Consolidated Portfolio of Investments
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities — Non-Agency 3.6% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
AIMCO CLO 11 Ltd.(a),(b) | ||||
Series 2020-11A Class A | ||||
3-month USD LIBOR + 1.380% Floor 1.380% 10/15/2031 | 1.564% | 400,000 | 400,952 | |
Allegro CLO XII Ltd.(a),(b) | ||||
Series 2020-1A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 01/21/2032 | 2.100% | 250,000 | 249,549 | |
American Express Credit Account Master Trust(b) | ||||
Series 2017-2 Class A | ||||
1-month USD LIBOR + 0.450% 09/16/2024 | 0.551% | 250,000 | 250,801 | |
AREIT Trust(a),(b) | ||||
Subordinated Series 2020-CRE4 Class B | ||||
1-month USD LIBOR + 4.150% Floor 4.150% 04/15/2037 | 4.265% | 365,000 | 371,507 | |
BlueMountain CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A1R2 | ||||
3-month USD LIBOR + 1.230% Floor 1.230% 01/20/2029 | 1.418% | 279,158 | 279,210 | |
BlueMountain CLO XXX Ltd.(a),(b) | ||||
Series 2020-30A Class A | ||||
3-month USD LIBOR + 1.390% Floor 1.390% 01/15/2033 | 1.549% | 450,000 | 450,553 | |
BlueMountain Fuji US CLO I Ltd.(a),(b) | ||||
Series 2017-1A Class BR | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 07/20/2029 | 1.688% | 375,000 | 372,562 | |
Cedar Funding XII CLO Ltd.(a),(b) | ||||
Series 2020-12A Class A | ||||
3-month USD LIBOR + 1.270% Floor 1.300% 10/25/2032 | 1.446% | 725,000 | 725,328 | |
Conseco Finance Corp.(c) | ||||
Series 2096-9 Class M1 | ||||
08/15/2027 | 7.630% | 358,656 | 380,663 | |
Conseco Finance Securitizations Corp.(b) | ||||
Series 2001-4 Class M1 | ||||
1-month USD LIBOR + 1.750% Floor 1.750%, Cap 15.000% 09/01/2033 | 1.842% | 609,387 | 609,722 | |
DB Master Finance LLC(a) | ||||
CMO Series 2017-1A Class A2I | ||||
11/20/2047 | 3.629% | 193,500 | 195,845 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2019-1A Class A2I | ||||
05/20/2049 | 3.787% | 186,675 | 189,735 | |
Series 2019-1A Class A2II | ||||
05/20/2049 | 4.021% | 98,250 | 103,883 | |
Dryden Senior Loan Fund(a),(b) | ||||
Series 2013-30A Class AR | ||||
3-month USD LIBOR + 0.820% 11/15/2028 | 0.976% | 249,555 | 249,619 | |
Eaton Vance CLO Ltd.(a),(b) | ||||
Series 2013-1A Class A13R | ||||
3-month USD LIBOR + 1.250% Floor 1.250% 01/15/2034 | 1.434% | 625,000 | 624,633 | |
ECMC Group Student Loan Trust(a),(b) | ||||
Series 2016-1A Class A | ||||
1-month USD LIBOR + 1.350% 07/26/2066 | 1.442% | 691,996 | 708,980 | |
Education Loan Asset-Backed Trust I(a),(b) | ||||
Series 2013-1 Class A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 04/26/2032 | 0.892% | 398,339 | 401,130 | |
Jack in the Box Funding LLC(a) | ||||
Series 2019-1A Class A2II | ||||
08/25/2049 | 4.476% | 124,062 | 131,182 | |
JG Wentworth XXII LLC(a) | ||||
Series 2010-3A Class A | ||||
12/15/2048 | 3.820% | 429,615 | 450,684 | |
LCM XXI LP(a),(b) | ||||
Series 20 18-21A Class AR | ||||
3-month USD LIBOR + 0.880% 04/20/2028 | 1.068% | 286,600 | 286,625 | |
MVW Owner Trust(a) | ||||
Series 2018-1A Class A | ||||
01/21/2036 | 3.450% | 51,325 | 53,301 | |
Navient Student Loan Trust(b) | ||||
Series 2014-1 Class A3 | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031 | 0.602% | 471,925 | 464,188 | |
Nelnet Student Loan Trust(a),(b) | ||||
Series 2012-1A Class A | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 12/27/2039 | 0.892% | 373,758 | 373,822 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 1 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
OCP CLO Ltd.(a),(b),(d) | ||||
Series 2021-21A Class B | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 07/20/2034 | 2.000% | 300,000 | 300,030 | |
OHA Credit Funding Ltd.(a),(b) | ||||
Series 2020-7A Class A | ||||
3-month USD LIBOR + 1.250% Floor 1.250% 10/19/2032 | 1.440% | 325,000 | 325,167 | |
Palmer Square Loan Funding Ltd.(a),(b) | ||||
Series 2020-2A Class A2 | ||||
3-month USD LIBOR + 1.550% Floor 1.550% 04/20/2028 | 1.738% | 200,000 | 200,067 | |
Park Avenue Institutional Advisers CLO Ltd.(a),(b) | ||||
Series 2021-1A Class A2 | ||||
3-month USD LIBOR + 1.750% Floor 1.750% 01/20/2034 | 1.955% | 250,000 | 249,437 | |
SLM Student Loan Trust(a),(b) | ||||
Series 2003-10A Class A3 | ||||
3-month USD LIBOR + 0.470% 12/15/2027 | 0.687% | 143,024 | 142,638 | |
SLM Student Loan Trust(b) | ||||
Series 2007-3 Class A4 | ||||
3-month USD LIBOR + 0.060% Floor 0.060% 01/25/2022 | 0.236% | 632,776 | 613,391 | |
Series 2007-6 Class A4 | ||||
3-month USD LIBOR + 0.380% Floor 0.380% 10/25/2024 | 0.556% | 34,090 | 34,074 | |
Series 2008-2 Class B | ||||
3-month USD LIBOR + 1.200% Floor 1.200% 01/25/2083 | 1.418% | 740,000 | 660,944 | |
Series 2008-4 Class A4 | ||||
3-month USD LIBOR + 1.650% Floor 1.650% 07/25/2022 | 1.826% | 353,111 | 356,371 | |
Series 2008-5 Class A4 | ||||
3-month USD LIBOR + 1.700% Floor 1.700% 07/25/2023 | 1.876% | 228,235 | 230,985 | |
Series 2008-6 Class A4 | ||||
3-month USD LIBOR + 1.100% 07/25/2023 | 1.276% | 296,298 | 296,298 | |
Series 2008-7 Class B | ||||
3-month USD LIBOR + 1.850% Floor 1.850% 07/26/2083 | 2.026% | 500,000 | 497,326 |
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series 2008-9 Class A | ||||
3-month USD LIBOR + 1.500% Floor 1.500% 04/25/2023 | 1.676% | 202,373 | 204,071 | |
Series 2011-2 Class A2 | ||||
1-month USD LIBOR + 1.200% Floor 1.200% 10/25/2034 | 1.306% | 1,040,000 | 1,056,239 | |
Series 2012-1 Class A3 | ||||
1-month USD LIBOR + 0.950% Floor 0.950% 09/25/2028 | 1.056% | 455,708 | 449,961 | |
Subordinated Series 2004-10 Class B | ||||
3-month USD LIBOR + 0.370% Floor 0.370% 01/25/2040 | 0.546% | 370,385 | 341,080 | |
Subordinated Series 2007-2 Class B | ||||
3-month USD LIBOR + 0.170% 07/25/2025 | 0.346% | 700,000 | 628,419 | |
Subordinated Series 2007-3 Class B | ||||
3-month USD LIBOR + 0.150% Floor 0.150% 01/25/2028 | 0.326% | 700,000 | 625,629 | |
Subordinated Series 2012-7 Class B | ||||
1-month USD LIBOR + 1.800% Floor 1.800% 09/25/2043 | 1.906% | 550,000 | 550,000 | |
Taco Bell Funding LLC(a) | ||||
Series 2016-1A Class A23 | ||||
05/25/2046 | 4.970% | 369,600 | 401,326 | |
TAL Advantage VII LLC(a) | ||||
Series 2020-1A Class A | ||||
09/20/2045 | 2.050% | 427,800 | 431,858 | |
TCI-Flatiron CLO Ltd.(a),(b) | ||||
Series 2016-1A Class BR2 | ||||
3-month USD LIBOR + 1.600% Floor 1.600% 01/17/2032 | 1.790% | 145,000 | 145,187 | |
Textainer Marine Containers VIII Ltd.(a) | ||||
Series 2020-2A Class A | ||||
09/20/2045 | 2.100% | 290,638 | 294,296 | |
Series 2020-3A Class A | ||||
09/20/2045 | 2.110% | 338,160 | 342,486 | |
Tif Funding II LLC(a) | ||||
Series 2020-1A Class A | ||||
08/20/2045 | 2.090% | 207,625 | 209,401 |
2 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Asset-Backed Securities — Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
VMC Finance LLC(a),(b) | ||||
Series 2021-FL4 Class B | ||||
1-month USD LIBOR + 1.800% Floor 1.800% 06/16/2036 | 1.910% | 299,000 | 299,279 | |
Total Asset-Backed Securities — Non-Agency (Cost $18,156,115) | 18,210,434 | |||
Commercial Mortgage-Backed Securities - Agency 1.1% | ||||
Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust(c),(e) | ||||
Series 2019-P002 Class X | ||||
07/25/2033 | 1.014% | 705,000 | 76,867 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c),(e) | ||||
CMO Series K057 Class X1 | ||||
07/25/2026 | 1.176% | 3,818,094 | 196,651 | |
Series 2016-KIR1 Class X | ||||
03/25/2026 | 1.056% | 4,739,336 | 204,349 | |
Series 2018-K732 Class X3 | ||||
05/25/2046 | 2.173% | 1,350,000 | 106,335 | |
Series K015 Class X3 | ||||
08/25/2039 | 2.812% | 2,000,000 | 476 | |
Series K021 Class X3 | ||||
07/25/2040 | 1.968% | 1,550,000 | 26,313 | |
Series K022 Class X3 | ||||
08/25/2040 | 1.813% | 1,550,000 | 25,925 | |
Series K025 Class X3 | ||||
11/25/2040 | 1.752% | 2,400,000 | 57,488 | |
Series K035 Class X3 | ||||
12/25/2041 | 1.788% | 3,000,000 | 103,293 | |
Series K039 Class X3 (FHLMC) | ||||
08/25/2042 | 2.113% | 1,520,000 | 104,048 | |
Series K043 Class X3 | ||||
02/25/2043 | 1.635% | 3,951,044 | 211,151 | |
Series K051 Class X3 | ||||
10/25/2043 | 1.614% | 2,100,000 | 133,709 | |
Series K060 Class X3 | ||||
12/25/2044 | 1.894% | 1,350,000 | 124,575 | |
Series K0728 Class X3 | ||||
11/25/2045 | 1.954% | 1,975,000 | 117,977 | |
Series K717 Class X3 | ||||
11/25/2042 | 1.618% | 3,500,000 | 6,448 | |
Series KC07 Class X1 | ||||
09/25/2026 | 0.726% | 3,998,171 | 105,788 | |
Series KL05 Class X1HG | ||||
12/25/2027 | 1.223% | 2,400,000 | 171,392 | |
Series KLU3 Class X1 | ||||
01/25/2031 | 2.080% | 1,600,000 | 222,928 |
Commercial Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Series KS06 Class X | ||||
08/25/2026 | 1.060% | 2,713,957 | 107,441 | |
Series KS11 Class XFX | ||||
06/25/2029 | 1.598% | 600,000 | 61,770 | |
Series Q004 Class XFL | ||||
05/25/2044 | 1.981% | 2,445,568 | 106,055 | |
Subordinated Series K078 Class X3 | ||||
10/25/2028 | 2.211% | 2,135,000 | 291,348 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(b) | ||||
Series KF51 Class A (FHLMC) | ||||
1-month USD LIBOR + 0.400% Floor 0.400% 08/25/2025 | 0.491% | 188,283 | 188,860 | |
Series KF75 Class AL | ||||
1-month USD LIBOR + 0.510% Floor 0.510% 12/25/2029 | 0.617% | 333,442 | 335,559 | |
Series KF85 Class AL | ||||
1-month USD LIBOR + 0.300% Floor 0.300% 08/25/2030 | 0.407% | 511,491 | 512,215 | |
Series KF86 Class AL (FHLMC) | ||||
1-month USD LIBOR + 0.290% Floor 0.290% 08/25/2027 | 0.397% | 520,145 | 520,966 | |
Series KF88 Class AL (FHLMC) | ||||
1-month USD LIBOR + 0.330% Floor 0.330% 09/25/2030 | 0.437% | 1,008,000 | 1,010,579 | |
Federal National Mortgage Association(c),(e) | ||||
Series 2016-M11B Class X2 | ||||
07/25/2039 | 2.923% | 972,852 | 38,746 | |
Series 2016-M4 Class X2 | ||||
01/25/2039 | 2.657% | 703,152 | 36,177 | |
Series 2019-M29 Class X4 | ||||
03/25/2029 | 0.700% | 4,300,000 | 178,668 | |
Government National Mortgage Association(c),(e) | ||||
CMO Series 2014-103 Class IO | ||||
05/16/2055 | 0.179% | 1,719,180 | 18,903 | |
Series 2011-53 Class IO | ||||
05/16/2051 | 0.000% | 1,369,840 | 36 | |
Series 2012-4 Class IO | ||||
05/16/2052 | 0.039% | 4,368,846 | 5,933 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $5,994,249) | 5,408,969 | |||
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 3 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency 1.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
225 Liberty Street Trust(a),(c),(e) | ||||
Series 2016-225L Class X | ||||
02/10/2036 | 0.875% | 5,000,000 | 186,905 | |
AMSR Trust(a) | ||||
Series 2019-SFR1 Class A | ||||
01/19/2039 | 2.774% | 355,000 | 372,832 | |
BAMLL Commercial Mortgage Securities Trust(a),(c) | ||||
Series 2018-PARK Class A | ||||
08/10/2038 | 4.091% | 95,000 | 108,562 | |
BBCMS Mortgage Trust(a),(b) | ||||
Series 2020-BID Class A | ||||
1-month USD LIBOR + 2.140% Floor 1.840% 10/15/2037 | 2.241% | 340,000 | 343,163 | |
BBCMS Trust(a) | ||||
Series 2015-SRCH Class A2 | ||||
08/10/2035 | 4.197% | 150,000 | 169,340 | |
BX Commercial Mortgage Trust(a),(b) | ||||
Series 2019-XL Class A | ||||
1-month USD LIBOR + 0.921% Floor 0.921% 10/15/2036 | 1.021% | 416,879 | 417,271 | |
BX Trust(a) | ||||
Series 2019-OC11 Class A | ||||
12/09/2041 | 3.202% | 225,000 | 240,958 | |
CALI Mortgage Trust(a) | ||||
Series 2019-101C Class A | ||||
03/10/2039 | 3.957% | 395,000 | 447,961 | |
COMM Mortgage Trust(a),(c),(e) | ||||
Series 2013-LC6 Class XB | ||||
01/10/2046 | 0.380% | 11,750,000 | 71,525 | |
Series 2020-SBX Class X | ||||
01/10/2038 | 0.585% | 11,501,000 | 287,648 | |
COMM Mortgage Trust(a),(e) | ||||
Series 2020-CBM Class XCP | ||||
02/10/2037 | 0.493% | 3,134,666 | 66,136 | |
Commercial Mortgage Pass-Through Certificates(c),(e) | ||||
Series 2012-CR3 Class XA | ||||
10/15/2045 | 1.840% | 1,656,297 | 27,046 | |
Commercial Mortgage Trust(c),(e) | ||||
Series 2012-CR4 Class XA | ||||
10/15/2045 | 1.683% | 3,330,766 | 64,211 | |
Series 2013-LC6 Class XA | ||||
01/10/2046 | 1.314% | 1,349,195 | 20,280 | |
Series 2014-UBS2 Class XA | ||||
03/10/2047 | 1.124% | 4,356,779 | 111,859 | |
Commercial Mortgage Trust(a),(c),(e) | ||||
Series 2012-LC4 Class XA | ||||
12/10/2044 | 2.094% | 2,745,519 | 11,814 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CoreVest American Finance Trust(a),(c),(e) | ||||
Series 2019-1 Class XA | ||||
03/15/2052 | 2.155% | 985,753 | 63,444 | |
Series 2019-3 Class XA | ||||
10/15/2052 | 2.038% | 277,767 | 19,300 | |
Series 2020-1 Class XA | ||||
03/15/2050 | 2.697% | 1,006,157 | 109,906 | |
Series 2020-3 Class XA | ||||
08/15/2053 | 3.621% | 1,001,490 | 146,469 | |
Series 2020-3 Class XB | ||||
08/15/2053 | 2.565% | 850,000 | 140,997 | |
CoreVest American Finance Trust(a) | ||||
Series 2020-1 Class A2 | ||||
03/15/2050 | 2.296% | 265,000 | 269,042 | |
Credit Suisse First Boston Mortgage Securities Corp.(c),(e) | ||||
Series 98-C1 Class AX | ||||
05/17/2040 | 2.260% | 126,209 | 605 | |
CSAIL Commercial Mortgage Trust(c),(e) | ||||
Series 2015-C3 Class XA | ||||
08/15/2048 | 0.715% | 9,389,890 | 230,038 | |
DROP Mortgage Trust(a),(b) | ||||
Series 2021-FILE Class B | ||||
1-month USD LIBOR + 1.700% Floor 1.700% 04/15/2026 | 1.810% | 400,000 | 401,125 | |
Eleven Madison Trust Mortgage Trust(a),(c) | ||||
Series 2015-11MD Class A | ||||
09/10/2035 | 3.555% | 300,000 | 326,765 | |
FirstKey Homes Trust(a) | ||||
Series 2020-SFR2 Class A | ||||
10/19/2037 | 1.266% | 99,779 | 99,853 | |
GS Mortgage Securities Corp. II(a) | ||||
Series 2012-ALOH Class A | ||||
04/10/2034 | 3.551% | 285,000 | 288,956 | |
GS Mortgage Securities Trust(a),(c),(e) | ||||
Series 2012-GC6 Class XB | ||||
01/10/2045 | 0.201% | 10,641,592 | 15,001 | |
Series 2020-UPTN Class XA | ||||
02/10/2037 | 0.352% | 1,750,000 | 22,106 | |
Home Partners of America Trust(a) | ||||
Series 2019-1 Class B | ||||
09/17/2039 | 3.157% | 91,566 | 92,512 | |
Home Partners of America Trust(a),(b) | ||||
Subordinated Series 2018-1 Class D | ||||
1-month USD LIBOR + 1.450% Floor 1.450% 07/17/2037 | 1.551% | 120,000 | 120,059 |
4 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hudson Yards Mortgage Trust(a),(c) | ||||
Series 2019-55HY Class F | ||||
12/10/2041 | 2.943% | 85,000 | 81,027 | |
InTown Hotel Portfolio Trust(a),(b) | ||||
Subordinated Series 2018-STAY Class B | ||||
1-month USD LIBOR + 1.050% Floor 1.050% 01/15/2033 | 1.401% | 400,000 | 401,253 | |
JPMBB Commercial Mortgage Securities Trust(c),(e) | ||||
Series 2014-C21 Class XA | ||||
08/15/2047 | 0.993% | 953,280 | 25,716 | |
Series 2014-C23 Class XA | ||||
09/15/2047 | 0.617% | 2,676,448 | 47,562 | |
Series 2014-C26 Class XA | ||||
01/15/2048 | 0.961% | 2,829,306 | 79,930 | |
JPMorgan Chase Commercial Mortgage Securities Trust(c),(e) | ||||
Series 2012-LC9 Class XA | ||||
12/15/2047 | 1.486% | 2,743,617 | 47,811 | |
JPMorgan Chase Commercial Mortgage Securities Trust(a) | ||||
Series 2019-OSB Class A | ||||
06/05/2039 | 3.397% | 375,000 | 411,273 | |
MKT Mortgage Trust(a) | ||||
Series 2020-525M Class A | ||||
02/12/2040 | 2.694% | 185,000 | 192,456 | |
Morgan Stanley Bank of America Merrill Lynch Trust(c),(e) | ||||
Series 2016-C31 Class XA | ||||
11/15/2049 | 1.329% | 2,414,450 | 127,541 | |
Morgan Stanley Capital I Trust(a),(c),(e) | ||||
Series 2012-C4 Class XA | ||||
03/15/2045 | 2.055% | 3,126,138 | 15,350 | |
Morgan Stanley Capital I Trust(a) | ||||
Series 2018-MP Class A | ||||
07/11/2040 | 4.418% | 315,000 | 354,102 | |
MSDB Trust(a),(c) | ||||
Series 2017-712F Class A | ||||
07/11/2039 | 3.316% | 285,000 | 298,824 | |
Natixis Commercial Mortgage Securities Trust(a),(c),(e) | ||||
Series 2020-2PAC Class XA | ||||
01/15/2025 | 1.246% | 2,665,000 | 110,209 | |
Series 2020-2PAC Class XB | ||||
04/15/2025 | 0.808% | 2,665,000 | 79,161 | |
Natixis Commercial Mortgage Securities Trust(a),(c) | ||||
Subordinated Series 2018-ALXA Class E | ||||
01/15/2043 | 4.316% | 60,000 | 60,100 | |
One Market Plaza Trust(a) | ||||
Series 2017-1MKT Class A | ||||
02/10/2032 | 3.614% | 300,000 | 307,475 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SFAVE Commercial Mortgage Securities Trust(a),(c) | ||||
Series 2015-5AVE Class A2A | ||||
01/05/2043 | 3.659% | 425,000 | 459,880 | |
Series 2015-5AVE Class A2B | ||||
01/05/2043 | 4.144% | 35,000 | 37,554 | |
Subordinated Series 2015-5AVE Class C | ||||
01/05/2043 | 4.388% | 345,000 | 307,626 | |
UBS Commercial Mortgage Trust(a),(c),(e) | ||||
Series 2012-C1 Class XA | ||||
05/10/2045 | 2.052% | 2,120,034 | 15,910 | |
WF-RBS Commercial Mortgage Trust(a),(c),(e) | ||||
Series 2012-C8 Class XA | ||||
08/15/2045 | 1.780% | 1,535,152 | 17,515 | |
Series 2012-C9 Class XA | ||||
11/15/2045 | 1.867% | 1,524,559 | 27,533 | |
WF-RBS Commercial Mortgage Trust(c),(e) | ||||
Series 2014-C24 Class XA | ||||
11/15/2047 | 0.853% | 2,446,492 | 61,827 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $8,887,171) | 8,861,324 |
Common Stocks 24.8% | ||
Issuer | Shares | Value ($) |
Communication Services 0.4% | ||
Diversified Telecommunication Services 0.4% | ||
ORBCOMM, Inc.(f),(g),(h) | 169,908 | 1,901,271 |
Total Communication Services | 1,901,271 | |
Consumer Discretionary 1.8% | ||
Auto Components 0.1% | ||
Goodyear Tire & Rubber Co. (The)(f) | 15,557 | 308,495 |
Automobiles 0.0% | ||
General Motors Co.(f) | 4,569 | 270,988 |
Distributors 0.2% | ||
Core-Mark Holding Co., Inc. | 27,099 | 1,242,760 |
Hotels, Restaurants & Leisure 0.9% | ||
Extended Stay America, Inc. | 223,672 | 4,408,575 |
Internet & Direct Marketing Retail 0.1% | ||
GrubHub, Inc.(f) | 10,921 | 656,461 |
Specialty Retail 0.5% | ||
At Home Group, Inc.(f) | 67,679 | 2,540,670 |
Total Consumer Discretionary | 9,427,949 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 5 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy 0.3% | ||
Oil, Gas & Consumable Fuels 0.3% | ||
