Multi-Manager Alternative Strategies Fund
Third Quarter Report
May 31, 2024 (Unaudited)
Not FDIC or NCUA Insured
|
No Financial Institution Guarantee
|
May Lose Value
|
Consolidated Portfolio of Investments
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities - Non-Agency 4.0%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
AIMCO CLO Ltd.(a),(b),(c)
|
||||
Series 2024-10A Class BRR
|
||||
3-month Term SOFR + 1.750%
Floor 1.750%
07/22/2037
|
7.081%
|
|
450,000
|
450,400
|
Aligned Data Centers Issuer LLC(a)
|
||||
Series 2021-1A Class A2
|
||||
08/15/2046
|
1.937%
|
|
388,000
|
355,090
|
Allegro CLO Ltd.(a),(b)
|
||||
Series 2016 Class C
|
||||
3-month Term SOFR + 2.700%
Floor 2.700%
04/25/2037
|
7.997%
|
|
550,000
|
551,381
|
Allegro CLO XII Ltd.(a),(b)
|
||||
Series 2020-1A Class B
|
||||
3-month Term SOFR + 1.962%
Floor 1.700%
01/21/2032
|
7.286%
|
|
250,000
|
250,576
|
AMMC CLO Ltd.(a),(b)
|
||||
Series 2016-18A Class BR
|
||||
3-month Term SOFR + 1.862%
Floor 1.600%
05/26/2031
|
7.198%
|
|
600,000
|
600,289
|
Series 2021-24A Class B
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
01/20/2035
|
7.336%
|
|
350,000
|
351,204
|
Apidos CLO XXV(a),(b)
|
||||
Series 2025-RR Class A2R2
|
||||
3-month Term SOFR + 1.800%
Floor 1.800%
10/20/2031
|
7.125%
|
|
500,000
|
502,154
|
BlueMountain CLO Ltd.(a),(b)
|
||||
Series 2016-3A Class BR
|
||||
3-month Term SOFR + 1.962%
Floor 1.700%
11/15/2030
|
7.284%
|
|
525,000
|
525,525
|
BlueMountain Fuji US CLO I Ltd.(a),(b)
|
||||
Series 2017-1A Class BR
|
||||
3-month Term SOFR + 1.762%
Floor 1.500%
07/20/2029
|
7.086%
|
|
375,000
|
375,266
|
BlueMountain Fuji US CLO II Ltd.(a),(b)
|
||||
Series 2017-2A Class A2
|
||||
3-month Term SOFR + 1.862%
Floor 1.600%
10/20/2030
|
7.186%
|
|
500,000
|
501,193
|
Carvana Auto Receivables Trust(a),(d),(e),(f)
|
||||
Series 2023-N3 Class R
|
||||
09/10/2030
|
0.000%
|
|
2,000
|
634,000
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Cedar Funding VII CLO Ltd.(a),(b)
|
||||
Series 207 Class B
|
||||
3-month Term SOFR + 1.662%
Floor 1.400%
01/21/2031
|
6.986%
|
|
500,000
|
500,199
|
CIFC Funding Ltd.(a),(b)
|
||||
Series 2023-2A Class B
|
||||
3-month Term SOFR + 2.600%
Floor 2.600%
01/21/2037
|
7.934%
|
|
450,000
|
455,116
|
Conseco Finance Securitizations Corp.(b)
|
||||
Series 2001-4 Class M1
|
||||
1-month Term SOFR + 1.864%
Floor 1.750%, Cap 15.000%
09/01/2033
|
7.194%
|
|
271,593
|
269,160
|
DataBank Issuer LLC(a)
|
||||
Series 2023-1 Class A2
|
||||
02/25/2053
|
5.116%
|
|
130,000
|
124,248
|
DB Master Finance LLC(a)
|
||||
Series 2019-1A Class A2II
|
||||
05/20/2049
|
4.021%
|
|
180,975
|
174,568
|
Dryden CLO Ltd.(a),(b)
|
||||
Series 2020-85A Class AR
|
||||
3-month Term SOFR + 1.412%
Floor 1.150%
10/15/2035
|
6.740%
|
|
800,000
|
801,777
|
Elmwood CLO Ltd.(a),(c),(g)
|
||||
Series 2024-6A Class B
|
||||
07/17/2037
|
6.000%
|
|
500,000
|
500,444
|
Hotwire Funding LLC(a)
|
||||
Series 2024-1A Class A2
|
||||
06/20/2054
|
5.893%
|
|
545,000
|
545,991
|
J.G. Wentworth XXXVII LLC(a)
|
||||
Subordinated Series 2016-1A Class B
|
||||
06/17/2069
|
5.190%
|
|
618,474
|
562,169
|
JG Wentworth XXII LLC(a)
|
||||
Series 2010-3A Class A
|
||||
12/15/2048
|
3.820%
|
|
172,236
|
172,038
|
LAD Auto Receivables Trust(a)
|
||||
Subordinated Series 2023-2A Class D
|
||||
02/15/2031
|
6.300%
|
|
550,000
|
539,737
|
Madison Park Funding XXIX Ltd.(a),(b)
|
||||
Series 2024-29A Class BR
|
||||
3-month Term SOFR + 1.800%
Floor 1.800%
10/18/2030
|
7.127%
|
|
450,000
|
451,279
|
MVW Owner Trust(a)
|
||||
Series 2018-1A Class A
|
||||
01/21/2036
|
3.450%
|
|
14,861
|
14,836
|
2
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Navient Student Loan Trust(b)
|
||||
Series 2014-1 Class A3
|
||||
30-day Average SOFR + 0.624%
Floor 0.510%
06/25/2031
|
5.948%
|
|
244,225
|
239,023
|
OCCU Auto Receivables Trust(a)
|
||||
Series 2022-1 Class A3
|
||||
10/15/2027
|
5.500%
|
|
350,000
|
348,877
|
OCP CLO Ltd.(a),(b)
|
||||
Series 2021-21A Class B
|
||||
3-month Term SOFR + 1.962%
Floor 1.700%
07/20/2034
|
7.286%
|
|
300,000
|
300,774
|
OHA Credit Funding Ltd.(a),(b)
|
||||
Series 2020-7A Class AR
|
||||
3-month Term SOFR + 1.300%
Floor 1.300%
02/24/2037
|
6.627%
|
|
475,000
|
475,594
|
Park Avenue Institutional Advisers CLO Ltd.(a),(b)
|
||||
Series 2021-1A Class A2
|
||||
3-month Term SOFR + 2.012%
Floor 1.750%
01/20/2034
|
7.336%
|
|
250,000
|
250,450
|
Rad CLO Ltd.(a),(b)
|
||||
Series 2023-22A Class D
|
||||
3-month Term SOFR + 5.000%
Floor 5.000%
01/20/2037
|
10.372%
|
|
250,000
|
253,842
|
Series 2024-7A Class B1R
|
||||
3-month Term SOFR + 1.900%
Floor 1.900%
04/17/2036
|
7.217%
|
|
500,000
|
503,082
|
Rockford Tower CLO Ltd.(a),(b)
|
||||
Series 2017-3A Class B
|
||||
3-month Term SOFR + 1.732%
Floor 1.470%
10/20/2030
|
7.056%
|
|
450,000
|
450,126
|
Series 2021-1A Class B
|
||||
3-month Term SOFR + 1.912%
Floor 1.650%
07/20/2034
|
7.236%
|
|
448,279
|
449,261
|
Sabey Data Center Issuer LLC(a)
|
||||
Series 2020-1 Class A2
|
||||
04/20/2045
|
3.812%
|
|
470,000
|
459,157
|
SLM Student Loan Trust(b)
|
||||
Series 2008-2 Class B
|
||||
90-day Average SOFR + 1.462%
Floor 1.200%
01/25/2083
|
6.810%
|
|
740,000
|
742,430
|
Asset-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2008-4 Class A4
|
||||
90-day Average SOFR + 1.912%
Floor 1.650%
07/25/2026
|
7.260%
|
|
169,364
|
169,489
|
Series 2008-7 Class B
|
||||
90-day Average SOFR + 2.112%
Floor 1.850%
07/26/2083
|
7.460%
|
|
500,000
|
490,542
|
Series 2012-1 Class A3
|
||||
30-day Average SOFR + 1.064%
Floor 0.950%
09/25/2028
|
6.388%
|
|
268,098
|
264,237
|
Subordinated Series 2004-10 Class B
|
||||
90-day Average SOFR + 0.632%
Floor 0.370%
01/25/2040
|
5.980%
|
|
259,329
|
244,083
|
Subordinated Series 2012-7 Class B
|
||||
30-day Average SOFR + 1.914%
Floor 1.800%
09/25/2043
|
7.238%
|
|
550,000
|
550,000
|
Taco Bell Funding LLC(a)
|
||||
Series 2016-1A Class A23
|
||||
05/25/2046
|
4.970%
|
|
553,125
|
542,405
|
TAL Advantage VII LLC(a)
|
||||
Series 2020-1A Class A
|
||||
09/20/2045
|
2.050%
|
|
282,900
|
257,061
|
Textainer Marine Containers VII Ltd.(a)
|
||||
Series 2021-2A Class A
|
||||
04/20/2046
|
2.230%
|
|
583,833
|
521,583
|
Textainer Marine Containers VIII Ltd.(a)
|
||||
Series 2020-2A Class A
|
||||
09/20/2045
|
2.100%
|
|
199,548
|
180,195
|
Series 2020-3A Class A
|
||||
09/20/2045
|
2.110%
|
|
239,880
|
217,111
|
Tif Funding II LLC(a)
|
||||
Series 2020-1A Class A
|
||||
08/20/2045
|
2.090%
|
|
155,100
|
139,944
|
T-Mobile US Trust(a)
|
||||
Series 2022-1A Class A
|
||||
05/22/2028
|
4.910%
|
|
490,000
|
487,025
|
Vantage Data Centers LLC(a)
|
||||
Series 2020-1A Class A2
|
||||
09/15/2045
|
1.645%
|
|
395,000
|
371,860
|
Total Asset-Backed Securities — Non-Agency
(Cost $18,794,084)
|
19,116,791
|
|||
|
||||
Commercial Mortgage-Backed Securities - Agency 0.3%
|
||||
|
|
|
|
|
Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust(g),(h)
|
||||
Series 2019-P002 Class X
|
||||
07/25/2033
|
1.014%
|
|
705,000
|
40,895
|
Multi-Manager Alternative Strategies Fund | 2024
3
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through
Certificates(g),(h)
|
||||
CMO Series K057 Class X1
|
||||
07/25/2026
|
1.159%
|
|
5,062,056
|
91,962
|
Series 2018-K732 Class X3
|
||||
05/25/2046
|
2.173%
|
|
1,350,000
|
31,562
|
Series K039 Class X3 (FHLMC)
|
||||
08/25/2042
|
2.057%
|
|
1,520,000
|
15,032
|
Series K043 Class X3
|
||||
02/25/2043
|
1.634%
|
|
3,951,044
|
36,739
|
Series K051 Class X3
|
||||
10/25/2043
|
1.613%
|
|
2,100,000
|
44,133
|
Series K060 Class X3
|
||||
12/25/2044
|
1.897%
|
|
1,350,000
|
55,864
|
Series K0728 Class X3
|
||||
11/25/2045
|
1.995%
|
|
1,975,000
|
10,010
|
Series KC07 Class X1
|
||||
09/25/2026
|
0.715%
|
|
3,831,744
|
37,854
|
Series KL05 Class X1HG
|
||||
12/25/2027
|
1.223%
|
|
2,400,000
|
89,855
|
Series KLU3 Class X1
|
||||
01/25/2031
|
1.918%
|
|
1,572,652
|
140,626
|
Series KS06 Class X
|
||||
08/25/2026
|
1.047%
|
|
2,572,592
|
33,481
|
Series Q004 Class XFL
|
||||
05/25/2044
|
0.242%
|
|
1,162,083
|
42,921
|
Federal National Mortgage Association(g),(h)
|
||||
Series 2016-M11B Class X2
|
||||
07/25/2039
|
3.054%
|
|
424,006
|
5,939
|
Series 2016-M4 Class X2
|
||||
01/25/2039
|
2.677%
|
|
309,494
|
1,609
|
Series 2019-M29 Class X4
|
||||
03/25/2029
|
0.700%
|
|
4,300,000
|
102,602
|
Freddie Mac Multifamily Structured Pass-Through Certificates(g),(h)
|
||||
Series K096 Class X3 (FHLMC)
|
||||
07/25/2029
|
2.042%
|
|
3,390,000
|
286,825
|
FREMF Mortgage Trust(a),(b)
|
||||
Subordinated Series 2019-KF71 Class B
|
||||
30-day Average SOFR + 2.414%
Floor 2.300%
10/25/2029
|
7.742%
|
|
283,808
|
262,601
|
Government National Mortgage Association(g),(h)
|
||||
CMO Series 2014-103 Class IO
|
||||
05/16/2055
|
0.190%
|
|
1,033,393
|
5,436
|
Commercial Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2012-4 Class IO
|
||||
05/16/2052
|
0.000%
|
|
1,691,820
|
17
|
Total Commercial Mortgage-Backed Securities - Agency
(Cost $1,847,608)
|
1,335,963
|
|||
|
||||
Commercial Mortgage-Backed Securities - Non-Agency 5.2%
|
||||
|
|
|
|
|
1211 Avenue of the Americas Trust(a),(g)
|
||||
Subordinated Series 2015-1211 Class B
|
||||
08/10/2035
|
4.092%
|
|
380,000
|
363,037
|
225 Liberty Street Trust(a),(g),(h)
|
||||
Series 2016-225L Class X
|
||||
02/10/2036
|
0.875%
|
|
5,000,000
|
57,167
|
245 Park Avenue Trust(a)
|
||||
Series 2017-245P Class A
|
||||
06/05/2037
|
3.508%
|
|
288,000
|
263,738
|
BAMLL Commercial Mortgage Securities Trust(a),(g)
|
||||
Series 2018-PARK Class A
|
||||
08/10/2038
|
4.091%
|
|
95,000
|
87,271
|
Banc of America Merrill Lynch Commercial Mortgage Securities Trust(a)
|
||||
Series 2015-200P Class A
|
||||
04/14/2033
|
3.218%
|
|
270,000
|
260,843
|
BDS Ltd.(a),(b)
|
||||
Series 2021-FL8 Class A
|
||||
1-month Term SOFR + 1.034%
Floor 0.920%
01/18/2036
|
6.353%
|
|
221,335
|
220,719
|
BFLD Trust(a),(b)
|
||||
Series 2021-FPM Class A
|
||||
1-month Term SOFR + 1.714%
Floor 1.600%
06/15/2038
|
7.031%
|
|
288,000
|
288,000
|
BOCA Commercial Mortgage Trust(a),(b)
|
||||
Subordinated Series 2022-BOCA Class B
|
||||
1-month Term SOFR + 2.319%
Floor 2.319%
05/15/2039
|
7.636%
|
|
100,000
|
100,060
|
BX Commercial Mortgage Trust(a),(b)
|
||||
Series 2021-CIP Class A
|
||||
1-month Term SOFR + 1.035%
Floor 0.921%
12/15/2038
|
6.352%
|
|
425,000
|
422,610
|
Series 2021-VOLT Class A
|
||||
1-month Term SOFR + 0.814%
Floor 0.700%
09/15/2036
|
6.131%
|
|
385,000
|
382,367
|
Series 2024-XL5 Class A
|
||||
1-month Term SOFR + 1.392%
Floor 1.392%
03/15/2041
|
6.708%
|
|
292,490
|
292,673
|
4
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Subordinated CMO Series 2021-VOLT Class F
|
||||
1-month Term SOFR + 2.514%
Floor 2.400%
09/15/2036
|
7.831%
|
|
245,000
|
242,856
|
Subordinated Series 2021-MFM1 Class B
|
||||
1-month Term SOFR + 1.064%
Floor 0.950%
01/15/2034
|
6.381%
|
|
547,877
|
544,136
|
Subordinated Series 2021-SOAR Class E
|
||||
1-month Term SOFR + 1.914%
Floor 1.800%
06/15/2038
|
7.231%
|
|
350,695
|
347,627
|
Subordinated Series 2022-LP2 Class C
|
||||
1-month Term SOFR + 1.560%
Floor 1.562%
02/15/2039
|
6.879%
|
|
359,782
|
356,410
|
BX Trust(a),(b)
|
||||
1-month Term SOFR + 2.090%
Floor 2.090%
03/15/2041
|
7.407%
|
|
356,000
|
355,778
|
Series 2022-GPA Class A
|
||||
1-month Term SOFR + 2.165%
Floor 2.165%
08/15/2039
|
7.487%
|
|
487,790
|
489,925
|
Subordinated Series 2021-LBA Class DJV
|
||||
1-month Term SOFR + 1.714%
Floor 1.600%
02/15/2036
|
7.031%
|
|
550,000
|
540,891
|
Subordinated Series 2021-LBA Class EJV
|
||||
1-month Term SOFR + 2.114%
Floor 2.000%
02/15/2036
|
7.431%
|
|
240,000
|
236,400
|
Subordinated Series 2022-GPA Class B
|
||||
1-month Term SOFR + 2.664%
Floor 2.664%
08/15/2041
|
7.977%
|
|
118,252
|
118,696
|
Subordinated Series 2022-PSB Class C
|
||||
1-month Term SOFR + 3.697%
Floor 3.697%
08/15/2039
|
9.014%
|
|
335,156
|
336,832
|
Subordinated Series 2024-BIO Class D
|
||||
1-month Term SOFR + 3.639%
02/15/2041
|
8.956%
|
|
463,000
|
463,000
|
BX Trust(a)
|
||||
Series 2019-OC11 Class A
|
||||
12/09/2041
|
3.202%
|
|
225,000
|
198,705
|
Series 2022-CLS Class A
|
||||
10/13/2027
|
5.760%
|
|
150,000
|
148,762
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CAMB Commercial Mortgage Trust(a),(b)
|
||||
Series 2019-LIFE Class A
|
||||
1-month Term SOFR + 1.184%
Floor 1.070%
12/15/2037
|
6.688%
|
|
330,000
|
329,690
|
Citigroup Commercial Mortgage Trust(g),(h)
|
||||
Series 2016-P3 Class XA
|
||||
04/15/2049
|
1.647%
|
|
8,646,904
|
154,241
|
Citigroup Commercial Mortgage Trust(a),(g)
|
||||
Series 2023-SMRT Class A
|
||||
06/10/2028
|
6.015%
|
|
135,000
|
135,763
|
COMM Mortgage Trust(a),(g),(h)
|
||||
Series 2020-CBM Class XCP
|
||||
02/10/2037
|
0.601%
|
|
3,134,666
|
6,698
|
Series 2020-SBX Class X
|
||||
01/10/2038
|
0.585%
|
|
11,501,000
|
84,615
|
Commercial Mortgage Trust(g),(h)
|
||||
Series 2012-CR4 Class XA
|
||||
10/15/2045
|
1.144%
|
|
672,393
|
7
|
CoreVest American Finance Trust(a),(g),(h)
|
||||
Series 2019-3 Class XA
|
||||
10/15/2052
|
2.010%
|
|
134,801
|
1,351
|
Series 2020-1 Class XA
|
||||
03/15/2050
|
2.497%
|
|
443,870
|
12,912
|
CoreVest American Finance Trust(a)
|
||||
Series 2020-1 Class A2
|
||||
03/15/2050
|
2.296%
|
|
265,000
|
240,817
|
CSAIL Commercial Mortgage Trust(g),(h)
|
||||
Series 2015-C3 Class XA
|
||||
08/15/2048
|
0.658%
|
|
8,592,773
|
37,135
|
CSMC Trust(a),(g),(h)
|
||||
Series 2021-980M Class X
|
||||
07/15/2031
|
0.991%
|
|
6,982,000
|
125,115
|
CSMC Trust(a),(g)
|
||||
Subordinated Series 2021-B33 Class B
|
||||
10/10/2043
|
3.645%
|
|
423,000
|
355,397
|
DBGS Mortgage Trust(g)
|
||||
Subordinated Series 2018-C1 Class AM
|
||||
10/15/2051
|
4.626%
|
|
542,000
|
501,720
|
Del Amo Fashion Center Trust(a),(g)
|
||||
Subordinated Series 2017-AMO Class C
|
||||
06/05/2035
|
3.636%
|
|
420,000
|
371,052
|
DOLP Trust(a),(g)
|
||||
Subordinated Series 2021-NYC Class D
|
||||
05/10/2041
|
3.704%
|
|
500,000
|
366,738
|
DROP Mortgage Trust(a),(b)
|
||||
Subordinated Series 2021-FILE Class B
|
||||
1-month Term SOFR + 1.814%
Floor 1.700%
10/15/2043
|
7.131%
|
|
311,000
|
283,010
|
Multi-Manager Alternative Strategies Fund | 2024
5
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
ELP Commercial Mortgage Trust(a),(b)
|
||||
Subordinated Series 2021-ELP Class C
|
||||
1-month Term SOFR + 1.434%
Floor 1.320%
11/15/2038
|
6.751%
|
|
349,593
|
346,753
|
FirstKey Homes Trust(a)
|
||||
Series 2020-SFR2 Class A
|
||||
10/19/2037
|
1.266%
|
|
207,355
|
194,776
|
Series 2021-SFR3 Class F2
|
||||
12/17/2038
|
3.832%
|
|
820,000
|
731,867
|
Fontainebleau Miami Beach Trust(a)
|
||||
Subordinated Series 2019-FBLU Class B
|
||||
12/10/2036
|
3.447%
|
|
435,810
|
426,946
|
Fontainebleau Miami Beach Trust(a),(g)
|
||||
Subordinated Series 2019-FBLU Class E
|
||||
12/10/2036
|
3.963%
|
|
310,000
|
301,661
|
Grace Trust(a)
|
||||
Subordinated Series 2020-GRCE Class B
|
||||
12/10/2040
|
2.600%
|
|
500,000
|
402,849
|
Great Wolf Trust(a),(b)
|
||||
Series 2024-WOLF Class B
|
||||
1-month Term SOFR + 2.091%
Floor 2.091%
03/15/2039
|
7.412%
|
|
540,000
|
540,337
|
Series 2024-WOLF Class C
|
||||
1-month Term SOFR + 2.391%
Floor 2.391%
03/15/2039
|
7.712%
|
|
360,000
|
360,225
|
GS Mortgage Securities Corp II(a),(g)
|
||||
Series 2017-375H Class A
|
||||
09/10/2037
|
3.475%
|
|
460,000
|
418,647
|
GS Mortgage Securities Trust(a),(g),(h)
|
||||
Series 2020-UPTN Class XA
|
||||
02/10/2037
|
0.352%
|
|
1,750,000
|
2,252
|
Home Partners of America Trust(a)
|
||||
Series 2019-1 Class B
|
||||
09/17/2039
|
3.157%
|
|
76,881
|
70,694
|
Hudson Yards Mortgage Trust(a),(g)
|
||||
Series 2019-55HY Class F
|
||||
12/10/2041
|
2.943%
|
|
85,000
|
61,049
|
INTOWN Mortgage Trust(a),(b)
|
||||
Subordinated Series 2022-STAY Class B
|
||||
1-month Term SOFR + 3.286%
Floor 3.286%
08/15/2037
|
8.603%
|
|
150,000
|
151,627
|
JPMBB Commercial Mortgage Securities Trust(g),(h)
|
||||
Series 2014-C21 Class XA
|
||||
08/15/2047
|
0.821%
|
|
354,208
|
4
|
Series 2014-C23 Class XA
|
||||
09/15/2047
|
0.541%
|
|
1,948,688
|
335
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2014-C26 Class XA
|
||||
01/15/2048
|
0.917%
|
|
4,301,137
|
3,252
|
JPMorgan Chase Commercial Mortgage Securities Trust(a)
|
||||
Series 2019-OSB Class A
|
||||
06/05/2039
|
3.397%
|
|
375,000
|
334,405
|
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b)
|
||||
Subordinated Series 2022-NLP Class H
|
||||
1-month Term SOFR + 5.010%
Floor 5.010%
04/15/2037
|
10.327%
|
|
224,544
|
157,461
|
Life Mortgage Trust(a),(b)
|
||||
Series 2022-BMR2 Class A1
|
||||
1-month Term SOFR + 1.295%
Floor 1.295%
05/15/2039
|
6.612%
|
|
530,000
|
520,718
|
Series 2022-BMR2 Class B
|
||||
1-month Term SOFR + 1.794%
Floor 1.794%
05/15/2039
|
7.111%
|
|
605,000
|
591,378
|
MHC Commercial Mortgage Trust(a),(b)
|
||||
Subordinated Series 2021-MHC Class B
|
||||
1-month Term SOFR + 1.215%
Floor 1.101%
04/15/2038
|
6.532%
|
|
452,993
|
450,165
|
Morgan Stanley Bank of America Merrill Lynch Trust(g),(h)
|
||||
Series 2015-C26 Class XA
|
||||
10/15/2048
|
0.959%
|
|
8,740,802
|
49,037
|
Series 2016-C31 Class XA
|
||||
11/15/2049
|
1.262%
|
|
2,033,267
|
44,610
|
Morgan Stanley Capital I Trust(a),(g)
|
||||
Series 2018-MP Class A
|
||||
07/11/2040
|
4.276%
|
|
212,000
|
184,844
|
Natixis Commercial Mortgage Securities Trust(a),(g),(h)
|
||||
Series 2020-2PAC Class XA
|
||||
12/15/2038
|
1.395%
|
|
937,398
|
3,368
|
Series 2020-2PAC Class XB
|
||||
12/15/2038
|
0.957%
|
|
2,665,000
|
6,767
|
Natixis Commercial Mortgage Securities Trust(a),(g)
|
||||
Subordinated Series 2018-ALXA Class E
|
||||
01/15/2043
|
4.316%
|
|
60,000
|
45,282
|
NRTH Mortgage Trust(a),(b)
|
||||
Series 2024-PARK Class A
|
||||
1-month Term SOFR + 1.641%
03/15/2041
|
6.958%
|
|
362,000
|
362,339
|
One New York Plaza Trust(a),(b)
|
||||
Subordinated Series 2020-1NYP Class AJ
|
||||
1-month Term SOFR + 1.364%
Floor 1.250%
01/15/2036
|
6.681%
|
|
372,000
|
353,483
|
6
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
PGA Trust(a),(b),(c),(d),(e)
|
||||
Subordinated Series 2024-RSR2 Class B
|
||||
1-month Term SOFR + 2.390%
Floor 2.390%
06/15/2026
|
7.690%
|
|
670,000
|
668,744
|
Progress Residential Trust(a)
|
||||
Subordinated Series 2021-SFR7 Class E2
|
||||
08/17/2040
|
2.640%
|
|
788,000
|
664,307
|
Subordinated Series 2021-SFR9 Class E1
|
||||
11/17/2040
|
2.811%
|
|
910,000
|
783,622
|
Subordinated Series 2022-SFR1 Class F
|
||||
02/17/2041
|
4.880%
|
|
600,000
|
524,851
|
Subordinated Series 2024-SFR3 Class D
|
||||
06/17/2041
|
3.500%
|
|
450,000
|
395,280
|
SCOTT Trust(a)
|
||||
Subordinated Series 2023-SFS Class AS
|
||||
03/15/2040
|
6.204%
|
|
100,000
|
97,463
|
SFAVE Commercial Mortgage Securities Trust(a),(g)
|
||||
Series 2015-5AVE Class A2A
|
||||
01/05/2043
|
3.659%
|
|
425,000
|
360,253
|
Series 2015-5AVE Class A2B
|
||||
01/05/2043
|
4.144%
|
|
35,000
|
28,999
|
Subordinated Series 2015-5AVE Class C
|
||||
01/05/2043
|
4.388%
|
|
345,000
|
250,348
|
SMRT Commercial Mortgage Trust(a),(b)
|
||||
Subordinated Series 2022-MINI Class B
|
||||
1-month Term SOFR + 1.350%
Floor 1.350%
01/15/2039
|
6.667%
|
|
350,000
|
346,281
|
Subordinated Series 2022-MINI Class D
|
||||
1-month Term SOFR + 1.950%
Floor 1.950%
01/15/2039
|
7.267%
|
|
430,000
|
423,559
|
Subordinated Series 2022-MINI Class E
|
||||
1-month Term SOFR + 2.700%
Floor 2.700%
01/15/2039
|
8.017%
|
|
350,000
|
343,095
|
STWD FL1 Ltd.(a),(b)
|
||||
Series 2019 Class AS
|
||||
1-month Term SOFR + 1.514%
Floor 1.400%
07/15/2038
|
6.835%
|
|
398,000
|
390,393
|
TPGI Trust(a),(b)
|
||||
Subordinated Series 2021-DGWD Class E
|
||||
1-month Term SOFR + 2.464%
Floor 2.350%
06/15/2026
|
7.780%
|
|
358,400
|
357,728
|
Commercial Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
VMC Finance LLC(a),(b)
|
||||
Series 2021-FL4 Class B
|
||||
1-month Term SOFR + 1.914%
Floor 1.800%
06/18/2036
|
7.234%
|
|
299,000
|
282,891
|
Wells Fargo Commercial Mortgage Trust(a),(c),(g)
|
||||
Series 2024-SVEN Class D
|
||||
06/10/2037
|
6.323%
|
|
667,000
|
651,491
|
Wells Fargo Commercial Mortgage Trust(g)
|
||||
Subordinated Series 2018-C47 Class AS
|
||||
09/15/2061
|
4.673%
|
|
560,000
|
532,401
|
Wells Fargo Commercial Mortgage Trust(a),(g)
|
||||
Subordinated Series 2019-JDWR Class D
|
||||
09/15/2031
|
3.326%
|
|
425,000
|
396,867
|
WF-RBS Commercial Mortgage Trust(g),(h)
|
||||
Series 2014-C24 Class XA
|
||||
11/15/2047
|
0.831%
|
|
1,903,466
|
777
|
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $25,422,717)
|
24,741,245
|
Common Stocks 0.0%
|
||
Issuer
|
Shares
|
Value ($)
|
Communication Services 0.0%
|
||
Diversified Telecommunication Services 0.0%
|
||
Intelsat Emergence SA(i)
|
5,865
|
215,245
|
Total Communication Services
|
215,245
|
|
Real Estate 0.0%
|
||
Real Estate Management & Development 0.0%
|
||
China Aoyuan Group Ltd.(i)
|
12,296
|
271
|
China Aoyuan Group Ltd.(i)
|
30,741
|
676
|
Total
|
|
947
|
Total Real Estate
|
947
|
|
Total Common Stocks
(Cost $200,239)
|
216,192
|
Convertible Bonds 1.0%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Airlines 0.2%
|
||||
Air Canada
|
||||
07/01/2025
|
4.000%
|
|
210,000
|
222,589
|
American Airlines Group, Inc.
