UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22743
Blackstone Alternative Investment Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
28th Floor
New York, NY 10154
(Address of Principal Executive Offices)
Registrant’s telephone number, including area code: (212) 583-5000
Peter Koffler, Esq.
c/o Blackstone Alternative Investment Advisors LLC
345 Park Avenue
28th Floor
New York, NY 10154
(Name and Address of Agent for Service)
With a copy to:
James E. Thomas, Esq.
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199-3600
Date of fiscal year end: March 31
Date of reporting period: September 30, 2013
Item 1. Reports to Stockholders.
The Report to Stockholders is attached hereto.
Blackstone
Blackstone Alternative Multi-Manager Fund
a series of Blackstone Alternative Investment Funds
Semi-Annual Report (Unaudited)
For the Period Ended September 30, 2013
1 | ||||
5 | ||||
77 | ||||
78 | ||||
79 | ||||
80 | ||||
81 | ||||
82 | ||||
105 | ||||
106 |
Blackstone Alternative Multi-Manager Fund and Subsidiaries
September 30, 2013
Geographic Breakdown | Percentage of Total Net Assets | |||
United States | 56.3 | % | ||
Cayman Islands | 4.0 | |||
Bermuda | 1.3 | |||
Netherlands | 1.2 | |||
Brazil | 1.1 | |||
United Kingdom | 1.1 | |||
Japan | 1.0 | |||
Sweden | 0.9 | |||
Canada | 0.8 | |||
Ireland | 0.7 | |||
Finland | 0.7 | |||
France | 0.6 | |||
Switzerland | 0.6 | |||
Luxembourg | 0.5 | |||
Puerto Rico | 0.4 | |||
Belgium | 0.3 | |||
China | 0.3 | |||
Germany | 0.3 | |||
Denmark | 0.2 | |||
Hong Kong | 0.2 | |||
Mexico | 0.2 | |||
Norway | 0.2 | |||
Republic of Korea | 0.2 | |||
Spain | 0.2 | |||
Chile | 0.1 | |||
Greece | 0.1 | |||
Italy | 0.1 | |||
Nigeria | 0.1 | |||
Poland | 0.1 | |||
Singapore | 0.1 | |||
Bahamas | 0.0 | 1 | ||
Columbia | 0.0 | 1 | ||
Curacao | 0.0 | 1 | ||
India | 0.0 | 1 | ||
Israel | 0.0 | 1 | ||
Peru | 0.0 | 1 | ||
Russia | 0.0 | 1 | ||
South Africa | 0.0 | 1 | ||
Taiwan | 0.0 | 1 | ||
Other | 2.7 | 2 | ||
Securities Sold Short | (16.6 | ) | ||
Other Assets and Liabilties | 40.0 | |||
|
| |||
Total | 100.0 | % | ||
|
|
1 | Represents less than 0.01%. |
2 | Includes Foreign Government, U.S. Treasury Notes, Exchange-Traded Funds and Purchased Options. |
See Notes to Consolidated Financial Statements.
1
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Summary Tables (Continued) (Unaudited)
September 30, 2013
Portfolio Composition | Percentage of Total Net Assets | |||
Common Stock | 32.9 | % | ||
Corporate Bonds & Notes | 23.1 | % | ||
Mortgage-Backed Securities | 6.9 | % | ||
U.S. Government Sponsored Agency Securities | 3.0 | % | ||
Investment in Investee Fund | 2.4 | % | ||
Bank Loans | 1.9 | % | ||
Trade Claims | 1.8 | % | ||
Foreign Government | 1.7 | % | ||
Convertible Bonds | 1.6 | % | ||
U.S. Treasury Notes | 0.5 | % | ||
Asset-Backed Securities | 0.2 | % | ||
Exchange-Traded Funds | 0.2 | % | ||
Preferred Stock | 0.1 | % | ||
Other1 | 0.3 | % | ||
Securities Sold Short | (16.6 | )% | ||
Other Assets | 40.0 | % | ||
|
| |||
Total | 100.0 | % | ||
|
|
1 | Includes Purchased Options. |
Credit Quality Allocation2 | Percentage of Total Investments in Securities | |||
AAA/Aaa3 | 4.5 | % | ||
A | 1.4 | |||
BBB/Baa | 2.3 | |||
BB/Ba | 3.6 | |||
B | 9.2 | |||
CCC/Caa | 9.3 | |||
Ca | 0.1 | |||
D | 0.6 | |||
Not Rated | 22.1 | |||
Other4 | 46.9 | |||
|
| |||
Total Investments in Securities | 100.0 | % | ||
|
|
2 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
3 | Includes U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations which are deemed AAA/Aaa by the investment advisor. |
4 | Includes Common Stock, Preferred Stock, Exchange-Traded Funds, Investment in Investee Fund and Purchased Options. |
Industry Allocation | Percentage of Total Net Assets | |||
Financial | 18.7 | % | ||
Pharmaceuticals | 4.4 | |||
Insurance | 2.9 | |||
Consumer, Cyclical | 2.8 | |||
Communications | 2.5 | |||
Commercial Banks | 2.4 | |||
Health Care Equipment & Supplies | 2.2 | |||
Diversified Financial Services | 1.6 | |||
Energy | 1.6 | |||
Biotechnology | 1.5 | |||
Consumer, Non-cyclical | 1.4 | |||
Capital Markets | 1.3 | |||
Life Sciences Tools & Services | 1.2 | |||
Health Care Providers & Services | 1.2 | |||
Real Estate Investment Trusts (REITs) | 1.1 | |||
Oil, Gas & Consumable Fuels | 1.0 | |||
Hotels, Restaurants & Leisure | 0.9 | |||
Household Products | 0.9 |
See Notes to Consolidated Financial Statements.
2
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Summary Tables (Continued) (Unaudited)
September 30, 2013
Industry Allocation | Percentage of Total Net Assets | |||
Internet Software & Services | 0.8 | |||
Real Estate Management & Development | 0.8 | |||
Beverages | 0.7 | |||
Thrifts & Mortgage Finance | 0.7 | |||
Media | 0.6 | |||
Industrial | 0.6 | |||
Technology | 0.5 | |||
Tobacco | 0.5 | |||
Specialty Retail | 0.5 | |||
Trading Companies & Distributors | 0.5 | |||
Chemicals | 0.5 | |||
Airlines | 0.3 | |||
Automobiles | 0.3 | |||
Transportation Infrastructure | 0.3 | |||
Communications Equipment | 0.3 | |||
Semiconductors & Semiconductor Equipment | 0.3 | |||
Software | 0.3 | |||
Food Products | 0.3 | |||
Road & Rail | 0.2 | |||
Internet & Catalog Retail | 0.2 | |||
IT Services | 0.2 | |||
Auto Components | 0.2 | |||
Basic Materials | 0.2 | |||
Electronic Equipment, Instruments & Components | 0.2 | |||
Utilities | 0.2 | |||
Aerospace & Defense | 0.1 | |||
Containers & Packaging | 0.1 | |||
Food & Staples Retailing | 0.1 | |||
Industrial Conglomerates | 0.1 | |||
Building Products | 0.1 | |||
Wireless Telecommunication Services | 0.1 | |||
Energy Equipment & Services | 0.1 | |||
Multiline Retail | 0.1 | |||
Computers & Peripherals | 0.1 | |||
Metals & Mining | 0.1 | |||
Commercial Services & Supplies | 0.1 | |||
Construction & Engineering | 0.1 | |||
Diversified Telecommunication Services | 0.1 | |||
Textiles, Apparel & Luxury Goods | 0.1 | |||
Paper & Forest Products | 0.1 | |||
Machinery | 0.0 | 1 | ||
Professional Services | 0.0 | 1 | ||
Air Freight & Logistics | 0.0 | 1 | ||
Diversified Consumer Services | 0.0 | 1 | ||
Marine | 0.0 | 1 |
See Notes to Consolidated Financial Statements.
3
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Summary Tables (Continued) (Unaudited)
September 30, 2013
Industry Allocation | Percentage of Total Net Assets | |||
Personal Products | 0.0 | 1 | ||
Electric Utilities | 0.0 | 1 | ||
Electrical Equipment | 0.0 | 1 | ||
Gas Utilities | 0.0 | 1 | ||
Leisure Equipment & Products | 0.0 | 1 | ||
Construction Materials | 0.0 | 1 | ||
Distributors | 0.0 | 1 | ||
Household Durables | 0.0 | 1 | ||
Other | 15.2 | 2 | ||
Securities Sold Short | (16.6 | ) | ||
Other Assets and Liabilities | 40.0 | |||
|
| |||
Total Investments | 100.0 | % | ||
|
|
1 | Represents less than 0.01%. |
2 | Includes Asset-Backed Securities, Foreign Government, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, U.S. Treasury Notes, Exchange-Traded Funds, Investment in Investee Fund and Purchased Options. |
See Notes to Consolidated Financial Statements.