Cimarex Energy Co. | 25,214 | 1,708,248 |
Total Energy | 1,708,248 | |
Financials 1.7% | ||
Banks 0.5% | ||
CIT Group, Inc. | 3,950 | 209,271 |
Credit Agricole SA, ADR | 30,620 | 228,119 |
Sbanken ASA | 112,796 | 1,386,401 |
Societe Generale SA, ADR | 34,055 | 218,974 |
Synovus Financial Corp. | 4,390 | 215,637 |
U.S. Bancorp | 4,848 | 294,661 |
Total | 2,553,063 | |
Diversified Financial Services 0.2% | ||
Cerved Group SpA(f) | 79,175 | 941,303 |
Insurance 1.0% | ||
Willis Towers Watson PLC | 19,324 | 5,050,521 |
Total Financials | 8,544,887 | |
Health Care 4.4% | ||
Biotechnology 1.4% | ||
Alexion Pharmaceuticals, Inc.(f) | 40,821 | 7,206,948 |
Health Care Equipment & Supplies 0.3% | ||
Soliton, Inc.(f) | 58,520 | 1,303,826 |
Health Care Providers & Services 0.2% | ||
Magellan Health, Inc.(f),(g),(h) | 10,275 | 967,802 |
Health Care Technology 1.0% | ||
Change Healthcare, Inc.(f),(g),(h) | 229,392 | 5,376,948 |
Life Sciences Tools & Services 1.5% | ||
Luminex Corp.(g),(h) | 55,639 | 2,052,523 |
PPD, Inc.(f) | 88,430 | 4,078,391 |
Pra Health Sciences, Inc.(f) | 8,200 | 1,401,544 |
Total | 7,532,458 | |
Total Health Care | 22,387,982 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Industrials 4.6% | ||
Aerospace & Defense 0.6% | ||
Aerojet Rocketdyne Holdings, Inc. | 51,840 | 2,511,648 |
Boeing Co. (The)(f) | 1,948 | 481,195 |
Total | 2,992,843 | |
Airlines 0.1% | ||
Delta Air Lines, Inc.(f) | 5,568 | 265,482 |
Building Products 0.2% | ||
Tarkett SA(f) | 45,337 | 1,115,724 |
Commercial Services & Supplies 0.1% | ||
Knoll, Inc.(g),(h) | 17,701 | 460,226 |
Construction & Engineering 0.3% | ||
Aegion Corp.(f),(i),(j) | 43,761 | 1,312,830 |
Electrical Equipment 0.1% | ||
Akasol AG(f) | 3,577 | 522,564 |
Machinery 0.7% | ||
Welbilt, Inc.(f) | 152,819 | 3,776,157 |
Professional Services 1.3% | ||
IHS Markit Ltd.(g),(h) | 63,205 | 6,656,119 |
Road & Rail 0.9% | ||
Kansas City Southern(g),(h) | 16,235 | 4,832,835 |
Trading Companies & Distributors 0.2% | ||
Foundation Building Materials, Inc.(f),(i),(j) | 48,659 | 979,992 |
Transportation Infrastructure 0.1% | ||
Signature Aviation PLC(f) | 99,873 | 561,270 |
Total Industrials | 23,476,042 | |
Information Technology 7.8% | ||
Electronic Equipment, Instruments & Components 1.6% | ||
Coherent, Inc.(f) | 26,452 | 6,946,559 |
Photon Control, Inc.(f) | 435,150 | 1,293,149 |
Total | 8,239,708 |
6 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment 2.3% | ||
Dialog Semiconductor PLC(f) | 20,608 | 1,633,903 |
MagnaChip Semiconductor Corp.(f) | 15,088 | 357,586 |
Maxim Integrated Products, Inc.(g),(h) | 40,782 | 4,160,172 |
Xilinx, Inc.(g),(h) | 42,258 | 5,366,766 |
Total | 11,518,427 | |
Software 3.9% | ||
MINDBODY, Inc., Class A(f),(i),(j) | 47,120 | 1,719,880 |
Nuance Communications, Inc.(f),(g),(h) | 99,589 | 5,268,258 |
Pluralsight, Inc., Class A(f),(i),(j) | 84,676 | 1,905,210 |
Proofpoint, Inc.(f),(g),(h) | 18,982 | 3,280,280 |
Slack Technologies, Inc.(f),(g),(h) | 142,873 | 6,292,127 |
Talend SA, ADR(f),(g),(h) | 25,192 | 1,636,724 |
Total | 20,102,479 | |
Total Information Technology | 39,860,614 | |
Materials 2.2% | ||
Chemicals 1.6% | ||
Ferro Corp.(f) | 94,914 | 2,050,143 |
Recticel SA | 39,586 | 758,958 |
Tikkurila OYJ | 29,584 | 1,222,983 |
WR Grace & Co.(g),(h) | 59,810 | 4,098,181 |
Total | 8,130,265 | |
Construction Materials 0.3% | ||
Forterra, Inc.(f) | 55,377 | 1,294,714 |
Paper & Forest Products 0.3% | ||
Domtar Corp.(f) | 29,897 | 1,621,314 |
Total Materials | 11,046,293 | |
Real Estate 1.3% | ||
Equity Real Estate Investment Trusts (REITS) 1.1% | ||
Americold Realty Trust | 7,777 | 295,681 |
Globalworth Real Estate Investments Ltd. | 74,582 | 653,014 |
Monmouth Real Estate Investment Corp. | 100,030 | 1,884,565 |
Safehold, Inc. | 3,674 | 257,547 |
VEREIT, Inc. | 53,194 | 2,530,439 |
Total | 5,621,246 | |
Real Estate Management & Development 0.2% | ||
CA Immobilien Anlagen AG | 18,260 | 792,221 |
Total Real Estate | 6,413,467 |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Utilities 0.3% | ||
Multi-Utilities 0.3% | ||
Suez(f) | 63,917 | 1,556,810 |
Total Utilities | 1,556,810 | |
Total Common Stocks (Cost $121,904,763) | 126,323,563 |
Convertible Bonds(k) 1.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.2% | ||||
Air Canada(a) | ||||
07/01/2025 | 4.000% | 110,000 | 182,463 | |
American Airlines Group, Inc. | ||||
07/01/2025 | 6.500% | 290,000 | 501,700 | |
Southwest Airlines Co. | ||||
05/01/2025 | 1.250% | 205,000 | 349,012 | |
Total | 1,033,175 | |||
Banking 0.3% | ||||
Banco Santander SA(l) | ||||
12/31/2049 | 4.750% | 200,000 | 201,298 | |
Credit Suisse Group AG(a),(l) | ||||
12/31/2049 | 4.500% | 200,000 | 195,085 | |
Intesa Sanpaolo SpA(a),(l) | ||||
12/31/2049 | 7.700% | 200,000 | 227,881 | |
Lloyds Banking Group PLC(l) | ||||
12/31/2049 | 7.500% | 200,000 | 231,565 | |
Natwest Group PLC(l) | ||||
12/31/2049 | 6.000% | 200,000 | 221,949 | |
Societe Generale SA(a),(l) | ||||
12/31/2049 | 6.750% | 205,000 | 228,493 | |
UBS Group AG(a),(d),(l) | ||||
12/31/2049 | 3.875% | 200,000 | 199,924 | |
UBS Group AG(a),(l) | ||||
12/31/2049 | 4.375% | 200,000 | 199,481 | |
Total | 1,705,676 | |||
Cable and Satellite 0.1% | ||||
DISH Network Corp. | ||||
Subordinated | ||||
08/15/2026 | 3.375% | 80,000 | 82,560 | |
Liberty Broadband Corp.(a) | ||||
09/30/2050 | 1.250% | 270,000 | 270,675 | |
09/30/2050 | 2.750% | 180,000 | 188,977 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 7 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Convertible Bonds(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Liberty Media Corp.(a) | ||||
12/01/2050 | 0.500% | 105,000 | 123,532 | |
Total | 665,744 | |||
Consumer Cyclical Services 0.1% | ||||
Uber Technologies, Inc.(a),(m) | ||||
12/15/2025 | 0.000% | 430,000 | 437,525 | |
Integrated Energy 0.1% | ||||
BP Capital Markets PLC(a) | ||||
04/28/2023 | 1.000% | GBP | 200,000 | 295,626 |
Pharmaceuticals 0.3% | ||||
Dermira, Inc. | ||||
05/15/2022 | 3.000% | 1,326,000 | 1,339,260 | |
Retailers 0.1% | ||||
Burlington Stores, Inc. | ||||
04/15/2025 | 2.250% | 350,000 | 558,250 | |
Technology 0.1% | ||||
Sabre GLBL, Inc. | ||||
04/15/2025 | 4.000% | 85,000 | 167,875 | |
Sony Corp.(m) | ||||
09/30/2022 | 0.000% | JPY | 7,000,000 | 140,529 |
Total | 308,404 | |||
Wireless 0.0% | ||||
Cellnex Telecom SA(a) | ||||
11/20/2031 | 0.750% | EUR | 100,000 | 117,361 |
Total Convertible Bonds (Cost $5,930,113) | 6,461,021 |
Convertible Preferred Stocks 0.8% | |||
Issuer | Shares | Value ($) | |
Communication Services 0.0% | |||
Diversified Telecommunication Services 0.0% | |||
2020 Cash Mandatory Exchangeable Trust(a) | 5.250% | 95 | 117,133 |
Total Communication Services | 117,133 | ||
Health Care 0.1% | |||
Health Care Equipment & Supplies 0.1% | |||
Becton Dickinson and Co. | 6.000% | 2,200 | 119,944 |
Danaher Corp. | 4.750% | 105 | 181,852 |
Total | 301,796 | ||
Total Health Care | 301,796 |
Convertible Preferred Stocks (continued) | |||
Issuer | Shares | Value ($) | |
Industrials 0.1% | |||
Machinery 0.1% | |||
Fortive Corp. | 5.000% | 255 | 256,227 |
Stanley Black & Decker, Inc. | 5.250% | 2,300 | 290,789 |
Total | 547,016 | ||
Total Industrials | 547,016 | ||
Information Technology 0.1% | |||
IT Services 0.0% | |||
Sabre Corp. | 6.500% | 500 | 87,550 |
Semiconductors & Semiconductor Equipment 0.1% | |||
Broadcom, Inc. | 8.000% | 285 | 433,451 |
Total Information Technology | 521,001 | ||
Utilities 0.5% | |||
Electric Utilities 0.4% | |||
American Electric Power Co., Inc. | 6.125% | 7,700 | 387,618 |
NextEra Energy, Inc. | 4.872% | 7,050 | 392,262 |
NextEra Energy, Inc. | 5.279% | 11,800 | 566,400 |
NextEra Energy, Inc. | 6.219% | 3,800 | 183,844 |
Southern Co. (The) | 6.750% | 8,350 | 432,613 |
Total | 1,962,737 | ||
Multi-Utilities 0.1% | |||
Dominion Energy, Inc. | 7.250% | 4,400 | 436,964 |
DTE Energy Co. | 6.250% | 8,100 | 413,505 |
Total | 850,469 | ||
Total Utilities | 2,813,206 | ||
Total Convertible Preferred Stocks (Cost $4,106,971) | 4,300,152 |
Corporate Bonds & Notes(k) 19.3% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Aerospace & Defense 0.3% | ||||
Airbus SE(a) | ||||
06/09/2030 | 1.625% | EUR | 100,000 | 131,478 |
Boeing Co. (The) | ||||
02/04/2024 | 1.433% | 300,000 | 300,958 | |
05/01/2027 | 5.040% | 200,000 | 230,641 | |
05/01/2030 | 5.150% | 550,000 | 645,746 | |
Spirit AeroSystems, Inc.(a) | ||||
04/15/2025 | 7.500% | 35,000 | 37,364 | |
Total | 1,346,187 |
8 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.7% | ||||
American Airlines Group, Inc.(a) | ||||
06/01/2022 | 5.000% | 180,000 | 179,756 | |
American Airlines Pass-Through Trust | ||||
Series 2016-2 Class AA | ||||
06/15/2028 | 3.200% | 202,375 | 203,437 | |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a) | ||||
04/20/2026 | 5.500% | 215,000 | 227,101 | |
04/20/2029 | 5.750% | 175,000 | 187,242 | |
Continental Airlines Pass-Through Trust | ||||
04/19/2022 | 5.983% | 61,010 | 62,541 | |
Delta Air Lines Pass-Through Trust | ||||
06/10/2028 | 2.500% | 114,578 | 115,941 | |
Delta Air Lines, Inc. | ||||
10/28/2024 | 2.900% | 105,000 | 106,008 | |
01/15/2026 | 7.375% | 35,000 | 41,158 | |
Delta Air Lines, Inc.(a) | ||||
05/01/2025 | 7.000% | 205,000 | 238,497 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.(a) | ||||
10/20/2025 | 4.500% | 165,000 | 178,039 | |
10/20/2028 | 4.750% | 699,000 | 763,575 | |
JetBlue Pass-Through Trust | ||||
Series 2020-1 Class A | ||||
11/15/2032 | 4.000% | 386,913 | 422,049 | |
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a) | ||||
06/20/2027 | 6.500% | 185,000 | 203,082 | |
U.S. Airways Pass-Through Trust | ||||
04/22/2023 | 6.250% | 177,204 | 180,007 | |
United Airlines, Inc. Pass-Through Trust | ||||
10/15/2027 | 5.875% | 337,836 | 373,382 | |
Total | 3,481,815 | |||
Apartment REIT 0.1% | ||||
Mid-America Apartments LP | ||||
10/15/2023 | 4.300% | 325,000 | 349,959 | |
Automotive 0.6% | ||||
BMW Finance NV(a) | ||||
11/14/2024 | 1.000% | EUR | 75,000 | 95,056 |
Daimler Finance North America LLC(a),(b) | ||||
3-month USD LIBOR + 0.900% 02/15/2022 | 1.056% | 385,000 | 387,116 | |
Ford Motor Co. | ||||
04/21/2023 | 8.500% | 175,000 | 195,401 | |
07/16/2031 | 7.450% | 35,000 | 44,408 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Ford Motor Credit Co. LLC(b) | ||||
3-month USD LIBOR + 0.880% 10/12/2021 | 1.068% | 200,000 | 199,732 | |
3-month USD LIBOR + 1.270% 03/28/2022 | 1.463% | 400,000 | 399,917 | |
3-month USD LIBOR + 1.080% 08/03/2022 | 1.256% | 255,000 | 253,745 | |
Ford Motor Credit Co. LLC | ||||
10/12/2021 | 3.813% | 75,000 | 75,699 | |
03/28/2022 | 3.339% | 200,000 | 202,766 | |
11/01/2022 | 3.350% | 200,000 | 204,844 | |
11/17/2023 | 3.370% | 200,000 | 206,500 | |
06/14/2024 | 2.748% | GBP | 100,000 | 142,846 |
08/01/2026 | 4.542% | 200,000 | 215,244 | |
General Motors Financial Co., Inc. | ||||
07/06/2021 | 3.200% | 75,000 | 75,100 | |
09/25/2021 | 4.375% | 45,000 | 45,560 | |
11/06/2021 | 4.200% | 55,000 | 55,905 | |
04/10/2022 | 3.450% | 25,000 | 25,526 | |
06/30/2022 | 3.150% | 80,000 | 82,089 | |
Total | 2,907,454 | |||
Banking 1.7% | ||||
Banco Actinver SA/Grupo GICSA SAB de CV(a) | ||||
12/18/2032 | 9.500% | MXN | 3,000,000 | 112,627 |
Bank of America Corp.(l) | ||||
12/20/2023 | 3.004% | 659,000 | 685,838 | |
10/01/2025 | 3.093% | 345,000 | 369,975 | |
04/29/2031 | 2.592% | 50,000 | 50,902 | |
BNP Paribas SA(a),(l) | ||||
12/31/2049 | 4.625% | 218,000 | 222,293 | |
Citigroup, Inc.(a),(b) | ||||
3-month EURIBOR + 0.500% 03/21/2023 | 0.000% | EUR | 190,000 | 233,232 |
Comerica, Inc.(l) | ||||
12/31/2049 | 5.625% | 95,000 | 105,909 | |
Credit Suisse Group AG(a),(l) | ||||
06/05/2026 | 2.193% | 300,000 | 307,839 | |
02/02/2027 | 1.305% | 75,000 | 73,571 | |
Credit Suisse Group Funding Guernsey Ltd. | ||||
03/26/2025 | 3.750% | 135,000 | 146,792 | |
04/17/2026 | 4.550% | 35,000 | 39,669 | |
First Horizon Bank | ||||
Subordinated | ||||
05/01/2030 | 5.750% | 255,000 | 312,338 | |
Goldman Sachs Group, Inc. (The)(a) | ||||
05/15/2024 | 1.375% | EUR | 186,000 | 233,067 |
03/27/2025 | 3.375% | EUR | 38,000 | 51,983 |
11/01/2028 | 2.000% | EUR | 47,000 | 63,044 |
Goldman Sachs Group, Inc. (The)(l) | ||||
03/09/2027 | 1.431% | 225,000 | 225,242 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 9 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HSBC Holdings PLC(l) | ||||
05/24/2025 | 0.976% | 225,000 | 226,052 | |
05/24/2027 | 1.589% | 150,000 | 150,761 | |
09/22/2028 | 2.013% | 365,000 | 365,546 | |
Intesa Sanpaolo SpA(a),(d) | ||||
Subordinated | ||||
06/01/2032 | 4.198% | 200,000 | 202,745 | |
JPMorgan Chase & Co.(l) | ||||
03/13/2026 | 2.005% | 125,000 | 129,641 | |
01/29/2027 | 3.960% | 325,000 | 363,644 | |
04/22/2027 | 1.578% | 225,000 | 227,052 | |
Lloyds Banking Group PLC(l) | ||||
07/09/2025 | 3.870% | 400,000 | 435,827 | |
Morgan Stanley(l) | ||||
05/04/2027 | 1.593% | 225,000 | 227,052 | |
Nationwide Building Society(a),(l) | ||||
03/08/2024 | 3.766% | 170,000 | 179,236 | |
08/01/2024 | 4.363% | 100,000 | 107,713 | |
Pacific Western Bank(l) | ||||
Subordinated | ||||
05/01/2031 | 3.250% | 100,000 | 100,764 | |
Popular, Inc. | ||||
09/14/2023 | 6.125% | 320,000 | 343,321 | |
Santander UK Group Holdings PLC | ||||
01/10/2023 | 3.571% | 200,000 | 203,725 | |
Santander UK Group Holdings PLC(l) | ||||
11/15/2024 | 4.796% | 90,000 | 98,957 | |
03/15/2025 | 1.089% | 300,000 | 301,935 | |
Santander UK PLC(a) | ||||
Subordinated | ||||
11/07/2023 | 5.000% | 115,000 | 126,070 | |
Shinhan Financial Group Co., Ltd.(a),(l) | ||||
12/31/2049 | 2.875% | 200,000 | 199,048 | |
U.S. Bancorp | ||||
06/07/2024 | 0.850% | EUR | 500,000 | 626,569 |
Subordinated | ||||
07/30/2029 | 3.000% | 85,000 | 90,908 | |
Wells Fargo & Co.(b) | ||||
3-month AUD BBSW + 1.320% 07/27/2021 | 1.362% | AUD | 300,000 | 231,689 |
Wells Fargo & Co. | ||||
04/27/2022 | 3.250% | AUD | 300,000 | 237,290 |
Wells Fargo & Co.(l) | ||||
02/11/2026 | 2.164% | 290,000 | 302,519 | |
06/02/2028 | 2.393% | 160,000 | 166,365 | |
Total | 8,878,750 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Building Materials 0.1% | ||||
Builders FirstSource, Inc.(a) | ||||
06/01/2027 | 6.750% | 39,000 | 41,730 | |
Cemex SAB de CV(a) | ||||
07/11/2031 | 3.875% | 200,000 | 200,529 | |
Standard Industries, Inc.(a) | ||||
02/15/2027 | 5.000% | 20,000 | 20,708 | |
01/15/2031 | 3.375% | 60,000 | 56,919 | |
Total | 319,886 | |||
Cable and Satellite 1.1% | ||||
Cable One, Inc.(a) | ||||
11/15/2030 | 4.000% | 325,000 | 322,077 | |
CCO Holdings LLC/Capital Corp.(a) | ||||
05/01/2027 | 5.125% | 300,000 | 314,340 | |
06/01/2029 | 5.375% | 123,000 | 133,570 | |
03/01/2030 | 4.750% | 210,000 | 217,927 | |
08/15/2030 | 4.500% | 491,000 | 500,240 | |
02/01/2031 | 4.250% | 35,000 | 34,931 | |
06/01/2033 | 4.500% | 115,000 | 114,839 | |
CCO Holdings LLC/Capital Corp. | ||||
05/01/2032 | 4.500% | 53,000 | 53,459 | |
Charter Communications Operating LLC/Capital | ||||
04/01/2031 | 2.800% | 50,000 | 49,883 | |
02/01/2032 | 2.300% | 20,000 | 18,814 | |
05/01/2047 | 5.375% | 65,000 | 75,787 | |
04/01/2048 | 5.750% | 170,000 | 207,643 | |
07/01/2049 | 5.125% | 355,000 | 405,862 | |
CSC Holdings LLC(a) | ||||
02/01/2028 | 5.375% | 275,000 | 289,110 | |
DISH DBS Corp. | ||||
07/15/2022 | 5.875% | 250,000 | 260,017 | |
Intelsat Jackson Holdings SA(a),(n) | ||||
10/15/2024 | 0.000% | 362,000 | 215,601 | |
07/15/2025 | 0.000% | 248,000 | 147,267 | |
LCPR Senior Secured Financing DAC(a) | ||||
10/15/2027 | 6.750% | 285,000 | 305,889 | |
07/15/2029 | 5.125% | 200,000 | 205,443 | |
Radiate Holdco LLC/Finance, Inc.(a) | ||||
09/15/2026 | 4.500% | 255,000 | 258,572 | |
09/15/2028 | 6.500% | 103,000 | 106,024 | |
SES GLOBAL Americas Holdings GP(a) | ||||
03/25/2044 | 5.300% | 375,000 | 431,107 | |
Sirius XM Radio, Inc.(a) | ||||
07/01/2030 | 4.125% | 20,000 | 20,048 | |
Time Warner Cable LLC | ||||
09/01/2041 | 5.500% | 125,000 | 150,439 | |
Virgin Media Finance PLC(a) | ||||
07/15/2030 | 5.000% | 200,000 | 199,302 |
10 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Virgin Media Secured Finance PLC(a) | ||||
05/15/2029 | 5.500% | 440,000 | 472,154 | |
Total | 5,510,345 | |||
Chemicals 0.1% | ||||
Braskem Netherlands Finance BV(a) | ||||
01/10/2028 | 4.500% | 200,000 | 210,745 | |
CF Industries, Inc. | ||||
03/15/2044 | 5.375% | 25,000 | 29,207 | |
SCIH Salt Holdings, Inc.(a) | ||||
05/01/2028 | 4.875% | 210,000 | 209,104 | |
Total | 449,056 | |||
Construction Machinery 0.1% | ||||
United Rentals North America, Inc. | ||||
01/15/2028 | 4.875% | 200,000 | 211,109 | |
07/15/2030 | 4.000% | 140,000 | 142,704 | |
02/15/2031 | 3.875% | 235,000 | 236,271 | |
Total | 590,084 | |||
Consumer Cyclical Services 0.3% | ||||
ANGI Group LLC(a) | ||||
08/15/2028 | 3.875% | 135,000 | 132,502 | |
Atento Luxco 1 SA(a) | ||||
02/10/2026 | 8.000% | 95,000 | 103,547 | |
IHS Markit Ltd.(a) | ||||
11/01/2022 | 5.000% | 165,000 | 173,307 | |
IHS Markit Ltd. | ||||
08/01/2028 | 4.750% | 245,000 | 285,659 | |
Match Group, Inc.(a) | ||||
08/01/2030 | 4.125% | 150,000 | 149,155 | |
MercadoLibre, Inc. | ||||
01/14/2026 | 2.375% | 200,000 | 199,801 | |
Prime Security Services Borrower LLC/Finance, Inc.(a) | ||||
08/31/2027 | 3.375% | 20,000 | 19,211 | |
TripAdvisor, Inc.(a) | ||||
07/15/2025 | 7.000% | 160,000 | 172,384 | |
Uber Technologies, Inc.(a) | ||||
05/15/2025 | 7.500% | 35,000 | 37,741 | |
11/01/2026 | 8.000% | 230,000 | 248,623 | |
WASH Multifamily Acquisition, Inc.(a) | ||||
04/15/2026 | 5.750% | 100,000 | 104,167 | |
Total | 1,626,097 | |||
Consumer Products 0.1% | ||||
Natura Cosmeticos SA(a) | ||||
05/03/2028 | 4.125% | 200,000 | 205,477 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Newell, Inc. | ||||
04/01/2026 | 4.200% | 35,000 | 39,336 | |
