FS Series Trust NPORT-P FS Multi-Strategy Alternatives Fund (Mar 2022 report)

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments

As of March 31, 2022

(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—17.5%
Acrisure LLC / Acrisure Finance, Inc., 6.0%, 8/1/29	(d)	Insurance	$	171	$	171		$	158
Alliance Data Systems Corp., 4.8%, 12/15/24	(d)	Diversified Financial Services		948		915	��		933
Altice France Holding SA, 10.5%, 5/15/27	(d)	Telecommunications		500		541			524
American Greetings Corp., 8.8%, 4/15/25	(d)	Housewares		392		408			386
Apollo Commercial Real Estate Finance, Inc., 4.6%, 6/15/29	(d)	Real Estate Investment Trusts		184		184			167
APX Group, Inc., 5.8%, 7/15/29	(d)	Commercial Services		173		173			158
At Home Group, Inc., 4.9%, 7/15/28	(d)	Retail		138		138			123
Bausch Health Companies, Inc., 9.0%, 12/15/25	(d)	Pharmaceuticals		263		276			273
BroadStreet Partners, Inc., 5.9%, 4/15/29	(d)	Insurance		140		138			131
Caesars Entertainment, Inc., 6.3%, 7/1/25	(d)	Entertainment		708		729			732
Callon Petroleum Co., 9.0%, 4/1/25	(d)	Oil & Gas		248		268			263
CCO Holdings LLC / CCO Holdings Capital Corp., 4.8%, 2/1/32	(d)	Media Entertainment		22		22			21
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.8%, 3/1/25	(d)	Software		1,204		1,209			1,205
CITGO Petroleum Corp., 7.0%, 6/15/25	(d)	Oil & Gas		624		624			629
CITGO Petroleum Corp., 6.4%, 6/15/26	(d)	Oil & Gas		93		93			94
Clear Channel International B.V., 6.6%, 8/1/25	(d)	Advertising		1,013		1,043			1,032
CommScope Finance LLC, 6.0%, 3/1/26	(d)	Telecommunications		264		273			267
Connect Finco SARL / Connect US Finco LLC, 6.8%, 10/1/26	(d)	Telecommunications		165		174			168
CoreCivic, Inc., 4.8%, 10/15/27		Commercial Services		236		212			206
CoreCivic, Inc., 8.3%, 4/15/26		Commercial Services		164		166			169
CP Atlas Buyer, Inc., 7.0%, 12/1/28	(d)	Building Materials		268		277			229
CSC Holdings LLC, 4.5%, 11/15/31	(d)	Media Entertainment		191		186			171
Dave & Buster's, Inc., 7.6%, 11/1/25	(d)	Retail		723		770			762
eG Global Finance Plc, 6.8%, 2/7/25	(d)	Retail		1,191		1,188			1,190
eG Global Finance Plc, 8.5%, 10/30/25	(d)	Retail		213		221			218
Empire Resorts, Inc., 7.8%, 11/1/26	(d)	Entertainment		207		208			202
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/25	(d)	Real Estate		1,134		1,128			1,162
Flex Acquisition Co., Inc., 7.9%, 7/15/26	(d)	Packaging & Containers		833		867			863
Fortress Transportation and Infrastructure Investors LLC, 9.8%, 8/1/27	(d)	Trucking & Leasing		561		639			587
Gates Global LLC / Gates Corp., 6.3%, 1/15/26	(d)	Miscellaneous Manufacturing		519		535			520
GEO Group, Inc., 6.0%, 4/15/26		Real Estate Investment Trusts		203		180			159
GEO Group, Inc., 5.1%, 4/1/23		Real Estate Investment Trusts		210		203			201
Getty Images, Inc., 9.8%, 3/1/27	(d)	Internet		336		353			348
H-Food Holdings LLC / Hearthside Finance Co., Inc., 8.5%, 6/1/26	(d)	Food		307		313			296
Hadrian Merger Sub, Inc., 8.5%, 5/1/26	(d)	Healthcare-Services		283		294			285
Herbalife Nutrition Ltd. / HLF Financing, Inc., 7.9%, 9/1/25	(d)	Pharmaceuticals		174		174			179
Hexion, Inc., 7.9%, 7/15/27	(d)	Chemicals		184		194			194
Houghton Mifflin Harcourt Publishers, Inc., 9.0%, 2/15/25	(d)	Media Entertainment		1,043		942			1,091
HUB International Ltd., 7.0%, 5/1/26	(d)	Insurance		150		154			152
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.4%, 12/15/25		Investment Companies		262		267			264
Ingevity Corp., 4.5%, 2/1/26	(d)	Chemicals		276		278			268

See notes to unaudited consolidated schedule of investments.

1

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)		Amortized Cost		Fair Value(c)
IRB Holding Corp., 6.8%, 2/15/26	(d)	Retail	$	610	$	610	$	621
iStar, Inc., 4.3%, 8/1/25		Real Estate Investment Trusts		966		966		952
iStar, Inc., 5.5%, 2/15/26		Real Estate Investment Trusts		31		32		31
JELD-WEN, Inc., 4.6%, 12/15/25	(d)	Building Materials		349		353		336
Kronos Acquisition Holdings, Inc., 7.0%, 12/31/27	(d)	Household Products/Wares		261		265		221
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 5.3%, 10/1/25	(d)	Real Estate Investment Trusts		494		500		493
Level 3 Financing, Inc., 5.3%, 3/15/26		Telecommunications		140		142		140
Mauser Packaging Solutions Holding Co., 5.5%, 4/15/24	(d)	Packaging & Containers		815		818		813
Maxim Crane Works Holdings Capital LLC, 10.1%, 8/1/24	(d)	Machinery-Diversified		862		870		879
Metis Merger Sub LLC, 6.5%, 5/15/29	(d)	Commercial Services		159		159		150
Midcap Financial Issuer Trust, 5.6%, 1/15/30	(d)	Diversified Financial Services		209		207		185
Mohegan Gaming & Entertainment, 8.0%, 2/1/26	(d)	Entertainment		551		555		548
New Home Co., Inc., 7.3%, 10/15/25	(d)	Home Builders		743		748		721
Nuance Communications, Inc., 5.6%, 12/15/26		Software		301		310		310
Pactiv LLC, 8.0%, 12/15/25		Packaging & Containers		377		395		385
Pactiv LLC, 8.4%, 4/15/27		Packaging & Containers		861		909		884
Panther BF Aggregator 2 LP / Panther Finance Co., Inc., 8.5%, 5/15/27	(d)	Auto Parts & Equipment		263		282		273
Powdr Corp., 6.0%, 8/1/25	(d)	Entertainment		207		217		213
Prime Healthcare Services, Inc., 7.3%, 11/1/25	(d)	Healthcare-Services		315		325		323
Promontoria Holding 264 B.V., 7.9%, 3/1/27	(d)	Engineering & Construction		100		100		97
Raptor Acquisition Corp. / Raptor Co-Issuer LLC, 4.9%, 11/1/26	(d)	Entertainment		382		386		367
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc., 9.8%, 12/1/26	(d)	Healthcare-Services		835		879		874
Rite Aid Corp., 7.5%, 7/1/25	(d)	Retail		44		44		41
Rite Aid Corp., 8.0%, 11/15/26	(d)	Retail		113		115		104
RLJ Lodging Trust LP, 3.8%, 7/1/26	(d)	Real Estate Investment Trusts		418		417		398
Royal Caribbean Cruises Ltd., 10.9%, 6/1/23	(d)	Leisure Time		701		759		747
RP Escrow Issuer LLC, 5.3%, 12/15/25	(d)	Healthcare-Services		361		367		353
Scientific Games International, Inc., 5.0%, 10/15/25	(d)	Entertainment		230		236		236
Service Properties Trust, 7.5%, 9/15/25		Real Estate Investment Trusts		814		903		855
Southwestern Energy Co., 6.0%, 1/23/25		Oil & Gas		85		92		89
Specialty Building Products Holdings LLC / SBP Finance Corp., 6.4%, 9/30/26	(d)	Retail		614		643		625
Spirit AeroSystems, Inc., 7.5%, 4/15/25	(d)	Aerospace/Defense		350		364		363
Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 8.0%, 9/20/25	(d)	Airlines		965		1,055		1,029
SRS Distribution, Inc., 6.0%, 12/1/29	(d)	Retail		153		153		142
Starwood Property Trust, Inc., 3.8%, 12/31/24	(d)	Real Estate Investment Trusts		460		460		447
Starwood Property Trust, Inc., 3.6%, 7/15/26	(d)	Real Estate Investment Trusts		549		548		525
Stericycle, Inc., 5.4%, 7/15/24	(d)	Environmental Control		325		330		332
Sunoco LP / Sunoco Finance Corp., 6.0%, 4/15/27		Oil & Gas		96		87		98
Surgery Center Holdings, Inc., 6.8%, 7/1/25	(d)	Healthcare-Services		553		562		552
TKC Holdings, Inc., 6.9%, 5/15/28	(d)	Food Service		537		546		523
TransDigm, Inc., 6.3%, 3/15/26	(d)	Aerospace/Defense		244		253		251

See notes to unaudited consolidated schedule of investments.

2

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)		Amortized Cost		Fair Value(c)
Triumph Group, Inc., 8.9%, 6/1/24	(d)	Aerospace/Defense	$	1,000	$	1,079	$	1,058
Trivium Packaging Finance B.V., 8.5%, 8/15/27	(d)	Packaging & Containers		221		237		220
Trivium Packaging Finance B.V., 5.5%, 8/15/26	(d)	Packaging & Containers		449		465		448
Uber Technologies, Inc., 8.0%, 11/1/26	(d)	Internet		863		917		918
US Acute Care Solutions LLC, 6.4%, 3/1/26	(d)	Healthcare-Services		1,052		1,081		1,040
Vector Group Ltd., 10.5%, 11/1/26	(d)	Agriculture		735		772		753
Vector Group Ltd., 5.8%, 2/1/29	(d)	Agriculture		728		728		665
Verscend Escrow Corp., 9.8%, 8/15/26	(d)	Commercial Services		396		417		412
Viasat, Inc., 5.6%, 9/15/25	(d)	Telecommunications		637		645		623
VOC Escrow Ltd., 5.0%, 2/15/28	(d)	Leisure Time		249		228		232
WASH Multifamily Acquisition, Inc., 5.8%, 4/15/26	(d)	Commercial Services		928		953		932
Waste Pro USA, Inc., 5.5%, 2/15/26	(d)	Environmental Control		803		816		760
White Cap Parent LLC, 8.3%, 3/15/26	(d)	Retail		375		384		369
XHR LP, 6.4%, 8/15/25	(d)	Real Estate Investment Trusts		300		312		310
Total Corporate Bonds					$	44,124	$	43,246
Convertible Bonds—0.3%
Apollo Commercial Real Estate Finance, Inc., 5.4%, 10/15/23		Real Estate Investment Trusts		434		431		434
RWT Holdings, Inc., 5.8%, 10/1/25		Holding Companies-Diversified		338		338		332
Total Convertible Bonds					$	769	$	766

Portfolio Company(a)	Footnotes	Industry	Number of Shares		Cost(b)		Fair Value(c)
Common Stocks—16.8%
Alphabet, Inc.	(e) (f)	Internet		422	$	1,123	$	1,174
Ball Corp.	(f)	Packaging & Containers		49,676		4,375		4,471
Blackstone, Inc.		Private Equity		7,192		819		913
Canadian Pacific Railway Ltd.	(f)	Transportation		32,845		2,306		2,711
Cintas Corp.	(f)	Commercial Services		3,953		1,451		1,682
Costco Wholesale Corp.	(f)	Retail		2,553		1,065		1,470
CSX Corp.	(f)	Transportation		18,864		651		706
CVS Health Corp.		Pharmaceuticals		3,541		338		358
Danaher Corp.	(f)	Healthcare-Products		5,947		1,623		1,744
Davide Campari-Milano N.V.		Beverages		98,234		1,137		1,147
Deere & Co.	(f)	Machinery-Diversified		1,756		619		730
Domino's Pizza, Inc.		Retail		642		301		261
Equitable Holdings, Inc.		Insurance		16,172		508		500
Floor & Decor Holdings, Inc.	(e) (f)	Retail		12,684		1,347		1,027
Hermes International		Apparel		265		365		379
Home Depot, Inc.	(f)	Retail		6,933		2,255		2,075
Intuit, Inc.		Software		1,911		945		919
L'Oreal SA		Cosmetics/Personal Care		1,363		568		549
LVMH Moet Hennessy Louis Vuitton SE		Apparel		132		93		95
Mastercard, Inc.	(f)	Diversified Financial Services		2,997		1,030		1,071
Mettler-Toledo International, Inc.	(e) (f)	Electronics		1,034		1,234		1,420
Microsoft Corp.	(f)	Software		8,159		2,212		2,515
Mister Car Wash, Inc.	(e)	Commercial Services		16,075		278		238
Moody's Corp.		Commercial Services		2,098		654		708
Pool Corp.	(f)	Distribution/Wholesale		3,329		1,419		1,408
Republic Services, Inc.	(f)	Environmental Control		12,989		1,487		1,721
S&P Global, Inc.		Commercial Services		1,441		553		591

See notes to unaudited consolidated schedule of investments.