4
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
COMMON STOCK — 32.9% | ||||||||||
Bahamas — 0.0% | ||||||||||
Marine — 0.0% | ||||||||||
Ultrapetrol Bahamas Ltd. (a),(d) | 1,300 | $ | 4,862 | |||||||
|
| |||||||||
Total Bahamas | 4,862 | |||||||||
|
| |||||||||
Belgium — 0.3% | ||||||||||
Beverages — 0.1% | ||||||||||
Anheuser-Busch InBev NV | 10,048 | 996,739 | ||||||||
|
| |||||||||
Insurance — 0.2% | ||||||||||
Ageas | 45,119 | 1,828,279 | ||||||||
|
| |||||||||
Total Belgium | 2,825,018 | |||||||||
|
| |||||||||
Bermuda — 0.4% | ||||||||||
Energy Equipment & Services — 0.1% | ||||||||||
Seadrill Ltd. (d) | 20,300 | 915,124 | ||||||||
|
| |||||||||
Hotels, Restaurants & Leisure — 0.0% | ||||||||||
Orient-Express Hotels Ltd. A Shares (a),(d) | 16,300 | 211,574 | ||||||||
|
| |||||||||
Insurance — 0.3% | ||||||||||
Aspen Insurance Holdings Ltd. (d) | 13,800 | 500,802 | ||||||||
Assured Guaranty Ltd. (b),(d) | 137,637 | 2,580,694 | ||||||||
Tower Group International Ltd. | 100 | 700 | ||||||||
|
| |||||||||
3,082,196 | ||||||||||
|
| |||||||||
IT Services — 0.0% | ||||||||||
Genpact Ltd. (a),(d) | 500 | 9,440 | ||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Teekay Corp. (d) | 1,000 | 42,750 | ||||||||
|
| |||||||||
Total Bermuda | 4,261,084 | |||||||||
|
| |||||||||
Brazil — 0.2% | ||||||||||
Electric Utilities — 0.0% | ||||||||||
Cia Energetica de Minas Gerais ADR (d) | 1,500 | 12,960 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Brasil Insurance Participacoes e Administracao SA | 93,200 | 836,836 | ||||||||
|
| |||||||||
Metals & Mining — 0.1% | ||||||||||
Vale SA ADR | 44,264 | 690,961 | ||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Cosan Ltd. A Shares | 28,555 | 438,891 | ||||||||
|
| |||||||||
Total Brazil | 1,979,648 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
5
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Canada — 0.3% | ||||||||||
Communications Equipment — 0.0% | ||||||||||
Sierra Wireless, Inc. (a),(d) | 300 | $ | 4,911 | |||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — 0.0% |
| |||||||||
Celestica, Inc. (a),(d) | 1,600 | 17,648 | ||||||||
|
| |||||||||
Food Products — 0.0% | ||||||||||
SunOpta, Inc. (a),(d) | 1,000 | 9,720 | ||||||||
|
| |||||||||
Life Sciences Tools & Services — 0.0% | ||||||||||
Nordion, Inc. (a),(b),(d) | 6,100 | 52,643 | ||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Dominion Diamond Corp. (a),(d) | 1,200 | 14,628 | ||||||||
Nevsun Resources Ltd. (d) | 4,400 | 13,948 | ||||||||
Yamana Gold, Inc. (d) | 5,600 | 58,240 | ||||||||
|
| |||||||||
86,816 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Gran Tierra Energy, Inc. (a),(b),(d) | 37,500 | 265,875 | ||||||||
|
| |||||||||
Paper & Forest Products — 0.0% | ||||||||||
Domtar Corp. (d) | 1,800 | 142,956 | ||||||||
|
| |||||||||
Thrifts & Mortgage Finance — 0.3% | ||||||||||
Home Capital Group, Inc. | 37,000 | 2,587,360 | ||||||||
|
| |||||||||
Trading Companies & Distributors — 0.0% | ||||||||||
MFC Industrial Ltd. (d) | 100 | 840 | ||||||||
|
| |||||||||
Total Canada | 3,168,769 | |||||||||
|
| |||||||||
Cayman Islands — 0.0% | ||||||||||
Electronic Equipment, Instruments & Components — 0.0% |
| |||||||||
Fabrinet (a),(d) | 2,600 | 43,784 | ||||||||
|
| |||||||||
Total Cayman Islands | 43,784 | |||||||||
|
| |||||||||
Chile — 0.1% | ||||||||||
Capital Markets — 0.1% | ||||||||||
Administradora de Fondos de Pensiones Provida SA ADR (b),(d) | 3,300 | 273,669 | ||||||||
|
| |||||||||
Real Estate Management & Development — 0.0% | ||||||||||
Parque Arauco SA | 82,898 | 158,925 | ||||||||
|
| |||||||||
Total Chile | 432,594 | |||||||||
|
| |||||||||
China — 0.3% | ||||||||||
Biotechnology — 0.0% | ||||||||||
Sinovac Biotech Ltd. (a),(d) | 1,300 | 7,774 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
6
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Chemicals — 0.0% | ||||||||||
Yongye International, Inc. (a),(d) | 1,200 | $ | 7,428 | |||||||
|
| |||||||||
Communications Equipment — 0.0% | ||||||||||
UTStarcom Holdings Corp. (a),(d) | 900 | 2,475 | ||||||||
|
| |||||||||
Diversified Consumer Services — 0.0% | ||||||||||
TAL Education Group ADR (d) | 300 | 4,350 | ||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
Lihua International, Inc. (a),(d) | 1,800 | 8,964 | ||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — 0.0% |
| |||||||||
NAM TAI Electronics, Inc. (b),(d) | 5,200 | 40,404 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
CNINSURE, Inc. ADR (a),(d) | 300 | 1,575 | ||||||||
|
| |||||||||
Internet & Catalog Retail — 0.0% | ||||||||||
Ctrip.com International Ltd. ADR (a),(d) | 600 | 35,058 | ||||||||
|
| |||||||||
Internet Software & Services — 0.3% | ||||||||||
Forgame Holdings Ltd. (a) | 3,800 | 24,987 | ||||||||
NetEase, Inc. ADR (b),(d) | 2,200 | 159,742 | ||||||||
Phoenix New Media Ltd. ADR (a),(b),(d) | 7,100 | 79,875 | ||||||||
Qihoo 360 Technology Co. Ltd. ADR (a),(b),(d) | 23,600 | 1,963,520 | ||||||||
Sohu.com, Inc. (a),(b),(d) | 1,000 | 78,830 | ||||||||
SouFun Holdings Ltd. ADR (d) | 4,000 | 206,560 | ||||||||
|
| |||||||||
2,513,514 | ||||||||||
|
| |||||||||
IT Services — 0.0% | ||||||||||
iSoftStone Holdings Ltd. ADR (a),(d) | 4,900 | 24,108 | ||||||||
|
| |||||||||
Life Sciences Tools & Services — 0.0% | ||||||||||
WuXi PharmaTech Cayman, Inc. ADR (a),(d) | 1,300 | 35,620 | ||||||||
|
| |||||||||
Real Estate Management & Development — 0.0% | ||||||||||
Xinyuan Real Estate Co. ADR (b),(d) | 23,900 | 143,639 | ||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.0% |
| |||||||||
Jinksolar Holding Co. ADR (a),(d) | 3,700 | 83,435 | ||||||||
ReneSola Ltd. ADR (a),(d) | 3,200 | 15,968 | ||||||||
Trina Solar Ltd. ADR (a),(b),(d) | 8,600 | 132,956 | ||||||||
|
| |||||||||
232,359 | ||||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
AsiaInfo-Linkage, Inc. (a),(d) | 100 | 1,154 | ||||||||
Changyou.com Ltd. ADR (a),(d) | 400 | 14,208 | ||||||||
Giant Interactive Group, Inc. ADR (d) | 3,700 | 33,744 |
See Notes to Consolidated Financial Statements.
7
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
NQ Mobile, Inc. ADR (a),(b),(d) | 9,300 | $ | 202,647 | |||||||
Perfect World Co. Ltd. ADR (b),(d) | 6,300 | 125,370 | ||||||||
Shanda Games Ltd. ADR (a),(d) | 8,500 | 33,235 | ||||||||
|
| |||||||||
410,358 | ||||||||||
|
| |||||||||
Total China | 3,467,626 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Pacific Rubiales Energy Corp. | 14,780 | 291,855 | ||||||||
|
| |||||||||
Total Columbia | 291,855 | |||||||||
|
| |||||||||
Curacao — 0.0% | ||||||||||
Health Care Equipment & Supplies — 0.0% | ||||||||||
Orthofix International NV (a),(d) | 900 | 18,774 | ||||||||
|
| |||||||||
Total Curacao | 18,774 | |||||||||
|
| |||||||||
Denmark — 0.2% | ||||||||||
Commercial Banks — 0.2% | ||||||||||
Jyske Bank A/S (a) | 32,329 | 1,607,578 | ||||||||
|
| |||||||||
Total Denmark | 1,607,578 | |||||||||
|
| |||||||||
France — 0.3% | ||||||||||
Commercial Banks — 0.3% | ||||||||||
BNP Paribas SA | 39,421 | 2,666,613 | ||||||||
|
| |||||||||
Total France | 2,666,613 | |||||||||
|
| |||||||||
Germany — 0.2% | ||||||||||
Automobiles — 0.0% | ||||||||||
Volkswagen AG (d) | 1,712 | 388,377 | ||||||||
|
| |||||||||
Real Estate Management & Development — 0.1% | ||||||||||
Deutsche Wohnen AG | 13,555 | 242,565 | ||||||||
GSW Immobilien AG | 5,075 | 222,964 | ||||||||
LEG Immobilien AG | 13,040 | 749,097 | ||||||||
|
| |||||||||
1,214,626 | ||||||||||
|
| |||||||||
Trading Companies & Distributors — 0.1% | ||||||||||
Brenntag AG | 1,368 | 227,739 | ||||||||
|
| |||||||||
Total Germany | 1,830,742 | |||||||||
|
| |||||||||
Greece — 0.0% | ||||||||||
Marine — 0.0% | ||||||||||
Diana Shipping, Inc. (a),(d) | 1,200 | 14,484 | ||||||||
Navios Maritime Holdings, Inc. (d) | 800 | 5,696 | ||||||||
Navios Maritime Partners LP (d) | 200 | 2,928 | ||||||||
Safe Bulkers, Inc. (d) | 10,400 | 70,720 | ||||||||
|
| |||||||||
93,828 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
8
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||
