​	2.24%
Cummins Inc	​	63	​	​	15	​	2.24%
CH Robinson Worldwide Inc	​	165	​	​	15	​	2.23%
Packaging Corp of America	​	114	​	​	15	​	2.23%
The Williams Cos Inc	​	580	​	​	15	​	2.23%
Dow Inc	​	237	​	​	15	​	2.17%
LyondellBasell Industries NV	​	145	​	​	15	​	2.16%
Iron Mountain Inc	​	346	​	​	15	​	2.12%
Huntington Ingalls Industries Inc	​	68	​	​	14	​	2.06%
Antero Midstream GP LP	​	1,244	​	​	13	​	1.87%
FuelCell Energy Inc	​	1,444	​	​	13	​	1.86%
Kinder Morgan Inc	​	686	​	​	13	​	1.81%
The Macerich Co	​	659	​	​	12	​	1.74%

See notes to unaudited consolidated financial statements.

59

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Tanger Factory Outlet Centers Inc	​	612	​	12	​	1.67%
Medical Properties Trust Inc	​	557	​	11	​	1.62%
MGM Growth Properties LLC	​	306	​	11	​	1.62%
ManpowerGroup Inc	​	91	​	11	​	1.57%
The Chemours Co	​	306	​	11	​	1.54%
South Jersey Industries Inc	​	408	​	11	​	1.53%
Clean Energy Fuels Corp	​	987	​	10	​	1.45%
Equitrans Midstream Corp	​	1,177	​	10	​	1.45%
Hubbell Inc	​	52	​	10	​	1.40%
Sabra Health Care REIT Inc	​	532	​	10	​	1.40%
Gaming and Leisure Properties	​	201	​	9	​	1.35%
EnLink Midstream LLC	​	1,428	​	9	​	1.32%
Physicians Realty Trust	​	490	​	9	​	1.31%
United Technologies Corp	​	106	​	9	​	1.31%
MSC Industrial Direct Co Inc	​	91	​	8	​	1.18%
Olin Corp	​	170	​	8	​	1.14%
Plains GP Holdings LP	​	631	​	8	​	1.09%
Spirit Realty Capital Inc	​	150	​	7	​	1.04%
National Health Investors Inc	​	98	​	7	​	0.95%
Atlas Air Worldwide Holdings Inc	​	95	​	6	​	0.94%
Brandywine Realty Trust	​	418	​	6	​	0.83%

(p)

Uses factor-based stock selection to provide short exposure to the equity of natural resource, real estate, equipment and industrial, and infrastructure companies.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Sunrun Inc	​	(270)	​	(15)	​	-2.67%
Occidental Petroleum Corp	​	(412)	​	(13)	​	-2.29%
Lyft Inc	​	(210)	​	(13)	​	-2.26%
Transocean Ltd	​	(2,804)	​	(13)	​	-2.25%
Continental Resources Inc	​	(329)	​	(13)	​	-2.22%
Trex Co Inc	​	(120)	​	(12)	​	-2.17%
Roper Technologies Inc	​	(26)	​	(12)	​	-2.16%
TransUnion	​	(111)	​	(12)	​	-2.16%
American Tower Corp	​	(44)	​	(12)	​	-2.10%
NextEra Energy Inc	​	(161)	​	(12)	​	-2.10%
SBA Communications Corp	​	(37)	​	(12)	​	-2.09%
American Homes 4 Rent	​	(302)	​	(12)	​	-2.08%
EQT Corp	​	(521)	​	(12)	​	-2.06%
Textron Inc	​	(169)	​	(12)	​	-2.06%
Equinix Inc	​	(14)	​	(12)	​	-2.05%

See notes to unaudited consolidated financial statements.

60

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
PG&E Corp	​	(1,135)	​	(12)	​	-2.05%
Berry Global Group Inc	​	(176)	​	(11)	​	-2.04%
Cheniere Energy Inc	​	(132)	​	(11)	​	-2.04%
The Sherwin-Williams Co	​	(42)	​	(11)	​	-2.04%
American Water Works Co Inc	​	(74)	​	(11)	​	-2.03%
General Electric Co	​	(849)	​	(11)	​	-2.03%
TransDigm Group Inc	​	(18)	​	(11)	​	-2.02%
XPO Logistics Inc	​	(81)	​	(11)	​	-2.02%
Ecolab Inc	​	(55)	​	(11)	​	-2.01%
Prologis Inc	​	(95)	​	(11)	​	-2.01%
Axalta Coating Systems Ltd	​	(369)	​	(11)	​	-2.00%
Host Hotels & Resorts Inc	​	(656)	​	(11)	​	-1.99%
Delta Air Lines Inc	​	(251)	​	(11)	​	-1.93%
Jones Lang LaSalle Inc	​	(56)	​	(11)	​	-1.93%
Alaska Air Group Inc	​	(178)	​	(11)	​	-1.91%
Spirit AeroSystems Holdings Inc	​	(228)	​	(11)	​	-1.91%
Halliburton Co	​	(458)	​	(11)	​	-1.88%
JetBlue Airways Corp	​	(621)	​	(10)	​	-1.85%
National Oilwell Varco Inc	​	(680)	​	(10)	​	-1.85%
American Airlines Group Inc	​	(489)	​	(10)	​	-1.84%
United States Steel Corp	​	(427)	​	(10)	​	-1.82%
HEICO Corp	​	(70)	​	(10)	​	-1.75%
Evoqua Water Technologies Corp	​	(275)	​	(9)	​	-1.65%
Sensata Technologies Holding PLC	​	(156)	​	(9)	​	-1.61%
The AZEK Co Inc	​	(212)	​	(9)	​	-1.60%
PBF Energy Inc	​	(585)	​	(9)	​	-1.59%
Park Hotels & Resorts Inc	​	(421)	​	(9)	​	-1.54%
Eagle Materials Inc	​	(61)	​	(9)	​	-1.53%
Old Dominion Freight Line Inc	​	(32)	​	(8)	​	-1.44%
CACI International Inc	​	(31)	​	(8)	​	-1.41%
Sun Communities Inc	​	(46)	​	(8)	​	-1.41%
Summit Materials Inc	​	(223)	​	(8)	​	-1.38%
Hexcel Corp	​	(120)	​	(7)	​	-1.33%
Colfax Corp	​	(146)	​	(7)	​	-1.19%
Schlumberger Ltd	​	(206)	​	(7)	​	-1.17%

See notes to unaudited consolidated financial statements.

61

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

(q)

A long basket of global, non-US stocks most likely to continue growing or maintaining their dividends.

Top Underlying Components	Shares		Notional			Percentage of Notional
Common Stock	​	​	​	​	​	​	​
Wartsila OYJ Abp	​	562	​	​	8	​	0.81%
Deutsche Post AG	​	109	​	​	7	​	0.72%
La Francaise des Jeux SAEM	​	125	​	​	7	​	0.72%
Pandora A/S	​	55	​	​	7	​	0.71%
Novo Nordisk A/S	​	86	​	​	7	​	0.70%
Givaudan SA	​	2	​	​	7	​	0.69%
Banco Bilbao Vizcaya Argentaria SA	​	1,142	​	​	7	​	0.69%
Carlsberg A/S	​	38	​	​	7	​	0.68%
Kuehne + Nagel International AG	​	21	​	��	7	​	0.68%
Partners Group Holding AG	​	5	​	​	7	​	0.68%
The Swatch Group AG	​	105	​	​	7	​	0.68%
AstraZeneca PLC	​	58	​	​	7	​	0.67%
Geberit AG	​	9	​	​	7	​	0.67%
Fresenius SE & Co KGaA	​	132	​	​	7	​	0.67%
Roche Holding AG	​	18	​	​	7	​	0.66%
Wolters Kluwer NV	​	68	​	​	7	​	0.66%
Coca-Cola European Partners PLC	​	114	​	​	7	​	0.66%
Diageo PLC	​	141	​	​	7	​	0.65%
Alfa Laval AB	​	190	​	​	7	​	0.65%
Legrand SA	​	63	​	​	7	​	0.65%
Ferguson PLC	​	48	​	​	7	​	0.65%
Nordea Bank Abp	​	600	​	​	7	​	0.65%
Smurfit Kappa Group PLC	​	123	​	​	7	​	0.65%
Smith & Nephew PLC	​	310	​	​	7	​	0.65%
Siemens Healthineers AG	​	109	​	​	7	​	0.65%
The Sage Group PLC	​	702	​	​	7	​	0.65%
Coca-Cola HBC AG	​	183	​	​	7	​	0.64%
Jeronimo Martins SGPS SA	​	360	​	​	7	​	0.64%
Nestle SA	​	52	​	​	7	​	0.63%
Fresenius Medical Care AG & Co	​	78	​	​	6	​	0.63%
EMS-Chemie Holding AG	​	7	​	​	6	​	0.63%
Randstad NV	​	84	​	​	6	​	0.63%
Akzo Nobel NV	​	52	​	​	6	​	0.62%
CRH PLC	​	127	​	​	6	​	0.62%
Brenntag AG	​	69	​	​	6	​	0.62%
Carrefour SA	​	325	​	​	6	​	0.62%
Rio Tinto PLC	​	78	​	​	6	​	0.62%
Pearson PLC	​	555	​	​	6	​	0.62%

See notes to unaudited consolidated financial statements.

62

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Essity AB	​	190	​	6	​	0.61%
Air Liquide SA	​	36	​	6	​	0.61%
SGS SA	​	2	​	6	​	0.61%
Coloplast A/S	​	38	​	6	​	0.61%
Orion Oyj	​	146	​	6	​	0.61%
Recordati SpA	​	109	​	6	​	0.61%
Swedbank AB	​	335	​	6	​	0.61%
Koninklijke Ahold Delhaize NV	​	209	​	6	​	0.61%
Red Electrica Corp SA	​	335	​	6	​	0.60%
Assa Abloy AB	​	206	​	6	​	0.60%
Schneider Electric SE	​	39	​	6	​	0.60%
Admiral Group PLC	​	143	​	6	​	0.60%

(r)

Long basket of US stocks that pay high dividends.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Simon Property Group Inc	​	890	​	116	​	5.45%
Leggett & Platt Inc	​	1,790	​	93	​	4.36%
Newell Brands Inc	​	3,145	​	90	​	4.24%
3M Co	​	451	​	90	​	4.21%
Iron Mountain Inc	​	2,055	​	87	​	4.09%
International Business Machines Corp	​	481	​	70	​	3.31%
Realty Income Corp	​	1,018	​	68	​	3.19%
Unum Group	​	2,355	​	67	​	3.14%
Kimco Realty Corp	​	2,900	​	60	​	2.84%
Altria Group Inc	​	1,172	​	56	​	2.63%
Philip Morris International Inc	​	546	​	54	​	2.54%
ONEOK Inc	​	952	​	53	​	2.49%
Paychex Inc	​	489	​	52	​	2.47%
Genuine Parts Co	​	413	​	52	​	2.45%
The Progressive Corp	​	529	​	52	​	2.44%
The Gap Inc	​	1,508	​	51	​	2.38%
Dow Inc	​	704	​	45	​	2.09%
LyondellBasell Industries NV	​	423	​	44	​	2.05%
HP Inc	​	1,407	​	42	​	2.00%
Hanesbrands Inc	​	2,248	​	42	​	1.97%
Emerson Electric Co	​	396	​	38	​	1.79%
Hewlett Packard Enterprise Co	​	2,564	​	37	​	1.76%
Snap-on Inc	​	164	​	37	​	1.72%
CenturyLink Inc	​	2,680	​	36	​	1.71%

See notes to unaudited consolidated financial statements.

63

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Eaton Corp PLC	​	233	​	35	​	1.62%
Regency Centers Corp	​	525	​	34	​	1.59%
Newmont Mining Corp	​	533	​	34	​	1.59%
PulteGroup Inc	​	587	​	32	​	1.51%
Prudential Financial Inc	​	306	​	31	​	1.47%
United Technologies Corp	​	351	​	30	​	1.40%
Lockheed Martin Corp	​	76	​	29	​	1.35%
Whirlpool Corp	​	128	​	28	​	1.31%
Cummins Inc	​	112	​	27	​	1.28%
Lennar Corp	​	272	​	27	​	1.27%
Stanley Black & Decker Inc	​	111	​	23	​	1.07%
The Home Depot Inc	​	71	​	23	​	1.07%
AbbVie Inc	​	202	​	23	​	1.07%
Corning Inc	​	541	​	22	​	1.04%
Best Buy Co Inc	​	177	​	20	​	0.95%
DR Horton Inc	​	222	​	20	​	0.94%
United Parcel Service Inc	​	96	​	20	​	0.94%
Fifth Third Bancorp	​	511	​	20	​	0.92%
American Airlines Group Inc	​	882	​	19	​	0.88%
The Western Union Co	​	809	​	19	​	0.87%
Ingersoll-Rand PLC	​	89	​	16	​	0.77%
Amcor PLC	​	1,160	​	13	​	0.62%
International Paper Co	​	197	​	12	​	0.57%
Comerica Inc	​	162	​	12	​	0.54%
PPL Corp	​	405	​	11	​	0.53%
L Brands Inc	​	156	​	11	​	0.53%

(s)

Short basket of US stocks that neutralize market and factor risk of the long basket.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
MSCI Inc	​	(185)	​	(98)	​	-4.68%
NVIDIA Corp	​	(120)	​	(96)	​	-4.58%
MGM Resorts International	​	(2,152)	​	(92)	​	-4.36%
Halliburton Co	​	(3,734)	​	(86)	​	-4.10%
Occidental Petroleum Corp	​	(2,689)	​	(84)	​	-3.99%
SBA Communications Corp	​	(248)	​	(79)	​	-3.75%
Apache Corp	​	(3,786)	​	(79)	​	-3.74%
Host Hotels & Resorts Inc	​	(4,555)	​	(78)	​	-3.70%
Activision Blizzard Inc	​	(741)	​	(71)	​	-3.36%
Marathon Oil Corp	​	(4,489)	​	(61)	​	-2.90%

See notes to unaudited consolidated financial statements.

64

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Equinix Inc	​	(74)	​	(60)	​	-2.84%
Devon Energy Corp	​	(2,032)	​	(59)	​	-2.82%
Marriott International Inc/MD	​	(427)	​	(58)	​	-2.77%
West Pharmaceutical Services Inc	​	(158)	​	(57)	​	-2.70%
Diamondback Energy Inc	​	(557)	​	(52)	​	-2.49%
The Charles Schwab Corp	​	(694)	​	(51)	​	-2.40%
Viatris Inc	​	(3,199)	​	(46)	​	-2.17%
Schlumberger Ltd	​	(1,356)	​	(43)	​	-2.06%
Hess Corp	​	(468)	​	(41)	​	-1.94%
PerkinElmer Inc	​	(258)	​	(40)	​	-1.89%
Global Payments Inc	​	(208)	​	(39)	​	-1.86%
Pioneer Natural Resources Co	​	(239)	​	(39)	​	-1.85%
First Republic Bank/CA	​	(207)	​	(39)	​	-1.84%
Teradyne Inc	​	(289)	​	(39)	​	-1.84%
Constellation Brands Inc	​	(152)	​	(36)	​	-1.69%
Aptiv PLC	​	(214)	​	(34)	​	-1.60%
The Mosaic Co	​	(1,055)	​	(34)	​	-1.60%
Costco Wholesale Corp	​	(80)	​	(32)	​	-1.50%
Qorvo Inc	​	(158)	​	(31)	​	-1.46%
The Cooper Cos Inc	​	(77)	​	(31)	​	-1.45%
MarketAxess Holdings Inc	​	(65)	​	(30)	​	-1.44%
Thermo Fisher Scientific Inc	​	(57)	​	(29)	​	-1.37%
National Oilwell Varco Inc	​	(1,873)	​	(29)	​	-1.36%
Advanced Micro Devices Inc	​	(300)	​	(28)	​	-1.34%
Xilinx Inc	​	(173)	​	(25)	​	-1.19%
HollyFrontier Corp	​	(752)	​	(25)	​	-1.17%
PVH Corp	​	(226)	​	(24)	​	-1.16%
Mastercard Inc	​	(59)	​	(21)	​	-1.01%
AES Corp/VA	​	(804)	​	(21)	​	-1.00%
EOG Resources Inc	​	(234)	​	(19)	​	-0.93%
Wabtec Corp	​	(219)	​	(18)	​	-0.86%
Universal Health Services Inc	​	(107)	​	(16)	​	-0.74%
Brown-Forman Corp	​	(208)	​	(16)	​	-0.74%
The Estee Lauder Cos Inc	​	(45)	​	(14)	​	-0.68%
Aon PLC	​	(53)	​	(13)	​	-0.61%
Zimmer Biomet Holdings Inc	​	(76)	​	(12)	​	-0.58%
Electronic Arts Inc	​	(79)	​	(11)	​	-0.54%
Teleflex Inc	​	(28)	​	(11)	​	-0.53%
The Walt Disney Co	​	(63)	​	(11)	​	-0.53%
Las Vegas Sands Corp	​	(171)	​	(9)	​	-0.43%

See notes to unaudited consolidated financial statements.

65

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

(t)

Basket of indices comprised of Interest Rate Swaps in G11 currencies based on value and momentum characteristics.

Top Underlying Components	Notional		Percentage of Notional
Interest Rate Swaps	​	​	​	​
IRS Rec 1Y in USD	​	4,199	​	59.81%
IRS Rec 5Y in GBP	​	2,621	​	37.34%
IRS Rec 1Y in EUR	​	2,431	​	34.63%
IRS Rec 2Y in EUR	​	1,559	​	22.21%
IRS Rec 2Y in USD	​	1,051	​	14.98%
IRS Rec 1Y in JPY	​	1,049	​	14.94%
IRS 10Y SEK S 1-0	​	(960)	​	-13.67%
IRS 10Y DKK S 1-0	​	(921)	​	-13.12%
IRS 10Y AUD S 1-0	​	829	​	11.81%
IRS Rec 20Y in EUR	​	(526)	​	-7.49%
IRS 2Y SEK S 1-0	​	523	​	7.45%
IRS Rec 30Y in GBP	​	488	​	6.95%
IRS Rec 30Y in EUR	​	(451)	​	-6.42%
IRS 2Y CAD S 1-0	​	352	​	5.01%
IRS 2Y CHF S 1-0	​	346	​	4.92%
IRS 5Y NOK S 1-0	​	324	​	4.62%
IRS Rec 10Y in EUR	​	(256)	​	-3.65%
IRS 3Y AUD S 1-0	​	234	​	3.33%
Foreign Currency	​	​	​	​
British Pound Sterling	​	(2,860)	​	-40.73%
Euro	​	(2,757)	​	-39.27%
Japanese Yen	​	(1,119)	​	-15.93%
Danish Krone	​	921	​	13.12%
Australian Dollar	​	(842)	​	-11.99%
New Zealand Dollar	​	576	​	8.20%
Swedish Krona	​	437	​	6.22%
Swiss Franc	​	(346)	​	-4.92%
Norwegian Krone	​	157	​	2.24%
Canadian Dollar	​	24	​	0.33%

(u)

Systematic strategy that takes advantage of the volatility curve to generate positive carry.

Top Underlying Components	Notional		Percentage of Notional
Derivative	​	​	​	​
1y Forward 3y7y Straddle	​	595	​	55.77%
1y Forward 5y20y Straddle	​	287	​	26.92%
1y Forward 1y7y Straddle	​	103	​	9.62%
1y Forward 10y20y Straddle	​	82	​	7.69%

See notes to unaudited consolidated financial statements.

66

FS Alternative Income Opportunities Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(in thousands, except share and per share amounts)

 

(v)

Systematic strategy seeks to monetize the implied-to-realized volatility risk premium by selling short-dated OTM puts.

Top Underlying Components	Notional		Percentage of Notional
Options	​	​	​	​
SPXW US 07/02/21 P4140 Index	​	66	​	18.82%
SPXW US 07/02/21 P4075 Index	​	33	​	9.43%
SPXW US 07/06/21 P4105 Index	​	33	​	9.41%
SPXW US 07/02/21 P4025 Index	​	22	​	6.31%
SPXW US 07/06/21 P4050 Index	​	22	​	6.29%
SPXW US 07/07/21 P4080 Index	​	22	​	6.27%

See notes to unaudited consolidated financial statements.

67

FS Real Asset Fund

Unaudited Consolidated Schedule of Investments
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Yield	Number of Shares		Cost			Fair Value(b)
Short-Term Investments – 77.2%	​	​	​	​	​	​	​	​	​	​
State Street Institutional Liquid Reserves Fund – Premier Class	(c)	0.05%	​	1,953,764	​	$	1,954	​	$	1,954
Total Short-Term Investments	​	​	​	​	​	​	1,954	​	​	1,954
TOTAL INVESTMENTS – 77.2%	​	​	​	​	​	$	1,954	​	​	1,954
Other Assets in Excess of Liabilities – 22.8%	​	​	​	​	​	​	​	​	​	576
Net Assets – 100.0%	​	​	​	​	​	​	​	​	$	2,530

Total Return Index Swaps(d) – 0.3%

Counterparty	Fund Pays	Fund Receives	Notional Amount	Expiration Date	Periodic Payment Frequency	Premium Paid (Received)	Fair Value(b)	Unrealized Appreciation	Unrealized Depreciation
Bank of America, N.A.	3 Month LIBOR + 0.55%	Total return on iShares S&P GSCI Commodity- Indexed Trust	USD 267	12/10/21	Quarterly	$—	$2	$2	$—
Goldman Sachs International	3 Month LIBOR + 0.45%	Total return on FS/​Chiron Real Asset Basket Index(e)	USD 1,381	6/17/22	Quarterly	—	5	5	—
Total Total Return Index Swaps	​	​	​	​	​	$—	$7	$7	$—

(a)

Security may be an obligation of one or more entities affiliated with the named company.

(b)

Fair value as of June 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust”). See Note 2 for information on the Fund’s policy regarding valuation of investments, fair value hierarchy and other significant accounting policies.

(c)

Rate represents the seven-day yield as of June 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov.

(d)

The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented.

(e)

Equity basket comprised of real-asset related companies identified using quantitative and fundamental techniques.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
NVIDIA Corp	​	27	​	21	​	1.55%
Coinbase Global Inc	​	82	​	21	​	1.50%
Riot Blockchain Inc	​	544	​	20	​	1.48%
PayPal Holdings Inc	​	70	​	20	​	1.48%
Occidental Petroleum Corp	​	653	​	20	​	1.47%
The Wharf Holdings Ltd	​	5,256	​	20	​	1.45%
Vinhomes JSC	​	3,886	​	20	​	1.44%

See notes to unaudited consolidated financial statements.

68

FS Real Asset Fund

Unaudited Consolidated Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
GDS Holdings Ltd	​	253	​	20	​	1.44%
Deere & Co	​	56	​	20	​	1.43%
DISH Network Corp	​	475	​	20	​	1.43%
Hut 8 Mining Corp	​	4,573	​	20	​	1.43%
Fortinet Inc	​	83	​	20	​	1.42%
Applied Materials Inc	​	138	​	20	​	1.41%
Kingboard Holdings Ltd	​	3,519	​	20	​	1.41%
LG Electronics Inc	​	134	​	19	​	1.40%
Martin Marietta Materials Inc	​	55	​	19	​	1.40%
The Bank of New York Mellon Corp	​	378	​	19	​	1.40%
Signature Bank/New York NY	​	79	​	19	​	1.40%
Novatek PJSC	​	88	​	19	​	1.40%
Broadcom Inc	​	41	​	19	​	1.39%
Norsk Hydro ASA	​	3,027	​	19	​	1.39%
Panasonic Corp	​	1,655	​	19	​	1.38%
POSCO	​	62	​	19	​	1.38%
Sociedad Quimica y Minera de Chile SA	​	403	​	19	​	1.38%
FedEx Corp	​	64	​	19	​	1.37%
Hong Kong Exchanges & Clearing Ltd	​	319	​	19	​	1.37%
Simon Property Group Inc	​	145	​	19	​	1.37%
Equinix Inc	​	24	​	19	​	1.37%
Mastercard Inc	​	52	​	19	​	1.36%
Caterpillar Inc	​	87	​	19	​	1.36%
Constellation Brands Inc	​	81	​	19	​	1.36%
Swire Properties Ltd	​	6,337	​	19	​	1.36%
Fomento Economico Mexicano SAB	​	2,234	​	19	​	1.36%
Nokian Renkaat OYJ	​	467	​	19	​	1.36%
Union Pacific Corp	​	86	​	19	​	1.36%
Freeport-McMoRan Inc	​	507	​	19	​	1.36%
Philip Morris International Inc	​	190	​	19	​	1.36%
Deutsche Post AG	​	276	​	19	​	1.35%
SK Hynix Inc	​	165	​	19	​	1.35%
CEZ AS	​	629	​	19	​	1.34%
ASML Holding NV	​	27	​	19	​	1.34%
EOG Resources Inc	​	223	​	19	​	1.34%
Taiwan Semiconductor Manufacturing Company Ltd	​	865	​	18	​	1.33%
CapitaLand Ltd	​	6,690	​	18	​	1.33%
Qantas Airways Ltd	​	5,252	​	18	​	1.33%
BT Group PLC	​	6,849	​	18	​	1.32%
Assicurazioni Generali SpA	​	914	​	18	​	1.32%
Royal Dutch Shell PLC	​	948	​	18	​	1.32%
Bunge Ltd	​	234	​	18	​	1.32%
Agile Group Holdings Ltd	​	14,091	​	18	​	1.32%

See notes to unaudited consolidated financial statements.