3

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Industry	Number of Shares		Cost(b)		Fair Value(c)
Sherwin-Williams Co	(f)	Chemicals		15,100	$	3,978	$	3,769
Skyline Champion Corp.	(e)	Home Builders		11,680		819		641
Thermo Fisher Scientific, Inc.		Healthcare-Products		967		491		571
Tractor Supply Co.	(f)	Retail		4,402		874		1,027
Treatt Plc		Chemicals		5,963		86		89
Union Pacific Corp.	(f)	Transportation		7,425		1,612		2,029
Watches of Switzerland Group Plc	(d) (e)	Retail		58,646		891		878
Total Common Stocks					$	39,507	$	41,587
TOTAL INVESTMENTS—34.6%					$	84,400		85,599
Other Assets in Excess of Liabilities—65.4%								161,899
Net Assets—100.0%							$	247,498

Investments Sold Short—(10.7)%  

Portfolio Company(a)	Footnotes	Number of Shares			Proceeds			Fair Value(c)
Mutual Funds Sold Short—(6.0)%
ARK Innovation ETF			(2,315	)	$	(146	)	$	(154	)
Energy Select Sector SPDR Fund			(659	)		(50	)		(50	)
Invesco S&P 500 Equal Weight ETF			(2,783	)		(435	)		(439	)
iShares Russell 1000 ETF			(44,585	)		(10,694	)		(11,149	)
iShares Russell 1000 Value ETF			(8,060	)		(1,346	)		(1,338	)
SPDR S&P 500 ETF Trust			(4,072	)		(1,798	)		(1,839	)
Total Mutual Funds Sold Short					$	(14,469	)	$	(14,969	)

Portfolio Company(a)	Footnotes	Industry	Par(b)			Proceeds			Fair Value(c)
Corporate Bonds Sold Short—(3.2)%
Albertsons Co., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 5.9%, 2/15/28		Food	$	(328	)	$	(336	)	$	(328	)
At Home Group, Inc., 7.1%, 7/15/29		Retail		(138	)		(135	)		(120	)
Bausch Health Companies, Inc., 5.8%, 8/15/27		Pharmaceuticals		(216	)		(214	)		(213	)
Bausch Health Companies, Inc., 6.1%, 2/1/27		Pharmaceuticals		(362	)		(362	)		(365	)
Boyd Gaming Corp., 4.8%, 12/1/27		Lodging		(327	)		(327	)		(326	)
C&S Group Enterprises LLC, 5.0%, 12/15/28		Food		(300	)		(279	)		(259	)
Cascades, Inc. / Cascades USA, Inc., 5.4%, 1/15/28		Packaging & Containers		(212	)		(213	)		(212	)
CEC Entertainment LLC, 6.8%, 5/1/26		Retail		(385	)		(367	)		(373	)
Chobani LLC / Chobani Finance Corp., Inc., 7.5%, 4/15/25		Food		(344	)		(335	)		(333	)
Energizer Holdings, Inc., 4.8%, 6/15/28		Electrical Components & Equipment		(418	)		(397	)		(381	)
Foundation Building Materials, Inc., 6.0%, 3/1/29		Retail		(172	)		(161	)		(155	)
Grifols Escrow Issuer SA, 4.8%, 10/15/28		Biotechnology		(523	)		(499	)		(493	)
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 5.3%, 5/15/27		Investment Companies		(80	)		(80	)		(79	)
LPL Holdings, Inc., 4.6%, 11/15/27		Diversified Financial Services		(302	)		(302	)		(297	)
Merlin Entertainments Ltd., 5.8%, 6/15/26		Entertainment		(328	)		(326	)		(324	)
ModivCare Escrow Issuer, Inc., 5.0%, 10/1/29		Healthcare-Services		(468	)		(445	)		(437	)
Outfront Media Capital LLC / Outfront Media Capital Corp., 5.0%, 8/15/27		Advertising		(328	)		(323	)		(321	)
Owens-Brockway Glass Container, Inc., 6.6%, 5/13/27		Packaging & Containers		(37	)		(38	)		(37	)
Real Hero Merger Sub 2, Inc., 6.3%, 2/1/29		Auto Parts & Equipment		(171	)		(163	)		(156	)
Royal Caribbean Cruises Ltd., 5.5%, 4/1/28		Leisure Time		(150	)		(148	)		(143	)
Sabre GLBL, Inc., 7.4%, 9/1/25		Commercial Services		(492	)		(499	)		(515	)

See notes to unaudited consolidated schedule of investments.

4

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Industry	Par(b)			Proceeds			Fair Value(c)
Scripps Escrow II, Inc., 5.4%, 1/15/31		Media Entertainment	$	(381	)	$	(362	)	$	(365	)
Scripps Escrow, Inc., 5.9%, 7/15/27		Media Entertainment		(216	)		(215	)		(216	)
Six Flags Entertainment Corp., 5.5%, 4/15/27		Entertainment		(328	)		(326	)		(328	)
Tenet Healthcare Corp., 5.1%, 11/1/27		Healthcare-Services		(328	)		(329	)		(330	)
Viking Cruises Ltd., 7.0%, 2/15/29		Leisure Time		(249	)		(224	)		(230	)
ZipRecruiter, Inc., 5.0%, 1/15/30		Commercial Services		(609	)		(596	)		(595	)
Total Corporate Bonds Sold Short						$	(8,001	)	$	(7,931	)

Portfolio Company(a)	Footnotes	Industry	Number of Shares			Proceeds			Fair Value(c)
Common Stocks Sold Short—(1.5)%
3M Co.		Miscellaneous Manufacturing		(1,211	)	$	(189	)	$	(180	)
Amazon.com, Inc.		Internet		(11	)		(32	)		(36	)
AMC Entertainment Holdings, Inc.		Entertainment		(733	)		(30	)		(18	)
American Airlines Group, Inc.		Airlines		(4,096	)		(85	)		(75	)
Berkshire Hathaway, Inc.		Insurance		(220	)		(79	)		(78	)
Beyond Meat, Inc.		Food		(824	)		(61	)		(40	)
Block, Inc.		Commercial Services		(1,541	)		(216	)		(209	)
Brown-Forman Corp.		Beverages		(1,646	)		(104	)		(110	)
Cargurus, Inc.		Internet		(1,211	)		(49	)		(51	)
Chevron Corp.		Oil & Gas		(330	)		(54	)		(54	)
Church & Dwight Co., Inc.		Household Products/Wares		(1,099	)		(110	)		(109	)
Clorox Co./The		Household Products/Wares		(1,444	)		(248	)		(201	)
CME Group, Inc.		Diversified Financial Services		(771	)		(185	)		(183	)
Dollar Tree, Inc.		Retail		(210	)		(29	)		(34	)
Exxon Mobil Corp.		Oil & Gas		(440	)		(36	)		(36	)
Geberit AG		Building Materials		(78	)		(46	)		(48	)
Genuine Parts Co.		Retail		(2,205	)		(281	)		(278	)
Hilton Worldwide Holdings, Inc.		Lodging		(551	)		(83	)		(84	)
Hormel Foods Corp.		Food		(2,858	)		(144	)		(147	)
Keurig Dr Pepper, Inc.		Beverages		(661	)		(25	)		(25	)
Legalzoom.com, Inc.		Commercial Services		(962	)		(14	)		(14	)
Lockheed Martin Corp.		Aerospace/Defense		(592	)		(232	)		(261	)
Luminar Technologies, Inc.		Auto Parts & Equipment		(3,076	)		(45	)		(48	)
Meta Platforms, Inc.		Internet		(154	)		(34	)		(34	)
New York Times Co.		Media Entertainment		(3,748	)		(170	)		(172	)
PayPal Holdings, Inc.		Commercial Services		(110	)		(13	)		(13	)
Progressive Corp.		Insurance		(2,418	)		(261	)		(276	)
Rivian Automotive, Inc.		Auto Manufacturers		(478	)		(40	)		(24	)
Shake Shack, Inc.		Retail		(1,319	)		(86	)		(90	)
SoFi Technologies, Inc.		Diversified Financial Services		(1,759	)		(16	)		(17	)
Starbucks Corp.		Retail		(110	)		(10	)		(10	)
Trupanion, Inc.		Insurance		(659	)		(53	)		(59	)
Uber Technologies, Inc.		Internet		(2,201	)		(79	)		(78	)
US Bancorp		Banks		(1,448	)		(79	)		(77	)
Walgreens Boots Alliance, Inc.		Retail		(4,391	)		(208	)		(197	)
Warby Parker, Inc.		Retail		(1,431	)		(49	)		(48	)
Wayfair, Inc.		Internet		(420	)		(52	)		(46	)
WeWork, Inc.		Real Estate		(3,307	)		(23	)		(22	)

See notes to unaudited consolidated schedule of investments.

5

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Industry	Number of Shares			Proceeds				Fair Value(c)
Xylem, Inc.		Machinery-Diversified		(3,306	)	$	(293	)	$	(282	)
Total Common Stocks Sold Short						$	(3,843	)	$	(3,764	)
Total Investments Sold Short						$	(26,313	)	$	(26,664	)

Forward Foreign Currency Exchange Contracts—(0.1)%
	Contract	Currency and		Currency and
	Settlement	Amount		Amount to be		Unrealized		Unrealized
Counterparty	Date	to be Received		Delivered		Appreciation		Depreciation
Deutsche Bank AG	4/21/22	AUD	200	CAD	187	$	—	$	—
Deutsche Bank AG	4/21/22	AUD	219	GBP	125		—		1
Deutsche Bank AG	4/21/22	AUD	219	GBP	125		—		1
Deutsche Bank AG	4/21/22	AUD	600	JPY	55,817		—		10
Deutsche Bank AG	4/21/22	AUD	800	JPY	74,423		—		13
Deutsche Bank AG	4/21/22	AUD	200	JPY	18,309		—		1
Deutsche Bank AG	4/21/22	AUD	200	JPY	18,162		—		—
Deutsche Bank AG	4/21/22	AUD	800	NZD	867		—		2
Deutsche Bank AG	4/21/22	AUD	200	NZD	215		1		—
Deutsche Bank AG	4/21/22	AUD	700	USD	526		—		3
Deutsche Bank AG	4/21/22	AUD	100	USD	75		—		—
Deutsche Bank AG	4/21/22	AUD	200	USD	150		—		1
Deutsche Bank AG	4/21/22	AUD	100	USD	75		—		—
Deutsche Bank AG	4/4/22	BRL	507	USD	100		7		—
Deutsche Bank AG	4/4/22	BRL	513	USD	100		8		—
Deutsche Bank AG	4/21/22	CAD	376	AUD	400		1		—
Deutsche Bank AG	4/21/22	CAD	342	EUR	250		—		3
Deutsche Bank AG	4/21/22	CAD	400	JPY	39,617		—		6
Deutsche Bank AG	4/21/22	CAD	400	JPY	39,617		—		6
Deutsche Bank AG	4/21/22	CAD	300	USD	240		—		—
Deutsche Bank AG	4/21/22	CAD	300	USD	240		—		—
Deutsche Bank AG	4/21/22	CAD	200	USD	160		—		—
Deutsche Bank AG	4/21/22	CAD	400	USD	320		—		—
Deutsche Bank AG	4/21/22	CHF	128	EUR	125		—		—
Deutsche Bank AG	4/21/22	CHF	500	JPY	66,222		—		3
Deutsche Bank AG	4/21/22	CHF	750	USD	809		3		—
Deutsche Bank AG	4/21/22	CHF	375	USD	406		—		—
Deutsche Bank AG	4/11/22	CLP	81,192	USD	100		3		—
Deutsche Bank AG	4/18/22	CLP	80,681	USD	100		2		—
Deutsche Bank AG	4/11/22	CLP	80,087	USD	100		2		—
Deutsche Bank AG	4/25/22	CLP	80,449	USD	100		2		—
Deutsche Bank AG	4/29/22	CLP	78,422	USD	100		—		1
Deutsche Bank AG	4/21/22	CNH	4,484	USD	700		5		—
Deutsche Bank AG	4/21/22	CNH	2,562	USD	400		3		—
Deutsche Bank AG	4/4/22	COP	391,703	USD	100		4		—
Deutsche Bank AG	4/18/22	COP	382,294	USD	100		1		—
Deutsche Bank AG	4/22/22	COP	376,181	USD	100		—		1
Deutsche Bank AG	4/25/22	COP	379,970	USD	100		—		—
Deutsche Bank AG	5/2/22	COP	377,086	USD	100		—		—
Deutsche Bank AG	4/21/22	EUR	400	GBP	336		1		—
Deutsche Bank AG	4/21/22	EUR	1,600	JPY	216,986		—		12
Deutsche Bank AG	4/21/22	EUR	100	JPY	13,562		—		1
Deutsche Bank AG	4/21/22	EUR	100	JPY	13,553		—		1
Deutsche Bank AG	4/21/22	EUR	250	SEK	2,593		1		—
Deutsche Bank AG	4/21/22	EUR	625	USD	689		3		—
Deutsche Bank AG	4/21/22	EUR	1,625	USD	1,808		—		9

See notes to unaudited consolidated schedule of investments.

6

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

	Contract	Currency and		Currency and
	Settlement	Amount		Amount to be		Unrealized		Unrealized
Counterparty	Date	to be Received		Delivered		Appreciation		Depreciation
Deutsche Bank AG	4/21/22	EUR	250	USD	279	$	—	$	2
Deutsche Bank AG	4/21/22	GBP	125	AUD	218		1		—
Deutsche Bank AG	4/21/22	GBP	167	EUR	200		—		2
Deutsche Bank AG	4/21/22	GBP	333	EUR	400		—		5
Deutsche Bank AG	4/21/22	GBP	85	EUR	100		1		—
Deutsche Bank AG	4/21/22	GBP	250	JPY	40,670		—		6
Deutsche Bank AG	4/21/22	GBP	625	JPY	101,674		—		14
Deutsche Bank AG	4/21/22	GBP	125	USD	164		—		—
Deutsche Bank AG	4/21/22	GBP	500	USD	656		1		—
Deutsche Bank AG	4/21/22	GBP	188	USD	246		—		—
Deutsche Bank AG	4/4/22	INR	7,569	USD	100		—		—
Deutsche Bank AG	4/4/22	INR	7,584	USD	100		—		—
Deutsche Bank AG	4/7/22	INR	38,648	USD	500		10		—
Deutsche Bank AG	4/8/22	INR	38,395	USD	500		6		—
Deutsche Bank AG	4/18/22	INR	7,121	USD	92		1		—
Deutsche Bank AG	4/18/22	INR	12,660	USD	164		2		—
Deutsche Bank AG	4/11/22	INR	46,083	USD	600		7		—
Deutsche Bank AG	4/18/22	INR	30,559	USD	400		2		—
Deutsche Bank AG	4/25/22	INR	7,659	USD	100		1		—
Deutsche Bank AG	4/25/22	INR	7,675	USD	100		1		—
Deutsche Bank AG	4/22/22	INR	7,667	USD	100		1		—
Deutsche Bank AG	4/29/22	INR	7,661	USD	100		1		—
Deutsche Bank AG	4/25/22	INR	30,627	USD	400		2		—
Deutsche Bank AG	4/4/22	INR	78	USD	1		—		—
Deutsche Bank AG	4/21/22	JPY	37,184	AUD	400		6		—
Deutsche Bank AG	4/21/22	JPY	13,632	EUR	100		1		—
Deutsche Bank AG	4/21/22	JPY	67,772	EUR	500		3		—
Deutsche Bank AG	4/21/22	JPY	40,538	GBP	250		5		—
Deutsche Bank AG	4/21/22	JPY	50,000	USD	404		7		—
Deutsche Bank AG	4/14/22	KRW	97,520	USD	79		1		—
Deutsche Bank AG	4/14/22	KRW	25,484	USD	21		—		—
Deutsche Bank AG	4/18/22	KRW	124,193	USD	100		2		—
Deutsche Bank AG	4/21/22	KRW	103,440	USD	85		—		—
Deutsche Bank AG	4/21/22	KRW	82,699	USD	68		—		—
Deutsche Bank AG	4/21/22	KRW	20,865	USD	17		—		—
Deutsche Bank AG	4/21/22	KRW	36,946	USD	30		—		—
Deutsche Bank AG	4/21/22	KRW	243,262	USD	200		—		—
Deutsche Bank AG	4/14/22	KRW	242,696	USD	200		—		—
Deutsche Bank AG	4/18/22	KRW	121,374	USD	100		—		—
Deutsche Bank AG	4/21/22	MXN	10,000	USD	495		6		—
Deutsche Bank AG	4/21/22	MXN	500	USD	25		—		—
Deutsche Bank AG	4/21/22	MXN	1,500	USD	75		—		—
Deutsche Bank AG	4/21/22	MXN	3,000	USD	151		—		—
Deutsche Bank AG	4/21/22	MXN	500	USD	25		—		—
Deutsche Bank AG	4/21/22	MXN	500	USD	25		—		—
Deutsche Bank AG	4/21/22	NOK	2,375	EUR	250		—		7
Deutsche Bank AG	4/21/22	NOK	500	SEK	546		—		1
Deutsche Bank AG	4/21/22	NOK	2,500	SEK	2,729		—		6
Deutsche Bank AG	4/21/22	NOK	500	SEK	539		—		1
Deutsche Bank AG	4/21/22	NOK	866	USD	100		—		2
Deutsche Bank AG	4/21/22	NZD	200	JPY	17,171		—		3
Deutsche Bank AG	4/21/22	NZD	400	JPY	34,341		—		5
Deutsche Bank AG	4/21/22	NZD	200	JPY	16,935		—		1
Deutsche Bank AG	4/21/22	NZD	100	USD	69		—		—

See notes to unaudited consolidated schedule of investments.