Capital Product Partners LP (d) | 4,800 | $ | 43,200 | |||||||
StealthGas, Inc. (a),(d) | 600 | 5,484 | ||||||||
|
| |||||||||
48,684 | ||||||||||
|
| |||||||||
Total Greece | 142,512 | |||||||||
|
| |||||||||
Hong Kong — 0.2% | ||||||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||||
Melco Crown Entertainment Ltd. ADR (a),(b),(d) | 27,200 | 865,776 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
AIA Group Ltd. | 345,000 | 1,623,422 | ||||||||
|
| |||||||||
Total Hong Kong | 2,489,198 | |||||||||
|
| |||||||||
India — 0.0% | ||||||||||
IT Services — 0.0% | ||||||||||
WNS Holdings Ltd. ADR (a),(d) | 200 | 4,244 | ||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Sesa Goa Ltd. ADR (a),(b) | 1,620 | 18,257 | ||||||||
|
| |||||||||
Total India | 22,501 | |||||||||
|
| |||||||||
Ireland — 0.3% | ||||||||||
Biotechnology — 0.0% | ||||||||||
Elan Corp. PLC ADR (a),(b),(d) | 15,700 | 244,606 | ||||||||
|
| |||||||||
Computers & Peripherals — 0.0% | ||||||||||
Seagate Technology PLC (d) | 4,200 | 183,708 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
XL Group PLC | 28,700 | 884,534 | ||||||||
|
| |||||||||
Life Sciences Tools & Services — 0.0% | ||||||||||
ICON PLC (a),(d) | 3,400 | 139,162 | ||||||||
|
| |||||||||
Pharmaceuticals — 0.2% | ||||||||||
Jazz Pharmaceuticals PLC (a),(d) | 1,100 | 101,167 | ||||||||
Warner Chilcott PLC Class A (b),(d) | 71,500 | 1,633,775 | ||||||||
|
| |||||||||
1,734,942 | ||||||||||
|
| |||||||||
Trading Companies & Distributors — 0.0% | ||||||||||
Fly Leasing Ltd. ADR (d) | 1,400 | 19,432 | ||||||||
|
| |||||||||
Total Ireland | 3,206,384 | |||||||||
|
| |||||||||
Israel — 0.0% | ||||||||||
Communications Equipment — 0.0% | ||||||||||
Audiocodes Ltd. (a),(d) | 5,500 | 38,500 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
9
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Electronic Equipment, Instruments & Components — 0.0% |
| |||||||||
Orbotech Ltd. (a),(d) | 200 | $ | 2,398 | |||||||
|
| |||||||||
Health Care Equipment & Supplies — 0.0% | ||||||||||
Given Imaging Ltd. (a),(d) | 400 | 7,692 | ||||||||
Syneron Medical Ltd. (a),(d) | 100 | 862 | ||||||||
|
| |||||||||
8,554 | ||||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.0% |
| |||||||||
Nova Measuring Instruments Ltd. (a),(d) | 300 | 2,661 | ||||||||
|
| |||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||
Cellcom Israel Ltd. (a),(d) | 600 | 6,630 | ||||||||
Partner Communications Co. Ltd. ADR (d) | 1,600 | 12,624 | ||||||||
|
| |||||||||
19,254 | ||||||||||
|
| |||||||||
Total Israel | 71,367 | |||||||||
|
| |||||||||
Italy — 0.1% | ||||||||||
Capital Markets — 0.1% | ||||||||||
Banca Generali SpA | 46,086 | 1,042,365 | ||||||||
|
| |||||||||
Total Italy | 1,042,365 | |||||||||
|
| |||||||||
Japan — 1.0% | ||||||||||
Capital Markets — 0.1% | ||||||||||
Ichiyoshi Securities Co. Ltd. | 69,100 | 1,022,363 | ||||||||
|
| |||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||||
Olympus Corp. (a),(c),(j) | 161,296 | 4,926,985 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Tokio Marine Holdings, Inc. | 31,800 | 1,042,564 | ||||||||
|
| |||||||||
Tobacco — 0.3% | ||||||||||
Japan Tobacco, Inc. (c),(j) | 104,986 | 3,784,718 | ||||||||
|
| |||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||
NTT DOCOMO, Inc. ADR (d) | 100 | 1,622 | ||||||||
|
| |||||||||
Total Japan | 10,778,252 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Real Estate Management & Development — 0.1% | ||||||||||
Altisource Portfolio Solutions SA (a) | 200 | 28,002 | ||||||||
GAGFAH SA (a) | 82,279 | 1,071,443 | ||||||||
|
| |||||||||
Total Luxembourg | 1,099,445 | |||||||||
|
| |||||||||
Mexico — 0.2% | ||||||||||
Commercial Banks — 0.0% | ||||||||||
Grupo Financiero Banorte SAB de CV O Shares | 14,876 | 92,885 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
10
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Hotels, Restaurants & Leisure — 0.0% | ||||||||||
Hoteles City Express SAB de CV (a) | 142,586 | $ | 230,499 | |||||||
|
| |||||||||
Multiline Retail — 0.0% | ||||||||||
Grupo Sanborns SA de CV | 107,876 | 223,260 | ||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||
Fibra Uno Administracion SA de CV | 31,397 | 86,975 | ||||||||
Mexico Real Estate Management SA de CV | 184,555 | 314,559 | ||||||||
TF Administradora Industrial S de RL de CV | 169,567 | 336,038 | ||||||||
|
| |||||||||
737,572 | ||||||||||
|
| |||||||||
Real Estate Management & Development — 0.0% | ||||||||||
Corp. Inmobiliaria Vesta SAB de CV | 215,300 | 397,884 | ||||||||
|
| |||||||||
Transportation Infrastructure — 0.1% | ||||||||||
OHL Mexico SAB de CV (a) | 239,153 | 631,249 | ||||||||
|
| |||||||||
Total Mexico | 2,313,349 | |||||||||
|
| |||||||||
Netherlands — 0.9% | ||||||||||
Diversified Financial Services — 0.2% | ||||||||||
ING Groep NV CVA (a),(d) | 195,553 | 2,218,936 | ||||||||
|
| |||||||||
Diversified Telecommunication Services — 0.1% | ||||||||||
Ziggo NV | 13,270 | 537,730 | ||||||||
|
| |||||||||
Energy Equipment & Services — 0.0% | ||||||||||
Frank’s International NV (a) | 100 | 2,993 | ||||||||
|
| |||||||||
Health Care Equipment & Supplies — 0.0% | ||||||||||
Tornier NV (a),(d) | 400 | 7,732 | ||||||||
|
| |||||||||
Insurance — 0.2% | ||||||||||
Delta Lloyd NV | 118,329 | 2,520,455 | ||||||||
|
| |||||||||
IT Services — 0.0% | ||||||||||
InterXion Holding NV (a),(d) | 1,000 | 22,240 | ||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
CNH Industrial NV (d) | 766 | 9,570 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
AVG Technologies NV (a),(d) | 2,700 | 64,638 | ||||||||
|
| |||||||||
Trading Companies & Distributors — 0.4% | ||||||||||
AerCap Holdings NV (a) | 223,556 | 4,350,400 | ||||||||
|
| |||||||||
Total Netherlands | 9,734,694 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
11
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Norway — 0.2% | ||||||||||
Commercial Banks — 0.2% | ||||||||||
DNB ASA | 99,625 | $ | 1,512,888 | |||||||
|
| |||||||||
Total Norway | 1,512,888 | |||||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
Metals & Mining — 0.0% | ||||||||||
Cia de Minas Buenaventura SAA ADR (d) | 1,400 | 16,394 | ||||||||
|
| |||||||||
Total Peru | 16,394 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
Commercial Banks — 0.1% | ||||||||||
Alior Bank SA (a) | 48,061 | 1,384,471 | ||||||||
|
| |||||||||
Total Poland | 1,384,471 | |||||||||
|
| |||||||||
Puerto Rico — 0.4% | ||||||||||
Commercial Banks — 0.4% | ||||||||||
First BanCorp (a) | 320,322 | 1,819,429 | ||||||||
OFG Bancorp | 60,820 | 984,676 | ||||||||
Popular, Inc. (a) | 29,190 | 765,653 | ||||||||
|
| |||||||||
3,569,758 | ||||||||||
|
| |||||||||
Health Care Providers & Services — 0.0% | ||||||||||
Triple-S Management Corp. B Shares (a),(d) | 600 | 11,034 | ||||||||
|
| |||||||||
Total Puerto Rico | 3,580,792 | |||||||||
|
| |||||||||
Republic of Korea — 0.2% | ||||||||||
Automobiles — 0.1% | ||||||||||
Hyundai Motor Co. | 2,714 | 633,212 | ||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||||
Magnachip Semiconductor Corp. (a),(d) | 2,200 | 47,366 | ||||||||
Samsung Electronics Co. Ltd. | 874 | 1,111,722 | ||||||||
|
| |||||||||
1,159,088 | ||||||||||
|
| |||||||||
Total Republic of Korea | 1,792,300 | |||||||||
|
| |||||||||
Russia — 0.0% | ||||||||||
Media — 0.0% | ||||||||||
CTC Media, Inc. (d) | 5,700 | 59,907 | ||||||||
|
| |||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||
Mobile Telesystems OJSC ADR (a),(d) | 2,800 | 62,328 | ||||||||
|
| |||||||||
Total Russia | 122,235 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
12
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Singapore — 0.1% | ||||||||||
Electronic Equipment, Instruments & Components — 0.0% |
| |||||||||
Flextronics International Ltd. (a),(d) | 6,100 | $ | 55,449 | |||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
China Yuchai International Ltd. (d) | 1,100 | 26,147 | ||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||
Ascendas Real Estate Investment Trust | 26,444 | 48,115 | ||||||||
CapitaCommercial Trust | 87,522 | 101,049 | ||||||||