Oriflame Investment Holding PLC(a) | ||||
05/04/2026 | 5.125% | 200,000 | 202,178 | |
Spectrum Brands, Inc.(a) | ||||
03/15/2031 | 3.875% | 225,000 | 219,329 | |
Total | 666,320 | |||
Diversified Manufacturing 0.0% | ||||
General Electric Co. | ||||
03/15/2032 | 6.750% | 50,000 | 67,977 | |
Johnson Controls International PLC/Tyco Fire & Security Finance SCA | ||||
09/15/2027 | 0.375% | EUR | 100,000 | 121,814 |
Total | 189,791 | |||
Electric 0.7% | ||||
AES Corp. (The)(a) | ||||
07/15/2030 | 3.950% | 35,000 | 37,759 | |
DPL, Inc. | ||||
07/01/2025 | 4.125% | 270,000 | 288,683 | |
Duke Energy Progress LLC | ||||
12/01/2044 | 4.150% | 300,000 | 348,875 | |
E.ON SE(a) | ||||
09/29/2027 | 0.375% | EUR | 65,000 | 80,124 |
FirstEnergy Corp. | ||||
07/15/2027 | 3.900% | 190,000 | 206,812 | |
11/15/2031 | 7.375% | 340,000 | 452,787 | |
FirstEnergy Transmission LLC(a) | ||||
09/15/2028 | 2.866% | 229,000 | 234,148 | |
ITC Holdings Corp. | ||||
11/15/2027 | 3.350% | 150,000 | 164,049 | |
Jersey Central Power & Light Co.(a) | ||||
04/01/2024 | 4.700% | 330,000 | 359,704 | |
NSTAR Electric Co. | ||||
05/15/2027 | 3.200% | 520,000 | 569,705 | |
PG&E Corp. | ||||
07/01/2030 | 5.250% | 155,000 | 157,048 | |
Southern Co. (The) | ||||
07/01/2026 | 3.250% | 184,000 | 200,072 | |
Tucson Electric Power Co. | ||||
11/15/2021 | 5.150% | 450,000 | 454,220 | |
Total | 3,553,986 | |||
Environmental 0.0% | ||||
Waste Pro USA, Inc.(a) | ||||
02/15/2026 | 5.500% | 225,000 | 229,033 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 11 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Finance Companies 0.4% | ||||
AerCap Ireland Capital DAC/Global Aviation Trust | ||||
12/16/2021 | 4.450% | 250,000 | 254,477 | |
07/21/2027 | 3.650% | 30,000 | 31,876 | |
01/23/2028 | 3.875% | 75,000 | 79,401 | |
Air Lease Corp. | ||||
03/01/2025 | 3.250% | 160,000 | 169,871 | |
Avolon Holdings Funding Ltd.(a) | ||||
05/15/2024 | 5.250% | 20,000 | 21,955 | |
07/01/2024 | 3.950% | 45,000 | 47,893 | |
02/15/2025 | 2.875% | 195,000 | 200,724 | |
FirstCash, Inc.(a) | ||||
09/01/2028 | 4.625% | 70,000 | 72,396 | |
GE Capital International Funding Co. Unlimited Co. | ||||
11/15/2035 | 4.418% | 920,000 | 1,074,791 | |
Park Aerospace Holdings Ltd.(a) | ||||
03/15/2023 | 4.500% | 45,000 | 47,297 | |
02/15/2024 | 5.500% | 225,000 | 247,496 | |
Total | 2,248,177 | |||
Food and Beverage 1.0% | ||||
Anheuser-Busch Companies LLC/InBev Worldwide, Inc. | ||||
02/01/2046 | 4.900% | 200,000 | 241,333 | |
Anheuser-Busch InBev Worldwide, Inc. | ||||
04/15/2048 | 4.600% | 75,000 | 87,176 | |
Aramark Services, Inc.(a) | ||||
05/01/2025 | 6.375% | 35,000 | 37,196 | |
JBS Investments II GmbH(a) | ||||
01/15/2026 | 7.000% | 260,000 | 276,616 | |
JBS USA LUX SA/Food Co./Finance, Inc.(a) | ||||
12/01/2031 | 3.750% | 300,000 | 304,102 | |
Kraft Heinz Foods Co. | ||||
06/01/2026 | 3.000% | 135,000 | 142,362 | |
05/15/2027 | 3.875% | 70,000 | 76,670 | |
04/01/2030 | 3.750% | 265,000 | 283,744 | |
03/01/2031 | 4.250% | 305,000 | 339,799 | |
07/15/2035 | 5.000% | 55,000 | 65,048 | |
01/26/2039 | 6.875% | 265,000 | 365,053 | |
10/01/2039 | 4.625% | 235,000 | 263,276 | |
06/04/2042 | 5.000% | 20,000 | 23,279 | |
06/01/2046 | 4.375% | 330,000 | 353,771 | |
10/01/2049 | 4.875% | 40,000 | 45,901 | |
Kraft Heinz Foods Co.(a) | ||||
08/01/2039 | 7.125% | 35,000 | 49,591 | |
Lamb Weston Holdings, Inc.(a) | ||||
05/15/2028 | 4.875% | 5,000 | 5,508 | |
MARB BondCo PLC(a) | ||||
01/29/2031 | 3.950% | 200,000 | 192,540 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
NBM US Holdings, Inc.(a) | ||||
05/14/2026 | 7.000% | 200,000 | 215,967 | |
Pilgrim’s Pride Corp.(a) | ||||
09/30/2027 | 5.875% | 150,000 | 159,536 | |
04/15/2031 | 4.250% | 150,000 | 151,658 | |
Post Holdings, Inc.(a) | ||||
03/01/2027 | 5.750% | 375,000 | 392,805 | |
01/15/2028 | 5.625% | 355,000 | 374,826 | |
12/15/2029 | 5.500% | 60,000 | 64,081 | |
04/15/2030 | 4.625% | 150,000 | 151,002 | |
09/15/2031 | 4.500% | 475,000 | 469,542 | |
Total | 5,132,382 | |||
Gaming 0.6% | ||||
Churchill Downs, Inc.(a) | ||||
04/01/2027 | 5.500% | 340,000 | 353,600 | |
Colt Merger Sub, Inc.(a) | ||||
07/01/2025 | 6.250% | 135,000 | 142,350 | |
GLP Capital LP/Financing II, Inc. | ||||
06/01/2025 | 5.250% | 130,000 | 146,869 | |
04/15/2026 | 5.375% | 245,000 | 280,013 | |
06/01/2028 | 5.750% | 80,000 | 93,825 | |
01/15/2029 | 5.300% | 130,000 | 149,930 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc. | ||||
05/01/2024 | 5.625% | 75,000 | 80,726 | |
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.(a) | ||||
06/15/2025 | 4.625% | 20,000 | 21,238 | |
MGM Resorts International | ||||
10/15/2028 | 4.750% | 20,000 | 21,121 | |
Stars Group Holdings BV/Co-Borrower LLC(a) | ||||
07/15/2026 | 7.000% | 1,430,000 | 1,486,055 | |
VICI Properties LP/Note Co., Inc.(a) | ||||
12/01/2029 | 4.625% | 85,000 | 88,970 | |
08/15/2030 | 4.125% | 190,000 | 192,836 | |
Total | 3,057,533 | |||
Health Care 1.3% | ||||
Baylor Scott & White Holdings | ||||
11/15/2026 | 2.650% | 500,000 | 528,866 | |
Becton Dickinson Euro Finance SARL | ||||
06/04/2026 | 1.208% | EUR | 155,000 | 197,561 |
Cigna Corp. | ||||
11/15/2025 | 4.125% | 850,000 | 958,362 | |
CommonSpirit Health | ||||
10/01/2030 | 2.782% | 70,000 | 71,811 | |
CVS Health Corp. | ||||
03/25/2048 | 5.050% | 315,000 | 391,260 | |
DH Europe Finance II SARL | ||||
03/18/2028 | 0.450% | EUR | 335,000 | 409,154 |
12 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Hackensack Meridian Health, Inc. | ||||
07/01/2057 | 4.500% | 300,000 | 380,057 | |
HCA, Inc. | ||||
03/15/2024 | 5.000% | 84,000 | 93,672 | |
02/01/2025 | 5.375% | 430,000 | 480,866 | |
06/15/2029 | 4.125% | 403,000 | 452,054 | |
09/01/2030 | 3.500% | 839,000 | 861,889 | |
06/15/2049 | 5.250% | 290,000 | 359,278 | |
New York and Presbyterian Hospital (The) | ||||
08/01/2036 | 3.563% | 390,000 | 433,904 | |
Prime Healthcare Services, Inc.(a) | ||||
11/01/2025 | 7.250% | 245,000 | 262,219 | |
Providence Service Corp. (The)(a) | ||||
11/15/2025 | 5.875% | 140,000 | 147,731 | |
Rede D’or Finance SARL(a) | ||||
01/22/2030 | 4.500% | 200,000 | 202,565 | |
Tenet Healthcare Corp. | ||||
07/15/2024 | 4.625% | 54,000 | 54,713 | |
Thermo Fisher Scientific, Inc. | ||||
09/12/2024 | 0.750% | EUR | 100,000 | 125,007 |
03/01/2028 | 0.500% | EUR | 105,000 | 128,759 |
Total | 6,539,728 | |||
Healthcare Insurance 0.3% | ||||
Centene Corp.(a) | ||||
08/15/2026 | 5.375% | 102,000 | 106,707 | |
Centene Corp. | ||||
12/15/2029 | 4.625% | 55,000 | 59,490 | |
02/15/2030 | 3.375% | 485,000 | 490,247 | |
10/15/2030 | 3.000% | 390,000 | 390,583 | |
03/01/2031 | 2.500% | 195,000 | 186,811 | |
Molina Healthcare, Inc.(a) | ||||
06/15/2028 | 4.375% | 200,000 | 206,331 | |
11/15/2030 | 3.875% | 225,000 | 229,338 | |
Total | 1,669,507 | |||
Healthcare REIT 0.1% | ||||
Ventas Realty LP | ||||
04/01/2027 | 3.850% | 300,000 | 335,275 | |
Home Construction 0.1% | ||||
Lennar Corp. | ||||
11/29/2027 | 4.750% | 370,000 | 427,900 | |
Independent Energy 0.6% | ||||
Aker BP ASA(a) | ||||
06/15/2024 | 4.750% | 155,000 | 158,854 | |
01/15/2030 | 3.750% | 210,000 | 222,776 | |
Continental Resources, Inc.(a) | ||||
01/15/2031 | 5.750% | 475,000 | 557,160 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Encana Corp. | ||||
08/15/2034 | 6.500% | 200,000 | 262,981 | |
02/01/2038 | 6.500% | 35,000 | 45,827 | |
Endeavor Energy Resources LP/Finance, Inc.(a) | ||||
01/30/2026 | 5.500% | 35,000 | 36,171 | |
EQT Corp.(a) | ||||
05/15/2026 | 3.125% | 40,000 | 40,712 | |
05/15/2031 | 3.625% | 290,000 | 298,635 | |
EQT Corp. | ||||
10/01/2027 | 3.900% | 69,000 | 73,700 | |
Hess Corp. | ||||
04/01/2027 | 4.300% | 200,000 | 222,652 | |
Medco Oak Tree Pte Ltd.(a) | ||||
05/14/2026 | 7.375% | 240,000 | 261,807 | |
Occidental Petroleum Corp. | ||||
09/01/2030 | 6.625% | 315,000 | 360,955 | |
01/01/2031 | 6.125% | 170,000 | 188,524 | |
05/01/2031 | 7.500% | 75,000 | 89,046 | |
Southwestern Energy Co.(l) | ||||
01/23/2025 | 6.450% | 25,000 | 27,379 | |
Total | 2,847,179 | |||
Integrated Energy 0.3% | ||||
Cenovus Energy, Inc. | ||||
07/15/2025 | 5.375% | 110,000 | 125,555 | |
04/15/2027 | 4.250% | 30,000 | 33,333 | |
02/07/2028 | 3.500% | CAD | 115,000 | 99,629 |
06/15/2037 | 5.250% | 85,000 | 97,450 | |
11/15/2039 | 6.750% | 403,000 | 531,205 | |
06/15/2047 | 5.400% | 175,000 | 206,655 | |
Exxon Mobil Corp. | ||||
03/19/2050 | 4.327% | 175,000 | 208,842 | |
Total | 1,302,669 | |||
Leisure 0.1% | ||||
Carnival Corp.(a) | ||||
03/01/2027 | 5.750% | 255,000 | 270,917 | |
Live Nation Entertainment, Inc.(a) | ||||
10/15/2027 | 4.750% | 77,000 | 78,643 | |
Royal Caribbean Cruises Ltd.(a) | ||||
04/01/2028 | 5.500% | 270,000 | 284,978 | |
Total | 634,538 | |||
Life Insurance 0.0% | ||||
Athene Global Funding(a),(b) | ||||
SOFR + 0.700% 05/24/2024 | 0.710% | 225,000 | 225,468 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 13 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lodging 0.2% | ||||
Hilton Domestic Operating Co., Inc. | ||||
01/15/2030 | 4.875% | 61,000 | 64,925 | |
Hilton Domestic Operating Co., Inc.(a) | ||||
02/15/2032 | 3.625% | 105,000 | 102,956 | |
Hilton Grand Vacations Borrower Escrow LLC(a),(d) | ||||
06/01/2029 | 5.000% | 130,000 | 131,389 | |
Hyatt Hotels Corp. | ||||
04/23/2030 | 5.750% | 166,000 | 197,838 | |
Travel + Leisure Co.(a) | ||||
07/31/2026 | 6.625% | 255,000 | 291,937 | |
Wyndham Hotels & Resorts, Inc.(a) | ||||
08/15/2028 | 4.375% | 135,000 | 137,985 | |
Total | 927,030 | |||
Media and Entertainment 0.6% | ||||
Cimpress NV(a) | ||||
06/15/2026 | 7.000% | 210,000 | 220,389 | |
Diamond Sports Group LLC/Finance Co.(a) | ||||
08/15/2026 | 5.375% | 293,000 | 217,445 | |
08/15/2027 | 6.625% | 175,000 | 99,896 | |
Lions Gate Capital Holdings LLC(a) | ||||
04/15/2029 | 5.500% | 220,000 | 228,122 | |
National CineMedia LLC(a) | ||||
04/15/2028 | 5.875% | 165,000 | 157,514 | |
Netflix, Inc.(a) | ||||
06/15/2025 | 3.625% | 425,000 | 457,295 | |
11/15/2029 | 5.375% | 230,000 | 271,796 | |
Netflix, Inc. | ||||
11/15/2026 | 4.375% | 210,000 | 236,856 | |
04/15/2028 | 4.875% | 110,000 | 126,431 | |
News Corp.(a) | ||||
05/15/2029 | 3.875% | 370,000 | 373,635 | |
Scripps Escrow II, Inc.(a) | ||||
01/15/2031 | 5.375% | 140,000 | 140,415 | |
Sinclair Television Group, Inc.(a) | ||||
12/01/2030 | 4.125% | 150,000 | 146,382 | |
Townsquare Media, Inc.(a) | ||||
02/01/2026 | 6.875% | 115,000 | 121,756 | |
Walt Disney Co. (The) | ||||
01/13/2051 | 3.600% | 135,000 | 145,523 | |
WMG Acquisition Corp(a) | ||||
02/15/2031 | 3.000% | 410,000 | 386,925 | |
Total | 3,330,380 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Metals and Mining 0.5% | ||||
ArcelorMittal(l) | ||||
03/01/2041 | 7.000% | 100,000 | 135,871 | |
ArcelorMittal SA | ||||
03/11/2026 | 4.550% | 20,000 | 22,296 | |
Cleveland-Cliffs, Inc.(a) | ||||
03/15/2026 | 6.750% | 80,000 | 86,422 | |
03/01/2029 | 4.625% | 320,000 | 328,779 | |
03/01/2031 | 4.875% | 170,000 | 173,951 | |
FMG Resources August 2006 Pty Ltd.(a) | ||||
04/01/2031 | 4.375% | 1,065,000 | 1,111,585 | |
Freeport-McMoRan, Inc. | ||||
08/01/2030 | 4.625% | 160,000 | 175,673 | |
03/15/2043 | 5.450% | 450,000 | 543,205 | |
Total | 2,577,782 | |||
Midstream 0.9% | ||||
Cheniere Energy Partners LP | ||||
10/01/2029 | 4.500% | 85,000 | 90,039 | |
Cheniere Energy Partners LP(a) | ||||
03/01/2031 | 4.000% | 260,000 | 268,375 | |
Enbridge, Inc. | ||||
12/01/2026 | 4.250% | 188,000 | 212,411 | |
11/15/2029 | 3.125% | 250,000 | 264,365 | |
Energy Transfer LP(l) | ||||
12/31/2049 | 6.625% | 336,000 | 324,939 | |
Energy Transfer Operating LP | ||||
06/01/2027 | 5.500% | 90,000 | 105,381 | |
06/15/2028 | 4.950% | 92,000 | 105,719 | |
Energy Transfer Partners LP | ||||
03/15/2045 | 5.150% | 370,000 | 408,433 | |
EQM Midstream Partners LP(a) | ||||
01/15/2031 | 4.750% | 135,000 | 135,784 | |
Galaxy Pipeline Assets Bidco Ltd.(a) | ||||
03/31/2034 | 2.160% | 200,000 | 197,497 | |
Kinder Morgan, Inc. | ||||
02/15/2031 | 2.000% | 180,000 | 170,722 | |
NGL Energy Operating LLC/Finance Corp.(a) | ||||
02/01/2026 | 7.500% | 125,000 | 129,991 | |
NGPL PipeCo LLC(a) | ||||
08/15/2022 | 4.375% | 295,000 | 305,700 | |
Rockies Express Pipeline LLC(a) | ||||
07/15/2029 | 4.950% | 100,000 | 102,533 | |
05/15/2030 | 4.800% | 100,000 | 100,009 | |
04/15/2040 | 6.875% | 100,000 | 107,616 | |
Sunoco LP/Finance Corp.(a) | ||||
05/15/2029 | 4.500% | 225,000 | 223,423 |
14 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Targa Resources Partners LP/Finance Corp. | ||||
03/01/2030 | 5.500% | 20,000 | 21,599 | |
TC PipeLines LP | ||||
05/25/2027 | 3.900% | 55,000 | 60,773 | |
Texas Eastern Transmission LP(a) | ||||
10/15/2022 | 2.800% | 250,000 | 255,997 | |
TransCanada PipeLines Ltd. | ||||
04/15/2030 | 4.100% | 320,000 | 363,781 | |
Transcontinental Gas Pipe Line Co. LLC | ||||
05/15/2030 | 3.250% | 30,000 | 31,934 | |
TransMontaigne Partners LP/TLP Finance Corp. | ||||
02/15/2026 | 6.125% | 64,000 | 64,735 | |
Western Midstream Operating LP(l) | ||||
02/01/2030 | 5.300% | 225,000 | 248,023 | |
Williams Companies, Inc. (The) | ||||
06/15/2027 | 3.750% | 180,000 | 199,850 | |
11/15/2030 | 3.500% | 30,000 | 32,298 | |
Total | 4,531,927 | |||
Natural Gas 0.0% | ||||
Engie SA(a) | ||||
06/21/2027 | 0.375% | EUR | 100,000 | 123,680 |
Office REIT 0.1% | ||||
Hudson Pacific Properties LP | ||||
11/01/2027 | 3.950% | 160,000 | 174,324 | |
SL Green Operating Partnership LP | ||||
10/15/2022 | 3.250% | 260,000 | 268,415 | |
Total | 442,739 | |||
Oil Field Services 0.1% | ||||
Archrock Partners LP/Finance Corp.(a) | ||||
04/01/2028 | 6.250% | 75,000 | 77,800 | |
Transocean Pontus Ltd.(a) | ||||
08/01/2025 | 6.125% | 37,700 | 37,392 | |
Transocean Poseidon Ltd.(a) | ||||
02/01/2027 | 6.875% | 175,000 | 170,852 | |
Transocean Proteus Ltd.(a) | ||||
12/01/2024 | 6.250% | 60,000 | 59,370 | |
USA Compression Partners LP/Finance Corp. | ||||
09/01/2027 | 6.875% | 19,000 | 19,925 | |
Total | 365,339 | |||
Other Financial Institutions 0.1% | ||||
Icahn Enterprises LP/Finance Corp. | ||||
05/15/2027 | 5.250% | 20,000 | 20,508 | |
Mexico Remittances Funding Fiduciary Estate Management Sarl(a) | ||||
01/15/2028 | 4.875% | 200,000 | 193,816 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Simpar Finance Sarl(a) | ||||
02/12/2028 | 10.750% | BRL | 640,000 | 113,346 |
Swiss Insured Brazil Power Finance SARL(a) | ||||
07/16/2032 | 9.850% | BRL | 1,887,500 | 379,781 |
Total | 707,451 | |||
Other Industry 0.1% | ||||
Adtalem Global Education, Inc.(a) | ||||
03/01/2028 | 5.500% | 100,000 | 100,236 | |
AECOM | ||||
03/15/2027 | 5.125% | 380,000 | 420,687 | |
Total | 520,923 | |||
Other REIT 0.3% | ||||
American Campus Communities Operating Partnership LP | ||||
04/15/2023 | 3.750% | 500,000 | 525,814 | |
CyrusOne LP/Finance Corp. | ||||
11/15/2024 | 2.900% | 155,000 | 164,395 | |
11/15/2029 | 3.450% | 565,000 | 594,603 | |
Host Hotels & Resorts LP | ||||
12/15/2029 | 3.375% | 65,000 | 66,272 | |
09/15/2030 | 3.500% | 65,000 | 67,012 | |
Lexington Realty Trust | ||||
09/15/2030 | 2.700% | 135,000 | 135,730 | |
Total | 1,553,826 | |||
Packaging 0.7% | ||||
Ardagh Metal Packaging Finance USA LLC/PLC(a) | ||||
09/01/2028 | 3.250% | 220,000 | 219,722 | |
09/01/2029 | 4.000% | 235,000 | 231,409 | |
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a) | ||||
08/15/2026 | 4.125% | 110,000 | 112,651 | |
Ball Corp. | ||||
11/15/2023 | 4.000% | 380,000 | 403,840 | |
07/01/2025 | 5.250% | 255,000 | 288,654 | |
03/15/2026 | 4.875% | 345,000 | 384,407 | |
08/15/2030 | 2.875% | 200,000 | 192,316 | |
Berry Global Escrow Corp.(a) | ||||
07/15/2026 | 4.875% | 51,000 | 53,800 | |
07/15/2027 | 5.625% | 215,000 | 227,681 | |
Berry Global, Inc.(a) | ||||
01/15/2026 | 1.570% | 240,000 | 240,420 | |
Crown Americas LLC/Capital Corp. IV | ||||
01/15/2023 | 4.500% | 184,000 | 193,819 | |
Crown Americas LLC/Capital Corp. V | ||||
09/30/2026 | 4.250% | 25,000 | 26,813 | |
Crown Cork & Seal Co., Inc. | ||||
12/15/2026 | 7.375% | 175,000 | 213,616 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 15 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Reynolds Group Issuer, Inc./LLC(a) | ||||
10/15/2027 | 4.000% | 280,000 | 275,016 | |
Sealed Air Corp.(a) | ||||
09/15/2025 | 5.500% | 357,000 | 396,274 | |
Total | 3,460,438 | |||
Paper 0.1% | ||||
Clearwater Paper Corp.(a) | ||||
08/15/2028 | 4.750% | 100,000 | 98,175 | |
Graphic Packaging International LLC(a) | ||||
07/15/2027 | 4.750% | 75,000 | 80,678 | |
Graphic Packaging International, Inc. | ||||
11/15/2022 | 4.875% | 150,000 | 156,823 | |
Total | 335,676 | |||
Pharmaceuticals 0.8% | ||||
AbbVie, Inc. | ||||
03/15/2035 | 4.550% | 110,000 | 131,133 | |
05/14/2035 | 4.500% | 200,000 | 237,291 | |
05/14/2046 | 4.450% | 148,000 | 173,738 | |
Allergan Funding SCS | ||||
06/01/2024 | 1.250% | EUR | 100,000 | 123,620 |
11/15/2028 | 2.625% | EUR | 100,000 | 132,831 |
Bausch Health Companies, Inc.(a) | ||||
11/01/2025 | 5.500% | 80,000 | 82,108 | |
12/15/2025 | 9.000% | 105,000 | 112,393 | |
02/15/2029 | 5.000% | 375,000 | 344,052 | |
02/15/2029 | 6.250% | 190,000 | 185,760 | |
01/30/2030 | 5.250% | 420,000 | 386,449 | |
02/15/2031 | 5.250% | 50,000 | 45,713 | |
Bausch Health Companies, Inc.(a),(d) | ||||
06/01/2028 | 4.875% | 150,000 | 151,071 | |
Bayer US Finance II LLC(a) | ||||
12/15/2025 | 4.250% | 115,000 | 128,915 | |
12/15/2028 | 4.375% | 380,000 | 433,088 | |
06/25/2038 | 4.625% | 370,000 | 427,552 | |
Elanco Animal Health, Inc. | ||||
08/28/2023 | 4.272% | 345,000 | 372,550 | |
Endo Luxembourg Finance Co I Sarl/US, Inc.(a) | ||||
04/01/2029 | 6.125% | 150,000 | 147,800 | |
Organon Finance 1 LLC(a) | ||||
04/30/2031 | 5.125% | 300,000 | 308,403 | |
Total | 3,924,467 | |||