7

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

	Contract	Currency and		Currency and
	Settlement	Amount		Amount to be		Unrealized		Unrealized
Counterparty	Date	to be Received		Delivered		Appreciation		Depreciation
Deutsche Bank AG	4/21/22	PLN	466	EUR	100	$	—	$	—
Deutsche Bank AG	4/21/22	PLN	431	USD	100		2		—
Deutsche Bank AG	4/21/22	TRY	2,908	USD	200		—		5
Deutsche Bank AG	4/21/22	TRY	1,481	USD	100		—		—
Deutsche Bank AG	4/21/22	TRY	2,959	USD	200		—		1
Deutsche Bank AG	4/1/22	TWD	3,660	USD	131		—		3
Deutsche Bank AG	4/1/22	TWD	1,938	USD	69		—		1
Deutsche Bank AG	4/6/22	TWD	5,592	USD	200		—		5
Deutsche Bank AG	4/6/22	TWD	2,799	USD	100		—		2
Deutsche Bank AG	4/14/22	TWD	2,828	USD	100		—		1
Deutsche Bank AG	4/15/22	TWD	2,833	USD	100		—		1
Deutsche Bank AG	4/1/22	TWD	5,673	USD	200		—		2
Deutsche Bank AG	4/21/22	TWD	2,837	USD	100		—		1
Deutsche Bank AG	4/1/22	TWD	2,838	USD	100		—		1
Deutsche Bank AG	4/11/22	TWD	2,850	USD	100		—		1
Deutsche Bank AG	4/15/22	TWD	5,696	USD	200		—		1
Deutsche Bank AG	4/1/22	TWD	69	USD	2		—		—
Deutsche Bank AG	4/18/22	TWD	2,860	USD	100		—		—
Deutsche Bank AG	4/18/22	TWD	2,861	USD	100		—		—
Deutsche Bank AG	5/3/22	TWD	2,859	USD	100		—		—
Deutsche Bank AG	4/6/22	TWD	39	USD	1		—		—
Deutsche Bank AG	4/6/22	TWD	110	USD	4		—		—
Deutsche Bank AG	4/21/22	USD	301	AUD	400		1		—
Deutsche Bank AG	4/4/22	USD	100	BRL	519		—		9
Deutsche Bank AG	4/4/22	USD	100	BRL	498		—		5
Deutsche Bank AG	4/21/22	USD	535	CHF	500		—		6
Deutsche Bank AG	4/21/22	USD	268	CHF	250		—		3
Deutsche Bank AG	4/11/22	USD	100	CLP	81,197		—		3
Deutsche Bank AG	4/11/22	USD	100	CLP	81,742		—		4
Deutsche Bank AG	4/18/22	USD	100	CLP	80,173		—		2
Deutsche Bank AG	4/25/22	USD	100	CLP	78,356		1		—
Deutsche Bank AG	4/29/22	USD	100	CLP	78,578		1		—
Deutsche Bank AG	5/2/22	USD	69	CLP	54,882		—		—
Deutsche Bank AG	5/2/22	USD	31	CLP	24,321		—		—
Deutsche Bank AG	4/21/22	USD	100	CNH	639		—		—
Deutsche Bank AG	4/21/22	USD	300	CNH	1,913		—		1
Deutsche Bank AG	4/21/22	USD	100	CNH	637		—		—
Deutsche Bank AG	4/4/22	USD	100	COP	387,421		—		3
Deutsche Bank AG	4/18/22	USD	100	COP	383,501		—		1
Deutsche Bank AG	4/22/22	USD	100	COP	382,700		—		1
Deutsche Bank AG	4/25/22	USD	100	COP	376,309		1		—
Deutsche Bank AG	4/29/22	USD	100	COP	380,320		—		—
Deutsche Bank AG	4/21/22	USD	274	EUR	250		—		3
Deutsche Bank AG	4/21/22	USD	411	EUR	375		—		4
Deutsche Bank AG	4/21/22	USD	247	GBP	188		—		—
Deutsche Bank AG	4/21/22	USD	986	GBP	750		1		—
Deutsche Bank AG	4/21/22	USD	100	HUF	34,261		—		3
Deutsche Bank AG	4/7/22	USD	500	INR	38,088		—		2
Deutsche Bank AG	4/4/22	USD	200	INR	15,231		—		1
Deutsche Bank AG	4/11/22	USD	18	INR	1,377		—		—
Deutsche Bank AG	4/8/22	USD	500	INR	38,654		—		9
Deutsche Bank AG	4/11/22	USD	36	INR	2,789		—		1
Deutsche Bank AG	4/11/22	USD	46	INR	3,566		—		1
Deutsche Bank AG	4/11/22	USD	500	INR	38,412		—		6

See notes to unaudited consolidated schedule of investments.

8

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

	Contract	Currency and		Currency and
	Settlement	Amount		Amount to be		Unrealized		Unrealized
Counterparty	Date	to be Received		Delivered		Appreciation		Depreciation
Deutsche Bank AG	4/18/22	USD	57	INR	4,371	$	—	$	1
Deutsche Bank AG	4/18/22	USD	600	INR	46,126		—		6
Deutsche Bank AG	4/22/22	USD	100	INR	7,626		—		—
Deutsche Bank AG	4/25/22	USD	400	INR	30,585		—		2
Deutsche Bank AG	4/25/22	USD	100	INR	7,670		—		1
Deutsche Bank AG	4/25/22	USD	100	INR	7,657		—		1
Deutsche Bank AG	4/29/22	USD	400	INR	30,644		—		2
Deutsche Bank AG	4/21/22	USD	808	JPY	100,000		—		13
Deutsche Bank AG	4/21/22	USD	303	JPY	37,500		—		5
Deutsche Bank AG	4/21/22	USD	410	JPY	50,000		—		—
Deutsche Bank AG	4/21/22	USD	309	JPY	37,500		1		—
Deutsche Bank AG	4/14/22	USD	300	KRW	369,222		—		4
Deutsche Bank AG	4/18/22	USD	63	KRW	77,992		—		1
Deutsche Bank AG	4/18/22	USD	37	KRW	46,114		—		1
Deutsche Bank AG	4/18/22	USD	15	KRW	18,707		—		—
Deutsche Bank AG	4/18/22	USD	85	KRW	105,513		—		2
Deutsche Bank AG	4/21/22	USD	100	KRW	122,130		—		—
Deutsche Bank AG	4/22/22	USD	7	KRW	7,969		—		—
Deutsche Bank AG	4/22/22	USD	200	KRW	242,875		—		—
Deutsche Bank AG	4/22/22	USD	93	KRW	113,399		—		—
Deutsche Bank AG	4/21/22	USD	200	KRW	242,730		—		—
Deutsche Bank AG	4/21/22	USD	100	KRW	121,385		—		—
Deutsche Bank AG	4/29/22	USD	100	KRW	121,899		—		—
Deutsche Bank AG	4/21/22	USD	25	MXN	500		—		—
Deutsche Bank AG	4/21/22	USD	69	NZD	100		—		—
Deutsche Bank AG	4/21/22	USD	200	PLN	862		—		5
Deutsche Bank AG	4/21/22	USD	100	SEK	946		—		1
Deutsche Bank AG	4/21/22	USD	100	SEK	946		—		1
Deutsche Bank AG	4/21/22	USD	100	SGD	136		—		—
Deutsche Bank AG	4/21/22	USD	100	TRY	1,415		5		—
Deutsche Bank AG	4/21/22	USD	100	TRY	1,415		5		—
Deutsche Bank AG	4/21/22	USD	100	TRY	1,532		—		3
Deutsche Bank AG	4/21/22	USD	200	TRY	3,070		—		6
Deutsche Bank AG	4/21/22	USD	100	TRY	1,489		—		—
Deutsche Bank AG	4/1/22	USD	55	TWD	1,557		1		—
Deutsche Bank AG	4/1/22	USD	15	TWD	435		—		—
Deutsche Bank AG	4/1/22	USD	71	TWD	1,987		2		—
Deutsche Bank AG	4/1/22	USD	58	TWD	1,629		1		—
Deutsche Bank AG	4/11/22	USD	100	TWD	2,836		1		—
Deutsche Bank AG	4/14/22	USD	100	TWD	2,832		1		—
Deutsche Bank AG	4/1/22	USD	300	TWD	8,506		3		—
Deutsche Bank AG	4/15/22	USD	95	TWD	2,688		1		—
Deutsche Bank AG	4/15/22	USD	5	TWD	150		—		—
Deutsche Bank AG	4/18/22	USD	100	TWD	2,853		—		—
Deutsche Bank AG	4/6/22	USD	100	TWD	2,838		1		—
Deutsche Bank AG	4/6/22	USD	200	TWD	5,701		1		—
Deutsche Bank AG	4/15/22	USD	100	TWD	2,849		1		—
Deutsche Bank AG	4/29/22	USD	100	TWD	2,877		—		1
Deutsche Bank AG	4/1/22	USD	2	TWD	66		—		—
Deutsche Bank AG	5/3/22	USD	200	TWD	5,725		—		—
Deutsche Bank AG	4/15/22	USD	100	TWD	2,861		—		—
Deutsche Bank AG	5/3/22	USD	100	TWD	2,859		—		—
Deutsche Bank AG	4/18/22	USD	100	TWD	2,861		—		—
Deutsche Bank AG	4/21/22	USD	100	ZAR	1,449		1		—

See notes to unaudited consolidated schedule of investments.

9

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

	Contract	Currency and		Currency and
	Settlement	Amount		Amount to be		Unrealized		Unrealized
Counterparty	Date	to be Received		Delivered		Appreciation		Depreciation
Deutsche Bank AG	4/21/22	ZAR	4,398	USD	300	$	—	$	—
Deutsche Bank AG	4/21/22	ZAR	1,466	USD	100		—		—
Morgan Stanley & Co. International PLC	6/15/22	CHF	42	USD	46		1		—
Morgan Stanley & Co. International PLC	6/15/22	USD	1,588	EUR	1,441		—		10
Morgan Stanley & Co. International PLC	6/15/22	USD	532	GBP	408		—		4
State Street Bank and Trust Company	6/15/22	EUR	63	USD	70		—		—
State Street Bank and Trust Company	6/15/22	USD	172	EUR	156		—		1
State Street Bank and Trust Company	6/15/22	USD	31	EUR	28		—		—
State Street Bank and Trust Company	6/15/22	USD	161	EUR	147		—		2
State Street Bank and Trust Company	6/15/22	USD	42	EUR	38		—		—
State Street Bank and Trust Company	6/15/22	USD	35	EUR	32		—		—
State Street Bank and Trust Company	6/15/22	USD	14	EUR	12		—		—
State Street Bank and Trust Company	6/15/22	USD	35	GBP	27		—		—
State Street Bank and Trust Company	6/15/22	USD	2	GBP	2		—		—
State Street Bank and Trust Company	6/15/22	USD	313	GBP	237		1		—
State Street Bank and Trust Company	6/15/22	USD	89	GBP	67		1		—
Total Forward Foreign Currency Exchange Contracts						$	150	$	296

	Number of				Expiration		Notional		Unrealized		Unrealized
Description	Contracts		Position		Date		Amount		Appreciation		Depreciation
Long Futures—0.6%
Commodity Futures Contracts—0.6%
Aluminum		1		Long		4/4/22		71	$	16	$	—
Aluminum		1		Long		4/7/22		74		13		—
Aluminum		1		Long		4/13/22		74		13		—
Aluminum		1		Long		4/14/22		75		12		—
Aluminum		2		Long		4/27/22		155		19		—
Aluminum		1		Long		4/29/22		75		12		—
Aluminum		1		Long		5/3/22		76		11		—
Aluminum		1		Long		5/4/22		78		9		—
Aluminum		1		Long		5/6/22		78		9		—
Aluminum		1		Long		5/9/22		79		8		—
Aluminum		1		Long		5/10/22		81		7		—
Aluminum		2		Long		5/23/22		166		8		—
Aluminum		1		Long		5/24/22		87		—		—
Aluminum		3		Long		6/7/22		262		—		1
Brent Crude		1		Long		4/29/22		106		—		2
Brent Crude		1		Long		5/31/22		102		1		—
Brent Crude		1		Long		6/30/22		107		—		6
Brent Crude		1		Long		7/29/22		104		—		5
Brent Crude		1		Long		10/31/22		94		2		—
Canola		1		Long		5/13/22		18		—		—
Cocoa		1		Long		5/16/22		23		—		—
Cocoa		1		Long		7/14/22		27		—		—
Cocoa		1		Long		7/14/22		24		—		—
Coffee		1		Long		5/18/22		85		—		—
Copper		1		Long		4/4/22		240		19		—
Copper		2		Long		4/6/22		499		19		—
Copper		1		Long		4/11/22		242		18		—
Copper		2		Long		4/12/22		501		18		—
Copper		2		Long		4/14/22		487		32		—

See notes to unaudited consolidated schedule of investments.