CapitaMall Trust | 30,906 | 48,288 | ||||||||
CDL Hospitality Trusts | 38,633 | 50,148 | ||||||||
Mapletree Logistics Trust | 57,500 | 49,087 | ||||||||
Suntec Real Estate Investment Trust | 38,937 | 50,717 | ||||||||
|
| |||||||||
347,404 | ||||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.0% |
| |||||||||
Kulicke & Soffa Industries, Inc. (a),(d) | 9,600 | 110,880 | ||||||||
|
| |||||||||
Total Singapore | 539,880 | |||||||||
|
| |||||||||
South Africa — 0.0% | ||||||||||
Metals & Mining — 0.0% | ||||||||||
Gold Fields Ltd. ADR (d) | 5,600 | 25,592 | ||||||||
Harmony Gold Mining Co. Ltd. ADR (b),(d) | 16,900 | 57,122 | ||||||||
|
| |||||||||
82,714 | ||||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
Net 1 UEPS Technologies, Inc. (a),(d) | 2,700 | 32,427 | ||||||||
|
| |||||||||
Total South Africa | 115,141 | |||||||||
|
| |||||||||
Spain — 0.2% | ||||||||||
Insurance — 0.1% | ||||||||||
Mapfre SA | 285,793 | 1,023,026 | ||||||||
|
| |||||||||
Transportation Infrastructure — 0.1% | ||||||||||
Abertis Infraestructuras SA | 54,383 | 1,056,943 | ||||||||
|
| |||||||||
Total Spain | 2,079,969 | |||||||||
|
| |||||||||
Sweden — 0.9% | ||||||||||
Commercial Services & Supplies — 0.0% | ||||||||||
Securitas AB B Shares | 18,574 | 212,093 | ||||||||
|
| |||||||||
Household Products — 0.9% | ||||||||||
Svenska Cellulosa AB B Shares (c) | 358,195 | 9,026,244 | ||||||||
|
| |||||||||
Total Sweden | 9,238,337 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
13
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Switzerland — 0.6% | ||||||||||
Capital Markets — 0.2% | ||||||||||
Julius Baer Group Ltd. | 35,321 | $ | 1,649,254 | |||||||
|
| |||||||||
Construction & Engineering — 0.0% | ||||||||||
Foster Wheeler AG (a),(d) | 8,500 | 223,890 | ||||||||
|
| |||||||||
Pharmaceuticals — 0.3% | ||||||||||
Roche Holding AG (c) | 11,306 | 3,051,189 | ||||||||
|
| |||||||||
Specialty Retail — 0.0% | ||||||||||
Dufry AG (a) | 1,768 | 266,082 | ||||||||
|
| |||||||||
Transportation Infrastructure — 0.1% | ||||||||||
Flughafen Zuerich AG | 2,802 | 1,476,517 | ||||||||
|
| |||||||||
Total Switzerland | 6,666,932 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
Semiconductors & Semiconductor Equipment — 0.0% |
| |||||||||
ChipMOS Technologies Bermuda Ltd. (d) | 300 | 5,394 | ||||||||
Silicon Motion Technology Corp. ADR (d) | 300 | 3,918 | ||||||||
|
| |||||||||
Total Taiwan | 9,312 | |||||||||
|
| |||||||||
United Kingdom — 0.9% | ||||||||||
Commercial Banks — 0.1% | ||||||||||
Standard Chartered PLC | 59,677 | 1,429,725 | ||||||||
|
| |||||||||
Computers & Peripherals — 0.0% | ||||||||||
Xyratex Ltd. (d) | 1,200 | 13,356 | ||||||||
|
| |||||||||
Insurance — 0.3% | ||||||||||
Direct Line Insurance Group PLC | 304,225 | 1,050,032 | ||||||||
St James’s Place PLC | 244,854 | 2,436,350 | ||||||||
|
| |||||||||
3,486,382 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||
BP PLC ADR (b),(d) | 33,700 | 1,416,411 | ||||||||
|
| |||||||||
Pharmaceuticals — 0.2% | ||||||||||
AstraZeneca PLC ADR (b),(d) | 23,400 | 1,215,162 | ||||||||
GlaxoSmithKline PLC ADR (b),(d) | 4,500 | 225,765 | ||||||||
|
| |||||||||
1,440,927 | ||||||||||
|
| |||||||||
Real Estate Management & Development — 0.1% | ||||||||||
Countrywide PLC | 114,119 | 969,924 | ||||||||
|
| |||||||||
Specialty Retail — 0.0% | ||||||||||
Kingfisher PLC | 26,448 | 165,216 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
14
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Tobacco — 0.0% | ||||||||||
British American Tobacco PLC ADR (b),(d) | 1,100 | $ | 115,665 | |||||||
|
| |||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Vodafone Group PLC ADR (b),(d) | 21,400 | 752,852 | ||||||||
|
| |||||||||
Total United Kingdom | 9,790,458 | |||||||||
|
| |||||||||
United States — 24.2% | ||||||||||
Aerospace & Defense — 0.1% | ||||||||||
AAR Corp. (d) | 200 | 5,466 | ||||||||
American Science & Engineering, Inc. (d) | 400 | 24,124 | ||||||||
Esterline Technologies Corp. (a),(d) | 600 | 47,934 | ||||||||
Exelis, Inc. (b),(d) | 24,200 | 380,182 | ||||||||
GenCorp, Inc. (a),(d) | 800 | 12,824 | ||||||||
HEICO Corp. (d) | 100 | 6,774 | ||||||||
Hexcel Corp. (a),(d) | 3,400 | 131,920 | ||||||||
Orbital Sciences Corp. (a),(d) | 3,800 | 80,484 | ||||||||
Spirit Aerosystems Holdings, Inc. Class A (a),(d) | 11,600 | 281,184 | ||||||||
Taser International, Inc. (a),(d) | 200 | 2,982 | ||||||||
TransDigm Group, Inc. (d) | 3,200 | 443,840 | ||||||||
|
| |||||||||
1,417,714 | ||||||||||
|
| |||||||||
Air Freight & Logistics — 0.0% | ||||||||||
Air Transport Services Group, Inc. (a),(d) | 3,300 | 24,717 | ||||||||
Atlas Air Worldwide Holdings, Inc. (a),(d) | 3,600 | 165,996 | ||||||||
Pacer International, Inc. (a),(d) | 800 | 4,952 | ||||||||
|
| |||||||||
195,665 | ||||||||||
|
| |||||||||
Airlines — 0.4% | ||||||||||
Delta Air Lines, Inc. (b) | 29,800 | 702,982 | ||||||||
Hawaiian Holdings, Inc. (a),(d) | 800 | 5,952 | ||||||||
Republic Airways Holdings, Inc. (a),(d) | 700 | 8,330 | ||||||||
SkyWest, Inc. (d) | 100 | 1,452 | ||||||||
Spirit Airlines, Inc. (a),(b),(d) | 14,738 | 505,071 | ||||||||
United Continental Holdings, Inc. (a),(b),(d) | 50,500 | 1,550,855 | ||||||||
US Airways Group, Inc. (a),(b),(d) | 46,800 | 887,328 | ||||||||
|
| |||||||||
3,661,970 | ||||||||||
|
| |||||||||
Auto Components — 0.2% | ||||||||||
American Axle & Manufacturing Holdings, Inc. (a),(d) | 4,500 | 88,740 | ||||||||
Gentex Corp. (d) | 1,300 | 33,267 | ||||||||
Goodyear Tire & Rubber Co. (The) (a),(b),(d) | 16,100 | 361,445 | ||||||||
Modine Manufacturing Co. (a),(d) | 1,000 | 14,630 | ||||||||
Stoneridge, Inc. (a),(d) | 400 | 4,324 | ||||||||
Tower International, Inc. (a),(d) | 800 | 15,992 |
See Notes to Consolidated Financial Statements.
15
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
TRW Automotive Holdings Corp. (a),(b),(d) | 16,700 | $ | 1,190,877 | |||||||
Visteon Corp. (a),(d) | 5,300 | 400,892 | ||||||||
|
| |||||||||
2,110,167 | ||||||||||
|
| |||||||||
Automobiles — 0.2% | ||||||||||
Ford Motor Co. (d) | 3,600 | 60,732 | ||||||||
General Motors Co. (a),(b),(d) | 23,100 | 830,907 | ||||||||
Tesla Motors, Inc. (a),(b),(d) | 3,600 | 696,312 | ||||||||
|
| |||||||||
1,587,951 | ||||||||||
|
| |||||||||
Beverages — 0.6% | ||||||||||
Beam, Inc. (c),(d) | 79,283 | 5,125,646 | ||||||||
Coca-Cola Enterprises, Inc. | 30,971 | 1,245,344 | ||||||||
|
| |||||||||
6,370,990 | ||||||||||
|
| |||||||||
Biotechnology — 1.5% | ||||||||||
Alexion Pharmaceuticals, Inc. (a),(c) | 47,900 | 5,564,064 | ||||||||
Biogen Idec, Inc. (a),(d) | 1,900 | 457,444 | ||||||||
Biospecifics Technologies Corp. (a),(d) | 200 | 3,894 | ||||||||
Dyax Corp. (a),(b),(d) | 8,400 | 57,624 | ||||||||
Emergent Biosolutions, Inc. (a),(d) | 700 | 13,335 | ||||||||
Geron Corp. (a),(d) | 600 | 2,010 | ||||||||
Gilead Sciences, Inc. (a),(b),(c),(j) | 122,792 | 7,716,249 | ||||||||
Incyte Corp. Ltd. (a),(d) | 1,800 | 68,670 | ||||||||
Myriad Genetics, Inc. (a),(d) | 3,400 | 79,900 | ||||||||
NPS Pharmaceuticals, Inc. (a),(b),(d) | 18,500 | 588,485 | ||||||||
PDL BioPharma, Inc. (b),(d) | 84,600 | 674,262 | ||||||||
Pharmacyclics, Inc. (a),(d) | 1,100 | 152,262 | ||||||||
Repligen Corp. (a),(d) | 5,200 | 57,668 | ||||||||
Targacept, Inc. (a),(d) | 3,500 | 18,585 | ||||||||
|
| |||||||||
15,454,452 | ||||||||||
|
| |||||||||
Building Products — 0.1% | ||||||||||
Gibraltar Industries, Inc. (a),(d) | 100 | 1,426 | ||||||||
Insteel Industries, Inc. (d) | 300 | 4,830 | ||||||||
Masco Corp. (d) | 11,400 | 242,592 | ||||||||
Owens Corning (a),(b),(d) | 17,500 | 664,650 | ||||||||
PGT, Inc. (a),(d) | 400 | 3,964 | ||||||||
USG Corp. (a),(b),(d) | 15,300 | 437,274 | ||||||||
|
| |||||||||
1,354,736 | ||||||||||
|
| |||||||||
Capital Markets — 0.9% | ||||||||||
American Capital Ltd. (a),(b),(d) | 142,562 | 1,960,227 | ||||||||
Ameriprise Financial, Inc. | 17,410 | 1,585,703 | ||||||||
Apollo Global Management LLC (b),(d) | 3,200 | 90,432 | ||||||||
Ares Capital Corp. (d) | 24,000 | 414,960 |
See Notes to Consolidated Financial Statements.