Property & Casualty 0.4% | ||||
Acrisure LLC/Finance, Inc.(a) | ||||
02/15/2029 | 4.250% | 150,000 | 146,490 | |
Berkshire Hathaway Finance Corp. | ||||
06/19/2039 | 2.375% | GBP | 125,000 | 188,152 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Berkshire Hathaway, Inc.(m) | ||||
03/12/2025 | 0.000% | EUR | 215,000 | 262,504 |
Chubb INA Holdings, Inc. | ||||
12/15/2024 | 0.300% | EUR | 180,000 | 221,420 |
Farmers Exchange Capital III(a),(l) | ||||
Subordinated | ||||
10/15/2054 | 5.454% | 500,000 | 615,078 | |
Nationwide Mutual Insurance Co.(a),(b) | ||||
Subordinated | ||||
3-month USD LIBOR + 2.290% 12/15/2024 | 2.474% | 450,000 | 448,487 | |
Total | 1,882,131 | |||
Refining 0.1% | ||||
FS Luxembourg Sarl(a) | ||||
12/15/2025 | 10.000% | 200,000 | 219,914 | |
Valero Energy Corp. | ||||
09/15/2026 | 3.400% | 95,000 | 102,503 | |
Total | 322,417 | |||
Restaurants 0.5% | ||||
1011778 BC ULC/New Red Finance, Inc.(a) | ||||
05/15/2024 | 4.250% | 147,000 | 148,809 | |
02/15/2029 | 3.500% | 400,000 | 391,316 | |
10/15/2030 | 4.000% | 560,000 | 542,486 | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(a) | ||||
06/01/2026 | 5.250% | 215,000 | 220,644 | |
Yum! Brands, Inc.(a) | ||||
01/15/2030 | 4.750% | 355,000 | 379,525 | |
Yum! Brands, Inc. | ||||
03/15/2031 | 3.625% | 390,000 | 385,159 | |
01/31/2032 | 4.625% | 420,000 | 438,444 | |
Total | 2,506,383 | |||
Retailers 0.1% | ||||
Carvana Co.(a) | ||||
10/01/2028 | 5.875% | 260,000 | 272,526 | |
Magic MergeCo, Inc.(a) | ||||
05/01/2029 | 7.875% | 200,000 | 203,954 | |
Total | 476,480 | |||
Supermarkets 0.0% | ||||
Albertsons Companies, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(a) | ||||
02/15/2030 | 4.875% | 20,000 | 20,843 | |
Supranational 0.3% | ||||
Asian Development Bank | ||||
03/09/2022 | 5.000% | AUD | 165,000 | 131,994 |
16 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
European Financial Stability Facility(a) | ||||
05/23/2023 | 1.875% | EUR | 66,000 | 84,450 |
European Investment Bank(a) | ||||
05/12/2022 | 1.500% | NOK | 2,060,000 | 248,884 |
European Investment Bank(a),(b) | ||||
SOFR + 0.350% 06/29/2023 | 0.400% | GBP | 115,000 | 164,042 |
International Bank for Reconstruction & Development | ||||
08/20/2021 | 7.450% | IDR | 740,000,000 | 52,020 |
10/06/2021 | 4.625% | NZD | 230,000 | 169,078 |
01/25/2022 | 3.375% | NZD | 385,000 | 284,349 |
01/16/2025 | 1.900% | CAD | 295,000 | 253,035 |
International Finance Corp. | ||||
09/10/2025 | 0.375% | NZD | 270,000 | 187,747 |
Nordic Investment Bank | ||||
01/24/2022 | 1.500% | NOK | 1,000,000 | 120,462 |
Total | 1,696,061 | |||
Technology 0.7% | ||||
Apple, Inc. | ||||
05/24/2025 | 0.875% | EUR | 300,000 | 380,258 |
Camelot Finance SA(a) | ||||
11/01/2026 | 4.500% | 80,000 | 83,051 | |
CDW LLC/Finance Corp. | ||||
04/01/2028 | 4.250% | 35,000 | 36,596 | |
CoStar Group, Inc.(a) | ||||
07/15/2030 | 2.800% | 115,000 | 115,015 | |
Dell International LLC/EMC Corp.(a) | ||||
07/15/2046 | 8.350% | 115,000 | 180,699 | |
Fidelity National Information Services, Inc. | ||||
05/21/2027 | 1.500% | EUR | 205,000 | 264,823 |
12/03/2028 | 1.000% | EUR | 100,000 | 124,943 |
Fiserv, Inc. | ||||
07/01/2027 | 1.125% | EUR | 100,000 | 127,089 |
Gartner, Inc.(a) | ||||
10/01/2030 | 3.750% | 240,000 | 240,957 | |
Intel Corp. | ||||
03/25/2050 | 4.750% | 185,000 | 236,061 | |
J2 Global, Inc.(a) | ||||
10/15/2030 | 4.625% | 70,000 | 71,538 | |
MSCI, Inc.(a) | ||||
09/01/2030 | 3.625% | 330,000 | 333,467 | |
02/15/2031 | 3.875% | 160,000 | 162,479 | |
11/01/2031 | 3.625% | 160,000 | 161,412 | |
Oracle Corp. | ||||
03/25/2031 | 2.875% | 140,000 | 143,656 | |
03/25/2051 | 3.950% | 225,000 | 234,647 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
SK Hynix, Inc.(a) | ||||
01/19/2026 | 1.500% | 200,000 | 199,047 | |
Square, Inc.(a) | ||||
06/01/2031 | 3.500% | 70,000 | 70,020 | |
Tencent Holdings Ltd.(a) | ||||
04/22/2041 | 3.680% | 200,000 | 205,354 | |
Twilio, Inc. | ||||
03/15/2029 | 3.625% | 105,000 | 105,655 | |
03/15/2031 | 3.875% | 140,000 | 141,602 | |
Xerox Holdings Corp.(a) | ||||
08/15/2025 | 5.000% | 25,000 | 26,323 | |
Total | 3,644,692 | |||
Tobacco 0.1% | ||||
BAT Capital Corp. | ||||
08/15/2047 | 4.540% | 100,000 | 100,494 | |
Reynolds American, Inc. | ||||
08/15/2045 | 5.850% | 510,000 | 595,053 | |
Total | 695,547 | |||
Transportation Services 0.0% | ||||
Adani Ports & Special Economic Zone Ltd.(a) | ||||
02/02/2031 | 3.100% | 200,000 | 191,089 | |
Wireless 1.1% | ||||
American Tower Corp. | ||||
05/22/2026 | 1.950% | EUR | 100,000 | 131,489 |
01/15/2028 | 0.500% | EUR | 100,000 | 120,462 |
Cellnex Telecom SA | ||||
06/26/2029 | 1.875% | EUR | 100,000 | 123,248 |
Crown Castle International Corp. | ||||
01/15/2031 | 2.250% | 65,000 | 63,022 | |
Millicom International Cellular SA(a) | ||||
04/27/2031 | 4.500% | 200,000 | 208,985 | |
SBA Communications Corp. | ||||
02/15/2027 | 3.875% | 490,000 | 501,421 | |
SBA Communications Corp.(a) | ||||
02/01/2029 | 3.125% | 205,000 | 196,726 | |
Sprint Capital Corp. | ||||
03/15/2032 | 8.750% | 225,000 | 333,619 | |
Sprint Corp. | ||||
09/15/2023 | 7.875% | 193,000 | 218,470 | |
06/15/2024 | 7.125% | 35,000 | 40,319 | |
Sprint Spectrum Co. I/II/III LLC(a) | ||||
09/20/2021 | 3.360% | 77,750 | 78,101 | |
03/20/2025 | 4.738% | 460,000 | 493,464 | |
03/20/2028 | 5.152% | 125,000 | 143,145 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 17 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
T-Mobile USA, Inc. | ||||
02/01/2026 | 4.500% | 184,000 | 188,298 | |
04/15/2026 | 2.625% | 304,000 | 309,471 | |
04/15/2027 | 3.750% | 120,000 | 132,296 | |
02/01/2028 | 4.750% | 153,000 | 163,587 | |
02/15/2029 | 2.625% | 90,000 | 86,875 | |
04/15/2029 | 3.375% | 105,000 | 106,679 | |
04/15/2030 | 3.875% | 343,000 | 376,092 | |
02/15/2031 | 2.875% | 125,000 | 120,677 | |
04/15/2031 | 3.500% | 175,000 | 177,811 | |
11/15/2031 | 2.250% | 230,000 | 221,510 | |
04/15/2040 | 4.375% | 175,000 | 195,745 | |
Vmed O2 UK Financing I PLC(a) | ||||
01/31/2031 | 3.250% | EUR | 160,000 | 196,575 |
01/31/2031 | 4.250% | 585,000 | 568,259 | |
Vodafone Group PLC | ||||
05/30/2048 | 5.250% | 230,000 | 291,952 | |
06/19/2049 | 4.875% | 20,000 | 24,174 | |
Total | 5,812,472 | |||
Wirelines 0.8% | ||||
AT&T, Inc.(a) | ||||
12/01/2033 | 2.550% | 340,000 | 329,857 | |
12/01/2057 | 3.800% | 727,000 | 721,899 | |
AT&T, Inc. | ||||
05/15/2035 | 4.500% | 35,000 | 40,271 | |
03/01/2037 | 5.250% | 45,000 | 55,619 | |
05/15/2046 | 4.750% | 40,000 | 46,847 | |
C&W Senior Financing DAC(a) | ||||
09/15/2027 | 6.875% | 200,000 | 213,018 | |
Cincinnati Bell, Inc.(a) | ||||
07/15/2024 | 7.000% | 1,211,000 | 1,245,458 | |
Frontier Communications Corp.(a) | ||||
05/01/2028 | 5.000% | 200,000 | 205,038 | |
GCI LLC(a) | ||||
10/15/2028 | 4.750% | 80,000 | 81,636 | |
Level 3 Financing, Inc. | ||||
05/01/2025 | 5.375% | 95,000 | 97,086 | |
Level 3 Financing, Inc.(a) | ||||
09/15/2027 | 4.625% | 310,000 | 319,046 | |
Qwest Corp. | ||||
12/01/2021 | 6.750% | 90,000 | 92,475 | |
Total Play Telecomunicaciones SA de CV(a) | ||||
11/12/2025 | 7.500% | 210,000 | 214,224 |
Corporate Bonds & Notes(k) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Verizon Communications, Inc. | ||||
03/22/2028 | 2.100% | 75,000 | 76,136 | |
03/21/2031 | 2.550% | 225,000 | 226,652 | |
Total | 3,965,262 | |||
Total Corporate Bonds & Notes (Cost $95,201,833) | 98,534,154 | |||
Foreign Government Obligations(k),(o) 5.9% | ||||
Australia 0.2% | ||||
Australia Government Bond(a) | ||||
11/21/2024 | 0.250% | AUD | 495,000 | 381,111 |
09/21/2026 | 0.500% | AUD | 170,000 | 128,895 |
New South Wales Treasury Corp.(a) | ||||
02/08/2024 | 1.000% | AUD | 525,000 | 413,008 |
Total | 923,014 | |||
Austria 0.0% | ||||
Republic of Austria Government Bond(a) | ||||
02/20/2029 | 0.500% | EUR | 145,000 | 185,845 |
Brazil 0.3% | ||||
Brazil Notas do Tesouro Nacional Series F | ||||
01/01/2023 | 10.000% | BRL | 2,130,000 | 444,128 |
01/01/2025 | 10.000% | BRL | 2,850,000 | 603,393 |
Brazilian Government International Bond | ||||
06/12/2030 | 3.875% | 400,000 | 404,970 | |
Total | 1,452,491 | |||
Canada 0.7% | ||||
Canada Government International Bond | ||||
05/19/2026 | 0.750% | 195,000 | 194,365 | |
Canada Housing Trust No. 1(a) | ||||
12/15/2025 | 1.950% | CAD | 880,000 | 757,669 |
NOVA Chemicals Corp.(a) | ||||
06/01/2027 | 5.250% | 20,000 | 21,461 | |
Province of Alberta | ||||
12/01/2023 | 3.400% | CAD | 120,000 | 106,248 |
Province of Ontario | ||||
06/02/2028 | 2.900% | CAD | 245,000 | 219,482 |
12/02/2030 | 1.350% | CAD | 1,770,000 | 1,374,563 |
06/02/2045 | 3.450% | CAD | 215,000 | 200,388 |
Province of Quebec | ||||
09/01/2023 | 3.000% | CAD | 325,000 | 284,204 |
Province of Quebec(a) | ||||
12/15/2023 | 1.500% | GBP | 105,000 | 153,380 |
04/07/2025 | 0.200% | EUR | 180,000 | 224,151 |
Total | 3,535,911 |
18 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Foreign Government Obligations(k),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Chile 0.1% | ||||
Corporación Nacional del Cobre de Chile(a) | ||||
01/14/2030 | 3.150% | 300,000 | 310,849 | |
Colombia 0.3% | ||||
Colombia Government International Bond | ||||
08/26/2026 | 7.500% | COP | 860,000,000 | 248,171 |
04/15/2031 | 3.125% | 216,000 | 207,964 | |
04/22/2032 | 3.250% | 215,000 | 206,915 | |
06/15/2045 | 5.000% | 200,000 | 206,953 | |
Colombian TES | ||||
07/24/2024 | 10.000% | COP | 723,000,000 | 224,768 |
11/26/2025 | 6.250% | COP | 840,000,000 | 233,379 |
Total | 1,328,150 | |||
Dominican Republic 0.1% | ||||
Dominican Republic International Bond(a) | ||||
01/30/2030 | 4.500% | 350,000 | 359,846 | |
Greece 0.2% | ||||
Hellenic Republic Government Bond(a) | ||||
04/22/2027 | 2.000% | EUR | 151,000 | 203,106 |
06/18/2030 | 1.500% | EUR | 215,000 | 279,751 |
01/30/2042 | 4.200% | EUR | 150,000 | 277,636 |
Total | 760,493 | |||
India 0.1% | ||||
Indian Railway Finance Corp., Ltd.(a) | ||||
02/13/2030 | 3.249% | 200,000 | 201,706 | |
NTPC Ltd.(a) | ||||
05/03/2022 | 7.250% | INR | 20,000,000 | 276,468 |
Total | 478,174 | |||
Indonesia 0.8% | ||||
Indonesia Government International Bond(a) | ||||
06/14/2023 | 2.625% | EUR | 225,000 | 288,320 |
07/18/2024 | 2.150% | EUR | 200,000 | 258,487 |
Indonesia Government International Bond | ||||
10/15/2030 | 3.850% | 200,000 | 222,804 | |
03/12/2033 | 1.100% | EUR | 100,000 | 118,998 |
Indonesia Treasury Bond | ||||
03/15/2024 | 8.375% | IDR | 2,201,000,000 | 167,695 |
06/15/2025 | 6.500% | IDR | 7,027,000,000 | 511,971 |
09/15/2026 | 8.375% | IDR | 3,564,000,000 | 280,855 |
05/15/2027 | 7.000% | IDR | 2,047,000,000 | 151,606 |
05/15/2028 | 6.125% | IDR | 2,189,000,000 | 152,859 |
03/15/2029 | 9.000% | IDR | 1,012,000,000 | 82,016 |
05/15/2029 | 8.250% | IDR | 1,034,000,000 | 80,675 |
09/15/2030 | 7.000% | IDR | 4,827,000,000 | 350,813 |
05/15/2031 | 8.750% | IDR | 2,700,000,000 | 219,198 |
08/15/2032 | 7.500% | IDR | 340,000,000 | 24,969 |
05/15/2033 | 6.625% | IDR | 509,000,000 | 35,644 |
Foreign Government Obligations(k),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
06/15/2035 | 7.500% | IDR | 1,095,000,000 | 79,533 |
05/15/2038 | 7.500% | IDR | 1,751,000,000 | 126,964 |
Perusahaan Penerbit SBSN Indonesia III(a) | ||||
03/29/2027 | 4.150% | 270,000 | 302,389 | |
PT Indonesia Asahan Aluminium Persero(a) | ||||
05/15/2025 | 4.750% | 220,000 | 241,584 | |
11/15/2028 | 6.530% | 200,000 | 243,226 | |
PT Pertamina Persero(a) | ||||
08/25/2030 | 3.100% | 200,000 | 203,907 | |
PT Perusahaan Listrik Negara(a) | ||||
05/15/2027 | 4.125% | 80,000 | 86,701 | |
Total | 4,231,214 | |||
Ireland 0.1% | ||||
Ireland Government Bond(a) | ||||
03/18/2024 | 3.400% | EUR | 105,000 | 142,278 |
05/15/2029 | 1.100% | EUR | 200,000 | 266,050 |
Total | 408,328 | |||
Israel 0.0% | ||||
Israel Electric Corp., Ltd.(a) | ||||
06/21/2023 | 6.875% | 200,000 | 223,613 | |
Italy 0.1% | ||||
Italy Buoni Poliennali Del Tesoro(a) | ||||
07/01/2025 | 1.850% | EUR | 345,000 | 452,023 |
Republic of Italy Government International Bond | ||||
02/17/2026 | 1.250% | 200,000 | 197,480 | |
Total | 649,503 | |||
Japan 0.2% | ||||
Japan Government 5-Year Bond | ||||
06/20/2025 | 0.100% | JPY | 94,650,000 | 869,644 |
Kazakhstan 0.1% | ||||
KazMunayGas National Co. JSC(a) | ||||
04/24/2030 | 5.375% | 215,000 | 257,191 | |
04/14/2033 | 3.500% | 200,000 | 207,916 | |
Total | 465,107 | |||
Malaysia 0.3% | ||||
Malaysia Government Bond | ||||
07/15/2021 | 4.160% | MYR | 975,000 | 236,599 |
09/30/2024 | 4.059% | MYR | 975,000 | 248,527 |
03/14/2025 | 3.882% | MYR | 545,000 | 138,433 |
11/16/2027 | 3.899% | MYR | 650,000 | 166,802 |
06/15/2028 | 3.733% | MYR | 375,000 | 94,957 |
04/15/2033 | 3.844% | MYR | 1,223,000 | 296,981 |
07/05/2034 | 3.828% | MYR | 400,000 | 96,619 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 19 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Foreign Government Obligations(k),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Petronas Capital Ltd.(a) | ||||
01/28/2032 | 2.480% | 200,000 | 199,225 | |
Total | 1,478,143 | |||
Mauritius 0.0% | ||||
Greenko Solar Mauritius Ltd.(a) | ||||
01/29/2025 | 5.550% | 200,000 | 206,085 | |
Mexico 0.4% | ||||
Banco Nacional de Comercio Exterior SNC(a),(l) | ||||
Subordinated | ||||
08/11/2026 | 3.800% | 200,000 | 200,013 | |
Mexican Bonos | ||||
06/03/2027 | 7.500% | MXN | 9,500,000 | 505,616 |
Mexico Government International Bond | ||||
05/24/2031 | 2.659% | 250,000 | 243,673 | |
05/29/2031 | 7.750% | MXN | 5,670,000 | 306,690 |
04/27/2032 | 4.750% | 225,000 | 256,662 | |
Petroleos Mexicanos | ||||
01/28/2031 | 5.950% | 100,000 | 97,089 | |
06/15/2035 | 6.625% | 115,000 | 110,808 | |
09/21/2047 | 6.750% | 100,000 | 88,056 | |
01/23/2050 | 7.690% | 175,000 | 167,916 | |
01/28/2060 | 6.950% | 70,000 | 61,782 | |
Total | 2,038,305 | |||
Netherlands 0.2% | ||||
BNG Bank NV(a) | ||||
06/07/2024 | 0.250% | EUR | 85,000 | 105,921 |
Greenko Dutch BV(a) | ||||
03/29/2026 | 3.850% | 200,000 | 204,484 | |
Petrobras Global Finance BV | ||||
02/01/2029 | 5.750% | 25,000 | 28,223 | |
01/15/2030 | 5.093% | 353,000 | 378,843 | |
03/19/2049 | 6.900% | 235,000 | 273,034 | |
Total | 990,505 | |||
Norway 0.3% | ||||
Nordea Eiendomskreditt AS(b) | ||||
3-month NIBOR + 0.300% 06/21/2023 | 0.720% | NOK | 2,000,000 | 240,365 |
3-month NIBOR + 0.340% 06/19/2024 | 0.760% | NOK | 2,000,000 | 240,807 |
Norway Government Bond(a) | ||||
05/24/2023 | 2.000% | NOK | 7,320,000 | 900,598 |
Total | 1,381,770 |
Foreign Government Obligations(k),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Panama 0.1% | ||||
Panama Government International Bond | ||||
01/23/2030 | 3.160% | 200,000 | 209,831 | |
09/29/2032 | 2.252% | 200,000 | 192,124 | |
Total | 401,955 | |||
Paraguay 0.0% | ||||
Paraguay Government International Bond(a) | ||||
03/27/2027 | 4.700% | 200,000 | 224,966 | |
Peru 0.0% | ||||
Peruvian Government International Bond | ||||
06/20/2030 | 2.844% | 165,000 | 167,995 | |
Philippines 0.1% | ||||
Philippine Government International Bond | ||||
05/17/2027 | 0.875% | EUR | 305,000 | 377,578 |
Portugal 0.3% | ||||
Portugal Government International Bond(a) | ||||
10/15/2024 | 5.125% | 375,000 | 428,286 | |
Portugal Obrigacoes do Tesouro OT(a) | ||||
10/15/2025 | 2.875% | EUR | 125,000 | 174,346 |
10/15/2027 | 0.700% | EUR | 90,000 | 115,076 |
10/18/2030 | 0.475% | EUR | 470,000 | 580,217 |
Total | 1,297,925 | |||
Qatar 0.2% | ||||
Qatar Government International Bond(a) | ||||
03/14/2029 | 4.000% | 225,000 | 259,257 | |
06/02/2046 | 4.625% | 433,000 | 529,699 | |
QNB Finance Ltd.(a) | ||||
03/28/2024 | 3.500% | 200,000 | 213,699 | |
Total | 1,002,655 | |||
Saudi Arabia 0.1% | ||||
Saudi Arabian Oil Co.(a) | ||||
04/16/2029 | 3.500% | 245,000 | 264,239 | |
Saudi Government International Bond(a) | ||||
03/04/2028 | 3.625% | 200,000 | 220,744 | |
01/21/2055 | 3.750% | 200,000 | 204,849 | |
Total | 689,832 | |||
Singapore 0.1% | ||||
BOC Aviation Ltd.(a) | ||||
09/18/2022 | 2.750% | 200,000 | 203,761 | |
Singapore Government Bond | ||||
04/01/2022 | 1.750% | SGD | 550,000 | 420,951 |
06/01/2025 | 2.375% | SGD | 165,000 | 133,372 |
Total | 758,084 |
20 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Foreign Government Obligations(k),(o) (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
South Africa 0.1% | ||||
Republic of South Africa Government International Bond | ||||
09/30/2029 | 4.850% | 300,000 | 318,493 | |
Spain 0.1% | ||||
Spain Government Bond(a) | ||||
07/30/2024 | 0.250% | EUR | 180,000 | 224,136 |
07/30/2027 | 0.800% | EUR | 175,000 | 224,291 |
Total | 448,427 | |||
Sweden 0.1% | ||||
Sweden Government International Bond(a) | ||||
04/24/2023 | 0.125% | EUR | 380,000 | 469,486 |
Turkey 0.0% | ||||
Turkey Government International Bond | ||||
03/23/2023 | 3.250% | 240,000 | 238,198 | |
United Arab Emirates 0.1% | ||||
Abu Dhabi Government International Bond(a) | ||||
04/16/2030 | 3.125% | 200,000 | 217,632 | |
03/02/2031 | 1.700% | 205,000 | 197,394 | |
DP World Crescent Ltd.(a) | ||||
09/26/2028 | 4.848% | 200,000 | 227,306 | |
Total | 642,332 | |||
United Kingdom 0.1% | ||||
United Kingdom Gilt(a) | ||||
09/07/2021 | 3.750% | GBP | 95,000 | 136,151 |
07/22/2022 | 0.500% | GBP | 195,000 | 278,217 |
Total | 414,368 | |||
Uruguay 0.0% | ||||
Uruguay Government International Bond | ||||
01/23/2031 | 4.375% | 125,000 | 145,158 | |
Total Foreign Government Obligations (Cost $29,078,423) | 29,874,442 | |||
Inflation-Indexed Bonds 0.1% | ||||
United States 0.1% | ||||
U.S. Treasury Inflation-Indexed Bond | ||||
01/15/2030 | 0.125% | 483,541 | 532,578 | |
Total Inflation-Indexed Bonds (Cost $512,398) | 532,578 | |||
Municipal Bonds 0.3% | ||||
Issue Description | Coupon Rate | Principal Amount ($) | Value ($) | |