69

FS Long/Short Equity Fund

Unaudited Schedule of Investments
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Yield	Number of Shares		Cost			Fair Value(b)
Short-Term Investments – 101.8%	​	​	​	​	​	​	​	​	​	​
State Street Institutional Liquid Reserves Fund – Premier Class	(c)	0.05%	​	6,147,295	​	$	6,149	​	$	6,149
Total Short-Term Investments	​	​	​	​	​	​	6,149	​	​	6,149
TOTAL INVESTMENTS – 101.8%	​	​	​	​	​	$	6,149	​	​	6,149
Other Liabilities in Excess Assets – (1.8)%	​	​	​	​	​	​	​	​	​	(108)
Net Assets – 100.0%	​	​	​	​	​	​	​	​	$	6,041

Total Return Index Swaps(d) – (5.2)%

Counterparty

Fund Pays

Fund Receives

Notional Amount

Expiration Date

Periodic Payment Frequency

Premium Paid (Received)

Fair Value(b)

Unrealized Appreciation

Unrealized Depreciation

Goldman Sachs International

3 Month LIBOR + 0.10%

Total return on Russell 2000 Index Total Return Index(e)

USD 2,202

5/19/22

N/A

​

$

—

​

$

81

​

$

81

​

$

—

Goldman Sachs International

Total return on Russell 1000 Index Total Return Index(f)

3 Month LIBOR + 0.15%

USD 2,576

5/19/22

N/A

​

​

—

​

​

(87)

​

​

—

​

​

87

Barclays Bank PLC

Fixed Rate of ‑ 0.35%

Total return on Barclays US Equity Value Market Hedged Index(g)

USD 44

1/10/22

N/A

​

​

—

​

​

(1)

​

​

—

​

​

1

Barclays Bank PLC

Total return on Barlcays Short Interest Short Basket Index(h)

Fed Funds Rate ‑ 1.05%

USD 223

6/17/22

N/A

​

​

—

​

​

(14)

​

​

—

​

​

14

Barclays Bank PLC

Total return on Barlcays Short Interest Short Basket Index(i)

Fed Funds Rate ‑ 1.05%

USD 3,487

6/17/22

N/A

​

​

—

​

​

(378)

​

​

—

​

​

378

Barclays Bank PLC

Fixed Rate of ‑ 0.10%

Total return on Novus Barclays Public Ownership HF Conviction Index(j)

USD 202

6/17/22

N/A

​

​

—

​

​

5

​

​

5

​

​

—

Barclays Bank PLC

Fixed Rate of ‑ 0.10%

Total return on Novus Barclays Public Ownership HF Conviction Index(k)

USD 6,138

6/17/22

N/A

​

​

—

​

​

269

​

​

269

​

​

—

Barclays Bank PLC

Fixed Rate of 0.35%

Total return on Barclays US Equity Value Market Hedged Index(l)

USD 564

1/10/22

N/A

​

​

—

​

​

19

​

​

19

​

​

—

Barclays Bank PLC

1 Month LIBOR + 0.30%

Total return on Novus Barclays Adjustment Long Basket Index(m)

USD 3,267

6/24/22

Quarterly

​

​

—

​

​

146

​

​

146

​

​

—

Barclays Bank PLC

Total return on Russell 1000 Index Total Return Index(n)

3 Month LIBOR + 0.24%

USD 2,249

2/22/22

N/A

​

​

—

​

​

(354)

​

​

—

​

​

354

Total Total Return Index Swaps

​

​

​

​

​

​

$

—

​

$

(314)

​

$

520

​

$

834

(a)

Security may be an obligation of one or more entities affiliated with the named company.

See notes to unaudited financial statements.

70

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(b)

Fair value as of June 30, 2021 is determined by the board of trustees of FS Series Trust (the “Trust”). See Note 2 for information on the Fund’s policy regarding valuation of investments, fair value hierarchy and other significant accounting policies.

(c)

Rate represents the seven-day yield as of June 30, 2021. The State Street Institutional Liquid Reserves Fund’s financial statements are available on the SEC’s website at http://www.sec.gov.

(d)

The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount, and (iii) if applicable any dividends received into the basket since the previous reset date. Valuations may be inclusive of interest and/or dividends receivable/payable and, as a result, the notional amounts presented may not recalculate directly with the fair value presented.

(e)

Long exposure in a stock market index of the 2,000 smallest market cap stocks in the Russell 3000 Index, which seeks to be a benchmark of the entire US stock market.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
Russell 2000 Total Return Index	​	2,284	​	100.00%

(f)

Short exposure in a stock market index of the 1,000 largest market cap stocks in the Russell 3000 Index, which seeks to be a benchmark of the entire US stock market.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
Russell 1000 Total Return Index	​	(2,665)	​	-100.00%

(g)

Long position in a basket of U.S. stocks that look attractively priced based on the chosen value characteristics combined with an offsetting short position in an index to hedge the general market risk.

Top Underlying Components	Shares		Notional		Percentage of Notional
Index	​	​	​	​	​	​
S&P 500 Total Return Index	​	​	​	(37)	​	-86.50%
Common Stock	​	​	​	​	​	​
Biogen Inc	​	3	​	1	​	2.50%
eBay Inc	​	15	​	1	​	2.40%
Regeneron Pharmaceuticals Inc	​	2	​	1	​	2.30%
Dollar General Corp	​	4	​	1	​	2.20%
Jefferies Financial Group Inc	​	27	​	1	​	2.20%
The Kroger Co	​	25	​	1	​	2.20%
SLM Corp	​	45	​	1	​	2.20%
Tempur Sealy International Inc	​	24	​	1	​	2.20%
Amdocs Ltd	​	12	​	1	​	2.10%
AutoZone Inc	​	1	​	1	​	2.10%
Cardinal Health Inc	​	16	​	1	​	2.10%
CoreLogic Inc	​	11	​	1	​	2.10%
The Goldman Sachs Group Inc	​	2	​	1	​	2.10%
Herbalife Nutrition Ltd	​	17	​	1	​	2.10%

See notes to unaudited financial statements.

71

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Lowe’s Cos Inc	​	5	​	1	​	2.10%
Philip Morris International Inc	​	9	​	1	​	2.10%
Quest Diagnostics Inc	​	7	​	1	​	2.10%
Service Corp International	​	17	​	1	​	2.10%
Aflac Inc	​	16	​	1	​	2.00%
The Allstate Corp	​	7	​	1	​	2.00%
Altria Group Inc	​	18	​	1	​	2.00%
American Financial Group Inc	​	7	​	1	​	2.00%
AutoNation Inc	​	9	​	1	​	2.00%
Berkshire Hathaway Inc	​	3	​	1	​	2.00%
CACI International Inc	​	3	​	1	​	2.00%
Conagra Brands Inc	​	23	​	1	​	2.00%
DaVita Inc	​	7	​	1	​	2.00%
Discovery Inc	​	28	​	1	​	2.00%
FirstEnergy Corp	​	23	​	1	​	2.00%
Fox Corp	​	23	​	1	​	2.00%
Intel Corp	​	15	​	1	​	2.00%
The JM Smucker Co	​	7	​	1	​	2.00%
Lockheed Martin Corp	​	2	​	1	​	2.00%
Nexstar Media Group Inc	​	6	​	1	​	2.00%
Northrop Grumman Corp	​	2	​	1	​	2.00%
Oracle Corp	​	11	​	1	​	2.00%
Toll Brothers Inc	​	15	​	1	​	2.00%
Verizon Communications Inc	​	15	​	1	​	2.00%
Arrow Electronics Inc	​	7	​	1	​	1.90%
Bunge Ltd	​	10	​	1	​	1.90%
Celanese Corp	​	5	​	1	​	1.90%
Cigna Corp	​	3	​	1	​	1.90%
Entergy Corp	​	8	​	1	​	1.90%
Fidelity National Financial Inc	​	19	​	1	​	1.90%
HP Inc	​	27	​	1	​	1.90%
Louisiana-Pacific Corp	​	13	​	1	​	1.90%
New York Community Bancorp Inc	​	74	​	1	​	1.90%
Owens Corning	​	8	​	1	​	1.90%
Voya Financial Inc	​	13	​	1	​	1.90%

See notes to unaudited financial statements.

72

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(h)

A basket of stocks with the highest short interest based on public short interest filings.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Smith & Wesson Brands Inc	​	(37)	​	(1)	​	-0.53%
3D Systems Corp	​	(31)	​	(1)	​	-0.53%
Editas Medicine Inc	​	(21)	​	(1)	​	-0.51%
SunPower Corp	​	(41)	​	(1)	​	-0.51%
Appian Corp	​	(9)	​	(1)	​	-0.51%
Laredo Petroleum Inc	​	(13)	​	(1)	​	-0.50%
MannKind Corp	​	(219)	​	(1)	​	-0.50%
Cardlytics Inc	​	(9)	​	(1)	​	-0.50%
Sunrun Inc	​	(21)	​	(1)	​	-0.50%
Canadian Solar Inc	​	(26)	​	(1)	​	-0.50%
Codexis Inc	​	(52)	​	(1)	​	-0.50%
Sunnova Energy International Inc	​	(31)	​	(1)	​	-0.50%
Bloom Energy Corp	​	(44)	​	(1)	​	-0.50%
Everbridge Inc	​	(9)	​	(1)	​	-0.50%
Trupanion Inc	​	(10)	​	(1)	​	-0.49%
Invitae Corp	​	(35)	​	(1)	​	-0.49%
Zillow Group Inc	​	(10)	​	(1)	​	-0.49%
Coupa Software Inc	​	(4)	​	(1)	​	-0.49%
QuantumScape Corp	​	(40)	​	(1)	​	-0.49%
PagerDuty Inc	​	(27)	​	(1)	​	-0.49%
LivePerson Inc	​	(18)	​	(1)	​	-0.49%
Iovance Biotherapeutics Inc	​	(45)	​	(1)	​	-0.49%
Redfin Corp	​	(18)	​	(1)	​	-0.49%
Proto Labs Inc	​	(13)	​	(1)	​	-0.49%
Cargurus Inc	​	(44)	​	(1)	​	-0.49%
NRG Energy Inc	​	(36)	​	(1)	​	-0.49%
8x8 Inc	​	(42)	​	(1)	​	-0.49%
iStar Inc	​	(56)	​	(1)	​	-0.49%
Fastly Inc	​	(19)	​	(1)	​	-0.49%
Altair Engineering Inc	​	(17)	​	(1)	​	-0.49%
Bandwidth Inc	​	(8)	​	(1)	​	-0.49%
Square Inc	​	(5)	​	(1)	​	-0.49%
Carvana Co	​	(4)	​	(1)	​	-0.49%
Aerie Pharmaceuticals Inc	​	(72)	​	(1)	​	-0.49%
SM Energy Co	​	(47)	​	(1)	​	-0.49%

See notes to unaudited financial statements.

73

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Camping World Holdings Inc	​	(28)	​	(1)	​	-0.49%
Danimer Scientific Inc	​	(46)	​	(1)	​	-0.49%
Cree Inc	​	(12)	​	(1)	​	-0.49%
DraftKings Inc	​	(22)	​	(1)	​	-0.49%
Callon Petroleum Co	​	(20)	​	(1)	​	-0.49%
Stitch Fix Inc	​	(19)	​	(1)	​	-0.49%
Arcturus Therapeutics Holdings Inc	​	(34)	​	(1)	​	-0.48%
Hannon Armstrong Sustainable Infrastructure Capital Inc	​	(20)	​	(1)	​	-0.48%
CarParts.com Inc	​	(56)	​	(1)	​	-0.48%
Lithium Americas Corp	​	(77)	​	(1)	​	-0.48%
PetMed Express Inc	​	(36)	​	(1)	​	-0.48%
Intercept Pharmaceuticals Inc	​	(57)	​	(1)	​	-0.48%
The RealReal Inc	​	(58)	​	(1)	​	-0.48%
Karyopharm Therapeutics Inc	​	(111)	​	(1)	​	-0.48%
Rigel Pharmaceuticals Inc	​	(264)	​	(1)	​	-0.48%

(i)

A basket of stocks with the highest short interest based on public short interest filings.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Smith & Wesson Brands Inc	​	(595)	​	(21)	​	-0.53%
3D Systems Corp	​	(511)	​	(20)	​	-0.53%
Editas Medicine Inc	​	(346)	​	(20)	​	-0.51%
SunPower Corp	​	(669)	​	(20)	​	-0.51%
Appian Corp	​	(142)	​	(20)	​	-0.51%
Laredo Petroleum Inc	​	(209)	​	(19)	​	-0.50%
MannKind Corp	​	(3,563)	​	(19)	​	-0.50%
Cardlytics Inc	​	(153)	​	(19)	​	-0.50%
Sunrun Inc	​	(347)	​	(19)	​	-0.50%
Canadian Solar Inc	​	(431)	​	(19)	​	-0.50%
Codexis Inc	​	(851)	​	(19)	​	-0.50%
Sunnova Energy International Inc	​	(510)	​	(19)	​	-0.50%
Bloom Energy Corp	​	(714)	​	(19)	​	-0.50%
Everbridge Inc	​	(141)	​	(19)	​	-0.50%
Trupanion Inc	​	(166)	​	(19)	​	-0.49%
Invitae Corp	​	(565)	​	(19)	​	-0.49%
Zillow Group Inc	​	(156)	​	(19)	​	-0.49%
Coupa Software Inc	​	(72)	​	(19)	​	-0.49%
QuantumScape Corp	​	(648)	​	(19)	​	-0.49%

See notes to unaudited financial statements.

74

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
PagerDuty Inc	​	(445)	​	(19)	​	-0.49%
LivePerson Inc	​	(299)	​	(19)	​	-0.49%
Iovance Biotherapeutics Inc	​	(728)	​	(19)	​	-0.49%
Redfin Corp	​	(299)	​	(19)	​	-0.49%
Proto Labs Inc	​	(206)	​	(19)	​	-0.49%
Cargurus Inc	​	(719)	��	(19)	​	-0.49%
NRG Energy Inc	​	(587)	​	(19)	​	-0.49%
8x8 Inc	​	(679)	​	(19)	​	-0.49%
iStar Inc	​	(909)	​	(19)	​	-0.49%
Fastly Inc	​	(316)	​	(19)	​	-0.49%
Altair Engineering Inc	​	(273)	​	(19)	​	-0.49%
Bandwidth Inc	​	(137)	​	(19)	​	-0.49%
Square Inc	​	(77)	​	(19)	​	-0.49%
Carvana Co	​	(62)	​	(19)	​	-0.49%
Aerie Pharmaceuticals Inc	​	(1,174)	​	(19)	​	-0.49%
SM Energy Co	​	(763)	​	(19)	​	-0.49%
Camping World Holdings Inc	​	(458)	​	(19)	​	-0.49%
Danimer Scientific Inc	​	(749)	​	(19)	​	-0.49%
Cree Inc	​	(191)	​	(19)	​	-0.49%
DraftKings Inc	​	(359)	​	(19)	​	-0.49%
Callon Petroleum Co	​	(325)	​	(19)	​	-0.49%
Stitch Fix Inc	​	(311)	​	(19)	​	-0.49%
Arcturus Therapeutics Holdings Inc	​	(553)	​	(19)	​	-0.48%
Hannon Armstrong Sustainable Infrastructure Capital Inc	​	(333)	​	(19)	​	-0.48%
CarParts.com Inc	​	(919)	​	(19)	​	-0.48%
Lithium Americas Corp	​	(1,260)	​	(19)	​	-0.48%
PetMed Express Inc	​	(587)	​	(19)	​	-0.48%
Intercept Pharmaceuticals Inc	​	(936)	​	(19)	​	-0.48%
The RealReal Inc	​	(945)	​	(19)	​	-0.48%
Karyopharm Therapeutics Inc	​	(1,810)	​	(19)	​	-0.48%
Rigel Pharmaceuticals Inc	​	(4,302)	​	(19)	​	-0.48%

See notes to unaudited financial statements.

75

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(j)

A long portfolio of stocks based on public 13F filings.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Pinterest Inc	​	64	​	5	​	2.43%
Twilio Inc	​	12	​	5	​	2.35%
Carvana Co	​	16	​	5	​	2.29%
Fate Therapeutics Inc	​	53	​	5	​	2.24%
eBay Inc	​	65	​	5	​	2.22%
Square Inc	​	19	​	5	​	2.22%
PayPal Holdings Inc	​	16	​	5	​	2.19%
Moody’s Corp	​	12	​	4	​	2.11%
Zillow Group Inc	​	36	​	4	​	2.10%
Microsoft Corp	​	16	​	4	​	2.09%
Apple Inc	​	32	​	4	​	2.09%
salesforce.com Inc	​	18	​	4	​	2.08%
American Tower Corp	​	16	​	4	​	2.07%
Facebook Inc	​	12	​	4	​	2.07%
The Blackstone Group LP	​	44	​	4	​	2.05%
Applied Materials Inc	​	30	​	4	​	2.05%
Amazon.com Inc	​	1	​	4	​	2.05%
TransDigm Group Inc	​	7	​	4	​	2.04%
Netflix Inc	​	8	​	4	​	2.03%
T-Mobile US Inc	​	29	​	4	​	2.03%
Liberty Broadband Corp	​	24	​	4	​	2.02%
Alphabet Inc	​	2	​	4	​	2.01%
Micron Technology Inc	​	49	​	4	​	2.01%
Charter Communications Inc	​	6	​	4	​	2.00%
Slack Technologies Inc	​	93	​	4	​	1.99%
Morgan Stanley	​	45	​	4	​	1.99%
Cheniere Energy Inc	​	47	​	4	​	1.99%
Visa Inc	​	18	​	4	​	1.98%
Autodesk Inc	​	14	​	4	​	1.96%
The Charles Schwab Corp	​	55	​	4	​	1.95%
The Walt Disney Co	​	23	​	4	​	1.94%
Wayfair Inc	​	13	​	4	​	1.93%
Uber Technologies Inc	​	80	​	4	​	1.93%
PG&E Corp	​	390	​	4	​	1.92%
Mastercard Inc	​	11	​	4	​	1.92%

See notes to unaudited financial statements.

76

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
HCA Healthcare Inc	​	19	​	4	​	1.92%
Interactive Brokers Group Inc	​	60	​	4	​	1.90%
Wells Fargo & Co	​	87	​	4	​	1.89%
Western Digital Corp	​	54	​	4	​	1.87%
Berkshire Hathaway Inc	​	14	​	4	​	1.86%
Willscot Mobile Mini Holdings Corp	​	138	​	4	​	1.86%
JPMorgan Chase & Co	​	25	​	4	​	1.85%
Expedia Group Inc	​	23	​	4	​	1.84%
Crown Holdings Inc	​	37	​	4	​	1.83%
Aon PLC	​	16	​	4	​	1.83%
Fidelity National Information Services Inc	​	27	​	4	​	1.82%
Booking Holdings Inc	​	2	​	4	​	1.81%
Altice USA Inc	​	109	​	4	​	1.80%
Fiserv Inc	​	35	​	4	​	1.79%
Cigna Corp	​	15	​	4	​	1.76%

(k)

A long portfolio of stocks based on public 13F filings.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Pinterest Inc	​	1,976	​	156	​	2.43%
Twilio Inc	​	382	​	151	​	2.35%
Carvana Co	​	486	​	147	​	2.29%
Fate Therapeutics Inc	​	1,655	​	144	​	2.24%
eBay Inc	​	2,028	​	142	​	2.22%
Square Inc	​	583	​	142	​	2.22%
PayPal Holdings Inc	​	481	​	140	​	2.19%
Moody’s Corp	​	373	​	135	​	2.11%
Zillow Group Inc	​	1,100	​	134	​	2.10%
Microsoft Corp	​	495	​	134	​	2.09%
Apple Inc	​	977	​	134	​	2.09%
salesforce.com Inc	​	546	​	133	​	2.08%
American Tower Corp	​	492	​	133	​	2.07%
Facebook Inc	​	382	​	133	​	2.07%
The Blackstone Group LP	​	1,355	​	132	​	2.05%
Applied Materials Inc	​	922	​	131	​	2.05%
Amazon.com Inc	​	38	​	131	​	2.05%
TransDigm Group Inc	​	202	​	131	​	2.04%
Netflix Inc	​	247	​	130	​	2.03%

See notes to unaudited financial statements.

77

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
T-Mobile US Inc	​	899	​	130	​	2.03%
Liberty Broadband Corp	​	746	​	129	​	2.02%
Alphabet Inc	​	53	​	129	​	2.01%
Micron Technology Inc	​	1,513	​	129	​	2.01%
Charter Communications Inc	​	178	​	128	​	2.00%
Slack Technologies Inc	​	2,882	​	128	​	1.99%
Morgan Stanley	​	1,389	​	127	​	1.99%
Cheniere Energy Inc	​	1,467	​	127	​	1.99%
Visa Inc	​	542	​	127	​	1.98%
Autodesk Inc	​	430	​	125	��	1.96%
The Charles Schwab Corp	​	1,718	​	125	​	1.95%
The Walt Disney Co	​	708	​	124	​	1.94%
Wayfair Inc	​	392	​	124	​	1.93%
Uber Technologies Inc	​	2,469	​	124	​	1.93%
PG&E Corp	​	12,088	​	123	​	1.92%
Mastercard Inc	​	337	​	123	​	1.92%
HCA Healthcare Inc	​	594	​	123	​	1.92%
Interactive Brokers Group Inc	​	1,848	​	121	​	1.90%
Wells Fargo & Co	​	2,680	​	121	​	1.89%
Western Digital Corp	​	1,683	​	120	​	1.87%
Berkshire Hathaway Inc	​	430	​	119	​	1.86%
Willscot Mobile Mini Holdings Corp	​	4,281	​	119	​	1.86%
JPMorgan Chase & Co	​	761	​	118	​	1.85%
Expedia Group Inc	​	720	​	118	​	1.84%
Crown Holdings Inc	​	1,149	​	117	​	1.83%
Aon PLC	​	490	​	117	​	1.83%
Fidelity National Information Services Inc	​	825	​	117	​	1.82%
Booking Holdings Inc	​	53	​	116	​	1.81%
Altice USA Inc	​	3,385	​	116	​	1.80%
Fiserv Inc	​	1,073	​	115	​	1.79%
Cigna Corp	​	476	​	113	​	1.76%

See notes to unaudited financial statements.

78

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

(l)

Long position in a basket of U.S. stocks that look attractively priced based on the chosen value characteristics combined with an offsetting short position in an index to hedge the general market risk.

Top Underlying Components	Shares		Notional		Percentage of Notional
Index	​	​	​	​	​	​
S&P 500 Total Return Index	​	​	​	(505)	​	-86.50%
Common Stock	​	​	​	​	​	​
Biogen Inc	​	42	​	15	​	2.50%
eBay Inc	​	200	​	14	​	2.40%
Regeneron Pharmaceuticals Inc	​	24	​	13	​	2.30%
Dollar General Corp	​	59	​	13	​	2.20%
Jefferies Financial Group Inc	​	375	​	13	​	2.20%
The Kroger Co	​	335	​	13	​	2.20%
SLM Corp	​	613	​	13	​	2.20%
Tempur Sealy International Inc	​	328	​	13	​	2.20%
Amdocs Ltd	​	158	​	12	​	2.10%
AutoZone Inc	​	8	​	12	​	2.10%
Cardinal Health Inc	​	215	​	12	​	2.10%
CoreLogic Inc	​	153	​	12	​	2.10%
The Goldman Sachs Group Inc	​	32	​	12	​	2.10%
Herbalife Nutrition Ltd	​	232	​	12	​	2.10%
Lowe’s Cos Inc	​	63	​	12	​	2.10%
Philip Morris International Inc	​	124	​	12	​	2.10%
Quest Diagnostics Inc	​	93	​	12	​	2.10%
Service Corp International	​	229	​	12	​	2.10%
Aflac Inc	​	218	​	12	​	2.00%
The Allstate Corp	​	89	​	12	​	2.00%
Altria Group Inc	​	245	​	12	​	2.00%
American Financial Group Inc	​	94	​	12	​	2.00%
AutoNation Inc	​	123	​	12	​	2.00%
Berkshire Hathaway Inc	​	42	​	12	​	2.00%
CACI International Inc	​	46	​	12	​	2.00%
Conagra Brands Inc	​	321	​	12	​	2.00%
DaVita Inc	​	97	​	12	​	2.00%
Discovery Inc	​	381	​	12	​	2.00%
FirstEnergy Corp	​	314	​	12	​	2.00%
Fox Corp	​	314	​	12	​	2.00%
Intel Corp	​	208	​	12	​	2.00%
The JM Smucker Co	​	90	​	12	​	2.00%
Lockheed Martin Corp	​	31	​	12	​	2.00%

See notes to unaudited financial statements.

79

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Nexstar Media Group Inc	​	79	​	12	​	2.00%
Northrop Grumman Corp	​	32	​	12	​	2.00%
Oracle Corp	​	150	​	12	​	2.00%
Toll Brothers Inc	​	202	​	12	​	2.00%
Verizon Communications Inc	​	208	​	12	​	2.00%
Arrow Electronics Inc	​	97	​	11	​	1.90%
Bunge Ltd	​	142	​	11	​	1.90%
Celanese Corp	​	73	​	11	​	1.90%
Cigna Corp	​	47	​	11	​	1.90%
Entergy Corp	​	111	​	11	​	1.90%
Fidelity National Financial Inc	​	255	​	11	​	1.90%
HP Inc	​	367	​	11	​	1.90%
Louisiana-Pacific Corp	​	184	​	11	​	1.90%
New York Community Bancorp Inc	​	1006	​	11	​	1.90%
Owens Corning	​	113	​	11	​	1.90%
Voya Financial Inc	​	180	​	11	​	1.90%

(m)

A long portfolio of stocks based on public 13F filings.

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock	​	​	​	​	​	​
Twitter Inc	​	3,318	​	228	​	6.70%
Adobe Inc	​	385	​	226	​	6.62%
Intel Corp	​	3,335	​	187	​	5.49%
Apple Inc	​	1,269	​	174	​	5.10%
Microsoft Corp	​	640	​	173	​	5.09%
Roku Inc	​	369	​	170	​	4.97%
Elastic NV	​	1,079	​	157	​	4.61%
Facebook Inc	​	388	​	135	​	3.95%
Alphabet Inc	​	54	​	131	​	3.85%
Philip Morris International Inc	​	1,322	​	131	​	3.84%
The Home Depot Inc	​	400	​	127	​	3.74%
Chesapeake Energy Corp	​	2,431	​	126	​	3.70%
Lithia Motors Inc	​	355	​	122	​	3.58%
Planet Fitness Inc	​	1,606	​	121	​	3.55%
TripAdvisor Inc	​	2,971	​	120	​	3.51%
Ashland Global Holdings Inc	​	1,355	​	119	​	3.48%
CarMax Inc	​	552	​	71	​	2.09%
STAAR Surgical Co	​	446	​	68	​	1.99%

See notes to unaudited financial statements.