16
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
BGC Partners, Inc. Class A (d) | 100 | $ | 565 | |||||||
BlackRock Kelso Capital Corp. (b),(d) | 17,200 | 163,228 | ||||||||
BlackRock, Inc. (b) | 3,407 | 922,002 | ||||||||
Calamos Asset Management, Inc. Class A (b),(d) | 6,600 | 65,934 | ||||||||
Cowen Group, Inc. Class A (a),(d) | 2,400 | 8,280 | ||||||||
Gladstone Capital Corp. (d) | 4,800 | 41,904 | ||||||||
Gladstone Investment Corp. (d) | 5,400 | 38,070 | ||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (d) | 400 | 4,560 | ||||||||
HFF, Inc. Class A (d) | 2,300 | 57,615 | ||||||||
Invesco Ltd. | 29,760 | 949,344 | ||||||||
KCAP Financial, Inc. (d) | 100 | 898 | ||||||||
LPL Financial Holdings, Inc. (d) | 36,164 | 1,385,443 | ||||||||
MCG Capital Corp. (d) | 15,300 | 77,112 | ||||||||
Medallion Financial Corp. (d) | 300 | 4,464 | ||||||||
MVC Capital, Inc. (d) | 3,300 | 43,098 | ||||||||
NGP Capital Resources Co. (d) | 300 | 2,229 | ||||||||
PennantPark Investment Corp. (d) | 6,600 | 74,316 | ||||||||
Solar Capital Ltd. (d) | 1,000 | 22,170 | ||||||||
WisdomTree Investments, Inc. (a),(b) | 154,893 | 1,798,308 | ||||||||
|
| |||||||||
9,710,862 | ||||||||||
|
| |||||||||
Chemicals — 0.5% | ||||||||||
A Schulman, Inc. (d) | 400 | 11,784 | ||||||||
Calgon Carbon Corp. (a),(d) | 200 | 3,798 | ||||||||
Chemtura Corp. (a),(d) | 300 | 6,897 | ||||||||
Cytec Industries, Inc. (d) | 100 | 8,136 | ||||||||
Innospec, Inc. (d) | 200 | 9,332 | ||||||||
Kraton Performance Polymers, Inc. (a),(d) | 2,500 | 48,975 | ||||||||
Monsanto Co. (b),(c),(j) | 44,700 | 4,665,339 | ||||||||
OM Group, Inc. (a),(d) | 1,700 | 57,426 | ||||||||
OMNOVA Solutions, Inc. (a),(d) | 1,000 | 8,550 | ||||||||
Quaker Chemical Corp. (d) | 500 | 36,525 | ||||||||
Westlake Chemical Corp. (b),(d) | 300 | 31,398 | ||||||||
WR Grace & Co. (a),(b),(d) | 1,800 | 157,320 | ||||||||
|
| |||||||||
5,045,480 | ||||||||||
|
| |||||||||
Commercial Banks — 1.2% | ||||||||||
1st United Bancorp Inc/Boca Raton (d) | 400 | 2,932 | ||||||||
Bank of Kentucky Financial Corp. (d) | 100 | 2,731 | ||||||||
BBCN Bancorp, Inc. (d) | 600 | 8,256 | ||||||||
Boston Private Financial Holdings, Inc. (b),(d) | 3,000 | 33,300 | ||||||||
CapitalSource, Inc. (d) | 24,200 | 287,496 | ||||||||
Central Pacific Financial Corp. (d) | 900 | 15,930 | ||||||||
CIT Group, Inc. (a),(d) | 4,900 | 238,973 | ||||||||
First Busey Corp. (d) | 100 | 521 |
See Notes to Consolidated Financial Statements.
17
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
First Interstate Bancsystem, Inc. (d) | 4,500 | $ | 108,675 | |||||||
First Republic Bank | 21,451 | 1,000,260 | ||||||||
Hanmi Financial Corp. (d) | 2,200 | 36,454 | ||||||||
Heritage Commerce Corp. (d) | 1,200 | 9,180 | ||||||||
Heritage Financial Corp. (d) | 100 | 1,552 | ||||||||
Intervest Bancshares Corp. (a),(d) | 200 | 1,586 | ||||||||
Macatawa Bank Corp. (a),(d) | 100 | 538 | ||||||||
MB Financial, Inc. (d) | 1,800 | 50,832 | ||||||||
Northrim BanCorp, Inc. (d) | 100 | 2,410 | ||||||||
Pacific Continental Corp. (d) | 100 | 1,311 | ||||||||
PacWest Bancorp (d) | 5,700 | 195,852 | ||||||||
PNC Financial Services Group, Inc. (The) (b) | 46,625 | 3,377,981 | ||||||||
PrivateBancorp, Inc. (d) | 100 | 2,140 | ||||||||
Regions Financial Corp. (d) | 7,000 | 64,820 | ||||||||
Southwest Bancorp, Inc. (a),(d) | 1,100 | 16,291 | ||||||||
StellarOne Corp. (d) | 1,700 | 38,250 | ||||||||
Sterling Bancorp (d) | 2,900 | 39,817 | ||||||||
Sterling Financial Corp. (b),(d) | 7,600 | 217,740 | ||||||||
SVB Financial Group (a),(d) | 200 | 17,274 | ||||||||
Synovus Financial Corp. (d) | 18,900 | 62,370 | ||||||||
Taylor Capital Group, Inc. (a),(d) | 900 | 19,935 | ||||||||
Umpqua Holdings Corp. (d) | 6,900 | 111,918 | ||||||||
Union First Market Bankshares Corp. (d) | 3,083 | 72,050 | ||||||||
United Community Banks, Inc. (a),(d) | 900 | 13,500 | ||||||||
Virginia Commerce Bancorp, Inc. (a),(d) | 100 | 1,553 | ||||||||
Washington Banking Co. | 400 | 5,624 | ||||||||
Wells Fargo & Co. (b),(d) | 78,092 | 3,226,761 | ||||||||
Wilshire Bancorp, Inc. (d) | 700 | 5,726 | ||||||||
Wintrust Financial Corp. | 23,299 | 956,890 | ||||||||
Zions BanCorp. (d) | 100,457 | 2,754,531 | ||||||||
|
| |||||||||
13,003,960 | ||||||||||
|
| |||||||||
Commercial Services & Supplies — 0.1% | ||||||||||
ARC Document Solutions, Inc. (a),(d) | 1,500 | 6,885 | ||||||||
Casella Waste Systems, Inc. Class A (a),(d) | 2,300 | 13,225 | ||||||||
Ceco Environmental Corp. (b) | 542 | 7,634 | ||||||||
Intersections, Inc. (d) | 1,700 | 14,909 | ||||||||
Kimball International, Inc. Class B (d) | 300 | 3,327 | ||||||||
Performant Financial Corp. (a),(d) | 100 | 1,092 | ||||||||
Republic Services, Inc. | 17,287 | 576,694 | ||||||||
US Ecology, Inc. (d) | 300 | 9,039 | ||||||||
|
| |||||||||
632,805 | ||||||||||
|
| |||||||||
Communications Equipment — 0.3% | ||||||||||
Anaren, Inc. (a),(d) | 100 | 2,550 | ||||||||
Aviat Networks, Inc. (a),(d) | 1,000 | 2,580 |
See Notes to Consolidated Financial Statements.