|
||||
07/01/2025
|
6.500%
|
|
490,000
|
506,344
|
Multi-Manager Alternative Strategies Fund | 2024
7
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Convertible Bonds (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Southwest Airlines Co.
|
||||
05/01/2025
|
1.250%
|
|
390,000
|
384,794
|
Total
|
1,113,727
|
|||
Cable and Satellite 0.2%
|
||||
Liberty Broadband Corp.(a)
|
||||
03/31/2053
|
3.125%
|
|
755,000
|
712,871
|
Liberty Media Corp.(a)
|
||||
09/30/2053
|
2.375%
|
|
250,000
|
267,125
|
Total
|
979,996
|
|||
Consumer Cyclical Services 0.1%
|
||||
Uber Technologies, Inc.(a)
|
||||
12/01/2028
|
0.875%
|
|
311,000
|
342,677
|
Electric 0.3%
|
||||
CenterPoint Energy, Inc.(a)
|
||||
08/15/2026
|
4.250%
|
|
485,000
|
485,000
|
Emera, Inc.(j)
|
||||
Junior Subordinated
|
||||
06/15/2076
|
6.750%
|
|
555,000
|
551,255
|
Southern Co. (The)(a)
|
||||
06/15/2027
|
4.500%
|
|
430,000
|
437,955
|
Total
|
1,474,210
|
|||
Lodging 0.0%
|
||||
Marriott Vacations Worldwide Corp.
|
||||
12/15/2027
|
3.250%
|
|
335,000
|
303,343
|
Other Financial Institutions 0.0%
|
||||
China Aoyuan Group Ltd.(f)
|
||||
09/30/2028
|
0.000%
|
|
4,395
|
42
|
Sunac China Holdings Ltd.(a),(k)
|
||||
09/30/2032
|
1.000%
|
|
21,847
|
1,545
|
Total
|
1,587
|
|||
Other Utility 0.1%
|
||||
American Water Capital Corp.(a)
|
||||
06/15/2026
|
3.625%
|
|
365,000
|
358,795
|
Retailers 0.1%
|
||||
Burlington Stores, Inc.(a)
|
||||
12/15/2027
|
1.250%
|
|
235,000
|
305,310
|
Total Convertible Bonds
(Cost $4,867,713)
|
4,879,645
|
Convertible Preferred Stocks 0.1%
|
|||
Issuer
|
|
Shares
|
Value ($)
|
Utilities 0.1%
|
|||
Electric Utilities 0.1%
|
|||
NextEra Energy, Inc.
|
6.926%
|
15,655
|
708,859
|
Total Utilities
|
708,859
|
||
Total Convertible Preferred Stocks
(Cost $695,869)
|
708,859
|
Corporate Bonds & Notes(l) 20.6%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
ABS Other 0.1%
|
||||
American Tower Trust #1(a)
|
||||
03/15/2028
|
5.490%
|
|
410,000
|
409,706
|
SBA Tower Trust(a)
|
||||
01/15/2028
|
6.599%
|
|
240,000
|
243,823
|
Total
|
653,529
|
|||
Aerospace & Defense 0.5%
|
||||
Airbus SE(a)
|
||||
06/09/2030
|
1.625%
|
EUR
|
100,000
|
97,522
|
Boeing Co. (The)
|
||||
05/01/2030
|
5.150%
|
|
940,000
|
896,729
|
05/01/2050
|
5.805%
|
|
480,000
|
429,699
|
Boeing Co. (The)(a)
|
||||
05/01/2034
|
6.528%
|
|
90,000
|
91,228
|
TransDigm, Inc.(a)
|
||||
08/15/2028
|
6.750%
|
|
260,000
|
262,992
|
12/01/2031
|
7.125%
|
|
730,000
|
749,548
|
Total
|
2,527,718
|
|||
Airlines 0.6%
|
||||
American Airlines Pass-Through Trust
|
||||
Series 2016-2 Class AA
|
||||
06/15/2028
|
3.200%
|
|
168,625
|
154,968
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a)
|
||||
04/20/2029
|
5.750%
|
|
710,000
|
686,668
|
Delta Air Lines Pass-Through Trust
|
||||
06/10/2028
|
2.500%
|
|
82,049
|
74,402
|
Delta Air Lines, Inc.
|
||||
10/28/2024
|
2.900%
|
|
105,000
|
103,659
|
01/15/2026
|
7.375%
|
|
185,000
|
189,109
|
Delta Air Lines, Inc./SkyMiles IP Ltd.(a)
|
||||
10/20/2028
|
4.750%
|
|
1,314,000
|
1,278,805
|
JetBlue Pass-Through Trust
|
||||
Series 2020-1 Class A
|
||||
11/15/2032
|
4.000%
|
|
308,388
|
284,529
|
Total
|
2,772,140
|
8
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Apartment REIT 0.1%
|
||||
American Homes 4 Rent LP
|
||||
04/15/2052
|
4.300%
|
|
210,000
|
161,057
|
Invitation Homes Operating Partnership LP
|
||||
04/15/2032
|
4.150%
|
|
13,000
|
11,834
|
08/15/2033
|
5.500%
|
|
60,000
|
59,184
|
01/15/2034
|
2.700%
|
|
190,000
|
149,448
|
Total
|
381,523
|
|||
Automotive 0.4%
|
||||
Allison Transmission. Inc.(a)
|
||||
01/30/2031
|
3.750%
|
|
100,000
|
86,749
|
Ford Motor Co.
|
||||
02/12/2032
|
3.250%
|
|
1,190,000
|
978,463
|
Ford Motor Credit Co. LLC
|
||||
06/14/2024
|
2.748%
|
GBP
|
100,000
|
127,281
|
02/16/2028
|
2.900%
|
|
200,000
|
180,118
|
06/17/2031
|
3.625%
|
|
400,000
|
342,461
|
Total
|
1,715,072
|
|||
Banking 3.3%
|
||||
American Express Co.(j),(m)
|
||||
|
3.550%
|
|
85,000
|
77,714
|
Bank of America Corp.(j),(m)
|
||||
|
4.375%
|
|
80,000
|
75,010
|
Bank of America Corp.(j)
|
||||
10/01/2025
|
3.093%
|
|
345,000
|
341,829
|
12/06/2025
|
1.530%
|
|
120,000
|
117,409
|
02/04/2028
|
2.551%
|
|
110,000
|
102,220
|
06/14/2029
|
2.087%
|
|
50,000
|
44,097
|
10/24/2031
|
1.922%
|
|
765,000
|
620,085
|
04/22/2032
|
2.687%
|
|
790,000
|
663,646
|
Bank of Montreal(j)
|
||||
11/26/2082
|
7.325%
|
CAD
|
580,000
|
431,366
|
Bank of Nova Scotia (The)(j)
|
||||
10/27/2082
|
8.625%
|
|
415,000
|
433,435
|
Capital One Financial Corp.(j)
|
||||
11/02/2027
|
1.878%
|
|
215,000
|
196,477
|
Citigroup, Inc.(j)
|
||||
03/20/2030
|
3.980%
|
|
520,000
|
488,947
|
11/05/2030
|
2.976%
|
|
100,000
|
88,629
|
Five Star Bancorp(a),(j)
|
||||
Subordinated
|
||||
09/01/2032
|
6.000%
|
|
95,000
|
84,228
|
Goldman Sachs Group, Inc. (The)(j)
|
||||
12/09/2026
|
1.093%
|
|
1,745,000
|
1,628,854
|
01/27/2032
|
1.992%
|
|
500,000
|
403,071
|
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Goldman Sachs Group, Inc. (The)(a)
|
||||
01/26/2028
|
0.250%
|
EUR
|
15,000
|
14,446
|
11/01/2028
|
2.000%
|
EUR
|
218,000
|
221,277
|
HSBC Holdings PLC(j)
|
||||
06/04/2026
|
2.099%
|
|
720,000
|
693,974
|
JPMorgan Chase & Co.(j),(m)
|
||||
|
3.650%
|
|
85,000
|
80,188
|
JPMorgan Chase & Co.(j)
|
||||
12/10/2025
|
1.561%
|
|
1,400,000
|
1,369,617
|
04/22/2027
|
1.578%
|
|
285,000
|
265,052
|
06/01/2029
|
2.069%
|
|
615,000
|
543,462
|
Lloyds Banking Group PLC(j)
|
||||
11/07/2028
|
3.574%
|
|
185,000
|
173,375
|
Morgan Stanley(j)
|
||||
04/28/2026
|
2.188%
|
|
415,000
|
402,027
|
01/24/2029
|
3.772%
|
|
510,000
|
483,297
|
04/20/2029
|
5.164%
|
|
475,000
|
471,783
|
07/20/2029
|
5.449%
|
|
250,000
|
250,783
|
PNC Financial Services Group, Inc. (The)(j)
|
||||
01/24/2034
|
5.068%
|
|
50,000
|
48,008
|
10/20/2034
|
6.875%
|
|
180,000
|
194,948
|
01/22/2035
|
5.676%
|
|
50,000
|
49,988
|
Popular, Inc.
|
||||
03/13/2028
|
7.250%
|
|
215,000
|
219,095
|
Provident Financial Services, Inc.(j)
|
||||
Subordinated
|
||||
05/15/2034
|
9.000%
|
|
210,000
|
211,376
|
Royal Bank of Canada(j)
|
||||
05/02/2084
|
7.500%
|
|
610,000
|
621,214
|
Santander UK Group Holdings PLC(j)
|
||||
06/14/2027
|
1.673%
|
|
110,000
|
101,324
|
Toronto-Dominion Bank (The)
|
||||
09/09/2025
|
2.667%
|
CAD
|
601,000
|
428,370
|
Toronto-Dominion Bank (The)(j)
|
||||
10/31/2082
|
8.125%
|
|
430,000
|
446,151
|
US Bancorp(j),(m)
|
||||
|
3.700%
|
|
345,000
|
307,267
|
Webster Financial Corp.(j)
|
||||
Subordinated
|
||||
11/01/2030
|
3.875%
|
|
255,000
|
229,798
|
Wells Fargo & Co.(j)
|
||||
02/11/2026
|
2.164%
|
|
545,000
|
531,659
|
06/02/2028
|
2.393%
|
|
140,000
|
128,381
|
07/25/2029
|
5.574%
|
|
1,180,000
|
1,187,018
|
02/11/2031
|
2.572%
|
|
280,000
|
240,859
|
Total
|
15,711,754
|
Multi-Manager Alternative Strategies Fund | 2024
9
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Brokerage/Asset Managers/Exchanges 0.0%
|
||||
Jane Street Group/JSG Finance, Inc.(a)
|
||||
11/15/2029
|
4.500%
|
|
195,000
|
181,008
|
Building Materials 0.1%
|
||||
Advanced Drainage Systems, Inc.(a)
|
||||
06/15/2030
|
6.375%
|
|
70,000
|
70,127
|
Cemex SAB de CV(a)
|
||||
07/11/2031
|
3.875%
|
|
305,000
|
267,898
|
Total
|
338,025
|
|||
Cable and Satellite 1.1%
|
||||
Cable One, Inc.(a)
|
||||
11/15/2030
|
4.000%
|
|
260,000
|
193,958
|
CCO Holdings LLC/Capital Corp.(a)
|
||||
03/01/2030
|
4.750%
|
|
15,000
|
12,773
|
08/15/2030
|
4.500%
|
|
95,000
|
78,884
|
02/01/2031
|
4.250%
|
|
110,000
|
88,662
|
Charter Communications Operating LLC/Capital
|
||||
04/01/2031
|
2.800%
|
|
50,000
|
40,794
|
02/01/2032
|
2.300%
|
|
20,000
|
15,317
|
02/01/2034
|
6.650%
|
|
40,000
|
40,465
|
05/01/2047
|
5.375%
|
|
65,000
|
52,144
|
04/01/2048
|
5.750%
|
|
490,000
|
411,586
|
07/01/2049
|
5.125%
|
|
690,000
|
529,613
|
04/01/2051
|
3.700%
|
|
400,000
|
244,763
|
04/01/2053
|
5.250%
|
|
115,000
|
90,498
|
CSC Holdings LLC(a)
|
||||
02/01/2028
|
5.375%
|
|
275,000
|
193,137
|
04/01/2028
|
7.500%
|
|
25,000
|
13,960
|
01/31/2029
|
11.750%
|
|
12,000
|
9,552
|
02/01/2029
|
6.500%
|
|
176,000
|
118,905
|
12/01/2030
|
4.625%
|
|
55,000
|
23,092
|
DIRECTV Holdings LLC/Financing Co., Inc.(a)
|
||||
08/15/2027
|
5.875%
|
|
150,000
|
140,852
|
LCPR Senior Secured Financing DAC(a)
|
||||
07/15/2029
|
5.125%
|
|
400,000
|
335,450
|
SES GLOBAL Americas Holdings GP(a)
|
||||
03/25/2044
|
5.300%
|
|
375,000
|
276,028
|
Sirius XM Radio, Inc.(a)
|
||||
07/01/2030
|
4.125%
|
|
550,000
|
461,113
|
09/01/2031
|
3.875%
|
|
220,000
|
175,759
|
Tele Columbus AG(a),(k)
|
||||
01/01/2029
|
10.000%
|
EUR
|
101,390
|
74,102
|
Time Warner Cable LLC
|
||||
09/01/2041
|
5.500%
|
|
540,000
|
450,479
|
Virgin Media Finance PLC(a)
|
||||
07/15/2030
|
5.000%
|
|
400,000
|
332,317
|
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Virgin Media Secured Finance PLC(a)
|
||||
05/15/2029
|
5.500%
|
|
510,000
|
462,106
|
08/15/2030
|
4.500%
|
|
200,000
|
167,594
|
VZ Secured Financing BV(a)
|
||||
01/15/2032
|
5.000%
|
|
340,000
|
288,727
|
Total
|
5,322,630
|
|||
Chemicals 0.2%
|
||||
Braskem Netherlands Finance BV(a)
|
||||
01/31/2030
|
4.500%
|
|
200,000
|
167,475
|
EverArc Escrow Sarl(a)
|
||||
10/30/2029
|
5.000%
|
|
212,000
|
188,059
|
International Flavors & Fragrances, Inc.(a)
|
||||
11/01/2030
|
2.300%
|
|
455,000
|
376,754
|
11/15/2040
|
3.268%
|
|
5,000
|
3,543
|
12/01/2050
|
3.468%
|
|
25,000
|
16,351
|
International Flavors & Fragrances, Inc.
|
||||
06/01/2047
|
4.375%
|
|
5,000
|
3,840
|
09/26/2048
|
5.000%
|
|
75,000
|
63,731
|
Total
|
819,753
|
|||
Construction Machinery 0.3%
|
||||
OT Merger Corp.(a)
|
||||
10/15/2029
|
7.875%
|
|
267,000
|
139,449
|
United Rentals North America, Inc.
|
||||
01/15/2028
|
4.875%
|
|
150,000
|
144,457
|
07/15/2030
|
4.000%
|
|
365,000
|
327,009
|
02/15/2031
|
3.875%
|
|
345,000
|
303,478
|
United Rentals North America, Inc.(a)
|
||||
12/15/2029
|
6.000%
|
|
300,000
|
298,520
|
Total
|
1,212,913
|
|||
Consumer Cyclical Services 0.1%
|
||||
Match Group, Inc.(a)
|
||||
08/01/2030
|
4.125%
|
|
150,000
|
130,554
|
Uber Technologies, Inc.(a)
|
||||
11/01/2026
|
8.000%
|
|
245,000
|
247,573
|
VT Topco, Inc.(a)
|
||||
08/15/2030
|
8.500%
|
|
175,000
|
182,851
|
Total
|
560,978
|
|||
Consumer Products 0.1%
|
||||
Edgewell Personal Care Co.(a)
|
||||
06/01/2028
|
5.500%
|
|
94,000
|
91,499
|
Energizer Holdings, Inc.(a)
|
||||
12/31/2027
|
6.500%
|
|
150,000
|
148,695
|
03/31/2029
|
4.375%
|
|
40,000
|
35,520
|
Prestige Brands, Inc.(a)
|
||||
04/01/2031
|
3.750%
|
|
207,000
|
177,594
|
10
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Spectrum Brands, Inc.(a)
|
||||
07/15/2030
|
5.500%
|
|
85,000
|
84,941
|
03/15/2031
|
3.875%
|
|
5,000
|
4,606
|
Total
|
542,855
|
|||
Diversified Manufacturing 0.0%
|
||||
Johnson Controls International PLC/Tyco Fire & Security Finance SCA
|
||||
09/15/2027
|
0.375%
|
EUR
|
100,000
|
97,229
|
Electric 0.9%
|
||||
AES Corp. (The)(a)
|
||||
07/15/2030
|
3.950%
|
|
35,000
|
31,608
|
AES Corp. (The)(j)
|
||||
01/15/2055
|
7.600%
|
|
305,000
|
307,238
|
Alliant Energy Finance LLC(a)
|
||||
03/01/2032
|
3.600%
|
|
405,000
|
349,580
|
Arizona Public Service Co.
|
||||
08/15/2034
|
5.700%
|
|
545,000
|
544,691
|
Black Hills Corp.
|
||||
05/15/2034
|
6.150%
|
|
360,000
|
365,881
|
Dominion Energy, Inc.(j)
|
||||
06/01/2054
|
7.000%
|
|
210,000
|
216,428
|
02/01/2055
|
6.875%
|
|
65,000
|
65,904
|
DPL, Inc.
|
||||
07/01/2025
|
4.125%
|
|
370,000
|
361,651
|
Duke Energy Progress LLC
|
||||
03/15/2033
|
5.250%
|
|
215,000
|
213,708
|
12/01/2044
|
4.150%
|
|
225,000
|
181,609
|
E.ON SE(a)
|
||||
11/07/2031
|
0.625%
|
EUR
|
170,000
|
148,848
|
Evergy Missouri West, Inc.(a)
|
||||
06/01/2034
|
5.650%
|
|
480,000
|
479,605
|
FirstEnergy Transmission LLC(a)
|
||||
09/15/2028
|
2.866%
|
|
229,000
|
207,544
|
NSTAR Electric Co.
|
||||
05/15/2027
|
3.200%
|
|
520,000
|
494,574
|
Southern Co. (The)
|
||||
07/01/2026
|
3.250%
|
|
184,000
|
176,643
|
Southwestern Electric Power Co.
|
||||
11/01/2051
|
3.250%
|
|
85,000
|
54,138
|
Total
|
4,199,650
|
|||
Environmental 0.0%
|
||||
Waste Pro USA, Inc.(a)
|
||||
02/15/2026
|
5.500%
|
|
127,000
|
125,098
|
Finance Companies 0.3%
|
||||
AerCap Ireland Capital DAC/Global Aviation Trust
|
||||
10/29/2028
|
3.000%
|
|
250,000
|
225,841
|
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Air Lease Corp.(j),(m)
|
||||
|
4.125%
|
|
255,000
|
226,221
|
Air Lease Corp.
|
||||
03/01/2025
|
3.250%
|
|
160,000
|
156,860
|
Avolon Holdings Funding Ltd.(a)
|
||||
07/01/2024
|
3.950%
|
|
45,000
|
44,916
|
02/15/2025
|
2.875%
|
|
195,000
|
190,585
|
11/18/2027
|
2.528%
|
|
399,000
|
356,335
|
FirstCash, Inc.(a)
|
||||
03/01/2032
|
6.875%
|
|
100,000
|
99,318
|
GGAM Finance Ltd.(a)
|
||||
02/15/2027
|
8.000%
|
|
260,000
|
267,452
|
Total
|
1,567,528
|
|||
Food and Beverage 1.0%
|
||||
Becle SAB de CV(a)
|
||||
10/14/2031
|
2.500%
|
|
205,000
|
161,400
|
Bimbo Bakeries USA, Inc.(a)
|
||||
01/09/2036
|
5.375%
|
|
440,000
|
426,591
|
Darling Ingredients, Inc.(a)
|
||||
06/15/2030
|
6.000%
|
|
555,000
|
542,653
|
H-Food Holdings LLC/Hearthside Finance Co., Inc.(a)
|
||||
06/01/2026
|
8.500%
|
|
145,000
|
11,080
|
JBS SA/Food Co./Finance, Inc.
|
||||
12/01/2031
|
3.750%
|
|
390,000
|
338,501
|
01/15/2032
|
3.625%
|
|
440,000
|
377,879
|
04/01/2033
|
5.750%
|
|
170,000
|
167,618
|
JBS USA LUX SA/Food Co./Luxembourg SARL(a)
|
||||
03/15/2034
|
6.750%
|
|
278,000
|
292,568
|
11/15/2053
|
7.250%
|
|
116,000
|
126,707
|
Kraft Heinz Foods Co.
|
||||
01/26/2039
|
6.875%
|
|
135,000
|
149,574
|
06/01/2046
|
4.375%
|
|
620,000
|
508,681
|
Kraft Heinz Foods Co.(a)
|
||||
08/01/2039
|
7.125%
|
|
240,000
|
271,547
|
MARB BondCo PLC(a)
|
||||
01/29/2031
|
3.950%
|
|
400,000
|
325,071
|
NBM US Holdings, Inc.(a)
|
||||
05/14/2026
|
7.000%
|
|
200,000
|
200,070
|
Post Holdings, Inc.(a)
|
||||
01/15/2028
|
5.625%
|
|
515,000
|
502,960
|
12/15/2029
|
5.500%
|
|
225,000
|
214,564
|
09/15/2031
|
4.500%
|
|
65,000
|
57,704
|
Total
|
4,675,168
|
|||
Gaming 0.4%
|
||||
CDI Escrow Issuer, Inc.(a)
|
||||
04/01/2030
|
5.750%
|
|
191,000
|
182,976
|
Multi-Manager Alternative Strategies Fund | 2024
11
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
GLP Capital LP/Financing II, Inc.
|
||||
04/15/2026
|
5.375%
|
|
90,000
|
89,183
|
06/01/2028
|
5.750%
|
|
80,000
|
79,801
|
01/15/2029
|
5.300%
|
|
20,000
|
19,595
|
01/15/2030
|
4.000%
|
|
20,000
|
18,132
|
01/15/2031
|
4.000%
|
|
105,000
|
93,362
|
MGM Resorts International
|
||||
10/15/2028
|
4.750%
|
|
20,000
|
18,703
|
Penn National Gaming, Inc.(a)
|
||||
07/01/2029
|
4.125%
|
|
185,000
|
154,397
|
Premier Entertainment Sub LLC/Finance Corp.(a)
|
||||
09/01/2031
|
5.875%
|
|
159,000
|
110,789
|
VICI Properties LP
|
||||
02/15/2030
|
4.950%
|
|
24,000
|
23,021
|
05/15/2032
|
5.125%
|
|
567,000
|
537,283
|
VICI Properties LP/Note Co., Inc.(a)
|
||||
01/15/2028
|
4.500%
|
|
29,000
|
27,759
|
12/01/2029
|
4.625%
|
|
185,000
|
173,449
|
08/15/2030
|
4.125%
|
|
450,000
|
405,360
|
Total
|
1,933,810
|
|||
Health Care 1.1%
|
||||
180 Medical, Inc.(a)
|
||||
10/15/2029
|
3.875%
|
|
201,000
|
180,747
|
Baylor Scott & White Holdings
|
||||
11/15/2026
|
2.650%
|
|
500,000
|
462,142
|
Catalent Pharma Solutions, Inc.(a)
|
||||
04/01/2030
|
3.500%
|
|
197,000
|
187,430
|
Embecta Corp.(a)
|
||||
02/15/2030
|
5.000%
|
|
270,000
|
223,262
|
Hackensack Meridian Health, Inc.
|
||||
07/01/2057
|
4.500%
|
|
300,000
|
256,148
|
HCA, Inc.
|
||||
09/15/2025
|
7.580%
|
|
125,000
|
127,683
|
12/01/2027
|
7.050%
|
|
115,000
|
121,134
|
09/01/2028
|
5.625%
|
|
100,000
|
100,540
|
09/01/2030
|
3.500%
|
|
1,554,000
|
1,390,799
|
04/01/2034
|
5.600%
|
|
680,000
|
673,964
|
ModivCare Escrow Issuer, Inc.(a)
|
||||
10/01/2029
|
5.000%
|
|
372,000
|
264,243
|
New York and Presbyterian Hospital (The)
|
||||
08/01/2036
|
3.563%
|
|
390,000
|
329,751
|
Option Care Health, Inc.(a)
|
||||
10/31/2029
|
4.375%
|
|
160,000
|
145,757
|
Prime Healthcare Services, Inc.(a)
|
||||
11/01/2025
|
7.250%
|
|
187,000
|
187,578
|
Providence Service Corp. (The)(a)
|
||||
11/15/2025
|
5.875%
|
|
30,000
|
29,839
|
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Rede D’or Finance SARL(a)
|
||||
01/22/2030
|
4.500%
|
|
200,000
|
178,272
|
Thermo Fisher Scientific, Inc.
|
||||
03/01/2028
|
0.500%
|
EUR
|
315,000
|
305,784
|
Total
|
5,165,073
|
|||
Healthcare Insurance 0.3%
|
||||
Centene Corp.