80

FS Long/Short Equity Fund

Unaudited Schedule of Investments — (continued)
As of June 30, 2021
(dollar values in thousands, except share and per share amounts)

 

Top Underlying Components	Shares		Notional		Percentage of Notional
Amazon.com Inc	​	20	​	68	​	1.99%
Applied Materials Inc	​	466	​	66	​	1.94%
Slack Technologies Inc	​	1,495	​	66	​	1.94%
Cheniere Energy Inc	​	762	​	66	​	1.94%
Morgan Stanley	​	716	​	66	​	1.93%
Comcast Corp	​	1,122	​	64	​	1.88%
Herbalife Nutrition Ltd	​	1,210	​	64	​	1.87%
The Progressive Corp	​	645	​	63	​	1.86%
Anthem Inc	​	162	​	62	​	1.82%
Marriott International Inc/MD	​	442	​	60	​	1.77%
IAC/InterActiveCorp	​	379	​	60	​	1.77%
Bausch Health Cos Inc	​	1,998	​	59	​	1.72%
LPL Financial Holdings Inc	​	434	​	59	​	1.72%

(n)

Short exposure in a stock market index of the 1,000 largest market cap stocks in the Russell 3000 Index, which seeks to be a benchmark of the entire US stock market.

Top Underlying Components	Notional		Percentage of Notional
Index	​	​	​	​
Russell 1000 Total Return Index	​	(2,607)	​	-100.00%

See notes to unaudited financial statements.

81

FS Series Trust

Unaudited Consolidated Statements of Assets and Liabilities
(dollar values in thousands, except share and per share data)

​	June 30, 2021
​	FS Multi-Strategy Alternatives Fund			FS Managed Futures Fund			​	FS Alternative Income Opportunities Fund
Assets	​	​	​	​	​	​	​	​	​	​
Investments, at fair value	​	$	115,063	​	$	2,085	​	​	$	6,846
Cash	​	​	—	​	​	—	​	​	​	33
Foreign currency, at fair value	​	​	131	​	​	—	​	​	​	9
Collateral held at broker(1)	​	​	24,357	​	​	—	​	​	​	—
Receivable for investments sold	​	​	908	​	​	—	​	​	​	17
Receivable from Fund shares sold	​	​	411	​	​	—	​	​	​	—
Receivable due from investment manager	​	​	983	​	​	138	​	​	​	244
Dividends receivable	​	​	6	​	​	—	​	​	​	—
Interest receivable	​	​	559	​	​	—	​	​	​	58
Unrealized appreciation on forward foreign currency exchange contracts	​	​	106	​	​	—	​	​	​	—
Unrealized appreciation on swap contracts(2)	​	​	1,426	​	​	81	​	​	​	69
Receivable for variation margin on futures contracts	​	​	119	​	​	—	​	​	​	—
Payment due from broker	​	​	32	​	​	—	​	​	​	47
Prepaid expenses and other assets	​	​	113	​	​	—	​	​	​	—
Total assets	​	$	144,214	​	$	2,304	​	​	$	7,323
Liabilities	​	​	​	​	​	​	​	​	​	​
Investments sold short, at fair value	​	​	6,954	​	​	—	​	​	​	—
Unrealized depreciation on forward foreign currency exchange contracts	​	​	139	​	​	—	​	​	​	—
Payable for variation margin on futures contracts	​	​	11	​	​	—	​	​	​	—
Unrealized depreciation on swap contracts(2)	​	​	2,299	​	​	2	​	​	​	118
Due to custodian	​	​	—	​	​	2	​	​	​	—
Payable for investments purchased	​	​	1,504	​	​	—	​	​	​	—
Payment due to broker	​	​	74	​	​	—	​	​	​	—
Payable for Fund shares repurchased	​	​	26	​	​	—	​	​	​	—
Dividends payable	​	​	7	​	​	—	​	​	​	—
Management fees payable	​	​	762	​	​	—	���	​	​	—
Administrative services expense payable	​	​	384	​	​	41	​	​	​	121
Accounting and administrative fees payable	​	​	200	​	​	31	​	​	​	36
Professional fees payable	​	​	183	​	​	22	​	​	​	23
Trustees’ fees payable	​	​	27	​	​	1	​	​	​	1
Interest payable for investment sold short	​	​	66	​	​	—	​	​	​	—
Service fee – Class A	​	​	2	​	​	—	​	​	​	—
Other accrued expenses and liabilities	​	​	160	​	​	25	​	​	​	24
Total liabilities	​	$	12,798	​	$	124	​	​	$	323
Net assets	​	$	131,416	​	$	2,180	​	​	$	7,000

See notes to unaudited consolidated financial statements.

82

FS Series Trust

Unaudited Consolidated Statements of Assets and Liabilities — (continued)
(dollar values in thousands, except share and per share data)

 

​	June 30, 2021
​	FS Multi-Strategy Alternatives Fund			FS Managed Futures Fund			FS Alternative Income Opportunities Fund
Composition of net assets	​	​	​	​	​	​	​	​	​
Common shares, $0.001 par value	​	$	12	​	$	—	​	$	1
Capital in excess of par value	​	​	127,862	​	​	2,011	​	​	7,020
Accumulated earnings (deficit)	​	​	3,542	​	​	169	​	​	(21)
Net assets	​	$	131,416	​	$	2,180	​	$	7,000
Investments, at amortized cost	​	$	111,508	​	$	2,085	​	$	6,787
Foreign currency, at cost	​	$	120	​	$	—	​	$	9
Investments sold short, at proceeds	​	$	6,666	​	$	—	​	$	—
Commitments and contingencies(3)	​	$	—	​	$	—	​	$	—
Class A Shares	​	​	​	​	​	​	​	​	​
Net Assets	​	$	8,952	​	$	27	​	$	25
Shares Outstanding	​	​	842,214	​	​	2,500	​	​	2,500
Net Asset Value (“NAV”) and Redemption Price Per Share (net assets ÷ shares outstanding)	​	$	10.63	​	$	10.82	​	$	9.83
Maximum Offering Price Per Share (NAV ÷ 94.25% of net asset value per share)	​	$	11.28	​	$	11.48	​	$	10.43
Class I Shares	​	​	​	​	​	​	​	​	​
Net Assets	​	$	122,464	​	$	2,153	​	$	6,975
Shares Outstanding	​	​	11,476,301	​	​	198,693	​	​	709,406
Net Asset Value and Redemption Price Per Share (net assets ÷ shares outstanding)	​	$	10.67	​	$	10.84	​	$	9.83

(1)

Represents cash on deposit at broker.

(2)

See Note 7 for a discussion of the Fund’s total return swap agreements.

(3)

See Note 11 for a discussion of the Fund’s commitments and contingencies.

See notes to unaudited consolidated financial statements.

83

FS Series Trust

Unaudited Consolidated Statements of Assets and Liabilities — (continued)
(dollar values in thousands, except share and per share data)

 

​	June 30, 2021
​	FS Real Asset Fund			FS Long/Short Equity Fund
Assets	​	​	​	​	​	​
Investments, at fair value	​	$	1,954	​	$	6,149
Collateral held at broker(1)	​	​	540	​	​	210
Receivable from Fund shares sold	​	​	—	​	​	1
Receivable due from investment manager	​	​	147	​	​	335
Unrealized appreciation on swap contracts(2)	​	​	7	​	​	520
Payment due from broker	​	​	6	​	​	—
Total assets	​	$	2,654	​	$	7,215
Liabilities	​	​	​	​	​	​
Unrealized depreciation on swap contracts(2)	​	​	—	​	​	834
Payment due to broker	​	​	—	​	​	1
Payable for Fund shares repurchased	​	​	—	​	​	37
Management fees payable	​	​	—	​	​	47
Administrative services expense payable	​	​	51	​	​	162
Accounting and administrative fees payable	​	​	27	​	​	52
Professional fees payable	​	​	22	​	​	16
Trustees’ fees payable	​	​	1	​	​	—
Service fee – Class A	​	​	—	​	​	—
Other accrued expenses and liabilities	​	​	23	​	​	25
Total liabilities	​	$	124	​	$	1,174
Net assets	​	$	2,530	​	$	6,041
Composition of net assets	​	​	​	​	​	​
Common shares, $0.001 par value, unlimited shares authorized	​	$	—	​	$	1
Capital in excess of par value	​	​	2,027	​	​	6,043
Accumulated earnings (deficit)	​	​	503	​	​	(3)
Net assets	​	$	2,530	​	$	6,041
Investments, at amortized cost	​	$	1,954	​	$	6,149
Commitments and contingencies(3)	​	$	—	​	$	—
Class A Shares	​	​	​	​	​	​
Net Assets	​	$	31	​	$	1,479
Shares Outstanding	​	​	2,500	​	​	156,914
Net Asset Value (“NAV”) and Redemption Price Per Share (net assets ÷ shares outstanding)	​	$	12.35	​	$	9.43
Maximum Offering Price Per Share (NAV ÷ 94.25% of net asset value per share)	​	$	13.10	​	$	10.01
Class I Shares	​	​	​	​	​	​
Net Assets	​	$	2,499	​	$	4,562
Shares Outstanding	​	​	202,240	​	​	482,667
Net Asset Value and Redemption Price Per Share (net assets ÷ shares outstanding)	​	$	12.36	​	$	9.45

(1)

Represents cash on deposit at broker.

(2)

See Note 7 for a discussion of the Fund’s total return swap agreements.

(3)

See Note 11 for a discussion of the Fund’s commitments and contingencies.

See notes to unaudited consolidated financial statements.

84

FS Series Trust

Unaudited Consolidated Statements of Operations
(dollar values in thousands)

​	Six Months Ended June 30, 2021
​	FS Multi-Strategy Alternatives Fund			FS Managed Futures Fund			FS Alternative Income Opportunities Fund
Investment income	​	​	​	​	​	​	​	​	​
Interest income	​	$	983	​	$	—	​	$	128
Dividend income*	​	​	55	​	​	1	​	​	—
Total investment income	​	​	1,038	​	​	1	​	​	128
Operating expenses	​	​	​	​	​	​	​	​	​
Management fees	​	​	762	​	​	12	​	​	40
Administrative services expenses	​	​	497	​	​	52	​	​	160
Accounting and administrative fees	​	​	150	​	​	23	​	​	27
Other professional fees	​	​	179	​	​	13	​	​	13
Audit fees	​	​	82	​	​	13	​	​	13
Legal fees	​	​	63	​	​	11	​	​	11
Trustees’ fees	​	​	11	​	​	—	​	​	—
Distribution and service fees – Class A	​	​	9	​	​	—	​	​	—
Dividend and interest expense on securities sold short	​	​	19	​	​	—	​	​	—
Other general and administrative expenses	​	​	261	​	​	29	​	​	28
Total operating expenses	​	​	2,033	​	​	153	​	​	292
Less: Expense reimbursement from sponsor(1)	​	​	(983)	​	​	(138)	​	​	(244)
Less: Waiver from adviser(1)	​	​	—	​	​	(12)	​	​	(40)
Net operating expenses	​	​	1,050	​	​	3	​	​	8
Net investment income (loss)	​	​	(12)	​	​	(2)	​	​	120
Realized and unrealized gain/loss	​	​	​	​	​	​	​	​	​
Net realized gain (loss) on investments	​	​	1,732	​	​	—	​	​	50
Net realized gain (loss) on forward foreign currency exchange contracts	​	​	(247)	​	​	—	​	​	—
Net realized gain (loss) on total return swaps(2)	​	​	9,195	​	​	90	​	​	(71)
Net realized gain (loss) on futures contracts	​	​	789	​	​	—	​	​	—
Net realized gain (loss) on foreign currency	​	​	135	​	​	—	​	​	—
Net change in unrealized appreciation (depreciation) on investments	​	​	(1,234)	​	​	—	​	​	38
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts	​	​	(31)	​	​	—	​	​	—
Net change in unrealized appreciation (depreciation) on total return swaps(2)	​	​	(695)	​	​	14	​	​	25
Net change in unrealized appreciation (depreciation) on investments sold short	​	​	583	​	​	—	​	​	—
Net change in unrealized appreciation (depreciation) on futures contracts	​	​	108	​	​	—	​	​	—
Net change in unrealized gain (loss) on foreign currency	​	​	(29)	​	​	—	​	​	—
Total net realized gain (loss) and unrealized appreciation (depreciation)	​	​	10,306	​	​	104	​	​	42
Net increase (decrease) in net assets resulting from operations	​	$	10,294	​	$	102	​	$	162
* Net of tax withholding	​	$	3	​	$	—	​	$	—

(1)

See Note 4 for a discussion of reimbursements payable to the Fund by its investment adviser and affiliates.

(2)

See Note 7 for a discussion of the Fund’s total return swap agreements.

See notes to unaudited consolidated financial statements.

85

FS Series Trust

Unaudited Consolidated Statements of Operations — (continued)
(dollar values in thousands)

 

​	Six Months Ended June 30, 2021
​	FS Real Asset Fund			FS Long/Short Equity Fund
Investment income	​	​	​	​	​	​
Dividend income*	​	$	1	​	$	5
Interest income	​	​	—	​	​	—
Total investment income	​	​	1	​	​	5
Operating expenses	​	​	​	​	​	​
Management fees	​	​	14	​	​	86
Administrative services expenses	​	​	64	​	​	202
Accounting and administrative fees	​	​	20	​	​	38
Other professional fees	​	​	13	​	​	13
Audit fees	​	​	13	​	​	13
Legal fees	​	​	10	​	​	9
Trustees’ fees	​	​	—	​	​	2
Distribution and service fees – Class A	​	​	—	​	​	2
Other general and administrative expenses	​	​	30	​	​	79
Total operating expenses	​	​	164	​	​	444
Less: Expense reimbursement from sponsor(1)	​	​	(147)	​	​	(335)
Less: Waiver from adviser(1)	​	​	(14)	​	​	(39)
Net operating expenses	​	​	3	​	​	70
Net investment (loss)	​	​	(2)	​	​	(65)
Realized and unrealized gain/loss	​	​	​	​	​	​
Net realized gain (loss) on investments	​	​	—	​	​	42
Net realized gain (loss) on total return swaps(2)	​	​	425	​	​	1,074
Net change in unrealized appreciation (depreciation) on investments	​	​	—	​	​	4
Net change in unrealized appreciation (depreciation) on total return swaps(2)	​	​	(75)	​	​	(2,165)
Total net realized gain (loss) and unrealized appreciation (depreciation)	​	​	350	​	​	(1,045)
Net increase (decrease) in net assets resulting from operations	​	$	348	​	$	(1,110)
* Net of tax withholding	​	$	—	​	$	—

(1)

See Note 4 for a discussion of reimbursements payable to the Fund by its investment adviser and affiliates.

(2)

See Note 7 for a discussion of the Fund’s total return swap agreements.

See notes to unaudited consolidated financial statements.

86

FS Series Trust

Consolidated Statements of Changes in Net Assets
(dollar values in thousands)

​

FS Multi-Strategy Alternatives Fund

FS Managed Futures Fund

​

Six Months Ended June 30, 2021 (Unaudited)

Year Ended December 31, 2020

Six Months Ended June 30, 2021 (Unaudited)

Year Ended December 31, 2020

Operations

​

​

​

​

​

​

​

​

​

​

​

​

Net investment income (loss)

​

$

(12)

​

$

757

​

$

(2)

​

$

5

Net realized gain (loss)

​

​

11,604

​

​

(6,129)

​

​

90

​

​

120

Net change in unrealized appreciation (depreciation) on investments

​

​

(1,234)

​

​

(3,088)

​

​

—

​

​

—

Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

​

​

(31)

​

​

7

​

​

—

​

​

—

Net change in unrealized appreciation (depreciation) on total return swaps(1)

​

​

(695)

​

​

735

​

​

14

​

​

87

Net change in unrealized appreciation (depreciation) on investments sold short

​

​

583

​

​

(223)

​

​

—

​

​

—

Net change in unrealized appreciation (depreciation) on futures contracts

​

​

108

​

​

—

​

​

—

​

​

—

Net change in unrealized gain (loss) on foreign currency

​

​

(29)

​

​

3

​

​

—

​

​

—

Net increase (decrease) in net assets resulting from operations

​

​

10,294

​

​

(7,938)

​

​

102

​

​

212

Shareholder distributions

​

​

​

​

​

​

​

​

​

​

​

​

Distributions to shareholders

​

​

​

​

​

​

​

​

​

​

​

​

Class A

​

​

—

​

​

(32)

​

​

—

​

​

(2)

Class I

​

​

—

​

​

(969)

​

​

—

​

​

(135)

Net decrease in net assets resulting from shareholder distributions

​

​

—

​

​

(1,001)

​

​

—

​

​

(137)

Capital share transactions(2)

​

​

​

​

​

​

​

​

​

​

​

​

Net increase (decrease) in net assets resulting from capital share transactions

​

​

(7,581)

​

​

(57,874)

​

​

—

​

​

1

Total increase (decrease) in net assets

​

​

2,713

​

​

(66,813)

​

​

102

​

​

76

Net assets at beginning of period

​

​

128,703

​

​

195,516

​

​

2,078

​

​

2,002

Net assets at end of period

​

$

131,416

​

$

128,703

​

$

2,180

​

$

2,078

(1)

See Note 7 for a discussion of the Fund’s total return swap agreements.

(2)

See Note 3 for a discussion of the Fund’s common share transactions.

See notes to unaudited consolidated financial statements.

87

FS Series Trust

Consolidated Statements of Changes in Net Assets — (continued)
(dollar values in thousands)

 

​

FS Alternative Income Opportunities Fund

FS Real Asset Fund

​

Six Months Ended June 30, 2021 (Unaudited)

Year Ended December 31, 2020

Six Months Ended June 30, 2021 (Unaudited)

Year Ended December 31, 2020

Operations

​

​

​

​

​

​

​

​

​

​

​

​

Net investment income (loss)

​

$

120

​

$

21

​

$

(2)

​

$

7

Net realized gain (loss)

​

​

(21)

​

​

(25)

​

​

425

​

​

144

Net change in unrealized appreciation (depreciation) on investments

​

​

38

​

​

14

​

​

—

​

​

(28)

Net change in unrealized appreciation (depreciation) on total return swaps(1)

​

​

25

​

​

(71)

​

​

(75)

​

​

55

Net increase (decrease) in net assets resulting from operations

​

​

162

​

​

(61)

​

​

348

​

​

178

Shareholder distributions

​

​

​

​

​

​

​

​

​

​

​

​

Distributions to shareholders

​

​

​

​

​

​

​

​

​

​

​

​

Class A

​

​

—

​

​

—

​

​

—

​

​

(1)

Class I

​

​

(92)

​

​

(35)

​

​

(12)

​

​

(88)

Return of capital:

​

​

​

​

​

​

​

​

​

​

​

​

Class A

​

​

—

​

​

—

​

​

—

​

​

—

Class I

​

​

—

​

​

(18)

​

​

—

​

​

—

Net decrease in net assets resulting from shareholder distributions

​

​

(92)

​

​

(53)

​

​

(12)

​

​

(89)

Capital share transactions(2)

​

​

​

​

​

​

​

​

​

​

​

​

Net increase (decrease) in net assets resulting from capital share transactions

​

​

—

​

​

5,000

​

​

—

​

​

(997)

Total increase (decrease) in net assets

​

​

70

​

​

4,886

​

​

336

​

​

(908)

Net assets at beginning of period

​

​

6,930

​

​

2,044

​

​

2,194

​

​

3,102

Net assets at end of period

​

$

7,000

​

$

6,930

​

$

2,530

​

$

2,194

(1)

See Note 7 for a discussion of the Fund’s total return swap agreements.

(2)

See Note 3 for a discussion of the Fund’s common share transactions.

See notes to unaudited consolidated financial statements.

88

FS Series Trust

Consolidated Statements of Changes in Net Assets — (continued)
(dollar values in thousands)

 

​	FS Long/Short Equity Fund
​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020
Operations	​	​	​	​	​	​
Net investment (loss)	​	$	(65)	​	$	(113)
Net realized gain (loss)	​	​	1,116	​	​	(170)
Net change in unrealized appreciation (depreciation) on investments	​	​	4	​	​	(4)
Net change in unrealized appreciation (depreciation) on total return swaps(1)	​	​	(2,165)	​	​	1,941
Net increase (decrease) in net assets resulting from operations	​	​	(1,110)	​	​	1,654
Shareholder distributions	​	​	​	​	​	​
Distributions to shareholders	​	​	​	​	​	​
Class A	​	​	—	​	​	(24)
Class I	​	​	—	​	​	(463)
Net decrease in net assets resulting from shareholder distributions	​	​	—	​	​	(487)
Capital share transactions(2)	​	​	​	​	​	​
Net increase (decrease) in net assets resulting from capital share transactions	​	​	(19,952)	​	​	22,488
Total increase (decrease) in net assets	​	​	(21,062)	​	​	23,655
Net assets at beginning of period	​	​	27,103	​	​	3,448
Net assets at end of period	​	$	6,041	​	$	27,103

(1)

See Note 7 for a discussion of the Fund’s total return swap agreements.

(2)

See Note 3 for a discussion of the Fund’s common share transactions.

See notes to unaudited consolidated financial statements.

89

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Financial Highlights — Class A Shares
(in thousands, except share and per share amounts)

​

Six Months Ended June 30, 2021 (Unaudited)

Year Ended December 31, 2020

Year Ended December 31, 2019

Year Ended December 31, 2018

Period from May 16, 2017 (Commencement of Operations) through December 31, 2017

Per Share Data:(1)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net asset value, beginning of period

​

$

9.77

​

$

10.22

​

$

9.68

​

$

10.18

​

$

10.00

Results of operations

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net investment income(2)

​

​

(0.01)

​

​

0.02

​

​

0.15

​

​

0.15

​

​

0.05

Net realized gain (loss) and unrealized appreciation (depreciation) on investments

​

​

0.87

​

​

(0.43)

​

​

0.59

​

​

(0.57)

​

​

0.13

Net increase (decrease) in net assets resulting from operations

​

​

0.86

​

​

(0.41)

​

​

0.74

​

​

(0.42)

​

​

0.18

Shareholder Distributions:(3)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Distributions from net investment income

​

​

—

​

​

(0.04)

​

​

(0.20)

​

​

—

​

​

—

Distributions from net realized gain on investments

​

​

—

​

​

—

​

​

—

​

​

(0.08)

​

​

—

Net increase (decrease) in net assets resulting from shareholder distributions

​

​

—

​

​

(0.04)

​

​

(0.20)

​

​

(0.08)

​

​

—

Net asset value, end of period

​

$

10.63

​

$

9.77

​

$

10.22

​

$

9.68

​

$

10.18

Shares outstanding, end of period

​

​

842,214

​

​

720,143

​

​

1,073,885

​

​

776,764

​

​

281,056

Total return(4)

​

​

8.80%

​

​

(3.99)%

​

​

7.68%

​

​

(4.12)%

​

​

1.80%(5)

Ratio/Supplemental Data:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net assets, end of period

​

$

8,952

​

$

7,036

​

$

10,973

​

$

7,521

​

$

2,860

Ratio of net investment income to average net assets(6)(7)

​

​

(0.28)%

​

​

0.22%

​

​

1.46%

​

​

1.55%

​

​

0.81%

Ratio of total operating expenses to average net assets(6)

​

​

3.59%

​

​

3.42%

​

​

3.55%

​

​

3.63%

​

​

5.34%

Ratio of expense reimbursement and waiver from sponsor to average net assets(6)

​

​

(1.61)%

​

​

(1.01)%

​

​

(1.74)%

​

​

(2.76)%

​

​

(4.57)%

Ratio of net operating expenses to average net assets(6)

​

​

1.98%

​

​

2.41%

​

​

1.81%

​

​

0.87%

​

​

0.77%

Portfolio turnover rate(5)

​

​

88%

​

​

244%

​

​

178%

​

​

317%

​

​

133%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class A common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the

See notes to unaudited consolidated financial statements.

90

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Financial Highlights — Class A Shares — (continued)
(in thousands, except share and per share amounts)

 

Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Information presented is not annualized.

(6)

Average daily net assets for the applicable period is used for this calculation. Data for periods of less than one year is annualized.

(7)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (1.89)%, (0.79)%, (0.28)%, (1.21)% and (3.76)% for the six months ended June 30, 2021, years ended December 31, 2020, 2019 and 2018, and for the period from May 16, 2017 (Commencement of Operations) through December 31, 2017, respectively.

See notes to unaudited consolidated financial statements.

91

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Financial Highlights — Class I Shares
(in thousands, except share and per share amounts)

​

Six Months Ended June 30, 2021 (Unaudited)

Year Ended December 31, 2020

Year Ended December 31, 2019

Year Ended December 31, 2018

Period from May 16, 2017 (Commencement of Operations) through December 31, 2017

Per Share Data:(1)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net asset value, beginning of period

​

$

9.80

​

$

10.25

​

$

9.72

​

$

10.19

​

$

10.00

Results of operations

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net investment income(2)

​

​

—

​

​

0.04

​

​

0.17

​

​

0.18

​

​

0.06

Net realized gain (loss) and unrealized appreciation (depreciation) on investments

​

​

0.87

​

​

(0.41)

​

​

0.59

​

​

(0.57)

​

​

0.13

Net increase (decrease) in net assets resulting from operations

​

​

0.87

​

​

(0.37)

​

​

0.76

​

​

(0.39)

​

​

0.19

Shareholder Distributions:(3)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Distributions from net investment income

​

​

—

​

​

(0.08)

​

​

(0.23)

​

​

—

​

​

—

Distributions from net realized gain on investments

​

​

—

​

​

—

​

​

—

​

​

(0.08)

​

​

—

Net increase (decrease) in net assets resulting from shareholder distributions

​

​

—

​

​

(0.08)

​

​

(0.23)

​

​

(0.08)

​

​

—

Net asset value, end of period

​

$

10.67

​

$

9.80

​

$

10.25

​

$

9.72

​

$

10.19

Shares outstanding, end of period

​

​

11,476,301

​

​

12,418,229

​

​

17,997,221

​

​

9,241,564

​

​

5,043,239

Total return(4)

​

​

8.88%

​

​

(3.65)%

​

​

7.77%

​

​

(3.82)%

​

​

1.90%(5)

Ratio/Supplemental Data:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net assets, end of period

​

$

122,464

​

$

121,667

​

$

184,543

​

$

89,799

​

$

51,387

Ratio of net investment income to average net assets(6)(7)

​

​

(0.02)%

​

​

0.46%

​

​

1.65%

​

​

1.80%

​

​

0.88%

Ratio of total operating expenses to average net assets(6)

​

​

3.34%

​

​

3.17%

​

​

3.28%

​

​

3.54%

​

​

4.62%

Ratio of expense reimbursement from sponsor to average net assets(6)

​

​

(1.61)%

​

​

(1.01)%

​

​

(1.69)%

​

​

(2.91)%

​

​

(4.10)%

Ratio of net operating expenses to average net assets(6)

​

​

1.73%

​

​

2.16%

​

​

1.59%

​

​

0.63%

​

​

0.52%

Portfolio turnover rate(5)

​

​

88%

​

​

244%

​

​

178%

​

​

317%

​

​

133%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class I common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the

See notes to unaudited consolidated financial statements.