18
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Aware, Inc. (d) | 300 | $ | 1,638 | |||||||
Brocade Communications Systems, Inc. (a),(b),(d) | 45,100 | 363,055 | ||||||||
Ciena Corp. (a),(b),(d) | 4,300 | 107,414 | ||||||||
Comtech Telecommunications Corp. (d) | 600 | 14,592 | ||||||||
Digi International, Inc. (a),(d) | 500 | 5,005 | ||||||||
EchoStar Corp. Class A (a),(d) | 1,000 | 43,940 | ||||||||
Extreme Networks (a),(b),(d) | 23,200 | 121,104 | ||||||||
F5 Networks, Inc. (a),(b),(d) | 7,300 | 626,048 | ||||||||
Finisar Corp. (a),(d) | 2,100 | 47,523 | ||||||||
Harmonic, Inc. (a),(d) | 6,700 | 51,523 | ||||||||
Harris Corp. (d) | 4,900 | 290,570 | ||||||||
Juniper Networks, Inc. (a),(b),(d) | 6,300 | 125,118 | ||||||||
KVH Industries, Inc. (a),(d) | 400 | 5,520 | ||||||||
Oplink Communications, Inc. (a),(d) | 1,600 | 30,112 | ||||||||
Polycom, Inc. (a),(d) | 1,000 | 10,920 | ||||||||
QUALCOMM, Inc. | 17,819 | 1,200,288 | ||||||||
ShoreTel, Inc. (a),(b),(d) | 3,400 | 20,536 | ||||||||
Symmetricom, Inc. (a),(d) | 1,000 | 4,820 | ||||||||
Tellabs, Inc. (b),(d) | 12,900 | 29,283 | ||||||||
|
| |||||||||
3,104,139 | ||||||||||
|
| |||||||||
Computers & Peripherals — 0.1% | ||||||||||
Apple, Inc. (b) | 1,171 | 558,274 | ||||||||
Avid Technology, Inc. (a),(d) | 1,200 | 7,200 | ||||||||
Cray, Inc. (a),(d) | 1,000 | 24,070 | ||||||||
Datalink Corp. (a),(d) | 1,300 | 17,576 | ||||||||
Electronics For Imaging, Inc. (a),(d) | 300 | 9,504 | ||||||||
Imation Corp. (a),(d) | 1,100 | 4,510 | ||||||||
Intevac, Inc. (a),(d) | 300 | 1,758 | ||||||||
QLogic Corp. (a),(b),(d) | 25,200 | 275,688 | ||||||||
Super Micro Computer, Inc. (a),(d) | 1,100 | 14,894 | ||||||||
Western Digital Corp. (d) | 100 | 6,340 | ||||||||
|
| |||||||||
919,814 | ||||||||||
|
| |||||||||
Construction & Engineering — 0.1% | ||||||||||
Aegion Corp. (a),(d) | 100 | 2,373 | ||||||||
Comfort Systems USA, Inc. (d) | 700 | 11,767 | ||||||||
Dycom Industries, Inc. (a),(d) | 600 | 16,794 | ||||||||
EMCOR Group, Inc. (d) | 200 | 7,826 | ||||||||
Furmanite Corp. (a),(d) | 100 | 990 | ||||||||
Jacobs Engineering Group, Inc. (a),(b),(d) | 500 | 29,090 | ||||||||
KBR, Inc. (d) | 2,600 | 84,864 | ||||||||
MYR Group, Inc. (a),(d) | 100 | 2,430 | ||||||||
Northwest Pipe Co. (a) (d) | 100 | 3,288 | ||||||||
Quanta Services, Inc. (a),(b),(d) | 12,700 | 349,377 | ||||||||
|
| |||||||||
508,799 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
19
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Construction Materials — 0.0% | ||||||||||
Headwaters, Inc. (a),(d) | 1,700 | $ | 15,283 | |||||||
|
| |||||||||
Containers & Packaging — 0.1% | ||||||||||
Boise, Inc. (d) | 2,700 | 34,020 | ||||||||
Berry Plastics Group, Inc. (a),(b),(d) | 3,800 | 75,886 | ||||||||
Crown Holdings, Inc. (a),(b),(d) | 20,800 | 879,424 | ||||||||
Graphic Packaging Holding Co. (a),(d) | 1,800 | 15,408 | ||||||||
Myers Industries, Inc. (d) | 2,200 | 44,242 | ||||||||
Owens-Illinois, Inc. (a),(d) | 11,200 | 336,224 | ||||||||
|
| |||||||||
1,385,204 | ||||||||||
|
| |||||||||
Distributors — 0.0% | ||||||||||
VOXX International Corp. (a),(d) | 400 | 5,480 | ||||||||
|
| |||||||||
Diversified Consumer Services — 0.0% | ||||||||||
American Public Education, Inc. (a),(d) | 300 | 11,340 | ||||||||
Capella Education Co. (a),(d) | 900 | 50,904 | ||||||||
Career Education Corp. (a),(d) | 1,600 | 4,416 | ||||||||
Carriage Services, Inc. (d) | 600 | 11,640 | ||||||||
Collectors Universe (d) | 400 | 5,872 | ||||||||
K12, Inc. (a),(d) | 1,100 | 33,968 | ||||||||
Universal Technical Institute, Inc. (d) | 400 | 4,852 | ||||||||
|
| |||||||||
122,992 | ||||||||||
|
| |||||||||
Diversified Financial Services — 1.4% | ||||||||||
Bank of America Corp. (d) | 113,414 | 1,565,113 | ||||||||
Citigroup, Inc. (b) | 131,280 | 6,368,393 | ||||||||
Compass Diversified Holdings (d) | 1,600 | 28,512 | ||||||||
Gain Capital Holdings, Inc. (d) | 200 | 2,518 | ||||||||
ING US, Inc. (b) | 1,900 | 55,499 | ||||||||
IntercontinentalExchange, Inc. (a) | 8,424 | 1,528,282 | ||||||||
JPMorgan Chase & Co. (b) | 64,699 | 3,344,291 | ||||||||
McGraw Hill Financial, Inc. (d) | 6,400 | 419,776 | ||||||||
NYSE Euronext (b),(d) | 38,100 | 1,599,438 | ||||||||
PICO Holdings, Inc. (a),(d) | 200 | 4,332 | ||||||||
|
| |||||||||
14,916,154 | ||||||||||
|
| |||||||||
Diversified Telecommunication Services — 0.0% | ||||||||||
Cogent Communications Group, Inc. (d) | 800 | 25,800 | ||||||||
Level 3 Communications, Inc. (a),(d) | 1,500 | 40,035 | ||||||||
Premiere Global Services, Inc. (a),(d) | 500 | 4,980 | ||||||||
Primus Telecommunications Group, Inc. (d) | 16,700 | 56,613 | ||||||||
TW telecom, Inc. (a),(d) | 1,300 | 38,825 | ||||||||
Vonage Holdings Corp. (a),(d) | 100 | 314 | ||||||||
|
| |||||||||
166,567 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
20
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Electric Utilities — 0.0% | ||||||||||
NRG Yield, Inc. Class A (a) | 1,000 | $ | 30,290 | |||||||
Pinnacle West Capital Corp. (d) | 34 | 1,861 | ||||||||
Unitil Corp. (d) | 200 | 5,854 | ||||||||
|
| |||||||||
38,005 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
Broadwind Energy, Inc. (a),(d) | 1,000 | 7,830 | ||||||||
Coleman Cable, Inc. (d) | 300 | 6,333 | ||||||||
Global Power Equipment Group, Inc. (d) | 300 | 6,033 | ||||||||
GrafTech International Ltd. (a),(d) | 1,400 | 11,830 | ||||||||
II-VI, Inc. (a) | 100 | 1,880 | ||||||||
|
| |||||||||
33,906 | ||||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||||
AVX Corp. (d) | 600 | 7,878 | ||||||||
Benchmark Electronics, Inc. (a),(d) | 5,300 | 121,317 | ||||||||
Corning, Inc. (b),(d) | 19,300 | 281,587 | ||||||||
Dolby Laboratories, Inc. Class A (d) | 1,200 | 41,412 | ||||||||
FARO Technologies, Inc. (a),(d) | 2,900 | 122,293 | ||||||||
Ingram Micro, Inc. Class A (a),(d) | 19,500 | 449,475 | ||||||||
Insight Enterprises, Inc. (a),(d) | 500 | 9,460 | ||||||||
Jabil Circuit, Inc. (d) | 4,100 | 88,888 | ||||||||
Mercury Systems, Inc. (a),(d) | 400 | 3,996 | ||||||||
Newport Corp. (a),(d) | 200 | 3,126 | ||||||||
OSI Systems, Inc. (a),(d) | 800 | 59,576 | ||||||||
Plexus Corp. (a),(d) | 1,100 | 40,920 | ||||||||
Radisys Corp. (a) | 100 | 321 | ||||||||
Rofin-Sinar Technologies, Inc. (a),(d) | 200 | 4,842 | ||||||||
Rogers Corp. (a),(d) | 100 | 5,948 | ||||||||
Sanmina Corp. (a),(d) | 11,700 | 204,633 | ||||||||
ScanSource, Inc. (a),(d) | 900 | 31,140 | ||||||||
SYNNEX Corp. (a),(d) | 1,700 | 104,465 | ||||||||
Tech Data Corp. (a),(d) | 900 | 44,919 | ||||||||
TTM Technologies, Inc. (a),(d) | 500 | 4,875 | ||||||||
|
| |||||||||
1,631,071 | ||||||||||
|
| |||||||||
Energy Equipment & Services — 0.0% | ||||||||||
Dril-Quip, Inc. (a),(d) | 600 | 68,850 | ||||||||
Exterran Holdings, Inc. (a),(d) | 300 | 8,271 | ||||||||
Hornbeck Offshore Services, Inc. (a),(d) | 1,200 | 68,928 | ||||||||
Matrix Service Co. (a),(d) | 600 | 11,772 | ||||||||
McDermott International, Inc. (a),(d) | 11,700 | 86,931 | ||||||||
Mitcham Industries, Inc. (a),(d) | 500 | 7,645 | ||||||||
Natural Gas Services Group, Inc. (a),(d) | 300 | 8,046 | ||||||||
Parker Drilling Co. (a),(d) | 900 | 5,130 |
See Notes to Consolidated Financial Statements.
21
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Pioneer Energy Services Corp. (a),(d) | 500 | $ | 3,755 | |||||||
Superior Energy Services, Inc. (a),(b),(d) | 2,100 | 52,584 | ||||||||
Tesco Corp. (a),(b),(d) | 3,800 | 62,966 | ||||||||
|
| |||||||||
384,878 | ||||||||||
|
| |||||||||
Food & Staples Retailing — 0.1% | ||||||||||
Andersons, Inc. (The) (d) | 100 | 6,990 | ||||||||
CVS Caremark Corp. | 17,974 | 1,020,025 | ||||||||
Fairway Group Holdings Corp. (a),(d) | 500 | 12,780 | ||||||||
Fresh Market, Inc. (The) (a),(d) | 700 | 33,117 | ||||||||
Nash Finch Co. (d) | 1,500 | 39,615 | ||||||||
Rite Aid Corp. (a),(b),(d) | 51,100 | 243,236 | ||||||||
Spartan Stores, Inc. (d) | 1,100 | 24,266 | ||||||||
|
| |||||||||
1,380,029 | ||||||||||
|
| |||||||||
Food Products — 0.3% | ||||||||||
Chiquita Brands International, Inc. (a),(d) | 6,800 | 86,088 | ||||||||
Dean Foods Co. (a),(d) | 2,000 | 38,600 | ||||||||
Diamond Foods, Inc. (a),(d) | 500 | 11,790 | ||||||||
Dole Food Co., Inc. (a),(b),(d) | 9,900 | 134,838 | ||||||||
Fresh Del Monte Produce, Inc. (d) | 100 | 2,968 | ||||||||
Green Mountain Coffee Roasters, Inc. (a),(b) | 15,800 | 1,190,214 | ||||||||
Inventure Foods, Inc. (a),(d) | 100 | 1,050 | ||||||||
Mondelez International, Inc. | 30,894 | 970,690 | ||||||||
Omega Protein Corp. (a),(d) | 1,300 | 13,221 | ||||||||
Pilgrim’s Pride Corp. (a),(b),(d) | 8,800 | 147,752 | ||||||||
Tyson Foods, Inc. Class A (d) | 3,800 | 107,464 | ||||||||
|
| |||||||||
2,704,675 | ||||||||||
|
| |||||||||
Gas Utilities — 0.0% | ||||||||||
AGL Resources, Inc. (d) | 400 | 18,412 | ||||||||
Northwest Natural Gas Co. (d) | 100 | 4,198 | ||||||||
|
| |||||||||
22,610 | ||||||||||
|
| |||||||||
Health Care Equipment & Supplies — 1.8% | ||||||||||
AngioDynamics, Inc. (a),(d) | 300 | 3,960 | ||||||||
Anika Therapeutics, Inc. (a),(d) | 2,300 | 55,108 | ||||||||
ArthroCare Corp. (a),(d) | 300 | 10,674 | ||||||||
Boston Scientific Corp. (a),(d) | 4,000 | 46,960 | ||||||||
CareFusion Corp. (a),(b) | 11,800 | 435,420 | ||||||||
CONMED Corp. (d) | 1,400 | 47,586 | ||||||||
Cooper Cos., Inc. (The) (b),(c),(j) | 21,969 | 2,849,160 | ||||||||
CryoLife, Inc. (d) | 2,200 | 15,400 | ||||||||
Cyberonics, Inc. (a),(d) | 2,600 | 131,924 | ||||||||
Edwards Lifesciences Corp. (a),(c),(b),(d) | 42,370 | 2,950,223 | ||||||||
Exactech, Inc. (a),(d) | 300 | 6,045 |
See Notes to Consolidated Financial Statements.