10

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

	Number of				Expiration		Notional		Unrealized		Unrealized
Description	Contracts		Position		Date		Amount		Appreciation		Depreciation
Copper		1		Long		4/19/22		243	$	16	$	—
Copper		1		Long		4/20/22		249		11		—
Copper		2		Long		4/25/22		488		31		—
Copper		1		Long		4/27/22		244		15		—
Copper		1		Long		4/28/22		246		13		—
Copper		1		Long		5/3/22		244		15		—
Copper		2		Long		5/9/22		489		29		—
Copper		1		Long		5/10/22		255		5		—
Copper		3		Long		5/11/22		748		30		—
Copper		1		Long		5/17/22		252		8		—
Copper		1		Long		5/20/22		248		12		—
Copper		1		Long		5/24/22		248		11		—
Copper		1		Long		5/26/22		118		—		—
Copper		3		Long		6/6/22		785		—		7
Copper		1		Long		6/8/22		250		9		—
Copper		1		Long		6/9/22		250		9		—
Corn		5		Long		5/13/22		188		—		1
Corn		2		Long		12/14/22		66		2		—
Cotton		2		Long		5/6/22		134		2		—
Crude Palm Oil		2		Long		6/15/22		70		—		3
Crude Palm Oil		1		Long		8/15/22		34		—		2
Gold		1		Long		6/28/22		194		2		—
Lead		1		Long		4/6/22		58		3		—
Lead		1		Long		4/11/22		57		3		—
Lead		1		Long		4/19/22		59		2		—
Lead		1		Long		4/25/22		58		3		—
Lead		1		Long		4/29/22		56		5		—
Lead		2		Long		5/3/22		111		10		—
Lead		1		Long		5/4/22		55		5		—
Lead		2		Long		5/9/22		114		7		—
Lead		1		Long		5/24/22		59		1		—
Lead		1		Long		5/27/22		61		—		—
Live Cattle		1		Long		8/31/22		55		—		—
Natural Gas		2		Long		4/27/22		107		6		—
Nickel		1		Long		4/5/22		132		60		—
Nickel		4		Long		4/11/22		508		263		—
Nickel		3		Long		4/12/22		397		181		—
Nickel		1		Long		4/13/22		133		60		—
Nickel		1		Long		4/21/22		137		55		—
Nickel		1		Long		4/25/22		133		60		—
Nickel		2		Long		5/3/22		283		102		—
Nickel		1		Long		5/4/22		173		20		—
Nickel		1		Long		5/17/22		141		52		—
Nickel		1		Long		6/1/22		150		43		—
Nickel		3		Long		6/6/22		514		63		—
Nickel		1		Long		6/7/22		219		—		26
Nickel		1		Long		6/22/22		194		—		2
Platinum		1		Long		7/27/22		50		—		—
SGX Iron Ore 62 Index		3		Long		5/31/22		46		2		—
Silver		1		Long		5/26/22		127		—		1
Soybean		2		Long		5/13/22		95		—		2
Soybean		1		Long		5/13/22		43		—		1
Tin		1		Long		4/12/22		207		12		—
Tin		1		Long		4/13/22		203		16		—

See notes to unaudited consolidated schedule of investments.

11

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

	Number of				Expiration		Notional		Unrealized		Unrealized
Description	Contracts		Position		Date		Amount		Appreciation		Depreciation
Tin		1		Long		5/11/22		235	$	—	$	18
Tin		1		Long		5/16/22		219		—		1
Tin		1		Long		5/23/22		222		—		5
Tin		1		Long		5/25/22		235		—		18
Wheat		2		Long		5/13/22		106		—		5
Wheat		1		Long		7/14/22		52		—		2
WTI Crude		2		Long		4/20/22		203		—		2
WTI Crude		1		Long		5/19/22		98		1		—
WTI Crude		1		Long		5/20/22		103		—		4
Zinc		1		Long		4/7/22		88		17		—
Zinc		1		Long		4/25/22		90		16		—
Zinc		1		Long		4/26/22		90		15		—
Zinc		1		Long		4/27/22		90		15		—
Zinc	��	2		Long		5/3/22		180		30		—
Zinc		1		Long		5/4/22		98		7		—
Zinc		1		Long		5/9/22		91		14		—
Zinc		1		Long		5/11/22		90		15		—
Total Commodity Futures Contracts									$	1,630	$	114
Equity Futures Contracts—0.0%
CAC40 10 Euro Future		1		Long		4/14/22		74	$	—	$	—
DJIA E-mini Industrial Average SM Index		3		Long		6/17/22		522		—		3
E-mini Financial Select Sector		1		Long		6/17/22		122		—		4
E-mini Russell 2000 Index		2		Long		6/17/22		211		—		4
E-mini S&P MidCap 400		2		Long		6/17/22		551		—		13
E-mini S&P Real Estate Select Sector Index		1		Long		6/17/22		55		4		—
Euro-STOXX 50 Index		2		Long		6/17/22		85		—		—
Euro-STOXX 50 Index Dividend Future		1		Long		12/16/22		13		—		—
FTSE China A50 Index		12		Long		4/28/22		162		3		—
FTSE Taiwan Index		5		Long		4/28/22		306		3		—
FTSE/MIB Index		2		Long		6/17/22		269		—		—
FTSES 100 Index		3		Long		6/17/22		293		1		—
IBEX 35 Index		1		Long		4/14/22		92		1		—
Micro E-mini DJIA Index		1		Long		6/17/22		17		—		—
Mini TPX Index		2		Long		6/9/22		32		—		—
MSCI Singapore Index		2		Long		4/28/22		49		—		—
NASDAQ 100 E-Mini		4		Long		6/17/22		1,206		—		17
Nikkei 225 Mini Index		8		Long		6/9/22		182		—		—
Nikkei 225 OSE Index		1		Long		6/9/22		227		—		1
OMXS30 Index		1		Long		4/13/22		23		—		—
S&P 500 Consumer Discretionary Index		1		Long		6/17/22		193		—		6
S&P/TSX 60 Index		1		Long		6/16/22		200		6		—
SGX Nifty 50 Index		3		Long		4/28/22		106		—		—
STOXX Europe 600 Index		1		Long		6/17/22		25		—		—
STOXX Europe 600 Insurance Index		2		Long		6/17/22		34		1		—
Topix		2		Long		6/9/22		316		2		—
Total Equity Futures Contracts									$	21	$	48
Foreign Currency Futures Contracts—0.0%
Brazil Real		2		Long		4/29/22		42	$	—	$	—
Dollar Index		2		Long		6/13/22		197		—		—
Euro		1		Long		6/13/22		139		—		1
Mexican Peso		6		Long		6/13/22		145		4		—
South African Rand		1		Long		6/13/22		34		—		—
Total Foreign Currency Futures Contracts									$	4	$	1

See notes to unaudited consolidated schedule of investments.

12

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments(continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Description	Number of Contracts	Position	Expiration Date	Notional Amount		Unrealized Appreciation		Unrealized Depreciation
Interest Rate Futures Contracts—0.0%
U.S. Treasury 10-Year Note	19	Long	6/21/22		2,327	$	8	$	—
U.S. Treasury Long Bond	1	Long	6/21/22		150		—		—
Total Interest Rate Futures Contracts						$	8	$	—
Total Long Futures						$	1,663	$	163

Description	Number of Contracts	Position	Expiration Date	Notional Amount			Unrealized Appreciation		Unrealized Depreciation
Short Futures—(0.6)%
Commodity Futures Contracts—(0.6)%
Aluminum	(1)	Short	4/4/22		(74	)	$	—	$	13
Aluminum	(1)	Short	4/7/22		(74	)		—		13
Aluminum	(1)	Short	4/13/22		(75	)		—		12
Aluminum	(1)	Short	4/14/22		(74	)		—		13
Aluminum	(2)	Short	4/27/22		(153	)		—		21
Aluminum	(1)	Short	4/29/22		(76	)		—		12
Aluminum	(1)	Short	5/3/22		(78	)		—		9
Aluminum	(1)	Short	5/4/22		(87	)		—		—
Aluminum	(1)	Short	5/6/22		(78	)		—		9
Aluminum	(1)	Short	5/9/22		(81	)		—		7
Aluminum	(1)	Short	5/10/22		(82	)		—		5
Aluminum	(2)	Short	5/23/22		(175	)		—		—
Aluminum	(1)	Short	5/24/22		(87	)		—		—
Aluminum	(3)	Short	6/7/22		(290	)		29		—
Cattle Feeder	(1)	Short	5/26/22		(84	)		1		—
Copper	(1)	Short	4/4/22		(250	)		—		10
Copper	(2)	Short	4/6/22		(475	)		—		44
Copper	(1)	Short	4/11/22		(250	)		—		10
Copper	(2)	Short	4/12/22		(486	)		—		32
Copper	(2)	Short	4/14/22		(494	)		—		24
Copper	(1)	Short	4/19/22		(245	)		—		14
Copper	(1)	Short	4/20/22		(243	)		—		16
Copper	(2)	Short	4/25/22		(485	)		—		33
Copper	(1)	Short	4/27/22		(245	)		—		15
Copper	(1)	Short	4/28/22		(238	)		—		21
Copper	(1)	Short	5/3/22		(246	)		—		14
Copper	(2)	Short	5/9/22		(498	)		—		21
Copper	(1)	Short	5/10/22		(248	)		—		11
Copper	(3)	Short	5/11/22		(747	)		—		31
Copper	(1)	Short	5/17/22		(248	)		—		12
Copper	(1)	Short	5/20/22		(252	)		—		8
Copper	(1)	Short	5/24/22		(252	)		—		8
Copper	(3)	Short	6/6/22		(769	)		—		9
Copper	(1)	Short	6/8/22		(251	)		—		9
Copper	(1)	Short	6/9/22		(254	)		—		5
Gasoline	(2)	Short	4/29/22		(265	)		1		—
Lead	(1)	Short	4/6/22		(57	)		—		4
Lead	(1)	Short	4/11/22		(57	)		—		3
Lead	(1)	Short	4/19/22		(58	)		—		3
Lead	(1)	Short	4/25/22		(59	)		—		1
Lead	(1)	Short	4/29/22		(56	)		—		4
Lead	(2)	Short	5/3/22		(113	)		—		8
Lead	(1)	Short	5/4/22		(57	)		—		3
Lead	(2)	Short	5/9/22		(111	)		—		11
Lead	(1)	Short	5/24/22		(61	)		—		—

See notes to unaudited consolidated schedule of investments.

13

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(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	5/27/22		(60	)	$	—	$	—
Lean Hogs	(1)	Short	6/14/22		(50	)		2		—
Maize	(1)	Short	6/6/22		(18	)		—		—
Nickel	(1)	Short	4/5/22		(124	)		—		69
Nickel	(4)	Short	4/11/22		(530	)		—		241
Nickel	(3)	Short	4/12/22		(398	)		—		180
Nickel	(1)	Short	4/13/22		(138	)		—		55
Nickel	(1)	Short	4/21/22		(145	)		—		48
Nickel	(1)	Short	4/25/22		(137	)		—		56
Nickel	(2)	Short	5/3/22		(309	)		—		76
Nickel	(1)	Short	5/4/22		(137	)		—		56
Nickel	(1)	Short	5/17/22		(146	)		—		46
Nickel	(1)	Short	6/1/22		(194	)		2		—
Nickel	(3)	Short	6/6/22		(520	)		—		57
Nickel	(1)	Short	6/7/22		(194	)		2		—
Nickel	(1)	Short	6/22/22		(162	)		—		30
Robusta Coffee	(2)	Short	5/25/22		(42	)		—		1
Tin	(1)	Short	4/12/22		(203	)		—		16
Tin	(1)	Short	4/13/22		(203	)		—		16
Tin	(1)	Short	5/11/22		(218	)		1		—
Tin	(1)	Short	5/16/22		(235	)		17		—
Tin	(1)	Short	5/23/22		(235	)		18		—
Tin	(1)	Short	5/25/22		(222	)		5		—
WTI Crude	(1)	Short	4/19/22		(110	)		9		—
Zinc	(1)	Short	4/7/22		(90	)		—		15
Zinc	(1)	Short	4/25/22		(90	)		—		15
Zinc	(1)	Short	4/26/22		(90	)		—		15
Zinc	(1)	Short	4/27/22		(91	)		—		14
Zinc	(2)	Short	5/3/22		(188	)		—		22
Zinc	(1)	Short	5/4/22		(90	)		—		15
Zinc	(1)	Short	5/9/22		(90	)		—		15
Zinc	(1)	Short	5/11/22		(91	)		—		14
Total Commodity Futures Contracts							$	87	$	1,570
Equity Futures Contracts—(0.0)%
Amsterdam Index	(2)	Short	4/14/22		(325	)	$	4	$	—
CBOE Volatility Index	(7)	Short	4/20/22		(160	)		—		5
CBOE Volatility Index	(3)	Short	5/18/22		(73	)		—		2
DAX Index	(2)	Short	6/17/22		(811	)		10		—
FTSE/JSE Top 40 Index	(2)	Short	6/15/22		(94	)		—		—
Hang Seng China Enterprises Index	(1)	Short	4/28/22		(48	)		—		—
Mini FTSE/MIB Index	(1)	Short	6/17/22		(27	)		—		—
Mini H-Shares Index	(1)	Short	4/28/22		(10	)		—		—
MSCI EAFE Index	(1)	Short	6/17/22		(107	)		—		—
MSCI Emerging Markets Index	(6)	Short	6/17/22		(339	)		1		—
Nikkei 225 SGX Index	(4)	Short	6/9/22		(459	)		3		—
S&P 500 E-mini	(13)	Short	6/17/22		(2,980	)		35		—
SPI 200 Index	(1)	Short	6/16/22		(137	)		—		3
Yen Denom Nikkei Index	(1)	Short	6/9/22		(110	)		—		6
Total Equity Futures Contracts							$	53	$	16
Foreign Currency Futures Contracts—(0.0)%
Chinese Yuan	(3)	Short	6/13/22		(301	)	$	1	$	—
Chinese Yuan	(1)	Short	6/13/22		(101	)		1		—
Total Foreign Currency Futures Contracts							$	2	$	—

See notes to unaudited consolidated schedule of investments.