Airport 0.0% | ||||
County of Miami-Dade Aviation | ||||
Refunding Revenue Bonds | ||||
Taxable | ||||
Series 2020B | ||||
10/01/2035 | 2.857% | 85,000 | 87,149 | |
Hospital 0.1% | ||||
Regents of the University of California Medical Center | ||||
Revenue Bonds | ||||
Taxable | ||||
Series 2020N | ||||
05/15/2060 | 3.256% | 315,000 | 324,013 | |
Local General Obligation 0.1% | ||||
Los Angeles Unified School District | ||||
Unlimited General Obligation Bonds | ||||
Taxable | ||||
Series 2009 (BAM) | ||||
07/01/2029 | 5.755% | 250,000 | 312,458 | |
Sales Tax 0.0% | ||||
Santa Clara Valley Transportation Authority | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
04/01/2032 | 5.876% | 250,000 | 311,912 | |
Transportation 0.1% | ||||
Metropolitan Transportation Authority | ||||
Revenue Bonds | ||||
Series 2010 (BAM) | ||||
11/15/2031 | 6.548% | 250,000 | 326,845 | |
Total Municipal Bonds (Cost $1,291,624) | 1,362,377 |
Preferred Debt 0.1% | ||||
Issuer | Coupon Rate | Shares | Value ($) | |
Banking 0.1% | ||||
Wells Fargo & Co.(l) | ||||
12/31/2049 | 5.850% | 11,985 | 324,793 | |
Total Preferred Debt (Cost $321,963) | 324,793 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 21 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Preferred Stocks 0.1% | |||
Issuer | Shares | Value ($) | |
Financials 0.1% | |||
Banks 0.1% | |||
U.S. Bancorp(l) | 3.500% | 480 | 454,109 |
Valley National Bancorp(l) | 5.500% | 6,350 | 165,417 |
Total | 619,526 | ||
Total Financials | 619,526 | ||
Total Preferred Stocks (Cost $605,139) | 619,526 |
Residential Mortgage-Backed Securities - Agency 3.7% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal Home Loan Mortgage Corp.(b) | ||||
CMO Series 204919 Class FP | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 09/25/2049 | 0.542% | 260,266 | 262,536 | |
CMO Series 4638 Class UF | ||||
1-month USD LIBOR + 1.000% Floor 1.000%, Cap 6.000% 09/15/2044 | 1.092% | 58,163 | 58,798 | |
Federal National Mortgage Association(b) | ||||
CMO Series 2012-56 Class FK | ||||
1-month USD LIBOR + 0.450% Floor 0.450%, Cap 6.500% 06/25/2042 | 0.542% | 149,443 | 150,995 | |
CMO Series 2013-5 Class GF | ||||
1-month USD LIBOR + 1.100% Floor 1.100%, Cap 5.000% 10/25/2042 | 1.192% | 319,723 | 322,622 | |
CMO Series 2019-33 Class FN | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 07/25/2049 | 0.492% | 260,482 | 262,162 | |
Government National Mortgage Association(e) | ||||
CMO Series 2017-136 Class IO | ||||
09/20/2047 | 5.000% | 1,092,346 | 168,338 | |
CMO Series 2018-63 Class IO | ||||
09/20/2047 | 4.000% | 1,307,907 | 215,226 | |
Government National Mortgage Association(b) | ||||
CMO Series 2019-86 Class FE | ||||
1-month USD LIBOR + 0.400% Floor 0.400%, Cap 6.500% 07/20/2049 | 0.499% | 288,360 | 291,571 | |
Government National Mortgage Association(c) | ||||
CMO Series 2020-133 Class FA | ||||
02/20/2049 | 0.516% | 195,949 | 193,811 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Uniform Mortgage-Backed Security TBA(d) | ||||
07/14/2050 | 2.500% | 8,450,000 | 8,729,576 | |
07/14/2051 | 2.000% | 8,125,000 | 8,188,159 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $19,014,328) | 18,843,794 | |||
Residential Mortgage-Backed Securities - Non-Agency 7.6% | ||||
ABFC Trust(b) | ||||
CMO Series 2007-WMC1 Class A1A | ||||
1-month USD LIBOR + 1.250% Floor 1.250% 06/25/2037 | 1.342% | 773,395 | 683,340 | |
Adjustable Rate Mortgage Trust(b) | ||||
CMO Series 2005-9 Class 5A3 | ||||
1-month USD LIBOR + 0.640% Floor 0.640%, Cap 11.000% 11/25/2035 | 0.732% | 265,139 | 267,211 | |
Alternative Loan Trust(c) | ||||
CMO Series 2005-43 Class 1A | ||||
10/25/2035 | 2.888% | 248,030 | 244,748 | |
Alternative Loan Trust(b) | ||||
CMO Series 2007-OH3 Class A1B | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 10.000% 09/25/2047 | 0.312% | 560,458 | 530,683 | |
American Home Mortgage Investment Trust(b) | ||||
CMO Series 2005-1 Class 6A | ||||
6-month USD LIBOR + 2.000% Floor 2.000% 06/25/2045 | 2.171% | 224,439 | 230,460 | |
Arroyo Mortgage Trust(a),(c) | ||||
CMO Series 2019-1 Class A1 | ||||
01/25/2049 | 3.805% | 136,617 | 139,774 | |
CMO Series 2019-2 Class A1 | ||||
04/25/2049 | 3.347% | 184,937 | 189,011 | |
CMO Series 2019-3 Class A1 | ||||
10/25/2048 | 2.962% | 99,458 | 101,342 | |
Asset-Backed Securities Corp. Home Equity Loan Trust(b) | ||||
CMO Series 2004-HE6 Class M1 | ||||
1-month USD LIBOR + 0.945% Floor 0.945% 09/25/2034 | 1.037% | 238,077 | 238,149 | |
Banc of America Funding Trust(b) | ||||
CMO Series 2005-B Class 3M1 | ||||
1-month USD LIBOR + 0.675% Floor 0.675%, Cap 11.000% 04/20/2035 | 0.774% | 475,088 | 475,797 | |
CMO Series 2006-G Class 2A1 | ||||
1-month USD LIBOR + 0.220% Floor 0.220%, Cap 10.500% 07/20/2036 | 0.539% | 93,650 | 93,611 |
22 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Banc of America Funding Trust(a),(c) | ||||
CMO Series 2016-R1 Class A1 | ||||
03/25/2040 | 2.500% | 69,782 | 69,719 | |
Subordinated CMO Series 2014-R6 Class 2A13 | ||||
07/26/2036 | 0.366% | 925,000 | 902,508 | |
BCAP LLC Trust(a),(b) | ||||
CMO Series 2014-RR2 Class 6A1 | ||||
1-month USD LIBOR + 0.240% Floor 0.240% 10/26/2036 | 0.586% | 59,029 | 58,976 | |
CMO Series 2014-RR5 Class 1A4 | ||||
1-month USD LIBOR + 0.225% Floor 0.220%, Cap 14.000% 01/26/2036 | 0.556% | 170,186 | 169,671 | |
Bear Stearns Alt-A Trust(b) | ||||
CMO Series 2004-6 Class M1 | ||||
1-month USD LIBOR + 0.825% Floor 0.825%, Cap 11.500% 07/25/2034 | 0.917% | 737,015 | 751,314 | |
Bear Stearns Mortgage Funding Trust(b) | ||||
CMO Series 2006-AR3 Class 1A1 | ||||
1-month USD LIBOR + 0.180% Floor 0.180%, Cap 10.500% 10/25/2036 | 0.272% | 395,368 | 375,539 | |
CMO Series 2006-AR4 Class A1 | ||||
1-month USD LIBOR + 0.210% Floor 0.210%, Cap 10.500% 12/25/2036 | 0.302% | 579,522 | 557,674 | |
CMO Series 2007-AR3 Class 21A1 | ||||
1-month USD LIBOR + 0.150% Floor 0.150%, Cap 10.500% 04/25/2037 | 0.242% | 404,197 | 383,147 | |
Centex Home Equity Loan Trust(b) | ||||
CMO Series 2005-A Class M1 | ||||
1-month USD LIBOR + 0.720% Floor 0.480% 01/25/2035 | 0.812% | 523,672 | 520,235 | |
CMO Series 2005-D Class M4 | ||||
1-month USD LIBOR + 0.610% Floor 0.610% 10/25/2035 | 1.007% | 710,000 | 712,462 | |
CIM Trust(a),(c) | ||||
CMO Series 2018-R4 Class A1 | ||||
12/26/2057 | 4.070% | 488,491 | 489,717 | |
CMO Series 2021-R3 Class A1A | ||||
06/25/2057 | 1.951% | 718,634 | 725,549 | |
Citigroup Mortgage Loan Trust, Inc.(c) | ||||
CMO Series 2006-AR2 Class 1A1 | ||||
03/25/2036 | 2.779% | 311,971 | 275,508 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Citigroup Mortgage Loan Trust, Inc.(b) | ||||
CMO Series 2006-HE1 Class M3 | ||||
1-month USD LIBOR + 0.360% Floor 0.360% 01/25/2036 | 0.632% | 261,305 | 261,071 | |
Countrywide Asset-Backed Certificates(b) | ||||
CMO Series 2004-AB2 Class M2 | ||||
1-month USD LIBOR + 0.855% Floor 0.855% 05/25/2036 | 0.947% | 179,718 | 179,748 | |
CMO Series 2007-13 Class 2A1 | ||||
1-month USD LIBOR + 0.900% Floor 0.900% 10/25/2047 | 0.992% | 192,878 | 192,030 | |
CMO Series 2007-13 Class 2A2 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 10/25/2047 | 0.892% | 383,418 | 380,835 | |
Credit Suisse Mortgage Capital Trust(a) | ||||
CMO Series 2015-2R Class 1A1 | ||||
08/27/2037 | 3.000% | 152,809 | 154,211 | |
CMO Series 20154R Class 5A1 | ||||
10/27/2036 | 3.000% | 107,217 | 107,822 | |
Credit Suisse Mortgage Trust(a),(c) | ||||
CMO Series 2019-NQM1 Class A1 | ||||
10/25/2059 | 2.656% | 73,732 | 75,080 | |
CSMC Trust(a),(c) | ||||
CMO Series 2011-5R Class 6A9 | ||||
11/27/2037 | 3.144% | 177,418 | 177,129 | |
CMO Series 2021-RPL4 Class A1 | ||||
01/25/2060 | 1.796% | 725,156 | 724,826 | |
CWABS Asset-Backed Certificates Trust(b) | ||||
CMO Series 2004-10 Class MV4 | ||||
1-month USD LIBOR + 1.575% Floor 1.575% 12/25/2034 | 1.667% | 920,101 | 920,453 | |
CMO Series 2005-14 Class M2 | ||||
1-month USD LIBOR + 0.470% Floor 0.470% 04/25/2036 | 0.797% | 569,890 | 568,577 | |
CMO Series 2005-17 Class MV1 | ||||
1-month USD LIBOR + 0.460% Floor 0.460% 05/25/2036 | 0.552% | 756,444 | 752,025 | |
First Franklin Mortgage Loan Trust(b) | ||||
CMO Series 2004-FF11 Class M3 | ||||
1-month USD LIBOR + 0.900% Floor 0.900% 01/25/2035 | 0.992% | 354,300 | 355,300 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 23 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2006-FF4 Class A3 | ||||
1-month USD LIBOR + 0.280% Floor 0.280% 03/25/2036 | 0.560% | 394,142 | 391,388 | |
First Horizon Mortgage Pass-Through Trust(c) | ||||
CMO Series 2005-AR4 Class 2A1 | ||||
10/25/2035 | 2.941% | 237,441 | 238,880 | |
First NLC Trust(b) | ||||
CMO Series 2005-4 Class A4 | ||||
1-month USD LIBOR + 0.390% Floor 0.390%, Cap 14.000% 02/25/2036 | 0.872% | 493,492 | 487,638 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(b) | ||||
CMO Series 2017-DNA2 Class M1 | ||||
1-month USD LIBOR + 1.200% 10/25/2029 | 1.292% | 34,054 | 34,153 | |
CMO Series 2017-DNA3 Class M1 | ||||
1-month USD LIBOR + 0.750% 03/25/2030 | 0.842% | 54,707 | 54,712 | |
GE-WMC Asset-Backed Pass-Through Certificates(b) | ||||
CMO Series 2005-1 Class M1 | ||||
1-month USD LIBOR + 0.660% Floor 0.660% 10/25/2035 | 0.752% | 659,057 | 654,440 | |
GMACM Mortgage Loan Trust(c) | ||||
CMO Series 2006-AR1 Class 1A1 | ||||
04/19/2036 | 3.051% | 504,257 | 439,943 | |
GSAMP Trust(b) | ||||
CMO Series 2005-WMC3 Class A2C | ||||
1-month USD LIBOR + 0.330% Floor 0.330% 12/25/2035 | 0.752% | 810,000 | 796,951 | |
CMO Series 2006-HE7 Class A2D | ||||
1-month USD LIBOR + 0.230% Floor 0.230% 10/25/2046 | 0.322% | 457,099 | 454,039 | |
CMO Series 2007-FM2 Class A1 | ||||
1-month USD LIBOR + 0.140% Floor 0.140% 01/25/2037 | 0.232% | 922,406 | 672,999 | |
HarborView Mortgage Loan Trust(b) | ||||
CMO Series 2007-6 Class 1A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200%, Cap 10.500% 08/19/2037 | 0.298% | 649,224 | 610,332 | |
Home Equity Mortgage Loan Asset-Backed Trust(b) | ||||
CMO Series 2005-D Class AII4 | ||||
1-month USD LIBOR + 0.350% Floor 0.350% 03/25/2036 | 0.792% | 302,224 | 301,580 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
HSI Asset Securitization Corp. Trust(b) | ||||
CMO Series 2006-HE2 Class 1A | ||||
1-month USD LIBOR + 0.130% Floor 0.130% 12/25/2036 | 0.352% | 1,364,250 | 712,191 | |
Impac CMB Trust(b) | ||||
CMO Series 2004-8 Class 2A1 (FGIC) | ||||
1-month USD LIBOR + 0.700% Floor 0.700%, Cap 11.000% 10/25/2034 | 0.792% | 470,725 | 476,800 | |
Impac Secured Assets Trust(b) | ||||
CMO Series 2006-5 Class 1A1C | ||||
1-month USD LIBOR + 0.270% Floor 0.270%, Cap 11.500% 02/25/2037 | 0.362% | 737,155 | 691,236 | |
IndyMac INDX Mortgage Loan Trust(b) | ||||
CMO Series 2006-AR2 Class 1A1A | ||||
1-month USD LIBOR + 0.220% Floor 0.220% 04/25/2046 | 0.312% | 417,062 | 394,813 | |
CMO Series 2006-AR2 Class 1A1B | ||||
1-month USD LIBOR + 0.210% Floor 0.210% 04/25/2046 | 0.302% | 313,059 | 295,594 | |
JPMorgan Alternative Loan Trust(b) | ||||
CMO Series 2006-A1 Class 1A1 | ||||
1-month USD LIBOR + 0.460% Floor 0.230%, Cap 11.500% 03/25/2036 | 0.552% | 746,406 | 727,695 | |
CMO Series 2007-S1 Class A2 | ||||
1-month USD LIBOR + 0.340% Floor 0.340%, Cap 11.500% 04/25/2047 | 0.432% | 255,255 | 249,895 | |
JPMorgan Mortgage Acquisition Trust(b) | ||||
CMO Series 2006-FRE1 Class M1 | ||||
1-month USD LIBOR + 0.390% Floor 0.390% 05/25/2035 | 0.677% | 502,859 | 500,675 | |
CMO Series 2007-HE1 Class AV4 | ||||
1-month USD LIBOR + 0.280% Floor 0.280% 03/25/2047 | 0.372% | 1,103,000 | 1,001,445 | |
Legacy Mortgage Asset Trust(a),(c) | ||||
CMO Series 2020-GS2 Class A1 | ||||
03/25/2060 | 2.750% | 676,360 | 679,843 | |
Lehman Mortgage Trust | ||||
CMO Series 2006-1 Class 1A5 | ||||
02/25/2036 | 5.500% | 636,979 | 505,764 |
24 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Lehman XS Trust(b) | ||||
CMO Series 2006-15 Class A4 | ||||
1-month USD LIBOR + 0.340% Floor 0.340% 10/25/2036 | 0.432% | 682,874 | 670,361 | |
CMO Series 2006-2N Class 2A1 | ||||
1-year MTA + 1.010% Floor 1.010% 02/25/2036 | 2.148% | 598,407 | 609,662 | |
CMO Series 2007-16N Class 2A2 | ||||
1-month USD LIBOR + 0.850% Floor 0.850% 09/25/2047 | 0.942% | 779,318 | 790,260 | |
MASTR Adjustable Rate Mortgages Trust(b) | ||||
Subordinated CMO Series 2004-14 Class B1 | ||||
1-month USD LIBOR + 2.150% Floor 2.150% 01/25/2035 | 2.242% | 543,755 | 575,109 | |
Mastr Asset Backed Securities Trust(b) | ||||
CMO Series 2005-WF1 Class M6 | ||||
1-month USD LIBOR + 0.990% Floor 0.990% 06/25/2035 | 1.082% | 672,400 | 664,959 | |
Mill City Mortgage Loan Trust(a),(c) | ||||
CMO Series 2018-3 Class A1 | ||||
08/25/2058 | 3.487% | 226,956 | 236,995 | |
Morgan Stanley ABS Capital I, Inc. Trust(b) | ||||
CMO Series 2005-WMC1 Class M3 | ||||
1-month USD LIBOR + 0.780% Floor 0.780% 01/25/2035 | 0.872% | 480,797 | 476,705 | |
CMO Series 2007-NC3 Class A2D | ||||
1-month USD LIBOR + 0.260% Floor 0.260% 05/25/2037 | 0.352% | 864,634 | 740,142 | |
Nomura Resecuritization Trust(a),(c) | ||||
CMO Series 2014-3R Class 3A9 | ||||
11/26/2035 | 0.626% | 200,535 | 200,675 | |
Option One Mortgage Loan Trust(b) | ||||
CMO Series 2005-2 Class M1 | ||||
1-month USD LIBOR + 0.660% Floor 0.660% 05/25/2035 | 0.752% | 231,653 | 231,418 | |
CMO Series 2007-5 Class 2A2 | ||||
1-month USD LIBOR + 0.170% Floor 0.170% 05/25/2037 | 0.262% | 1,008,763 | 682,615 | |
RALI Series Trust(b) | ||||
CMO Series 2006-QA6 Class A3 | ||||
1-month USD LIBOR + 0.190% Floor 0.190% 07/25/2036 | 0.472% | 470,493 | 454,906 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2007-QH6 Class A1 | ||||
1-month USD LIBOR + 0.190% Floor 0.190% 07/25/2037 | 0.282% | 441,245 | 424,085 | |
RALI Trust(b) | ||||
CMO Series 2006-QO10 Class A1 | ||||
1-month USD LIBOR + 0.160% Floor 0.160% 01/25/2037 | 0.412% | 639,915 | 614,507 | |
RAMP Trust(b) | ||||
CMO Series 2005-RS4 Class M4 | ||||
1-month USD LIBOR + 0.640% Floor 0.640% 04/25/2035 | 1.052% | 206,955 | 206,796 | |
CMO Series 2005-RZ3 Class M3 | ||||
1-month USD LIBOR + 0.550% Floor 0.550%, Cap 11.000% 09/25/2035 | 0.917% | 388,551 | 388,176 | |
CMO Series 2006-RZ2 Class M1 | ||||
1-month USD LIBOR + 0.495% Floor 0.495%, Cap 14.000% 05/25/2036 | 0.587% | 720,000 | 705,887 | |
Soundview Home Loan Trust(b) | ||||
CMO Series 2006-OPT5 Class 1A1 | ||||
1-month USD LIBOR + 0.140% Floor 0.140% 07/25/2036 | 0.232% | 530,044 | 519,176 | |
Stanwich Mortgage(a),(c) | ||||
CMO Series 2019-RPL1 Class A | ||||
03/15/2049 | 3.720% | 501,381 | 501,488 | |
Structured Adjustable Rate Mortgage Loan Trust(b) | ||||
CMO Series 2005-19XS Class 2A1 | ||||
1-month USD LIBOR + 0.300% Floor 0.300% 10/25/2035 | 0.392% | 308,792 | 310,718 | |
Series 2007-4 Class 1A2 | ||||
1-month USD LIBOR + 0.220% Floor 0.220% 05/25/2037 | 0.532% | 527,125 | 513,647 | |
Structured Asset Investment Loan Trust(b) | ||||
CMO Series 2004-6 Class A3 | ||||
1-month USD LIBOR + 0.800% Floor 0.800% 07/25/2034 | 0.892% | 520,207 | 514,393 | |
Structured Asset Mortgage Investments II Trust(b) | ||||
CMO Series 2006-AR8 Class A1A | ||||
1-month USD LIBOR + 0.200% Floor 0.200%, Cap 10.500% 10/25/2036 | 0.292% | 610,062 | 588,977 |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 25 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Thornburg Mortgage Securities Trust(b) | ||||
CMO Series 2004-3 Class A | ||||
1-month USD LIBOR + 0.740% Floor 0.370%, Cap 11.000% 09/25/2034 | 0.832% | 533,396 | 540,238 | |
Towd Point Mortgage Trust(a),(b) | ||||
CMO Series 2017-5 Class A1 | ||||
1-month USD LIBOR + 0.600% 02/25/2057 | 0.692% | 228,414 | 228,414 | |
Towd Point Mortgage Trust(a),(c) | ||||
CMO Series 2018-3 Class A1 | ||||
05/25/2058 | 3.750% | 86,021 | 91,269 | |
WaMu Asset-Backed Certificates Trust(b) | ||||
CMO Series 2007-HE1 Class 2A4 | ||||
1-month USD LIBOR + 0.230% Floor 0.230% 01/25/2037 | 0.322% | 1,308,430 | 823,837 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust(b) | ||||
CMO Series 2006-AR2 Class A1A | ||||
1-year MTA + 0.940% Floor 0.940% 04/25/2046 | 1.058% | 286,191 | 267,770 | |
Wells Fargo Alternative Loan Trust(b) | ||||
CMO Series 2005-2 Class M1 | ||||
1-month USD LIBOR + 0.675% Floor 0.675% 10/25/2035 | 0.767% | 39,638 | 39,759 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $38,322,474) | 39,021,202 |
Rights 0.0% | ||
Issuer | Shares | Value ($) |
Health Care 0.0% | ||
Biotechnology 0.0% | ||
Stemline Therapeutics, Inc.(f),(i),(j),(p) | 125,075 | 45,252 |
Total Health Care | 45,252 | |
Total Rights (Cost $—) | 45,252 |
Senior Loans 0.2% | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Airlines 0.0% | ||||
United AirLines, Inc.(b),(q),(r) | ||||
Tranche B Term Loan | ||||
3-month USD LIBOR + 3.750% Floor 0.750% 04/21/2028 | 4.500% | 61,000 | 61,534 |
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
Chemicals 0.0% | ||||
SCIH Salt Holdings, Inc.(b),(r) | ||||
Tranche B1 1st Lien Term Loan | ||||
1-month USD LIBOR + 4.000% Floor 0.750% 03/16/2027 | 4.750% | 125,000 | 124,125 | |
Leisure 0.0% | ||||
Carnival Corp.(b),(q),(r) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.750% 06/30/2025 | 3.750% | 65,000 | 65,217 | |
Lodging 0.0% | ||||
Hilton Grand Vacations Borrower LLC(b),(q),(r) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 05/19/2028 | 3.500% | 95,000 | 95,119 | |
Marriott Ownership Reports, Inc.(b),(q),(r) | ||||
Term Loan | ||||
1-month USD LIBOR + 1.750% 08/29/2025 | 1.840% | 7,000 | 6,886 | |
Total | 102,005 | |||
Other Industry 0.0% | ||||
AECOM(b),(r) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 1.750% 04/13/2028 | 1.843% | 80,000 | 79,775 | |
Pharmaceuticals 0.1% | ||||
Jazz Pharmaceuticals, Inc.(b),(r) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.500% Floor 0.500% 05/05/2028 | 4.000% | 95,000 | 95,390 | |
Organon & Co.(b),(q),(r) | ||||
Term Loan | ||||