|
||||
12/15/2029
|
4.625%
|
|
55,000
|
51,773
|
02/15/2030
|
3.375%
|
|
650,000
|
572,617
|
10/15/2030
|
3.000%
|
|
585,000
|
497,288
|
03/01/2031
|
2.500%
|
|
445,000
|
362,960
|
Total
|
1,484,638
|
|||
Healthcare REIT 0.1%
|
||||
Healthcare Realty Holdings LP
|
||||
01/15/2028
|
3.625%
|
|
63,000
|
57,866
|
03/15/2030
|
2.400%
|
|
40,000
|
32,648
|
03/15/2031
|
2.050%
|
|
56,000
|
42,928
|
Healthcare Trust of America Holdings LP
|
||||
02/15/2030
|
3.100%
|
|
35,000
|
30,403
|
03/15/2031
|
2.000%
|
|
160,000
|
125,635
|
Total
|
289,480
|
|||
Independent Energy 1.1%
|
||||
Aker BP ASA(a)
|
||||
01/15/2030
|
3.750%
|
|
430,000
|
393,905
|
Civitas Resources, Inc.(a)
|
||||
07/01/2031
|
8.750%
|
|
395,000
|
422,026
|
Continental Resources, Inc.(a)
|
||||
01/15/2031
|
5.750%
|
|
326,000
|
320,884
|
04/01/2032
|
2.875%
|
|
888,000
|
719,754
|
Encana Corp.
|
||||
08/15/2034
|
6.500%
|
|
495,000
|
515,871
|
02/01/2038
|
6.500%
|
|
260,000
|
267,398
|
EQT Corp.(a)
|
||||
05/15/2031
|
3.625%
|
|
745,000
|
653,539
|
EQT Corp.
|
||||
02/01/2034
|
5.750%
|
|
285,000
|
282,534
|
Occidental Petroleum Corp.
|
||||
09/01/2030
|
6.625%
|
|
580,000
|
606,002
|
01/01/2031
|
6.125%
|
|
285,000
|
291,249
|
05/01/2031
|
7.500%
|
|
195,000
|
214,740
|
09/15/2036
|
6.450%
|
|
90,000
|
93,722
|
Petrorio Luxembourg Sarl(a)
|
||||
06/09/2026
|
6.125%
|
|
200,000
|
196,093
|
Southwestern Energy Co.(j)
|
||||
01/23/2025
|
5.700%
|
|
4,000
|
3,987
|
12
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Var Energi ASA(a)
|
||||
01/15/2028
|
7.500%
|
|
200,000
|
210,372
|
Total
|
5,192,076
|
|||
Integrated Energy 0.3%
|
||||
Cenovus Energy, Inc.
|
||||
02/07/2028
|
3.500%
|
CAD
|
215,000
|
151,044
|
06/15/2037
|
5.250%
|
|
25,000
|
23,556
|
11/15/2039
|
6.750%
|
|
878,000
|
939,939
|
06/15/2047
|
5.400%
|
|
285,000
|
262,808
|
Total
|
1,377,347
|
|||
Leisure 0.2%
|
||||
Carnival Corp.(a)
|
||||
03/01/2027
|
5.750%
|
|
285,000
|
279,816
|
01/15/2030
|
5.750%
|
EUR
|
160,000
|
177,100
|
Live Nation Entertainment, Inc.(a)
|
||||
10/15/2027
|
4.750%
|
|
89,000
|
84,356
|
Royal Caribbean Cruises Ltd.(a)
|
||||
04/01/2028
|
5.500%
|
|
495,000
|
483,603
|
Total
|
1,024,875
|
|||
Life Insurance 0.1%
|
||||
Athene Global Funding(a)
|
||||
03/08/2027
|
3.205%
|
|
95,000
|
88,276
|
08/19/2028
|
1.985%
|
|
395,000
|
341,951
|
Total
|
430,227
|
|||
Lodging 0.3%
|
||||
Hilton Domestic Operating Co., Inc.
|
||||
01/15/2030
|
4.875%
|
|
351,000
|
332,041
|
Hilton Domestic Operating Co., Inc.(a)
|
||||
02/15/2032
|
3.625%
|
|
483,000
|
409,900
|
Hyatt Hotels Corp.(j)
|
||||
04/23/2030
|
5.750%
|
|
451,000
|
458,173
|
Travel + Leisure Co.(a)
|
||||
12/01/2029
|
4.500%
|
|
380,000
|
346,071
|
Total
|
1,546,185
|
|||
Media and Entertainment 0.5%
|
||||
Netflix, Inc.
|
||||
02/15/2025
|
5.875%
|
|
285,000
|
285,516
|
News Corp.(a)
|
||||
05/15/2029
|
3.875%
|
|
745,000
|
676,000
|
Scripps Escrow, Inc.(a)
|
||||
07/15/2027
|
5.875%
|
|
30,000
|
19,400
|
Warnermedia Holdings, Inc.
|
||||
03/15/2042
|
5.050%
|
|
305,000
|
252,090
|
03/15/2052
|
5.141%
|
|
813,000
|
641,541
|
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
WMG Acquisition Corp(a)
|
||||
02/15/2031
|
3.000%
|
|
655,000
|
555,783
|
Total
|
2,430,330
|
|||
Metals and Mining 0.5%
|
||||
ATI, Inc.
|
||||
08/15/2030
|
7.250%
|
|
92,000
|
94,513
|
Cleveland-Cliffs, Inc.(a)
|
||||
04/15/2030
|
6.750%
|
|
1,045,000
|
1,033,962
|
Freeport-McMoRan, Inc.
|
||||
08/01/2030
|
4.625%
|
|
265,000
|
253,310
|
11/14/2034
|
5.400%
|
|
280,000
|
274,038
|
03/15/2043
|
5.450%
|
|
815,000
|
768,716
|
Total
|
2,424,539
|
|||
Midstream 1.1%
|
||||
Cheniere Energy Partners LP
|
||||
03/01/2031
|
4.000%
|
|
735,000
|
663,972
|
Columbia Pipelines Operating Co. LLC(a)
|
||||
11/15/2033
|
6.036%
|
|
65,000
|
66,290
|
Enbridge, Inc.
|
||||
11/15/2029
|
3.125%
|
|
395,000
|
355,659
|
Enbridge, Inc.(j)
|
||||
01/15/2084
|
8.500%
|
|
465,000
|
498,333
|
Energy Transfer LP(j),(m)
|
||||
|
6.625%
|
|
336,000
|
317,593
|
Energy Transfer LP(j)
|
||||
05/15/2054
|
8.000%
|
|
350,000
|
364,208
|
Ferrellgas LP/Finance Corp.(a)
|
||||
04/01/2029
|
5.875%
|
|
194,000
|
183,569
|
Galaxy Pipeline Assets Bidco Ltd.(a)
|
||||
03/31/2034
|
2.160%
|
|
162,080
|
137,358
|
Global Partners LP/Finance Corp.
|
||||
01/15/2029
|
6.875%
|
|
150,000
|
147,984
|
Kinder Morgan, Inc.
|
||||
12/01/2034
|
5.300%
|
|
145,000
|
140,349
|
NGL Energy Operating LLC/Finance Corp.(a)
|
||||
02/15/2032
|
8.375%
|
|
70,000
|
71,279
|
Rockies Express Pipeline LLC(a)
|
||||
07/15/2029
|
4.950%
|
|
100,000
|
93,085
|
Sunoco LP/Finance Corp.
|
||||
05/15/2029
|
4.500%
|
|
225,000
|
206,858
|
TMS Issuer Sarl(a)
|
||||
08/23/2032
|
5.780%
|
|
300,000
|
304,521
|
TransCanada PipeLines Ltd.
|
||||
04/15/2030
|
4.100%
|
|
635,000
|
595,802
|
03/01/2034
|
4.625%
|
|
5,000
|
4,643
|
Multi-Manager Alternative Strategies Fund | 2024
13
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Transcontinental Gas Pipe Line Co. LLC
|
||||
05/15/2030
|
3.250%
|
|
80,000
|
71,608
|
TransMontaigne Partners LP/TLP Finance Corp.
|
||||
02/15/2026
|
6.125%
|
|
139,000
|
133,817
|
Venture Global Calcasieu Pass LLC(a)
|
||||
08/15/2029
|
3.875%
|
|
196,000
|
176,715
|
Venture Global LNG, Inc.(a)
|
||||
02/01/2029
|
9.500%
|
|
165,000
|
179,053
|
Western Midstream Operating LP(j)
|
||||
02/01/2030
|
4.050%
|
|
445,000
|
412,922
|
Total
|
5,125,618
|
|||
Natural Gas 0.1%
|
||||
KeySpan Gas East Corp.(a)
|
||||
03/06/2033
|
5.994%
|
|
420,000
|
419,742
|
Office REIT 0.1%
|
||||
Boston Properties LP
|
||||
10/01/2026
|
2.750%
|
|
38,000
|
35,404
|
Hudson Pacific Properties LP
|
||||
11/01/2027
|
3.950%
|
|
82,000
|
70,437
|
02/15/2028
|
5.950%
|
|
5,000
|
4,295
|
04/01/2029
|
4.650%
|
|
155,000
|
121,313
|
01/15/2030
|
3.250%
|
|
115,000
|
80,401
|
Total
|
311,850
|
|||
Oil Field Services 0.0%
|
||||
USA Compression Partners LP/Finance Corp.(a)
|
||||
03/15/2029
|
7.125%
|
|
180,000
|
180,031
|
Other Financial Institutions 0.1%
|
||||
Add Hero Holdings Ltd.(k)
|
||||
09/30/2029
|
8.500%
|
|
33,630
|
973
|
09/30/2030
|
9.000%
|
|
25,993
|
556
|
09/30/2031
|
9.800%
|
|
34,050
|
728
|
China Aoyuan Group Ltd.(f),(m)
|
||||
|
0.000%
|
|
49,185
|
368
|
China Aoyuan Group Ltd.(k)
|
||||
09/30/2031
|
5.500%
|
|
19,043
|
147
|
Greystar Real Estate Partners LLC(a)
|
||||
09/01/2030
|
7.750%
|
|
87,000
|
91,679
|
Icahn Enterprises LP/Finance Corp.
|
||||
09/15/2024
|
4.750%
|
|
50,000
|
50,006
|
05/15/2027
|
5.250%
|
|
150,000
|
137,733
|
02/01/2029
|
4.375%
|
|
58,000
|
48,408
|
Icahn Enterprises LP/Finance Corp.(a)
|
||||
06/15/2030
|
9.000%
|
|
35,000
|
34,559
|
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Sunac China Holdings Ltd.(a),(k)
|
||||
09/30/2025
|
6.000%
|
|
18,113
|
2,412
|
09/30/2026
|
6.250%
|
|
18,135
|
2,190
|
09/30/2027
|
6.500%
|
|
36,316
|
4,036
|
09/30/2028
|
6.750%
|
|
54,539
|
5,773
|
09/30/2029
|
7.000%
|
|
54,605
|
5,243
|
09/30/2030
|
7.250%
|
|
25,684
|
2,373
|
Total
|
387,184
|
|||
Other Industry 0.2%
|
||||
Adtalem Global Education, Inc.(a)
|
||||
03/01/2028
|
5.500%
|
|
103,000
|
98,775
|
Duke University
|
||||
10/01/2046
|
3.299%
|
|
228,000
|
167,215
|
Massachusetts Institute of Technology
|
||||
07/01/2050
|
2.989%
|
|
370,000
|
256,337
|
President and Fellows of Harvard College
|
||||
10/15/2050
|
2.517%
|
|
505,000
|
315,499
|
Total
|
837,826
|
|||
Other REIT 0.2%
|
||||
American Assets Trust LP
|
||||
02/01/2031
|
3.375%
|
|
155,000
|
126,990
|
Extra Space Storage LP
|
||||
06/01/2031
|
2.550%
|
|
35,000
|
28,801
|
10/15/2031
|
2.400%
|
|
30,000
|
24,446
|
03/15/2032
|
2.350%
|
|
150,000
|
118,809
|
Host Hotels & Resorts LP
|
||||
12/15/2029
|
3.375%
|
|
315,000
|
279,832
|
09/15/2030
|
3.500%
|
|
115,000
|
101,435
|
Lexington Realty Trust
|
||||
09/15/2030
|
2.700%
|
|
135,000
|
112,522
|
Total
|
792,835
|
|||
Packaging 0.6%
|
||||
Ardagh Metal Packaging Finance USA LLC/PLC(a)
|
||||
09/01/2028
|
3.250%
|
|
220,000
|
193,100
|
Ardagh Packaging Finance PLC/Holdings USA, Inc.(a)
|
||||
08/15/2026
|
4.125%
|
|
60,000
|
51,004
|
08/15/2027
|
5.250%
|
|
206,000
|
121,376
|
08/15/2027
|
5.250%
|
|
20,000
|
11,792
|
Ball Corp.
|
||||
03/15/2026
|
4.875%
|
|
86,000
|
84,585
|
03/15/2028
|
6.875%
|
|
475,000
|
484,743
|
08/15/2030
|
2.875%
|
|
945,000
|
798,352
|
Berry Global Escrow Corp.(a)
|
||||
07/15/2026
|
4.875%
|
|
24,000
|
23,602
|
07/15/2027
|
5.625%
|
|
125,000
|
123,387
|
Berry Global, Inc.
|
||||
04/15/2028
|
5.500%
|
|
360,000
|
357,836
|
14
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Berry Global, Inc.(a)
|
||||
01/15/2034
|
5.650%
|
|
120,000
|
117,086
|
Clydesdale Acquisition Holdings, Inc.(a)
|
||||
04/15/2029
|
6.625%
|
|
94,000
|
92,475
|
Sealed Air Corp.(a)
|
||||
09/15/2025
|
5.500%
|
|
357,000
|
355,275
|
04/15/2029
|
5.000%
|
|
100,000
|
94,869
|
Trivium Packaging Finance BV(a)
|
||||
08/15/2026
|
5.500%
|
|
140,000
|
137,978
|
Total
|
3,047,460
|
|||
Paper 0.0%
|
||||
Clearwater Paper Corp.(a)
|
||||
08/15/2028
|
4.750%
|
|
100,000
|
93,267
|
Graphic Packaging International LLC(a)
|
||||
07/15/2027
|
4.750%
|
|
93,000
|
90,151
|
Total
|
183,418
|
|||
Pharmaceuticals 0.3%
|
||||
1375209 BC Ltd.(a)
|
||||
01/30/2028
|
9.000%
|
|
180,000
|
174,521
|
Allergan Funding SCS
|
||||
11/15/2028
|
2.625%
|
EUR
|
100,000
|
99,702
|
Bayer US Finance II LLC(a)
|
||||
12/15/2025
|
4.250%
|
|
100,000
|
97,596
|
12/15/2028
|
4.375%
|
|
174,000
|
164,211
|
06/25/2038
|
4.625%
|
|
520,000
|
432,404
|
Bayer US Finance LLC(a)
|
||||
11/21/2053
|
6.875%
|
|
255,000
|
264,311
|
Grifols Escrow Issuer SA(a)
|
||||
10/15/2028
|
4.750%
|
|
295,000
|
255,306
|
Kevlar SpA(a)
|
||||
09/01/2029
|
6.500%
|
|
206,000
|
188,066
|
Total
|
1,676,117
|
|||
Property & Casualty 0.3%
|
||||
Acrisure LLC/Finance, Inc.(a)
|
||||
02/15/2029
|
4.250%
|
|
120,000
|
109,215
|
08/01/2029
|
6.000%
|
|
40,000
|
36,466
|
Alliant Holdings Intermediate LLC/Co-Issuer(a)
|
||||
04/15/2028
|
6.750%
|
|
185,000
|
185,273
|
Aon Corp.
|
||||
05/15/2030
|
2.800%
|
|
230,000
|
200,505
|
Berkshire Hathaway Finance Corp.
|
||||
06/19/2039
|
2.375%
|
GBP
|
250,000
|
223,436
|
Farmers Exchange Capital III(a),(j)
|
||||
Subordinated
|
||||
10/15/2054
|
5.454%
|
|
300,000
|
249,490
|
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Farmers Insurance Exchange(a),(j)
|
||||
Subordinated
|
||||
11/01/2057
|
4.747%
|
|
100,000
|
73,566
|
Nationwide Mutual Insurance Co.(a),(b)
|
||||
Subordinated
|
||||
3-month Term SOFR + 2.552%
12/15/2024
|
7.881%
|
|
450,000
|
451,406
|
Total
|
1,529,357
|
|||
Refining 0.0%
|
||||
MC Brazil Downstream Trading SARL(a)
|
||||
06/30/2031
|
7.250%
|
|
209,165
|
188,126
|
Restaurants 0.5%
|
||||
1011778 BC ULC/New Red Finance, Inc.(a)
|
||||
01/15/2028
|
3.875%
|
|
430,000
|
399,312
|
02/15/2029
|
3.500%
|
|
670,000
|
604,063
|
Fertitta Entertainment LLC/Finance Co., Inc.(a)
|
||||
01/15/2030
|
6.750%
|
|
60,000
|
53,045
|
Yum! Brands, Inc.(a)
|
||||
01/15/2030
|
4.750%
|
|
645,000
|
609,529
|
Yum! Brands, Inc.
|
||||
03/15/2031
|
3.625%
|
|
780,000
|
679,320
|
01/31/2032
|
4.625%
|
|
300,000
|
273,384
|
Total
|
2,618,653
|
|||
Retailers 0.1%
|
||||
LCM Investments Holdings II LLC(a)
|
||||
08/01/2031
|
8.250%
|
|
88,000
|
91,340
|
Magic MergeCo, Inc.(a)
|
||||
05/01/2029
|
7.875%
|
|
366,000
|
248,195
|
Total
|
339,535
|
|||
Stranded Utility 0.1%
|
||||
Brazos Securitization LLC(a)
|
||||
09/01/2031
|
5.014%
|
|
173,908
|
171,676
|
09/01/2050
|
5.413%
|
|
200,000
|
198,722
|
United Electric Securitization LLC(a)
|
||||
06/01/2031
|
5.109%
|
|
93,580
|
91,965
|
Total
|
462,363
|
|||
Supranational 0.9%
|
||||
Asian Development Bank
|
||||
10/14/2026
|
3.000%
|
AUD
|
135,000
|
86,845
|
Asian Infrastructure Investment Bank (The)(a)
|
||||
12/15/2025
|
0.200%
|
GBP
|
245,000
|
290,061
|
European Investment Bank(a)
|
||||
01/20/2032
|
0.250%
|
EUR
|
470,000
|
415,588
|
Multi-Manager Alternative Strategies Fund | 2024
15
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Inter-American Development Bank(a)
|
||||
10/30/2025
|
2.750%
|
AUD
|
330,000
|
214,355
|
10/03/2030
|
4.700%
|
AUD
|
365,000
|
241,456
|
Inter-American Development Bank
|
||||
01/29/2026
|
2.700%
|
AUD
|
138,000
|
89,132
|
03/01/2029
|
4.600%
|
CAD
|
230,000
|
173,252
|
International Bank for Reconstruction & Development
|
||||
01/16/2025
|
1.900%
|
CAD
|
470,000
|
338,937
|
03/16/2026
|
1.250%
|
NOK
|
1,410,000
|
127,111
|
06/22/2026
|
5.000%
|
NZD
|
740,000
|
453,316
|
01/19/2027
|
1.800%
|
CAD
|
150,000
|
103,577
|
09/18/2030
|
4.250%
|
CAD
|
180,000
|
133,760
|
08/08/2034
|
1.200%
|
EUR
|
850,000
|
771,906
|
International Development Association(a)
|
||||
02/17/2027
|
1.750%
|
NOK
|
900,000
|
80,037
|
International Finance Corp.
|
||||
09/10/2025
|
0.375%
|
NZD
|
592,000
|
341,560
|
International Finance Corp.(a)
|
||||
10/19/2028
|
4.600%
|
AUD
|
310,000
|
206,591
|
Nordic Investment Bank
|
||||
08/23/2027
|
3.000%
|
NOK
|
1,480,000
|
135,757
|
Total
|
4,203,241
|
|||
Technology 0.6%
|
||||
Block, Inc.(a)
|
||||
05/15/2032
|
6.500%
|
|
85,000
|
85,795
|
CDW LLC/Finance Corp.
|
||||
12/01/2031
|
3.569%
|
|
25,000
|
21,631
|
CommScope, Inc.(a)
|
||||
09/01/2029
|
4.750%
|
|
74,000
|
52,343
|
Dell International LLC/EMC Corp.
|
||||
07/15/2046
|
8.350%
|
|
275,000
|
351,980
|
Everi Holdings, Inc.(a)
|
||||
07/15/2029
|
5.000%
|
|
195,000
|
189,480
|
Fidelity National Information Services, Inc.
|
||||
12/03/2028
|
1.000%
|
EUR
|
210,000
|
201,672
|
Gartner, Inc.(a)
|
||||
10/01/2030
|
3.750%
|
|
300,000
|
264,245
|
MSCI, Inc.(a)
|
||||
09/01/2030
|
3.625%
|
|
745,000
|
661,474
|
02/15/2031
|
3.875%
|
|
275,000
|
245,687
|
11/01/2031
|
3.625%
|
|
345,000
|
300,499
|
08/15/2033
|
3.250%
|
|
90,000
|
73,985
|
NCR Corp.(a)
|
||||
10/01/2030
|
5.250%
|
|
75,000
|
68,071
|
Open Text Corp.(a)
|
||||
12/01/2027
|
6.900%
|
|
70,000
|
71,772
|
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Oracle Corp.
|
||||
04/01/2027
|
2.800%
|
|
100,000
|
93,554
|
11/15/2047
|
4.000%
|
|
255,000
|
193,439
|
Total
|
2,875,627
|
|||
Tobacco 0.2%
|
||||
BAT Capital Corp.
|
||||
03/16/2052
|
5.650%
|
|
140,000
|
125,724
|
Reynolds American, Inc.
|
||||
08/15/2045
|
5.850%
|
|
660,000
|
614,654
|
Total
|
740,378
|
|||
Wireless 1.1%
|
||||
Altice France SA(a)
|
||||
10/15/2029
|
5.500%
|
|
148,000
|
99,408
|
American Tower Corp.
|
||||
01/15/2028
|
0.500%
|
EUR
|
220,000
|
211,132
|
06/15/2030
|
2.100%
|
|
175,000
|
145,463
|
04/15/2031
|
2.700%
|
|
300,000
|
252,306
|
Cellnex Telecom SA(a)
|
||||
06/26/2029
|
1.875%
|
EUR
|
100,000
|
98,238
|
Crown Castle International Corp.
|
||||
02/15/2028
|
3.800%
|
|
385,000
|
363,378
|
SBA Communications Corp.
|
||||
02/15/2027
|
3.875%
|
|
890,000
|
842,529
|
02/01/2029
|
3.125%
|
|
475,000
|
418,783
|
Sprint Spectrum Co. I/II/III LLC(a)
|
||||
03/20/2028
|
5.152%
|
|
1,004,000
|
996,629
|
T-Mobile US, Inc.
|
||||
04/15/2026
|
2.625%
|
|
119,000
|
113,021
|
04/15/2027
|
3.750%
|
|
20,000
|
19,174
|
02/01/2028
|
4.750%
|
|
118,000
|
115,966
|
02/15/2029
|
2.625%
|
|
220,000
|
195,871
|
04/15/2029
|
3.375%
|
|
250,000
|
229,535
|
02/15/2031
|
2.875%
|
|
125,000
|
107,658
|
04/15/2031
|
3.500%
|
|
360,000
|
321,701
|
Vmed O2 UK Financing I PLC(a)
|
||||
01/31/2031
|
3.250%
|
EUR
|
305,000
|
287,091
|
01/31/2031
|
4.250%
|
|
630,000
|
518,752
|
Total
|
5,336,635
|
|||
Wirelines 0.1%
|
||||
C&W Senior Financing DAC(a)
|
||||
09/15/2027
|
6.875%
|
|
200,000
|
190,771
|
Cogent Communications Group, Inc.(a)
|
||||
06/15/2027
|
7.000%
|
|
90,000
|
89,576
|
Front Range BidCo, Inc.(a)
|
||||
03/01/2027
|
4.000%
|
|
118,000
|
92,043
|
16
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Corporate Bonds & Notes(l) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Frontier Communications Corp.(a)
|
||||
05/01/2028
|
5.000%
|
|
170,000
|
158,787
|
Frontier Communications Holdings LLC(a)
|
||||
05/01/2029
|
6.750%
|
|
18,000
|
16,420
|
03/15/2031
|
8.625%
|
|
86,000
|
88,167
|
Total
|
635,764
|
|||
Total Corporate Bonds & Notes
(Cost $102,419,769)
|
98,594,911
|
|||
|
||||
Foreign Government Obligations(l),(n) 8.4%
|
||||
|
|
|
|
|
Australia 0.6%
|
||||
Airservices Australia
|
||||
11/15/2028
|
5.400%
|
AUD
|
300,000
|
203,015
|
New South Wales Treasury Corp.(a)
|
||||
02/20/2032
|
1.500%
|
AUD
|
790,000
|
409,959
|
New South Wales Treasury Corp.