14

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Description	Number of Contracts	Position	Expiration Date	Notional Amount			Unrealized Appreciation		Unrealized Depreciation
Interest Rate Futures Contracts—(0.0)%
3 Month Eurodollar	(3)	Short	6/19/23		(823	)	$	—	$	—
3 Month SOFR	(2)	Short	3/14/23		(492	)		4		—
3 Month SOFR	(2)	Short	6/20/23		(486	)		—		—
90 Day Eurodollar	(2)	Short	3/13/23		(490	)		5		—
90 Day Eurodollar	(1)	Short	6/19/23		(242	)		—		—
90 Day Eurodollar	(4)	Short	6/17/24		(971	)		—		—
Australia 10-Year Bond	(9)	Short	6/15/22		(862	)		10		—
Canada 10-Year Bond	(6)	Short	6/21/22		(627	)		3		—
Canada 5-Year Bond	(1)	Short	6/21/22		(93	)		—		1
Euro BOBL	(12)	Short	6/8/22		(1,719	)		15		—
Euro BTP	(10)	Short	6/8/22		(1,528	)		—		3
Euro Bund	(29)	Short	6/8/22		(5,101	)		8		—
Euro Buxl	(5)	Short	6/8/22		(1,020	)		—		15
Euro-Oat	(10)	Short	6/8/22		(1,672	)		—		8
Euro-Schatz	(9)	Short	6/8/22		(1,109	)		5		—
Japanese 10-Year Bond	(3)	Short	6/13/22		(3,672	)		—		5
Long Gilt	(4)	Short	6/28/22		(635	)		—		1
Short Euro-BTP	(2)	Short	6/8/22		(246	)		—		—
U.S. Treasury 10-Year Ultra Bond	(5)	Short	6/21/22		(676	)		—		1
U.S. Treasury 2-Year Note	(16)	Short	6/30/22		(3,403	)		12		—
U.S. Treasury 5-Year Note	(12)	Short	6/30/22		(1,378	)		2		—
Total Interest Rate Futures Contracts							$	64	$	34
Total Short Futures							$	206	$	1,620
Total Return Index Swaps(g)—1.0%

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.	Fixed Rate of 0.20%	Total return on BAML Short Upside Vol Index(h)	USD	18,009	3/3/23	Quarterly	$	—	$	(111	)	$	—	$	111
Bank of America, N.A.	Fixed Rate of 0.00%	Total return on BAML Commodity Basket Index(i)	USD	18,038	11/21/22	Quarterly		—		(675	)		—		675
Barclays Bank PLC	Fixed Rate of 0.00%	Total return on Barclays MFI vs REMIX Index(j)	USD	104,550	12/16/22	Monthly		—		46			46		—
BNP Paribas	3 Month SOFR + 0.43%	Total return on BNP Equity Value Factor Index(k)	USD	24,769	1/5/23	Quarterly		—		(522	)		—		522
BNP Paribas	Total return on BNP Equity Growth Factor Index(l)	3 Month SOFR + 0.23%	USD	26,378	1/5/23	Quarterly		—		1,419			1,419		—
BNP Paribas	3 Month SOFR + 0.41%	Total return on Russell 2000 Total Return Index(m)	USD	9,995	3/9/23	Quarterly		—		272			272		—

See notes to unaudited consolidated schedule of investments.

15

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(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
BNP Paribas	Total return on Russell 1000 Index Total Return(n)	3 Month SOFR + 0.40%	USD	10,001	3/9/23	Quarterly	$	—	$	(591	)	$	—	$	591
Credit Suisse International	Fixed Rate of 0.50%	Total return on Credit Suisse Gamma Weighted Dispersion Index ER(o)	USD	11,170	5/20/22	Monthly		—		3			3		—
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Calls-vs-Calls US Series 2 Excess Return Strategy Index(p)	USD	11,459	11/8/22	Quarterly		—		99			99		—
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Macro Index VA01(q)	USD	17,632	5/17/22	Quarterly		—		159			159		—
JP Morgan Chase Bank, N.A.	Fixed Rate of 0.00%	Total return on JP Morgan Equity Risk Premium - Global Pure Low Vol L/S USD Index(r)	USD	13,974	6/28/22	Quarterly		—		(5	)		—		5
JPMorgan Chase Bank, N.A.	Fixed Rate of 0.20%	Total return on JPM US Conviction Mean Reversion Index(s)	USD	11,083	9/26/22	Quarterly		—		(32	)		—		32
JPMorgan Chase Bank, N.A.	Total return on JPM Short ERP Sector Index(t)	Federal Funds Rate - 0.21%	USD	13,157	2/21/23	Quarterly		—		(101	)		—		101
JPMorgan Chase Bank, N.A.	3 Month LIBOR + 0.64%	Total return on JPM Long ERP Sector Index(u)	USD	19,476	2/21/23	Quarterly		—		182			182		—
JPMorgan Chase Bank, N.A.	Total return on iBoxx USD Liquid High Yield Index	12 Month SOFR	USD	4,219	6/20/22	Quarterly		—		36			36		—
JPMorgan Chase Bank, N.A.	Fixed Rate of 0.00%.	Total return on S&P 500 Annual Dividend Index Futures 2022	USD	24,000	12/16/22	N/A		—		349			349		—
JPMorgan Chase Bank, N.A.	Total return on iBoxx USD Liquid High Yield Index	12 Month SOFR	USD	2,640	9/20/22	Quarterly		—		(15	)		—		15
Macquarie Bank, Ltd.	Fixed Rate of 0.25%	Total return on Macquarie US Equity Congestion Index(v)	USD	18,000	3/24/23	Quarterly		—		—			—		—

See notes to unaudited consolidated schedule of investments.

16

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(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
Macquarie Bank, Ltd.	Fixed Rate of 0.25%	Total return on Macquarie US Equity Overnight Mean Reversion Index(w)	USD	11,640	3/9/23	Quarterly	$	—	$	(115	)	$	—	$	115
Nomura Securities Co., Ltd.	Fixed Rate of 0.15%	Total return on Nomura G10 All Currencies Mean Reversion 25x w/ no Vol Adjustment Index(x)	USD	18,450	7/29/22	Quarterly		—		(73	)		—		73
Societe Generale	Fixed Rate of 0.15%	Total return on SGI US Delta Capped Mean Reversion Index(y)	USD	11,549	1/21/23	Quarterly		—		30			30		—
Societe Generale	Federal Funds Rate	Total return on Soc Gen Vol Roll on Rates Index(z)	USD	19,665	4/5/22	N/A		—		2,009			2,009		—
Societe Generale	Fixed Rate of 0.40%	Total return on Soc Gen STEP Index(aa)	USD	11,607	3/14/23	Quarterly		—		19			19		—
Total Total Return Index Swaps							$	—	$	2,383		$	4,623	$	2,240

(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 March 31, 2022 is determined by the board of trustees of FS Series Trust (the “Trust’’).

(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 $39,381, which represents approximately 15.9% of net assets as of March 31, 2022.

(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 March 31, 2022, there were no securities rehypothecated by MSC.

(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.

(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
Currency
United States Dollar		13,362		74.64	%
Index
S&P 500 Index		4,717		26.35	%
Option
S&P 500 Index Call		-178		-0.99	%

See notes to unaudited consolidated schedule of investments.

17

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(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
Natural Gas Future May 22		-3,785		-21.80	%
Natural Gas Future Sep 22		3,785		21.80	%
WTI Crude Future May 22		-3,178		-18.30	%
WTI Crude Future Jul 22		3,160		18.20	%
Brent Crude Future Aug 22		2,813		16.20	%
Brent Crude Future Jul 22		-2,709		-15.60	%
Corn Future May 22		-2,153		-12.40	%
Soybean Future May 22		-2,101		-12.10	%
WTI Crude Future Dec 22		2,049		11.80	%
Lean Hogs Future Jun 22		-1,858		-10.70	%
LME Copper Future May 22		-1,823		-10.50	%
LME Copper Future Jul 22		1,823		10.50	%
Brent Crude Future Dec 22		1,788		10.30	%
Cattle Feeder Future Aug 22		1,754		10.10	%
LME Pri Alum Future May 22		-1,580		-9.10	%
LME Pri Alum Future Jul 22		1,580		9.10	%
Corn Future Dec 22		1,424		8.20	%
Gold 100 Oz Future Aug 22		-1,389		-8.00	%
LME Nickel Future Jul 22		1,337		7.70	%
Soybean Future Nov 22		1,337		7.70	%
LME Nickel Future May 22		-1,320		-7.60	%
Soybean Meal Future May 22		-1,250		-7.20	%
Wheat Future(Cbt) May 22		-1,198		-6.90	%
Low Su Gasoil G May 22		-1,181		-6.80	%
Soybean Oil Future Aug 22		1,181		6.80	%
Soybean Oil Future May 22		-1,163		-6.70	%
LME Zinc Future May 22		-1,146		-6.60	%
LME Zinc Future Jul 22		1,146		6.60	%
Live Cattle Future Jun 22		-1,111		-6.40	%
Low Su Gasoil G Jul 22		1,111		6.40	%
Natural Gas Future Dec 22		-1,024		-5.90	%
Sugar #11 (World) May 22		-938		-5.40	%
Sugar #11 (World) Oct 22		938		5.40	%
Gasoline Rbob Future May 22		-920		-5.30	%
Gasoline Rbob Future Jul 22		903		5.20	%
NY Harb ULSD Future May 22		-868		-5.00	%
Coffee 'C' Future May 22		-833		-4.80	%
Coffee 'C' Future Sep 22		833		4.80	%
NY Harb ULSD Future Jul 22		833		4.80	%
Soybean Meal Future Dec 22		781		4.50	%
WTI Crude Future Jun 22		-747		-4.30	%
Low Su Gasoil G Jun 22		729		4.20	%
NY Harb ULSD Future Jun 22		729		4.20	%
Low Su Gasoil G Dec 22		712		4.10	%
Kc Hrw Wheat Future May 22		-695		-4.00	%
Corn Future Jul 22		-608		-3.50	%
Live Cattle Future Oct 22		608		3.50	%
Soybean Meal Future Jul 22		590		3.40	%
Soybean Oil Future Dec 22		590		3.40	%
Soybean Future Jul 22		573		3.30	%

See notes to unaudited consolidated schedule of investments.

18

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(j) A strategy that seeks to provide exposure to the spread between mortgages and treasury securities.

Top Underlying Components	Notional		Percentage of Notional
Index
iShares 3-7 Year Treasury Bond		104,154		100.00	%
iShares MBS ETF		-104,154		-100.00	%

(k) 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
Eastman Kodak Co		1,710		113		0.46	%
Benefitfocus Inc		323		105		0.43	%
Ebix Inc		163		105		0.43	%
Fluent Inc		166		103		0.42	%
StoneCo Ltd		4,507		98		0.41	%
Cleanspark Inc		3,125		98		0.41	%
Everbridge Inc		2,544		97		0.40	%
Conduent Inc		7,272		97		0.40	%
Paysafe Ltd		680		97		0.40	%
TTM Technologies Inc		1,499		96		0.39	%
Cerence Inc		882		95		0.39	%
SolarWinds Corp		2,994		94		0.39	%
Alpha & Omega Semiconductor Ltd		210		94		0.39	%
Jabil Inc		8,156		93		0.38	%
Kulicke & Soffa Industries Inc		5,052		92		0.38	%
Vontier Corp		594		92		0.38	%
NCR Corp		591		90		0.37	%
Dropbox Inc		674		90		0.37	%
Teradata Corp		2,972		90		0.37	%
Progress Software Corp		731		89		0.37	%
Dolby Laboratories Inc		5,877		89		0.37	%
OneSpan Inc		1,788		89		0.37	%
Rackspace Technology Inc		1,004		89		0.37	%
ePlus Inc		3,373		89		0.37	%
Xperi Holding Corp		831		88		0.36	%
Casa Systems Inc		666		88		0.36	%
Vishay Intertechnology Inc		1,419		87		0.36	%
Cohu Inc		1,888		87		0.36	%
Ichor Holdings Ltd		104		87		0.36	%
Ribbon Communications Inc		3,919		87		0.36	%
Diodes Inc		637		86		0.36	%
Verint Systems Inc		461		86		0.36	%
CommScope Holding Co Inc		6,010		85		0.35	%
Upland Software Inc		784		85		0.35	%
NetScout Systems Inc		1,712		85		0.35	%
Amkor Technology Inc		2,489		85		0.35	%
The Western Union Co		1,791		85		0.35	%
DXC Technology Co		17,895		85		0.35	%
Insight Enterprises Inc		1,381		85		0.35	%
A10 Networks Inc		7,201		85		0.35	%
CDK Global Inc		240		85		0.35	%
Ultra Clean Holdings Inc		2,505		85		0.35	%
Avnet Inc		862		85		0.35	%
First Solar Inc		706		85		0.35	%
ScanSource Inc		6,082		85		0.35	%
Mitek Systems Inc		1,596		84		0.35	%
Alliance Data Systems Corp		2,615		84		0.35	%
PC Connection Inc		274		84		0.35	%
MKS Instruments Inc		19,496		84		0.35	%
StarTek Inc		6,486		84		0.35	%

See notes to unaudited consolidated schedule of investments.

19

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(l) 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
GreenBox POS		-505		-134		-0.51	%
MongoDB Inc		-524		-130		-0.49	%
Ouster Inc		-10,014		-120		-0.46	%
Riot Blockchain Inc		-2,465		-116		-0.44	%
Wix.com Ltd		-4,275		-115		-0.44	%
Sabre Corp		-22,356		-111		-0.42	%
Square Inc		-486		-111		-0.42	%
Cloudflare Inc		-1,978		-107		-0.41	%
Rekor Systems Inc		-22,847		-107		-0.40	%
NVIDIA Corp		-20,600		-105		-0.40	%
Globalstar Inc		-1,423		-104		-0.39	%
Avid Technology Inc		-11,917		-103		-0.39	%
Velodyne Lidar Inc		-6,656		-102		-0.39	%
Domo Inc		-268		-102		-0.39	%
Monolithic Power Systems Inc		-222		-102		-0.38	%
Unity Software Inc		-13,930		-101		-0.38	%
Wolfspeed Inc		-2,887		-101		-0.38	%
Zscaler Inc		-132		-100		-0.38	%
Arista Networks Inc		-3,212		-100		-0.38	%
Aeva Technologies Inc		-11,310		-99		-0.38	%
Splunk Inc		-3,183		-99		-0.37	%
Snowflake Inc		-243		-99		-0.37	%
Cognex Corp		-5,600		-98		-0.37	%
Flywire Corp		-4,017		-98		-0.37	%
Ambarella Inc		-6,200		-98		-0.37	%
nLight Inc		-931		-98		-0.37	%
Clearfield Inc		-3,267		-97		-0.37	%
Ubiquiti Inc		-781		-96		-0.36	%
Switch Inc		-190		-95		-0.36	%
Thoughtworks Holding Inc		-708		-95		-0.36	%
Enphase Energy Inc		-353		-95		-0.36	%
Mastercard Inc		-5,546		-94		-0.36	%
Shenandoah Telecommunications Co		-715		-93		-0.35	%
Appian Corp		-2,502		-93		-0.35	%
Lattice Semiconductor Corp		-720		-93		-0.35	%
Trimble Inc		-14,790		-92		-0.35	%
Itron Inc		-121		-92		-0.35	%
TechTarget Inc		-1,137		-92		-0.35	%
Marvell Technology Group Ltd		-679		-92		-0.35	%
Digimarc Corp		-16,865		-92		-0.35	%
Apple Inc		-556		-91		-0.35	%
Allegro MicroSystems Inc		-1,528		-91		-0.35	%
Akoustis Technologies Inc		-412		-91		-0.34	%
Entegris Inc		-644		-90		-0.34	%
Novanta Inc		-175		-90		-0.34	%
Identiv Inc		-503		-89		-0.34	%
BigCommerce Holdings Inc		-3,844		-89		-0.34	%
Impinj Inc		-1,854		-89		-0.34	%
Coherent Inc		-1,263		-89		-0.34	%
PAR Technology Corp		-1,432		-89		-0.34	%

See notes to unaudited consolidated schedule of investments.