92

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Financial Highlights — Class I Shares — (continued)
(in thousands, except share and per share amounts)

 

Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Information presented is not annualized.

(6)

Average daily net assets for the applicable period is used for this calculation. Data for periods of less than one year is annualized.

(7)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (1.63)%, (0.55)%, (0.04)%, (1.10)% and (3.22)% for the six months ended June 30, 2021, years ended December 31, 2020, 2019 and 2018, and for the period from May 16, 2017 (Commencement of Operations) through December 31, 2017, respectively.

See notes to unaudited consolidated financial statements.

93

FS Managed Futures Fund

Unaudited Consolidated Financial Highlights — Class A Shares
(in thousands, except share and per share amounts)

​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019
Per Share Data:(1)	​	​	​	​	​	​	​	​	​
Net asset value, beginning of year	​	$	10.33	​	$	9.96	​	$	10.00
Results of operations	​	​	​	​	​	​	​	​	​
Net investment income (loss)(2)	​	​	(0.02)	​	​	(0.00)	​	​	0.18
Net realized gain (loss) and unrealized appreciation (depreciation) on investments	​	​	0.51	​	​	1.02	​	​	(0.19)
Net increase (decrease) in net assets resulting from operations	​	​	0.49	​	​	1.02	​	​	(0.01)
Shareholder Distributions:(3)	​	​	​	​	​	​	​	​	​
Distributions from net investment income	​	​	—	​	​	(0.65)	​	​	(0.03)
Net increase (decrease) in net assets resulting from shareholder distributions	​	​	—	​	​	(0.65)	​	​	(0.03)
Net asset value, end of year	​	$	10.82	​	$	10.33	​	$	9.96
Shares outstanding, end of year	​	​	2,500	​	​	2,500	​	​	2,500
Total return(4)	​	​	4.74%	​	​	10.55%	​	​	(0.15)%
Ratio/Supplemental Data:	​	​	​	​	​	​	​	​	​
Net assets, end of year	​	$	27	​	$	26	​	$	25
Ratio of net investment income (loss) to average net assets(5)(6)	​	​	(0.43)%	​	​	(0.03)%	​	​	1.77%
Ratio of total operating expenses to average net assets(5)	​	​	14.62%	​	​	13.13%	​	​	10.14%
Ratio of expense reimbursement and waiver from sponsor to average net assets(5)	​	​	(14.12)%	​	​	(12.63)%	​	​	(9.64)%
Ratio of net operating expenses to average net assets(5)	​	​	0.50%	​	​	0.50%	​	​	0.50%
Portfolio turnover rate(7)	​	​	—%	​	​	—%	​	​	—%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class A common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Average daily net assets is used for this calculation.

(6)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (14.55)%, (12.66)% and (7.87)% for the six months ended June 30, 2021 and years ended December 31, 2020 and 2019, respectively.

(7)

Information presented is not annualized.

See notes to unaudited consolidated financial statements.

94

FS Managed Futures Fund

Unaudited Consolidated Financial Highlights — Class I Shares
(in thousands, except share and per share amounts)

​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019
Per Share Data:(1)	​	​	​	​	​	​	​	​	​
Net asset value, beginning of year	​	$	10.33	​	$	9.96	​	$	10.00
Results of operations	​	​	​	​	​	​	​	​	​
Net investment income(2)	​	​	(0.01)	​	​	0.02	​	​	0.20
Net realized gain (loss) and unrealized appreciation (depreciation) on investments	​	​	0.52	​	​	1.03	​	​	(0.18)
Net increase (decrease) in net assets resulting from operations	​	​	0.51	​	​	1.05	​	​	0.02
Shareholder Distributions:(3)	​	​	​	​	​	​	​	​	​
Distributions from net investment income	​	​	—	​	​	(0.68)	​	​	(0.06)
Net increase (decrease) in net assets resulting from shareholder distributions	​	​	—	​	​	(0.68)	​	​	(0.06)
Net asset value, end of year	​	$	10.84	​	$	10.33	​	$	9.96
Shares outstanding, end of year	​	​	198,693	​	​	198,693	​	​	198,617
Total return(4)	​	​	4.94%	​	​	10.83%	​	​	0.10%
Ratio/Supplemental Data:	​	​	​	​	​	​	​	​	​
Net assets, end of year	​	$	2,153	​	$	2,052	​	$	1,977
Ratio of net investment income to average net assets(5)(6)	​	​	(0.18)%	​	​	0.23%	​	​	2.02%
Ratio of total operating expenses to average net assets(5)	​	​	14.37%	​	​	12.88%	​	​	9.89%
Ratio of expense reimbursement and waiver from sponsor to average net assets(5)	​	​	(14.12)%	​	​	(12.63)%	​	​	(9.64)%
Ratio of net operating expenses to average net assets(5)	​	​	0.25%	​	​	0.25%	​	​	0.25%
Portfolio turnover rate(7)	​	​	—%	​	​	—%	​	​	—%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class I common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Average daily net assets is used for this calculation.

(6)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (14.30)%, (12.40)% and (7.62)% for the six months ended June 30, 2021 and years ended December 31, 2020 and 2019, respectively.

(7)

Information presented is not annualized.

See notes to unaudited consolidated financial statements.

95

FS Alternative Income Opportunities Fund

Unaudited Consolidated Financial Highlights — Class A Shares
(in thousands, except share and per share amounts)

​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019
Per Share Data:(1)	​	​	​	​	​	​	​	​	​
Net asset value, beginning of year	​	$	9.73	​	$	10.03	​	$	10.00
Results of operations	​	​	​	​	​	​	​	​	​
Net investment income(2)	​	​	0.15	​	​	0.01	​	​	0.18
Net realized gain (loss) and unrealized appreciation (depreciation) on investments	​	​	0.07	​	​	(0.17)	​	​	0.26
Net increase (decrease) in net assets resulting from operations	​	​	0.22	​	​	(0.16)	​	​	0.44
Shareholder Distributions:(3)	​	​	​	​	​	​	​	​	​
Distributions from net investment income	​	​	(0.12)	​	​	(0.10)	​	​	(0.41)
Distributions representing return of capital	​	​	—	​	​	(0.04)	​	​	—
Net increase (decrease) in net assets resulting from shareholder distributions	​	​	(0.12)	​	​	(0.14)	​	​	(0.41)
Net asset value, end of year	​	$	9.83	​	$	9.73	​	$	10.03
Shares outstanding, end of year	​	​	2,500	​	​	2,500	​	​	2,500
Total return(4)	​	​	2.22%	​	​	(1.65)%	​	​	4.42%
Ratio/Supplemental Data:	​	​	​	​	​	​	​	​	​
Net assets, end of year	​	$	25	​	$	24	​	$	25
Ratio of net investment income to average net assets(5)(6)	​	​	3.11%	​	​	0.12%	​	​	1.73%
Ratio of total operating expenses to average net assets(5)	​	​	8.68%	​	​	14.77%	​	​	10.88%
Ratio of expense reimbursement and waiver from sponsor to average net assets(5)	​	​	(8.18)%	​	​	(14.27)%	​	​	(10.38)%
Ratio of net operating expenses to average net assets(5)	​	​	0.50%	​	​	0.50%	​	​	0.50%
Portfolio turnover rate(7)	​	​	82%	​	​	84%	​	​	—%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class A common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Average daily net assets is used for this calculation.

(6)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (5.07)%, (14.15)% and (8.65)% for the six months ended June 30, 2021 and years ended December 31, 2020 and 2019, respectively.

(7)

Information presented is not annualized.

See notes to unaudited consolidated financial statements.

96

FS Alternative Income Opportunities Fund

Unaudited Consolidated Financial Highlights — Class I Shares
(in thousands, except share and per share amounts)

​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019
Per Share Data:(1)	​	​	​	​	​	​	​	​	​
Net asset value, beginning of year	​	$	9.74	​	$	10.03	​	$	10.00
Results of operations	​	​	​	​	​	​	​	​	​
Net investment income(2)	​	​	0.16	​	​	0.07	​	​	0.20
Net realized gain (loss) and unrealized appreciation (depreciation) on investments	​	​	0.06	​	​	(0.20)	​	​	0.27
Net increase (decrease) in net assets resulting from operations	​	​	0.22	​	​	(0.13)	​	​	0.47
Shareholder Distributions:(3)	​	​	​	​	​	​	​	​	​
Distributions from net investment income	​	​	(0.13)	​	​	(0.11)	​	​	(0.44)
Distributions representing return of capital	​	​	—	​	​	(0.05)	​	​	—
Net increase (decrease) in net assets resulting from shareholder distributions	​	​	(0.13)	​	​	(0.16)	​	​	(0.44)
Net asset value, end of year	​	$	9.83	​	$	9.74	​	$	10.03
Shares outstanding, end of year	​	​	709,406	​	​	709,356	​	​	201,167
Total return(4)	​	​	2.28%	​	​	(1.30)%	​	​	4.68%
Ratio/Supplemental Data:	​	​	​	​	​	​	​	​	​
Net assets, end of year	​	$	6,975	​	$	6,906	​	$	2,019
Ratio of net investment income to average net assets(5)(6)	​	​	3.35%	​	​	0.75%	​	​	1.98%
Ratio of total operating expenses to average net assets(5)	​	​	8.43%	​	​	14.82%	​	​	10.63%
Ratio of expense reimbursement and waiver from sponsor to average net assets(5)	​	​	(8.18)%	​	​	(14.57)%	​	​	(10.38)%
Ratio of net operating expenses to average net assets(5)	​	​	0.25%	​	​	0.25%	​	​	0.25%
Portfolio turnover rate(7)	​	​	82%	​	​	84%	​	​	—%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class I common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Average daily net assets is used for this calculation.

(6)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (4.83)%, (13.82)% and (8.40)% for the six months ended June 30, 2021 and years ended December 31, 2020 and 2019, respectively.

(7)

Information presented is not annualized.

See notes to unaudited consolidated financial statements.

97

FS Real Asset Fund

Unaudited Consolidated Financial Highlights — Class A Shares
(in thousands, except share and per share amounts)

​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019
Per Share Data:(1)	​	​	​	​	​	​	​	​	​
Net asset value, beginning of year	​	$	10.72	​	$	10.26	​	$	10.00
Results of operations	​	​	​	​	​	​	​	​	​
Net investment income (loss)(2)	​	​	(0.03)	​	​	(0.01)	​	​	0.18
Net realized gain (loss) and unrealized appreciation (depreciation) on investments	​	​	1.71	​	​	0.77	​	​	0.79
Net increase (decrease) in net assets resulting from operations	​	​	1.68	​	​	0.76	​	​	0.97
Shareholder Distributions:(3)	​	​	​	​	​	​	​	​	​
Distributions from net investment income	​	​	(0.05)	​	​	(0.30)	​	​	(0.71)
Net increase (decrease) in net assets resulting from shareholder distributions	​	​	(0.05)	​	​	(0.30)	​	​	(0.71)
Net asset value, end of year	​	$	12.35	​	$	10.72	​	$	10.26
Shares outstanding, end of year	​	​	2,500	​	​	2,500	​	​	2,500
Total return(4)	​	​	15.83%	​	​	7.69%	​	​	9.87%
Ratio/Supplemental Data:	​	​	​	​	​	​	​	​	​
Net assets, end of year	​	$	31	​	$	27	​	$	26
Ratio of net investment income (loss) to average net assets(5)(6)	​	​	(0.45)%	​	​	(0.06)%	​	​	1.72%
Ratio of total operating expenses to average net assets(5)	​	​	13.86%	​	​	11.21%	​	​	8.95%
Ratio of expense reimbursement and waiver from sponsor to average net assets(5)	​	​	(13.36)%	​	​	(10.71)%	​	​	(8.45)%
Ratio of net operating expenses to average net assets(5)	​	​	0.50%	​	​	0.50%	​	​	0.50%
Portfolio turnover rate(7)	​	​	—%	​	​	—%	​	​	—%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class A common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Average daily net assets is used for this calculation.

(6)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (13.81)%, (10.77)% and (6.73)% for the six months ended June 30, 2021 and years ended December 31, 2020 and 2019, respectively.

(7)

Information presented is not annualized.

See notes to unaudited consolidated financial statements.

98

FS Real Asset Fund

Unaudited Consolidated Financial Highlights — Class I Shares
(in thousands, except share and per share amounts)

​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019
Per Share Data:(1)	​	​	​	​	​	​	​	​	​
Net asset value, beginning of year	​	$	10.72	​	$	10.26	​	$	10.00
Results of operations	​	​	​	​	​	​	​	​	​
Net investment income(2)	​	​	(0.01)	​	​	0.02	​	​	0.21
Net realized gain (loss) and unrealized appreciation (depreciation) on investments	​	​	1.71	​	​	0.76	​	​	0.79
Net increase (decrease) in net assets resulting from operations	​	​	1.70	​	​	0.78	​	​	1.00
Shareholder Distributions:(3)	​	​	​	​	​	​	​	​	​
Distributions from net investment income	​	​	(0.06)	​	​	(0.32)	​	​	(0.74)
Net increase (decrease) in net assets resulting from shareholder distributions	​	​	(0.06)	​	​	(0.32)	​	​	(0.74)
Net asset value, end of year	​	$	12.36	​	$	10.72	​	$	10.26
Shares outstanding, end of year	​	​	202,240	​	​	202,227	​	​	299,740
Total return(4)	​	​	15.88%	​	​	8.07%	​	​	10.14%
Ratio/Supplemental Data:	​	​	​	​	​	​	​	​	​
Net assets, end of year	​	$	2,499	​	$	2,167	​	$	3,076
Ratio of net investment income to average net assets(5)(6)	​	​	(0.20)%	​	​	0.22%	​	​	1.97%
Ratio of total operating expenses to average net assets(5)	​	​	13.61%	​	​	10.95%	​	​	8.71%
Ratio of expense reimbursement and waiver from sponsor to average net assets(5)	​	​	(13.36)%	​	​	(10.70)%	​	​	(8.46)%
Ratio of net operating expenses to average net assets(5)	​	​	0.25%	​	​	0.25%	​	​	0.25%
Portfolio turnover rate(7)	​	​	—%	​	​	—%	​	​	—%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class I common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Average daily net assets is used for this calculation.

(6)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (13.56)%, (10.48)% and (6.49)% for the six months ended June 30, 2021 and years ended December 31, 2020 and 2019, respectively.

(7)

Information presented is not annualized.

See notes to unaudited consolidated financial statements.

99

FS Long/Short Equity Fund

Unaudited Consolidated Financial Highlights — Class A Shares
(in thousands, except share and per share amounts)

​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019
Per Share Data:(1)	​	​	​	​	​	​	​	​	​
Net asset value, beginning of year	​	$	9.63	​	$	9.85	​	$	10.00
Results of operations	​	​	​	​	​	​	​	​	​
Net investment income (loss)(2)	​	​	(0.05)	​	​	(0.05)	​	​	0.16
Net realized gain (loss) and unrealized appreciation (depreciation) on investments(2)	​	​	(0.15)	​	​	(0.02)	​	​	1.77
Net increase (decrease) in net assets resulting from operations	​	​	(0.20)	​	​	(0.07)	​	​	1.93
Shareholder Distributions:(3)	​	​	​	​	​	​	​	​	​
Distributions from net investment income	​	​	—	​	​	(0.15)	​	​	(2.08)
Net increase (decrease) in net assets resulting from shareholder distributions	​	​	—	​	​	(0.15)	​	​	(2.08)
Net asset value, end of year	​	$	9.43	​	$	9.63	​	$	9.85
Shares outstanding, end of year	​	​	156,914	​	​	157,289	​	​	151,605
Total return(4)	​	​	(2.08)%	​	​	(0.67)%	​	​	18.84%
Ratio/Supplemental Data:	​	​	​	​	​	​	​	​	​
Net assets, end of year	​	$	1,479	​	$	1,515	​	$	1,494
Ratio of net investment income (loss) to average net assets(5)(6)	​	​	(1.07)%	​	​	(0.58)%	​	​	1.50%
Ratio of total operating expenses to average net assets(5)	​	​	5.95%	​	​	4.75%	​	​	8.97%
Ratio of expense reimbursement and waiver from sponsor to average net assets(5)	​	​	(4.82)%	​	​	(3.65)%	​	​	(8.47)%
Ratio of net operating expenses to average net assets(5)	​	​	1.13%	​	​	1.10%	​	​	0.50%
Portfolio turnover rate(7)	​	​	—%	​	​	—%	​	​	—%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period. Net realized gain (loss) and unrealized appreciation (depreciation) does not align with the income statement due to the timing of capital activity during the year.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class A common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Average daily net assets is used for this calculation.

(6)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (5.89)%, (4.23)% and (6.97)% for the six months ended June 30, 2021 and years ended December 31, 2020 and 2019, respectively.

(7)

Information presented is not annualized.

See notes to unaudited consolidated financial statements.

100

FS Long/Short Equity Fund

Unaudited Consolidated Financial Highlights — Class I Shares
(in thousands, except share and per share amounts)

​	Six Months Ended June 30, 2021 (Unaudited)			Year Ended December 31, 2020			Year Ended December 31, 2019
Per Share Data:(1)	​	​	​	​	​	​	​	​	​
Net asset value, beginning of year	​	$	9.63	​	$	9.85	​	$	10.00
Results of operations	​	​	​	​	​	​	​	​	​
Net investment income (loss)(2)	​	​	(0.04)	​	​	(0.06)	​	​	0.24
Net realized gain (loss) and unrealized appreciation (depreciation) on investments	​	​	(0.14)	​	​	0.01	​	​	1.72
Net increase (decrease) in net assets resulting from operations	​	​	(0.18)	​	​	(0.05)	​	​	1.96
Shareholder Distributions:(3)	​	​	​	​	​	​	​	​	​
Distributions from net investment income	​	​	—	​	​	(0.17)	​	​	(2.11)
Net increase (decrease) in net assets resulting from shareholder distributions	​	​	—	​	​	(0.17)	​	​	(2.11)
Net asset value, end of year	​	$	9.45	​	$	9.63	​	$	9.85
Shares outstanding, end of year	​	​	482,667	​	​	2,658,132	​	​	198,299
Total return(4)	​	​	(1.87)%	​	​	(0.33)%	​	​	18.99%
Ratio/Supplemental Data:	​	​	​	​	​	​	​	​	​
Net assets, end of year	​	$	4,562	​	$	25,588	​	$	1,954
Ratio of net investment income (loss) to average net assets(5)(6)	​	​	(0.78)%	​	​	(0.62)%	​	​	2.14%
Ratio of total operating expenses to average net assets(5)	​	​	5.64%	​	​	4.58%	​	​	9.18%
Ratio of expense reimbursement and waiver from sponsor to average net assets(5)	​	​	(4.79)%	​	​	(3.73)%	​	​	(8.93)%
Ratio of net operating expenses to average net assets(5)	​	​	0.85%	​	​	0.85%	​	​	0.25%
Portfolio turnover rate(7)	​	​	—%	​	​	—%	​	​	—%

(1)

Per share data may be rounded in order to compute the ending net asset value per share.

(2)

The per share data was derived by using the average number of common shares outstanding during the applicable period.

(3)

The per share data for net decrease in net assets resulting from shareholder distributions reflects the actual amount of distributions declared per Class I common share during the applicable period.

(4)

The total return for each period presented is historical and is calculated by determining the percentage change in net asset value, assuming the reinvestment of all distributions in additional common shares of the same class of the Fund at such class’s net asset value per share on the ex-dividend date. The total return does not consider the effect of any selling commissions or charges that may be incurred in connection with the sale of the Fund’s common shares. The historical calculation of total return in the table should not be considered a representation of the Fund’s future total return, which may be greater or less than the total return shown in the table due to a number of factors, including, among others, the Fund’s ability or inability to make investments that meet its investment criteria, the interest rates payable on the debt securities the Fund acquires, the level of the Fund’s expenses, the amount of the expense limitation, if any, variations in and the timing of the recognition of realized and unrealized gains or losses, the degree to which the Fund encounters competition in its markets and general economic conditions. As a result of these and other factors, results for any previous period should not be relied upon as being indicative of performance in future periods. The total return calculations set forth above represent the total return on the Fund during the applicable period on a per class basis and do not represent an actual return to shareholders.

(5)

Average daily net assets is used for this calculation.

(6)

Had the sponsor not reimbursed certain operating expenses, the ratio of net investment income (loss) to average net assets would have been (5.57)%, (4.35)% and (6.79)% for the six months ended June 30, 2021 and years ended December 31, 2020 and 2019, respectively.

(7)

Information presented is not annualized.

See notes to unaudited consolidated financial statements.

101

FS Series Trust

Notes to Unaudited Consolidated Financial Statements
(dollar values in thousands, except share and per share amounts)

Note 1. Principal Business and Organization

FS Series Trust (the “Trust”) was organized as a Delaware statutory trust under the Delaware Statutory Trust Act on November 28, 2016. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2021, the Trust consists of five active series, which are presented in this book (collectively, the “Funds” and each individually a “Fund”): (i) FS Multi-Strategy Alternatives Fund (“FSMS”) and (ii) FS Managed Futures Fund (“Managed Futures”), FS Alternative Income Opportunities Fund (“Alternative Income Opportunities”) (formerly known as FS Global Macro Fund), FS Real Asset Fund (“Real Asset”) and FS Long/Short Equity Fund (“Long/Short Equity” and, collectively with Managed Futures, Alternative Income Opportunities, and Real Asset, the “Alt Beta Funds” and each individually, an “Alt Beta Fund”).

FSMS commenced investment operations on May 16, 2017. Each of the Alt Beta Funds commenced investment operations on December 31, 2018 and had no activity other than investing their cash in a money market fund. As such, no financial highlights for 2018 have been presented.

Each Fund represents two classes of shares of beneficial interest of the Trust in a separate portfolio of securities and other assets with their own investment objective and policies.

•

FS Multi-Strategy Alternatives Fund seeks to provide shareholders with positive absolute returns over a complete market cycle.

•

FS Managed Futures Fund seeks to provide positive absolute returns with low correlation to traditional investments.

•

FS Alternative Income Opportunities Fund seeks to provide positive returns through capital appreciation and income.

•

FS Real Asset Fund seeks to provide total returns consisting of capital appreciation and income.

•

FS Long/Short Equity Fund seeks to provide equity-like returns through long-short investing within equity markets.

The Funds use derivatives in executing their respective investment objectives for a variety of purposes, such as to seek economic exposure to one or more alternative strategies, enhance returns, increase investment flexibility, speculate on a targeted investment opportunity, or for hedging purposes. In attempting to achieve their investment objectives, the Funds primarily use total return basket swaps that seek both long and short exposure on variety of strategies, in a notional amount, that the Funds could not otherwise have exposure to on a name by name basis. The total return basket swaps include exposure to equity risk as well as foreign currency, commodity and interest rate risk.

Each Fund is classified as a non-diversified, open-end management investment company registered under the 1940 Act and has elected to be treated for U.S. federal income tax purposes, and intends to qualify annually thereafter, as a regulated investment company (“RIC”) as defined under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).

As of June 30, 2021, FSMS had one wholly owned subsidiary, FS Alternatives Fund (Cayman), Managed Futures had one wholly owned subsidiary, FS Managed Futures Fund (Cayman), Alternative Income Opportunities had one wholly owned subsidiary, FS Alternative Income Opportunities Fund (Cayman), and Real Asset had one wholly owned subsidiary FS Real Asset Fund (Cayman), (collectively, the “Subsidiaries”), through which they may gain exposure to commodities. The unaudited consolidated financial statements include both the Funds’ accounts and the accounts of the Subsidiaries. All intercompany balances have been eliminated in consolidation.

Note 2. Summary of Significant Accounting Policies

Basis of Presentation: The accompanying consolidated financial statements of the Funds have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”). Each Fund is considered an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies under

102

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 2. Summary of Significant Accounting Policies — (continued)
 

Accounting Standards Codification Topic 946, Financial Services—Investment Companies. Each Fund has evaluated the impact of subsequent events through the date the respective consolidated financial statements were issued and filed with the U.S. Securities and Exchange Commission (“SEC”).

Use of Estimates: The preparation of the Funds’ unaudited consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities, at the date of the unaudited consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Many of the amounts have been rounded and all amounts are in thousands, except share and per share amounts.

Cash and Cash Equivalents: The Funds consider all highly liquid investments with original maturities of three months or less to be cash equivalents. The Funds invest their excess cash in an institutional money market fund, which is stated at fair value. The Funds’ uninvested cash is maintained with a high credit quality financial institution.

Valuation of Portfolio Investments: The Funds determine the net asset value (“NAV”) of their common shares on each day that the New York Stock Exchange (“NYSE”) is open for business as of the close of the regular trading session (normally 4:00 pm Eastern Time). Each Class A share of beneficial interest (“Class A Share”) is offered at NAV plus the applicable sales load, while each Class I Share of beneficial interest (“Class I Share”) is offered at NAV. The Funds calculate NAV per share on a class-specific basis. The NAV of a class of shares depends on the number of shares of the applicable class outstanding at the time the NAV of the applicable share class is determined. As such, the NAV of each class of shares may vary if such Fund sells different amounts of shares per class. The Funds’ assets and liabilities are valued in accordance with the principles set forth below.