|
||||
03/08/2033
|
2.000%
|
AUD
|
705,000
|
367,228
|
Queensland Treasury Corp.(a)
|
||||
08/22/2035
|
4.500%
|
AUD
|
320,000
|
198,073
|
07/21/2036
|
5.250%
|
AUD
|
955,000
|
626,068
|
South Australian Government Financing Authority(a)
|
||||
05/24/2038
|
4.750%
|
AUD
|
305,000
|
186,841
|
Treasury Corp. of Victoria
|
||||
12/20/2032
|
4.250%
|
AUD
|
510,000
|
319,683
|
11/20/2034
|
2.250%
|
AUD
|
215,000
|
107,646
|
Treasury Corp. of Victoria(a)
|
||||
09/15/2036
|
4.750%
|
AUD
|
375,000
|
232,820
|
Total
|
2,651,333
|
|||
Austria 0.1%
|
||||
Republic of Austria Government Bond(a)
|
||||
02/20/2033
|
2.900%
|
EUR
|
300,000
|
320,573
|
Brazil 0.3%
|
||||
Brazil Notas do Tesouro Nacional Series F
|
||||
01/01/2025
|
10.000%
|
BRL
|
4,185,000
|
827,161
|
01/01/2027
|
10.000%
|
BRL
|
2,325,000
|
450,681
|
Brazilian Government International Bond
|
||||
03/15/2034
|
6.125%
|
|
200,000
|
194,554
|
Total
|
1,472,396
|
|||
Canada 0.9%
|
||||
Canadian Government Bond
|
||||
09/01/2024
|
1.500%
|
CAD
|
295,000
|
214,678
|
03/01/2025
|
1.250%
|
CAD
|
1,080,000
|
773,609
|
12/01/2030
|
0.500%
|
CAD
|
190,000
|
114,505
|
CPPIB Capital, Inc.(a)
|
||||
12/01/2031
|
2.250%
|
CAD
|
155,000
|
99,739
|
Foreign Government Obligations(l),(n) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
OMERS Finance Trust(a)
|
||||
03/26/2031
|
4.750%
|
|
250,000
|
247,564
|
Ontario Teachers’ Finance Trust(a)
|
||||
04/16/2031
|
2.000%
|
|
465,000
|
387,023
|
Province of Alberta(a)
|
||||
04/18/2025
|
0.625%
|
EUR
|
290,000
|
306,555
|
Province of British Columbia
|
||||
07/06/2033
|
4.200%
|
|
350,000
|
332,957
|
Province of Ontario
|
||||
12/02/2030
|
1.350%
|
CAD
|
1,109,000
|
687,989
|
06/02/2045
|
3.450%
|
CAD
|
380,000
|
239,300
|
Province of Ontario(a)
|
||||
01/31/2034
|
3.100%
|
EUR
|
185,000
|
197,451
|
Province of Quebec(a)
|
||||
04/07/2025
|
0.200%
|
EUR
|
240,000
|
252,981
|
Province of Quebec
|
||||
09/08/2033
|
4.500%
|
|
221,000
|
214,899
|
Total
|
4,069,250
|
|||
Chile 0.2%
|
||||
Corp. Nacional del Cobre de Chile(a)
|
||||
02/02/2033
|
5.125%
|
|
200,000
|
187,769
|
Corporación Nacional del Cobre de Chile(a)
|
||||
01/26/2036
|
6.440%
|
|
204,000
|
207,824
|
11/04/2044
|
4.875%
|
|
490,000
|
406,560
|
Total
|
802,153
|
|||
Colombia 0.1%
|
||||
Colombia Government International Bond
|
||||
03/15/2029
|
4.500%
|
|
200,000
|
181,346
|
04/15/2031
|
3.125%
|
|
580,000
|
454,704
|
Total
|
636,050
|
|||
Costa Rica 0.0%
|
||||
Costa Rica Government International Bond(a)
|
||||
04/03/2034
|
6.550%
|
|
200,000
|
204,692
|
Dominican Republic 0.0%
|
||||
Dominican Republic International Bond(a)
|
||||
01/30/2030
|
4.500%
|
|
200,000
|
181,887
|
Finland 0.1%
|
||||
Finland Government Bond(a)
|
||||
09/15/2033
|
3.000%
|
EUR
|
445,000
|
478,714
|
Kuntarahoitus Oyj(b)
|
||||
3-month NIBOR + 1.250%
01/10/2025
|
5.970%
|
NOK
|
2,000,000
|
191,968
|
Total
|
670,682
|
Multi-Manager Alternative Strategies Fund | 2024
17
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Foreign Government Obligations(l),(n) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Germany 0.2%
|
||||
Bundesrepublik Deutschland Bundesanleihe(a),(f)
|
||||
02/15/2031
|
0.000%
|
EUR
|
310,000
|
283,275
|
05/15/2035
|
0.000%
|
EUR
|
340,000
|
275,949
|
Bundesrepublik Deutschland Bundesanleihe(a)
|
||||
07/04/2042
|
3.250%
|
EUR
|
130,000
|
149,178
|
Kreditanstalt fuer Wiederaufbau(a)
|
||||
02/17/2027
|
2.875%
|
NOK
|
620,000
|
56,932
|
Total
|
765,334
|
|||
Guatemala 0.0%
|
||||
Guatemala Government Bond(a)
|
||||
08/10/2029
|
5.250%
|
|
200,000
|
191,348
|
Hungary 0.0%
|
||||
Hungary Government International Bond(a)
|
||||
09/22/2031
|
2.125%
|
|
200,000
|
157,168
|
India 0.4%
|
||||
Export-Import Bank of India(a)
|
||||
02/01/2028
|
3.875%
|
|
200,000
|
190,361
|
India Government Bond
|
||||
06/15/2025
|
5.220%
|
INR
|
30,950,000
|
364,282
|
04/08/2026
|
7.270%
|
INR
|
3,500,000
|
42,098
|
06/20/2027
|
7.380%
|
INR
|
30,330,000
|
366,581
|
04/10/2028
|
7.060%
|
INR
|
13,230,000
|
158,531
|
04/18/2029
|
7.100%
|
INR
|
16,170,000
|
194,057
|
10/07/2029
|
6.450%
|
INR
|
11,000,000
|
128,253
|
07/12/2031
|
6.100%
|
INR
|
7,990,000
|
90,615
|
02/06/2033
|
7.260%
|
INR
|
28,380,000
|
344,126
|
Indian Railway Finance Corp., Ltd.(a)
|
||||
02/13/2030
|
3.249%
|
|
200,000
|
177,749
|
Total
|
2,056,653
|
|||
Indonesia 1.3%
|
||||
Indonesia Asahan Aluminium PT/Mineral Industri Persero(a)
|
||||
05/15/2030
|
5.450%
|
|
200,000
|
195,847
|
Indonesia Government International Bond(a)
|
||||
07/18/2024
|
2.150%
|
EUR
|
200,000
|
216,365
|
Indonesia Government International Bond
|
||||
10/15/2030
|
3.850%
|
|
200,000
|
184,164
|
03/12/2033
|
1.100%
|
EUR
|
100,000
|
85,743
|
03/12/2051
|
3.050%
|
|
200,000
|
134,236
|
Indonesia Treasury Bond
|
||||
06/15/2025
|
6.500%
|
IDR
|
2,977,000,000
|
183,006
|
09/15/2026
|
8.375%
|
IDR
|
4,278,000,000
|
271,972
|
04/15/2027
|
5.125%
|
IDR
|
1,504,000,000
|
88,831
|
05/15/2028
|
6.125%
|
IDR
|
773,000,000
|
46,402
|
08/15/2028
|
6.375%
|
IDR
|
11,991,000,000
|
727,052
|
03/15/2029
|
9.000%
|
IDR
|
2,298,000,000
|
153,323
|
02/15/2031
|
6.500%
|
IDR
|
10,212,000,000
|
615,336
|
Foreign Government Obligations(l),(n) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
05/15/2031
|
8.750%
|
IDR
|
4,550,000,000
|
307,591
|
04/15/2032
|
6.375%
|
IDR
|
7,840,000,000
|
469,578
|
05/15/2033
|
6.625%
|
IDR
|
2,025,000,000
|
122,434
|
02/15/2034
|
6.625%
|
IDR
|
5,976,000,000
|
360,633
|
06/15/2035
|
7.500%
|
IDR
|
1,095,000,000
|
70,356
|
05/15/2038
|
7.500%
|
IDR
|
4,489,000,000
|
288,972
|
Pertamina Persero PT(a)
|
||||
07/30/2029
|
3.650%
|
|
200,000
|
184,305
|
Perusahaan Penerbit SBSN Indonesia III(a)
|
||||
03/29/2027
|
4.150%
|
|
415,000
|
403,425
|
PT Indonesia Asahan Aluminium Persero(a)
|
||||
05/15/2025
|
4.750%
|
|
485,000
|
480,074
|
PT Pertamina Persero(a)
|
||||
08/25/2030
|
3.100%
|
|
200,000
|
175,397
|
PT Perusahaan Listrik Negara(a)
|
||||
05/15/2027
|
4.125%
|
|
485,000
|
466,627
|
Total
|
6,231,669
|
|||
Ireland 0.1%
|
||||
Ireland Government Bond(a)
|
||||
05/15/2029
|
1.100%
|
EUR
|
235,000
|
234,376
|
Italy 0.0%
|
||||
Republic of Italy Government International Bond
|
||||
02/17/2026
|
1.250%
|
|
200,000
|
186,151
|
Kazakhstan 0.1%
|
||||
KazMunayGas National Co. JSC(a)
|
||||
04/24/2030
|
5.375%
|
|
215,000
|
207,958
|
Malaysia 0.4%
|
||||
Malaysia Government Bond
|
||||
03/14/2025
|
3.882%
|
MYR
|
335,000
|
71,467
|
11/30/2026
|
3.900%
|
MYR
|
1,040,000
|
222,969
|
11/16/2027
|
3.899%
|
MYR
|
1,300,000
|
278,747
|
06/15/2028
|
3.733%
|
MYR
|
1,280,000
|
272,616
|
04/15/2030
|
4.498%
|
MYR
|
1,505,000
|
331,450
|
04/15/2033
|
3.844%
|
MYR
|
1,488,000
|
314,778
|
07/05/2034
|
3.828%
|
MYR
|
1,015,000
|
214,578
|
Total
|
1,706,605
|
|||
Mexico 0.7%
|
||||
Mexican Bonos
|
||||
03/06/2025
|
5.000%
|
MXN
|
14,799,000
|
837,089
|
05/26/2033
|
7.500%
|
MXN
|
18,180,000
|
927,114
|
Mexico Government International Bond
|
||||
05/24/2031
|
2.659%
|
|
475,000
|
391,736
|
05/29/2031
|
7.750%
|
MXN
|
15,730,000
|
830,011
|
02/12/2034
|
3.500%
|
|
200,000
|
163,590
|
18
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Foreign Government Obligations(l),(n) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Petroleos Mexicanos
|
||||
02/12/2048
|
6.350%
|
|
19,000
|
12,306
|
Total
|
3,161,846
|
|||
Netherlands 0.1%
|
||||
BNG Bank NV(a)
|
||||
07/17/2028
|
3.300%
|
AUD
|
630,000
|
397,424
|
New Zealand 0.7%
|
||||
New Zealand Government Bond
|
||||
04/15/2025
|
2.750%
|
NZD
|
1,195,000
|
718,524
|
05/15/2026
|
0.500%
|
NZD
|
620,000
|
350,301
|
05/15/2034
|
4.250%
|
NZD
|
370,000
|
217,283
|
05/15/2035
|
4.500%
|
NZD
|
525,000
|
313,049
|
New Zealand Government Bond(a)
|
||||
04/14/2033
|
3.500%
|
NZD
|
1,340,000
|
748,123
|
New Zealand Local Government Funding Agency Bond
|
||||
04/15/2025
|
2.750%
|
NZD
|
485,000
|
290,938
|
08/01/2028
|
4.700%
|
AUD
|
295,000
|
195,844
|
04/14/2033
|
3.500%
|
NZD
|
417,000
|
224,573
|
New Zealand Local Government Funding Agency Bond(a)
|
||||
05/15/2031
|
2.250%
|
NZD
|
380,000
|
194,358
|
05/15/2035
|
3.000%
|
NZD
|
350,000
|
172,511
|
Total
|
3,425,504
|
|||
Norway 0.4%
|
||||
Kommunalbanken AS
|
||||
07/16/2025
|
4.250%
|
AUD
|
494,000
|
327,082
|
Norway Government Bond(a)
|
||||
03/13/2025
|
1.750%
|
NOK
|
4,945,000
|
461,564
|
09/17/2031
|
1.250%
|
NOK
|
4,300,000
|
345,945
|
05/18/2032
|
2.125%
|
NOK
|
11,195,000
|
949,790
|
Total
|
2,084,381
|
|||
Panama 0.0%
|
||||
Panama Government International Bond
|
||||
01/23/2030
|
3.160%
|
|
200,000
|
166,680
|
Paraguay 0.0%
|
||||
Paraguay Government International Bond(a)
|
||||
04/28/2031
|
4.950%
|
|
200,000
|
189,650
|
Philippines 0.6%
|
||||
Philippine Government Bond
|
||||
08/12/2025
|
2.625%
|
PHP
|
33,665,000
|
551,298
|
09/09/2025
|
3.625%
|
PHP
|
15,410,000
|
254,781
|
08/22/2028
|
6.125%
|
PHP
|
21,225,000
|
359,034
|
02/28/2029
|
6.250%
|
PHP
|
18,900,000
|
319,832
|
09/15/2032
|
6.750%
|
PHP
|
20,280,000
|
348,522
|
09/30/2035
|
8.000%
|
PHP
|
4,700,000
|
87,912
|
Foreign Government Obligations(l),(n) (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Philippine Government International Bond
|
||||
05/17/2027
|
0.875%
|
EUR
|
535,000
|
530,859
|
05/05/2030
|
2.457%
|
|
300,000
|
257,540
|
01/14/2036
|
6.250%
|
PHP
|
10,000,000
|
159,639
|
Total
|
2,869,417
|
|||
Qatar 0.1%
|
||||
Qatar Government International Bond(a)
|
||||
03/14/2049
|
4.817%
|
|
280,000
|
255,635
|
Qatar Petroleum(a)
|
||||
07/12/2031
|
2.250%
|
|
465,000
|
384,960
|
Total
|
640,595
|
|||
Romania 0.0%
|
||||
Romanian Government International Bond(a)
|
||||
02/14/2031
|
3.000%
|
|
200,000
|
165,738
|
Singapore 0.1%
|
||||
Singapore Government Bond
|
||||
09/01/2033
|
3.375%
|
SGD
|
495,000
|
366,535
|
South Africa 0.0%
|
||||
Republic of South Africa Government International Bond
|
||||
06/22/2030
|
5.875%
|
|
200,000
|
186,261
|
South Korea 0.6%
|
||||
Korea Treasury Bond
|
||||
03/10/2027
|
2.375%
|
KRW
|
1,604,270,000
|
1,131,788
|
06/10/2027
|
2.125%
|
KRW
|
553,920,000
|
388,682
|
09/10/2027
|
3.125%
|
KRW
|
232,900,000
|
167,558
|
12/10/2029
|
1.375%
|
KRW
|
669,890,000
|
434,645
|
12/10/2032
|
4.250%
|
KRW
|
258,380,000
|
199,367
|
06/10/2033
|
3.250%
|
KRW
|
679,000,000
|
485,499
|
Total
|
2,807,539
|
|||
United Arab Emirates 0.1%
|
||||
Abu Dhabi Government International Bond(a)
|
||||
04/16/2050
|
3.875%
|
|
200,000
|
156,107
|
Finance Department Government of Sharjah(a)
|
||||
11/23/2032
|
6.500%
|
|
200,000
|
206,426
|
Total
|
362,533
|
|||
United Kingdom 0.2%
|
||||
United Kingdom Gilt(a)
|
||||
01/31/2025
|
0.250%
|
GBP
|
240,493
|
297,860
|
01/31/2029
|
0.500%
|
GBP
|
95,000
|
102,267
|
01/31/2033
|
3.250%
|
GBP
|
300,000
|
354,631
|
Total
|
754,758
|
|||
Total Foreign Government Obligations
(Cost $41,736,319)
|
40,325,139
|
|||
|
Multi-Manager Alternative Strategies Fund | 2024
19
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Municipal Bonds 1.0%
|
||||
Issue Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Airport 0.0%
|
||||
County of Miami-Dade Aviation
|
||||
Refunding Revenue Bonds
|
||||
Taxable
|
||||
Series 2020B
|
||||
10/01/2035
|
2.857%
|
|
85,000
|
67,743
|
Metropolitan Washington Airports Authority(o)
|
||||
Refunding Revenue Bonds
|
||||
Series 2023A
|
||||
10/01/2053
|
5.250%
|
|
35,000
|
36,684
|
Total
|
104,427
|
|||
Charter Schools 0.0%
|
||||
Arlington Higher Education Finance Corp.(c)
|
||||
Revenue Bonds
|
||||
Harmony Public Schools
|
||||
Series 2024
|
||||
02/15/2049
|
4.000%
|
|
10,000
|
9,407
|
Northeast Metropolitan Regional Vocational School District
|
||||
Limited General Obligation Bonds
|
||||
Series 2024
|
||||
05/15/2053
|
4.000%
|
|
75,000
|
69,942
|
Total
|
79,349
|
|||
Higher Education 0.2%
|
||||
Massachusetts Development Finance Agency
|
||||
Revenue Bonds
|
||||
Worcester Polytechnic Institute
|
||||
Series 2019
|
||||
09/01/2059
|
5.000%
|
|
120,000
|
123,498
|
Ohio Higher Educational Facility Commission
|
||||
Refunding Revenue Bonds
|
||||
Kenyon College Project
|
||||
Series 2020
|
||||
07/01/2044
|
4.000%
|
|
90,000
|
84,387
|
Oklahoma State University
|
||||
Refunding Revenue Bonds
|
||||
Series 2024
|
||||
09/01/2054
|
4.250%
|
|
10,000
|
9,698
|
Oregon Health and Science University
|
||||
Refunding Revenue Bonds
|
||||
Series 2021A
|
||||
07/01/2051
|
4.000%
|
|
15,000
|
13,799
|
South Carolina Jobs-Economic Development Authority
|
||||
Revenue Bonds
|
||||
Furman University
|
||||
Series 2022A
|
||||
04/01/2052
|
4.000%
|
|
30,000
|
28,058
|
Municipal Bonds (continued)
|
||||
Issue Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
University of Nebraska Facilities Corp.
|
||||
Refunding Revenue Bonds
|
||||
Taxable
|
||||
Series 2019A
|
||||
10/01/2049
|
3.037%
|
|
90,000
|
65,023
|
University of Texas System (The)
|
||||
Refunding Revenue Bonds
|
||||
Taxable
|
||||
Series 2020B
|
||||
08/15/2049
|
2.439%
|
|
755,000
|
462,340
|
University of Virginia
|
||||
Refunding Revenue Bonds
|
||||
Taxable
|
||||
Series 2020
|
||||
09/01/2050
|
2.256%
|
|
560,000
|
327,738
|
Total
|
1,114,541
|
|||
Hospital 0.0%
|
||||
Midland County Hospital District
|
||||
Revenue Bonds
|
||||
Series 2024A (BAM)
|
||||
05/15/2049
|
4.125%
|
|
25,000
|
23,444
|
Virginia Commonwealth University Health System Authority
|
||||
Revenue Bonds
|
||||
Series 2024A
|
||||
07/01/2054
|
4.000%
|
|
120,000
|
110,149
|
Total
|
133,593
|
|||
Investor Owned 0.0%
|
||||
New Hampshire Business Finance Authority(a)
|
||||
Refunding Revenue Bonds
|
||||
Wheeling Power Co. Project
|
||||
Series 2024
|
||||
04/01/2034
|
6.890%
|
|
165,000
|
168,345
|
Joint Power Authority 0.0%
|
||||
South Carolina Public Service Authority
|
||||
Revenue Bonds
|
||||
Taxable - Santee Cooper
|
||||
Series 2009
|
||||
01/01/2030
|
5.740%
|
|
65,000
|
66,449
|
Local Appropriation 0.1%
|
||||
Corp. ForGreer
|
||||
Revenue Bonds
|
||||
City Improvement Projects
|
||||
Series 2024
|
||||
09/01/2054
|
4.250%
|
|
80,000
|
76,876
|
Fort Mill Public Facilities Corp.
|
||||
Revenue Bonds
|
||||
Town of Fort Mill Project
|
||||
Series 2024
|
||||
08/01/2044
|
4.000%
|
|
5,000
|
4,774
|
20
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Municipal Bonds (continued)
|
||||
Issue Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Hardin County School District Finance Corp.
|
||||
Revenue Bonds
|
||||
Series 2024
|
||||
02/01/2044
|
4.000%
|
|
25,000
|
23,320
|
Lee County School Board (The)
|
||||
Certificate of Participation
|
||||
Series 2023A
|
||||
08/01/2046
|
4.000%
|
|
20,000
|
18,938
|
Louisiana Local Government Environmental Facilities & Community Development
Authority
|
||||
Series 2023
|
||||
12/01/2039
|
5.198%
|
|
210,000
|
208,096
|
Scago Public Facilities Corp.
|
||||
Revenue Bonds
|
||||
Georgetown County Project
|
||||
Series 2024
|
||||
06/01/2043
|
4.000%
|
|
5,000
|
4,859
|
Total
|
336,863
|
|||
Local General Obligation 0.1%
|
||||
Bowling Green City School District
|
||||
Unlimited General Obligation Bonds
|
||||
Series 2024B
|
||||
10/01/2053
|
4.125%
|
|
50,000
|
46,790
|
City of Jersey Village
|
||||
Limited General Obligation Bonds
|
||||
Series 2024
|
||||
03/15/2049
|
4.000%
|
|
20,000
|
18,408
|
City of Norfolk
|
||||
Unlimited General Obligation Bonds
|
||||
Taxable
|
||||
Series 2021
|
||||
10/01/2031
|
1.804%
|
|
105,000
|
85,606
|
County of Anne Arundel
|
||||
Limited General Obligation Bonds
|
||||
Series 2023
|
||||
10/01/2052
|
4.000%
|
|
5,000
|
4,795
|
County of Nassau(c)
|
||||
Limited General Obligation Bonds
|
||||
Series 2024A
|
||||
04/01/2051
|
4.000%
|
|
50,000
|
46,982
|
Greenwood Independent School District(c)
|
||||
Unlimited General Obligation Bonds
|
||||
Series 2024
|
||||
02/15/2054
|
4.000%
|
|
35,000
|
32,713
|
Needville Independent School District
|
||||
Unlimited General Obligation Bonds
|
||||
Series 2024
|
||||
08/15/2054
|
4.000%
|
|
45,000
|
42,178
|
Municipal Bonds (continued)
|
||||
Issue Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Rhode Island Health and Educational Building Corp.
|
||||
Revenue Bonds
|
||||
Public Schools Revenue Bond Financing Program
|
||||
Series 2024
|
||||
05/15/2046
|
5.000%
|
|
45,000
|
48,124
|
Temple Independent School District
|
||||
Unlimited General Obligation Bonds
|
||||
Series 2024
|
||||
02/01/2049
|
4.000%
|
|
20,000
|
18,730
|
Town of Maynard
|
||||
Limited General Obligation Bonds
|
||||
Series 2024
|
||||
04/15/2054
|
4.000%
|
|
95,000
|
89,144
|
Total
|
433,470
|
|||
Municipal Power 0.1%
|
||||
Texas Natural Gas Securitization Finance
|
||||
Customer Rate Relief Bonds
|
||||
Winter Storm Uri
|
||||
Series 2023
|
||||
04/01/2041
|
5.169%
|
|
460,000
|
456,187
|
Sales Tax 0.0%
|
||||
Massachusetts School Building Authority
|
||||
Refunding Revenue Bonds
|
||||
Taxable
|
||||
Series 2020C
|
||||
05/15/2043
|
2.950%
|
|
75,000
|
54,262
|
New York State Dormitory Authority
|
||||
Refunding Revenue Bonds
|
||||
Series 2024A
|
||||
03/15/2047
|
4.000%
|
|
40,000
|
37,838
|
Total
|
92,100
|
|||
Special Non Property Tax 0.2%
|
||||
State Board of Administration Finance Corp.
|
||||
Revenue Bonds
|
||||
Series 2024A
|
||||
07/01/2034
|
5.526%
|
|
440,000
|
442,556
|
Taxable
|
||||
Series 2020A
|
||||
07/01/2030
|
2.154%
|
|
312,000
|
262,708
|
Total
|
705,264
|
|||
State Appropriated 0.0%
|
||||
New Jersey Transportation Trust Fund Authority
|
||||
Revenue Bonds
|
||||
Series 2022A
|
||||
06/15/2042
|
4.000%
|
|
25,000
|
24,130
|
Multi-Manager Alternative Strategies Fund | 2024
21
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Municipal Bonds (continued)
|
||||
Issue Description
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
State General Obligation 0.1%
|
||||
Commonwealth of Massachusetts
|
||||
Limited General Obligation Bonds
|
||||
Taxable - Consolidated Loan
|
||||
Series 2019H
|
||||
09/01/2049
|
2.900%
|
|
375,000
|
254,519
|
State of Texas
|
||||
Unlimited General Obligation Bonds
|
||||
Taxable
|
||||
Series 2023
|
||||
10/01/2043
|
5.235%
|
|
250,000
|
247,154
|
Total
|
501,673
|
|||
Student Loan 0.1%
|
||||
Massachusetts Educational Financing Authority(c)
|
||||
Refunding Revenue Bonds
|
||||
Series 2024A
|
||||
07/01/2033
|
6.069%
|
|
260,000
|
260,016
|
Massachusetts Educational Financing Authority
|
||||
Revenue Bonds
|
||||
Taxable
|
||||
Series 2023A
|
||||
07/01/2044
|
5.950%
|
|
235,000
|
225,722
|
Total
|
485,738
|
|||
Water & Sewer 0.1%
|
||||
City of Florence Combined Waterworks & Sewerage System
|
||||
Refunding Revenue Bonds
|
||||
Capital Improvement
|
||||
Series 2019
|
||||
09/01/2038
|
3.000%
|
|
15,000
|
13,001
|
Massachusetts Water Resources Authority
|
||||
Revenue Bonds
|
||||
Taxable
|
||||
Series 2019E
|
||||
08/01/2039
|
3.124%
|
|
225,000
|
179,002
|
New Jersey Infrastructure Bank
|
||||
Revenue Bonds
|
||||
Environmental Infrastructure
|
||||
Series 2021
|
||||
09/01/2037
|
3.000%
|
|
25,000
|
21,862
|
New York City Municipal Water Finance Authority
|
||||
Revenue Bonds
|
||||
Second General Resolution
|
||||
Subordinated Series 2020
|
||||
06/15/2040
|
3.000%
|
|
60,000
|
49,344
|
Total
|
263,209
|
|||
Total Municipal Bonds
(Cost $5,100,778)
|
4,965,338
|
Preferred Stocks 0.1%
|
|||
Issuer
|
|
Shares
|
Value ($)
|
Financials 0.1%
|
|||
Banks 0.1%
|
|||
Citizens Financial Group, Inc.
|
7.375%
|
8,550
|
214,220
|
First Horizon Corp.
|
4.700%
|
1,525
|
26,459
|
Huntington Bancshares, Inc.
|
4.500%
|
25
|
440
|
Total
|
|
|
241,119
|
Total Financials
|
241,119
|
||
Total Preferred Stocks
(Cost $239,736)
|
241,119
|
Residential Mortgage-Backed Securities - Agency 9.3%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Federal Home Loan Mortgage Corp.