20

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(m) Seeks 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		10,274		100.00	%

(n) Seeks 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		10,001		100.00	%

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

Top Underlying Components	Shares		Notional		Percentage of Notional
Options
SPDR S&P 500 ETF Put				-45,653		-408.55	%
SPDR S&P 500 ETF Call				-19,727		-176.54	%
Apple Inc Put				5,672		50.76	%
Microsoft Corp Put				4,919		44.02	%
Apple Inc Call				3,352		30.00	%
Microsoft Corp Call				3,085		27.61	%
Amazon.com Inc Put				2,724		24.37	%
Amazon.com Inc Call				2,077		18.58	%
Alphabet Inc-A Put				1,676		15.00	%
Alphabet Inc-C Put				1,537		13.76	%
Berkshire Hathaway Inc-Cl B Put				1,365		12.21	%
Tesla Inc Put				1,290		11.54	%
Alphabet Inc-A Call				1,186		10.62	%
Tesla Inc Call				1,186		10.61	%
NVIDIA Corp Put				1,118		10.01	%
Alphabet Inc-C Call				1,111		9.95	%
NVIDIA Corp Call				1,045		9.36	%
United Health Grp Put				994		8.89	%
Johnson & Johnson Put				915		8.19	%
Meta Platforms-A Put				912		8.16	%
JPMorgan Chase Put				884		7.91	%
Procter & Gamble Put				884		7.91	%
Berkshire Hathaway Inc-Cl B Call				837		7.49	%
Meta Platforms-A Call				804		7.19	%
Visa Inc-Class A Put				753		6.74	%
Home Depot Inc Put				717		6.42	%
Exxon Mobil Corp Put				694		6.21	%
Bank Of America Put				692		6.20	%
United Health Grp Call				655		5.86	%
Johnson & Johnson Call				631		5.65	%
JPMorgan Chase Call				608		5.44	%
Abbvie Inc Put				561		5.02	%
Pfizer Inc Put				559		5.01	%
Comcast Corp-A Put				554		4.96	%
Visa Inc-Class A Call				552		4.94	%
The Walt Disney Co Put				551		4.93	%
Pepsico Inc Put				548		4.91	%
Chevron Corp Put				527		4.72	%
Exxon Mobil Corp Call				516		4.62	%
Chevron Corp Call				512		4.58	%
The Coca-Cola Co Put				505		4.52	%
Costco Wholesale Put				498		4.46	%
Broadcom Inc Put				489		4.38	%
Home Depot Inc Call				480		4.30	%
Pfizer Inc Call				461		4.12	%
Common Stock
SPDR S&P 500 ETF		13,003		5,873		52.55	%
Apple Inc		-6,985		-1,220		-10.92	%
Microsoft Corp		-2,764		-852		-7.62	%
Tesla Inc		-701		-755		-6.76	%
Amazon.com Inc		-153		-497		-4.45	%

See notes to unaudited consolidated schedule of investments.

21

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(p) 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		15,788		136.57	%
AAPL American Call Option		-1,159		-10.03	%
PEP American Call Option		-986		-8.53	%
AMZN American Call Option		-919		-7.95	%
MSFT American Call Option		-850		-7.36	%
PFE American Call Option		-760		-6.58	%
ACN American Call Option		-751		-6.49	%
NOW American Call Option		-679		-5.87	%
NKE American Call Option		-671		-5.81	%
NVDA American Call Option		-668		-5.78	%
ADBE American Call Option		-597		-5.17	%
LMT American Call Option		-592		-5.12	%
MU American Call Option		-558		-4.83	%
LIN American Call Option		-525		-4.54	%
CVX American Call Option		-524		-4.53	%
ORCL American Call Option		-490		-4.24	%
PG American Call Option		-483		-4.18	%
FB American Call Option		-467		-4.04	%
CHTR American Call Option		-444		-3.84	%
BKNG American Call Option		-436		-3.77	%
QCOM American Call Option		-408		-3.53	%
PYPL American Call Option		-407		-3.52	%
C American Call Option		-366		-3.17	%
CRM American Call Option		-342		-2.96	%
JPM American Call Option		-326		-2.82	%
LOW American Call Option		-310		-2.68	%
ISRG American Call Option		-307		-2.66	%
GOOG American Call Option		-303		-2.62	%
CB American Call Option		-297		-2.57	%
NFLX American Call Option		-294		-2.54	%
HD American Call Option		-291		-2.51	%
NEE American Call Option		-277		-2.40	%
PM American Call Option		-276		-2.39	%
SBUX American Call Option		-261		-2.26	%
CSCO American Call Option		-260		-2.25	%
AMD American Call Option		-256		-2.22	%
MMC American Call Option		-254		-2.19	%
GOOGL American Call Option		-245		-2.12	%
MA American Call Option		-240		-2.08	%
AMT American Call Option		-225		-1.95	%
COST American Call Option		-219		-1.90	%
INTU American Call Option		-219		-1.89	%
KO American Call Option		-216		-1.87	%
MS American Call Option		-211		-1.82	%
DIS American Call Option		-210		-1.82	%
AMAT American Call Option		-202		-1.75	%
ADI American Call Option		-198		-1.71	%
BRK American Call Option		-193		-1.67	%
AVGO American Call Option		-192		-1.66	%
Currency
United States Dollar		290		2.51	%

See notes to unaudited consolidated schedule of investments.

22

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(q) 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
Long Gilt Future Jun22		-11,356		-63.82	%
Jpn 10Y Bond (OSE) Jun22		-7,021		-39.46	%
US 10Yr Note (CBT) Jun22		-6,592		-37.05	%
Euro-Bund Future Jun22		-3,356		-18.86	%
Aust 10Y Bond Future Jun22		2,920		16.41	%
Can 10Yr Bond Future Jun22		1,172		6.59	%
Euro-BTP Future Jun22		1,139		6.40	%
Euro-OAT Future Jun22		761		4.28	%

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

Top Underlying Components	Shares		Notional		Percentage of Notional
Common Stock
Orpea SA		12,970		-78		-0.56	%
EPAM Systems Inc		6,287		-78		-0.55	%
Sonova Holding AG		4,764		-77		-0.55	%
GN Store Nord A/S		1,677		-76		-0.55	%
MongoDB Inc		4,065		-76		-0.55	%
Okta Inc		1,687		76		0.55	%
Ocado Group PLC		2,353		-76		-0.54	%
Delivery Hero SE		4,204		-76		-0.54	%
Assicurazioni Generali SpA		1,992		75		0.54	%
DocuSign Inc		605		-74		-0.53	%
DexCom Inc		1,166		-74		-0.53	%
Twilio Inc		442		74		0.53	%
Sands China Ltd		6,101		-74		-0.53	%
Vestas Wind Systems A/S		17,862		-74		-0.53	%
Paychex Inc		4,244		74		0.53	%
The Trade Desk Inc		579		-74		-0.53	%
Insulet Corp		2,475		-74		-0.53	%
Nuvei Corp		513		-74		-0.53	%
Asana Inc		84		-74		-0.53	%
Sartorius Stedim Biotech		79		-73		-0.53	%
Uber Technologies Inc		432		-73		-0.52	%
Liberty Media Corp-Liberty Formula One		46		73		0.52	%
Bachem Holding AG		213		-73		-0.52	%
Universal Music Group NV		134		-73		-0.52	%
Constellation Energy Corp		421		-73		-0.52	%
Intuit Inc		5,251		73		0.52	%
Domino's Pizza Enterprises Ltd		402		-73		-0.52	%
Severn Trent PLC		378		73		0.52	%
NN Group NV		415		73		0.52	%
Delta Air Lines Inc		591		-73		-0.52	%
Synopsys Inc		1,747		73		0.52	%
Booking Holdings Inc		0		73		0.52	%
Invesco Ltd		0		-73		-0.52	%
Splunk Inc		522		-73		-0.52	%
Enphase Energy Inc		14		-73		-0.52	%
Motorola Solutions Inc		225		73		0.52	%
Cie Generale des Etablissements Michelin		283		73		0.52	%
Starbucks Corp		921		73		0.52	%
Square Inc		589		72		0.52	%
Arthur J Gallagher & Co		173		72		0.52	%
National Grid PLC		723		72		0.52	%
Walmart Inc		648		72		0.52	%
NRG Energy Inc		34		-72		-0.52	%
Tyler Technologies Inc		400		72		0.52	%
Waste Connections Inc		25		72		0.52	%
Bill.com Holdings Inc		603		-72		-0.52	%
Siemens Gamesa Renewable Energy SA		123		-72		-0.52	%
Avalara Inc		1,179		72		0.52	%
Cognex Corp		31		-72		-0.52	%
Tyson Foods Inc		66		-72		-0.52	%

See notes to unaudited consolidated schedule of investments.

23

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(s) 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 Total Return 4 Jan 1988 Index		0		0.00	%

(t) 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
Southwestern Energy Co			-2,857		-327		-2.49	%
EQT Corp			-16,273		-305		-2.32	%
American Airlines Group Inc			-7,055		-297		-2.26	%
American Tower Corp			-1,156		-290		-2.21	%
Delta Air Lines Inc			-1,722		-289		-2.20	%
SBA Communications Corp			-11,112		-288		-2.19	%
American Water Works Co Inc			-6,779		-285		-2.17	%
Equinix Inc			-1,440		-284		-2.16	%
Park Hotels & Resorts Inc			-1,738		-284		-2.16	%
Southwest Airlines Co			-4,689		-284		-2.16	%
American Homes 4 Rent			-2,499		-282		-2.15	%
Host Hotels & Resorts Inc			-6,404		-282		-2.15	%
JetBlue Airways Corp			-7,304		-281		-2.14	%
Prologis Inc			-383		-281		-2.14	%
Uber Technologies Inc			-8,862		-280		-2.13	%
Sun Communities Inc			-2,884		-277		-2.11	%
The Boeing Co			-839		-276		-2.10	%
NextEra Energy Inc			-1,459		-276		-2.10	%
PG&E Corp			-1,753		-274		-2.09	%
Axalta Coating Systems Ltd			-14,534		-273		-2.08	%
Martin Marietta Materials Inc			-3,696		-273		-2.08	%
Plug Power Inc			-18,801		-273		-2.08	%
Berry Global Group Inc			-1,922		-272		-2.07	%
The Sherwin-Williams Co			-6,195		-272		-2.07	%
Sensata Technologies Holding PLC			-6,974		-270		-2.06	%
HEICO Corp			-1,609		-269		-2.05	%
United Rentals Inc			-710		-269		-2.05	%
Lyft Inc			-3,968		-268		-2.04	%
Sunstone Hotel Investors Inc			-3,255		-268		-2.04	%
Cheniere Energy Inc			-7,640		-266		-2.03	%
Occidental Petroleum Corp			-4,697		-266		-2.03	%
General Electric Co			-22,986		-264		-2.01	%
The Middleby Corp			-7,149		-264		-2.01	%
The Mosaic Co			-14,528		-264		-2.01	%
TransDigm Group Inc			-1,741		-263		-2.00	%
XPO Logistics Inc			-9,546		-260		-1.98	%
Alcoa Corp			-2,400		-257		-1.95	%
Sunrun Inc			-8,426		-256		-1.94	%
Trex Co Inc			-979		-253		-1.92	%
Chart Industries Inc			-836		-251		-1.90	%
Generac Holdings Inc			-22,735		-249		-1.89	%
Saia Inc			-1,089		-239		-1.81	%
Crown Holdings Inc			-5,319		-217		-1.65	%
CenterPoint Energy Inc	��		-1,581		-196		-1.49	%
Rexford Industrial Realty Inc			-4,610		-179		-1.36	%
Pebblebrook Hotel Trust			-45,674		-175		-1.33	%
Colfax Corp			-403		-171		-1.30	%
The AZEK Co Inc			-3,876		-168		-1.28	%
National Oilwell Varco Inc			-1,711		-150		-1.14	%
Invitation Homes Inc			-7,841		-148		-1.13	%

See notes to unaudited consolidated schedule of investments.

24

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(u) 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
Gaming and Leisure Properties Inc		4,325		450		2.29	%
Iron Mountain Inc		1,791		450		2.29	%
Pinnacle West Capital Corp		30,568		450		2.29	%
Edison International		37,830		446		2.27	%
PPL Corp		1,514		444		2.26	%
Omega Healthcare Investors Inc		11,263		442		2.25	%
Fastenal Co		806		440		2.24	%
Kinder Morgan Inc		13,303		440		2.24	%
Medical Properties Trust Inc		3,998		440		2.24	%
International Paper Co		2,032		435		2.21	%
Packaging Corp of America		6,144		435		2.21	%
CH Robinson Worldwide Inc		16,590		431		2.19	%
Hubbell Inc		6,634		431		2.19	%
Amcor PLC		6,367		429		2.18	%
SL Green Realty Corp		25,468		429		2.18	%
Stanley Black & Decker Inc		49,852		429		2.18	%
WP Carey Inc		7,414		429		2.18	%
General Dynamics Corp		3,505		427		2.17	%
3M Co		1,769		425		2.16	%
OGE Energy Corp		9,594		425		2.16	%
United Parcel Service Inc		2,090		425		2.16	%
Vornado Realty Trust		1,753		425		2.16	%
Weyerhaeuser Co		2,343		425		2.16	%
Dow Inc		9,415		423		2.15	%
Illinois Tool Works Inc		8,126		423		2.15	%
Equitrans Midstream Corp		2,019		421		2.14	%
PACCAR Inc		23,290		421		2.14	%
The Chemours Co		1,654		419		2.13	%
Lockheed Martin Corp		949		419		2.13	%
Cummins Inc		3,977		417		2.12	%
Huntington Ingalls Industries		1,800		417		2.12	%
Harris Corp		945		411		2.09	%
LyondellBasell Industries NV		5,842		409		2.08	%
South Jersey Industries Inc		2,853		407		2.07	%
Atlas Air Worldwide Holdings Inc		20,833		374		1.90	%
Welbilt Inc		3,184		364		1.85	%
Antero Midstream GP LP		10,414		332		1.69	%
Spirit Realty Capital Inc		14,197		303		1.54	%
Plains GP Holdings LP		25,875		299		1.52	%
Herc Holdings Inc		4,777		293		1.49	%
Physicians Realty Trust		2,783		291		1.48	%
Sabra Health Care REIT Inc		5,765		275		1.40	%
MSC Industrial Direct Co Inc		15,558		271		1.38	%
AGCO Corp		18,486		261		1.33	%
EnLink Midstream LLC		11,780		246		1.25	%
MGM Growth Properties LLC		7,549		226		1.15	%
Avis Budget Group Inc		5,280		212		1.08	%
Uniti Group Inc		6,579		189		0.96	%
ManpowerGroup Inc		5,785		169		0.86	%
STORE Capital Corp		3,066		169		0.86	%

See notes to unaudited consolidated schedule of investments.