The Adviser values the Funds’ assets in good faith pursuant to the Funds’ valuation policy and consistently applied valuation process, which was developed by the audit committee of the Trust’s Board of Trustees (the “Board”) and approved by the Board. Portfolio securities and other assets for which market quotes are readily available are valued at market value. In circumstances where market quotes are not readily available, the Board has adopted methods for determining the fair value of such securities and other assets, and has delegated the responsibility for applying the valuation methods to the Adviser. On a quarterly basis, the Board reviews the valuation determinations made with respect to the Funds’ investments during the preceding quarter and evaluates whether such determinations were made in a manner consistent with the Funds’ valuation process.

Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures (“ASC Topic 820”) issued by the Financial Accounting Standards Board (“FASB”) clarifies the definition of fair value and requires companies to expand their disclosure about the use of fair value to measure assets and liabilities in interim and annual periods subsequent to initial recognition. ASC Topic 820 defines fair value as the price that would be received from the sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC Topic 820 also establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. These tiers include: Level 1, defined as observable inputs such as quoted prices in active markets; Level 2, which includes inputs such as quoted prices for similar securities in active markets and quoted prices for identical securities where there is little or no activity in the market; and Level 3, defined as unobservable inputs for which little or no market data exists, therefore requiring an entity to develop its own assumptions.

When determining the fair value of an asset or liability, the Adviser seeks to determine the price that would be received from the sale of the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date, in accordance with ASC Topic 820. Fair value determinations are based upon all available inputs that the Adviser deems relevant, which may include indicative dealer quotes, values of like securities, recent portfolio company financial statements and forecasts, and valuations prepared by third-party valuation services. However, determination of fair value involves subjective judgments and estimates. Accordingly, the notes to the Funds’ unaudited consolidated financial statements refer to the uncertainty with respect to the possible effect of such valuations and any change in such valuations on the Funds’ unaudited consolidated financial statements.

103

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 2. Summary of Significant Accounting Policies — (continued)
 

The Funds expect that their portfolios will primarily consist of securities listed or traded on a recognized securities exchange or automated quotation system (“Exchange-Traded Security”) or securities traded on a privately negotiated over-the-counter (“OTC”) secondary market for institutional investors for which indicative dealer quotes are available (“OTC Security”).

For purposes of calculating NAV, the Adviser uses the following valuation methods:

•

The market value of each Exchange-Traded Security is the last reported sale price at the relevant valuation date on the composite tape or on the principal exchange on which such security is traded.

•

If no sale is reported for an Exchange-Traded Security on the valuation date or if a security is an OTC Security, the Funds value such security using quotations obtained from an independent third-party pricing service, which provides prevailing bid and ask prices that are screened for validity by the service from dealers on the valuation date. For investments for which a third-party pricing service is unable to obtain quoted prices, the Funds obtain bid and ask prices directly from dealers who make a market in such securities. In all such cases, securities are valued at the midpoint of the average bid and ask prices obtained from such sources.

•

To the extent that the Funds hold investments for which no active secondary market exists and, therefore, no bid and ask prices can be readily obtained, the Funds will value such investments at fair value as determined in good faith by the Adviser in accordance with the Funds’ valuation policy and pursuant to authority delegated by the Board as described below. In making such determination, the Adviser may rely upon valuations obtained from an independent valuation firm.

•

Forward foreign currency exchange contracts are valued at the mean of the appropriate foreign exchange rates at the close of regular trading on the NYSE. Exchange rates and forward points used to convert prices are obtained from independent third-party pricing services.

•

Swaps are typically valued using valuations provided by a third-party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract.

In making its determination of fair value, the Adviser may use independent third-party pricing or valuation services; provided that the Adviser shall not be required to determine fair value in accordance with the valuation provided by any single source, and the Adviser shall retain the discretion to use any relevant data, including information obtained from any independent third-party valuation or pricing service, that the Adviser deems to be reliable in determining fair value under the circumstances.

Below is a description of factors that may be considered when valuing securities for which no active secondary market exists. Valuation of fixed income investments, such as loans and debt securities, depends upon a number of factors, including prevailing interest rates for like securities, expected volatility in future interest rates, call features, put features and other relevant terms of the debt. For investments without readily available market prices, these factors may be incorporated into discounted cash flow models to arrive at fair value. Other factors that may be considered include the borrower’s ability to adequately service its debt, the fair market value of the portfolio company in relation to the face amount of its outstanding debt and the quality of the collateral securing its debt investments.

For convertible debt securities, fair value will generally approximate the fair value of the debt plus the fair value of an option to purchase the underlying security (the security into which the debt may convert) at the conversion price. To value such an option, a standard option pricing model may be used.

For equity interests, various factors may be considered in determining fair value, including multiples of earnings before interest, taxes, depreciation and amortization (“EBITDA”), cash flows, net income, revenues or, in limited instances, book value or liquidation value. All of these factors may be subject to adjustments based upon the particular circumstances of a portfolio company or a Fund’s actual investment position. For example, adjustments to EBITDA may take into account compensation to previous owners or an acquisition, recapitalization, restructuring or other related items.

104

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 2. Summary of Significant Accounting Policies — (continued)
 

Other factors that may be considered in valuing securities include private merger and acquisition statistics, public trading multiples discounted for illiquidity and other factors, valuations implied by third-party investments in the portfolio companies, the acquisition price of such investment or industry practices in determining fair value. The Adviser may also consider the size and scope of a portfolio company and its specific strengths and weaknesses, and may apply discounts or premiums, where and as appropriate, due to the higher (or lower) financial risk and/or the size of the portfolio company relative to comparable firms, as well as such other factors as the Adviser, in consultation with any third-party valuation or pricing service, if applicable, may consider relevant in assessing fair value.

If a Fund receives warrants or other equity securities at nominal or no additional cost in connection with an investment in a debt security, the cost basis in the investment will be allocated between the debt securities and any such warrants or other equity securities received at the time of origination. Such warrants or other equity securities will subsequently be valued at fair value. Portfolio securities that carry certain restrictions on sale will typically be valued at a discount from the public market value of the security, where applicable.

If events materially affecting the price of foreign portfolio securities occur between the time when their price was last determined on such foreign securities exchange or market and the time when a Fund’s NAV was last calculated (for example, movements in certain U.S. securities indices which demonstrate strong correlation to movements in certain foreign securities markets), such securities may be valued at their fair value as determined in good faith in accordance with procedures established by the Board. For purposes of calculating NAV, all assets and liabilities initially expressed in foreign currencies will be converted into U.S. dollars at prevailing exchange rates as may be determined in good faith by the Adviser, under the supervision of the Board.

While the Funds’ policy is intended to result in a calculation of each Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot ensure that fair values determined by the Adviser would accurately reflect the price that the Funds could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold. The Funds will periodically benchmark the bid and ask prices received from the third-party pricing service and/or dealers, as applicable, and valuations received from the third-party valuation service against the actual prices at which it purchases and sells its investments. The Funds believe that these prices will be reliable indicators of fair value.

Revenue Recognition: Security transactions are accounted for on the trade date. The Funds record interest income and expense on an accrual basis. The Funds record dividend income and expense on the ex-dividend date. The Funds do not accrue as a receivable interest or dividends on loans and securities if they have reason to doubt their ability to collect such income. The Funds consider many factors relevant to an investment when placing it on or removing it from non-accrual status, including, but not limited to, the delinquency status of the investment, economic and business conditions, the overall financial condition of the underlying investment, the value of the underlying collateral, bankruptcy status, if any, and any other facts or circumstances relevant to the investment. If there is reasonable doubt that the Funds will receive any previously accrued interest, then the previously recognized interest income will be written-off. Payments received on non-accrual investments may be recognized as income or applied to principal depending upon the collectability of the remaining principal and interest. Non-accrual investments may be restored to accrual status when principal and interest become current and are likely to remain current based on the Funds’ judgment.

Loan origination fees, original issue discount, and market discount are capitalized and such amounts are amortized as interest income over the respective term of the loan or security. Structuring and other non-recurring upfront fees are recorded as fee income when earned. The Funds record prepayment premiums on loans and securities as fee income when they receive such amounts.

Net Realized Gains or Losses, Net Change in Unrealized Appreciation or Depreciation and Net Change in Unrealized Gains or Losses on Foreign Currency: Gains or losses on the sale of investments will be calculated by using the specific identification method. The Funds measure realized gains or losses by the difference between the net proceeds from the

105

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 2. Summary of Significant Accounting Policies — (continued)
 

repayment or sale and the amortized cost basis of the investment, without regard to unrealized appreciation or depreciation previously recognized, but considering unamortized upfront fees. Net change in unrealized appreciation or depreciation reflects the change in portfolio investment values during the reporting period, including any reversal of previously recorded unrealized gains or losses, when gains or losses are realized. Net change in unrealized gains or losses on foreign currency reflects the change in the value of receivables or accruals during the reporting period due to the impact of foreign currency fluctuations.

Organization and Offering Costs: Organization costs include, among other things, the cost of formation as a Delaware statutory trust, including the cost of legal services and other fees pertaining to the Trust’s organization. Franklin Square Holdings, L.P. (“FS Investments”), the Funds’ sponsor and an affiliate of the Adviser has assumed the Trust’s organization costs and will not seek reimbursement of such costs. Offering costs primarily include, among other things, marketing expenses and printing, legal and due diligence fees and certain costs pertaining to each Fund’s continuous public offering of its common shares, including the salaries and direct expenses of the Adviser’s personnel, employees of its affiliates and others while engaged in such activities. FS Investments has assumed all of the Funds’ offering costs and will not seek reimbursement of such costs incurred as of June 30, 2021.

Income Taxes: Each Fund has elected to be treated for U.S. federal income tax purposes, and each Fund intends to qualify annually thereafter, as a RIC under Subchapter M of the Code. To qualify and maintain qualification as a RIC, the Funds must, among other things, meet certain source-of-income and asset diversification requirements and distribute to its shareholders, for each taxable year, at least 90% of its “investment company taxable income,” which is generally each Fund’s net ordinary income plus the excess, if any, of realized net short-term capital gains over realized net long-term capital losses. As a RIC, each Fund will not have to pay corporate-level U.S. federal income taxes on any income that it distributes to its shareholders. Each Fund intends to make distributions in an amount sufficient to maintain its RIC status each year and to avoid any U.S. federal income taxes on income so distributed. Each Fund will also be subject to nondeductible U.S. federal excise taxes if it does not distribute at least 98% of net ordinary income, 98.2% of capital gain net income, if any, and any recognized and undistributed income from prior years for which it paid no U.S. federal income taxes.

Uncertainty in Income Taxes: Each Fund evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax benefits or liabilities in its consolidated financial statements. Recognition of a tax benefit or liability with respect to an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. The Funds recognize interest and penalties, if any, related to unrecognized tax liabilities as income tax expense on its consolidated statement of operations. During the six months ended June 30, 2021, the Funds did not incur any interest or penalties related to unrecognized tax liabilities.

Each Fund has analyzed the tax positions taken on U.S. federal and state income tax returns for all open tax years, and has concluded that no provision for income tax for uncertain tax positions is required in its consolidated financial statements. Each Fund’s U.S. federal and state income and U.S. federal excise tax returns for tax years for which the applicable statutes of limitations have not yet expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Swaps: Swaps (other than centrally cleared) are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Centrally cleared swaps are valued at the daily settlement price provided by the central clearing counterparty.

Pursuant to swap agreements, the Funds either make floating-rate payments based on a benchmark index in exchange for fixed or floating rate payments or the Funds make fixed or floating rate payments in exchange for floating-rate payments based on the return of a benchmark index. Payments received or made are recorded as realized

106

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 2. Summary of Significant Accounting Policies — (continued)
 

gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark index. The Funds are exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of interest rates or the index. The Funds enter into swap contracts (other than centrally cleared swaps) that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Funds’ net assets below a certain level over a certain period of time, which would trigger a payment by a Fund for those derivatives in a liability position.

The OTC derivatives in which the Funds invest are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Funds have entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Funds may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or a Fund fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by such Fund of any net liability owed to it. The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of a Fund and/or counterparty is held in segregated accounts by such Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash at the Fund’s custodian, if any, is reflected as restricted cash and, in the case of cash pledged by a counterparty for the benefit of a Fund, a corresponding liability on the consolidated statement of assets and liabilities. Securities pledged by a Fund as collateral, if any, are identified as such in the consolidated schedule of investments. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the consolidated statements of assets and liabilities.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are over-the-counter agreements between two parties to buy and sell a currency at a set price on a future date. The Funds may utilize forward foreign currency exchange contracts to hedge the currency exposure associated with some or all of the Funds’ investments. These instruments may be used for other purposes in future periods. The values of forward foreign currency exchange contracts fluctuate daily with changes in foreign currency exchange rates. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract is exercised or has expired. The Funds will realize a gain or loss when the forward foreign currency exchange contract is closed or expires.

The use of forward foreign currency exchange contracts does not eliminate fluctuations in the prices of the Funds’ investments. The risks of forward foreign currency exchange contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the possibility that counterparties will not complete their contractual obligations, which may be in excess of the amount reflected, if any, in the consolidated statements of assets and liabilities.

107

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 2. Summary of Significant Accounting Policies — (continued)
 

Securities Sold Short: The Funds may enter into short sale transactions. Short selling involves selling securities that may or may not be owned and, at times, borrowing the same securities for delivery to the purchaser, with an obligation to replace such borrowed securities at a later date. The proceeds received from short sales are recorded as liabilities and the Funds record an unrealized gain or loss to the extent of the difference between the proceeds received and the value of an open short position on the day of determination. The Funds record a realized gain or loss when the short position is closed out. By entering into a short sale, the Funds bear the market risk of an unfavorable change in the price of the security sold short. Dividends on short sales are recorded as an expense by the Funds on the ex-dividend date and interest expense is recorded on the accrual basis.

Options: The Funds may purchase call and put options in an effort to manage risk and/or generate gains from options premiums. When a Fund buys a call option, it gives the Fund the right (but not the obligation) to buy, and obligates the counterparty to sell (when the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When a Fund buys a put option, it gives the Fund the right to sell and obligates such Fund to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When a Fund writes an option, an amount equal to the premium received by the counterparty is reflected as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an instrument is purchased or sold through an exercise of an option, the related premium received is deducted from the basis of the instrument acquired or added to the proceeds of the instrument sold. When a written option expires, a Fund realizes a gain on the option to the extent of the premiums received. When a written option is exercised, a Fund realizes a loss to the extent the cost of closing the option exceeds the premiums received, or a gain to the extent the premiums received exceed the cost of closing the option.

Distributions: Distributions to the Funds’ shareholders will be recorded as of the record date. Subject to the discretion of the Board and applicable legal restrictions, each Fund, except for Alternative Income Opportunities and Real Asset, currently intends to authorize, declare and pay ordinary cash distributions on an annual basis. Subject to the discretion of the Board and applicable legal restrictions, Alternative Income Opportunities and Real Asset currently intends to authorize, declare and pay ordinary cash distributions on a quarterly basis. At least annually, each Fund intends to authorize and declare special cash distributions of net long-term capital gains, if any.

Note 3. Share Transactions

Below is a summary of transactions with respect to the Funds’ common shares during the six months ended June 30, 2021 and the year ended December 31, 2020:

FS Multi-Strategy Alternatives Fund Class A Shares	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	262,965	​	$	2,781	​	440,291	​	$	4,373
Reinvestment of Distributions	​	—	​	​	—	​	2,877	​	​	28
Redemptions	​	(140,894)	​	​	(1,436)	​	(796,910)	​	​	(7,834)
Net Proceeds from Class A Share Transactions	​	122,071	​	$	1,345	​	(353,742)	​	$	(3,433)

​	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
Class I Shares	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	2,379,380	​	$	24,854	​	8,102,207	​	$	80,649
Reinvestment of Distributions	​	—	​	​	—	​	86,842	​	​	848
Redemptions	​	(3,321,308)	​	​	(33,780)	​	(13,768,041)	​	​	(135,938)
Net Proceeds from Class I Share Transactions	​	(941,928)	​	$	(8,926)	​	(5,578,992)	​	$	(54,441)
Net Proceeds from Fund Share Transactions	​	(819,857)	​	$	(7,581)	​	(5,932,734)	​	$	(57,874)

108

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 3. Share Transactions — (continued)
 

FS Managed Futures Fund Class A Shares	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	—	​	$	—	​	—	​	$	—
Redemptions	​	—	​	​	—	​	—	​	​	—
Net Proceeds from Class A Share Transactions	​	—	​	$	—	​	—	​	$	—

​	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
Class I Shares	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	—	​	$	—	​	—	​	$	—
Reinvestment of Distributions	​	—	​	​	—	​	76	​	​	1
Redemptions	​	—	​	​	—	​	—	​	​	—
Net Proceeds from Class I Share Transactions	​	—	​	$	—	​	76	​	$	1
Net Proceeds from Fund Share Transactions	​	—	​	$	—	​	76	​	$	1

FS Alternative Income Opportunities Fund Class A Shares	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	—	​	$	—	​	—	​	$	—
Redemptions	​	—	​	​	—	​	—	​	​	—
Net Proceeds from Class A Share Transactions	​	—	​	$	—	​	—	​	$	—

​	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
Class I Shares	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	—	​	$	—	​	508,174	​	$	5,000
Reinvestment of Distributions	​	50	​	​	0	​	15	​	​	0
Redemptions	​	—	​	​	—	​	—	​	​	—
Net Proceeds from Class I Share Transactions	​	50	​	$	0	​	508,189	​	$	5,000
Net Proceeds from Fund Share Transactions	​	50	​	$	0	​	508,189	​	$	5,000

FS Real Asset Fund Class A Shares	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	—	​	$	—	​	—	​	$	—
Redemptions	​	—	​	​	—	​	—	​	​	—
Net Proceeds from Class A Share Transactions	​	—	​	$	—	​	—	​	$	—

​	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
Class I Shares	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	—	​	$	—	​	254	​	$	2
Reinvestment of Distributions	​	13	​	​	0	​	81	​	​	1
Redemptions	​	—	​	​	—	​	(97,848)	​	​	(1,000)
Net Proceeds from Class I Share Transactions	​	13	​	$	0	​	(97,513)	​	$	(997)
Net Proceeds from Fund Share Transactions	​	13	​	$	0	​	(97,513)	​	$	(997)

109

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 3. Share Transactions — (continued)
 

FS Long/Short Equity Fund Class A Shares	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	2,219	​	$	20	​	6,754	​	$	63
Reinvestment of Distributions	​	—	​	​	—	​	75	​	​	1
Redemptions	​	(2,594)	​	​	(23)	​	(1,145)	​	​	(11)
Net Proceeds from Class A Share Transactions	​	(375)	​	$	(3)	​	5,684	​	$	53

​	For the Six Months Ended June 30, 2021 (Unaudited)					For the Year Ended December 31, 2020
Class I Shares	Shares		Amount			Shares		Amount
Gross Proceeds from Issuance	​	41,206	​	$	382	​	2,703,433	​	$	24,757
Reinvestment of Distributions	​	—	​	​	—	​	7,819	​	​	74
Redemptions	​	(2,216,671)	​	​	(20,331)	​	(251,419)	​	​	(2,396)
Net Proceeds from Class I Share Transactions	​	(2,175,465)	​	$	(19,949)	​	2,459,833	​	$	22,435
Net Proceeds from Fund Share Transactions	​	(2,175,840)	​	$	(19,952)	​	2,465,517	​	$	22,488

Note 4. Related Party Transactions

Compensation of the Investment Adviser and its Affiliates

Pursuant to the investment management agreement, dated as of April 25, 2017 by and between the Adviser and FSMS and each investment management agreement, dated as of November 29, 2018 by and between the Adviser and each Alt Beta Fund, respectively (collectively, the “Management Agreements”), the Adviser is entitled to a management fee in consideration of the advisory services provided by the Adviser to the Funds. The Adviser is registered as an investment adviser under the Investment Advisers Act of 1940, as amended, and is an affiliate of the Funds. The management fee is calculated and payable quarterly in arrears at the annual rates of each Fund’s average daily net assets during such period noted in the table below:

Fund	Period		Fee
FS Multi-Strategy Alternatives Fund	​	Quarterly	​	1.25%
FS Managed Futures Fund	​	Quarterly	​	1.15%
FS Alternative Income Opportunities Fund	​	Quarterly	​	1.15%
FS Real Asset Fund	​	Quarterly	​	1.15%
FS Long/Short Equity Fund	​	Quarterly	​	1.10%

The Adviser had contractually agreed to waive its management fee for FSMS until May 15, 2019. Effective June 16, 2020, with the exception of Long/Short Equity, the Adviser has contractually agreed to waive its management fee for each of the Alt Beta Funds until September 30, 2021. With respect to Long/Short Equity, the Adviser had contractually agreed to waive its management fee until December 31, 2019 and has contractually agreed to waive a portion of its management fee for Long/Short Equity so that the fee received equals 0.60% of Long/Short Equity’s average daily net assets until the earlier of  (i) December 31, 2021 or (ii) the date on which gross proceeds that have been received by Long/Short Equity from investors, in the aggregate, exceed $150 million.

Pursuant to the administration agreement, dated as of April 26, 2017, by and between FSMS and the Adviser, and each administration agreement, dated as of November 29, 2018 by and between the Adviser and each Alt Beta Fund, respectively (collectively, the “Administration Agreements”), the Funds reimburse the Adviser for its actual costs incurred in providing administrative services to the Funds, including the Adviser’s allocable portion of the compensation and related expenses of certain personnel of FS Investments providing administrative services to the

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Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 4. Related Party Transactions — (continued)
 

Funds on behalf of the Adviser. The Adviser is required to allocate the cost of such services to the Funds based on factors such as assets, revenues, time allocations and/or other reasonable metrics. The Board reviews the methodology employed in determining how the expenses are allocated to the Funds and the proposed allocation of the administrative expenses among the Funds and certain affiliates of the Adviser. The Board then assesses the reasonableness of such reimbursements for expenses allocated to the Funds based on the breadth, depth and quality of such services as compared to the estimated cost to the Funds of obtaining similar services from third-party service providers known to be available. In addition, the Board considers whether any single third-party service provider would be capable of providing all such services at comparable cost and quality. Finally, the Board, among other things, compares the total amount paid to the Adviser for such services as a percentage of the Funds’ respective net assets to the same ratios reported by other comparable investment companies. The Funds will not reimburse the Adviser for any services for which it receives a separate fee or for any administrative expenses allocated to a controlling person of the Adviser. Reimbursements of administrative expenses to the Adviser are subject to the Expense Limitation (defined below).

The following table describes the fees and expenses accrued under the Management Agreement and the Administration Agreement for Funds during the six months ended June 30, 2021:

FS Multi-Strategy Alternatives Fund Related Party	Source Agreement	Description	Amount
FS Fund Advisor, LLC	Management Agreement	Management Fee(1)	​	$	762
FS Fund Advisor, LLC	Administration Agreement	Administrative Services Expenses(2)	​	$	497

(1)

During the six months ended June 30, 2021, $458 of management fees were paid to the Adviser.

(2)

During the six months ended June 30, 2021, $137 of administrative services expenses were paid to the Adviser.

FS Managed Futures Fund Related Party	Source Agreement	Description	Amount
FS Fund Advisor, LLC	Investment Advisory Agreement	Management Fee(1)	​	$	12
FS Fund Advisor, LLC	Administration Agreement	Administrative Services Expenses(2)	​	$	52

(1)

As described above, the Adviser has contractually agreed to waive the $12 in management fees payable during the six months ended June 30, 2021.

(2)

During the six months ended June 30, 2021, $53 of administrative services expenses were paid to the Adviser.

FS Alternative Income Opportunities Fund Related Party	Source Agreement	Description	Amount
FS Fund Advisor, LLC	Investment Advisory Agreement	Management Fee(1)	​	$	40
FS Fund Advisor, LLC	Administration Agreement	Administrative Services Expenses(2)	​	$	160

(1)

As described above, the Adviser has contractually agreed to waive the $40 in management fees payable during the six months ended June 30, 2021.

(2)

During the six months ended June 30, 2021, $175 of administrative services expenses were paid to the Adviser.

111

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Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 4. Related Party Transactions — (continued)
 

FS Real Asset Fund Related Party	Source Agreement	Description	Amount
FS Fund Advisor, LLC	Investment Advisory Agreement	Management Fee(1)	​	$	14
FS Fund Advisor, LLC	Administration Agreement	Administrative Services Expenses(2)	​	$	64

(1)

As described above, the Adviser has contractually agreed to waive the $14 in management fees payable during the six months ended June 30, 2021.

(2)

During the six months ended June 30, 2021, $57 of administrative services expenses were paid to the Adviser.

FS Long/Short Equity Fund Related Party	Source Agreement	Description	Amount
FS Fund Advisor, LLC	Investment Advisory Agreement	Management Fee(1)	​	$	86
FS Fund Advisor, LLC	Administration Agreement	Administrative Services Expenses(2)	​	$	202

(1)

As described above, the Adviser has contractually agreed to waive $39 in management fees payable during the six months ended June 30, 2021. During the six months ended June 30, 2021, $42 of management fees were paid to the Adviser.

(2)

During the six months ended June 30, 2021, $80 of administrative services expenses were paid to the Adviser.

Expense Limitation Agreement

Pursuant to the expense limitation agreement, dated as of April 26, 2017, by and between the Adviser and FSMS, and each expense limitation agreement, dated as of November 29, 2018, by and between the Adviser and each Alt Beta Fund, respectively (collectively, the “Expense Limitation Agreements”), the Adviser agreed to pay or absorb, on a quarterly basis, the “ordinary operating expenses” ​(as defined below) of each Fund to the extent that such expenses exceed 0.25% per annum of the respective Fund’s average daily net assets (the “Expense Limitation”). The respective Expense Limitation Agreement, which became effective April 27, 2017 for FSMS and December 17, 2018 for the Alt Beta Funds, will continue in effect for successive twelve-month periods provided that such continuance is specifically approved at least annually by a majority of the Board and by the Adviser. Each Expense Limitation Agreement is currently in effect until at least April 30, 2022.