|
||||
04/01/2052-
05/01/2052
|
2.000%
|
|
1,444,770
|
1,116,819
|
05/01/2052
|
2.500%
|
|
1,354,011
|
1,093,925
|
05/01/2052-
10/01/2052
|
3.000%
|
|
1,969,514
|
1,657,743
|
07/01/2052-
05/01/2053
|
4.500%
|
|
2,381,344
|
2,248,764
|
08/01/2052-
10/01/2052
|
4.000%
|
|
1,651,468
|
1,499,623
|
08/01/2052-
08/01/2053
|
5.000%
|
|
2,638,563
|
2,545,608
|
Federal National Mortgage Association
|
||||
12/01/2051-
04/01/2052
|
2.000%
|
|
1,440,093
|
1,113,030
|
07/01/2052-
09/01/2053
|
4.500%
|
|
7,780,951
|
7,309,982
|
08/01/2052
|
3.000%
|
|
2,008,655
|
1,691,236
|
08/01/2052
|
4.000%
|
|
310,085
|
281,915
|
09/01/2052-
05/01/2054
|
5.000%
|
|
1,879,183
|
1,816,274
|
05/01/2053
|
2.500%
|
|
1,571,277
|
1,272,378
|
09/01/2053
|
5.500%
|
|
1,561,477
|
1,536,222
|
Federal National Mortgage Association(b)
|
||||
CMO Series 2013-5 Class GF
|
||||
30-day Average SOFR + 1.214%
Floor 1.100%, Cap 5.000%
10/25/2042
|
5.000%
|
|
207,549
|
198,335
|
Government National Mortgage Association(p)
|
||||
11/20/2052
|
4.500%
|
|
1,061,682
|
1,004,463
|
Government National Mortgage Association(h)
|
||||
CMO Series 2017-136 Class IO
|
||||
09/20/2047
|
5.000%
|
|
519,759
|
107,494
|
CMO Series 2018-63 Class IO
|
||||
09/20/2047
|
4.000%
|
|
701,330
|
107,496
|
22
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Government National Mortgage Association TBA(c)
|
||||
06/20/2054
|
4.500%
|
|
2,025,000
|
1,914,527
|
06/20/2054
|
5.000%
|
|
2,125,000
|
2,062,360
|
06/20/2054-
07/22/2054
|
5.500%
|
|
1,325,000
|
1,313,870
|
Uniform Mortgage-Backed Security TBA(c)
|
||||
06/13/2054
|
2.000%
|
|
3,425,000
|
2,641,753
|
06/13/2054
|
2.500%
|
|
2,975,000
|
2,401,863
|
06/13/2054
|
3.000%
|
|
2,775,000
|
2,333,141
|
07/15/2054
|
4.000%
|
|
4,450,000
|
4,039,729
|
07/15/2054
|
4.500%
|
|
1,075,000
|
1,006,694
|
Total Residential Mortgage-Backed Securities - Agency
(Cost $44,457,278)
|
44,315,244
|
|||
|
||||
Residential Mortgage-Backed Securities - Non-Agency 12.3%
|
||||
|
|
|
|
|
ABFC Trust(b)
|
||||
CMO Series 2007-WMC1 Class A1A
|
||||
1-month Term SOFR + 1.364%
Floor 1.250%
06/25/2037
|
6.689%
|
|
598,813
|
403,333
|
Adjustable Rate Mortgage Trust(b)
|
||||
CMO Series 2005-9 Class 5A3
|
||||
1-month Term SOFR + 0.754%
Floor 0.320%, Cap 11.000%
11/25/2035
|
6.079%
|
|
25,832
|
25,606
|
Alternative Loan Trust(g)
|
||||
CMO Series 2005-43 Class 1A
|
||||
10/25/2035
|
3.975%
|
|
158,996
|
127,252
|
Alternative Loan Trust(b)
|
||||
CMO Series 2005-59 Class 1A1
|
||||
1-month Term SOFR + 0.774%
Floor 0.660%, Cap 11.000%
11/20/2035
|
6.094%
|
|
688,392
|
616,392
|
CMO Series 2007-OH3 Class A1B
|
||||
1-month Term SOFR + 0.554%
Floor 0.440%, Cap 10.000%
09/25/2047
|
5.879%
|
|
423,006
|
382,668
|
American Home Mortgage Investment Trust(b)
|
||||
CMO Series 2005-1 Class 6A
|
||||
6-month Term SOFR + 2.428%
Floor 2.000%
06/25/2045
|
7.754%
|
|
58,102
|
57,294
|
Arroyo Mortgage Trust(a),(g)
|
||||
CMO Series 2019-1 Class A1
|
||||
01/25/2049
|
3.805%
|
|
45,318
|
42,126
|
Banc of America Funding Trust(b)
|
||||
CMO Series 2005-B Class 3M1
|
||||
1-month Term SOFR + 0.789%
Floor 0.450%, Cap 11.000%
04/20/2035
|
6.110%
|
|
42,929
|
42,781
|
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Banc of America Funding Trust(a),(g)
|
||||
Subordinated CMO Series 2014-R6 Class 2A13
|
||||
07/26/2036
|
5.691%
|
|
419,023
|
413,010
|
Bear Stearns Mortgage Funding Trust(b)
|
||||
CMO Series 2006-AR3 Class 1A1
|
||||
1-month Term SOFR + 0.294%
Floor 0.180%, Cap 10.500%
10/25/2036
|
5.799%
|
|
254,349
|
209,242
|
CMO Series 2006-AR4 Class A1
|
||||
1-month Term SOFR + 0.534%
Floor 0.210%, Cap 10.500%
12/25/2036
|
5.859%
|
|
342,733
|
318,099
|
CMO Series 2007-AR3 Class 21A1
|
||||
1-month Term SOFR + 0.414%
Floor 0.150%, Cap 10.500%
04/25/2037
|
5.739%
|
|
277,499
|
238,634
|
CMO Series 2007-AR5 Class 2A2
|
||||
1-month Term SOFR + 0.344%
Floor 0.230%, Cap 10.500%
06/25/2037
|
5.899%
|
|
813,438
|
693,555
|
BRAVO Residential Funding Trust(a),(g)
|
||||
CMO Series 2021-A Class A1
|
||||
10/25/2059
|
4.991%
|
|
667,671
|
667,671
|
Carrington Mortgage Loan Trust(b)
|
||||
CMO Series 2007-FRE1 Class A3
|
||||
1-month Term SOFR + 0.374%
Floor 0.260%, Cap 14.500%
02/25/2037
|
5.959%
|
|
614,201
|
563,321
|
Centex Home Equity Loan Trust(b)
|
||||
CMO Series 2005-A Class M1
|
||||
1-month Term SOFR + 0.834%
Floor 0.480%
01/25/2035
|
6.159%
|
|
99,323
|
98,800
|
CIM Trust(a),(g)
|
||||
CMO Series 2020-R6 Class A1
|
||||
12/25/2060
|
2.250%
|
|
730,948
|
620,807
|
CMO Series 2021-R3 Class A1A
|
||||
06/25/2057
|
1.951%
|
|
354,434
|
311,799
|
CMO Series 2023-R3 Class A1A
|
||||
01/25/2063
|
4.500%
|
|
574,280
|
525,389
|
Citigroup Mortgage Loan Trust, Inc.(g)
|
||||
CMO Series 2006-AR2 Class 1A1
|
||||
03/25/2036
|
5.453%
|
|
217,581
|
161,104
|
Citigroup Mortgage Loan Trust, Inc.(b)
|
||||
CMO Series 2006-WFH3 Class M2
|
||||
1-month Term SOFR + 0.564%
Floor 0.450%
10/25/2036
|
5.889%
|
|
157,079
|
155,954
|
COLT Mortgage Loan Trust(a),(g)
|
||||
CMO Series 2022-5 Class A1
|
||||
04/25/2067
|
4.550%
|
|
160,847
|
157,028
|
Multi-Manager Alternative Strategies Fund | 2024
23
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2023-1 Class A1
|
||||
04/25/2068
|
6.048%
|
|
405,578
|
404,284
|
Connecticut Avenue Securities Trust(a),(b)
|
||||
CMO Series 2022-R01 Class 1M1
|
||||
30-day Average SOFR + 1.000%
12/25/2041
|
6.324%
|
|
30,513
|
30,541
|
CMO Series 2022-R03 Class 1M1
|
||||
30-day Average SOFR + 2.100%
03/25/2042
|
7.424%
|
|
17,846
|
18,129
|
CMO Series 2022-R03 Class 1M2
|
||||
30-day Average SOFR + 3.500%
03/25/2042
|
8.824%
|
|
500,000
|
526,250
|
CMO Series 2022-R04 Class 1M1
|
||||
30-day Average SOFR + 2.000%
03/25/2042
|
7.324%
|
|
31,643
|
32,138
|
CMO Series 2022-R05 Class 2M2
|
||||
30-day Average SOFR + 3.000%
04/25/2042
|
8.324%
|
|
645,000
|
668,191
|
CMO Series 2022-R06 Class 1M1
|
||||
30-day Average SOFR + 2.750%
05/25/2042
|
8.074%
|
|
63,734
|
65,625
|
CMO Series 2022-R09 Class 2M1
|
||||
30-day Average SOFR + 2.500%
09/25/2042
|
7.824%
|
|
129,033
|
131,566
|
CMO Series 2023-R01 Class 1M1
|
||||
30-day Average SOFR + 2.400%
12/25/2042
|
7.724%
|
|
106,327
|
109,329
|
CMO Series 2023-R03 Class 2M2
|
||||
30-day Average SOFR + 3.900%
04/25/2043
|
9.224%
|
|
285,000
|
305,981
|
CMO Series 2023-R06 Class 1M2
|
||||
30-day Average SOFR + 2.700%
07/25/2043
|
8.024%
|
|
120,000
|
124,627
|
CMO Series 2024-R02 Class 1M1
|
||||
30-day Average SOFR + 1.100%
Floor 1.100%
02/25/2044
|
6.424%
|
|
441,665
|
442,239
|
Countrywide Asset-Backed Certificates(b)
|
||||
CMO Series 2007-13 Class 2A1
|
||||
1-month Term SOFR + 1.014%
Floor 0.900%
10/25/2047
|
6.339%
|
|
126,805
|
115,196
|
CMO Series 2007-13 Class 2A2
|
||||
1-month Term SOFR + 0.914%
Floor 0.800%
10/25/2047
|
6.239%
|
|
252,073
|
228,395
|
Credit Suisse Mortgage Trust(a),(g)
|
||||
CMO Series 2019-NQM1 Class A1
|
||||
10/25/2059
|
2.656%
|
|
11,252
|
10,918
|
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CSMC Trust(a),(g)
|
||||
CMO Series 2020-RPL6 Class A1
|
||||
03/25/2059
|
3.420%
|
|
730,489
|
727,352
|
CMO Series 2021-RPL4 Class A1
|
||||
12/27/2060
|
1.796%
|
|
1,182,433
|
1,135,391
|
CWABS Asset-Backed Certificates Trust(b)
|
||||
CMO Series 2004-10 Class MV4
|
||||
1-month Term SOFR + 1.689%
Floor 1.575%
12/25/2034
|
7.014%
|
|
795,056
|
741,743
|
CMO Series 2005-17 Class MV1
|
||||
1-month Term SOFR + 0.574%
Floor 0.460%
05/25/2036
|
5.899%
|
|
90,960
|
90,017
|
Domino’s Pizza Master Issuer LLC(a)
|
||||
CMO Series 2015-1A Class A2II
|
||||
10/25/2045
|
4.474%
|
|
139,125
|
136,199
|
Fannie Mae Connecticut Avenue Securities(a),(b)
|
||||
Subordinated CMO Series 2021-R02 Class 2B2
|
||||
30-day Average SOFR + 6.200%
11/25/2041
|
11.524%
|
|
80,000
|
84,550
|
First Franklin Mortgage Loan Trust(b)
|
||||
CMO Series 2006-FF4 Class A3
|
||||
1-month Term SOFR + 0.394%
Floor 0.560%
03/25/2036
|
5.719%
|
|
44,371
|
44,041
|
CMO Series 2006-FF9 Class 2A4
|
||||
1-month Term SOFR + 0.614%
Floor 0.250%
06/25/2036
|
5.939%
|
|
1,200,000
|
1,036,488
|
First NLC Trust(b)
|
||||
CMO Series 2005-4 Class A4
|
||||
1-month Term SOFR + 0.894%
Floor 0.390%, Cap 14.000%
02/25/2036
|
6.219%
|
|
210,288
|
202,839
|
Flagstar Mortgage Trust(a),(g)
|
||||
CMO Series 2021-5INV Class A5
|
||||
07/25/2051
|
2.500%
|
|
1,074,493
|
927,248
|
Freddie Mac STACR REMIC Trust(a),(b)
|
||||
CMO Series 2021-DNA6 Class M2
|
||||
30-day Average SOFR + 1.500%
10/25/2041
|
6.824%
|
|
810,000
|
814,180
|
CMO Series 2022-DNA1 Class M2
|
||||
30-day Average SOFR + 2.500%
01/25/2042
|
7.824%
|
|
550,000
|
559,374
|
CMO Series 2022-DNA3 Class M1A
|
||||
30-day Average SOFR + 2.000%
04/25/2042
|
7.324%
|
|
113,478
|
115,093
|
CMO Series 2022-DNA4 Class M1A
|
||||
30-day Average SOFR + 2.200%
05/25/2042
|
7.524%
|
|
255,238
|
259,556
|
24
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2022-DNA4 Class M1B
|
||||
30-day Average SOFR + 3.350%
05/25/2042
|
8.674%
|
|
285,000
|
298,319
|
CMO Series 2022-DNA7 Class M1A
|
||||
30-day Average SOFR + 2.500%
03/25/2052
|
7.824%
|
|
102,272
|
103,992
|
CMO Series 2022-HQA1 Class M1B
|
||||
30-day Average SOFR + 3.500%
03/25/2042
|
8.824%
|
|
280,000
|
294,492
|
CMO Series 2022-HQA3 Class M1B
|
||||
30-day Average SOFR + 3.550%
08/25/2042
|
8.874%
|
|
130,000
|
137,201
|
CMO Series 2024-HQA1 Class M2
|
||||
30-day Average SOFR + 2.000%
03/25/2044
|
7.324%
|
|
670,000
|
672,661
|
Subordinated CMO Series 2022-DNA6 Class M1A
|
||||
30-day Average SOFR + 2.150%
09/25/2042
|
7.474%
|
|
318,529
|
322,514
|
Fremont Home Loan Trust(b)
|
||||
CMO Series 2005-D Class M1
|
||||
1-month Term SOFR + 0.729%
Floor 0.410%
11/25/2035
|
6.054%
|
|
680,000
|
597,910
|
GCAT Trust(a),(g)
|
||||
CMO Series 2019-RPL1 Class B2
|
||||
10/25/2068
|
3.750%
|
|
700,000
|
540,260
|
CMO Series 2022-NQM4 Class A1
|
||||
08/25/2067
|
5.269%
|
|
84,136
|
82,627
|
GE-WMC Asset-Backed Pass-Through Certificates(b)
|
||||
CMO Series 2005-1 Class M1
|
||||
1-month Term SOFR + 0.774%
Floor 0.660%
10/25/2035
|
6.099%
|
|
184,206
|
178,876
|
GMACM Mortgage Loan Trust(g)
|
||||
CMO Series 2006-AR1 Class 1A1
|
||||
04/19/2036
|
3.642%
|
|
400,739
|
307,996
|
GS Mortgage-Backed Securities Corp. Trust(a),(g)
|
||||
CMO Series 2021-PJ4 Class A4
|
||||
09/25/2051
|
2.500%
|
|
622,306
|
481,850
|
GS Mortgage-Backed Securities Trust(a),(g)
|
||||
CMO Series 2020-RPL1 Class M2
|
||||
07/25/2059
|
3.826%
|
|
800,000
|
671,063
|
GSAMP Trust(b)
|
||||
CMO Series 2005-WMC3 Class A2C
|
||||
1-month Term SOFR + 0.774%
Floor 0.330%
12/25/2035
|
6.099%
|
|
657,926
|
634,386
|
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2006-HE7 Class A2D
|
||||
1-month Term SOFR + 0.574%
Floor 0.230%
10/25/2046
|
5.899%
|
|
9,816
|
9,794
|
CMO Series 2007-FM2 Class A1
|
||||
1-month Term SOFR + 0.254%
Floor 0.140%
01/25/2037
|
5.719%
|
|
731,585
|
414,351
|
HarborView Mortgage Loan Trust(b)
|
||||
CMO Series 2007-6 Class 1A1A
|
||||
1-month Term SOFR + 0.314%
Floor 0.200%, Cap 10.500%
08/19/2037
|
5.635%
|
|
436,415
|
361,291
|
Home Equity Asset Trust(b)
|
||||
Series 2005-2 Class M6
|
||||
1-month Term SOFR + 1.314%
Floor 0.800%
07/25/2035
|
6.639%
|
|
634,749
|
615,357
|
Home Equity Mortgage Loan Asset-Backed Trust(b)
|
||||
CMO Series 2005-D Class AII4
|
||||
1-month Term SOFR + 0.814%
Floor 0.350%
03/25/2036
|
6.139%
|
|
50,945
|
50,253
|
HomeBanc Mortgage Trust(b)
|
||||
CMO Series 2005-3 Class M4
|
||||
1-month Term SOFR + 0.784%
Floor 0.670%
07/25/2035
|
6.109%
|
|
620,000
|
597,025
|
HSI Asset Securitization Corp. Trust(b)
|
||||
CMO Series 2005-I1 Class 2A4
|
||||
1-month Term SOFR + 0.894%
Floor 0.390%
11/25/2035
|
6.219%
|
|
447,633
|
420,156
|
CMO Series 2006-HE2 Class 1A
|
||||
1-month Term SOFR + 0.374%
Floor 0.260%
12/25/2036
|
5.699%
|
|
1,156,755
|
446,384
|
Impac CMB Trust(b)
|
||||
CMO Series 2004-8 Class 2A1 (FGIC)
|
||||
1-month Term SOFR + 0.814%
Floor 0.700%, Cap 11.000%
10/25/2034
|
6.139%
|
|
108,702
|
106,700
|
Impac Secured Assets Trust(b)
|
||||
CMO Series 2006-5 Class 1A1C
|
||||
1-month Term SOFR + 0.654%
Floor 0.270%, Cap 11.500%
02/25/2037
|
4.217%
|
|
480,753
|
424,411
|
IndyMac INDX Mortgage Loan Trust(b)
|
||||
CMO Series 2006-AR2 Class 1A1A
|
||||
1-month Term SOFR + 0.554%
Floor 0.220%
04/25/2046
|
5.879%
|
|
639,181
|
532,789
|
Multi-Manager Alternative Strategies Fund | 2024
25
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2006-AR2 Class 1A1B
|
||||
1-month Term SOFR + 0.534%
Floor 0.420%
04/25/2046
|
5.859%
|
|
589,225
|
491,147
|
JPMorgan Alternative Loan Trust(b)
|
||||
CMO Series 2006-A1 Class 1A1
|
||||
1-month Term SOFR + 0.574%
Floor 0.230%, Cap 11.500%
03/25/2036
|
5.899%
|
|
229,212
|
206,586
|
CMO Series 2007-S1 Class A2
|
||||
1-month Term SOFR + 0.794%
Floor 0.340%, Cap 11.500%
04/25/2047
|
6.119%
|
|
143,648
|
135,600
|
JPMorgan Mortgage Acquisition Corp.(b)
|
||||
CMO Series 2005-OPT2 Class M5
|
||||
1-month Term SOFR + 1.089%
Floor 0.650%
12/25/2035
|
6.414%
|
|
900,000
|
810,680
|
JPMorgan Mortgage Acquisition Trust(b)
|
||||
CMO Series 2006-FRE1 Class M1
|
||||
1-month Term SOFR + 0.699%
Floor 0.585%
05/25/2035
|
6.024%
|
|
154,064
|
151,213
|
CMO Series 2007-HE1 Class AV4
|
||||
1-month Term SOFR + 0.394%
Floor 0.280%
03/25/2047
|
5.999%
|
|
1,103,000
|
1,007,504
|
Series 2007-CH5 Class M1
|
||||
1-month Term SOFR + 0.384%
Floor 0.270%
06/25/2037
|
5.709%
|
|
325,000
|
308,330
|
Legacy Mortgage Asset Trust(a),(g)
|
||||
CMO Series 2020-GS2 Class A1
|
||||
03/25/2060
|
2.750%
|
|
544,253
|
547,417
|
Lehman Mortgage Trust
|
||||
CMO Series 2006-1 Class 1A5
|
||||
02/25/2036
|
5.500%
|
|
506,804
|
241,332
|
Lehman XS Trust(b)
|
||||
CMO Series 2006-15 Class A4
|
||||
1-month Term SOFR + 0.454%
Floor 0.170%
10/25/2036
|
5.779%
|
|
650,900
|
579,362
|
CMO Series 2006-2N Class 2A1
|
||||
1-year MTA + 1.010%
Floor 1.010%
02/25/2036
|
7.173%
|
|
426,177
|
356,360
|
CMO Series 2007-16N Class 2A2
|
||||
1-month Term SOFR + 1.814%
Floor 1.700%
09/25/2047
|
7.139%
|
|
483,505
|
413,376
|
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Series 2006-19 Class A3
|
||||
1-month Term SOFR + 0.614%
Floor 0.250%
12/25/2036
|
5.939%
|
|
640,552
|
567,800
|
Long Beach Mortgage Loan Trust(b)
|
||||
CMO Series 2006-10 Class 2A3
|
||||
1-month Term SOFR + 0.434%
Floor 0.160%
11/25/2036
|
5.759%
|
|
1,799,315
|
542,409
|
CMO Series 2006-4 Class 1A
|
||||
1-month Term SOFR + 0.414%
Floor 0.300%
05/25/2036
|
5.739%
|
|
948,511
|
487,953
|
Mastr Asset Backed Securities Trust(b)
|
||||
CMO Series 2005-WF1 Class M6
|
||||
1-month Term SOFR + 1.104%
Floor 0.660%
06/25/2035
|
6.429%
|
|
672,400
|
672,488
|
MFA Trust(a),(g)
|
||||
Subordinated CMO Series 2023-INV2 Class B1
|
||||
10/25/2058
|
7.999%
|
|
650,000
|
642,243
|
Mill City Mortgage Loan Trust(a),(g)
|
||||
CMO Series 2019-GS1 Class B2
|
||||
07/25/2059
|
0.000%
|
|
800,000
|
560,789
|
Morgan Stanley ABS Capital I, Inc. Trust(b)
|
||||
CMO Series 2005-WMC1 Class M3
|
||||
1-month Term SOFR + 0.894%
Floor 0.780%
01/25/2035
|
6.219%
|
|
200,287
|
194,660
|
CMO Series 2007-HE2 Class A2B
|
||||
1-month Term SOFR + 0.204%
Floor 0.090%
01/25/2037
|
5.529%
|
|
1,164,590
|
529,747
|
CMO Series 2007-NC3 Class A2D
|
||||
1-month Term SOFR + 0.374%
Floor 0.260%
05/25/2037
|
5.959%
|
|
619,989
|
456,276
|
Morgan Stanley Mortgage Loan Trust(b)
|
||||
CMO Series 2005-5AR Class 1M6
|
||||
1-month Term SOFR + 1.364%
Floor 0.750%
09/25/2035
|
6.689%
|
|
500,000
|
485,851
|
NMLT Trust(a),(g)
|
||||
CMO Series 2021-INV1 Class A1
|
||||
05/25/2056
|
1.185%
|
|
937,319
|
778,298
|
OBX Trust(a),(g)
|
||||
CMO Series 2021-NQM3 Class A1
|
||||
07/25/2061
|
1.054%
|
|
557,833
|
432,030
|
26
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Option One Mortgage Loan Trust(b)
|
||||
CMO Series 2007-5 Class 2A2
|
||||
1-month Term SOFR + 0.284%
Floor 0.170%
05/25/2037
|
5.609%
|
|
822,947
|
435,120
|
CMO Series 2007-5 Class 2A3
|
||||
1-month Term SOFR + 0.344%
Floor 0.230%
05/25/2037
|
5.669%
|
|
1,498,253
|
770,091
|
Series 2006-3 Class 1A1
|
||||
1-month Term SOFR + 0.254%
Floor 0.140%
02/25/2037
|
5.579%
|
|
882,415
|
537,944
|
Preston Ridge Partners Mortgage Trust(a),(g)
|
||||
CMO Series 2022-4 Class A2
|
||||
08/25/2027
|
5.000%
|
|
615,000
|
576,852
|
Pretium Mortgage Credit Partners LLC(a),(g)
|
||||
CMO Series 2022-RN2 Class A2
|
||||
06/25/2052
|
6.500%
|
|
720,000
|
682,657
|
PRKCM Trust(a),(g)
|
||||
CMO Series 2021-AFC2 Class A1
|
||||
11/25/2056
|
2.071%
|
|
1,038,530
|
884,550
|
RALI Series Trust(b)
|
||||
CMO Series 2006-QA6 Class A3
|
||||
1-month Term SOFR + 0.494%
Floor 0.190%
07/25/2036
|
5.819%
|
|
279,365
|
259,071
|
CMO Series 2007-QH6 Class A1
|
||||
1-month Term SOFR + 0.494%
Floor 0.190%
07/25/2037
|
5.819%
|
|
265,621
|
245,215
|
RALI Trust(b)
|
||||
CMO Series 2006-QO10 Class A1
|
||||
1-month Term SOFR + 0.434%
Floor 0.160%
01/25/2037
|
5.759%
|
|
562,585
|
474,439
|
Series 2007-QO1 Class A1
|
||||
1-month Term SOFR + 0.414%
Floor 0.150%
02/25/2047
|
5.739%
|
|
865,302
|
738,372
|
RAMP Trust(b)
|
||||
CMO Series 2006-RZ2 Class M1
|
||||
1-month Term SOFR + 0.609%
Floor 0.330%, Cap 14.000%
05/25/2036
|
5.934%
|
|
397,865
|
389,769
|
RASC Trust(b)
|
||||
Series 2007-KS1 Class A4
|
||||
1-month Term SOFR + 0.334%
Floor 0.220%, Cap 14.000%
01/25/2037
|
5.879%
|
|
1,097,252
|
1,032,153
|
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
RCKT Mortgage Trust(a)
|
||||
CMO Series 2024-CES3 Class A2
|
||||
05/25/2044
|
6.682%
|
|
570,000
|
575,770
|
RFMSI Trust
|
||||
CMO Series 2006-S10 Class 1A1
|
||||
10/25/2036
|
6.000%
|
|
520,484
|
387,257
|
Saxon Asset Securities Trust(b)
|
||||
Series 2007-2 Class A2D
|
||||
1-month Term SOFR + 0.414%
Floor 0.300%
05/25/2047
|
6.039%
|
|
547,841
|
379,757
|
SG Residential Mortgage Trust(a),(g)
|
||||
CMO Series 2021-2 Class A1
|
||||
12/25/2061
|
1.737%
|
|
833,958
|
674,412
|
Soundview Home Loan Trust(b)
|
||||
CMO Series 2006-OPT5 Class 1A1
|
||||
1-month Term SOFR + 0.394%
Floor 0.140%
07/25/2036
|
5.719%
|
|
233,842
|
221,860
|
Structured Adjustable Rate Mortgage Loan Trust(b)
|
||||
Series 2007-4 Class 1A2
|
||||
1-month Term SOFR + 0.554%
Floor 0.220%
05/25/2037
|
5.879%
|
|
728,344
|
617,094
|
Structured Asset Investment Loan Trust(b)
|
||||
CMO Series 2004-6 Class A3
|
||||
1-month Term SOFR + 0.914%
Floor 0.800%
07/25/2034
|
6.239%
|
|
297,521
|
293,826
|
Structured Asset Mortgage Investments II Trust(b)
|
||||
CMO Series 2006-AR7 Class A1A
|
||||
1-month Term SOFR + 0.534%
Floor 0.210%, Cap 10.500%
08/25/2036
|
5.859%
|
|
658,571
|
519,474
|
CMO Series 2006-AR8 Class A1A
|
||||
1-month Term SOFR + 0.514%
Floor 0.200%, Cap 10.500%
10/25/2036
|
5.839%
|
|
269,527
|
227,429
|
Structured Asset Securities Corp Mortgage Loan Trust(b)
|
||||
CMO Series 2005-2XS Class M1
|
||||
1-month Term SOFR + 0.819%
Floor 0.470%, Cap 11.000%
02/25/2035
|
6.144%
|
|
756,186
|
690,836
|
Thornburg Mortgage Securities Trust(b)
|
||||
CMO Series 2004-3 Class A
|
||||
1-month Term SOFR + 0.854%
Floor 0.370%, Cap 11.000%
09/25/2034
|
6.179%
|
|
286,925
|
258,173
|
Towd Point Mortgage Trust(a),(g)
|
||||
CMO Series 2017-4 Class A2
|
||||
06/25/2057
|
3.000%
|
|
900,000
|
811,710
|
Multi-Manager Alternative Strategies Fund | 2024
27
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
CMO Series 2019-2 Class M1
|
||||
12/25/2058
|
3.750%
|
|
275,000
|
233,421
|
Series 2018-2 Class M1
|
||||
03/25/2058
|
3.500%
|
|
900,000
|
811,809
|
Subordinated CMO Series 2017-2 Class B1
|
||||
04/25/2057
|
4.236%
|
|
760,000
|
701,745
|
Towd Point Mortgage Trust(a),(b)
|
||||
CMO Series 2017-5 Class A1
|
||||
1-month Term SOFR + 0.714%
02/25/2057
|
6.039%
|
|
38,550
|
39,331
|
CMO Series 2019-HY3 Class M1
|
||||
1-month Term SOFR + 1.614%
Floor 1.500%
10/25/2059
|
6.939%
|
|
650,000
|
661,120
|
Verus Securitization Trust(a),(g)
|
||||
CMO Series 2022-1 Class A1
|
||||
01/25/2067
|
2.724%
|
|
146,092
|
131,270
|
CMO Series 2022-8 Class A3
|
||||
09/25/2067
|
6.127%
|
|
85,741
|
84,162
|
CMO Series 2022-INV1 Class A1
|
||||
08/25/2067
|
5.041%
|
|
268,723
|
265,231
|
CMO Series 2023-4 Class A1
|
||||
05/25/2068
|
5.811%
|
|
817,566
|
811,592
|
CMO Series 2024-1 Class A1
|
||||
01/25/2069
|
5.712%
|
|
95,634
|
94,927
|
Subordinated CMO Series 2023-2 Class B1
|
||||
03/25/2068
|
7.590%
|
|
550,000
|
540,684
|
Subordinated CMO Series 2024-2 Class B1
|
||||
02/25/2069
|
7.864%
|
|
472,000
|
467,285
|
WaMu Asset-Backed Certificates Trust(b)
|
||||
CMO Series 2007-HE1 Class 2A4
|
||||
1-month Term SOFR + 0.344%
Floor 0.230%
01/25/2037
|
5.899%
|
|
1,064,469
|
482,282
|
WaMu Mortgage Pass-Through Certificates(b)
|
||||
CMO Series 2005-AR8 Class 2AC2
|
||||
1-month Term SOFR + 1.034%
Floor 0.460%, Cap 10.500%
07/25/2045
|
6.359%
|
|
311,137
|
286,834
|
WaMu Mortgage Pass-Through Certificates Trust(b)
|
||||
CMO Series 2005-AR15 Class A1A1
|
||||
1-month Term SOFR + 0.634%
Floor 0.260%, Cap 10.500%
11/25/2045
|
5.959%
|
|
955,884
|
864,807
|
CMO Series 2007-OA4 Class 1A
|
||||
1-year MTA + 0.770%
Floor 0.770%
05/25/2047
|
5.923%
|
|
529,835
|
417,675
|
Residential Mortgage-Backed Securities - Non-Agency (continued)
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
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
|
6.093%
|
|
201,802
|
154,122
|
Wells Fargo Home Equity Asset-Backed Securities Trust(b)
|
||||
CMO Series 2007-1 Class A3
|
||||
1-month Term SOFR + 0.754%
Floor 0.320%
03/25/2037
|
6.079%
|
|
900,000
|
797,917
|
Wells Fargo Mortgage Backed Securities Trust
|
||||
CMO Series 2007-7 Class A39
|
||||
06/25/2037
|
6.000%
|
|
770,060
|
668,031
|
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $61,281,233)
|
59,019,530
|
Rights 0.1%
|
||
Issuer
|
Shares
|
Value ($)
|
Health Care 0.1%
|
||
Biotechnology 0.1%
|
||
Albireo Pharma, Inc., CVR(d),(e),(i),(q)
|
37,853
|
91,635
|
Concert Pharmaceuticals, Inc., CVR(d),(e),(i),(q)
|
173,147
|
72,081
|
Total
|
|
163,716
|
Health Care Equipment & Supplies 0.0%
|
||
Abiomed, Inc., CVR(d),(e),(i),(q)
|
15,541
|
27,197
|
Pharmaceuticals 0.0%
|
||
Cincor Pharma, Inc.(d),(e),(i),(q)
|
44,405
|
153,357
|
Total Health Care
|
344,270
|
|
Materials 0.0%
|
||
Paper & Forest Products 0.0%
|
||
Resolute Forest Products, Inc.(d),(e),(i),(q)
|
76,222
|
152,444
|
Total Materials
|
152,444
|
|
Total Rights
(Cost $381,037)
|
496,714
|
Senior Loans 0.4%
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Aerospace & Defense 0.0%
|
||||
TransDigm, Inc.(b),(p),(r)
|
||||
Tranche J Term Loan
|
||||
3-month Term SOFR + 2.500%
02/28/2031
|
7.827%
|
|
55,000
|
55,193
|
28
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
Tranche K Term Loan
|
||||
3-month Term SOFR + 2.750%
03/22/2030
|
8.075%
|
|
55,000
|
55,227
|
Total
|
110,420
|
|||
Airlines 0.2%
|
||||
AAdvantage Loyalty IP Ltd./American Airlines, Inc.(b),(r)
|
||||
Term Loan
|
||||
3-month Term SOFR + 4.750%
Floor 0.750%
04/20/2028
|
10.336%
|
|
164,000
|
170,219
|
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(b),(r)
|
||||
Term Loan
|
||||
3-month Term SOFR + 5.250%
Floor 1.000%
06/21/2027
|
10.733%
|
|
235,625
|
240,872
|
United Airlines, Inc.(b),(r)
|
||||
Tranche B Term Loan
|
||||
1-month Term SOFR + 2.750%
02/22/2031
|
8.071%
|
|
390,000
|
390,905
|
Total
|
801,996
|
|||
Leisure 0.0%
|
||||
Carnival Corp. (b),(p),(r)
|
||||
Term Loan
|
||||
1-month Term SOFR + 2.750%
Floor 0.750%
08/08/2027
|
8.075%
|
|
54,000
|
54,297
|
1-month Term SOFR + 2.750%
Floor 0.750%
10/18/2028
|
8.075%
|
|
97,000
|
97,679
|
Total
|
151,976
|
|||
Lodging 0.0%
|
||||
Travel + Leisure Co.(b),(p),(r)
|
||||
Term Loan
|
||||
1-month Term SOFR + 3.250%
Floor 0.500%
12/14/2029
|
8.671%
|
|
150,000
|
150,813
|
Restaurants 0.2%
|
||||
1011778 BC ULC(b),(p),(r)
|
||||
Tranche B5 Term Loan
|
||||
1-month Term SOFR + 2.250%
09/20/2030
|
7.578%
|
|
795,000
|
795,302
|
Senior Loans (continued)
|
||||
Borrower
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
KFC Holding Co./Yum! Brands(b),(r)
|
||||
Tranche B Term Loan
|
||||
1-month Term SOFR + 1.750%
03/15/2028
|
7.185%
|
|
74
|
74
|
Total
|
795,376
|
|||
Total Senior Loans
(Cost $2,010,103)
|
2,010,581
|
|||
|
||||
U.S. Treasury Obligations 3.3%
|
||||
Issuer
|
Coupon
Rate
|
|
Principal
Amount ($)
|
Value ($)
|
U.S. Treasury
|
||||
01/31/2027
|
1.500%
|
|
867,000
|
797,843
|
05/15/2027
|
4.750%
|
|
2,010,000
|
2,000,578
|
05/31/2027
|
2.625%
|
|
345,000
|
325,486
|
02/15/2032
|
1.875%
|
|
906,000
|
752,546
|
05/15/2032
|
2.875%
|
|
3,440,000
|
3,068,588
|
08/15/2032
|
2.750%
|
|
1,725,000
|
1,519,617
|
02/15/2033
|
3.500%
|
|
2,060,000
|
1,912,903
|
02/15/2042
|
2.375%
|
|
850,000
|
611,469
|
11/15/2042
|
2.750%
|
|
590,000
|
446,464
|
02/15/2049
|
3.000%
|
|
2,465,000
|
1,842,973
|
02/15/2050
|
2.000%
|
|
1,493,000
|
892,534
|
08/15/2052
|
3.000%
|
|
550,000
|
407,430
|
02/15/2053
|
3.625%
|
|
1,210,000
|
1,013,564
|
Total U.S. Treasury Obligations
(Cost $16,925,671)
|
15,591,995
|
Money Market Funds 32.8%
|
||
|
Shares
|
Value ($)
|
Columbia Short-Term Cash Fund, 5.547%(s),(t)
|
157,219,099
|
157,187,655
|
Total Money Market Funds
(Cost $157,179,364)
|
157,187,655
|
|
Total Investments in Securities
(Cost: $483,559,518)
|
473,746,921
|
|
Other Assets & Liabilities, Net
|
|
5,421,558
|
Net Assets
|
479,168,479
|
At May 31, 2024, securities and/or cash totaling $24,591,526 were pledged as collateral.