25

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(v) An intra-day equity trading strategy that adjusts its exposure based on changes in the level of realized market volatility.

Top Underlying Components	Notional		Percentage of Notional
Futures
S&P 500 E-mini Future Jun22		0		0.00	%

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

Top Underlying Components	Notional		Percentage of Notional
Futures
S&P 500 E-mini Future Jun22		0		0.00	%

(x) Currency selection strategy using mean reversion signals.

Top Underlying Components	Notional		Percentage of Notional
Currency
Japanese Yen		7,624		41.48	%
Australian Dollar		-3,469		-18.87	%
Swedish Krona		-3,293		-17.91	%
British Pound		2,607		14.18	%
New Zealand Dollar		-2,332		-12.68	%
Canadian Dollar		-1,678		-9.13	%
Norwegian Krone		-1,289		-7.01	%
Euro		657		3.57	%
Swiss Franc		-151		-0.82	%

See notes to unaudited consolidated schedule of investments.

26

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(y) 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		-4,521		-24.60	%

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

Top Underlying Components	Notional		Percentage of Notional
Derivatives
1y Forward 5y20y Straddle		14,183		77.16	%
1y Forward 10y20y Straddle		2,920		15.89	%
1y Forward 1y7y Straddle		1,669		9.08	%
1y Forward 3y7y Straddle		1,669		9.08	%
1y Forward 1y3y Straddle		834		4.54	%
1y Forward 3y3y Straddle		417		2.27	%

(aa) 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 04/01/22 P4455 Index		2,142		11.65	%
SPXW US 04/04/22 P4400 Index		1,071		5.83	%
SPXW US 04/01/22 P4430 Index		1,064		5.79	%
SPXW US 04/01/22 P4245 Index		723		3.93	%
SPXW US 04/06/22 P4315 Index		714		3.88	%
SPXW US 04/04/22 P4385 Index		709		3.86	%

AUD	- Australian Dollar
BRL	- Brazilian Real
CAD	- Canadian Dollar
CHF	- Swiss Franc
CLP	- Chilean Peso
CNH	- Chinese Yuan
COP	- Colombian Peso
EUR	- Euro
GBP	- British Pound
HUF	- Hungarian Forint
INR	- India Rupee
JPY	- Japanese Yen
KRW	- South Korean Won
LIBOR	- London Interbank Offered Rate
MXN	- Mexican Peso
NOK	- Norwegian Krone
NZD	- New Zealand Dollar
PLN	- Polish Zloty
SEK	- Swedish Krona
SGD	- Singapore Dollar
SOFR	- Secured Overnight Financing Rate
TRY	- Turkish Lira
TWD	- Taiwan Dollar
USD	- U.S. Dollar
ZAR	- South African Rand

See notes to unaudited consolidated schedule of investments.

27

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

	Cost		Fair Value(b)
TOTAL INVESTMENTS—0.0%	$	—	$	—
Other Assets in Excess of Liabilities—100.0%				2,225
Net Assets — 100.0%			$	2,225

Total Return Index Swaps(a)—2.4%
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.	12 Month SOFR + 0.55%	Total return on iShares S&P GSCI Commodity-Indexed Trust	USD	258	4/18/23	N/A	$	—	$	(1	)	$	—	$	1
Deutsche Bank AG	0.00%	Total return on Deutsche Bank Diversified Rates Strategy Index 008(c)	USD	444	7/7/22	N/A		—		12			12		—
Goldman Sachs International	Fixed Rate of 0.15%	Total return on Goldman Sachs Cross Asset Trend Basket Series 11 Excess Return Strategy Index(d)	USD	1,056	3/6/23	N/A		—		42			42		—
JP Morgan Chase Bank, N.A.	Fixed Rate of 0.20%	Total return on JPM Bi-Weekly 1 Month Variance US Conviction Mean Reversion Index(e)	USD	482	3/6/23	N/A		—		4			4		—
JPMorgan Chase Bank, N.A.	Fixed Rate of 0.04%	Total return on JPM Momentum Factor Index(f)	USD	450	4/24/23	N/A		—		1			1		—
Macquarie Bank, Ltd.	Fixed Rate of 0.25%	Total return on Macquarie US Equity Overnight Mean Reversion Index(g)	USD	203	3/9/23	N/A		—		(2	)		—		2
Nomura Securities Co., Ltd.	Fixed Rate of 0.15%	Total return on Nomura G10 All Currencies Mean Reversion 25x w/ no Vol Adjustment Index(h)	USD	300	3/4/23	N/A		—		(2	)		—		2
Total Total Return Index Swaps							$	—	$	54		$	59	$	5

(a)

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.

(b)

Fair value as of March 31, 2022 is determined by the board of trustees of FS Series Trust (the “Trust’’).

See notes to unaudited consolidated schedule of investments.

28

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(c) 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 EU		-174		-38.16	%
Deutsche Bank Duration Bias US		-98		-21.57	%

(d) 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
SWISS MKT IX Futures Jun22		-368		-33.51	%
S&P 500 E-mini Futures Jun22		-316		-28.80	%
AMSTERDAM IDX Futures Apr22		-315		-28.69	%
HSCEI Futures Apr22		-308		-28.07	%
CAC40 10 Euro Futures Apr22		-306		-27.85	%
Euro-BUND Futures Jun22		306		27.82	%
MSCI EmgMkt Jun22		-303		-27.63	%
OMXS30 IND Futures Apr22		-260		-23.63	%
Euro STOXX 50 Jun22		-259		-23.60	%
TOPIX INDX Futures Jun22		-252		-22.93	%
FTSE 100 IDX Futures Jun22		-201		-18.33	%
LONG GILT Futures Jun22		-194		-17.70	%
E-Mini Russ 2000 Jun22		-119		-10.88	%
FTSE/JSE TOP 40 Jun22		-107		-9.73	%
DAX INDEX Futures Jun22		-91		-8.30	%
SET50 Futures Jun22		78		7.12	%
HANG SENG IDX Futures Apr22		-76		-6.94	%
KOSPI2 INX Futures Jun22		69		6.33	%
SPI 200 Futures Apr22		-63		-5.69	%
FTSE/MIB IDX Futures Jun22		-57		-5.20	%
US LONG BOND(CBT) Jun22		-52		-4.74	%
IBEX 35 INDX Futures Apr22		-50		-4.52	%
Euro-BOBL Futures Jun22		31		2.85	%
JPN 10Y BOND(OSE) Jun22		26		2.40	%
3 MONTH SOFR Futures Jun23		-26		-2.33	%
3 MONTH SOFR Futures Sep22		25		2.24	%
ICE 3MTH SONIA Futures Dec22		-21		-1.89	%
US 2YR NOTE (CBT) Jun22		-20		-1.78	%
3MO Euro EURIBOR Sep22		20		1.78	%
ICE 3MTH SONIA Futures Jun23		-18		-1.67	%
Currency
Indian Rupee		361		32.87	%
Canadian Dollar		-301		-27.36	%
Swiss Franc		-253		-23.03	%
US Dollar		-222		-20.25	%
Norwegian Krone		-222		-20.25	%
Japanese Yen		-216		-19.70	%
Australian Dollar		-215		-19.60	%
Hungarian Forint		-87		-7.91	%
South African Rand		87		7.91	%
Euro		-65		-5.88	%
Polish Zloty		-63		-5.69	%
Chilean Peso		-61		-5.54	%
Swedish Krona		61		5.54	%
Czech Koruna		-52		-4.74	%
Indonesian Rupiah		42		3.85	%
Philippines Peso		41		3.69	%
British Pound		-30		-2.78	%
Israeli Shekel		30		2.73	%
Mexican Peso		27		2.42	%
Singapore Dollar		-20		-1.86	%

See notes to unaudited consolidated schedule of investments.

29

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(e) 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 Total Return 4 Jan 1988 Index		0		0.00	%

(f) Market neutral strategy that seeks to provide exposure to Momentum risk premium.

Top Underlying Components	Shares		Notional		Percentage of Notional
Index
AMC Entertainment Holdings Inc		111		3		0.61	%
Neste Oyj		-58		-3		-0.58	%
10X Genomics Inc		-33		-3		-0.56	%
Sonova Holding AG		6		2		0.55	%
MongoDB Inc		6		2		0.55	%
Robinhood Markets Inc		182		2		0.55	%
Rivian Automotive Inc		49		2		0.54	%
The Goldman Sachs Group Inc		-159		-2		-0.54	%
GN Store Nord A/S		-49		-2		-0.54	%
DraftKings Inc		-124		-2		-0.54	%
Hermes International		2		2		0.53	%
DocuSign Inc		-22		-2		-0.53	%
CapgE-mini SE		11		2		0.53	%
Getinge AB-B Shares		59		2		0.53	%
Twilio Inc		-15		-2		-0.53	%
DexCom Inc		5		2		0.53	%
Prudential PLC		-161		-2		-0.53	%
Paychex Inc		18		2		0.53	%
AES Corp		-93		-2		-0.53	%
The Carlyle Group Inc		49		2		0.53	%
Enel SpA		-353		-2		-0.53	%
Unity Software Inc		24		2		0.53	%
Standard Life Aberdeen PLC		-840		-2		-0.53	%
Splunk Inc		-34		-2		-0.53	%
Liberty Media Corp-Liberty Formula One		34		2		0.52	%
Uber Technologies Inc		-66		-2		-0.52	%
FactSet Research Systems Inc		5		2		0.52	%
Edwards Lifesciences Corp		20		2		0.52	%
Intuit Inc		5		2		0.52	%
Schibsted ASA		-7		-2		-0.52	%
Exelon Corp		50		2		0.52	%
Valero Energy Corp		-23		-2		-0.52	%
Synopsys Inc		7		2		0.52	%
Invesco Ltd		-102		-2		-0.52	%
Hormel Foods Corp		-16		-2		-0.52	%
Motorola Solutions Inc		10		2		0.52	%
Cie Financiere Richemont SA		18		2		0.52	%
Safran SA		-20		-2		-0.52	%
Enphase Energy Inc		12		2		0.52	%
Arthur J Gallagher & Co		13		2		0.52	%
IPG Photonics Corp		-76		-2		-0.52	%
Moderna Inc		14		2		0.52	%
PPL Corp		-82		-2		-0.52	%
Costco Wholesale Corp		4		2		0.52	%
Renault SA		-88		-2		-0.52	%
SoftBank Group Corp		-51		-2		-0.52	%
LendLease Group		-277		-2		-0.52	%
Temenos AG		-131		-2		-0.52	%
Southwest Airlines Co		-51		-2		-0.52	%
Bill.com Holdings Inc		10		2		0.52	%

See notes to unaudited consolidated schedule of investments.

30

FS Managed Futures Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(g) 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 E-mini Future Jun22		0		0.00	%

(h) Currency selection strategy using mean reversion signals.

Top Underlying Components	Notional		Percentage of Notional
Currency
Japanese Yen		124		41.48	%
Australian Dollar		-56		-18.87	%
Swedish Krona		-53		-17.91	%
British Pound		42		14.18	%
New Zealand Dollar		-38		-12.68	%
Canadian Dollar		-27		-9.13	%
Norwegian Krone		-21		-7.01	%
Euro		11		3.57	%
Swiss Franc		-2		-0.82	%

See notes to unaudited consolidated schedule of investments.

31

FS Chiron Real Asset Fund

Unaudited Consolidated Schedule of Investments

As of March 31, 2022

(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—1.9%
Palo Alto Networks, Inc., 0.8%, 7/1/23		Internet	$	29	$	67	$	68
SGX Treasury I Pte Ltd., 0.0%, 3/1/24	(d)	Investment Companies	€	200		235		225
Singapore Airlines Ltd., 1.6%, 12/3/25		Airlines	S$	250		206		204
Total Convertible Bonds						508		497

Portfolio Company(a)	Footnotes	Industry	Number of Shares		Cost(b)		Fair Value(c)
Common Stocks—58.0%
AGCO Corp.		Machinery-Diversified		2,306	$	325	$	337
Albemarle Corp.		Chemicals		596		137		132
America Movil SAB de CV		Telecommunications		19,591		387		414
Archer-Daniels-Midland Co.		Agriculture		5,400		455		487
ASML Holding N.V.		Semiconductors		401		274		268
Assicurazioni Generali SpA		Insurance		19,231		375		442
Atlassian Corp. Plc	(e)	Software		241		68		71
Bunge Ltd.		Agriculture		1,227		137		136
Capitaland Investment Ltd.	(e)	Private Equity		138,800		392		409
Carrefour SA		Food		18,882		381		410
Cemex SAB de CV	(e)	Building Materials		50,123		268		265
CF Industries Holdings, Inc.		Chemicals		1,303		137		135
Cia de Saneamento Basico do Estado de Sao Paulo		Water		11,197		110		110
Ciena Corp.	(e)	Telecommunications		4,536		274		275
CNH Industrial N.V.		Machinery-Diversified		17,267		260		274
Cognizant Technology Solutions Corp.		Computers		3,954		348		355
Deere & Co.		Machinery-Diversified		815		319		339
Enbridge, Inc.		Pipelines		9,581		425		442
Engie SA		Electric		20,585		270		272
Equinor ASA		Oil & Gas		9,006		343		338
F5, Inc.	(e)	Internet		688		138		144
Ferrari N.V.		Auto Manufacturers		641		136		140
Freeport-McMoRan, Inc.		Mining		7,115		356		354
Glencore Plc	(e)	Mining		73,220		488		481
Gold Fields Ltd.		Mining		4,373		69		68
Grupo Televisa SAB		Media Entertainment		11,910		138		139
IHI Corp.		Aerospace/Defense		14,200		343		344
Intercontinental Exchange, Inc.		Diversified Financial Services		506		68		67
Jabil, Inc.		Electronics		2,425		140		150
Juniper Networks, Inc.		Telecommunications		7,889		267		293
Koninklijke KPN N.V.		Telecommunications		97,823		334		340
Leonardo SpA	(e)	Aerospace/Defense		13,635		140		136
Manhattan Associates, Inc.	(e)	Software		489		65		68
Mastercard, Inc.		Diversified Financial Services		395		137		141
Mitsubishi UFJ Financial Group, Inc.		Banks		51,400		337		321
Mosaic Co.		Chemicals		4,041		272		269
MSCI, Inc.		Software		138		70		69
Neste OYJ		Oil & Gas		7,514		323		345
Nexstar Media Group, Inc.		Media Entertainment		955		172		180
Nintendo Co. Ltd.		Toys/Games/Hobbies		500		261		253

See notes to unaudited consolidated schedule of investments.