22
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
HeartWare International, Inc. (a),(d) | 300 | $ | 21,963 | |||||||
ICU Medical, Inc. (a),(d) | 1,300 | 88,309 | ||||||||
Intuitive Surgical, Inc. (a),(c),(b),(d) | 11,104 | 4,178,102 | ||||||||
Merit Medical Systems, Inc. (a),(d) | 100 | 1,213 | ||||||||
Natus Medical, Inc. (a),(d) | 1,400 | 19,852 | ||||||||
OraSure Technologies, Inc. (a),(d) | 100 | 601 | ||||||||
Rochester Medical Corp. (a),(d) | 400 | 7,984 | ||||||||
RTI Surgical, Inc. (a),(d) | 1,800 | 6,732 | ||||||||
SurModics, Inc. (a),(d) | 100 | 2,378 | ||||||||
Symmetry Medical, Inc. (a),(d) | 400 | 3,264 | ||||||||
Thoratec Corp. (a),(d) | 500 | 18,645 | ||||||||
Vascular Solutions, Inc. (a),(d) | 700 | 11,760 | ||||||||
West Pharmaceutical Services, Inc. (d) | 300 | 12,345 | ||||||||
Zimmer Holdings, Inc. (c),(d),(j) | 89,800 | 7,376,172 | ||||||||
|
| |||||||||
18,301,780 | ||||||||||
|
| |||||||||
Health Care Providers & Services — 1.2% | ||||||||||
Acadia Healthcare Co., Inc. (a) | 100 | 3,943 | ||||||||
Addus HomeCare Corp. (a),(d) | 100 | 2,897 | ||||||||
Aetna, Inc. (c),(d) | 65,708 | 4,206,626 | ||||||||
Alliance HealthCare Services, Inc. (a),(d) | 3,700 | 102,453 | ||||||||
Amedisys, Inc. (a),(d) | 2,000 | 34,440 | ||||||||
Capital Senior Living Corp. (a),(d) | 200 | 4,230 | ||||||||
Corvel Corp. (a),(d) | 100 | 3,697 | ||||||||
Cross Country Healthcare, Inc. (a),(d) | 1,700 | 10,302 | ||||||||
ExamWorks Group, Inc. (a),(d) | 800 | 20,792 | ||||||||
Five Star Quality Care, Inc. (a),(d) | 600 | 3,102 | ||||||||
Gentiva Health Services, Inc. (a),(d) | 1,900 | 22,876 | ||||||||
HCA Holdings, Inc. (b),(d) | 51,400 | 2,197,350 | ||||||||
Health Management Associates, Inc. Class A (a),(d) | 200 | 2,560 | ||||||||
Health Net, Inc. (a),(b),(d) | 9,700 | 307,490 | ||||||||
Magellan Health Services, Inc. (a),(d) | 400 | 23,984 | ||||||||
McKesson Corp. (b),(c) | 23,218 | 2,978,870 | ||||||||
Select Medical Holdings Corp. (b),(d) | 5,100 | 41,157 | ||||||||
Team Health Holdings, Inc. (a),(d) | 800 | 30,352 | ||||||||
Universal Health Services, Inc. Class B (d) | 3,000 | 224,970 | ||||||||
VCA Antech, Inc. (a),(d) | 4,800 | 131,808 | ||||||||
WellCare Health Plans, Inc. (a),(d) | 4,500 | 313,830 | ||||||||
WellPoint, Inc. (c) | 17,000 | 1,421,370 | ||||||||
|
| |||||||||
12,089,099 | ||||||||||
|
| |||||||||
Hotels, Restaurants & Leisure — 0.8% | ||||||||||
AFC Enterprises, Inc. (a),(d) | 1,100 | 47,949 | ||||||||
Bloomin’ Brands, Inc. (a),(d) | 11,900 | 280,959 | ||||||||
Boyd Gaming Corp. (a),(b),(d) | 79,600 | 1,126,340 | ||||||||
Bravo Brio Restaurant Group, Inc. (a),(d) | 1,200 | 18,120 |
See Notes to Consolidated Financial Statements.
23
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Buffalo Wild Wings, Inc. (a),(d) | 200 | $ | 22,244 | |||||||
Caesars Entertainment Corp. (a) | 9,200 | 181,332 | ||||||||
CEC Entertainment, Inc. (b),(d) | 3,400 | 155,924 | ||||||||
Chipotle Mexican Grill, Inc. (a),(b),(d) | 1,200 | 514,440 | ||||||||
Denny’s Corp. (a),(d) | 1,400 | 8,568 | ||||||||
Domino’s Pizza, Inc. (d) | 400 | 27,180 | ||||||||
Einstein Noah Restaurant Group, Inc. (d) | 800 | 13,856 | ||||||||
Fiesta Restaurant Group, Inc. (a),(d) | 1,900 | 71,554 | ||||||||
Hyatt Hotels Corp. Class A (a),(d) | 7,900 | 339,384 | ||||||||
Interval Leisure Group, Inc. (d) | 700 | 16,541 | ||||||||
Jack in the Box, Inc. (a),(d) | 900 | 36,000 | ||||||||
Las Vegas Sands Corp. (b),(d) | 2,900 | 192,618 | ||||||||
Marcus Corp. (d) | 100 | 1,453 | ||||||||
Marriott International, Inc. Class A (b),(d) | 2,900 | 121,974 | ||||||||
Marriott Vacations Worldwide Corp. (a),(d) | 800 | 35,200 | ||||||||
MGM Resorts International (a),(b) | 103,600 | 2,117,584 | ||||||||
Monarch Casino & Resort, Inc. (a),(d) | 1,900 | 36,062 | ||||||||
Morgans Hotel Group Co. (a),(d) | 1,400 | 10,766 | ||||||||
Panera Bread Co. Class A (a),(d) | 2,300 | 364,619 | ||||||||
Red Lion Hotels Corp. (a),(d) | 200 | 1,054 | ||||||||
Red Robin Gourmet Burgers, Inc. (a),(d) | 200 | 14,220 | ||||||||
Ruth’s Hospitality Group, Inc. (d) | 200 | 2,372 | ||||||||
Scientific Games Corp. Class A (a),(b),(d) | 2,800 | 45,276 | ||||||||
Sonic Corp. (a),(d) | 1,800 | 31,950 | ||||||||
Town Sports International Holdings, Inc. (d) | 3,100 | 40,238 | ||||||||
Wynn Resorts Ltd. (b),(d) | 13,800 | 2,180,538 | ||||||||
|
| |||||||||
8,056,315 | ||||||||||
|
| |||||||||
Household Durables — 0.0% | ||||||||||
Newell Rubbermaid, Inc. (b) | 100 | 2,750 | ||||||||
Skullcandy, Inc. (a),(d) | 300 | 1,854 | ||||||||
|
| |||||||||
4,604 | ||||||||||
|
| |||||||||
Industrial Conglomerates — 0.1% | ||||||||||
General Electric Co. | 57,218 | 1,366,938 | ||||||||
|
| |||||||||
Insurance — 1.3% | ||||||||||
Aflac, Inc. (b),(d) | 26,764 | 1,659,100 | ||||||||
American International Group, Inc. (a),(b) | 94,611 | 4,600,933 | ||||||||
Brown & Brown, Inc. (d) | 600 | 19,260 | ||||||||
CNO Financial Group, Inc. (d) | 9,400 | 135,360 | ||||||||
Crawford & Co. Class B (d) | 200 | 1,940 | ||||||||
FBL Financial Group, Inc. Class A (d) | 900 | 40,410 | ||||||||
Genworth Financial, Inc. Class A (a),(b),(d) | 133,600 | 1,708,744 | ||||||||
Hartford Financial Services Group, Inc. | 79,938 | 2,487,671 | ||||||||
Horace Mann Educators Corp. (d) | 500 | 14,190 | ||||||||
Lincoln National Corp. (d) | 4,500 | 188,955 |
See Notes to Consolidated Financial Statements.