1-month USD LIBOR + 3.000% Floor 0.500% 06/02/2028 | 3.500% | 115,000 | 114,836 | |
Total | 210,226 | |||
Restaurants 0.0% | ||||
KFC Holding Co./Yum! Brands(b),(q),(r) | ||||
Tranche B Term Loan | ||||
1-month USD LIBOR + 1.750% 03/15/2028 | 1.848% | 24,000 | 24,010 |
26 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Senior Loans (continued) | ||||
Borrower | Coupon Rate | Principal Amount ($) | Value ($) | |
New Red Finance, Inc./Burger King/Tim Hortons(b),(q),(r) | ||||
Tranche B4 Term Loan | ||||
3-month USD LIBOR + 1.750% 11/19/2026 | 1.843% | 45,000 | 44,283 | |
Total | 68,293 | |||
Technology 0.1% | ||||
Dell International LLC./EMC Corp.(b),(q),(r) | ||||
Tranche B2 Term Loan | ||||
1-month USD LIBOR + 1.750% Floor 0.250% 09/19/2025 | 2.000% | 396,112 | 396,041 | |
Transportation Services 0.0% | ||||
Signature Aviation(b),(q),(r) | ||||
Term Loan | ||||
1-month USD LIBOR + 2.750% Floor 0.500% 04/22/2028 | 3.250% | 125,000 | 124,781 | |
Total Senior Loans (Cost $1,233,146) | 1,231,997 | |||
Treasury Bills 4.9% | ||||
Issuer | Effective Yield | Principal Amount ($) | Value ($) | |
United States 4.9% | ||||
U.S. Treasury Bills | ||||
06/10/2021 | 0.010% | 265,000 | 264,999 | |
06/24/2021 | 0.010% | 130,000 | 129,999 | |
07/22/2021 | 0.000% | 560,000 | 559,997 | |
07/29/2021 | 0.000% | 2,312,000 | 2,311,985 | |
08/05/2021 | 0.010% | 1,956,000 | 1,955,967 | |
08/12/2021 | 0.010% | 4,933,000 | 4,932,890 | |
08/17/2021 | 0.010% | 530,000 | 529,991 | |
08/19/2021 | 0.010% | 4,551,000 | 4,550,908 | |
08/26/2021 | 0.010% | 3,425,000 | 3,424,902 | |
08/31/2021 | 0.010% | 1,240,000 | 1,239,981 | |
09/02/2021 | 0.010% | 1,035,000 | 1,034,972 | |
09/09/2021 | 0.010% | 3,111,000 | 3,110,891 | |
09/16/2021 | 0.010% | 559,000 | 558,987 | |
11/18/2021 | 0.020% | 190,000 | 189,981 | |
11/26/2021 | 0.030% | 351,000 | 350,947 | |
Total | 25,147,397 | |||
Total Treasury Bills (Cost $25,145,153) | 25,147,397 | |||
U.S. Treasury Obligations 1.0% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
U.S. Treasury | ||||
02/29/2024 | 2.375% | 300,000 | 317,461 | |
04/30/2026 | 2.375% | 60,000 | 64,664 | |
11/15/2026 | 2.000% | 260,000 | 275,194 | |
02/15/2029 | 2.625% | 95,000 | 103,906 | |
02/15/2038 | 4.375% | 905,000 | 1,217,508 | |
11/15/2042 | 2.750% | 305,000 | 333,784 | |
02/15/2049 | 3.000% | 1,110,000 | 1,281,010 | |
02/15/2050 | 2.000% | 1,480,000 | 1,394,206 | |
Total U.S. Treasury Obligations (Cost $4,710,445) | 4,987,733 |
Options Purchased Calls 0.0% | ||||
Value ($) | ||||
(Cost $225,205) | 131,617 | |||
Options Purchased Puts 0.0% | ||||
(Cost $85,115) | 32,350 |
Money Market Funds 24.3% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 0.042%(s),(t) | 123,934,863 | 123,922,469 |
Total Money Market Funds (Cost $123,926,538) | 123,922,469 | |
Total Investments in Securities (Cost $504,653,166) | 514,177,144 | |
Investments in Securities Sold Short | ||
Common Stocks (8.8)% | ||
Issuer | Shares | Value ($) |
Communication Services (0.0)% | ||
Diversified Telecommunication Services (0.0)% | ||
Cincinnati Bell, Inc.(f) | (11,149) | (171,695) |
Total Communication Services | (171,695) | |
Consumer Discretionary (0.2)% | ||
Auto Components (0.2)% | ||
Cooper Tire & Rubber Co. | (17,152) | (1,018,486) |
Total Consumer Discretionary | (1,018,486) | |
Consumer Staples (0.1)% | ||
Food & Staples Retailing (0.1)% | ||
Performance Food Group Co.(f) | (11,901) | (596,597) |
Total Consumer Staples | (596,597) |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 27 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Energy (0.3)% | ||
Oil, Gas & Consumable Fuels (0.3)% | ||
Cabot Oil & Gas Corp. | (101,224) | (1,660,073) |
Total Energy | (1,660,073) | |
Financials (2.4)% | ||
Capital Markets (1.3)% | ||
S&P Global, Inc. | (17,937) | (6,806,554) |
Insurance (1.1)% | ||
Aon PLC, Class A | (20,871) | (5,288,085) |
Total Financials | (12,094,639) | |
Health Care (1.1)% | ||
Life Sciences Tools & Services (0.1)% | ||
ICON PLC(f) | (3,382) | (756,756) |
Pharmaceuticals (1.0)% | ||
Astrazeneca PLC, ADR | (86,716) | (4,922,868) |
Total Health Care | (5,679,624) | |
Industrials (1.0)% | ||
Commercial Services & Supplies (0.1)% | ||
Herman Miller, Inc. | (5,664) | (270,739) |
Machinery (0.5)% | ||
Middleby Corp.(f) | (15,454) | (2,538,783) |
Road & Rail (0.4)% | ||
Canadian National Railway Co. | (18,329) | (2,063,296) |
Total Industrials | (4,872,818) | |
Information Technology (2.8)% | ||
Electronic Equipment, Instruments & Components (0.3)% | ||
II-VI, Inc.(f) | (22,704) | (1,529,569) |
Common Stocks (continued) | ||
Issuer | Shares | Value ($) |
Semiconductors & Semiconductor Equipment (2.0)% | ||
Advanced Micro Devices, Inc.(f) | (72,827) | (5,831,986) |
Analog Devices, Inc. | (25,692) | (4,228,903) |
Total | (10,060,889) | |
Software (0.5)% | ||
Salesforce.com, Inc.(f) | (11,082) | (2,638,624) |
Total Information Technology | (14,229,082) | |
Real Estate (0.9)% | ||
Equity Real Estate Investment Trusts (REITS) (0.9)% | ||
Equity Commonwealth | (67,017) | (1,838,946) |
Realty Income Corp. | (37,477) | (2,563,427) |
Total | (4,402,373) | |
Total Real Estate | (4,402,373) | |
Total Common Stocks (Proceeds $42,444,978) | (44,725,387) | |
Exchange-Traded Equity Funds (0.1)% | ||
Financials (0.1)% | ||
Diversified Financial Services (0.1)% | ||
iShares Russell 2000 ETF | (2,305) | (519,777) |
Total Financials | (519,777) | |
Total Exchange-Traded Equity Funds (Proceeds $498,483) | (519,777) | |
Total Investments in Securities Sold Short (Proceeds $42,943,461) | (45,245,164) | |
Total Investments in Securities, Net of Securities Sold Short | 468,931,980 | |
Other Assets & Liabilities, Net | 41,215,480 | |
Net Assets | 510,147,460 |
At May 31, 2021, securities and/or cash totaling $98,922,969 were pledged as collateral.
Investments in derivatives
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
650,000 AUD | 503,749 USD | ANZ Securities | 06/16/2021 | 2,631 | — |
703,533 NZD | 653,750 AUD | ANZ Securities | 06/16/2021 | — | (5,610) |
427,803 NZD | 306,747 USD | ANZ Securities | 06/16/2021 | — | (3,141) |
431,768 USD | 601,805 NZD | ANZ Securities | 06/16/2021 | 4,162 | — |
653,750 AUD | 714,270 NZD | Barclays | 06/16/2021 | 13,388 | — |
28 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
476,125 CAD | 389,000 USD | Barclays | 06/16/2021 | — | (5,120) |
633,750 EUR | 744,639 USD | Barclays | 06/16/2021 | — | (28,397) |
70,839,275 JPY | 650,000 USD | Barclays | 06/16/2021 | 4,968 | — |
710,370 USD | 512,513 GBP | Barclays | 06/16/2021 | 16,977 | — |
645,000 USD | 808,283 CAD | BMO Capital Markets Corp. | 06/16/2021 | 24,068 | — |
476,288 CAD | 323,750 EUR | CIBC | 06/16/2021 | 650 | — |
476,280 CAD | 389,000 USD | CIBC | 06/16/2021 | — | (5,248) |
323,750 EUR | 3,259,188 NOK | CIBC | 06/16/2021 | — | (5,178) |
24,831,985 JPY | 229,128 USD | CIBC | 06/16/2021 | 3,018 | — |
646,250 USD | 784,742 CAD | CIBC | 06/16/2021 | 3,331 | — |
3,811,000 AUD | 2,974,183 USD | Citi | 06/16/2021 | 36,088 | — |
370,000 AUD | 282,503 USD | Citi | 06/16/2021 | — | (2,749) |
10,075,500 BRL | 1,863,058 USD | Citi | 06/16/2021 | — | (67,582) |
326,875 CAD | 29,327,716 JPY | Citi | 06/16/2021 | — | (3,530) |
1,486,500 CAD | 1,231,250 USD | Citi | 06/16/2021 | 778 | — |
763,000 CAD | 608,815 USD | Citi | 06/16/2021 | — | (22,769) |
587,000 CHF | 654,767 USD | Citi | 06/16/2021 | 1,945 | — |
2,887,000 CHF | 3,145,737 USD | Citi | 06/16/2021 | — | (64,991) |
421,038,496 CLP | 586,469 USD | Citi | 06/16/2021 | 5,410 | — |
156,339,000 CLP | 213,614 USD | Citi | 06/16/2021 | — | (2,144) |
206,455,460 COP | 56,255 USD | Citi | 06/16/2021 | 627 | — |
1,972,625 EUR | 2,357,051 USD | Citi | 06/16/2021 | — | (49,119) |
180,500 GBP | 251,812 USD | Citi | 06/16/2021 | — | (4,350) |
709,742,500 HUF | 2,369,250 USD | Citi | 06/16/2021 | — | (115,679) |
353,520,500 IDR | 24,753 USD | Citi | 06/16/2021 | 50 | — |
5,930,499,500 IDR | 406,581 USD | Citi | 06/16/2021 | — | (7,830) |
563,000 ILS | 173,361 USD | Citi | 06/16/2021 | 62 | — |
1,397,000 ILS | 424,462 USD | Citi | 06/16/2021 | — | (5,555) |
177,302,897 INR | 2,368,530 USD | Citi | 06/16/2021 | — | (73,375) |
200,041,476 JPY | 1,846,339 USD | Citi | 06/16/2021 | 24,848 | — |
9,565,000 JPY | 86,754 USD | Citi | 06/16/2021 | — | (341) |
711,205,000 KRW | 640,066 USD | Citi | 06/16/2021 | 2,039 | — |
5,030,041,016 KRW | 4,463,869 USD | Citi | 06/16/2021 | — | (48,621) |
20,651,500 MXN | 1,037,630 USD | Citi | 06/16/2021 | 2,483 | — |
10,551,500 MXN | 515,476 USD | Citi | 06/16/2021 | — | (13,414) |
5,374,500 NOK | 645,801 USD | Citi | 06/16/2021 | 3,131 | — |
1,896,500 NOK | 223,359 USD | Citi | 06/16/2021 | — | (3,420) |
699,698 NZD | 653,750 AUD | Citi | 06/16/2021 | — | (2,832) |
4,803,403 NZD | 3,373,142 USD | Citi | 06/16/2021 | — | (106,308) |
16,965,000 PHP | 348,278 USD | Citi | 06/16/2021 | — | (6,406) |
9,155,500 PLN | 2,396,227 USD | Citi | 06/16/2021 | — | (94,254) |
18,508,500 SEK | 2,240,762 USD | Citi | 06/16/2021 | 11,685 | — |
48,465,500 SEK | 5,719,389 USD | Citi | 06/16/2021 | — | (117,569) |
4,470,440 SGD | 3,339,596 USD | Citi | 06/16/2021 | — | (40,580) |
4,062,000 TWD | 147,187 USD | Citi | 06/16/2021 | 401 | — |
79,248,000 TWD | 2,829,269 USD | Citi | 06/16/2021 | — | (34,473) |
33,150 USD | 43,000 AUD | Citi | 06/16/2021 | — | — |
4,277,809 USD | 5,438,000 AUD | Citi | 06/16/2021 | — | (85,376) |
1,866,265 USD | 10,075,500 BRL | Citi | 06/16/2021 | 64,375 | — |
1,683,087 USD | 2,108,000 CAD | Citi | 06/16/2021 | 61,840 | — |
117,548 USD | 141,500 CAD | Citi | 06/16/2021 | — | (419) |
3,367,917 USD | 3,089,500 CHF | Citi | 06/16/2021 | 68,017 | — |
429,899 USD | 384,500 CHF | Citi | 06/16/2021 | — | (2,284) |
817,821 USD | 577,377,496 CLP | Citi | 06/16/2021 | — | (21,004) |
30,362 USD | 112,720,000 COP | Citi | 06/16/2021 | 10 | — |
25,968 USD | 93,735,460 COP | Citi | 06/16/2021 | — | (711) |
1,963,902 USD | 1,647,000 EUR | Citi | 06/16/2021 | 45,077 | — |
647,293 USD | 530,000 EUR | Citi | 06/16/2021 | — | (809) |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 29 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
891,088 USD | 641,113 GBP | Citi | 06/16/2021 | 18,765 | — |
2,362,214 USD | 709,742,500 HUF | Citi | 06/16/2021 | 122,715 | — |
224,911 USD | 3,226,589,380 IDR | Citi | 06/16/2021 | 557 | — |
214,219 USD | 3,057,430,620 IDR | Citi | 06/16/2021 | — | (571) |
472,584 USD | 1,542,000 ILS | Citi | 06/16/2021 | 2,065 | — |
128,848 USD | 418,000 ILS | Citi | 06/16/2021 | — | (182) |
2,405,462 USD | 177,302,897 INR | Citi | 06/16/2021 | 36,443 | — |
1,931,522 USD | 209,606,476 JPY | Citi | 06/16/2021 | — | (22,936) |
1,373,749 USD | 1,548,292,000 KRW | Citi | 06/16/2021 | 15,236 | — |
3,788,083 USD | 4,192,954,016 KRW | Citi | 06/16/2021 | — | (26,550) |
1,253,008 USD | 25,475,500 MXN | Citi | 06/16/2021 | 23,940 | — |
287,663 USD | 5,727,500 MXN | Citi | 06/16/2021 | — | (575) |
486,287 USD | 4,136,500 NOK | Citi | 06/16/2021 | 8,346 | — |
376,865 USD | 3,134,500 NOK | Citi | 06/16/2021 | — | (2,048) |
3,458,483 USD | 4,804,609 NZD | Citi | 06/16/2021 | 21,841 | — |
151,622 USD | 208,406 NZD | Citi | 06/16/2021 | — | (658) |
349,454 USD | 16,965,000 PHP | Citi | 06/16/2021 | 5,230 | — |
2,399,899 USD | 9,155,500 PLN | Citi | 06/16/2021 | 90,582 | — |
2,009,070 USD | 16,879,500 SEK | Citi | 06/16/2021 | 23,818 | — |
6,051,482 USD | 50,094,500 SEK | Citi | 06/16/2021 | — | (18,335) |
722,382 USD | 960,000 SGD | Citi | 06/16/2021 | 3,491 | — |
2,300,690 USD | 3,036,500 SGD | Citi | 06/16/2021 | — | (4,740) |
1,397,686 USD | 38,934,000 TWD | Citi | 06/16/2021 | 9,251 | — |
1,614,209 USD | 44,376,000 TWD | Citi | 06/16/2021 | — | (10,617) |
5,723,941 USD | 84,283,000 ZAR | Citi | 06/17/2021 | 379,677 | — |
84,283,000 ZAR | 5,911,758 USD | Citi | 06/17/2021 | — | (191,860) |
102,500 CAD | 85,034 USD | Citi | 09/15/2021 | 199 | — |
489,500 CAD | 404,490 USD | Citi | 09/15/2021 | — | (649) |
359,500 CHF | 402,935 USD | Citi | 09/15/2021 | 2,185 | — |
67,037,000 CLP | 93,487 USD | Citi | 09/15/2021 | 1,024 | — |
100,209,000 CLP | 136,786 USD | Citi | 09/15/2021 | — | (1,431) |
35,500 EUR | 43,397 USD | Citi | 09/15/2021 | 18 | — |
2,285,419,880 IDR | 157,533 USD | Citi | 09/15/2021 | — | (307) |
93,896,976 JPY | 860,397 USD | Citi | 09/15/2021 | 4,810 | — |
149,668,000 KRW | 132,563 USD | Citi | 09/15/2021 | — | (1,797) |
1,893,500 MXN | 94,110 USD | Citi | 09/15/2021 | 179 | — |
4,025,500 MXN | 198,964 USD | Citi | 09/15/2021 | — | (728) |
772,500 NOK | 92,688 USD | Citi | 09/15/2021 | 312 | — |
1,492,000 NZD | 1,080,180 USD | Citi | 09/15/2021 | — | (249) |
341,500 PHP | 7,065 USD | Citi | 09/15/2021 | — | (25) |
151,000 SEK | 18,313 USD | Citi | 09/15/2021 | 115 | — |
77,500 SEK | 9,332 USD | Citi | 09/15/2021 | — | (8) |
29,000 SGD | 21,773 USD | Citi | 09/15/2021 | — | (150) |
2,287,000 TWD | 83,132 USD | Citi | 09/15/2021 | — | (615) |
1,593,486 USD | 8,550,500 BRL | Citi | 09/15/2021 | 28,983 | — |
1,231,241 USD | 1,486,500 CAD | Citi | 09/15/2021 | — | (926) |
187,091 USD | 167,000 CHF | Citi | 09/15/2021 | — | (929) |
491,738 USD | 353,198,496 CLP | Citi | 09/15/2021 | — | (4,577) |
17,890 USD | 65,683,960 COP | Citi | 09/15/2021 | — | (278) |
43,406 USD | 35,500 EUR | Citi | 09/15/2021 | — | (27) |
794,227 USD | 227,828,504 HUF | Citi | 09/15/2021 | 1,777 | — |
256,753 USD | 73,205,000 HUF | Citi | 09/15/2021 | — | (984) |
108,345 USD | 1,573,709,000 IDR | Citi | 09/15/2021 | 341 | — |
81,163 USD | 1,174,770,000 IDR | Citi | 09/15/2021 | — | (28) |
280,166 USD | 20,807,898 INR | Citi | 09/15/2021 | 2,259 | — |
28,979 USD | 2,131,500 INR | Citi | 09/15/2021 | — | (48) |
863,375 USD | 93,897,000 JPY | Citi | 09/15/2021 | — | (7,788) |
458,158 USD | 516,195,516 KRW | Citi | 09/15/2021 | 5,244 | — |
30 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
62,373 USD | 1,260,500 MXN | Citi | 09/15/2021 | 156 | — |
1,080,911 USD | 21,739,500 MXN | Citi | 09/15/2021 | — | (2,484) |
645,885 USD | 5,374,500 NOK | Citi | 09/15/2021 | — | (3,196) |
259,622 USD | 359,500 NZD | Citi | 09/15/2021 | 709 | — |
824,890 USD | 1,132,500 NZD | Citi | 09/15/2021 | — | (4,792) |
282,846 USD | 13,694,500 PHP | Citi | 09/15/2021 | 1,481 | — |
2,339,885 USD | 8,621,500 PLN | Citi | 09/15/2021 | 5,873 | — |
453,129 USD | 1,656,500 PLN | Citi | 09/15/2021 | — | (2,425) |
1,975,724 USD | 16,299,000 SEK | Citi | 09/15/2021 | — | (11,385) |
757,357 USD | 1,008,000 SGD | Citi | 09/15/2021 | 4,623 | — |
1,519,970 USD | 41,885,000 TWD | Citi | 09/15/2021 | 13,808 | — |
4,278,296 USD | 60,498,500 ZAR | Citi | 09/15/2021 | 50,289 | — |
198,000 ZAR | 14,257 USD | Citi | 09/15/2021 | 91 | — |
609,500 ZAR | 43,239 USD | Citi | 09/15/2021 | — | (369) |
1,570,900 CAD | 1,297,709 USD | Goldman Sachs | 06/15/2021 | — | (2,628) |
297,500 EUR | 363,266 USD | Goldman Sachs | 06/15/2021 | 388 | — |
8,137,700 EUR | 9,786,176 USD | Goldman Sachs | 06/15/2021 | — | (139,843) |
694,000 GBP | 969,153 USD | Goldman Sachs | 06/15/2021 | — | (15,755) |
3,880,200 NOK | 466,302 USD | Goldman Sachs | 06/15/2021 | 2,317 | — |
7,773,100 NOK | 928,069 USD | Goldman Sachs | 06/15/2021 | — | (1,419) |
14,410 USD | 17,400 CAD | Goldman Sachs | 06/15/2021 | — | (7) |
1,010,169 USD | 844,200 EUR | Goldman Sachs | 06/15/2021 | 19,550 | — |
972,133 USD | 694,000 GBP | Goldman Sachs | 06/15/2021 | 12,775 | — |
15,172 USD | 125,500 NOK | Goldman Sachs | 06/15/2021 | — | (165) |
650,000 AUD | 505,008 USD | Goldman Sachs | 06/16/2021 | 3,889 | — |
650,000 AUD | 494,155 USD | Goldman Sachs | 06/16/2021 | — | (6,964) |
781,351 CAD | 647,500 USD | Goldman Sachs | 06/16/2021 | 725 | — |
476,134 CAD | 389,000 USD | Goldman Sachs | 06/16/2021 | — | (5,127) |
323,750 EUR | 478,522 CAD | Goldman Sachs | 06/16/2021 | 1,199 | — |
327,083 EUR | 3,323,919 NOK | Goldman Sachs | 06/16/2021 | — | (1,503) |
649,375 GBP | 907,826 USD | Goldman Sachs | 06/16/2021 | — | (13,753) |
3,246,856 NOK | 323,750 EUR | Goldman Sachs | 06/16/2021 | 6,652 | — |
474,665 SGD | 354,993 USD | Goldman Sachs | 06/16/2021 | — | (3,909) |
711,916 USD | 911,165 AUD | Goldman Sachs | 06/16/2021 | — | (9,452) |
900,335 USD | 648,750 GBP | Goldman Sachs | 06/16/2021 | 20,357 | — |
530,000 USD | 57,817,912 JPY | Goldman Sachs | 06/16/2021 | — | (3,535) |
476,255 CAD | 323,750 EUR | HSBC | 06/16/2021 | 677 | — |
485,085 CAD | 389,000 USD | HSBC | 06/16/2021 | — | (12,536) |
323,750 EUR | 3,264,153 NOK | HSBC | 06/16/2021 | — | (4,584) |
324,375 GBP | 450,359 USD | HSBC | 06/16/2021 | — | (9,987) |
7,782,960 NOK | 774,838 EUR | HSBC | 06/16/2021 | 14,464 | — |
380,764 USD | 277,027 GBP | HSBC | 06/16/2021 | 12,387 | — |
144,425 USD | 200,070 NZD | HSBC | 06/16/2021 | 500 | — |
3,811,000 AUD | 2,974,180 USD | JPMorgan | 06/16/2021 | 36,084 | — |
370,000 AUD | 282,503 USD | JPMorgan | 06/16/2021 | — | (2,749) |
10,075,500 BRL | 1,863,056 USD | JPMorgan | 06/16/2021 | — | (67,584) |
326,875 CAD | 29,317,864 JPY | JPMorgan | 06/16/2021 | — | (3,620) |
1,486,500 CAD | 1,231,248 USD | JPMorgan | 06/16/2021 | 776 | — |
763,000 CAD | 608,815 USD | JPMorgan | 06/16/2021 | — | (22,770) |
587,000 CHF | 654,766 USD | JPMorgan | 06/16/2021 | 1,944 | — |
2,887,000 CHF | 3,145,733 USD | JPMorgan | 06/16/2021 | — | (64,995) |
421,038,496 CLP | 586,468 USD | JPMorgan | 06/16/2021 | 5,409 | — |
156,339,000 CLP | 213,614 USD | JPMorgan | 06/16/2021 | — | (2,144) |
206,455,460 COP | 56,255 USD | JPMorgan | 06/16/2021 | 627 | — |
652,500 EUR | 562,013 GBP | JPMorgan | 06/16/2021 | 1,690 | — |
2,280,750 EUR | 2,707,402 USD | JPMorgan | 06/16/2021 | — | (74,613) |
829,875 GBP | 1,158,795 USD | JPMorgan | 06/16/2021 | — | (18,946) |