Multi-Manager Alternative Strategies Fund | 2024
29
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Investments in derivatives
Forward foreign currency exchange contracts
|
|||||
Currency to
be sold
|
Currency to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
826,716 AUD
|
543,524 USD
|
ANZ Securities
|
06/20/2024
|
—
|
(6,796
)
|
864,067 NZD
|
797,938 AUD
|
ANZ Securities
|
06/20/2024
|
21
|
—
|
1,407,307 NZD
|
1,297,825 AUD
|
ANZ Securities
|
06/20/2024
|
—
|
(1,148
)
|
214,702 NZD
|
132,301 USD
|
ANZ Securities
|
06/20/2024
|
324
|
—
|
458,398 USD
|
695,733 AUD
|
ANZ Securities
|
06/20/2024
|
4,731
|
—
|
123,750 CAD
|
14,204,021 JPY
|
Barclays
|
06/20/2024
|
—
|
(278
)
|
1,709,434 CAD
|
1,258,116 USD
|
Barclays
|
06/20/2024
|
3,497
|
—
|
1,075,258 CAD
|
786,323 USD
|
Barclays
|
06/20/2024
|
—
|
(2,851
)
|
2,400,634 EUR
|
27,701,340 NOK
|
Barclays
|
06/20/2024
|
33,530
|
—
|
1,165,000 EUR
|
1,243,550 USD
|
Barclays
|
06/20/2024
|
—
|
(21,453
)
|
174,712,813 JPY
|
1,142,500 USD
|
Barclays
|
06/20/2024
|
28,754
|
—
|
1,948,094 MXN
|
116,250 USD
|
Barclays
|
06/20/2024
|
1,729
|
—
|
12,282,458 MXN
|
716,996 USD
|
Barclays
|
06/20/2024
|
—
|
(5,042
)
|
4,750,845 NOK
|
405,843 EUR
|
Barclays
|
06/20/2024
|
—
|
(12,126
)
|
2,011,191 NZD
|
1,858,474 AUD
|
Barclays
|
06/20/2024
|
851
|
—
|
11,011,007 SGD
|
8,286,850 USD
|
Barclays
|
06/20/2024
|
131,349
|
—
|
468,723 USD
|
8,131,950 MXN
|
Barclays
|
06/20/2024
|
9,323
|
—
|
233,000 USD
|
3,927,530 MXN
|
Barclays
|
06/20/2024
|
—
|
(2,116
)
|
442,783 USD
|
728,237 NZD
|
Barclays
|
06/20/2024
|
4,865
|
—
|
1,209,520 USD
|
1,615,919 SGD
|
Barclays
|
06/20/2024
|
—
|
(12,661
)
|
116,500 EUR
|
2,120,554 MXN
|
BNY Capital Markets
|
06/20/2024
|
—
|
(1,841
)
|
1,555,000 MXN
|
93,157 USD
|
BNY Capital Markets
|
06/20/2024
|
1,744
|
—
|
354,438 USD
|
586,250 NZD
|
BNY Capital Markets
|
06/20/2024
|
5,930
|
—
|
4,732,564 AUD
|
3,129,015 USD
|
CIBC
|
06/20/2024
|
—
|
(21,311
)
|
555,194 CAD
|
407,290 USD
|
CIBC
|
06/20/2024
|
—
|
(188
)
|
26,576,958 JPY
|
232,500 CAD
|
CIBC
|
06/20/2024
|
1,220
|
—
|
1,969,111 MXN
|
117,000 USD
|
CIBC
|
06/20/2024
|
1,244
|
—
|
2,682,818 MXN
|
156,287 USD
|
CIBC
|
06/20/2024
|
—
|
(1,425
)
|
777,108 NZD
|
716,575 AUD
|
CIBC
|
06/20/2024
|
—
|
(686
)
|
1,555,240 SGD
|
1,157,905 USD
|
CIBC
|
06/20/2024
|
5,988
|
—
|
1,069,547 SGD
|
784,954 USD
|
CIBC
|
06/20/2024
|
—
|
(7,225
)
|
908,280 USD
|
1,249,644 CAD
|
CIBC
|
06/20/2024
|
8,882
|
—
|
757,801 USD
|
1,026,666 CAD
|
CIBC
|
06/20/2024
|
—
|
(4,292
)
|
1,346,997 USD
|
1,240,180 EUR
|
CIBC
|
06/20/2024
|
—
|
(360
)
|
144,927 USD
|
113,533 GBP
|
CIBC
|
06/20/2024
|
—
|
(245
)
|
571,250 USD
|
85,241,165 JPY
|
CIBC
|
06/20/2024
|
—
|
(27,861
)
|
389,896 USD
|
6,704,393 MXN
|
CIBC
|
06/20/2024
|
4,229
|
—
|
2,395,713 USD
|
3,213,888 SGD
|
CIBC
|
06/20/2024
|
—
|
(15,289
)
|
1,953,124 AUD
|
1,280,820 USD
|
Citi
|
06/20/2024
|
—
|
(19,316
)
|
116,500 CAD
|
12,910,716 JPY
|
Citi
|
06/20/2024
|
—
|
(3,202
)
|
3,439,684 CAD
|
2,554,360 USD
|
Citi
|
06/20/2024
|
29,845
|
—
|
556,704 CAD
|
407,290 USD
|
Citi
|
06/20/2024
|
—
|
(1,297
)
|
338,202 EUR
|
4,002,006 NOK
|
Citi
|
06/20/2024
|
14,201
|
—
|
582,500 EUR
|
621,783 USD
|
Citi
|
06/20/2024
|
—
|
(10,718
)
|
591,422 GBP
|
744,738 USD
|
Citi
|
06/20/2024
|
—
|
(8,944
)
|
19,170,059 JPY
|
117,250 EUR
|
Citi
|
06/20/2024
|
5,111
|
—
|
96,828,988 JPY
|
620,090 USD
|
Citi
|
06/20/2024
|
2,832
|
—
|
6,795,514 NOK
|
586,875 EUR
|
Citi
|
06/20/2024
|
—
|
(10,433
)
|
1,842,483 NZD
|
1,693,075 AUD
|
Citi
|
06/20/2024
|
—
|
(5,545
)
|
1,175,000 NZD
|
724,578 USD
|
Citi
|
06/20/2024
|
2,305
|
—
|
1,258,568 NZD
|
751,963 USD
|
Citi
|
06/20/2024
|
—
|
(21,679
)
|
4,084,442 SGD
|
3,055,066 USD
|
Citi
|
06/20/2024
|
29,851
|
—
|
2,334,068 SGD
|
1,717,443 USD
|
Citi
|
06/20/2024
|
—
|
(11,327
)
|
706,120 USD
|
1,080,934 AUD
|
Citi
|
06/20/2024
|
13,425
|
—
|
459,460 USD
|
628,858 CAD
|
Citi
|
06/20/2024
|
2,083
|
—
|
30
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued)
|
|||||
Currency to
be sold
|
Currency to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
1,246,223 USD
|
1,163,333 EUR
|
Citi
|
06/20/2024
|
16,971
|
—
|
2,838,943 USD
|
2,605,364 EUR
|
Citi
|
06/20/2024
|
—
|
(9,937
)
|
582,000 USD
|
89,907,144 JPY
|
Citi
|
06/20/2024
|
—
|
(8,867
)
|
116,500 USD
|
1,992,173 MXN
|
Citi
|
06/20/2024
|
612
|
—
|
1,588,158 USD
|
2,149,275 SGD
|
Citi
|
06/20/2024
|
3,741
|
—
|
1,932,479 USD
|
2,606,537 SGD
|
Citi
|
06/20/2024
|
—
|
(1,900
)
|
74,300 EUR
|
81,153 USD
|
Citi
|
07/12/2024
|
393
|
—
|
4,000 EUR
|
4,339 USD
|
Citi
|
07/12/2024
|
—
|
(9
)
|
9,635 USD
|
9,000 EUR
|
Citi
|
07/12/2024
|
147
|
—
|
357,264,267 JPY
|
2,345,000 USD
|
Goldman Sachs
|
06/20/2024
|
67,538
|
—
|
8,072,232 MXN
|
468,862 USD
|
Goldman Sachs
|
06/20/2024
|
—
|
(5,673
)
|
759,156 USD
|
592,500 GBP
|
Goldman Sachs
|
06/20/2024
|
—
|
(4,100
)
|
1,142,500 USD
|
172,845,683 JPY
|
Goldman Sachs
|
06/20/2024
|
—
|
(40,656
)
|
203,113 USD
|
3,498,463 MXN
|
Goldman Sachs
|
06/20/2024
|
2,548
|
—
|
875,664 USD
|
14,709,770 MXN
|
Goldman Sachs
|
06/20/2024
|
—
|
(10,934
)
|
866,387 USD
|
1,452,597 NZD
|
Goldman Sachs
|
06/20/2024
|
26,524
|
—
|
2,259,232 USD
|
3,027,730 SGD
|
Goldman Sachs
|
06/20/2024
|
—
|
(16,689
)
|
1,082,000 AUD
|
708,732 USD
|
HSBC
|
06/20/2024
|
—
|
(11,523
)
|
391,185 CAD
|
287,543 USD
|
HSBC
|
06/20/2024
|
437
|
—
|
586,875 EUR
|
6,781,282 NOK
|
HSBC
|
06/20/2024
|
9,077
|
—
|
1,165,000 EUR
|
1,266,428 USD
|
HSBC
|
06/20/2024
|
1,425
|
—
|
10,412,251 NOK
|
997,752 USD
|
HSBC
|
06/20/2024
|
5,354
|
—
|
376,009 NZD
|
231,621 USD
|
HSBC
|
06/20/2024
|
488
|
—
|
1,175,000 NZD
|
708,645 USD
|
HSBC
|
06/20/2024
|
—
|
(13,628
)
|
2,071,106 SGD
|
1,543,873 USD
|
HSBC
|
06/20/2024
|
9,871
|
—
|
4,782,280 SGD
|
3,523,120 USD
|
HSBC
|
06/20/2024
|
—
|
(18,962
)
|
641,594 USD
|
520,980 GBP
|
HSBC
|
06/20/2024
|
22,320
|
—
|
1,713,750 USD
|
263,263,361 JPY
|
HSBC
|
06/20/2024
|
—
|
(35,518
)
|
653,622 USD
|
1,079,974 NZD
|
HSBC
|
06/20/2024
|
10,238
|
—
|
3,146,769 USD
|
4,237,603 SGD
|
HSBC
|
06/20/2024
|
—
|
(8,112
)
|
1,570,369,870 COP
|
400,001 USD
|
JPMorgan
|
06/06/2024
|
—
|
(6,334
)
|
468,614,744 INR
|
5,610,802 USD
|
JPMorgan
|
06/06/2024
|
—
|
(3,088
)
|
400,000 USD
|
1,563,388,000 COP
|
JPMorgan
|
06/06/2024
|
4,528
|
—
|
5,610,789 USD
|
467,309,812 INR
|
JPMorgan
|
06/06/2024
|
—
|
(12,532
)
|
382,867,955 COP
|
100,000 USD
|
JPMorgan
|
06/07/2024
|
951
|
—
|
7,177,949,000 KRW
|
5,300,000 USD
|
JPMorgan
|
06/07/2024
|
114,197
|
—
|
100,000 USD
|
392,987,522 COP
|
JPMorgan
|
06/07/2024
|
1,667
|
—
|
5,299,988 USD
|
7,150,939,126 KRW
|
JPMorgan
|
06/07/2024
|
—
|
(133,699
)
|
369,392,000 CLP
|
400,000 USD
|
JPMorgan
|
06/10/2024
|
—
|
(2,337
)
|
250,288,073 INR
|
2,994,305 USD
|
JPMorgan
|
06/10/2024
|
—
|
(3,875
)
|
399,999 USD
|
373,073,781 CLP
|
JPMorgan
|
06/10/2024
|
6,348
|
—
|
171,388 USD
|
14,323,492 INR
|
JPMorgan
|
06/10/2024
|
192
|
—
|
2,822,911 USD
|
234,836,842 INR
|
JPMorgan
|
06/10/2024
|
—
|
(9,819
)
|
245,891,069 COP
|
62,897 USD
|
JPMorgan
|
06/11/2024
|
—
|
(669
)
|
62,897 USD
|
242,873,309 COP
|
JPMorgan
|
06/11/2024
|
—
|
(110
)
|
179,635,992 CLP
|
200,001 USD
|
JPMorgan
|
06/13/2024
|
4,355
|
—
|
175,526,820 INR
|
2,100,000 USD
|
JPMorgan
|
06/13/2024
|
—
|
(2,511
)
|
55,064,521 TWD
|
1,700,000 USD
|
JPMorgan
|
06/13/2024
|
1,685
|
—
|
200,000 USD
|
186,947,494 CLP
|
JPMorgan
|
06/13/2024
|
3,609
|
—
|
2,099,995 USD
|
175,082,513 INR
|
JPMorgan
|
06/13/2024
|
—
|
(2,806
)
|
243,174,268 COP
|
62,897 USD
|
JPMorgan
|
06/14/2024
|
67
|
—
|
175,082,777 INR
|
2,094,893 USD
|
JPMorgan
|
06/14/2024
|
—
|
(2,263
)
|
62,897 USD
|
246,212,542 COP
|
JPMorgan
|
06/14/2024
|
718
|
—
|
2,094,888 USD
|
174,623,174 INR
|
JPMorgan
|
06/14/2024
|
—
|
(3,238
)
|
366,189,197 CLP
|
400,000 USD
|
JPMorgan
|
06/17/2024
|
1,206
|
—
|
383,512,457 COP
|
100,000 USD
|
JPMorgan
|
06/17/2024
|
965
|
—
|
7,147,368,000 KRW
|
5,300,000 USD
|
JPMorgan
|
06/17/2024
|
131,367
|
—
|
200,000 USD
|
179,631,120 CLP
|
JPMorgan
|
06/17/2024
|
—
|
(4,375
)
|
Multi-Manager Alternative Strategies Fund | 2024
31
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued)
|
|||||
Currency to
be sold
|
Currency to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
200,000 USD
|
779,428,000 COP
|
JPMorgan
|
06/17/2024
|
1,273
|
—
|
100,000 USD
|
390,978,000 COP
|
JPMorgan
|
06/17/2024
|
963
|
—
|
5,299,988 USD
|
7,259,144,772 KRW
|
JPMorgan
|
06/17/2024
|
—
|
(50,523
)
|
713,427 AUD
|
787,374 NZD
|
JPMorgan
|
06/20/2024
|
9,092
|
—
|
845,716 AUD
|
550,413 USD
|
JPMorgan
|
06/20/2024
|
—
|
(12,554
)
|
116,500 CAD
|
12,973,909 JPY
|
JPMorgan
|
06/20/2024
|
—
|
(2,799
)
|
445,074 EUR
|
5,196,816 NOK
|
JPMorgan
|
06/20/2024
|
12,034
|
—
|
1,495,547 EUR
|
1,603,949 USD
|
JPMorgan
|
06/20/2024
|
—
|
(19,974
)
|
90,475,962 JPY
|
586,250 USD
|
JPMorgan
|
06/20/2024
|
9,491
|
—
|
7,258,312,211 KRW
|
5,300,000 USD
|
JPMorgan
|
06/20/2024
|
49,642
|
—
|
25,029,415 MXN
|
1,468,793 USD
|
JPMorgan
|
06/20/2024
|
—
|
(2,588
)
|
39,149,788 NOK
|
3,363,025 EUR
|
JPMorgan
|
06/20/2024
|
—
|
(79,687
)
|
3,046,251 NZD
|
2,814,053 AUD
|
JPMorgan
|
06/20/2024
|
700
|
—
|
1,731,331 NZD
|
1,595,875 AUD
|
JPMorgan
|
06/20/2024
|
—
|
(1,923
)
|
259,041 NZD
|
155,503 USD
|
JPMorgan
|
06/20/2024
|
—
|
(3,729
)
|
1,035,726 SGD
|
771,937 USD
|
JPMorgan
|
06/20/2024
|
4,808
|
—
|
1,579,524 SGD
|
1,168,257 USD
|
JPMorgan
|
06/20/2024
|
—
|
(1,646
)
|
917,906 USD
|
1,391,466 AUD
|
JPMorgan
|
06/20/2024
|
8,352
|
—
|
171,605 USD
|
234,732 CAD
|
JPMorgan
|
06/20/2024
|
674
|
—
|
582,000 USD
|
90,253,941 JPY
|
JPMorgan
|
06/20/2024
|
—
|
(6,656
)
|
3,099,993 USD
|
4,264,843,371 KRW
|
JPMorgan
|
06/20/2024
|
—
|
(14,984
)
|
2,199,995 USD
|
2,958,357,151 KRW
|
JPMorgan
|
06/20/2024
|
—
|
(60,044
)
|
431,661 USD
|
726,299 NZD
|
JPMorgan
|
06/20/2024
|
14,795
|
—
|
4,748,347 USD
|
6,432,343 SGD
|
JPMorgan
|
06/20/2024
|
15,884
|
—
|
1,558,611 USD
|
2,091,402 SGD
|
JPMorgan
|
06/20/2024
|
—
|
(9,577
)
|
100,000 USD
|
384,784,541 COP
|
JPMorgan
|
06/21/2024
|
—
|
(709
)
|
97,684,684 INR
|
1,171,391 USD
|
JPMorgan
|
06/24/2024
|
1,520
|
—
|
2,854,206,707 KRW
|
2,100,005 USD
|
JPMorgan
|
06/24/2024
|
34,604
|
—
|
4,264,000,276 KRW
|
3,100,000 USD
|
JPMorgan
|
06/24/2024
|
14,424
|
—
|
100,000 USD
|
383,285,544 COP
|
JPMorgan
|
06/24/2024
|
—
|
(1,150
)
|
877,824,790 INR
|
10,533,719 USD
|
JPMorgan
|
06/28/2024
|
21,634
|
—
|
6,432,135 TWD
|
200,000 USD
|
JPMorgan
|
06/28/2024
|
1,915
|
—
|
100,000 USD
|
384,209,900 COP
|
JPMorgan
|
06/28/2024
|
—
|
(984
)
|
821,552 INR
|
9,850 USD
|
JPMorgan
|
07/03/2024
|
13
|
—
|
3,244,185 TWD
|
100,000 USD
|
JPMorgan
|
07/03/2024
|
142
|
—
|
9,850 USD
|
822,348 INR
|
JPMorgan
|
07/03/2024
|
—
|
(3
)
|
173,925,947 INR
|
2,085,043 USD
|
JPMorgan
|
07/05/2024
|
2,542
|
—
|
3,252,826 TWD
|
100,000 USD
|
JPMorgan
|
07/05/2024
|
—
|
(120
)
|
3,272,636 AUD
|
2,000,000 EUR
|
JPMorgan
|
07/10/2024
|
—
|
(6,121
)
|
478,346 AUD
|
250,000 GBP
|
JPMorgan
|
07/10/2024
|
10
|
—
|
6,960,015 AUD
|
3,625,000 GBP
|
JPMorgan
|
07/10/2024
|
—
|
(15,838
)
|
3,000,000 AUD
|
3,254,916 NZD
|
JPMorgan
|
07/10/2024
|
2,580
|
—
|
1,400,000 AUD
|
927,762 USD
|
JPMorgan
|
07/10/2024
|
—
|
(4,736
)
|
11,973,548 CAD
|
13,200,000 AUD
|
JPMorgan
|
07/10/2024
|
597
|
—
|
9,647,584 CAD
|
6,500,000 EUR
|
JPMorgan
|
07/10/2024
|
—
|
(19,224
)
|
7,900,000 CAD
|
5,783,508 USD
|
JPMorgan
|
07/10/2024
|
—
|
(17,033
)
|
5,017,308 CHF
|
5,125,000 EUR
|
JPMorgan
|
07/10/2024
|
—
|
(13,804
)
|
1,005,189 CHF
|
875,000 GBP
|
JPMorgan
|
07/10/2024
|
—
|
(3,519
)
|
250,000 CHF
|
276,538 USD
|
JPMorgan
|
07/10/2024
|
—
|
(1,692
)
|
4,338,677 CNH
|
600,000 USD
|
JPMorgan
|
07/10/2024
|
1,029
|
—
|
47,109,218 CNH
|
6,500,000 USD
|
JPMorgan
|
07/10/2024
|
—
|
(3,605
)
|
600,000 EUR
|
511,820 GBP
|
JPMorgan
|
07/10/2024
|
203
|
—
|
8,400,000 EUR
|
7,159,260 GBP
|
JPMorgan
|
07/10/2024
|
—
|
(5,082
)
|
200,000 EUR
|
77,990,260 HUF
|
JPMorgan
|
07/10/2024
|
—
|
(498
)
|
900,000 EUR
|
3,837,617 PLN
|
JPMorgan
|
07/10/2024
|
—
|
(4,431
)
|
4,461,829 ILS
|
1,200,000 USD
|
JPMorgan
|
07/10/2024
|
—
|
(6,092
)
|
413,269,200 JPY
|
4,000,000 AUD
|
JPMorgan
|
07/10/2024
|
21,542
|
—
|
615,296,950 JPY
|
5,400,000 CAD
|
JPMorgan
|
07/10/2024
|
30,279
|
—
|
32
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued)
|
|||||
Currency to
be sold
|
Currency to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
734,515,420 JPY
|
4,250,000 CHF
|
JPMorgan
|
07/10/2024
|
32,900
|
—
|
338,246,320 JPY
|
2,000,000 EUR
|
JPMorgan
|
07/10/2024
|
10,696
|
—
|
223,224,638 JPY
|
1,125,000 GBP
|
JPMorgan
|
07/10/2024
|
6,342
|
—
|
552,812,500 JPY
|
5,800,000 NZD
|
JPMorgan
|
07/10/2024
|
30,171
|
—
|
462,500,000 JPY
|
2,962,294 USD
|
JPMorgan
|
07/10/2024
|
4,739
|
—
|
38,569,310 NOK
|
3,375,000 EUR
|
JPMorgan
|
07/10/2024
|
—
|
(9,854
)
|
45,000,000 NOK
|
45,281,529 SEK
|
JPMorgan
|
07/10/2024
|
19,484
|
—
|
33,778,682 NOK
|
3,200,000 USD
|
JPMorgan
|
07/10/2024
|
—
|
(21,114
)
|
17,781,470 NZD
|
16,400,000 AUD
|
JPMorgan
|
07/10/2024
|
—
|
(6,686
)
|
5,200,000 NZD
|
3,173,716 USD
|
JPMorgan
|
07/10/2024
|
—
|
(22,714
)
|
1,285,688 PLN
|
300,000 EUR
|
JPMorgan
|
07/10/2024
|
—
|
(168
)
|
54,617,924 SEK
|
4,750,000 EUR
|
JPMorgan
|
07/10/2024
|
—
|
(36,951
)
|
4,012,524 SEK
|
4,000,000 NOK
|
JPMorgan
|
07/10/2024
|
—
|
(542
)
|
31,869,132 SEK
|
3,000,000 USD
|
JPMorgan
|
07/10/2024
|
—
|
(33,839
)
|
80,589,317 TRY
|
2,400,000 USD
|
JPMorgan
|
07/10/2024
|
—
|
(19,128
)
|
2,707,362 USD
|
2,500,000 EUR
|
JPMorgan
|
07/10/2024
|
9,743
|
—
|
5,003,248 USD
|
3,937,500 GBP
|
JPMorgan
|
07/10/2024
|
15,048
|
—
|
400,000 USD
|
144,098,160 HUF
|
JPMorgan
|
07/10/2024
|
699
|
—
|
2,463,744 USD
|
42,000,000 MXN
|
JPMorgan
|
07/10/2024
|
—
|
(2,740
)
|
100,000 USD
|
1,053,052 NOK
|
JPMorgan
|
07/10/2024
|
418
|
—
|
122,408 USD
|
200,000 NZD
|
JPMorgan
|
07/10/2024
|
532
|
—
|
200,000 USD
|
790,904 PLN
|
JPMorgan
|
07/10/2024
|
678
|
—
|
3,400,000 USD
|
13,354,555 PLN
|
JPMorgan
|
07/10/2024
|
—
|
(11,520
)
|
600,000 USD
|
810,168 SGD
|
JPMorgan
|
07/10/2024
|
659
|
—
|
18,770,315 ZAR
|
1,000,000 USD
|
JPMorgan
|
07/10/2024
|
3,836
|
—
|
3,563,658 AUD
|
3,919,047 NZD
|
Morgan Stanley
|
06/20/2024
|
36,819
|
—
|
1,046,317 AUD
|
691,685 USD
|
Morgan Stanley
|
06/20/2024
|
—
|
(4,816
)
|
117,250 EUR
|
18,959,265 JPY
|
Morgan Stanley
|
06/20/2024
|
—
|
(6,455
)
|
1,126,119 EUR
|
13,023,548 NOK
|
Morgan Stanley
|
06/20/2024
|
18,499
|
—
|
2,909,851 GBP
|
3,724,160 USD
|
Morgan Stanley
|
06/20/2024
|
15,972
|
—
|
12,099,424 MXN
|
714,840 USD
|
Morgan Stanley
|
06/20/2024
|
3,562
|
—
|
2,676,016 MXN
|
156,287 USD
|
Morgan Stanley
|
06/20/2024
|
—
|
(1,025
)
|
24,121,694 NOK
|
2,099,309 EUR
|
Morgan Stanley
|
06/20/2024
|
—
|
(19,542
)
|
775,941 NZD
|
716,575 AUD
|
Morgan Stanley
|
06/20/2024
|
32
|
—
|
2,753,193 NZD
|
2,536,808 AUD
|
Morgan Stanley
|
06/20/2024
|
—
|
(3,711
)
|
5,747,634 NZD
|
3,450,748 USD
|
Morgan Stanley
|
06/20/2024
|
—
|
(82,323
)
|
1,306,323 SEK
|
124,000 USD
|
Morgan Stanley
|
06/20/2024
|
—
|
(230
)
|
356,556 SGD
|
265,000 USD
|
Morgan Stanley
|
06/20/2024
|
910
|
—
|
82,037 SGD
|
60,434 USD
|
Morgan Stanley
|
06/20/2024
|
—
|
(329
)
|
1,353,922 USD
|
2,071,189 AUD
|
Morgan Stanley
|
06/20/2024
|
24,807
|
—
|
2,532,385 USD
|
3,465,633 CAD
|
Morgan Stanley
|
06/20/2024
|
11,176
|
—
|
378,901 USD
|
514,788 CAD
|
Morgan Stanley
|
06/20/2024
|
—
|
(1,078
)
|
1,142,500 USD
|
169,231,149 JPY
|
Morgan Stanley
|
06/20/2024
|
—
|
(63,698
)
|
506,963 USD
|
8,588,577 MXN
|
Morgan Stanley
|
06/20/2024
|
—
|
(2,074
)
|
124,000 USD
|
1,320,397 SEK
|
Morgan Stanley
|
06/20/2024
|
1,569
|
—
|
774,336 USD
|
1,033,359 SGD
|
Morgan Stanley
|
06/20/2024
|
—
|
(8,960
)
|
2,209,427 AUD
|
2,428,901 NZD
|