Amounts waived under the Expense Limitation for each Fund may be recouped by or repaid to the Adviser, subject to the limitations that: (1) the reimbursement for expenses will be made only if payable not more than three years after the Adviser bears the expense; and (2) the reimbursement may not be made if it would cause the lower of the respective Fund’s then-current expense limitation, if any, or the expense limitation that was in effect at the time when the Adviser waived or reimbursed the ordinary operating expenses that are the subject of the repayment, to be exceeded.

The Expense Limitation Agreements may not be terminated by the Adviser, but may be terminated by the Board on written notice to the Adviser. For the purposes of the Expense Limitation Agreements, “ordinary operating expenses” for a class of Shares consist of all ordinary expenses of a Fund attributable to such class, including administration fees, transfer agent fees, offering expenses, fees paid to the respective Fund’s trustees, administrative services expenses, and related costs associated with legal, regulatory compliance and investor relations, but excluding the following: (a) management fees, (b) distribution or servicing fees, (c) interest, (d) taxes, (e) brokerage fees and commissions, (f) dividends and interest paid on short positions, (g) acquired fund fees and expenses and (h) extraordinary expenses. The specific amount of expenses waivable and/or payable by the Adviser pursuant to the Expense Limitation Agreements, if any, is determined at the end of each fiscal quarter. Similarly, the conditional obligation of the Funds to repay the Adviser pursuant to the terms of such Expense Limitation Agreement shall survive the termination of such agreement by either party.

112

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Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 4. Related Party Transactions — (continued)
 

The following table describes the amounts accrued pursuant to the Expense Limitation Agreement that FS Investments has agreed to pay for the six months ended June 30, 2021. These amounts may be subject to conditional repayment by the Fund as described below:

Fund	Accrued Amount			Subject to Repayment As of June 30, 2021			Related to Expense Reimbursement
FS Multi-Strategy Alternatives Fund	​	$	983	​	$	5,463	​	$	5,463
FS Managed Futures Fund	​	$	138	​	$	557	​	$	557
FS Alternative Income Opportunities Fund	​	$	244	​	$	787	​	$	787
FS Real Asset Fund	​	$	147	​	$	642	​	$	642
FS Long/Short Equity Fund	​	$	335	​	$	1,115	​	$	1,115

The Funds’ distributor, ALPS Distributors, Inc., has entered into a “wholesaling” agreement with FS Investment Solutions, LLC (“FS Solutions”), a registered broker-dealer and an affiliate of the Adviser. Pursuant to the terms of the wholesaling agreement, FS Solutions seeks to market and otherwise promote the Funds through various “wholesale” distribution channels, including but not limited to, the independent broker-dealer channel, the registered investment adviser channel and the wirehouse channel. FS Solutions may receive compensation for certain sales, promotional and marketing services provided to the Funds in connection with the distribution of certain classes of the Funds’ shares. The following table describes the amounts FS Solutions received in initial sales charges in connection with the distribution of Class A shares of the Funds for the six months ended June 30, 2021:

Fund	Initial Sales Charges
FS Multi-Strategy Alternatives Fund	​	$	2
FS Managed Futures Fund	​	$	—
FS Alternative Income Opportunities Fund	​	$	—
FS Real Asset Fund	​	$	—
FS Long/Short Equity Fund	​	$	—

Note 5. Distribution and Service Plan

Pursuant to the Amended and Restated Distribution and Service Plan, each Fund’s Class A Shares bear 12b-1 fees at an annual rate of 0.25% of the average daily net assets of such Fund attributable to Class A Shares. Payments of the 12b-1 fee may be made without regard to expenses actually incurred. The Funds’ Class I shares are not subject to 12b-1 fees.

Note 6. Income Taxes

As of June 30, 2021, the components of accumulated earnings (loss) on a tax basis were as follows:

Fund	Distributable ordinary income and short term capital gains			Distributable capital gains/​ accumulated capital (losses)			Net unrealized appreciation (depreciation)			Total
FS Multi-Strategy Alternatives Fund	​	$	(12)	​	$	1,918	​	$	1,636	​	$	3,542
FS Managed Futures Fund	​	$	65	​	$	90	​	$	14	​	$	169
FS Alternative Income Opportunities Fund	​	$	28	​	$	(125)	​	$	76	​	$	(21)
FS Real Asset Fund	​	$	164	​	$	425	​	$	(86)	​	$	503
FS Long/Short Equity Fund	​	$	105	​	$	591	​	$	(699)	​	$	(3)

113

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Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 6. Income Taxes — (continued)
 

As of June 30, 2021, the cost and the unrealized appreciation and (depreciation) on investments and derivatives, each calculated for U.S. federal income tax purposes, were as follows:

Fund	Tax cost			Gross unrealized appreciation			Gross unrealized depreciation			Net unrealized appreciation (depreciation)
FS Multi-Strategy Alternatives Fund	​	$	119,218	​	$	3,897	​	$	2,195	​	$	1,702
FS Managed Futures Fund	​	$	2,061	​	$	—	​	$	—	​	$	—
FS Alternative Income Opportunities Fund	​	$	6,669	​	$	64	​	$	13	​	$	51
FS Real Asset Fund	​	$	1,611	​	$	2	​	$	13	​	$	(11)
FS Long/Short Equity Fund	​	$	24,044	​	$	6,994	​	$	5,528	​	$	1,466

The determination of the tax attributes of each Fund’s distributions is made annually as of the end of the calendar year based upon each Fund’s taxable income for the full year and distributions paid for the full year. Therefore, a determination made on an interim basis may not be representative of the actual tax attributes of each Fund’s distributions for a full year. The actual tax characteristics of distributions to shareholders are reported to shareholders annually on Form 1099-DIV.

Note 7. Financial Instruments

The Funds may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward contracts, futures contracts, swap contracts and written options and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The Funds invest in such derivatives in order to meet their investment objectives. The notional or contractual amounts of these instruments represent the investment the Funds have in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.

The Funds are subject to credit risk in the normal course of pursuing its investment objectives. The Funds may enter into total return swap contracts to manage its credit risk, to gain exposure to a credit in which it may otherwise invest or to enhance its returns. The Funds may also purchase and write call and put options in an effort to manage risk and/or generate gains from options premiums.

The Funds may enter into swap contracts containing provisions allowing the counterparty to terminate the contract under certain conditions, including, but not limited to, a decline in the respective Fund’s NAV below a certain level over a certain period of time, which would trigger a payment by such Fund for those swaps in a liability position. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the writer to sell (if the option is exercised), the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. The

114

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 7. Financial Instruments — (continued)
 

fair value of open derivative instruments held by the Funds (which are not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2021 was as follows:

FS Multi-Strategy Alternatives Fund

​	Fair Value
​	Asset Derivative			Liability Derivative
Foreign Currency Risk	​	​	​	​	​	​
Forward foreign currency exchange contracts	​	$	106(1)	​	$	139(2)
Future (long)	​	$	—(3)	​	$	—(4)
Future (short)	​	$	1(3)	​	$	—(4)
Total return swaps	​	$	407(5)	​	$	—(6)
Commodity Risk	​	​	​	​	​	​
Future (long)	​	$	477(3)	​	$	449(4)
Future (short)	​	$	462(3)	​	$	417(4)
Total return swaps	​	$	206(5)	​	$	—(5)
Equity Risk	​	​	​	​	​	​
Future (long)	​	$	33(3)	​	$	5(4)
Future (short)	​	$	4(3)	​	$	2(4)
Total return swaps	​	$	813(5)	​	$	1,668(5)
Credit Risk	​	​	​	​	​	​
Future (long)	​	$	12(3)	​	$	—
Future (short)	​	$	2(3)	​	$	10(4)
Total return swaps	​	$	—	​	$	631(4)

FSMS’s derivative assets and liabilities at fair value by risk, presented in the table above, are reported on a gross basis on its consolidated statement of assets and liabilities and located as follows:

(1)

Unrealized appreciation on forward foreign currency exchange contracts.

(2)

Unrealized depreciation on forward foreign currency exchange contracts.

(3)

Unrealized appreciation on futures contracts.

(4)

Unrealized appreciation on futures contracts.

(5)

Unrealized appreciation on total return swaps.

(6)

Unrealized depreciation on total return swaps.

FS Managed Futures Fund

​	Fair Value
​	Asset Derivative			Liability Derivative
Equity Risk	​	​	​	​	​	​
Total return swaps	​	$	65(1)	​	$	—
Credit Risk	​	​	​	​	​	​
Total return swaps	​	$	4(1)	​	$	—
Foreign Currency Risk	​	​	​	​	​	​
Total return swaps	​	$	12(1)	​	$	2(2)

Managed Future’s derivative assets and liabilities at fair value by risk, presented in the table above, are reported on a gross basis on its consolidated statement of assets and liabilities and located as follows:

(1)

Unrealized appreciation on total return swaps.

(2)

Unrealized depreciation on total return swaps.

115

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Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 7. Financial Instruments — (continued)
 

FS Alternative Income Opportunities Fund

​	Fair Value
​	Asset Derivative			Liability Derivative
Equity Risk	​	​	​	​	​	​
Total return swaps	​	$	32(1)	​	$	106(2)
Credit Risk	​	​	​	​	​	​
Total return swaps	​	$	—(1)	​	$	12(2)
Currency Risk	​	​	​	​	​	​
Total return swaps	​	$	37(1)	​	$	—(2)

Alternative Income Opportunities derivative assets and liabilities at fair value by risk, presented in the table above, are reported on a gross basis on its consolidated statement of assets and liabilities and located as follows:

(1)

Unrealized appreciation on total return swaps.

(2)

Unrealized depreciation on total return swaps.

FS Real Asset Fund

​	Fair Value
​	Asset Derivative			Liability Derivative
Commodity Risk	​	​	​	​	​	​
Total return swaps	​	$	2(1)	​	$	—
Equity Risk	​	​	​	​	​	​
Total return swaps	​	$	5(1)	​	$	—

Real Asset’s derivative assets and liabilities at fair value by risk, presented in the table above, are reported on a gross basis on its consolidated statement of assets and liabilities and located as follows:

(1)

Unrealized appreciation on total return swaps.

FS Long/Short Equity Fund

​	Fair Value
​	Asset Derivative			Liability Derivative
Equity Risk	​	​	​	​	​	​
Total return swaps	​	$	520(1)	​	$	834(2)

Long/Short Equity’s derivative assets and liabilities at fair value by risk, presented in the table above, are reported on a gross basis on its consolidated statement of assets and liabilities and located as follows:

(1)

Unrealized appreciation on total return swaps.

(2)

Unrealized depreciation on total return swaps.

116

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Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 7. Financial Instruments — (continued)
 

The following tables present the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Funds’ for assets or pledged by the Funds’ for liabilities as of June 30, 2021:

FS Multi-Strategy Alternatives Fund

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(1)			Cash Collateral Received(1)			Net Amount of Derivative Assets(2)
Bank of America, N.A.	​	$	225	​	$	—	​	$	—	​	$	—	​	$	225
Barclays Bank PLC	​	$	150	​	$	150	​	$	—	​	$	—	​	$	—
BNP Paribas	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Credit Suisse International	​	$	17	​	$	—	​	$	—	​	$	—	​	$	17
Goldman Sachs International	​	$	126	​	$	126	​	$	—	​	$	—	​	$	—
JP Morgan Chase Bank, N.A.	​	$	271	​	$	271	​	$	—	​	$	—	​	$	—
Macquarie Bank, Ltd.	​	$	10	​	$	—	​	$	—	​	$	—	​	$	10
Morgan Stanley & Co. International PLC	​	$	332	​	$	8	​	$	—	​	$	—	​	$	324
Nomura Securities Co., Ltd	​	$	75	​	$	—	​	$	—	​	$	—	​	$	75
Societe Generale	​	$	220	​	$	220	​	$	—	​	$	—	​	$	—

Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged(1)			Cash Collateral Pledged(1)			Net Amount of Derivative Liabilities(3)
Bank of America, N.A.	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Barclays Bank PLC	​	$	647	​	$	150	​	$	—	​	$	340	​	$	157
BNP Paribas	​	$	280	​	$	—	​	$	—	​	$	280	​	$	—
Credit Suisse International	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Goldman Sachs International	​	$	511	​	$	126	​	$	—	​	$	385	​	$	—
JP Morgan Chase Bank, N.A.	​	$	488	​	$	271	​	$	—	​	$	217	​	$	—
Macquarie Bank, Ltd.	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Morgan Stanley & Co. International PLC	​	$	8	​	$	8	​	$	—	​	$	—	​	$	—
Nomura Securities Co., Ltd	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Societe Generale	​	$	365	​	$	220	​	$	—	​	$	145	​	$	—

FS Managed Futures Fund

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(1)			Cash Collateral Received(1)			Net Amount of Derivative Assets(2)
Bank of America, N.A.	​	$	46	​	$	—	​	$	—	​	$	—	​	$	46
Barclays Bank PLC	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
BNP Paribas	​	$	4	​	$	—	​	$	—	​	$	—	​	$	4
Deutsche Bank	​	$	1	​	$	—	​	$	—	​	$	—	​	$	1
Goldman Sachs International	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
JP Morgan Chase Bank, N.A.	​	$	26	​	$	—	​	$	—	​	$	—	​	$	26
Macquarie Bank, Ltd.	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Nomura Securities Co., Ltd	​	$	4	​	$	—	​	$	—	​	$	—	​	$	4

117

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Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 7. Financial Instruments — (continued)
 

Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged(1)			Cash Collateral Pledged(1)			Net Amount of Derivative Liabilities(3)
Bank of America, N.A.	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Barclays Bank PLC	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
BNP Paribas	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Deutsche Bank	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Goldman Sachs International	​	$	2	​	$	—	​	$	—	​	$	—	​	$	2
JP Morgan Chase Bank, N.A.	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Macquarie Bank, Ltd.	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Nomura Securities Co., Ltd	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—

FS Alternative Income Opportunities Fund

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(1)			Cash Collateral Received(1)			Net Amount of Derivative Assets(2)
Bank of America, N.A.	​	$	1	​	$	—	​	$	—	​	$	—	​	$	1
Barclays Bank PLC	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Deutsche Bank	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Goldman Sachs International	​	$	13	​	$	13	​	$	—	​	$	—	​	$	—
JP Morgan Chase Bank, N.A.	​	$	7	​	$	7	​	$	—	​	$	—	​	$	—
Morgan Stanley Capital Services LLC	​	$	10	​	$	—	​	$	—	​	$	—	​	$	10
Nomura Securities Co., Ltd	​	$	21	​	$	21	​	$	—	​	$	—	​	$	—
Societe Generale	​	$	17	​	$	—	​	$	—	​	$	—	​	$	17

Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged(1)			Cash Collateral Pledged(1)			Net Amount of Derivative Liabilities(3)
Bank of America, N.A.	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Barclays Bank PLC	​	$	1	​	$	—	​	$	—	​	$	—	​	$	1
Deutsche Bank	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Goldman Sachs International	​	$	29	​	$	13	​	$	—	​	$	16	​	$	—
JP Morgan Chase Bank, N.A.	​	$	29	​	$	7	​	$	—	​	$	—	​	$	22
Morgan Stanley Capital Services LLC	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—
Nomura Securities Co., Ltd	​	$	59	​	$	21	​	$	—	​	$	—	​	$	38
Societe Generale	​	$	—	​	$	—	​	$	—	​	$	—	​	$	—

FS Real Asset Fund

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(1)			Cash Collateral Received(1)			Net Amount of Derivative Assets(2)
Bank of America, N.A.	​	$	2	​	$	—	​	$	—	​	$	—	​	$	2
Goldman Sachs International	​	$	5	​	$	—	​	$	—	​	$	—	​	$	5

118

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 7. Financial Instruments — (continued)
 

Counterparty

Derivative Liabilities Subject to Master Netting Agreement

Derivatives Available for Offset

Non-cash Collateral Pledged(1)

Cash Collateral Pledged(1)

Net Amount of Derivative Liabilities(3)

Bank of America, N.A.

​

$

—

​

$

—

​

$

—

​

$

—

​

$

—

Goldman Sachs International

​

$

—

​

$

—

​

$

—

​

$

—

​

$

—

FS Long/Short Equity Fund

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(1)			Cash Collateral Received(1)			Net Amount of Derivative Assets(2)
Barclays Bank PLC	​	$	439	​	$	439	​	$	—	​	$	—	​	$	—
Goldman Sachs International	​	$	81	​	$	81	​	$	—	​	$	—	​	$	—

Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged(1)			Cash Collateral Pledged(1)			Net Amount of Derivative Liabilities(3)
Barclays Bank PLC	​	$	747	​	$	439	​	$	—	​	$	308	​	$	—
Goldman Sachs International	​	$	87	​	$	81	​	$	—	​	$	6	​	$	—

(1)

In some instances, the actual amount of the collateral received and/or pledged may be more than the amount shown due to overcollateralization.

(2)

Net amount of derivative assets represents the net amount due from the counterparty to the Fund in the event of default.

(3)

Net amount of derivative liabilities represents the net amount due from the Fund to the counterparty in the event of default.

The effect of derivative instruments (which are not considered to be hedging instruments for accounting disclosure purposes) on the Funds’ consolidated statement of operations for the six months ended June 30, 2021 was as follows:

FS Multi-Strategy Alternatives Fund

​	Realized Gain (Loss) on Derivatives Recognized in Income			Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Foreign Currency Risk	​	​	​	​	​	​
Forward foreign currency exchange contracts	​	$	(247)(1)	​	$	(31)(2)
Interest rate futures	​	$	789(3)	​	$	108(4)
Foreign Currency, Equity, Commodity and Interest Rate Risk	​	​	​	​	​	​
Total return swap contracts	​	$	9,195(5)	​	$	(695)(6)

FSMS’s derivative instruments at fair value by risk, presented in the table above, are reported on FSMS’s Statement of Operations and located as follows:

(1)

Net realized gain (loss) on forward foreign currency exchange contracts.

(2)

Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts.

(3)

Net realized gain (loss) on futures contracts.

(4)

Net change in unrealized appreciation (depreciation) on futures contracts.

(5)

Net realized gain (loss) on total return swaps.

(6)

Net change in unrealized appreciation (depreciation) on total return swaps.

119

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 7. Financial Instruments — (continued)
 

FS Managed Futures Fund

​	Realized Gain (Loss) on Derivatives Recognized in Income			Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Equity and Foreign Currency Risk	​	​	​	​	​	​
Total return swap contracts	​	$	90(1)	​	$	14(2)

Managed Future’s derivative instruments at fair value by risk, presented in the table above, are reported on Managed Future’s Statement of Operations and located as follows:

(1)

Net realized gain (loss) on total return swaps.

(2)

Net change in unrealized appreciation (depreciation) on total return swaps.

FS Alternative Income Opportunities Fund

​	Realized Gain (Loss) on Derivatives Recognized in Income			Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Equity, Foreign Currency and Interest Rate Risk	​	​	​	​	​	​
Total return swap contracts	​	$	(71)(1)	​	$	25(2)

Alternative Income Opportunities derivative instruments at fair value by risk, presented in the table above, are reported on ‘s Statement of Operations and located as follows:

(1)

Net realized gain (loss) on total return swaps.

(2)

Net change in unrealized appreciation (depreciation) on total return swaps.

FS Real Asset Fund

​	Realized Gain (Loss) on Derivatives Recognized in Income			Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Equity Risk	​	​	​	​	​	​
Total return swap contracts	​	$	425(1)	​	$	(75)(2)

Real Asset’s derivative instruments at fair value by risk, presented in the table above, are reported on Real Asset’s Statement of Operations and located as follows:

(1)

Net realized gain (loss) on total return swaps.

(2)

Net change in unrealized appreciation (depreciation) on total return swaps.

FS Long/Short Equity Fund

​	Realized Gain (Loss) on Derivatives Recognized in Income			Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Equity Risk	​	​	​	​	​	​
Total return swap contracts	​	$	1,074(1)	​	$	(2,165)(2)

120

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 7. Financial Instruments — (continued)
 

Long/Short Equity’s derivative instruments at fair value by risk, presented in the table above, are reported on Long/Short Equity’s Statement of Operations and located as follows:

(1)

Net realized gain (loss) on total return swaps.

(2)

Net change in unrealized appreciation (depreciation) on total return swaps.

The average notional amount of derivatives outstanding during the six months ended June 30, 2021, which are indicative of the volumes of these derivative types, was as follows:

Fund	Forward foreign exchange contracts			Futures Contracts			Total return debt swap contracts			Total return equity swap contracts			Total return index swap contracts
FS Multi-Strategy Alternatives Fund	​	$	36,560	​	$	23,609	​	$	16,255	​	$	—	​	$	31,613
FS Managed Futures Fund	​	$	—	​	$	—	​	$	—	​	$	—	​	$	52
FS Alternative Income Opportunities Fund	​	$	—	​	$	—	​	$	—	​	$	—	​	$	3,914
FS Real Asset Fund	​	$	—	​	$	—	​	$	—	​	$	—	​	$	1,258
FS Long/Short Equity Fund	​	$	—	​	$	—	​	$	—	​	$	—	​	$	22,440

Note 8. Investment Portfolio

The following tables summarize the composition of each Fund’s investment portfolio at cost and fair value as of June 30, 2021:

FS Multi-Strategy Alternatives Fund

​	Amortized Cost(1)			Fair Value			Percentage of Portfolio
Corporate Bonds	​	$	33,702	​	$	34,659	​	30%
Common Stock	​	​	6,233	​	​	8,832	​	8%
Short-Term Investments	​	​	71,573	​	​	71,572	​	62%
Total	​	$	111,508	​	$	115,063	​	100%

FS Managed Futures Fund

​	Amortized Cost(1)			Fair Value			Percentage of Portfolio
Short-Term Investments	​	$	2,085	​	$	2,085	​	100%
Total	​	$	2,085	​	$	2,085	​	100%

FS Alternative Income Opportunities Fund

​	Amortized Cost(1)			Fair Value			Percentage of Portfolio
Corporate Bonds	​	$	4,026	​	$	4,085	​	60%
Short-Term Investments	​	​	2,761	​	​	2,761	​	40%
Total	​	$	6,787	​	$	6,846	​	100%

121

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 8. Investment Portfolio — (continued)
 

FS Real Asset Fund

​	Amortized Cost(1)			Fair Value			Percentage of Portfolio
Short-Term Investments	​	$	1,954	​	$	1,954	​	100%
Total	​	$	1,954	​	$	1,954	​	100%

FS Long/Short Equity Fund

​	Amortized Cost(1)			Fair Value			Percentage of Portfolio
Short-Term Investments	​	$	6,149	​	$	6,149	​	100%
Total	​	$	6,149	​	$	6,149	​	100%

(1)

Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on investments.

In general, under the 1940 Act, a Fund would be presumed to “control” a portfolio company if such Fund owned more than 25% of its voting securities or had the power to exercise control over the management or policies of such portfolio company, and would be an “affiliated person” of a portfolio company if such Fund owned 5% or more of its voting securities.

The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets of FSMS in such industries as of June 30, 2021:

Industry Classification	Fair Value			Percentage of Portfolio
Short-Term Investments	​	$	71,572	​	62.2%
Commercial Services	​	​	4,560	​	4.0%
Real Estate Investment Trusts	​	​	3,343	​	2.9%
Retail	​	​	2,974	​	2.6%
Entertainment	​	​	2,953	​	2.6%
Packaging & Containers	​	​	2,404	​	2.1%
Airlines	​	​	1,965	​	1.7%
Healthcare-Services	​	​	1,689	​	1.5%
Pharmaceuticals	​	​	1,489	​	1.3%
Telecommunications	​	​	1,401	​	1.2%
Environmental Control	​	​	1,367	​	1.2%
Media Entertainment	​	​	1,204	​	1.0%
Software	​	​	1,188	​	1.0%
Transportation	​	​	1,125	​	1.0%
Auto Parts & Equipment	​	​	1,015	​	0.9%
Diversified Financial Services	​	​	1,010	​	0.9%
Distribution/Wholesale	​	​	1,003	​	0.9%
Oil & Gas	​	​	982	​	0.9%

122

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 8. Investment Portfolio — (continued)
 

Industry Classification	Fair Value			Percentage of Portfolio
Machinery-Diversified	​	$	941	​	0.8%
Agriculture	​	​	920	​	0.8%
Computers	​	​	909	​	0.8%
Real Estate	​	​	881	​	0.8%
Trucking & Leasing	​	​	650	​	0.6%
Holding Companies-Diversified	​	​	646	​	0.6%
Food	​	​	640	​	0.6%
Aerospace/Defense	​	​	626	​	0.5%
Home Builders	​	​	602	​	0.5%
Chemicals	​	​	581	​	0.5%
Electronics	​	​	529	​	0.5%
Healthcare-Products	​	​	485	​	0.4%
Engineering & Construction	​	​	473	​	0.4%
Household Products/Wares	​	​	366	​	0.3%
Miscellaneous Manufacturing	​	​	345	​	0.3%
Food Service	​	​	319	​	0.3%
Building Materials	​	​	278	​	0.2%
Leisure Time	​	​	270	​	0.2%
Beverages	​	​	254	​	0.2%
Home Furnishings	​	​	239	​	0.2%
Advertising	​	​	174	​	0.1%
Internet	​	​	160	​	0.1%
Semiconductors	​	​	156	​	0.1%
Storage/Warehousing	​	​	136	​	0.1%
Toys/Games/Hobbies	​	​	97	​	0.1%
Hand/Machine Tools	​	​	90	​	0.1%
Office/Business Equipment	​	​	52	​	0.0%
Total	​	$	115,063	​	100.0%

The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets of FS Alternative Income Opportunities Fund in such industries as of June 30, 2021:

Industry Classification	Fair Value			Percentage of Portfolio
Short-Term Investments	​	$	2,761	​	40.3%
Commercial Services	​	​	840	​	12.3%
Real Estate Investment Trusts	​	​	350	​	5.1%
Entertainment	​	​	288	​	4.2%
Home Builders	​	​	276	​	4.0%

123

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 8. Investment Portfolio — (continued)
 

Industry Classification	Fair Value			Percentage of Portfolio
Media Entertainment	​	$	252	​	3.7%
Retail	​	​	240	​	3.5%
Pharmaceuticals	​	​	213	​	3.1%
Packaging & Containers	​	​	180	​	2.6%
Auto Manufacturers	​	​	165	​	2.4%
Real Estate	​	​	159	​	2.3%
Telecommunications	​	​	157	​	2.3%
Healthcare-Services	​	​	152	​	2.2%
Airlines	​	​	136	​	2.0%
Environmental Control	​	​	135	​	2.0%
Distribution/Wholesale	​	​	107	​	1.6%
Oil & Gas	​	​	82	​	1.2%
Aerospace/Defense	​	​	66	​	1.0%
Holding Companies-Diversified	​	​	66	​	1.0%
Engineering & Construction	​	​	57	​	0.8%
Home Furnishings	​	​	57	​	0.8%
Software	​	​	42	​	0.6%
Food	​	​	28	​	0.4%
Storage/Warehousing	​	​	20	​	0.3%
Office/Business Equipment	​	​	12	​	0.2%
Trucking & Leasing	​	​	5	​	0.1%
Total	​	$	6,846	​	100.0%

Purchases and sales of securities during the year ended June 30, 2021, other than short-term securities and U.S. government obligations, were as follows:

Fund	Purchases			Sales
FS Multi-Strategy Alternatives Fund	​	$	41,969	​	$	58,517
FS Managed Futures Fund	​	$	—	​	$	—
FS Alternative Income Opportunities Fund	​	$	4,320	​	$	4,983
FS Real Asset Fund	​	$	—	​	$	—
FS Long/Short Equity Fund	​	$	—	​	$	—

Note 9. Fair Value of Financial Instruments

Under existing accounting guidance, fair value is defined as the price that a Fund would receive upon selling an investment or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in

124

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 9. Fair Value of Financial Instruments — (continued)
 

pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances. The Funds classify the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:

Level 1:   Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities.