709,742,500 HUF | 2,369,247 USD | JPMorgan | 06/16/2021 | — | (115,682) |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 31 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
353,520,500 IDR | 24,753 USD | JPMorgan | 06/16/2021 | 50 | — |
5,930,499,500 IDR | 406,580 USD | JPMorgan | 06/16/2021 | — | (7,831) |
563,000 ILS | 173,361 USD | JPMorgan | 06/16/2021 | 62 | — |
1,397,000 ILS | 424,461 USD | JPMorgan | 06/16/2021 | — | (5,555) |
1 INR | 0 USD | JPMorgan | 06/16/2021 | — | — |
177,302,896 INR | 2,368,527 USD | JPMorgan | 06/16/2021 | — | (73,378) |
200,041,476 JPY | 1,846,336 USD | JPMorgan | 06/16/2021 | 24,846 | — |
9,565,000 JPY | 86,754 USD | JPMorgan | 06/16/2021 | — | (341) |
711,205,000 KRW | 640,065 USD | JPMorgan | 06/16/2021 | 2,038 | — |
5,030,041,016 KRW | 4,463,864 USD | JPMorgan | 06/16/2021 | — | (48,626) |
20,651,500 MXN | 1,037,629 USD | JPMorgan | 06/16/2021 | 2,482 | — |
10,551,500 MXN | 515,475 USD | JPMorgan | 06/16/2021 | — | (13,414) |
5,374,500 NOK | 645,800 USD | JPMorgan | 06/16/2021 | 3,130 | — |
1,896,500 NOK | 223,359 USD | JPMorgan | 06/16/2021 | — | (3,420) |
4,593,000 NZD | 3,221,384 USD | JPMorgan | 06/16/2021 | — | (105,657) |
16,965,000 PHP | 348,278 USD | JPMorgan | 06/16/2021 | — | (6,406) |
9,155,500 PLN | 2,396,224 USD | JPMorgan | 06/16/2021 | — | (94,257) |
18,508,500 SEK | 2,240,760 USD | JPMorgan | 06/16/2021 | 11,683 | — |
48,465,500 SEK | 5,719,382 USD | JPMorgan | 06/16/2021 | — | (117,576) |
3,996,500 SGD | 2,984,600 USD | JPMorgan | 06/16/2021 | — | (37,222) |
4,062,000 TWD | 147,187 USD | JPMorgan | 06/16/2021 | 401 | — |
79,248,000 TWD | 2,829,192 USD | JPMorgan | 06/16/2021 | — | (34,551) |
33,150 USD | 43,000 AUD | JPMorgan | 06/16/2021 | — | — |
3,274,782 USD | 4,138,000 AUD | JPMorgan | 06/16/2021 | — | (84,585) |
1,866,267 USD | 10,075,500 BRL | JPMorgan | 06/16/2021 | 64,373 | — |
2,984,756 USD | 3,739,337 CAD | JPMorgan | 06/16/2021 | 110,534 | — |
117,548 USD | 141,500 CAD | JPMorgan | 06/16/2021 | — | (419) |
3,367,921 USD | 3,089,500 CHF | JPMorgan | 06/16/2021 | 68,013 | — |
429,899 USD | 384,500 CHF | JPMorgan | 06/16/2021 | — | (2,284) |
817,822 USD | 577,377,496 CLP | JPMorgan | 06/16/2021 | — | (21,005) |
30,362 USD | 112,720,000 COP | JPMorgan | 06/16/2021 | 10 | — |
25,968 USD | 93,735,460 COP | JPMorgan | 06/16/2021 | — | (712) |
2,355,644 USD | 1,972,625 EUR | JPMorgan | 06/16/2021 | 50,527 | — |
251,312 USD | 180,500 GBP | JPMorgan | 06/16/2021 | 4,849 | — |
2,362,217 USD | 709,742,500 HUF | JPMorgan | 06/16/2021 | 122,712 | — |
224,911 USD | 3,226,589,380 IDR | JPMorgan | 06/16/2021 | 557 | — |
214,214 USD | 3,057,430,620 IDR | JPMorgan | 06/16/2021 | — | (566) |
472,585 USD | 1,542,000 ILS | JPMorgan | 06/16/2021 | 2,065 | — |
128,848 USD | 418,000 ILS | JPMorgan | 06/16/2021 | — | (182) |
2,405,458 USD | 177,302,897 INR | JPMorgan | 06/16/2021 | 36,447 | — |
1,931,524 USD | 209,606,476 JPY | JPMorgan | 06/16/2021 | — | (22,938) |
1,373,751 USD | 1,548,292,000 KRW | JPMorgan | 06/16/2021 | 15,234 | — |
3,788,154 USD | 4,192,954,016 KRW | JPMorgan | 06/16/2021 | — | (26,621) |
1,253,009 USD | 25,475,500 MXN | JPMorgan | 06/16/2021 | 23,939 | — |
287,664 USD | 5,727,500 MXN | JPMorgan | 06/16/2021 | — | (575) |
486,288 USD | 4,136,500 NOK | JPMorgan | 06/16/2021 | 8,345 | — |
376,865 USD | 3,134,500 NOK | JPMorgan | 06/16/2021 | — | (2,049) |
3,309,266 USD | 4,593,000 NZD | JPMorgan | 06/16/2021 | 17,775 | — |
349,358 USD | 16,965,000 PHP | JPMorgan | 06/16/2021 | 5,326 | — |
2,399,902 USD | 9,155,500 PLN | JPMorgan | 06/16/2021 | 90,579 | — |
2,009,072 USD | 16,879,500 SEK | JPMorgan | 06/16/2021 | 23,816 | — |
6,051,489 USD | 50,094,500 SEK | JPMorgan | 06/16/2021 | — | (18,342) |
722,383 USD | 960,000 SGD | JPMorgan | 06/16/2021 | 3,490 | — |
2,300,693 USD | 3,036,500 SGD | JPMorgan | 06/16/2021 | — | (4,743) |
1,397,688 USD | 38,934,000 TWD | JPMorgan | 06/16/2021 | 9,249 | — |
1,614,172 USD | 44,376,000 TWD | JPMorgan | 06/16/2021 | — | (10,580) |
5,723,948 USD | 84,283,000 ZAR | JPMorgan | 06/17/2021 | 379,670 | — |
84,283,000 ZAR | 5,911,751 USD | JPMorgan | 06/17/2021 | — | (191,867) |
32 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
102,500 CAD | 85,034 USD | JPMorgan | 09/15/2021 | 199 | — |
489,500 CAD | 404,490 USD | JPMorgan | 09/15/2021 | — | (650) |
359,500 CHF | 402,934 USD | JPMorgan | 09/15/2021 | 2,185 | — |
67,037,000 CLP | 93,487 USD | JPMorgan | 09/15/2021 | 1,024 | — |
100,209,000 CLP | 136,786 USD | JPMorgan | 09/15/2021 | — | (1,431) |
35,500 EUR | 43,397 USD | JPMorgan | 09/15/2021 | 18 | — |
2,285,419,880 IDR | 157,527 USD | JPMorgan | 09/15/2021 | — | (313) |
93,896,976 JPY | 860,396 USD | JPMorgan | 09/15/2021 | 4,809 | — |
149,668,000 KRW | 132,563 USD | JPMorgan | 09/15/2021 | — | (1,798) |
1,893,500 MXN | 94,110 USD | JPMorgan | 09/15/2021 | 179 | — |
4,025,500 MXN | 198,964 USD | JPMorgan | 09/15/2021 | — | (729) |
772,500 NOK | 92,688 USD | JPMorgan | 09/15/2021 | 311 | — |
1,492,000 NZD | 1,080,179 USD | JPMorgan | 09/15/2021 | — | (251) |
341,500 PHP | 7,065 USD | JPMorgan | 09/15/2021 | — | (25) |
151,000 SEK | 18,313 USD | JPMorgan | 09/15/2021 | 115 | — |
77,500 SEK | 9,332 USD | JPMorgan | 09/15/2021 | — | (8) |
29,000 SGD | 21,773 USD | JPMorgan | 09/15/2021 | — | (150) |
2,287,000 TWD | 83,132 USD | JPMorgan | 09/15/2021 | — | (616) |
1,593,488 USD | 8,550,500 BRL | JPMorgan | 09/15/2021 | 28,981 | — |
1,231,243 USD | 1,486,500 CAD | JPMorgan | 09/15/2021 | — | (927) |
187,091 USD | 167,000 CHF | JPMorgan | 09/15/2021 | — | (929) |
491,739 USD | 353,198,496 CLP | JPMorgan | 09/15/2021 | — | (4,577) |
17,890 USD | 65,683,960 COP | JPMorgan | 09/15/2021 | — | (278) |
43,406 USD | 35,500 EUR | JPMorgan | 09/15/2021 | — | (27) |
794,228 USD | 227,828,504 HUF | JPMorgan | 09/15/2021 | 1,776 | — |
256,753 USD | 73,205,000 HUF | JPMorgan | 09/15/2021 | — | (985) |
108,345 USD | 1,573,709,000 IDR | JPMorgan | 09/15/2021 | 341 | — |
81,163 USD | 1,174,770,000 IDR | JPMorgan | 09/15/2021 | — | (28) |
280,167 USD | 20,807,896 INR | JPMorgan | 09/15/2021 | 2,258 | — |
28,979 USD | 2,131,500 INR | JPMorgan | 09/15/2021 | — | (48) |
863,376 USD | 93,897,000 JPY | JPMorgan | 09/15/2021 | — | (7,789) |
458,159 USD | 516,195,516 KRW | JPMorgan | 09/15/2021 | 5,243 | — |
62,373 USD | 1,260,500 MXN | JPMorgan | 09/15/2021 | 156 | — |
1,080,913 USD | 21,739,500 MXN | JPMorgan | 09/15/2021 | — | (2,485) |
645,886 USD | 5,374,500 NOK | JPMorgan | 09/15/2021 | — | (3,197) |
259,622 USD | 359,500 NZD | JPMorgan | 09/15/2021 | 709 | — |
824,891 USD | 1,132,500 NZD | JPMorgan | 09/15/2021 | — | (4,793) |
282,846 USD | 13,694,500 PHP | JPMorgan | 09/15/2021 | 1,480 | — |
2,339,888 USD | 8,621,500 PLN | JPMorgan | 09/15/2021 | 5,870 | — |
453,130 USD | 1,656,500 PLN | JPMorgan | 09/15/2021 | — | (2,425) |
1,975,727 USD | 16,299,000 SEK | JPMorgan | 09/15/2021 | — | (11,388) |
757,358 USD | 1,008,000 SGD | JPMorgan | 09/15/2021 | 4,622 | — |
1,519,930 USD | 41,885,000 TWD | JPMorgan | 09/15/2021 | 13,849 | — |
4,278,302 USD | 60,498,500 ZAR | JPMorgan | 09/15/2021 | 50,283 | — |
198,000 ZAR | 14,257 USD | JPMorgan | 09/15/2021 | 91 | — |
609,500 ZAR | 43,239 USD | JPMorgan | 09/15/2021 | — | (370) |
921,365 AUD | 711,459 USD | Morgan Stanley | 06/16/2021 | 1,131 | — |
1,910,093 CAD | 1,295,000 EUR | Morgan Stanley | 06/16/2021 | — | (1,490) |
781,144 CAD | 647,500 USD | Morgan Stanley | 06/16/2021 | 897 | — |
1,678,776 CAD | 1,365,250 USD | Morgan Stanley | 06/16/2021 | — | (24,381) |
647,500 EUR | 559,659 GBP | Morgan Stanley | 06/16/2021 | 4,447 | — |
451,087 EUR | 4,579,510 NOK | Morgan Stanley | 06/16/2021 | — | (2,621) |
351,361 NZD | 326,875 AUD | Morgan Stanley | 06/16/2021 | — | (2,511) |
323,582 EUR | 479,327 CAD | RBC Capital Markets | 06/16/2021 | 2,071 | — |
648,333 USD | 813,238 CAD | RBC Capital Markets | 06/16/2021 | 24,836 | — |
323,750 EUR | 279,426 GBP | Standard Chartered | 06/16/2021 | 1,652 | — |
70,550,090 JPY | 650,000 USD | Standard Chartered | 06/16/2021 | 7,602 | — |
1,510,571 USD | 1,267,500 EUR | Standard Chartered | 06/16/2021 | 35,501 | — |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 33 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
650,000 USD | 70,787,275 JPY | Standard Chartered | 06/16/2021 | — | (5,442) |
325,000 AUD | 251,933 USD | State Street | 06/16/2021 | 1,374 | — |
403,557 CAD | 325,417 USD | State Street | 06/16/2021 | — | (8,634) |
558,323 GBP | 650,000 EUR | State Street | 06/16/2021 | 498 | — |
57,574,377 JPY | 530,000 USD | State Street | 06/16/2021 | 5,753 | — |
210,403 NZD | 151,746 USD | State Street | 06/16/2021 | — | (664) |
650,833 USD | 815,787 CAD | State Street | 06/16/2021 | 24,446 | — |
630,208 USD | 68,345,030 JPY | State Street | 06/16/2021 | — | (7,888) |
835,887 GBP | 973,750 EUR | UBS | 06/16/2021 | 1,488 | — |
290,370 GBP | 403,705 USD | UBS | 06/16/2021 | — | (8,381) |
Total | 2,749,299 | (3,024,656) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month Euro Euribor | 18 | 09/2021 | EUR | 4,524,075 | 507 | — |
3-Month Euro Euribor | 41 | 09/2021 | EUR | 10,304,838 | — | (1,401) |
3-Month Euro Euribor | 44 | 12/2021 | EUR | 11,058,300 | — | (2,469) |
3-Month Euro Euribor | 18 | 03/2022 | EUR | 4,523,175 | — | (1,372) |
3-Month Euro Euribor | 5 | 06/2022 | EUR | 1,256,313 | — | (577) |
3-Month Euro Euribor | 1 | 03/2023 | EUR | 251,050 | — | (182) |
3-Month Euro Swiss Franc | 1 | 09/2021 | CHF | 251,875 | — | (1) |
90-Day Sterling | 27 | 09/2021 | GBP | 3,372,300 | — | (1,235) |
90-Day Sterling | 12 | 12/2021 | GBP | 1,498,350 | — | (2,328) |
90-Day Sterling | 6 | 03/2022 | GBP | 748,388 | — | (2,130) |
90-Day Sterling | 10 | 06/2022 | GBP | 1,246,688 | — | (4,187) |
90-Day Sterling | 9 | 09/2022 | GBP | 1,121,456 | — | (4,272) |
90-Day Sterling | 7 | 12/2022 | GBP | 871,719 | — | (3,869) |
Amsterdam Index | 4 | 06/2021 | EUR | 570,160 | 7,402 | — |
Australian 3-Year Bond | 100 | 06/2021 | AUD | 11,727,342 | — | (126) |
Australian 3-Year Bond | 116 | 06/2021 | AUD | 13,603,717 | — | (2,494) |
Australian Dollar | 81 | 06/2021 | USD | 6,248,340 | 8,142 | — |
Banker’s Acceptance | 27 | 09/2021 | CAD | 6,719,625 | 1,177 | — |
Banker’s Acceptance | 11 | 12/2021 | CAD | 2,736,938 | 993 | — |
Brent Crude | 23 | 06/2021 | USD | 1,580,560 | 5,147 | — |
Brent Crude | 24 | 06/2021 | USD | 1,649,280 | 5,121 | — |
British Pound | 72 | 06/2021 | USD | 6,388,200 | 123,040 | — |
CAC40 Index | 23 | 06/2021 | EUR | 1,488,445 | 33,557 | — |
Canadian Dollar | 322 | 06/2021 | USD | 26,642,280 | 503,586 | — |
Cocoa | 1 | 07/2021 | USD | 24,120 | — | (852) |
Cocoa | 2 | 09/2021 | USD | 49,120 | — | (868) |
Coffee | 16 | 07/2021 | USD | 974,100 | 159,601 | — |
Copper | 22 | 07/2021 | USD | 2,572,625 | 175,001 | — |
Copper | 5 | 09/2021 | USD | 1,282,969 | 92,034 | — |
Corn | 7 | 07/2021 | USD | 229,863 | 2,009 | — |
Corn | 31 | 12/2021 | USD | 845,525 | — | (72,799) |
Cotton | 8 | 12/2021 | USD | 333,280 | 5,089 | — |
DAX Index | 2 | 06/2021 | EUR | 775,600 | 33,247 | — |
DJIA Index E-mini | 15 | 06/2021 | USD | 2,588,475 | 91,371 | — |
DJIA Index E-mini | 1 | 06/2021 | USD | 172,565 | 9,228 | — |
Euro FX | 66 | 06/2021 | USD | 10,068,713 | 41,790 | — |
EURO STOXX 50 Index | 42 | 06/2021 | EUR | 1,707,720 | 111,881 | — |
EURO STOXX 50 Index | 3 | 06/2021 | EUR | 121,980 | 8,376 | — |
Euro-BTP | 6 | 06/2021 | EUR | 884,040 | — | (9,127) |
Eurodollar 90-Day | 266 | 09/2021 | USD | 66,416,875 | 15,206 | — |
FTSE 100 Index | 12 | 06/2021 | GBP | 842,820 | 23,628 | — |
FTSE 100 Index | 2 | 06/2021 | GBP | 140,470 | 4,898 | — |
34 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
FTSE China A50 Index | 41 | 06/2021 | USD | 747,594 | 965 | — |
FTSE Taiwan Index | 9 | 06/2021 | USD | 534,600 | 7,186 | — |
FTSE/JSE Top 40 Index | 4 | 06/2021 | ZAR | 2,460,960 | — | (828) |
FTSE/MIB Index | 4 | 06/2021 | EUR | 503,360 | 15,060 | — |
FTSE/MIB Index | 1 | 06/2021 | EUR | 125,840 | 6,993 | — |
Gas Oil | 15 | 07/2021 | USD | 850,875 | 20,595 | — |
Gas Oil | 7 | 07/2021 | USD | 397,075 | 7,539 | — |
Gold 100 oz. | 33 | 08/2021 | USD | 6,287,490 | 85,252 | — |
Hang Seng Index | 3 | 06/2021 | HKD | 4,347,900 | 6,951 | — |
H-Shares Index | 5 | 06/2021 | HKD | 2,677,750 | 4,396 | — |
IBEX 35 Index | 10 | 06/2021 | EUR | 919,720 | 5,659 | — |
Indian Rupee | 25 | 06/2021 | USD | 686,600 | 3,890 | — |
Lean Hogs | 5 | 07/2021 | USD | 238,700 | 13,846 | — |
Lean Hogs | 7 | 08/2021 | USD | 325,430 | 25,204 | — |
Mexican Peso | 134 | 06/2021 | USD | 3,358,710 | 131,571 | — |
MSCI EAFE Index | 20 | 06/2021 | USD | 2,337,000 | 125,909 | — |
MSCI EAFE Index | 3 | 06/2021 | USD | 350,550 | 16,983 | — |
MSCI Emerging Markets Index | 19 | 06/2021 | USD | 1,292,855 | 12,672 | — |
MSCI Singapore Index | 20 | 06/2021 | SGD | 723,000 | 9,344 | — |
MSCI Singapore Index | 3 | 06/2021 | SGD | 108,450 | 711 | — |
NASDAQ 100 Index E-mini | 5 | 06/2021 | USD | 1,368,650 | 57,698 | — |
Natural Gas | 5 | 06/2021 | USD | 149,300 | — | (4,394) |
New Zealand Dollar | 45 | 06/2021 | USD | 3,266,100 | 35,813 | — |
Nickel | 3 | 09/2021 | USD | 326,169 | 25,451 | — |
Nikkei 225 Index | 2 | 06/2021 | JPY | 58,240,000 | 11,266 | — |
NY Harbor ULSD Heat Oil | 27 | 06/2021 | USD | 2,311,432 | 26,018 | — |
OMXS30 Index | 36 | 06/2021 | SEK | 8,136,000 | 6,206 | — |
OMXS30 Index | 1 | 06/2021 | SEK | 226,000 | 159 | — |
Platinum | 3 | 07/2021 | USD | 177,360 | — | (5,654) |
Primary Aluminum | 23 | 09/2021 | USD | 1,430,169 | 63,199 | — |
Primary Aluminum | 1 | 09/2021 | USD | 62,181 | 2,797 | — |
RBOB Gasoline | 13 | 06/2021 | USD | 1,166,747 | 24,488 | — |
Russell 2000 Index E-mini | 1 | 06/2021 | USD | 113,430 | — | (836) |
Russell 2000 Index E-mini | 9 | 06/2021 | USD | 1,020,870 | — | (21,153) |
S&P 500 Index E-mini | 15 | 06/2021 | USD | 3,151,800 | 66,499 | — |
S&P 500 Index E-mini | 1 | 06/2021 | USD | 210,120 | 3,406 | — |
S&P Mid 400 Index E-mini | 5 | 06/2021 | USD | 1,363,350 | 51,757 | — |
S&P Mid 400 Index E-mini | 1 | 06/2021 | USD | 272,670 | 2,669 | — |
S&P/TSX 60 Index | 22 | 06/2021 | CAD | 5,226,320 | 132,956 | — |
S&P/TSX 60 Index | 2 | 06/2021 | CAD | 475,120 | 19,242 | — |
Short Term Euro-BTP | 10 | 06/2021 | EUR | 1,131,300 | 901 | — |
Silver | 6 | 07/2021 | USD | 840,420 | 43,570 | — |
South African Rand | 90 | 06/2021 | USD | 3,263,625 | 235,600 | — |
Soybean | 2 | 07/2021 | USD | 153,050 | 721 | — |
Soybean | 18 | 11/2021 | USD | 1,235,475 | — | (61,657) |
Soybean Meal | 13 | 07/2021 | USD | 514,150 | — | (39,632) |
Soybean Oil | 2 | 07/2021 | USD | 78,948 | 1,790 | — |
Soybean Oil | 24 | 12/2021 | USD | 846,576 | — | (12,664) |
SPI 200 Index | 11 | 06/2021 | AUD | 1,973,125 | 69,546 | — |
SPI 200 Index | 2 | 06/2021 | AUD | 358,750 | 8,779 | — |
Sugar #11 | 21 | 06/2021 | USD | 408,307 | 38,200 | — |
Sugar #11 | 34 | 09/2021 | USD | 662,211 | 16,628 | — |
Swiss Franc | 25 | 06/2021 | USD | 3,475,313 | — | (8,628) |
TOPIX Index | 3 | 06/2021 | JPY | 58,440,000 | 10,987 | — |
TOPIX Index | 4 | 06/2021 | JPY | 77,920,000 | 7,750 | — |
U.S. Treasury 2-Year Note | 88 | 09/2021 | USD | 19,424,625 | 3,869 | — |
U.S. Treasury 5-Year Note | 71 | 09/2021 | USD | 8,793,461 | — | (2,302) |
Wheat | 5 | 07/2021 | USD | 153,313 | — | (8,762) |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 35 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Wheat | 19 | 07/2021 | USD | 630,325 | — | (17,735) |
WTI Crude | 45 | 06/2021 | USD | 2,984,400 | 74,261 | — |
Zinc | 7 | 09/2021 | USD | 536,244 | 39,122 | — |
Zinc | 1 | 09/2021 | USD | 76,606 | 2,961 | — |
Total | 3,047,066 | (294,534) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
3-Month Euro Euribor | (1) | 09/2022 | EUR | (251,213) | — | (16) |
3-Month Euro Euribor | (1) | 12/2022 | EUR | (251,138) | — | (46) |
3-Month Euro Swiss Franc | (2) | 12/2021 | CHF | (503,750) | — | (112) |
3-Month Euro Swiss Franc | (2) | 03/2022 | CHF | (503,600) | — | (194) |
90-Day Sterling | (35) | 09/2021 | GBP | (4,371,500) | — | (799) |
Australian 10-Year Bond | (10) | 06/2021 | AUD | (1,401,738) | — | (7,111) |
Australian 10-Year Bond | (27) | 06/2021 | AUD | (3,784,692) | — | (33,858) |
CAC40 Index | (1) | 06/2021 | EUR | (64,715) | — | (879) |
Canadian Government 10-Year Bond | (8) | 09/2021 | CAD | (1,154,000) | — | (4,086) |
Canadian Government 10-Year Bond | (31) | 09/2021 | CAD | (4,471,750) | — | (10,747) |
Cocoa | (3) | 07/2021 | GBP | (48,510) | 582 | — |
Cocoa | (4) | 09/2021 | GBP | (65,280) | 279 | — |
Cotton | (2) | 07/2021 | USD | (82,120) | 360 | — |
Euro Buxl | (12) | 06/2021 | EUR | (2,411,760) | — | (13,287) |
Euro Buxl | (12) | 06/2021 | EUR | (2,411,760) | — | (29,777) |
Euro Buxl | (17) | 09/2021 | EUR | (3,388,780) | 832 | — |
Euro FX | (30) | 06/2021 | USD | (4,576,688) | — | (50,249) |
Euro-Bobl | (62) | 06/2021 | EUR | (8,353,880) | — | (32,225) |
Euro-Bobl | (10) | 09/2021 | EUR | (1,339,900) | 353 | — |
Euro-Bund | (8) | 06/2021 | EUR | (1,359,520) | 2,812 | — |
Euro-Bund | (27) | 06/2021 | EUR | (4,588,380) | — | (31,563) |
Euro-Bund | (14) | 09/2021 | EUR | (2,400,860) | 1,130 | — |
Eurodollar 90-Day | (13) | 09/2021 | USD | (3,245,938) | — | (2,408) |
Eurodollar 90-Day | (14) | 12/2021 | USD | (3,493,875) | — | (3,073) |
Eurodollar 90-Day | (19) | 03/2022 | USD | (4,742,400) | — | (3,406) |
Eurodollar 90-Day | (31) | 06/2022 | USD | (7,734,500) | — | (5,819) |
Eurodollar 90-Day | (29) | 09/2022 | USD | (7,230,425) | — | (5,585) |
Eurodollar 90-Day | (30) | 12/2022 | USD | (7,471,125) | — | (5,661) |
Eurodollar 90-Day | (29) | 03/2023 | USD | (7,217,375) | — | (6,095) |
Euro-OAT | (42) | 06/2021 | EUR | (6,737,640) | — | (69,079) |
Euro-Schatz | (212) | 06/2021 | EUR | (23,753,540) | 3,837 | — |
FTSE/JSE Top 40 Index | (1) | 06/2021 | ZAR | (615,240) | — | (823) |