RBC Capital Markets
|
06/20/2024
|
22,296
|
—
|
1,807,312 EUR
|
1,943,834 USD
|
RBC Capital Markets
|
06/20/2024
|
—
|
(18,617
)
|
4,195,554 MXN
|
250,623 USD
|
RBC Capital Markets
|
06/20/2024
|
3,983
|
—
|
776,753 NZD
|
716,575 AUD
|
RBC Capital Markets
|
06/20/2024
|
—
|
(468
)
|
1,053,996 SGD
|
778,838 USD
|
RBC Capital Markets
|
06/20/2024
|
—
|
(1,823
)
|
71,217 USD
|
109,612 AUD
|
RBC Capital Markets
|
06/20/2024
|
1,749
|
—
|
171,605 USD
|
234,903 CAD
|
RBC Capital Markets
|
06/20/2024
|
799
|
—
|
1,636,192 USD
|
1,499,951 EUR
|
RBC Capital Markets
|
06/20/2024
|
—
|
(7,486
)
|
733,964 USD
|
572,500 GBP
|
RBC Capital Markets
|
06/20/2024
|
—
|
(4,395
)
|
402,172 USD
|
6,900,027 MXN
|
RBC Capital Markets
|
06/20/2024
|
3,454
|
—
|
442,362 USD
|
728,237 NZD
|
RBC Capital Markets
|
06/20/2024
|
5,285
|
—
|
320,000 AUD
|
214,472 USD
|
Standard Chartered
|
06/20/2024
|
1,458
|
—
|
Multi-Manager Alternative Strategies Fund | 2024
33
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Forward foreign currency exchange contracts (continued)
|
|||||
Currency to
be sold
|
Currency to
be purchased
|
Counterparty
|
Settlement
date
|
Unrealized
appreciation ($)
|
Unrealized
depreciation ($)
|
159,730 CAD
|
116,500 USD
|
State Street
|
06/20/2024
|
—
|
(732
)
|
5,772,811 EUR
|
6,334,259 USD
|
State Street
|
06/20/2024
|
65,914
|
—
|
2,152,131 MXN
|
116,500 EUR
|
State Street
|
06/20/2024
|
—
|
(15
)
|
1,959,336 MXN
|
116,250 USD
|
State Street
|
06/20/2024
|
1,068
|
—
|
4,248,271 MXN
|
249,000 USD
|
State Street
|
06/20/2024
|
—
|
(739
)
|
2,673,134 NOK
|
252,187 USD
|
State Street
|
06/20/2024
|
—
|
(2,591
)
|
670,751 NZD
|
619,491 AUD
|
State Street
|
06/20/2024
|
66
|
—
|
376,009 NZD
|
231,809 USD
|
State Street
|
06/20/2024
|
676
|
—
|
728,848 NZD
|
440,051 USD
|
State Street
|
06/20/2024
|
—
|
(7,972
)
|
514,815 USD
|
706,574 CAD
|
State Street
|
06/20/2024
|
3,767
|
—
|
436,961 USD
|
343,603 GBP
|
State Street
|
06/20/2024
|
911
|
—
|
279,857 USD
|
219,527 GBP
|
State Street
|
06/20/2024
|
—
|
(102
)
|
1,164,000 USD
|
179,389,603 JPY
|
State Street
|
06/20/2024
|
—
|
(20,440
)
|
665,035 USD
|
11,493,157 MXN
|
State Street
|
06/20/2024
|
10,602
|
—
|
500,037 USD
|
8,378,792 MXN
|
State Street
|
06/20/2024
|
—
|
(7,481
)
|
1,563,658 USD
|
2,098,695 SGD
|
State Street
|
06/20/2024
|
—
|
(9,222
)
|
345,000 AUD
|
231,218 USD
|
TD Securities
|
06/20/2024
|
1,562
|
—
|
1,046,317 AUD
|
681,415 USD
|
UBS
|
06/20/2024
|
—
|
(15,087
)
|
158,388 CAD
|
116,500 USD
|
UBS
|
06/20/2024
|
253
|
—
|
555,435 CAD
|
407,290 USD
|
UBS
|
06/20/2024
|
—
|
(365
)
|
677,742 EUR
|
737,588 USD
|
UBS
|
06/20/2024
|
1,669
|
—
|
582,500 EUR
|
626,370 USD
|
UBS
|
06/20/2024
|
—
|
(6,132
)
|
523,887 GBP
|
653,916 USD
|
UBS
|
06/20/2024
|
—
|
(13,703
)
|
3,950,083 MXN
|
232,886 USD
|
UBS
|
06/20/2024
|
676
|
—
|
2,674,375 MXN
|
156,287 USD
|
UBS
|
06/20/2024
|
—
|
(929
)
|
586,250 NZD
|
352,046 USD
|
UBS
|
06/20/2024
|
—
|
(8,322
)
|
287,855 USD
|
394,536 CAD
|
UBS
|
06/20/2024
|
1,710
|
—
|
1,626,153 USD
|
1,502,857 EUR
|
UBS
|
06/20/2024
|
5,708
|
—
|
759,798 USD
|
592,500 GBP
|
UBS
|
06/20/2024
|
—
|
(4,741
)
|
357,180 USD
|
586,250 NZD
|
UBS
|
06/20/2024
|
3,187
|
—
|
1,568,550 USD
|
2,110,170 SGD
|
UBS
|
06/20/2024
|
—
|
(5,614
)
|
Total
|
|
|
|
1,444,229
|
(1,479,617
)
|
Long futures contracts
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
3-Month Copper
|
9
|
08/2024
|
USD
|
2,259,000
|
—
|
(95,833
)
|
3-Month Lead
|
12
|
08/2024
|
USD
|
681,900
|
—
|
(10,518
)
|
3-Month Nickel
|
2
|
08/2024
|
USD
|
236,520
|
—
|
(6,711
)
|
3-Month Zinc
|
7
|
08/2024
|
USD
|
519,663
|
—
|
(16,947
)
|
Australian Dollar
|
24
|
06/2024
|
USD
|
1,595,160
|
—
|
(10,369
)
|
Brent Crude
|
1
|
06/2024
|
USD
|
81,110
|
179
|
—
|
Brent Crude
|
4
|
06/2024
|
USD
|
324,440
|
—
|
(5,184
)
|
Brent Crude
|
24
|
06/2024
|
USD
|
1,946,640
|
—
|
(110,869
)
|
Brent Crude
|
3
|
07/2024
|
USD
|
242,610
|
—
|
(2,383
)
|
Brent Crude
|
4
|
08/2024
|
USD
|
322,120
|
—
|
(2,404
)
|
British Pound
|
4
|
06/2024
|
USD
|
318,300
|
983
|
—
|
British Pound
|
5
|
06/2024
|
USD
|
397,875
|
503
|
—
|
British Pound
|
75
|
06/2024
|
USD
|
5,968,125
|
—
|
(7,582
)
|
CAC40 Index
|
26
|
06/2024
|
EUR
|
2,078,440
|
—
|
(47,667
)
|
CAC40 Index
|
25
|
06/2024
|
EUR
|
1,998,500
|
—
|
(52,837
)
|
Canola
|
2
|
07/2024
|
CAD
|
26,440
|
16
|
—
|
Canola
|
2
|
11/2024
|
CAD
|
27,328
|
194
|
—
|
Class III Milk
|
3
|
07/2024
|
USD
|
116,280
|
—
|
(8,867
)
|
Class III Milk
|
7
|
07/2024
|
USD
|
284,060
|
6,245
|
—
|
Cocoa
|
7
|
07/2024
|
USD
|
653,170
|
48,548
|
—
|
Cocoa
|
3
|
07/2024
|
USD
|
279,930
|
15,183
|
—
|
34
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Long futures contracts (continued)
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Cocoa
|
1
|
12/2024
|
GBP
|
61,530
|
12,940
|
—
|
Coffee
|
15
|
07/2024
|
USD
|
1,250,719
|
84,572
|
—
|
Coffee
|
10
|
07/2024
|
USD
|
833,813
|
6,933
|
—
|
Coffee
|
1
|
07/2024
|
USD
|
83,381
|
—
|
(2,317
)
|
Coffee
|
7
|
09/2024
|
USD
|
580,781
|
5,177
|
—
|
Consumer Discretionary Select Sector Index E-mini
|
4
|
06/2024
|
USD
|
711,920
|
—
|
(20,496
)
|
Consumer Staples Select Sector Index E-mini
|
5
|
06/2024
|
USD
|
389,900
|
223
|
—
|
Copper
|
30
|
07/2024
|
USD
|
3,451,500
|
183,568
|
—
|
Copper
|
4
|
07/2024
|
USD
|
460,200
|
10,955
|
—
|
Copper
|
2
|
07/2024
|
USD
|
230,100
|
—
|
(11,338
)
|
Copper
|
10
|
07/2024
|
USD
|
1,150,500
|
—
|
(17,767
)
|
Copper
|
3
|
09/2024
|
USD
|
755,168
|
—
|
(60,655
)
|
Copper
|
7
|
09/2024
|
USD
|
806,838
|
17,488
|
—
|
Corn
|
1
|
07/2024
|
USD
|
22,313
|
—
|
(115
)
|
Crude Palm Oil
|
15
|
08/2024
|
MYR
|
1,528,500
|
7,376
|
—
|
Crude Palm Oil
|
6
|
09/2024
|
MYR
|
610,350
|
3,621
|
—
|
Crude Palm Oil
|
3
|
10/2024
|
MYR
|
304,500
|
831
|
—
|
DAX Index
|
5
|
06/2024
|
EUR
|
2,316,375
|
38,171
|
—
|
DAX Index
|
7
|
06/2024
|
EUR
|
3,242,925
|
17,998
|
—
|
DAX Index Mini
|
1
|
06/2024
|
EUR
|
92,655
|
336
|
—
|
DJIA Index E-mini
|
16
|
06/2024
|
USD
|
3,103,280
|
—
|
(46,514
)
|
DJIA Index E-mini
|
22
|
06/2024
|
USD
|
4,267,010
|
—
|
(62,754
)
|
DJIA Micro E-mini
|
1
|
06/2024
|
USD
|
19,396
|
140
|
—
|
Energy Select Sector Index E-mini
|
2
|
06/2024
|
USD
|
195,280
|
—
|
(613
)
|
Euro FX
|
1
|
06/2024
|
USD
|
135,625
|
—
|
(351
)
|
Euro STOXX 50 Index
|
67
|
06/2024
|
EUR
|
3,339,280
|
66,149
|
—
|
Euro STOXX 50 Index
|
4
|
06/2024
|
EUR
|
199,360
|
804
|
—
|
Euro STOXX 50 Index
|
2
|
06/2024
|
EUR
|
89,820
|
632
|
—
|
Euro STOXX 50 Index
|
50
|
06/2024
|
EUR
|
2,492,000
|
—
|
(3,383
)
|
Euro STOXX Banks Index
|
210
|
06/2024
|
EUR
|
1,541,925
|
217,575
|
—
|
Euro-BTP
|
36
|
06/2024
|
EUR
|
4,198,320
|
—
|
(60,469
)
|
Euro-BTP
|
12
|
09/2024
|
EUR
|
1,394,640
|
—
|
(143
)
|
Euro-Bund
|
7
|
06/2024
|
EUR
|
905,380
|
—
|
(21,566
)
|
FCOJ-A
|
1
|
07/2024
|
USD
|
65,580
|
—
|
(2,087
)
|
Feeder Cattle
|
4
|
08/2024
|
USD
|
512,800
|
—
|
(10,247
)
|
FTSE 100 Index
|
24
|
06/2024
|
GBP
|
1,988,640
|
70,577
|
—
|
FTSE 100 Index
|
47
|
06/2024
|
GBP
|
3,894,420
|
49,764
|
—
|
FTSE 100 Index
|
6
|
06/2024
|
GBP
|
497,160
|
—
|
(6,993
)
|
FTSE China A50 Index
|
34
|
06/2024
|
USD
|
420,308
|
—
|
(7,436
)
|
FTSE China A50 Index
|
100
|
06/2024
|
USD
|
1,236,200
|
—
|
(25,330
)
|
FTSE Taiwan Index
|
27
|
06/2024
|
USD
|
1,941,300
|
—
|
(63,941
)
|
FTSE Taiwan Index
|
33
|
06/2024
|
USD
|
2,372,700
|
—
|
(75,055
)
|
FTSE/JSE Top 40 Index
|
8
|
06/2024
|
ZAR
|
5,660,960
|
—
|
(6,685
)
|
FTSE/JSE Top 40 Index
|
28
|
06/2024
|
ZAR
|
19,813,360
|
—
|
(43,649
)
|
FTSE/MIB Index
|
14
|
06/2024
|
EUR
|
2,420,110
|
116,586
|
—
|
FTSE/MIB Index
|
16
|
06/2024
|
EUR
|
2,765,840
|
85,876
|
—
|
FTSE/MIB Index Mini
|
6
|
06/2024
|
EUR
|
207,438
|
7,031
|
—
|
Gas Oil
|
5
|
07/2024
|
USD
|
367,250
|
—
|
(11,831
)
|
Gold
|
5
|
02/2025
|
JPY
|
59,230,000
|
5,090
|
—
|
Gold
|
31
|
04/2025
|
JPY
|
367,381,000
|
31,878
|
—
|
Gold 100 oz.
|
13
|
08/2024
|
USD
|
3,049,540
|
—
|
(41,433
)
|
Gold 100 oz.
|
25
|
08/2024
|
USD
|
5,864,500
|
—
|
(251,474
)
|
Gold 100 oz.
|
9
|
12/2024
|
USD
|
2,152,530
|
—
|
(32,575
)
|
Gold E-micro
|
8
|
08/2024
|
USD
|
187,664
|
—
|
(2,770
)
|
Hard Red Winter Wheat
|
11
|
07/2024
|
USD
|
389,813
|
10,625
|
—
|
Hard Red Winter Wheat
|
1
|
07/2024
|
USD
|
35,438
|
—
|
(591
)
|
Hard Red Winter Wheat
|
10
|
09/2024
|
USD
|
361,625
|
12,652
|
—
|
Health Care Select Sector Index E-mini
|
4
|
06/2024
|
USD
|
581,240
|
224
|
—
|
Multi-Manager Alternative Strategies Fund | 2024
35
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Long futures contracts (continued)
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
IBEX 35 Index
|
14
|
06/2024
|
EUR
|
1,585,206
|
19,560
|
—
|
IBEX 35 Index
|
14
|
06/2024
|
EUR
|
1,585,206
|
3,071
|
—
|
IBEX 35 Index Mini
|
5
|
06/2024
|
EUR
|
56,615
|
—
|
(209
)
|
IFSC Nifty 50 Index
|
32
|
06/2024
|
USD
|
1,452,032
|
—
|
(26,949
)
|
IFSC Nifty 50 Index
|
59
|
06/2024
|
USD
|
2,677,184
|
—
|
(29,833
)
|
Industrials Select Sector Index
|
2
|
06/2024
|
USD
|
249,280
|
937
|
—
|
KLCI Index
|
15
|
06/2024
|
MYR
|
1,202,250
|
—
|
(518
)
|
KOSPI 200 Index Mini
|
11
|
06/2024
|
KRW
|
198,027,500
|
—
|
(6,030
)
|
Live Cattle
|
6
|
08/2024
|
USD
|
428,280
|
—
|
(3,977
)
|
Live Cattle
|
23
|
08/2024
|
USD
|
1,641,740
|
—
|
(24,881
)
|
Live Cattle
|
13
|
10/2024
|
USD
|
940,160
|
—
|
(15,729
)
|
Live Cattle
|
8
|
12/2024
|
USD
|
590,880
|
—
|
(9,968
)
|
Live Cattle
|
5
|
02/2025
|
USD
|
375,150
|
—
|
(5,421
)
|
Maize
|
1
|
08/2024
|
EUR
|
11,263
|
—
|
(110
)
|
Materials Select Sector Index E-mini
|
3
|
06/2024
|
USD
|
291,780
|
7,116
|
—
|
Mexican Peso
|
150
|
06/2024
|
USD
|
4,408,500
|
16,089
|
—
|
Mexican Peso
|
3
|
06/2024
|
USD
|
88,170
|
—
|
(453
)
|
Mexican Peso
|
27
|
06/2024
|
USD
|
793,530
|
—
|
(5,007
)
|
Milling Wheat
|
38
|
09/2024
|
EUR
|
492,575
|
17,921
|
—
|
Milling Wheat
|
25
|
12/2024
|
EUR
|
330,938
|
7,123
|
—
|
MSCI EAFE Index
|
22
|
06/2024
|
USD
|
2,607,220
|
48,539
|
—
|
MSCI EAFE Index
|
35
|
06/2024
|
USD
|
4,147,850
|
12,347
|
—
|
MSCI EAFE Index
|
5
|
06/2024
|
USD
|
592,550
|
—
|
(1,874
)
|
MSCI Emerging Markets Index
|
53
|
06/2024
|
USD
|
2,799,725
|
—
|
(51,587
)
|
MSCI Emerging Markets Index
|
47
|
06/2024
|
USD
|
2,482,775
|
—
|
(67,966
)
|
MSCI Singapore Index
|
40
|
06/2024
|
SGD
|
1,235,600
|
—
|
(10,244
)
|
MSCI Singapore Index
|
44
|
06/2024
|
SGD
|
1,359,160
|
—
|
(10,377
)
|
NASDAQ 100 Index E-mini
|
11
|
06/2024
|
USD
|
4,090,020
|
30,775
|
—
|
NASDAQ 100 Index E-mini
|
6
|
06/2024
|
USD
|
2,230,920
|
23,143
|
—
|
NASDAQ 100 Index E-mini
|
2
|
06/2024
|
USD
|
743,640
|
—
|
(8,237
)
|
NASDAQ 100 Index Micro E-mini
|
1
|
06/2024
|
USD
|
37,182
|
2,052
|
—
|
Natural Gas
|
2
|
06/2024
|
USD
|
51,740
|
—
|
(3,633
)
|
New Zealand Dollar
|
20
|
06/2024
|
USD
|
1,227,800
|
2,170
|
—
|
Nickel
|
2
|
09/2024
|
USD
|
237,197
|
—
|
(12,599
)
|
Nikkei 225 Index
|
1
|
06/2024
|
JPY
|
38,490,000
|
4,806
|
—
|
Nikkei 225 Index
|
2
|
06/2024
|
USD
|
386,400
|
—
|
(10,202
)
|
Nikkei 225 Index
|
9
|
06/2024
|
JPY
|
346,410,000
|
—
|
(38,064
)
|
Nikkei 225 Index
|
7
|
06/2024
|
JPY
|
269,430,000
|
—
|
(66,576
)
|
Nikkei 225 Index
|
17
|
06/2024
|
JPY
|
326,910,000
|
—
|
(80,382
)
|
Nikkei 225 Index Mini
|
78
|
06/2024
|
JPY
|
300,222,000
|
—
|
(47,508
)
|
OMXS30 Index
|
76
|
06/2024
|
SEK
|
19,832,200
|
—
|
(15,450
)
|
OMXS30 Index
|
98
|
06/2024
|
SEK
|
25,573,100
|
—
|
(25,093
)
|
Platinum
|
20
|
07/2024
|
USD
|
1,042,000
|
22,269
|
—
|
Platinum
|
5
|
07/2024
|
USD
|
260,500
|
—
|
(2,607
)
|
Platinum
|
2
|
02/2025
|
JPY
|
5,180,000
|
—
|
(570
)
|
Platinum
|
19
|
04/2025
|
JPY
|
49,276,500
|
—
|
(3,783
)
|
Primary Aluminum
|
9
|
08/2024
|
USD
|
596,813
|
—
|
(24,618
)
|
Primary Aluminum
|
16
|
09/2024
|
USD
|
1,065,988
|
10,832
|
—
|
Rapeseed
|
15
|
07/2024
|
EUR
|
365,625
|
16,395
|
—
|
Rapeseed
|
5
|
10/2024
|
EUR
|
123,875
|
6,286
|
—
|
RBOB Gasoline
|
3
|
06/2024
|
USD
|
304,592
|
—
|
(16,668
)
|
RBOB Gasoline
|
2
|
07/2024
|
USD
|
201,524
|
—
|
(20,835
)
|
RBOB Gasoline
|
2
|
08/2024
|
USD
|
198,736
|
—
|
(7,400
)
|
Robusta Coffee
|
6
|
07/2024
|
USD
|
247,200
|
10,174
|
—
|
Robusta Coffee
|
1
|
09/2024
|
USD
|
39,870
|
2,459
|
—
|
Rough Rice
|
10
|
07/2024
|
USD
|
353,400
|
—
|
(33,703
)
|
Rubber
|
5
|
10/2024
|
JPY
|
8,535,000
|
1,011
|
—
|
Russell 2000 Index E-mini
|
4
|
06/2024
|
USD
|
415,160
|
—
|
(5,796
)
|
36
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Long futures contracts (continued)
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Russell 2000 Index E-mini
|
14
|
06/2024
|
USD
|
1,453,060
|
—
|
(22,143
)
|
Russell 2000 Index Micro E-Mini
|
2
|
06/2024
|
USD
|
20,758
|
317
|
—
|
S&P 500 Index E-mini
|
26
|
06/2024
|
USD
|
6,884,150
|
123,361
|
—
|
S&P 500 Index E-mini
|
15
|
06/2024
|
USD
|
3,971,625
|
42,344
|
—
|
S&P Mid 400 Index E-mini
|
6
|
06/2024
|
USD
|
1,795,140
|
26,862
|
—
|
S&P Mid 400 Index E-mini
|
6
|
06/2024
|
USD
|
1,795,140
|
3,086
|
—
|
S&P Mid 400 Index E-mini
|
1
|
06/2024
|
USD
|
299,190
|
—
|
(3,333
)
|
S&P/TSX 60 Index
|
21
|
06/2024
|
CAD
|
5,604,480
|
45,012
|
—
|
S&P/TSX 60 Index
|
12
|
06/2024
|
CAD
|
3,202,560
|
22,403
|
—
|
SGX TSI Iron Ore China 62%
|
37
|
07/2024
|
USD
|
427,276
|
—
|
(10,036
)
|
SGX TSI Iron Ore China 62%
|
38
|
07/2024
|
USD
|
438,824
|
—
|
(20,270
)
|
SGX USD/CNH FX
|
2
|
06/2024
|
CNH
|
1,450,440
|
635
|
—
|
Silver
|
17
|
07/2024
|
USD
|
2,587,400
|
87,628
|
—
|
Silver
|
4
|
07/2024
|
USD
|
608,800
|
52,318
|
—
|
Silver
|
3
|
09/2024
|
USD
|
461,505
|
43,815
|
—
|
South African Rand
|
149
|
06/2024
|
USD
|
3,955,950
|
—
|
(101,654
)
|
Soybean Meal
|
18
|
07/2024
|
USD
|
656,460
|
—
|
(17,140
)
|
Soybean Meal
|
30
|
07/2024
|
USD
|
1,094,100
|
—
|
(45,830
)
|
Soybean Meal
|
4
|
12/2024
|
USD
|
143,760
|
—
|
(7,519
)
|
SPI 200 Index
|
27
|
06/2024
|
AUD
|
5,210,325
|
4,173
|
—
|
SPI 200 Index
|
21
|
06/2024
|
AUD
|
4,052,475
|
—
|
(3,643
)
|
STOXX 600 Insurance Index
|
2
|
06/2024
|
EUR
|
37,980
|
1,325
|
—
|
STOXX 600 Utilities Index
|
5
|
06/2024
|
EUR
|
95,150
|
—
|
(3,164
)
|
STOXX Europe 600 Bank Index
|
7
|
06/2024
|
EUR
|
71,260
|
10,175
|
—
|
STOXX Europe 600 Index
|
99
|
06/2024
|
EUR
|
2,566,575
|
55,597
|
—
|
STOXX Europe 600 Index
|
54
|
06/2024
|
EUR
|
1,399,950
|
44,440
|
—
|
STOXX Europe 600 Index
|
11
|
06/2024
|
EUR
|
285,175
|
—
|
(1,807
)
|
TOPIX Index
|
15
|
06/2024
|
JPY
|
415,800,000
|
64,942
|
—
|
TOPIX Index
|
7
|
06/2024
|
JPY
|
194,040,000
|
40,534
|
—
|
TOPIX Index Mini
|
32
|
06/2024
|
JPY
|
88,704,000
|
15,260
|
—
|
U.S. Dollar Index
|
19
|
06/2024
|
USD
|
1,987,913
|
12,772
|
—
|
U.S. Treasury 2-Year Note
|
173
|
09/2024
|
USD
|
35,240,641
|
—
|
(13,808
)
|
U.S. Treasury 5-Year Note
|
377
|
09/2024
|
USD
|
39,885,422
|
—
|
(72,496
)
|
Utilities Select Sector Index E-mini
|
2
|
06/2024
|
USD
|
146,880
|
9,737
|
—
|
Volatility Index
|
5
|
07/2024
|
USD
|
72,907
|
—
|
(2,252
)
|
Wheat
|
19
|
07/2024
|
USD
|
644,575
|
9,646
|
—
|
Wheat
|
21
|
07/2024
|
USD
|
712,425
|
—
|
(9,065
)
|
Wheat
|
14
|
09/2024
|
USD
|
489,650
|
12,507
|
—
|
Wheat
|
8
|
12/2024
|
USD
|
289,400
|
8,245
|
—
|
WIG 20 Index
|
54
|
06/2024
|
PLN
|
2,690,280
|
8,681
|
—
|
WTI Crude
|
15
|
06/2024
|
USD
|
1,154,850
|
—
|
(68,372
)
|
WTI Crude
|
1
|
08/2024
|
USD
|
76,400
|
—
|
(51
)
|
Yen Denominated Nikkei 225 Index
|
15
|
06/2024
|
JPY
|
289,762,500
|
—
|
(49,655
)
|
Yuan Offshore Renminbi
|
2
|
06/2024
|
CNH
|
1,451,400
|
722
|
—
|
Zinc
|
7
|
09/2024
|
USD
|
521,071
|
—
|
(29,678
)
|
Total
|
|
|
|
|
2,149,255
|
(2,445,522
)
|
Short futures contracts
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
10-Year Mini Japanese Government Bond
|
(3)
|
06/2024
|
JPY
|
(42,891,000
)
|
926
|
—
|
1-Month SOFR
|
(10)
|
10/2024
|
USD
|
(3,951,358
)
|
2,445
|
—
|
1-Month SOFR
|
(1)
|
10/2024
|
USD
|
(395,136
)
|
—
|
(22
)
|
30-Day Fed Funds