Level 2:   Inputs that are quoted prices for similar assets or liabilities in active markets.

Level 3:   Inputs that are unobservable for an asset or liability.

A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.

As of June 30, 2021, the Funds’ investments and derivatives were categorized as follows in the fair value hierarchy:

FS Multi-Strategy Alternatives Fund

Asset Description

Level 1

Level 2

Level 3

Total

Corporate Bonds

​

$

—

​

$

34,659

​

$

—

​

$

34,659

Common Stock

​

​

8,832

​

​

—

​

​

—

​

​

8,832

Short-Term Investments

​

​

71,572

​

​

—

​

​

—

​

​

71,572

Forward Foreign Currency Exchange Contracts

​

​

—

​

​

106

​

​

—

​

​

106

Total Return Index Swaps

​

​

—

​

​

1,426

​

​

—

​

​

1,426

Short Futures

​

​

467

​

​

2

​

​

—

​

​

469

Long Futures

​

​

521

​

​

1

​

​

—

​

​

522

Total

​

$

81,392

​

$

36,194

​

$

—

​

$

117,586

Liability Description	​	​	​	​	​	​	​	​
Mutual Funds Sold Short	$	(2,017)	$	—	$	—	$	(2,017)
Corporate Bonds Sold Short	​	—	​	(3,684)	​	—	​	(3,684)
Common Stocks Sold Short	​	(1,253)	​	—	​	—	​	(1,253)
Forward Foreign Currency Exchange Contracts	​	—	​	(139)	​	—	​	(139)
Total Return Index Swaps	​	—	​	(2,299)	​	—	​	(2,299)
Short Futures	​	(427)	​	(2)	​	—	​	(429)
Long Futures	​	(454)	​	—	​	—	​	(454)
Total Liabilities	$	(4,151)	$	(6,124)	$	—	$	(10,275)

FS Managed Futures Fund

Asset Description

Level 1

Level 2

Level 3

Total

Short-Term Investments

​

​

2,085

​

​

—

​

​

—

​

​

2,085

Total Return Index Swaps

​

​

—

​

​

81

​

​

—

​

​

81

Total

​

$

2,085

​

$

81

​

$

—

​

$

2,166

Liability Description	​	​	​	​	​	​	​	​
Total Return Index Swaps	$	—	$	(2)	$	—	$	(2)

125

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 9. Fair Value of Financial Instruments — (continued)
 

FS Alternative Income Opportunities Fund

Asset Description	Level 1			Level 2			Level 3			Total
Corporate Bonds	​	$	—	​	$	4,085	​	$	—	​	$	4,085
Short-Term Investments	​	​	2,761	​	​	—	​	​	—	​	​	2,761
Total Return Index Swaps	​	​	—	​	​	69	​	​	—	​	​	69
Total	​	$	2,761	​	$	4,154	​	$	—	​	$	6,915

Liability Description	​	​	​	​	​	​	​	​
Total Return Index Swaps	$	—	$	(118)	$	—	$	(118)

FS Real Asset Fund

Asset Description

Level 1

Level 2

Level 3

Total

Short-Term Investments

​

​

1,954

​

​

—

​

​

—

​

​

1,954

Total Return Index Swaps

​

​

—

​

​

7

​

​

—

​

​

7

Total

​

$

1,954

​

$

7

​

$

—

​

$

1,961

FS Long/Short Equity Fund

Asset Description

Level 1

Level 2

Level 3

Total

Short-Term Investments

​

​

6,149

​

​

—

​

​

—

​

​

6,149

Total Return Index Swaps

​

​

—

​

​

520

​

​

—

​

​

520

Total

​

$

6,149

​

$

520

​

$

—

​

$

6,669

Liability Description	​	​	​	​	​	​	​	​
Total Return Index Swaps	$	—	$	(834)	$	—	$	(834)

The Funds’ investments as of June 30, 2021 primarily consisted of Exchange-Traded Securities or OTC Securities. All of the common equity investments, each of which was traded on an active public market, were valued at their closing price as of June 30, 2021. All of the fixed income investments were valued by using the midpoint of the prevailing bid and ask prices from dealers on the date of the relevant period end, which were provided by an independent third-party pricing service and screened for validity by such service.

The Funds periodically benchmark the bid and ask prices it receives from the third-party pricing service and/or dealers, as applicable, against the actual prices at which they purchase and sell their investments. Based on the results of the benchmark analysis and the experience of the Funds’ management, the Funds believe that these prices are reliable indicators of fair value. The Funds may also use other methods, including the use of an independent third-party valuation service approved by the Board, to determine fair value for securities for which they cannot obtain prevailing bid and ask prices through independent third-party pricing services or independent dealers, or where the Board otherwise determines that the use of such other methods is appropriate. The Funds will periodically benchmark the valuations provided by the independent third-party valuation service against the actual prices at which the Funds purchase and sell their investments. The Funds’ audit committee and Board reviewed the valuation determinations made with respect to these investments and determined that they were made in a manner consistent with the Funds’ valuation processes.

126

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 10. Concentration of Risk

Investing in the Funds involve risks, including, but not limited to, those set forth below. The risks described below are not, and are not intended to be, a complete enumeration or explanation of the risks involved in an investment in the Funds. For a more complete discussion of the risks of investing in the Funds, please refer to the Funds’ prospectuses and the Funds’ other filings with the SEC.

Market Risk: Investments in securities, in general, are subject to market risks that may cause their prices to fluctuate over time. The Funds’ investments may decline in value due to factors affecting securities markets generally, or particular countries, segments, economic sectors, industries or companies within those markets. The value of a security held in a short position may increase due to general economic and market conditions which are not specifically related to a particular issuer, such as real or perceived positive economic conditions or changes in interest or currency rates. Because the market value of exchange-traded fund shares may differ from their net asset value, the shares may trade at a premium or discount. An investment in the Funds may lose money.

Credit/Default Risk: An issuer or guarantor of fixed income securities or instruments held by the Funds (which issuer or guarantor may have a low credit rating or no credit rating) may default on its obligation to pay interest and repay principal or default on any other obligation. A fixed income instrument may deteriorate in quality after it has been purchased by the Funds, and such a deterioration can occur rapidly. In certain instances, the downgrading or default of a single holding or guarantor of the Funds’ holding may impair the Funds’ liquidity and have the potential to cause a significant NAV decline.

Counterparty Risk: The stability and liquidity of repurchase agreements, swap transactions, forwards and over-the-counter derivative transactions depend in large part on the creditworthiness of the parties to the transactions. It is expected that the Adviser or an applicable sub-adviser will monitor the creditworthiness of firms with which it will cause the Funds to enter into repurchase agreements, swap transactions, caps, floors, collars, over-the-counter derivatives or other similar arrangements. If there is a default by the counterparty to such a transaction, the Funds will under most normal circumstances have contractual remedies pursuant to the agreements related to the transaction. However, exercising such contractual rights may involve delays or costs which could result in the value of the Funds being less than if the transaction had not been entered into. Furthermore, there is a risk that any of such counterparties could become insolvent and/or the subject of insolvency proceedings. If one or more of the Funds’ counterparties were to become insolvent or the subject of insolvency proceedings in the United States (either under the Securities Investor Protection Act or the United States Bankruptcy Code), there exists the risk that the recovery of such vehicle’s securities and other assets from such prime broker or broker-dealer will be delayed or be of a value less than the value of the securities or assets originally entrusted to such prime broker or broker-dealer.

In addition, the Funds may use counterparties located in jurisdictions outside the United States. Such local counterparties are subject to the laws and regulations in non-U.S. jurisdictions that are designed to protect their customers in the event of their insolvency. However, the practical effect of these laws and their application to the Funds’ assets are subject to substantial limitations and uncertainties. Because of the large number of entities and jurisdictions involved and the range of possible factual scenarios involving the insolvency of a counterparty, it is impossible to generalize about the effect of their insolvency on the Funds and their assets. Shareholders should assume that the insolvency of any counterparty would result in a loss to the Funds, which could be material.

Libor Risk: In July of 2017, the head of the UK Financial Conduct Authority (“FCA”) announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing SOFR that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to

127

FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 10. Concentration of Risk — (continued)
 

these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Funds. The effect of any changes to, or discontinuation of, LIBOR on the Funds will depend on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. The expected discontinuation of LIBOR could have a significant impact on the financial markets in general and may also present heightened risk to market participants, including public companies, investment advisers, investment companies, and broker-dealers. The risks associated with this discontinuation and transition will be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. For example, current information technology systems may be unable to accommodate new instruments and rates with features that differ from LIBOR. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Funds until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become settled.

Derivatives Risk: The Funds may invest in Financial Instruments (used herein to refer to (i) futures contracts, including futures based on equity or fixed income securities and/or equity or fixed income indices, interest rate futures, currency futures and swap futures; (ii) swaps, including equity, currency, interest rate, total return, variance and credit default swaps, and swaps on futures contracts; (iii) options, including long and short positions in call options and put options on indices, individual securities or currencies, swaptions and options on futures contracts; (iv) forward contracts, including forwards based on equity or fixed income securities and/or equity or fixed income indices, currency forwards, interest rate forwards, swap forwards and non-deliverable forwards; and (v) other instruments, including structured securities and contracts for differences). Financial Instruments may involve risks different from, or greater than, those associated with more traditional investments. Due to leverage, small changes in the value of the Financial Instruments’ reference assets, rates, or indexes may produce disproportionate losses to the Funds. The value of Financial Instruments may not move as expected relative to the value of the reference assets, rates or indexes. Financial Instruments used for hedging purposes may not hedge risks as expected, and Financial Instruments used for non-hedging purposes may not provide the anticipated investment exposure. Financial Instruments may be highly illiquid, and the Funds may not be able to close out or sell a Financial Instrument position at a particular time or at an anticipated price. Various legislative and regulatory initiatives may impact the availability, liquidity and cost of derivatives. Financial Instruments also may be subject to interest rate risk, currency risk and counterparty risk.

In October 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. The Fund will be required to implement and comply with new Rule 18f-4 by the third quarter of 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities so that a failure to comply with the limits would result in a statutory violation and require funds whose use of derivatives is more than a limited specified exposure to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Equity Risk: The prices of equity securities in which the Funds hold long and short positions may rise and fall daily. These price movements may result from factors affecting individual companies, industries, securities markets or economies.

Foreign Investment and Emerging Markets Risk: Investments in the securities of non-U.S. issuers involve risks beyond those associated with investments in U.S. securities. These additional risks include greater market volatility, the availability of less reliable financial information, higher transactional and custody costs, taxation by foreign governments, decreased market liquidity, political instability and less developed legal and accounting practices. Foreign issuers are often subject to less stringent requirements regarding accounting, auditing, financial reporting and record keeping than are U.S. issuers, and therefore not all material information will be available. Securities exchanges or

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FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 10. Concentration of Risk — (continued)
 

foreign governments may adopt rules or regulations that may negatively impact the Funds’ ability to invest in foreign securities or may prevent the Funds from repatriating its investments. In addition, the Funds may not receive shareholder communications or be permitted to vote the securities that it holds, as the issuers may be under no legal obligation to distribute them.

Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies are subject to market and manager risk. In addition, if a Fund acquires shares of investment companies, shareholders bear both their proportionate share of expenses in the Fund (including management and advisory fees) and, indirectly, the expenses of the investment companies. The Funds may invest in money market mutual funds. An investment in a money market mutual fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although money market mutual funds that invest in U.S. government securities seek to preserve the value of a Fund’s investment at $1.00 per share, it is possible to lose money by investing in a stable NAV money market mutual fund. Moreover, SEC rules require prime money market mutual funds to use floating NAVs that do not preserve the value of a Fund’s investment at $1.00 per share.

Liquidity Risk: Although the Funds will invest primarily in liquid, publicly traded securities, the Funds may make investments that trade in lower volumes or that otherwise may be illiquid. Also, the Funds may make investments that may become less liquid in response to market developments or adverse investor perceptions. Less liquid or illiquid investments may be difficult to value. An inability to sell one or more portfolio positions can adversely affect the Funds’ value or prevent the Funds from being able to take advantage of other investment opportunities.

Non-Diversification Risk: The Funds are classified as “non-diversified” investment companies, which means that the percentage of their assets that may be invested in the securities of a single issuer is not limited by the 1940 Act. As a result, the Funds’ investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broad range of issuers.

Short Sales Risk: A short sale of a security involves the theoretical risk of unlimited loss because of increases in the market price of the security sold short. The Funds’ use of short sales, in certain circumstances, can result in significant losses. In order to qualify as a regulated investment company under the Code, each Fund must meet certain requirements regarding the source of its income, the diversification of its assets, and the distribution of its income. Each Fund’s ability to pursue its investment strategy may therefore be limited by its intention to qualify as a regulated investment company under the Code and may bear adversely on its ability to so qualify. If a Fund were to fail to qualify as a regulated investment company and became subject to federal income tax, shareholders of that Fund would be subject to the risk of diminished returns.

Pandemic Risk: The continuing spread of an infectious respiratory illness caused by a novel strain of coronavirus (known as COVID-19) has caused volatility, severe market dislocations and liquidity constraints in many markets, including securities the Funds hold, and may adversely affect the Funds’ investments and operations. The outbreak was first detected in December 2019 and subsequently spread globally. The transmission of COVID-19 and efforts to contain its spread have resulted in travel restrictions and disruptions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event and service cancellations or interruptions, disruptions to business operations (including staff reductions), supply chains and consumer activity, as well as general concern and uncertainty that has negatively affected the economic environment. These disruptions have led to instability in the market place, including stock market losses and overall volatility. The impact of COVID-19, and other infectious illness outbreaks, epidemics or pandemics that may arise in the future, could adversely affect the economies of many nations or the entire global economy, the financial performance of individual issuers, borrowers and sectors and the health of the markets generally in potentially significant and unforeseen ways. In addition, the impact of infectious illnesses, such as COVID-19, in emerging market countries may be greater due to generally less established healthcare systems. This crisis or other public health crises may exacerbate other pre-existing political, social and economic risks in certain countries or globally.

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FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 10. Concentration of Risk — (continued)
 

The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of securities or other assets. Such impacts, which may vary across asset classes, may adversely affect the performance of the Funds’ investments, the Funds and a shareholder’s investment in the Funds. In certain cases, an exchange or market may close or issue trading halts on either specific securities or even the entire market, which may result in the Funds being, among other things, unable to buy or sell certain securities or financial instruments or to accurately price their investments.

To satisfy any shareholder redemptions during periods of extreme volatility, such as those associated with COVID-19, it is more likely the Funds may be required to dispose of portfolio investments at unfavorable prices compared to their intrinsic value.

The Funds and the Adviser have in place business continuity plans reasonably designed to ensure that they maintain normal business operations, and that the Funds, their portfolios and assets are protected. However, in the event of a pandemic or an outbreak, such as COVID-19, there can be no assurance that the Funds, their advisers and service providers, or the Funds’ portfolio companies, will be able to maintain normal business operations for an extended period of time or will not lose the services of key personnel on a temporary or long-term basis due to illness or other reasons. A pandemic or disease could also impair the information technology and other operational systems upon which the Funds’ advisers rely and could otherwise disrupt the ability of the Funds’ service providers to perform essential tasks.

Governmental authorities and regulators throughout the world, such as the U.S. Federal Reserve, have in the past responded to major economic disruptions with changes to fiscal and monetary policy, including but not limited to, direct capital infusions, new monetary programs and dramatically lower interest rates. Certain of those policy changes are being implemented in response to the COVID-19 pandemic. Such policy changes may adversely affect the value, volatility and liquidity of dividend and interest paying securities. The effect of recent efforts undertaken by the U.S. Federal Reserve to address the economic impact of the COVID-19 pandemic, such as the reduction of the federal funds target rate, and other monetary and fiscal actions that may be taken by the U.S. federal government to stimulate the U.S. economy, are not yet fully known. Although vaccines for COVID-19 are becoming more widely available, the duration of the COVID-19 outbreak and its full impacts are also unknown, and the pace of recovery may vary from market to market, resulting in a high degree of uncertainty for potentially extended periods of time, especially in certain sectors in which the Fund may make investments.

Note 11. Commitments and Contingencies

The Funds enter into contracts that contain a variety of indemnification provisions. The Funds’ maximum exposure under these arrangements is unknown; however, the Funds have not had prior claims or losses pursuant to these contracts. Management of the Adviser has reviewed the Funds’ existing contracts and expects the risk of loss to the Funds to be remote.

The Funds are not currently subject to any material legal proceedings and, to the Funds’ knowledge, no material legal proceedings are threatened against the Funds. From time to time, the Funds may be a party to certain legal proceedings in the ordinary course of business, including proceedings related to the enforcement of the Funds’ rights under contracts with its portfolio companies. While the outcome of any legal proceedings cannot be predicted with certainty, to the extent the Funds become parties to such proceedings, the Funds would assess whether any such proceedings will have a material adverse effect upon their financial condition or results of operations.

See Note 4 for a discussion of the Funds’ commitments to the Adviser and its affiliates, which consists of the conditional obligation of the Funds to reimburse FS Investments pursuant to the terms of their respective Expense Limitation Agreements.

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FS Series Trust

Notes to Unaudited Consolidated Financial Statements — (continued)
(dollar values in thousands, except share and per share amounts)

 

Note 12. Subsequent Events

Management has evaluated subsequent events for the Funds through the date the financial statements were issued, and has concluded that there are no recognized or non-recognized subsequent events relevant for financial statement disclosure, other than as noted above.

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Supplemental Information (Unaudited)

Changes in Accountants and Disagreements with Accountants on Accounting and Financial Disclosure

The Funds have not had any changes in their independent registered public accounting firm or disagreements with their independent registered public accounting firm on accounting or financial disclosure matters since their inception.

Availability of Quarterly Portfolio Schedules

Each 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. Each Fund’s Forms N-PORT (and its predecessor form, Form N-Q) reports are available on the SEC’s website at http://www.sec.gov.

Proxy Voting Policies and Procedures

Each Fund has delegated its proxy voting responsibility to the Adviser or each Fund’s investment adviser, if applicable. Solely with regards to FSMS, the Adviser has delegated proxy voting responsibility to FSMS’s investment sub-advisers. Accordingly with regards to FSMS, each of the investment sub-advisers review any pending proxy vote decisions seeking to ensure that all votes cast for FSMS are in the best interest of FSMS and its shareholders. Shareholders may obtain a copy of the Adviser’s and the investment sub-adviser’s proxy voting policies and procedures upon request and without charge by calling the Trust collect at 1-877-628-8575 or on the SEC’s website at http://www.sec.gov.

Proxy Voting Record

Information regarding how the investment sub-advisers voted proxies relating to FSMS’s portfolio securities during the twelve-month period ended June 30 and information regarding how the Adviser voted proxies relating to each Alt Beta Fund’s portfolio securities during the twelve-month period ended June 30 will be available upon request and without charge by making a written request to the Trust’s Chief Compliance Officer at FS Series Trust, 201 Rouse Boulevard, Philadelphia, Pennsylvania 19112, Attn: Chief Compliance Officer, by calling the Fund collect at 1-877-628-8575 or on the SEC’s website at http://www.sec.gov.

BOARD APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS FOR
FS SERIES TRUST

Approval of FS Global Macro Fund’s1 Investment Sub-Advisory Agreement With MidOcean Credit Fund 
Management, L.P.

At a meeting of the Board of Trustees (the “Board”) of FS Series Trust (the “Trust”) held on October 22, 2020, the Board, including a majority of the Trustees who are not “interested persons” of the Trust (each, an “Independent Trustee” and, together, the “Independent Trustees”), as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”), approved the initial investment sub-advisory agreement (“MidOcean Sub-Advisory Agreement”) for FS Global Macro Fund (“FSGM”) between MidOcean Credit Fund Management, L.P. (“MidOcean”) and FS Fund Advisor, LLC (“FS Fund Advisor”).

In its deliberations, the Board considered a range of materials and information regarding the nature, extent and quality of services to be provided by MidOcean to FSGM; the past performance of MidOcean in the Low Duration Bond (“LDB”) strategy, which will be employed for FSGM; the fees to be paid to MidOcean for its services to FSGM and the expected profitability of MidOcean. The Board also considered information related to potential economies of scale that could be realized as the assets of FSGM grow and “fall out” or ancillary benefits enjoyed by MidOcean as a result of its relationship with FSGM. In addition to evaluating, among other things, the written information provided by FS Fund Advisor and MidOcean, the Board also considered the presentation provided to the Board by representatives of FS Fund Advisor and MidOcean and the answers to questions posed by the Board to such representatives at the meeting.

1

The name of the FS Global Macro Fund was subsequently changed to the FS Alternative Income OpportunitiesFund effective on February 16, 2021.

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The Independent Trustees met separately in executive session with their independent legal counsel to review and consider the information provided regarding the MidOcean Sub-Advisory Agreement. Based on their review, the Independent Trustees and the Board determined to approve the MidOcean Sub-Advisory Agreement. In their deliberations, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

Nature, Extent and Quality of Services.   In evaluating the nature, extent and quality of services to be provided by MidOcean to FSGM, the Board reviewed information describing the financial strength, experience, resources, compliance program, and key personnel of MidOcean (and its affiliates), including the personnel who would provide investment management services to FSGM. The Board considered the expertise of MidOcean’s portfolio management team in investing in the low duration universe through multiple market cycles, recognizing the significant anticipated investment of time, capital and human resources to be provided by MidOcean and its affiliates, and MidOcean’s proposed role in, among other things, managing an allocated portion of the assets of FSGM, the nature and timing of changes to the portfolio and the manner of implementing such changes.

In addition, the Board considered MidOcean’s demonstrated success in the industry; its ownership structure and financial position; the key personnel and their qualifications, abilities, education, experience and professional accomplishments; the compensation structure of the portfolio managers and the ability of MidOcean to attract and retain high-caliber professionals; MidOcean’s advisory experience and performance, including performance information relevant to the LDB strategy; MidOcean’s brokerage practices and portfolio transaction allocation methodology; and MidOcean’s compliance program and related matters. The Board and the Independent Trustees determined that they were generally satisfied with MidOcean with regard to these matters.

Performance.   With respect to performance, the Board considered the historical performance of a similar strategy through September 30, 2020, noting that the LDB strategy did not yet have its own performance record but was a component of the strategy reviewed. The Board further noted that FS Fund Advisor was unaware of any true peer products, given the uniqueness of its strategy. The Board and the Independent Trustees determined that they were satisfied with the nature, quality and extent of the services to be provided to the Fund by MidOcean.

Costs of Services Provided and Profits Realized.   With regard to the fees to be paid to MidOcean, the Board noted that the proposed fee was at the lower end of the range of MidOcean’s managed accounts and funds. The Board noted that MidOcean had also agreed that the fee shall not commence accrual until the public offering of FSGM’s shares and that MidOcean had agreed to waive receipt of its fees until such date.

The Board then reviewed the estimated profitability information provided by MidOcean and its methodology for determining profitability. The Board noted FS Fund Advisor’s belief that the strategy should achieve positive economics once publicly offered and that FS Fund Advisor would monitor the extent to which economies of scale are realized as FSGM grows and would consider whether FSGM’s fee levels reflect these economies of scale for the benefit of FSGM’s shareholders.

The Board determined that, based on the information reviewed, the fee to be paid to FSGM was reasonable in relation to the services to be rendered and within the range of what would have been negotiated at arm’s length in similar circumstances. With respect to the approval of the MidOcean Sub-Advisory Agreement, the Board determined that it was satisfied with the level of fees to be paid by FS Fund Advisor to MidOcean given the quality and extent of services to be provided and that the fee was reasonable in relation to the services to be rendered.

Overall Conclusions.   Based on all of the information considered and the conclusions reached, the Board determined that the terms of the MidOcean Sub-Advisory Agreement are fair and reasonable and that the approval of the MidOcean Sub-Advisory Agreement is in the best interests of FSGM and its shareholders. The Board, including a majority of the Independent Trustees, approved the MidOcean Sub-Advisory Agreement.