32

FS Chiron Real Asset Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Portfolio Company(a)	Footnotes	Industry	Number of Shares		Cost(b)		Fair Value(c)
Nutrien Ltd.		Chemicals		657	$	69	$	68
NVIDIA Corp.		Semiconductors		976		272		266
Occidental Petroleum Corp.		Oil & Gas		4,664		274		265
Phillips 66		Oil & Gas		1		—		—
Plug Power, Inc.	(e)	Energy-Alternate Sources		2,324		68		66
POSCO		Iron/Steel		4,579		279		271
RWE AG		Electric		3,120		137		136
Saab AB		Aerospace/Defense		3,752		137		136
Schlumberger N.V.		Oil & Gas Services		8,232		350		340
Singapore Exchange Ltd.		Diversified Financial Services		59,600		423		438
Taiwan Semiconductor Manufacturing Co. Ltd.		Semiconductors		1,274		137		133
Teck Resources Ltd.		Mining		6,678		273		270
Telefonica Brasil SA		Telecommunications		24,593		241		277
Tenaris SA		Metal Fabricate/Hardware		11,515		338		346
Toronto-Dominion Bank		Commercial Banks		3,408		263		271
Union Pacific Corp.		Transportation		1,630		422		445
Vale SA		Iron/Steel		18,316		352		366
Valero Energy Corp.		Oil & Gas		4,011		391		407
Vallourec SA	(e)	Metal Fabricate/Hardware		27,494		321		355
Waste Management, Inc.		Environmental Control		426		69		7
Wilmar International Ltd.		Food		114,400		391		397
Total Common Stocks						15,146		15,473
Convertible Preferred Stocks—1.0%
Broadcom, Inc., 8%, 09/30/2022		Semiconductors		140		277		275
Total Convertible Preferred Stocks						277		275
Preferred Stocks—1.1%
Porsche Automobil Holding SE		Auto Manufacturers		2,972		271		289
Total Preferred Stocks						271		289

Portfolio Company(a)	Footnotes	Industry	Principal Amount(b)		Amortized Cost		Fair Value(c)
U.S. Treasury & Government Agencies—6.8%
Deutsche Bundesrepublik Inflation Linked Bond, 0.5%, 4/15/2030		Sovereign	€	200,210	$	286	$	274
Italy Buoni Poliennali Del Tesoro, 3.1%, 9/15/2026	(f)	Sovereign		656,062		917		896
United Kingdom Inflation-Linked Gilt, 0.125%, 8/10/2031		Sovereign	£	378,725		695		652
Total U.S. Treasury & Government Agencies						1,898		1,822

Portfolio Company(a)	Footnotes	Yield		Number of Shares		Cost		Fair Value(c)
Short-Term Investments—0.0%
State Street Institutional Liquid Reserves Fund - Premier Class	(g)		0.31%		4,012	$	4	$	4
Total Short-Term Investments							4		4
TOTAL INVESTMENTS—68.8%						$	18,104		18,360
Other Assets in Excess of Liabilities—31.2%									8,322
Net Assets—100.0%								$	26,682

See notes to unaudited consolidated schedule of investments.

33

FS Chiron Real Asset Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

Description	Number of Contracts	Position	Expiration Date	Notional Amount		Unrealized Appreciation		Unrealized Depreciation
Long Futures—0.0%
Commodity Futures Contracts—0.0%
Corn	12	Long	12/14/22		395	$	15	$	—
Copper	2	Long	7/27/22		237		—		—
Gold	3	Long	6/28/22		580		6		—
Soybean	6	Long	11/14/22		440		—		13
Silver	4	Long	5/26/22		507		—		4
Total Commodity Futures Contracts						$	21	$	17
Total Long Futures						$	21	$	17

Total Return Index Swaps^(h)—(0.3)%

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 Bloomberg Commodity Index	USD	4,054	10/10/22	Quarterly	$	—	$	(66	)	$	—	$	66
Total Total Return Index Swaps							$	—	$	(66	)	$	—	$	66

Total Return Single Name Equity Swaps^(h)— 0.2%

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	12 Month SOFR + 0.85%	Total Return on Abu Dhabi Commercial Bank P.J.S.C.	USD	203	11/3/25	Quarterly	$	—	$	(4	)	$	—	$	4
Goldman Sachs International	Federal Funds Rate + 1.15%	Total Return on Samsung Engineering Co., Ltd.	USD	269	1/22/24	N/A		—		(6	)		—		6
Goldman Sachs International	12 Month SOFR + 0.85%	Total Return on Emaar Properties P.J.S.C.	USD	335	3/20/25	Quarterly		—		41			41		—
Goldman Sachs International	12 Month SOFR + 0.75%	Total Return on Saudi Basic industries Corporation (SABIC)	USD	271	3/25/25	Quarterly		—		4			4		—
Goldman Sachs International	12 Month SOFR + 0.85%	Total Return on Emirates NBD P.J.S.C.	USD	276	3/20/25	Quarterly		—		9			9		—
Morgan Stanley & Co. International PLC	Federal Funds Rate + 1.15%	Total Return on SK hynix Inc.	USD	139	3/22/24	N/A		—		(5	)		—		5
Total Total Return Single Name Equity Swaps							$	—	$	39		$	54	$	15

(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 March 31, 2022 is determined by the board of trustees of FS Series Trust (the “Trust’’).
(d)	Issued with a zero coupon. Income is recognized through the accretion of discount.
(e)	Security is non-income producing.

See notes to unaudited consolidated schedule of investments.

34

FS Chiron Real Asset Fund

Unaudited Consolidated Schedule of Investments (continued)

As of March 31, 2022

(dollar values in thousands, except share and per share amounts)

(f)	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 $896, which represents approximately 3.4% of net assets as of March 31, 2022.
(g)	Rate represents the seven-day yield as of March 31, 2022. 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.

See notes to unaudited consolidated schedule of investments.

35

FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments
(dollar values in thousands)

Investment Portfolio

The information contained in this section should be read in conjunction with the Funds’ audited consolidated financial statements contained in their annual report for the fiscal year ended December 31, 2021.

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 March 31, 2022, the Trust consists of three 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”) and (iii) FS Chiron Real Asset Fund (“Real Asset” and, collectively with Managed Futures, 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.

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

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 March 31, 2022, FSMS had one wholly owned subsidiary, FS Alternatives Fund (Cayman), Managed Futures had one wholly owned subsidiary, FS Managed Futures Fund (Cayman), and Real Asset had one wholly owned subsidiary FS Chiron Real Asset Fund (Cayman), (collectively, the “Subsidiaries”), through which they may gain exposure to commodities. The unaudited consolidated schedules of investments include both the Funds’ accounts and the accounts of the Subsidiaries. All intercompany balances have been eliminated in consolidation.

36

FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)

The following tables summarize the composition of each Fund’s investment portfolio at cost and fair value as of March 31, 2022:

FS Multi-Strategy Alternatives Fund	Amortized Cost(1)		Fair Value		Percentage of Portfolio
Corporate Bonds	$	44,124	$	43,246		50	%
Convertible Bonds		769		766		1	%
Common Stocks		39,507		41,587		49	%
Total	$	84,400	$	85,599		100	%

FS Chiron Real Asset Fund	Amortized Cost(1)		Fair Value		Percentage of Portfolio
Convertible Bonds	$	508	$	497		3	%
Common Stocks		15,146		15,473		84	%
Convertible Preferred Stocks		277		275		1	%
Preferred Stocks		271		289		2	%
U.S. Treasury & Government Agencies		1,898		1,822		10	%
Short-Term Investments		4		4		0	%
Total	$	18,104	$	18,360		100	%

(1) Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, 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 owned 5% or more of its voting securities.

37

FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)

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 March 31, 2022:

Industry Classification	Fair Value		Percentage of Portfolio
Retail	$	10,933		12.8	%
Packaging & Containers		8,084		9.4	%
Transportation		5,446		6.4	%
Commercial Services		5,246		6.1	%
Real Estate Investment Trusts		4,972		5.8	%
Software		4,949		5.8	%
Chemicals		4,320		5.0	%
Healthcare-Services		3,427		4.0	%
Environmental Control		2,813		3.3	%
Internet		2,440		2.8	%
Healthcare-Products		2,315		2.7	%
Entertainment		2,298		2.7	%
Diversified Financial Services		2,189		2.6	%
Telecommunications		1,722		2.0	%
Aerospace/Defense		1,672		2.0	%
Machinery-Diversified		1,609		1.9	%
Electronics		1,420		1.7	%
Agriculture		1,418		1.7	%
Distribution/Wholesale		1,408		1.6	%
Home Builders		1,362		1.6	%
Media Entertainment		1,283		1.5	%
Oil & Gas		1,173		1.4	%
Real Estate		1,162		1.4	%
Beverages		1,147		1.3	%
Advertising		1,032		1.2	%
Airlines		1,029		1.2	%
Leisure Time		979		1.1	%
Insurance		941		1.1	%
Private Equity		913		1.1	%
Pharmaceuticals		810		0.9	%
Trucking & Leasing		587		0.7	%
Building Materials		565		0.7	%
Cosmetics/Personal Care		549		0.6	%
Food Service		523		0.6	%
Miscellaneous Manufacturing		520		0.6	%
Apparel		474		0.6	%
Housewares		386		0.4	%
Holding Companies-Diversified		332		0.4	%
Food		296		0.3	%
Auto Parts & Equipment		273		0.3	%
Investment Companies		264		0.3	%
Household Products/Wares		221		0.3	%
Engineering & Construction		97		0.1	%
Total	$	85,599		100.0	%

38

FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)

The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets of Real Asset in such industries as of March 31, 2022:

Industry Classification	Fair Value		Percentage of Portfolio
Sovereign	$	1,822		9.9	%
Telecommunications		1,599		8.7	%
Oil & Gas		1,355		7.4	%
Mining		1,173		6.4	%
Machinery-Diversified		950		5.2	%
Semiconductors		942		5.1	%
Food		807		4.4	%
Metal Fabricate/Hardware		701		3.8	%
Diversified Financial Services		646		3.5	%
Iron/Steel		637		3.5	%
Agriculture		623		3.4	%
Aerospace/Defense		616		3.4	%
Chemicals		604		3.3	%
Transportation		445		2.4	%
Insurance		442		2.4	%
Pipelines		442		2.4	%
Auto Manufacturers		429		2.3	%
Private Equity		409		2.2	%
Electric		408		2.2	%
Computers		355		1.9	%
Oil & Gas Services		340		1.9	%
Banks		321		1.8	%
Media Entertainment		319		1.7	%
Commercial Banks		271		1.5	%
Building Materials		265		1.5	%
Toys/Games/Hobbies		253		1.4	%
Investment Companies		225		1.2	%
Internet		212		1.2	%
Software		208		1.1	%
Airlines		204		1.1	%
Electronics		150		0.8	%
Water		110		0.6	%
Energy-Alternate Sources		66		0.4	%
Environmental Control		7		0.0	%
Short-Term Investments		4		0.0	%
Total	$	18,360		100.0	%

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 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.

39

FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)

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 March 31, 2022, 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	$	—		$	43,246		$	—	$	43,246
Convertible Bonds		—			766			—		766
Common Stocks		41,587			—			—		41,587
Forward Foreign Currency Exchange Contracts		—	��		150			—		150
Long Futures		1,663			—			—		1,663
Short Futures		206			—			—		206
Total Return Index Swaps		—			4,623			—		4,623
Total Assets	$	43,456		$	48,785		$	—	$	92,241
Liability Description
Mutual Funds Sold Short	$	(14,969	)	$	—		$	—	$	(14,969	)
Corporate Bonds Sold Short		—			(7,931	)		—		(7,931	)
Common Stocks Sold Short		(3,764	)		—			—		(3,764	)
Forward Foreign Currency Exchange Contracts		—			(296	)		—		(296	)
Long Futures		(163	)		—			—		(163	)
Short Futures		(1,620	)		—			—		(1,620	)
Total Return Index Swaps		—			(2,240	)		—		(2,240	)
Total Liabilities	$	(20,516	)	$	(10,467	)	$	—	$	(30,983	)

FS Managed Futures Fund  

Asset Description	Level 1		Level 2			Level 3		Total
Total Return Index Swaps	$	—	$	59		$	—	$	59
Liability Description
Total Return Index Swaps	$	—	$	(5	)	$	—	$	(5	)

FS Chiron Real Asset Fund  

Asset Description	Level 1			Level 2			Level 3		Total
Convertible Bonds	$	—		$	497		$	—	$	497
Common Stocks		15,220			253			—		15,473
Convertible Preferred Stocks		275			—			—		275
Preferred Stocks		289			—			—		289
U.S. Treasury & Government Agencies		—			1,822			—		1,822
Short-Term Investments		4			—			—		4
Long Futures		21			—			—		21
Total Return Index Swaps		—			54			—		54
Total Assets	$	15,809		$	2,626		$	—	$	18,435
Liability Description
Long Futures	$	(17	)	$	—		$	—	$	(17	)
Total Return Index Swaps		—			(81	)		—		(81	)
Total Liabilities	$	(17	)	$	(81	)	$	—	$	(98	)

40

FS Series Trust
Notes to Unaudited Consolidated Schedule of Investments (continued)
(dollar values in thousands)

The Funds’ investments as of March 31, 2022 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 March 31, 2022. 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.

41