|
(1)
|
04/2025
|
USD
|
(396,803
)
|
1,582
|
—
|
3-Month CORRA
|
(10)
|
12/2024
|
CAD
|
(2,386,375
)
|
1,177
|
—
|
3-Month CORRA
|
(1)
|
12/2024
|
CAD
|
(238,638
)
|
—
|
(149
)
|
3-Month Euro Euribor
|
(436)
|
09/2024
|
EUR
|
(105,108,700
)
|
183,486
|
—
|
Multi-Manager Alternative Strategies Fund | 2024
37
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Short futures contracts (continued)
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
3-Month Euro Euribor
|
(125)
|
03/2025
|
EUR
|
(30,234,375
)
|
142,923
|
—
|
3-Month Euro Euribor
|
(3)
|
06/2025
|
EUR
|
(726,638
)
|
—
|
(194
)
|
3-Month Euro Euribor
|
(10)
|
06/2026
|
EUR
|
(2,431,125
)
|
308
|
—
|
3-Month Euro Euribor
|
(8)
|
09/2026
|
EUR
|
(1,945,700
)
|
—
|
(492
)
|
3-Month Euro Euribor
|
(3)
|
06/2027
|
EUR
|
(730,275
)
|
481
|
—
|
3-Month SOFR
|
(373)
|
12/2024
|
USD
|
(88,419,650
)
|
150,786
|
—
|
3-Month SOFR
|
(4)
|
03/2025
|
USD
|
(950,300
)
|
895
|
—
|
3-Month SOFR
|
(160)
|
06/2025
|
USD
|
(38,098,000
)
|
77,620
|
—
|
3-Month SONIA
|
(129)
|
12/2024
|
GBP
|
(30,631,050
)
|
58,742
|
—
|
90-Day AUD Bank Bill
|
(19)
|
09/2024
|
AUD
|
(18,795,617
)
|
142
|
—
|
90-Day AUD Bank Bill
|
(22)
|
09/2024
|
AUD
|
(21,763,346
)
|
—
|
(1,913
)
|
90-Day AUD Bank Bill
|
(8)
|
03/2025
|
AUD
|
(7,915,296
)
|
4,970
|
—
|
90-Day AUD Bank Bill
|
(2)
|
06/2025
|
AUD
|
(1,979,258
)
|
606
|
—
|
Australian 10-Year Bond
|
(73)
|
06/2024
|
AUD
|
(8,224,153
)
|
126,614
|
—
|
Australian 10-Year Bond
|
(15)
|
06/2024
|
AUD
|
(1,689,894
)
|
7,029
|
—
|
Australian 10-Year Bond
|
(57)
|
06/2024
|
AUD
|
(6,421,599
)
|
—
|
(16,844
)
|
Australian 3-Year Bond
|
(124)
|
06/2024
|
AUD
|
(13,076,642
)
|
79,693
|
—
|
Australian 3-Year Bond
|
(29)
|
06/2024
|
AUD
|
(3,058,247
)
|
6,397
|
—
|
Australian 3-Year Bond
|
(82)
|
06/2024
|
AUD
|
(8,647,457
)
|
—
|
(779
)
|
Australian Dollar
|
(3)
|
06/2024
|
USD
|
(199,395
)
|
—
|
(688
)
|
Brazilian Real
|
(30)
|
06/2024
|
USD
|
(570,000
)
|
9,749
|
—
|
Brent Crude
|
(1)
|
10/2024
|
USD
|
(79,790
)
|
1,039
|
—
|
Canadian Dollar
|
(85)
|
06/2024
|
USD
|
(6,238,150
)
|
28,735
|
—
|
Canadian Dollar
|
(6)
|
06/2024
|
USD
|
(440,340
)
|
—
|
(337
)
|
Canadian Dollar
|
(36)
|
06/2024
|
USD
|
(2,642,040
)
|
—
|
(3,655
)
|
Canadian Government 10-Year Bond
|
(83)
|
09/2024
|
CAD
|
(9,867,040
)
|
11,530
|
—
|
Canadian Government 10-Year Bond
|
(45)
|
09/2024
|
CAD
|
(5,349,600
)
|
10,936
|
—
|
Canadian Government 10-Year Bond
|
(2)
|
09/2024
|
CAD
|
(237,760
)
|
—
|
(1,060
)
|
Canadian Government 5-Year Bond
|
(1)
|
09/2024
|
CAD
|
(110,180
)
|
20
|
—
|
Cocoa
|
(1)
|
07/2024
|
GBP
|
(74,440
)
|
—
|
(957
)
|
Cocoa
|
(1)
|
09/2024
|
USD
|
(85,860
)
|
—
|
(8,682
)
|
Corn
|
(68)
|
07/2024
|
USD
|
(1,517,250
)
|
33,002
|
—
|
Corn
|
(41)
|
09/2024
|
USD
|
(930,700
)
|
34,810
|
—
|
Corn
|
(9)
|
12/2024
|
USD
|
(210,150
)
|
1,854
|
—
|
Corn
|
(22)
|
12/2024
|
USD
|
(513,700
)
|
—
|
(323
)
|
Cotton
|
(18)
|
07/2024
|
USD
|
(685,350
)
|
27,006
|
—
|
Cotton
|
(5)
|
07/2024
|
USD
|
(190,375
)
|
2,243
|
—
|
Cotton
|
(2)
|
12/2024
|
USD
|
(75,110
)
|
660
|
—
|
Crude Oil E-mini
|
(4)
|
06/2024
|
USD
|
(153,980
)
|
2,890
|
—
|
ECX Emissions EUA
|
(1)
|
12/2024
|
EUR
|
(74,100
)
|
—
|
(21,590
)
|
Euro
|
(1)
|
06/2024
|
USD
|
(67,813
)
|
—
|
(720
)
|
Euro FX
|
(76)
|
06/2024
|
USD
|
(10,307,500
)
|
—
|
(86,911
)
|
Euro FX Micro E-mini
|
(3)
|
06/2024
|
USD
|
(40,688
)
|
—
|
(280
)
|
Euro-Bobl
|
(87)
|
06/2024
|
EUR
|
(10,086,780
)
|
106,621
|
—
|
Euro-Bobl
|
(190)
|
09/2024
|
EUR
|
(21,924,100
)
|
—
|
(28,110
)
|
Euro-BTP
|
(8)
|
06/2024
|
EUR
|
(932,960
)
|
7,087
|
—
|
Euro-Bund
|
(39)
|
06/2024
|
EUR
|
(5,044,260
)
|
55,643
|
—
|
Euro-Bund
|
(48)
|
09/2024
|
EUR
|
(6,239,040
)
|
—
|
(12,316
)
|
Euro-Buxl 30-Year
|
(8)
|
06/2024
|
EUR
|
(1,011,360
)
|
5,728
|
—
|
Euro-Buxl 30-Year
|
(19)
|
09/2024
|
EUR
|
(2,432,380
)
|
—
|
(15,045
)
|
Euro-OAT
|
(39)
|
06/2024
|
EUR
|
(4,864,860
)
|
36,052
|
—
|
Euro-OAT
|
(49)
|
09/2024
|
EUR
|
(6,091,190
)
|
—
|
(16,535
)
|
Euro-Schatz
|
(208)
|
06/2024
|
EUR
|
(21,832,720
)
|
136,985
|
—
|
Euro-Schatz
|
(413)
|
09/2024
|
EUR
|
(43,464,120
)
|
—
|
(23,666
)
|
Gas Oil
|
(10)
|
07/2024
|
USD
|
(734,500
)
|
20,490
|
—
|
Gas Oil
|
(3)
|
08/2024
|
USD
|
(221,250
)
|
5,547
|
—
|
Gas Oil
|
(4)
|
09/2024
|
USD
|
(296,200
)
|
4,596
|
—
|
Gas Oil
|
(5)
|
10/2024
|
USD
|
(371,625
)
|
5,495
|
—
|
38
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Short futures contracts (continued)
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
Indian Rupee
|
(1)
|
06/2024
|
USD
|
(59,900
)
|
51
|
—
|
Japanese 10-Year Government Bond
|
(20)
|
06/2024
|
JPY
|
(2,859,800,000
)
|
48,892
|
—
|
Japanese Yen
|
(137)
|
06/2024
|
USD
|
(10,914,619
)
|
750,654
|
—
|
Japanese Yen
|
(6)
|
06/2024
|
USD
|
(478,013
)
|
23,656
|
—
|
Korea 3-Year Bond
|
(296)
|
06/2024
|
KRW
|
(30,863,920,000
)
|
1,978
|
—
|
Lean Hogs
|
(10)
|
07/2024
|
USD
|
(388,500
)
|
11,357
|
—
|
Lean Hogs
|
(1)
|
08/2024
|
USD
|
(38,600
)
|
—
|
(432
)
|
Lean Hogs
|
(3)
|
08/2024
|
USD
|
(115,800
)
|
—
|
(791
)
|
Lean Hogs
|
(2)
|
10/2024
|
USD
|
(66,320
)
|
326
|
—
|
Long Gilt
|
(42)
|
09/2024
|
GBP
|
(4,045,440
)
|
34,610
|
—
|
Long Gilt
|
(1)
|
09/2024
|
GBP
|
(96,320
)
|
1,088
|
—
|
Long Gilt
|
(12)
|
09/2024
|
GBP
|
(1,155,840
)
|
—
|
(7,534
)
|
Lumber
|
(1)
|
07/2024
|
USD
|
(13,956
)
|
218
|
—
|
Milling Wheat
|
(2)
|
03/2025
|
EUR
|
(26,625
)
|
—
|
(4,333
)
|
Natural Gas
|
(3)
|
06/2024
|
USD
|
(77,610
)
|
1,072
|
—
|
Natural Gas
|
(5)
|
06/2024
|
USD
|
(129,350
)
|
—
|
(419
)
|
Natural Gas
|
(5)
|
06/2024
|
GBP
|
(126,837
)
|
1,748
|
—
|
Natural Gas
|
(1)
|
08/2024
|
USD
|
(26,510
)
|
2,098
|
—
|
Natural Gas
|
(1)
|
09/2024
|
USD
|
(27,440
)
|
—
|
(2,192
)
|
New Zealand Dollar
|
(1)
|
06/2024
|
USD
|
(61,390
)
|
—
|
(316
)
|
NY Harbor ULSD Heat Oil
|
(4)
|
06/2024
|
USD
|
(400,546
)
|
16,310
|
—
|
NY Harbor ULSD Heat Oil
|
(7)
|
06/2024
|
USD
|
(700,955
)
|
5,412
|
—
|
NY Harbor ULSD Heat Oil
|
(4)
|
07/2024
|
USD
|
(403,805
)
|
15,865
|
—
|
NY Harbor ULSD Heat Oil
|
(5)
|
08/2024
|
USD
|
(508,620
)
|
18,089
|
—
|
NY Harbor ULSD Heat Oil
|
(3)
|
09/2024
|
USD
|
(306,785
)
|
13,032
|
—
|
Palladium
|
(2)
|
09/2024
|
USD
|
(182,580
)
|
12,637
|
—
|
RBOB Gasoline
|
(3)
|
06/2024
|
USD
|
(304,592
)
|
3,535
|
—
|
Real Estate Select Sector Index E-mini
|
(1)
|
06/2024
|
USD
|
(46,475
)
|
—
|
(939
)
|
Short Term Euro-BTP
|
(151)
|
06/2024
|
EUR
|
(15,877,650
)
|
38,740
|
—
|
Short Term Euro-BTP
|
(75)
|
09/2024
|
EUR
|
(7,873,500
)
|
—
|
(422
)
|
South African Rand
|
(1)
|
06/2024
|
USD
|
(26,550
)
|
349
|
—
|
South Korean Won
|
(13)
|
06/2024
|
USD
|
(235,040
)
|
2,755
|
—
|
Soybean
|
(18)
|
07/2024
|
USD
|
(1,084,500
)
|
1,373
|
—
|
Soybean
|
(10)
|
07/2024
|
USD
|
(602,500
)
|
—
|
(6,374
)
|
Soybean
|
(29)
|
11/2024
|
USD
|
(1,717,525
)
|
—
|
(52,552
)
|
Soybean
|
(20)
|
01/2025
|
USD
|
(1,197,500
)
|
—
|
(15,082
)
|
Soybean Oil
|
(21)
|
07/2024
|
USD
|
(573,552
)
|
—
|
(20,302
)
|
Soybean Oil
|
(32)
|
07/2024
|
USD
|
(873,984
)
|
—
|
(35,002
)
|
Soybean Oil
|
(10)
|
12/2024
|
USD
|
(276,360
)
|
—
|
(520
)
|
Soybean Oil
|
(6)
|
01/2025
|
USD
|
(166,284
)
|
—
|
(1,045
)
|
Sugar #11
|
(140)
|
06/2024
|
USD
|
(2,869,440
)
|
127,003
|
—
|
Sugar #11
|
(29)
|
06/2024
|
USD
|
(594,384
)
|
36,907
|
—
|
Sugar #11
|
(20)
|
09/2024
|
USD
|
(409,696
)
|
42,841
|
—
|
Sugar #11
|
(12)
|
02/2025
|
USD
|
(249,446
)
|
26,047
|
—
|
Sugar #11
|
(6)
|
04/2025
|
USD
|
(122,237
)
|
9,832
|
—
|
Swedish Krona
|
(12)
|
06/2024
|
USD
|
(2,280,720
)
|
—
|
(82,984
)
|
Swiss Franc
|
(66)
|
06/2024
|
USD
|
(9,153,788
)
|
134,217
|
—
|
Swiss Franc
|
(1)
|
06/2024
|
USD
|
(138,694
)
|
—
|
(1,320
)
|
Swiss Franc
|
(11)
|
06/2024
|
USD
|
(1,525,631
)
|
—
|
(6,910
)
|
Thai SET50 Index
|
(328)
|
06/2024
|
THB
|
(54,152,800
)
|
19,561
|
—
|
U.S. Long Bond
|
(31)
|
09/2024
|
USD
|
(3,597,938
)
|
23,657
|
—
|
U.S. Long Bond
|
(26)
|
09/2024
|
USD
|
(3,017,625
)
|
23,262
|
—
|
U.S. Long Bond
|
(18)
|
09/2024
|
USD
|
(2,089,125
)
|
15,584
|
—
|
U.S. Long Bond
|
(2)
|
09/2024
|
USD
|
(232,125
)
|
—
|
(4
)
|
U.S. Treasury 10-Year Note
|
(85)
|
09/2024
|
USD
|
(9,247,734
)
|
58,037
|
—
|
U.S. Treasury 10-Year Note
|
(71)
|
09/2024
|
USD
|
(7,724,578
)
|
3,324
|
—
|
U.S. Treasury 10-Year Note
|
(5)
|
09/2024
|
USD
|
(543,984
)
|
—
|
(2,814
)
|
U.S. Treasury 10-Year Note
|
(44)
|
09/2024
|
USD
|
(4,787,063
)
|
—
|
(6,919
)
|
Multi-Manager Alternative Strategies Fund | 2024
39
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Short futures contracts (continued)
|
||||||
Description
|
Number of
contracts
|
Expiration
date
|
Trading
currency
|
Notional
amount
|
Value/Unrealized
appreciation ($)
|
Value/Unrealized
depreciation ($)
|
U.S. Treasury 2-Year Note
|
(235)
|
09/2024
|
USD
|
(47,870,235
)
|
28,004
|
—
|
U.S. Treasury 2-Year Note
|
(171)
|
09/2024
|
USD
|
(34,833,235
)
|
6,817
|
—
|
U.S. Treasury 5-Year Note
|
(154)
|
09/2024
|
USD
|
(16,292,719
)
|
60,700
|
—
|
U.S. Treasury 5-Year Note
|
(111)
|
09/2024
|
USD
|
(11,743,453
)
|
16,876
|
—
|
U.S. Treasury 5-Year Note
|
(1)
|
09/2024
|
USD
|
(105,797
)
|
—
|
(264
)
|
U.S. Treasury Ultra 10-Year Note
|
(58)
|
09/2024
|
USD
|
(6,497,813
)
|
41,776
|
—
|
U.S. Treasury Ultra 10-Year Note
|
(124)
|
09/2024
|
USD
|
(13,891,875
)
|
30,764
|
—
|
U.S. Treasury Ultra 10-Year Note
|
(45)
|
09/2024
|
USD
|
(5,041,406
)
|
18,272
|
—
|
U.S. Treasury Ultra 10-Year Note
|
(8)
|
09/2024
|
USD
|
(896,250
)
|
—
|
(4,150
)
|
U.S. Treasury Ultra Bond
|
(49)
|
09/2024
|
USD
|
(5,999,438
)
|
74,165
|
—
|
U.S. Treasury Ultra Bond
|
(22)
|
09/2024
|
USD
|
(2,693,625
)
|
26,552
|
—
|
U.S. Treasury Ultra Bond
|
(21)
|
09/2024
|
USD
|
(2,571,188
)
|
22,570
|
—
|
U.S. Treasury Ultra Bond
|
(4)
|
09/2024
|
USD
|
(489,750
)
|
—
|
(5,006
)
|
Volatility Index
|
(11)
|
06/2024
|
USD
|
(151,686
)
|
4,096
|
—
|
Volatility Index Mini
|
(1)
|
06/2024
|
USD
|
(1,379
)
|
—
|
(31
)
|
White Sugar #5
|
(11)
|
07/2024
|
USD
|
(297,935
)
|
10,778
|
—
|
White Sugar #5
|
(2)
|
09/2024
|
USD
|
(51,870
)
|
5,488
|
—
|
WTI Crude
|
(7)
|
06/2024
|
USD
|
(538,930
)
|
8,963
|
—
|
WTI Crude
|
(5)
|
06/2024
|
USD
|
(384,950
)
|
3,522
|
—
|
WTI Crude
|
(1)
|
07/2024
|
USD
|
(76,730
)
|
39
|
—
|
WTI Crude
|
(1)
|
08/2024
|
USD
|
(76,400
)
|
138
|
—
|
WTI Crude
|
(1)
|
09/2024
|
USD
|
(75,990
)
|
—
|
(51
)
|
WTI Crude
|
(4)
|
11/2024
|
USD
|
(300,680
)
|
2,234
|
—
|
Total
|
|
|
|
|
3,283,411
|
(499,976
)
|
Cleared interest rate swap contracts
|
|||||||||||
Fund receives
|
Fund pays
|
Payment
frequency
|
Counterparty
|
Maturity
date
|
Notional
currency
|
Notional
amount
|
Value
($)
|
Upfront
payments
($)
|
Upfront
receipts
($)
|
Unrealized
appreciation
($)
|
Unrealized
depreciation
($)
|
SOFR
|
Fixed rate of 3.520%
|
Receives Annually, Pays Annually
|
Citi
|
12/20/2053
|
USD
|
808,000
|
60,048
|
—
|
—
|
60,048
|
—
|
Reference index and values for swap contracts as of period end
|
||
Reference index
|
|
Reference rate
|
SOFR
|
Secured Overnight Financing Rate
|
5.330%
|
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, 2024, the total value of these securities amounted
to $124,235,671, which represents 25.93% of total net assets.
|
(b)
|
Variable rate security. The interest rate shown was the current rate as of May 31,
2024.
|
(c)
|
Represents a security purchased on a when-issued basis.
|
(d)
|
Represents fair value as determined in good faith under procedures approved by the
Board of Trustees. At May 31, 2024, the total value of these securities amounted to
$1,799,458, which represents 0.38% of total net assets.
|
(e)
|
Valuation based on significant unobservable inputs.
|
(f)
|
Zero coupon bond.
|
(g)
|
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, 2024.
|
(h)
|
Represents interest only securities which have the right to receive the monthly interest
payments on an underlying pool of mortgage loans.
|
(i)
|
Non-income producing investment.
|
(j)
|
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, 2024.
|
(k)
|
Payment-in-kind security. Interest can be paid by issuing additional par of the security
or in cash.
|
(l)
|
Principal amounts are denominated in United States Dollars unless otherwise noted.
|
40
Multi-Manager Alternative Strategies Fund | 2024
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Notes to Consolidated Portfolio of Investments (continued)
(m)
|
Perpetual security with no specified maturity date.
|
(n)
|
Principal and interest may not be guaranteed by a governmental entity.
|
(o)
|
Income from this security may be subject to alternative minimum tax.
|
(p)
|
Represents a security purchased on a forward commitment basis.
|
(q)
|
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 approved by the Fund’s Board of Trustees. At May 31, 2024, the total market value of these securities amounted
to $496,714, which represents 0.10% of total net assets. Additional information on
these securities is as follows:
|
Security
|
Acquisition
Dates
|
Shares
|
Cost ($)
|
Value ($)
|
Abiomed, Inc., CVR
|
12/21/2022
|
15,541
|
—
|
27,197
|
Albireo Pharma, Inc., CVR
|
01/09/2023-01/23/2023
|
37,853
|
80,907
|
91,635
|
Cincor Pharma, Inc.
|
01/09/2023-02/23/2023
|
44,405
|
135,473
|
153,357
|
Concert Pharmaceuticals, Inc., CVR
|
01/19/2023-03/02/2023
|
173,147
|
63,478
|
72,081
|
Resolute Forest Products, Inc.
|
07/06/2022-12/29/2022
|
76,222
|
101,179
|
152,444
|
|
|
|
381,037
|
496,714
|
(r)
|
The stated interest rate represents the weighted average interest rate at May 31,
2024 of contracts within the senior loan facility. Interest rates on contracts are
primarily determined either weekly, monthly or quarterly by reference to the indicated base
lending rate and spread and the reset period. Base lending rates may be subject to
a floor or minimum rate. The interest rate for senior loans purchased on a when-issued or delayed
delivery basis will be determined upon settlement, therefore no interest rate is disclosed.
Senior loans often require prepayments from excess cash flows or permit the borrowers
to repay at their election. The degree to which borrowers repay cannot be predicted
with accuracy. As a result, remaining maturities of senior loans may be less than the stated
maturities. Generally, the Fund is contractually obligated to receive approval from
the agent bank and/or borrower prior to the disposition of a senior loan.
|
(s)
|
The rate shown is the seven-day current annualized yield at May 31, 2024.
|
(t)
|
As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of
the holdings and transactions in these affiliated companies during the period ended
May 31, 2024 are as follows:
|
Affiliated issuers
|
Beginning
of period($)
|
Purchases($)
|
Sales($)
|
Net change in
unrealized
appreciation
(depreciation)($)
|
End of
period($)
|
Realized gain
(loss)($)
|
Dividends($)
|
End of
period shares
|
Columbia Short-Term Cash Fund, 5.547%
|
||||||||
|
208,710,318
|
279,129,063
|
(330,643,456
)
|
(8,270
)
|
157,187,655
|
16,984
|
5,943,037
|
157,219,099
|
Abbreviation Legend
BAM
|
Build America Mutual Assurance Co.
|
BNY
|
Bank of New York
|
CMO
|
Collateralized Mortgage Obligation
|
CVR
|
Contingent Value Rights
|
FGIC
|
Financial Guaranty Insurance Corporation
|
FHLMC
|
Federal Home Loan Mortgage Corporation
|
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
|
Multi-Manager Alternative Strategies Fund | 2024
41
Consolidated Portfolio of Investments (continued)
Multi-Manager Alternative Strategies Fund, May 31, 2024 (Unaudited)
Currency Legend (continued)
CHF
|
Swiss Franc
|
CLP
|
Chilean Peso
|
CNH
|
Yuan Offshore Renminbi
|
COP
|
Colombian Peso
|
EUR
|
Euro
|
GBP
|
British Pound
|
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
|
THB
|
Thai Baht
|
TRY
|
Turkish Lira
|
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 | 2024