Approval of Investment Advisory and Investment Sub-Advisory Agreements

At a meeting of the Board held on November 18, 2020 (the “November Meeting”), the Board, including a majority of the Independent Trustees: (1) reapproved: (i) the investment advisory agreements (each an “Investment Advisory Agreement” and together the “Investment Advisory Agreements”) between FS Fund Advisor and each of FS Multi-Strategy Alternatives Fund (“FSMS”), FS Managed Futures Fund (“FSMF”), FSGM, FS Real Asset Fund (“FSRA”), FS Long/Short Equity Fund (“FSLSE”) and FS Event Driven Fund (“FSED” and, collectively with FSMS,

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FSMF, FSGM, FSRA and FSLSE, the “Funds” and each individually, a “Fund”); and (ii) the Investment Sub-Advisory Agreements for FSMS between FS Fund Advisor and Wilshire Associates Incorporated (“Wilshire”), MidOcean and Chilton Investment Company, LLC (“Chilton” and, together with Wilshire and MidOcean, the “Sub-Advisors”), including an amended investment Sub-Advisory Agreement with MidOcean for FSMS (each a “Sub-Advisory Agreement” and together, the “Sub-Advisory Agreements”); (2) approved a new Investment Sub-Advisory Agreement with Wilshire for FSMS due to an impending change in control of Wilshire (“Wilshire Sub-Advisory Agreement”); and (3) approved a proposed new Investment Sub-Advisory Agreement with Crabel Capital Management, LLC (“Crabel”) for FSMS (“Crabel Sub-Advisory Agreement”).

In considering the various approvals of the investment advisory and sub-advisory agreements for the Funds, the Independent Trustees considered the materials provided in advance of the November Meeting in response to requests for information in connection with the proposed approvals, the presentations and discussions that took place at the Meeting, and the information provided and considered over the course of the Board’s oversight of the Funds during the year. The Independent Trustees met separately in executive session with their independent legal counsel to review and consider the information provided regarding the various agreements. In their deliberations, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

Annual Approval of Investment Advisory and Sub-Advisory Agreements

In considering the annual approval of the Investment Advisory and Sub-Advisory Agreements for the Funds, the Board considered a range of materials and information regarding the nature, extent and quality of services to be provided by FS Fund Advisor to each Fund and the Sub-Advisors to FSMS; the past performance of each Fund; the fees to be paid to FS Fund Advisor and each Sub-Advisor for its services to each applicable Fund and the expected profitability of FS Fund Advisor and each Sub-Advisor in providing such services. The Board also considered information related to potential economies of scale that could be realized as the assets of each Fund grow and “fall out” or ancillary benefits enjoyed by FS Fund Advisor and the Sub-Advisors as a result of its relationship with the applicable Funds. In addition to evaluating, among other things, the written information provided by FS Fund Advisor and each Sub-Advisor, the Board also considered the presentation provided to the Board by representatives of FS Fund Advisor and the answers to questions posed by the Board to such representatives at the meeting.

Nature, Extent and Quality of Services.   In evaluating the nature, extent and quality of services to be provided by FS Fund Advisor and the Sub-Advisors to each applicable Fund, the Board reviewed information describing the expertise of FS Fund Advisor’s portfolio management team, recognizing the significant anticipated investment of time, capital and human resources provided by FS Fund Advisor and its affiliates, including during the COVID-19 pandemic. The Board also considered FS Fund Advisor’s and each Sub-Advisor’s ownership structure and financial position; key personnel and their qualifications, abilities, education, experience and professional accomplishments; the compensation structure of the portfolio managers and the ability of FS Fund Advisor or Sub-Advisor to attract and retain high-caliber professionals; their advisory experience and performance, including performance information; their brokerage practices and portfolio transaction allocation methodology; and their compliance programs and related matters. In addition, the Board considered the revisions to the Sub-Advisory Agreement with MidOcean to more accurately reflect MidOcean’s responsibilities as a sub-adviser for FSGM. The Board and the Independent Trustees determined that they were generally satisfied with FS Fund Advisor and each Sub-Advisor with regard to these matters.

Review of Performance.   With respect to performance, the Board considered the historical performance of each Fund as compared to the performance of comparable funds in terms of structure, investment objectives, assets under management, portfolio mix and/or similar criteria, and compared to certain indices spanning the spectrum of primary asset classes in which each Fund invests as of October 30, 2020. With regard to investment performance, the Independent Trustees considered the performance for each Fund, noting that the performance of FSMS and FSLSE was favorable and positioned those Funds for success, and that the investment performance of FSGM was reasonable but expected to be augmented by the addition of MidOcean. The Board and the Independent Trustees determined that they were satisfied with the performance of each Fund.

Costs of Services Provided and Profits Realized.   With regard to the fees to be paid to FS Fund Advisor by each Fund, the Board reviewed the comparative information on fees and expenses borne by the Fund and other funds that are relatively comparable based on size and strategy to each Fund. In addition, the Board considered the fees paid to each Sub-Advisor by FS Fund Advisor with respect to FSMS.

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The Board then reviewed the estimated profitability information provided by FS Fund Advisor and the Sub-Advisors and their methodologies for determining profitability. The Board noted FS Fund Advisor’s belief that each strategy should achieve positive economics once publicly offered and that FS Fund Advisor would monitor the extent to which economies of scale are realized as each Fund grows and would consider whether each Fund’s fee levels reflect these economies of scale for the benefit of each Fund’s shareholders.

The Board then considered ancillary benefits, if any, that FS Fund Advisor and the Sub-Advisors may experience in connection with their relationship with the Funds.

The Board determined that, based on the information reviewed, the fee to be paid to FS Fund Advisor and each Sub-Advisor was reasonable in relation to the services to be rendered and within the range of what would have been negotiated at arm’s length in similar circumstances.

Overall Conclusions.   Based on all of the information considered and the conclusions reached, the Board determined that the terms of each Investment Advisory Agreement and each Sub-Advisory Agreement are fair and reasonable and that the approval of each Investment Advisory Agreement and each Sub-Advisory Agreement is in the best interests of the applicable Fund and its shareholders.

Approval of Investment Sub-Advisory Agreement with Wilshire Associates Incorporated for FS Multi-Strategy Alternatives Fund

At the November Meeting, the Board reviewed and considered information bearing on the approval of the Wilshire Sub-Advisory Agreement. Following this review, the Board, including all of the Independent Trustees voting separately, unanimously approved the Wilshire Sub-Advisory Agreement for an initial two-year period, commencing upon the close of the acquisition of Wilshire by C Capital Management LLC and Motive Partners (the “Acquisition”).

The Independent Trustees were assisted in their review of the Wilshire Sub-Advisory Agreement, and the specific factors deemed to be material to the approval of the Wilshire Sub-Advisory Agreement, including the factors described below, by independent legal counsel. Before the November Meeting, independent legal counsel to the Independent Trustees sent to Wilshire a request for information to be provided to the Independent Trustees in connection with their consideration of the Wilshire Sub-Advisory Agreement. The Adviser and Wilshire provided materials to the Board in response to that request, in addition to other information that the Adviser and/or Wilshire believed would be useful in evaluating Wilshire. Further in connection with the approval of the Wilshire Sub-Advisory Agreement, the Board also considered the responses that Wilshire had provided to an inquiry from independent legal counsel to the Independent Trustees that covered information relating to the Acquisition, and also considered discussions it had with Wilshire personnel regarding the Acquisition.

In evaluating the Wilshire Sub-Advisory Agreement, the Trustees reviewed the available information and discussed with representatives of Wilshire the Fund’s operations; the nature, extent and quality of the advisory and other services to be provided by Wilshire to the Fund; the management fees and total expense ratios of each class of shares of the Fund; possible economies of scale; and other benefits (in addition to advisory fee revenues) derived or potentially derived by Wilshire from its relationship with the Fund. The specific information reviewed and considered by the Board included, without limitation, information about: (i) Wilshire’s general qualifications to serve as sub-adviser to the Fund, including its history, organization, ownership structure, operations and financial position, including following the close of the Acquisition; (ii) the services that Wilshire would render to the Fund, including information relating to Wilshire’s advisory, administrative and reporting capabilities; and any role in the valuation of Fund assets; (iii) key personnel of Wilshire and their qualifications, abilities, education, experience and professional accomplishments; the compensation structure of the proposed portfolio managers; succession planning; and the ability of Wilshire to attract and retain high-caliber professionals; (iv) Wilshire’s advisory experience and performance, including available performance information relevant to Wilshire’s management of FSMS and sources of information to be relied upon by Wilshire in performing asset allocation and manager research services for the Fund; (v) the terms of the Wilshire Sub-Advisory Agreement and associated fees; “fall-out” and indirect benefits expected potentially to be derived by Wilshire and/or its affiliates in connection with the advisory arrangement; available information on estimated profitability to Wilshire resulting from the advisory relationship; the potential for economies of scale; available information on management and other fees associated with the advisory arrangement in comparison to comparable funds’ management and other fees, if any; (vi) compliance and related matters, including Wilshire’s compliance policies and procedures; specific information related to experience managing assets subject to 1940 Act

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regulation; risk monitoring and management, including management of cybersecurity risk; and (vii) legal matters, including any relevant litigation, investigation or examinations; potential conflicts of interest; and insurance arrangements. The Board’s considerations included the following, among others:

Nature, Extent, and Quality of the Services.   The Board discussed and considered with respect to Wilshire (1) information regarding personnel and their qualifications and services to be provided by Wilshire upon closing of the Acquisition; (2) historical performance information of the Fund, and any investment-related resources Wilshire would employ in managing the Fund’s assets; and (3) various operational considerations, including compliance policies and procedures and related matters. The Board noted Wilshire’s representations that there have been no material changes, nor any anticipated changes, to the services provided to the Fund, and its representation that the Acquisition would not impact Wilshire’s investment capacity or function. The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by Wilshire upon closing the Acquisition were appropriate and thus supported a decision to approve the Wilshire Sub-Advisory Agreement.

Investment Performance of Wilshire.   The Trustees reviewed historical investment performance generated by Wilshire for the Fund and discussed such performance in light of current market conditions.

Cost of Services and Profitability.   In analyzing the cost of services and profitability of Wilshire, the Board discussed the following factors: the proposed sub-advisory fee for managing Fund assets, noting that there were no proposed changes to such fees from the current Wilshire Sub-Advisory Agreement, including any breakpoints, discounts, exclusivity periods, or “most-favored nations” provisions, Wilshire’s resources devoted to the Fund, and (where available) the information provided by Wilshire regarding the profitability to Wilshire from providing sub-advisory services to the Fund, noting that any such information may not be reflective of Wilshire’s profitability following the close of the Acquisition.

The Board noted that Wilshire does not serve as non-discretionary sub-adviser to any comparable mutual funds or accounts. The Board considered the specific resources Wilshire would devote to the Fund for analysis, risk management, compliance, and order execution and the extent to which Wilshire’s investment process would be scalable. The Board noted that the compensation paid to Wilshire would continue to be paid by the Adviser, not the Fund, and, accordingly, that the retention of Wilshire did not increase the fees or expenses otherwise incurred by the Fund’s shareholders. On the basis of the Board’s review of the fees to be charged by Wilshire for investment sub-advisory services, the specialized nature of the Fund’s portfolio, and the estimated costs associated with advising with respect to or managing the portfolio, the Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided. It was noted that the Wilshire Sub-Advisory Agreement was the result of arms-length negotiations between the Adviser and Wilshire.

Economies of Scale.   The Board discussed various financial and economic considerations relating to the proposed arrangement with Wilshire, including the potential for economies of scale. The Board noted that, consistent with the current Wilshire Sub-Advisory Agreement, the sub-advisory fees payable to Wilshire would decrease as the level of portfolio assets increased. The Board noted that certain Fund expenses would be subject to an expense limitation agreement and that it would have the opportunity to re-examine periodically whether there were additional economies of scale in the operations of the Fund in the future at different asset levels, as well as the appropriateness of sub-advisory fees payable to Wilshire in the future.

Other Benefits.   The Board discussed other potential benefits that Wilshire might receive from the Fund, including, potentially, an enhanced ability to obtain general research, statistical or other services that may be of value in servicing other clients, an enhanced ability to obtain more favorable execution of portfolio transactions, profits for administrative services or any enhancement of the line of financial products and services available to prospective investors. The Board concluded that other benefits derived by Wilshire from its relationship with the Adviser 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 investors therein, and were consistent with industry practice and the best interests of the Fund and its shareholders.

Conclusion.   The Board considered the information that had been provided and concluded that it provided sufficient basis for taking action on the approval of the Wilshire Sub-Advisory Agreement for an initial two-year period, commencing upon the close of the Acquisition. The Board, including all of the Independent Trustees, concluded that the fees payable under the Wilshire Sub-Advisory Agreement were fair and reasonable with respect to the services that Wilshire would provide to the Fund and in light of the other factors described above and additional

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factors that the Board deemed relevant. The Board considered that there were no changes in the extent or type of services that Wilshire proposes to render upon closing of the Acquisition and, as noted above, the amount to be paid under the Wilshire Sub-Advisory Agreement with that under the current Wilshire Sub-Advisory Agreement. In this regard, the Board in particular noted that the principal terms of the Wilshire Sub-Advisory Agreement are substantially identical to the current Wilshire Sub-Advisory Agreement. After review and consideration of certain other terms and conditions of the Wilshire Sub-Advisory Agreement, the Board concluded that the terms of the Wilshire Sub-Advisory Agreement were reasonable and fair and the Board, including all of the Independent Trustees voting separately, voted to approve the Wilshire Sub-Advisory Agreement.

Approval of Investment Sub-Advisory Agreement with Crabel Capital Management, LLC for FS Multi-Strategy Alternatives Fund

At the November Meeting, the Board, including the Independent Trustees, approved the initial investment sub-advisory agreement (the “Crabel Sub-Advisory Agreement”) for FSMS between Crabel and FS Fund Advisor.

The Independent Trustees were assisted in their review of the Crabel Sub-Advisory Agreement, and the specific factors deemed to be material to the approval of the Crabel Sub-Advisory Agreement, including the factors described below, by independent legal counsel. Before the November Meeting, independent legal counsel to the Independent Trustees sent to Crabel a request for information to be provided to the Independent Trustees in connection with their consideration of the Crabel Sub-Advisory Agreement. The Adviser and Crabel provided materials to the Board in response to that request, in addition to other information that the Adviser and/or Crabel believed would be useful in evaluating Crabel.

In evaluating the Crabel Sub-Advisory Agreement, the Trustees reviewed the available information and discussed with representatives of Crabel the Fund’s operations; the nature, extent and quality of the advisory and other services to be provided by Crabel to the Fund; the management fees and total expense ratios of each class of shares of the Fund; possible economies of scale; and other benefits (in addition to advisory fee revenues) derived or potentially derived by Crabel from its relationship with the Fund. The specific information reviewed and considered by the Board included, without limitation, information about: (i) Crabel’s general qualifications to serve as sub-adviser to the Fund, including its history, organization, ownership structure, operations and financial position; (ii) the services that Crabel would render to the Fund, including information relating to Crabel’s advisory, administrative and reporting capabilities; and any role in the valuation of Fund assets; (iii) key personnel of Crabel and their qualifications, abilities, education, experience and professional accomplishments; the compensation structure of the proposed portfolio managers; succession planning; and the ability of Crabel to attract and retain high-caliber professionals; (iv) Crabel’s advisory experience and performance, including available performance information relevant to Crabel’s proposed management of the Fund and sources of information to be relied upon by Crabel in performing portfolio management services; (v) Crabel’s brokerage practices and portfolio transaction allocation methodology, including policies for selecting broker-dealers; Crabel’s best-execution practices; policies on allocation of portfolio securities acquisitions across accounts; research services provided by broker-dealers and soft-dollar arrangements, as applicable; (vi) the terms of the Crabel Sub-Advisory Agreement and associated fees; “fall-out” and indirect benefits expected potentially to be derived by Crabel and/or its affiliates in connection with the advisory arrangement; available information on estimated profitability to Crabel resulting from the advisory relationship; the potential for economies of scale; available information on management and other fees associated with the advisory arrangement in comparison to comparable funds’ management and other fees; (vii) compliance and related matters, including Crabel’s compliance policies and procedures; specific information related to experience managing assets subject to 1940 Act regulation; risk monitoring and management, including management of cybersecurity risk; and (viii) legal matters, including any relevant litigation, investigation or examinations; potential conflicts of interest; and insurance arrangements.

At the November Meeting, there was discussion regarding each of the above items. The Independent Trustees also met in executive session to discuss these items. The Board’s considerations included the following, among others:

Nature, Extent, and Quality of the Services.   The Board discussed and considered with respect to Crabel: (1) information regarding personnel and their qualifications and services to be provided by Crabel, (2) historical performance information, including performance of any other relevant strategies managed by Crabel, and any investment-related resources Crabel would employ in managing the Fund’s assets; and (3) various operational considerations, including brokerage practices, compliance policies and procedures and related matters. The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by Crabel were appropriate and thus supported a decision to approve the Crabel Sub-Advisory Agreement.

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Investment Performance of Crabel.   The Trustees reviewed available historical investment performance generated by Crabel for its relevant investment strategies, but noted that the portion of the Fund’s assets to be managed by Crabel would be managed pursuant to a tailored investment strategy and, as a result, the Fund’s investment program and performance would differ from those of the individual strategies.

Cost of Services and Profitability.   In analyzing the cost of services and profitability of Crabel, the Board discussed the following factors: the proposed sub-advisory fee for managing the allocated Fund assets, including any breakpoints, discounts, exclusivity periods, or “most-favored nations” provisions, Crabel’s resources devoted to the Fund, and (where available) the information provided by Crabel regarding the profitability to Crabel from providing sub-advisory services to the Fund.

The Board reviewed the performance of Crabel’s relevant investment strategies, as well as information about the management fees typically charged for those strategies to other accounts. The Board considered the specific resources Crabel would devote to the Fund for analysis, risk management, compliance, and order execution and the extent to which Crabel’s investment process would be scalable. The Board noted that the compensation paid to Crabel would be paid by the Adviser, not the Fund, and, accordingly, that the retention of Crabel did not increase the fees or expenses otherwise incurred by the Fund’s shareholders. On the basis of the Board’s review of the fees to be charged by Crabel for investment sub-advisory services, the specialized nature of the Fund’s portfolio, and the estimated costs associated with advising with respect to or managing the portfolio, the Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided. It was noted that the Crabel Sub-Advisory Agreement was the result of arms-length negotiations between the Adviser and Crabel.

Economies of Scale.   The Board discussed various financial and economic considerations relating to the proposed arrangement with Crabel, including the potential for economies of scale. The Board noted that while the sub-advisory fees for Crabel would not decrease as the level of portfolio assets increased, the assets to be managed by Crabel were to be relatively modest in size. The Board noted that certain Fund expenses would be subject to an expense limitation agreement and determined that because the Fund was still in its early stages of operations, it was premature to discuss changes to and/or additional breakpoints. The Board noted that it would have the opportunity to re-examine periodically whether there were any economies of scale in the operations of the Fund in the future at different asset levels, as well as the appropriateness of sub-advisory fees payable to Crabel, with respect to different asset sizes of the portfolio managed by Crabel, in the future.

Other Benefits.   The Board discussed other potential benefits that Crabel might receive from the Fund, including, potentially, an enhanced ability to obtain general research, statistical or other services that may be of value in servicing other clients, an enhanced ability to obtain more favorable execution of portfolio transactions, profits for administrative services or any enhancement of the line of financial products and services available to prospective investors. The Board noted that Crabel did not indicate that it expected to receive significant indirect or “fall-out” benefits as a result of its relationship with the Adviser or the Fund.

Conclusion.   The Board considered the information that had been provided and concluded that it provided sufficient basis for taking action on the approval of the Crabel Sub-Advisory Agreement for an initial two-year period. The Board, including all of the Independent Trustees, concluded that the fees payable under the Crabel Sub-Advisory Agreement were fair and reasonable with respect to the services that Crabel would provide to the Fund and in light of the other factors described above and additional factors that the Board deemed relevant. After review and consideration of certain other terms and conditions of the Crabel Sub-Advisory Agreement, the Board concluded that the terms of the Crabel Sub-Advisory Agreement were reasonable and fair and the Board, including all of the Independent Trustees voting separately, voted to approve the Crabel Sub-Advisory Agreement.

Ratification of the Approval of Wilshire’s Sub-Advisory Agreements

At a meeting of the Board held on December 16, 2020, the Board, including a majority of the Independent Trustees, (1) ratified of the approval of the current investment sub-advisory agreement for FSMS between Wilshire and FS Fund Advisor, as amended (the “Current Wilshire Sub-Advisory Agreement”); and (2) approved a new investment sub-advisory agreement for FSMS between Wilshire and FS Fund Advisor (the “New Wilshire Sub-Advisory Agreement”) that was proposed due to the Acquisition of Wilshire, copies of which were provided to the Board in advance of the November Meeting.

In considering the ratification and approval of the Current Wilshire Sub-Advisory Agreement and the New Wilshire Sub-Advisory Agreement, the Trustees considered their previous deliberations during the November Meeting

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including that: (i) the Board determined that the investment sub-advisory fee rate to be paid by FS Fund Advisor to Wilshire as set forth in the Current Wilshire Sub-Advisory Agreement and the New Wilshire Sub-Advisory Agreement is fair and reasonable in relation to the services to be provided by Wilshire; and (ii) the Board was satisfied with Wilshire’s financial strength; Wilshire’s staffing and provision of investment sub-advisory services, including identifying, evaluating and recommending asset allocation strategies and related investment sub-managers for FSMS, and monitoring the performance of FSMS and the investment sub-managers; and Wilshire’s demonstrated success in the industry. With respect to the New Wilshire Sub-Advisory Agreement, the Board also considered that Wilshire and FS Fund Advisor did not anticipate any of the services to be provided by Wilshire to change as a result of the Acquisition.

Based on all of the information considered and the conclusions reached, the Board determined that the terms of each of the Current Wilshire Sub-Advisory Agreement and the New Wilshire Sub-Advisory Agreement are fair and reasonable and that the approval of each such Agreement are in the best interests of FSMS and its shareholders.

Liquidity Risk Management Program

The Funds have implemented a liquidity risk management program (the “LRM Program”) as required by Rule 22e-4 under the 1940 Act. The LRM Program’s principal objectives include assessing, managing, and periodically reviewing each Fund’s liquidity risk. Liquidity risk is defined as the risk that a Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Fund.

In accordance with the requirements of Rule 22e-4, the program administrators conducted an annual review of the LRM Program and, in May 2021, provided the Board with a report addressing the operation of the LRM Program and assessing its adequacy and effectiveness of implementation for the period May 1, 2020 through April 30, 2021 (the “2020-21 Reporting Period”). Among other things, the program administrators reported to the Board as to the following:

•

the Funds had sufficient liquidity to both meet redemptions without significant dilution of remaining shareholder interests and operate effectively on behalf of shareholders;

•

the Funds’ strategies continued to be appropriate for open-end mutual funds;

•

the LRM Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the Highly Liquid Investment Minimum (“HLIM”) requirements, as applicable;

•

In accordance with the LRM Program, each Fund’s portfolio investments were classified into one of four liquidity categories as required by Rule 22e-4 during the reporting period, based in part on analysis from a third-party data vendor;

•

There was one material change to the LRM Program during the 2020-21 Reporting Period. In May 2020, the HLIMs of FS Multi-Strategy Alternatives Fund and FS Long/Short Equity Fund were changed, following a recommendation by the Program Administrators to do so, from 10.0% to 20.0% to acknowledge the expectation of greater redemptions in the 2020-21 Reporting Period compared to the prior 2019-20 Reporting Period;

•

the LRM Program (including each HLIM) operated adequately during the period and was effective in assessing, monitoring, and managing the liquidity risk of each Fund’s portfolio; and the LRM Program remains reasonably designed to manage each Fund’s liquidity risk; and

•

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

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www.fsinvestments.com	SAR21-ST
© 2021 FS Investments	TM

Item 1.   Reports to Stockholders.

(b)

The following is a copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule:

Item 2.   Code of Ethics.

Not applicable to this semi-annual report on Form N-CSR.

Item 3.   Audit Committee Financial Expert.

Not applicable to this semi-annual report on Form N-CSR.

Item 4.   Principal Accountant Fees and Services.

Not applicable to this semi-annual report on Form N-CSR.

Item 5.   Audit Committee of Listed Registrants.

(a)

Not applicable. The Funds are not listed issuers as defined in Rule 10A-3 under the Securities Exchange Act of 1934, as amended (the “Exchange Act”).

(b)

Not applicable. The Funds are not listed issuers as defined in Rule 10A-3 under the Exchange Act.

Item 6.   Investments.

(a)

The Funds’ unaudited schedules of investments as of June 30, 2021 are included as part of the Semi-Annual Report included in Item 1 of this Form N-CSR.

(b)

Not applicable.

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

Not applicable to the Trust.

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

Not applicable to the Trust.

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

Not applicable to the Trust.

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

There were no material changes to the procedures by which the Funds’ shareholders may recommend nominees to the Board during the period covered by the Semi-Annual Report included in Item 1 of this Form N-CSR.

Item 11.   Controls and Procedures

(a)

The Trust’s principal executive officer and principal financial officer have evaluated the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) as of a date within 90 days of the filing date of this report on Form N-CSR and have concluded that the Trust’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Trust in this report on Form N-CSR was recorded, processed, summarized and reported timely.

(b)

There was no change in the Trust’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 on Form N-CSR that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

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

Not applicable to the Trust.

Item 13.   Exhibits.

(a)(1)

Not applicable to this semi-annual report on Form N-CSR.

(a)(2)

The certifications of the Trust’s Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the 1940 Act are attached hereto.

(a)(3)

Not applicable.

(a)(4)

Not applicable.

(b)

The certifications of the Trust’s Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(b) under the 1940 Act 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.

FS Series Trust

By:

/s/ Michael C. Forman

Name:   Michael C. Forman
Title:    President (Principal Executive Officer)
Date:    September 2, 2021

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

By:

/s/ Michael C. Forman

Name:   Michael C. Forman
Title:    President (Principal Executive Officer)
Date:    September 2, 2021

By:

/s/ William Goebel

Name:   William Goebel
Title:    Chief Financial Officer
(Principal Financial Officer)
Date:    September 2, 2021