Japanese Yen | (169) | 06/2021 | USD | (19,243,819) | 136,466 | — |
KOSPI 200 Index | (1) | 06/2021 | KRW | (106,587,500) | — | (1,518) |
Live Cattle | (2) | 08/2021 | USD | (94,880) | 844 | — |
Long Gilt | (11) | 09/2021 | GBP | (1,399,750) | — | (2,381) |
Long Gilt | (29) | 09/2021 | GBP | (3,690,250) | — | (10,004) |
Natural Gas | (5) | 06/2021 | USD | (149,300) | 761 | — |
New Zealand Dollar | (47) | 06/2021 | USD | (3,411,260) | — | (36,795) |
Platinum | (2) | 07/2021 | USD | (118,240) | 101 | — |
Soybean Meal | (1) | 07/2021 | USD | (39,550) | — | (962) |
U.S. Long Bond | (45) | 09/2021 | USD | (7,043,906) | — | (16,037) |
U.S. Long Bond | (103) | 09/2021 | USD | (16,122,719) | — | (43,586) |
U.S. Treasury 10-Year Note | (17) | 09/2021 | USD | (2,242,938) | — | (3,469) |
U.S. Treasury 10-Year Note | (97) | 09/2021 | USD | (12,797,938) | — | (13,202) |
U.S. Treasury 2-Year Note | (75) | 09/2021 | USD | (16,555,078) | — | (5,380) |
U.S. Treasury 5-Year Note | (73) | 09/2021 | USD | (9,041,164) | — | (11,492) |
U.S. Ultra Bond 10-Year Note | (1) | 09/2021 | USD | (144,953) | — | (329) |
36 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
U.S. Ultra Bond 10-Year Note | (22) | 09/2021 | USD | (3,188,969) | — | (13,333) |
U.S. Ultra Bond 10-Year Note | (63) | 09/2021 | USD | (9,132,047) | — | (46,289) |
U.S. Ultra Treasury Bond | (34) | 09/2021 | USD | (6,298,500) | — | (6,450) |
U.S. Ultra Treasury Bond | (24) | 09/2021 | USD | (4,446,000) | — | (16,811) |
Total | 148,357 | (544,936) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
Advanced Micro Devices, Inc. | Goldman Sachs | USD | 1,161,160 | 145 | 90.00 | 06/18/2021 | 56,110 | 3,770 |
Grubhub, Inc. | Goldman Sachs | USD | 216,396 | 36 | 77.50 | 06/18/2021 | 12,242 | 1,440 |
Grubhub, Inc. | Goldman Sachs | USD | 300,550 | 50 | 80.00 | 06/18/2021 | 13,056 | 750 |
Grubhub, Inc. | Goldman Sachs | USD | 186,341 | 31 | 75.00 | 06/18/2021 | 11,505 | 543 |
Herman Miller, Inc. | Goldman Sachs | USD | 272,460 | 57 | 50.00 | 06/18/2021 | 4,168 | 3,420 |
II-VI, Inc. | Goldman Sachs | USD | 1,529,299 | 227 | 65.00 | 06/18/2021 | 52,608 | 89,665 |
Magnachip Semiconductor Corp. | Goldman Sachs | USD | 357,870 | 151 | 25.00 | 06/18/2021 | 10,603 | 10,192 |
Middleby Corp. (The) | Goldman Sachs | USD | 213,564 | 13 | 190.00 | 06/18/2021 | 9,706 | 3,120 |
Middleby Corp. (The) | Goldman Sachs | USD | 213,564 | 13 | 195.00 | 06/18/2021 | 8,794 | 3,120 |
Middleby Corp. (The) | Goldman Sachs | USD | 213,564 | 13 | 180.00 | 06/18/2021 | 10,375 | 2,795 |
Middleby Corp. (The) | Goldman Sachs | USD | 459,984 | 28 | 185.00 | 06/18/2021 | 20,069 | 1,330 |
Middleby Corp. (The) | Goldman Sachs | USD | 246,420 | 15 | 175.00 | 07/16/2021 | 5,572 | 5,625 |
Middleby Corp. (The) | Goldman Sachs | USD | 213,564 | 13 | 180.00 | 07/16/2021 | 3,914 | 3,607 |
Nuance Communications, Inc. | Goldman Sachs | USD | 1,184,960 | 224 | 55.00 | 06/18/2021 | 6,483 | 2,240 |
Total | 225,205 | 131,617 |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
Churchill Capital Corp IV | Goldman Sachs | USD | 128,180 | 65 | 17.50 | 07/16/2021 | 17,498 | 10,302 |
Defiance NextGen SPAC Derived ETF | Goldman Sachs | USD | 209,580 | 84 | 21.00 | 08/20/2021 | 13,154 | 7,980 |
Defiance NextGen SPAC Derived ETF | Goldman Sachs | USD | 209,580 | 84 | 20.00 | 08/20/2021 | 12,545 | 5,880 |
Star Peak Energy Transition Corp. | Goldman Sachs | USD | 200,186 | 79 | 17.50 | 07/16/2021 | 19,798 | 3,358 |
Switchback Energy Acquisition Corp. | Goldman Sachs | USD | 146,100 | 60 | 17.50 | 08/20/2021 | 22,120 | 4,830 |
Total | 85,115 | 32,350 |
Total return swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 939 | (3) | — | — | — | — | (3) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 809 | (3) | — | — | — | — | (3) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 15,021 | (51) | — | — | — | — | (51) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 54,486 | (187) | — | — | — | — | (187) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 59,737 | (205) | — | — | — | — | (205) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 76,899 | (214) | — | — | — | — | (214) |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 37 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 69,055 | (238) | 1 | — | — | — | (237) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 89,189 | (306) | 1 | — | — | — | (305) |
Total return on Natixis SA | 1-Week EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 210,418 | (723) | 2 | — | — | — | (721) |
Total return on Natixis SA | 1-Month EURIBOR plus 0.550% | Monthly | Goldman Sachs | 02/10/2022 | EUR | 314,070 | (1,079) | 3 | — | — | — | (1,076) |
Total return on Aggreko PLC | 1-Month GBP LIBOR plus 0.450% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 173 | (1) | — | — | — | — | (1) |
Total return on Aggreko PLC | SONIA plus 0.950% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 508 | (1) | — | — | — | — | (1) |
Total return on Aggreko PLC | 1-Month GBP LIBOR plus 0.450% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 716 | (3) | (1) | — | — | — | (4) |
Total return on Aggreko PLC | SONIA plus 1.150% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 12,110 | (21) | (3) | — | — | — | (24) |
Total return on Aggreko PLC | SONIA plus 0.950% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 21,346 | (36) | (9) | — | — | — | (45) |
Total return on Aggreko PLC | SONIA plus 1.150% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 51,703 | (87) | (1) | — | — | — | (88) |
Total return on Aggreko PLC | SONIA plus 1.150% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 40,187 | (81) | (13) | — | — | — | (94) |
Total return on Aggreko PLC | SONIA plus 1.150% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 56,127 | (95) | (13) | — | — | — | (108) |
Total return on Aggreko PLC | 1-Month GBP LIBOR plus 0.450% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 28,118 | (130) | (32) | — | — | — | (162) |
Total return on Aggreko PLC | 1-Month GBP LIBOR plus 0.450% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 33,905 | (157) | (38) | — | — | — | (195) |
Total return on Aggreko PLC | 1-Month GBP LIBOR plus 0.450% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 44,358 | (205) | (50) | — | — | — | (255) |
Total return on Aggreko PLC | 1-Month GBP LIBOR plus 0.450% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 193,028 | (893) | (104) | — | — | — | (997) |
Total return on Aggreko PLC | 1-Month GBP LIBOR plus 0.450% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 223,491 | (1,034) | (121) | — | — | — | (1,155) |
Total return on Aggreko PLC | 1-Month GBP LIBOR plus 0.450% | Monthly | Goldman Sachs | 03/05/2022 | GBP | 357,317 | (1,653) | (400) | — | — | — | (2,053) |
Total return on Arrow Global Group PLC | 1-Month GBP LIBOR plus 0.850% | Monthly | Goldman Sachs | 03/31/2022 | GBP | 40,028 | (30) | (13) | — | — | — | (43) |
Total return on Arrow Global Group PLC | 1-Month GBP LIBOR plus 0.850% | Monthly | Goldman Sachs | 03/31/2022 | GBP | 21,662 | (46) | (21) | — | — | — | (67) |
Total return on Arrow Global Group PLC | 1-Month GBP LIBOR plus 0.850% | Monthly | Goldman Sachs | 03/31/2022 | GBP | 30,002 | (63) | (29) | — | — | — | (92) |
Total return on Arrow Global Group PLC | 1-Month GBP LIBOR plus 0.850% | Monthly | Goldman Sachs | 03/31/2022 | GBP | 48,020 | (101) | (47) | — | — | — | (148) |
38 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Arrow Global Group PLC | 1-Month GBP LIBOR plus 0.850% | Monthly | Goldman Sachs | 03/31/2022 | GBP | 234,206 | (492) | (230) | — | — | — | (722) |
Total return on Gamesys Group PLC | SONIA plus 0.750% | Monthly | Goldman Sachs | 04/01/2022 | GBP | 244,971 | (12,907) | 4,818 | — | — | — | (8,089) |
Total return on Gamesys Group PLC | SONIA plus 0.750% | Monthly | Goldman Sachs | 04/13/2022 | GBP | 330,962 | (17,438) | 6,509 | — | — | — | (10,929) |
Total return on UDG Healthcare PLC | SONIA plus 0.500% | Monthly | Goldman Sachs | 05/12/2022 | GBP | 353,785 | 19,308 | (91) | — | — | 19,217 | — |
Total return on UDG Healthcare PLC | SONIA plus 0.500% | Monthly | Goldman Sachs | 05/12/2022 | GBP | 345,648 | 16,773 | (111) | — | — | 16,662 | — |
Total return on UDG Healthcare PLC | SONIA plus 0.500% | Monthly | Goldman Sachs | 05/12/2022 | GBP | 66,271 | 3,502 | (16) | — | — | 3,486 | — |
Total return on UDG Healthcare PLC | SONIA plus 0.500% | Monthly | Goldman Sachs | 05/12/2022 | GBP | 79,350 | 1,396 | (7) | — | — | 1,389 | — |
Total return on UDG Healthcare PLC | SONIA plus 0.500% | Monthly | Goldman Sachs | 05/12/2022 | GBP | 128,723 | (1,466) | (5) | — | — | — | (1,471) |
Total return on UDG Healthcare PLC | SONIA plus 0.500% | Monthly | Goldman Sachs | 05/12/2022 | GBP | 384,876 | (3,915) | (16) | — | — | — | (3,931) |
Total return on John Laing Group PLC | SONIA plus 0.490% | Monthly | Goldman Sachs | 05/19/2022 | GBP | 462,343 | 764 | (77) | — | — | 687 | — |
Total return on St. Modwen Properties PLC | SONIA plus 0.800% | Monthly | Goldman Sachs | 05/20/2022 | GBP | 690,947 | 10,459 | (114) | — | — | 10,345 | — |
Total return on St. Modwen Properties PLC | SONIA plus 0.800% | Monthly | Goldman Sachs | 05/20/2022 | GBP | 108,573 | 1,578 | (4) | — | — | 1,574 | — |
Total return on St. Modwen Properties PLC | SONIA plus 0.800% | Monthly | Goldman Sachs | 05/20/2022 | GBP | 68,764 | 738 | (9) | — | — | 729 | — |
Total return on Deutsche Wohnen SE | 1-Week EURIBOR plus 0.490% | Monthly | Goldman Sachs | 05/25/2022 | EUR | 1,065,280 | 4,235 | — | — | — | 4,235 | — |
Total return on Deutsche Wohnen SE | EONIA plus 0.450% | Monthly | Goldman Sachs | 05/25/2022 | EUR | 53,384 | 97 | — | — | — | 97 | — |
Total return on Deutsche Wohnen SE | EONIA plus 0.490% | Monthly | Goldman Sachs | 05/25/2022 | EUR | 46,932 | (57) | — | — | — | — | (57) |
Total return on Deutsche Wohnen SE | EONIA plus 0.450% | Monthly | Goldman Sachs | 05/25/2022 | EUR | 46,941 | (68) | — | — | — | — | (68) |
Total return on Spire Healthcare Group PLC | SONIA plus 0.900% | Monthly | Goldman Sachs | 05/26/2022 | GBP | 463,496 | 3,134 | (17) | — | — | 3,117 | — |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 39 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on Vectura Group PLC | SONIA plus 0.800% | Monthly | Goldman Sachs | 05/26/2022 | GBP | 35,746 | 475 | — | — | — | 475 | — |
Total return on Vectura Group PLC | SONIA plus 0.800% | Monthly | Goldman Sachs | 05/26/2022 | GBP | 266,887 | (7,349) | — | — | — | — | (7,349) |
Total return on Vectura Group PLC | SONIA plus 0.800% | Monthly | Goldman Sachs | 05/26/2022 | GBP | 426,740 | (10,555) | (14) | — | — | — | (10,569) |
Total return on Equiniti Group PLC | SONIA plus 0.700% | Monthly | Goldman Sachs | 05/27/2022 | GBP | 367,650 | (2,057) | — | — | — | — | (2,057) |
Total return on Dialog Semiconductor PLC | EONIA plus 0.500% | Monthly | Goldman Sachs | 05/28/2022 | EUR | 400,238 | (706) | — | — | — | — | (706) |
Total | (2,197) | 9,728 | — | — | 62,013 | (54,482) |
Total return swap contracts on futures | ||||||||
Reference instrument* | Counterparty | Expiration date | Trading currency | Notional amount long(short) | Upfront payments ($) | Upfront receipts ($) | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Euro Buxl Sep 21 | Barclays | 09/2021 | EUR | (598,020) | — | — | — | (96) |
Euro-Bobl Sep 21 | Barclays | 09/2021 | EUR | (4,287,680) | — | — | — | (2,082) |
Euro-Bund Sep 21 | Barclays | 09/2021 | EUR | (3,258,310) | — | — | — | (3,479) |
Euro-Schatz Sep 21 | Barclays | 09/2021 | EUR | (9,981,795) | — | — | — | (3,251) |
Japanese 10-Year Government Bond Jun 21 | Barclays | 06/2021 | JPY | (302,860,000) | — | — | — | (9,024) |
Long Gilt Sep 21 | Barclays | 09/2021 | GBP | (381,750) | — | — | — | (569) |
Corn Jul 21 | Citi | 07/2021 | USD | 262,700 | — | — | 32,784 | — |
Soybean Jul 21 | Citi | 07/2021 | USD | 76,525 | — | — | 6,436 | — |
Soybean Oil Jul 21 | Citi | 07/2021 | USD | 78,948 | — | — | 16,964 | — |
Wheat Jul 21 | Citi | 07/2021 | USD | 199,050 | — | — | 9,240 | — |
Hang Seng Index Jun 21 | JPMorgan | 06/2021 | HKD | 2,898,600 | — | — | 167 | — |
H-Shares Index Jun 21 | JPMorgan | 06/2021 | HKD | 1,606,650 | — | — | — | (882) |
Swiss Market Index Jun 21 | JPMorgan | 06/2021 | CHF | 571,300 | — | — | 38,732 | — |
Total | — | — | 104,323 | (19,383) |
* | If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract. |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
1-Month GBP LIBOR | London Interbank Offered Rate | 0.051% |
1-Week EURIBOR | Euro Interbank Offered Rate | (0.574%) |
EONIA | Euro Overnight Index Average | (0.479%) |
SONIA | Sterling Overnight Index Average | 0.052% |
1-Month EURIBOR | Euro Interbank Offered Rate | (0.563%) |
40 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Notes to Consolidated Portfolio of Investments
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2021, the total value of these securities amounted to $87,502,353, which represents 17.15% of total net assets. |
(b) | Variable rate security. The interest rate shown was the current rate as of May 31, 2021. |
(c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of May 31, 2021. |
(d) | Represents a security purchased on a when-issued basis. |
(e) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(f) | Non-income producing investment. |
(g) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(h) | This security or a portion of this security has been pledged as collateral in connection with investments sold short. |
(i) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At May 31, 2021, the total value of these securities amounted to $5,963,164, which represents 1.17% of total net assets. |
(j) | Valuation based on significant unobservable inputs. |
(k) | Principal amounts are denominated in United States Dollars unless otherwise noted. |
(l) | Represents a variable rate security with a step coupon where the rate adjusts according to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the current rate as of May 31, 2021. |
(m) | Zero coupon bond. |
(n) | Represents securities that have defaulted on payment of interest. The Fund has stopped accruing interest on these securities. At May 31, 2021, the total value of these securities amounted to $362,868, which represents 0.07% of total net assets. |
(o) | Principal and interest may not be guaranteed by a governmental entity. |
(p) | Denotes a restricted security, which is subject to legal or contractual restrictions on resale under federal securities laws. Disposal of a restricted investment may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. Private placement securities are generally considered to be restricted, although certain of those securities may be traded between qualified institutional investors under the provisions of Section 4(a)(2) and Rule 144A. The Fund will not incur any registration costs upon such a trade. These securities are valued at fair value determined in good faith under consistently applied procedures established by the Fund’s Board of Trustees. At May 31, 2021, the total market value of these securities amounted to $45,252, which represents 0.01% of total net assets. Additional information on these securities is as follows: |
Security | Acquisition Dates | Shares | Cost ($) | Value ($) |
Stemline Therapeutics, Inc. | 06/09/2020 | 125,075 | — | 45,252 |
(q) | Represents a security purchased on a forward commitment basis. |
(r) | The stated interest rate represents the weighted average interest rate at May 31, 2021 of contracts within the senior loan facility. Interest rates on contracts are primarily determined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. These base lending rates are primarily the LIBOR and other short-term rates. Base lending rates may be subject to a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed delivery basis will be determined upon settlement, therefore no interest rate is disclosed. Senior loans often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, cannot be predicted with accuracy. As a result, remaining maturities of senior loans may be less than the stated maturities. Generally, the Fund is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(s) | The rate shown is the seven-day current annualized yield at May 31, 2021. |
(t) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended May 31, 2021 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 0.042% | ||||||||
135,530,150 | 318,515,804 | (330,119,092) | (4,393) | 123,922,469 | (9,121) | 98,362 | 123,934,863 |
Abbreviation Legend
ADR | American Depositary Receipt |
BAM | Build America Mutual Assurance Co. |
BBSW | Bank Bill Swap Rate |
CMO | Collateralized Mortgage Obligation |
Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 | 41 |
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Multi-Manager Alternative Strategies Fund, May 31, 2021 (Unaudited)
Abbreviation Legend (continued)
EURIBOR | Euro Interbank Offered Rate |
FGIC | Financial Guaranty Insurance Corporation |
FHLMC | Federal Home Loan Mortgage Corporation |
LIBOR | London Interbank Offered Rate |
MTA | Monthly Treasury Average |
NIBOR | Norwegian Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
Currency Legend
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TWD | New Taiwan Dollar |
USD | US Dollar |
ZAR | South African Rand |
Investments are valued using policies described in the Notes to Consolidated Financial Statements in the most recent shareholder report.
42 | Multi-Manager Alternative Strategies Fund | Quarterly Report 2021 |
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You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.
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