24
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
MetLife, Inc. (d) | 300 | $ | 14,085 | |||||||
Primerica, Inc. | 35,023 | 1,412,828 | ||||||||
Protective Life Corp. (d) | 4,000 | 170,200 | ||||||||
Prudential Financial, Inc. | 17,153 | 1,337,591 | ||||||||
Symetra Financial Corp. (d) | 5,400 | 96,228 | ||||||||
Universal Insurance Holdings, Inc. (d) | 900 | 6,345 | ||||||||
|
| |||||||||
13,893,840 | ||||||||||
|
| |||||||||
Internet & Catalog Retail — 0.2% | ||||||||||
Groupon, Inc. (a),(d) | 5,800 | 65,018 | ||||||||
Netflix, Inc. (a),(b),(d) | 7,000 | 2,164,470 | ||||||||
Orbitz Worldwide, Inc. (a),(d) | 1,300 | 12,519 | ||||||||
Overstock.com, Inc. (a),(d) | 100 | 2,967 | ||||||||
TripAdvisor, Inc. (a),(b),(d) | 1,400 | 106,176 | ||||||||
PetMed Express, Inc. (d) | 200 | 3,258 | ||||||||
|
| |||||||||
2,354,408 | ||||||||||
|
| |||||||||
Internet Software & Services — 0.6% | ||||||||||
Blucora, Inc. (a),(d) | 4,300 | 98,814 | ||||||||
comScore, Inc. (a),(d) | 100 | 2,897 | ||||||||
Carbonite, Inc. (a),(d) | 100 | 1,500 | ||||||||
Constant Contact, Inc. (a),(d) | 1,800 | 42,642 | ||||||||
Demand Media, Inc. (a),(d) | 400 | 2,528 | ||||||||
Demandware, Inc. (a),(b),(d) | 7,400 | 342,842 | ||||||||
Dice Holdings, Inc. (a),(d) | 500 | 4,255 | ||||||||
eBay, Inc. (a) | 13,973 | 779,553 | ||||||||
eGain Corp. (a),(d) | 100 | 1,509 | ||||||||
Envestnet, Inc. (a) | 72,900 | 2,259,900 | ||||||||
Facebook, Inc. Class A (a),(b),(d) | 15,200 | 763,648 | ||||||||
Google, Inc. Class A (a) | 1,269 | 1,111,530 | ||||||||
IntraLinks Holdings, Inc. (a),(d) | 900 | 7,920 | ||||||||
Monster Worldwide, Inc. (a),(b),(d) | 16,500 | 72,930 | ||||||||
NIC, Inc. (d) | 400 | 9,244 | ||||||||
Perficient, Inc. (a),(d) | 1,900 | 34,884 | ||||||||
RealNetworks, Inc. (a),(b),(d) | 5,800 | 49,648 | ||||||||
Stamps.com, Inc. (a),(d) | 900 | 41,337 | ||||||||
Support.com, Inc. (a),(d) | 1,500 | 8,175 | ||||||||
United Online, Inc. (d) | 5,100 | 40,698 | ||||||||
VeriSign, Inc. (a),(b) | 13,800 | 702,282 | ||||||||
XO Group, Inc. (a),(d) | 200 | 2,584 | ||||||||
|
| |||||||||
6,381,320 | ||||||||||
|
| |||||||||
IT Services — 0.2% | ||||||||||
Booz Allen Hamilton Holding Corp. (d) | 1,200 | 23,184 | ||||||||
Cardtronics, Inc. (a),(d) | 1,900 | 70,490 | ||||||||
CoreLogic, Inc. (a),(d) | 3,000 | 81,150 |
See Notes to Consolidated Financial Statements.
25
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
CIBER, Inc. (a),(d) | 1,900 | $ | 6,270 | |||||||
CSG Systems International, Inc. (d) | 600 | 15,030 | ||||||||
EPAM Systems, Inc. (a),(d) | 200 | 6,900 | ||||||||
Euronet Worldwide, Inc. (a),(d) | 600 | 23,880 | ||||||||
ExlService Holdings, Inc. (a),(d) | 1,900 | 54,112 | ||||||||
FleetCor Technologies, Inc. (a),(b),(d) | 5,800 | 638,928 | ||||||||
Gartner, Inc. (a),(d) | 500 | 30,000 | ||||||||
Global Cash Access Holdings, Inc. (a),(d) | 4,400 | 34,364 | ||||||||
Hackett Group, Inc. (The) (d) | 3,600 | 25,668 | ||||||||
Lender Processing Services, Inc. (d) | 5,200 | 173,004 | ||||||||
Lionbridge Technologies, Inc. (a),(d) | 1,400 | 5,166 | ||||||||
NeuStar, Inc. Class A (a),(d) | 100 | 4,948 | ||||||||
PRGX Global, Inc. (a),(d) | 700 | 4,382 | ||||||||
Sapient Corp. (a),(d) | 800 | 12,456 | ||||||||
ServiceSource International, Inc. (a),(d) | 200 | 2,416 | ||||||||
VeriFone Systems, Inc. (a),(b),(d) | 37,163 | 849,546 | ||||||||
|
| |||||||||
2,061,894 | ||||||||||
|
| |||||||||
Leisure Equipment & Products — 0.0% | ||||||||||
Arctic Cat, Inc. (d) | 300 | 17,115 | ||||||||
Johnson Outdoors, Inc. Class A (a),(d) | 100 | 2,682 | ||||||||
|
| |||||||||
19,797 | ||||||||||
|
| |||||||||
Life Sciences Tools & Services — 1.1% | ||||||||||
Agilent Technologies, Inc. (c) | 88,597 | 4,540,596 | ||||||||
Albany Molecular Research, Inc. (a),(d) | 100 | 1,289 | ||||||||
Cambrex Corp. (a),(d) | 2,300 | 30,360 | ||||||||
Charles River Laboratories International, Inc. (a),(d) | 300 | 13,878 | ||||||||
Fluidigm Corp. (a),(d) | 2,700 | 59,238 | ||||||||
Harvard Bioscience, Inc. (a),(d) | 200 | 1,052 | ||||||||
Life Technologies Corp. (a),(b) | 6,100 | 456,463 | ||||||||
Mettler-Toledo International, Inc. (a),(b),(c),(j) | 12,514 | 3,004,486 | ||||||||
Quintiles Transnational Holdings, Inc. (a),(d) | 1,900 | 85,272 | ||||||||
Thermo Fisher Scientific, Inc. (b),(c),(j) | 40,926 | 3,771,331 | ||||||||
|
| |||||||||
11,963,965 | ||||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
Ampco-Pittsburgh Corp. (d) | 600 | 10,752 | ||||||||
Dynamic Materials Corp. (d) | 400 | 9,272 | ||||||||
Flow International Corp. (a),(d) | 800 | 3,192 | ||||||||
Lydall, Inc. (a),(d) | 1,100 | 18,887 | ||||||||
Oshkosh Corp. (a),(d) | 2,900 | 142,042 | ||||||||
Snap-on, Inc. (d) | 2,100 | 208,950 | ||||||||
Timken Co. (d) | 800 | 48,320 | ||||||||
Wabash National Corp. (a),(d) | 100 | 1,166 | ||||||||
Xerium Technologies, Inc. (a),(d) | 600 | 6,954 | ||||||||
|
| |||||||||
449,535 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
26
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Marine — 0.0% | ||||||||||
Matson, Inc. (d) | 600 | $ | 15,738 | |||||||
|
| |||||||||
Media — 0.6% | ||||||||||
AMC Networks, Inc. Class A (a),(d) | 6,000 | 410,880 | ||||||||
Carmike Cinemas, Inc. (a),(b),(d) | 4,300 | 94,944 | ||||||||
Clear Channel Outdoor Holdings, Inc. Class A (a),(d) | 3,200 | 26,240 | ||||||||
Cumulus Media, Inc. Class A (a),(b),(d) | 8,500 | 45,050 | ||||||||
DISH Network Corp. Class A (b),(d) | 29,600 | 1,332,296 | ||||||||
Entravision Communications Corp. Class A (d) | 2,900 | 17,110 | ||||||||
Gray Television, Inc. (a),(d) | 400 | 3,140 | ||||||||
Journal Communications, Inc. Class A (a),(d) | 2,900 | 24,795 | ||||||||
Live Nation Entertainment, Inc. (a),(b),(d) | 2,700 | 50,085 | ||||||||
Madison Square Garden Co. (The) Class A (a),(b),(d) | 6,400 | 371,648 | ||||||||
Martha Stewart Living Omnimedia Class A (a),(d) | 300 | 690 | ||||||||
McClatchy Co. (The) Class A (a),(d) | 900 | 2,700 | ||||||||
MDC Partners, Inc. Class A (d) | 1,300 | 36,374 | ||||||||
National CineMedia, Inc. (b),(d) | 6,100 | 115,046 | ||||||||
Nexstar Broadcasting Group, Inc. Class A (d) | 1,400 | 62,307 | ||||||||
Regal Entertainment Group Class A (d) | 6,600 | 125,268 | ||||||||
Sinclair Broadcast Group, Inc. Class A (b),(d) | 18,500 | 620,120 | ||||||||
Starz (a),(d) | 2,800 | 78,764 | ||||||||
Viacom, Inc. Class B | 13,052 | 1,090,886 | ||||||||
Walt Disney Co. (The) | 21,885 | 1,411,364 | ||||||||
|
| |||||||||
5,919,707 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
AM Castle & Co. (a),(d) | 200 | 3,220 | ||||||||
SunCoke Energy, Inc. (a),(d) | 600 | 10,200 | ||||||||
|
| |||||||||
13,420 | ||||||||||
|
| |||||||||
Multiline Retail — 0.1% | ||||||||||
Big Lots, Inc. (a),(d) | 100 | 3,709 | ||||||||
Dillard’s, Inc. Class A (d) | 3,400 | 266,220 | ||||||||
Dollar General Corp. (a),(d) | 12,900 | 728,334 | ||||||||
Dollar Tree, Inc. (a),(d) | 600 | 34,296 | ||||||||
Nordstrom, Inc. (d) | 700 | 39,340 | ||||||||
Tuesday Morning Corp. (a),(d) | 400 | 6,108 | ||||||||
|
| |||||||||
1,078,007 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 0.7% | ||||||||||
Abraxas Petroleum Corp. (a),(d) | 900 | 2,313 | ||||||||
Approach Resources, Inc. (a) | 100 | 2,628 | ||||||||
Berry Petroleum Co. Class A (d) | 21,200 | 914,356 | ||||||||
Cabot Oil & Gas Corp. (b),(d) | 32,000 | 1,194,240 | ||||||||
CVR Energy, Inc. (d) | 3,500 | 134,820 |
See Notes to Consolidated Financial Statements.
27
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Diamondback Energy, Inc. (a),(d) | 3,600 | $ | 153,504 | |||||||
Energen Corp. (d) | 1,900 | 145,141 | ||||||||
EPL Oil & Gas, Inc. (a),(b),(d) | 6,600 | 244,926 | ||||||||
EQT Corp. (b) | 1,100 | 97,592 | ||||||||
Green Plains Renewable Energy, Inc. (a),(d) | 5,500 | 88,275 | ||||||||
Kodiak Oil & Gas Corp. (a),(d) | 3,800 | 45,828 | ||||||||
LinnCo LLC (d) | 400 | 11,672 | ||||||||
Marathon Oil Corp. (b),(d) | 35,400 | 1,234,752 | ||||||||
Marathon Petroleum Corp. (b),(d) | 17,100 | 1,099,872 | ||||||||
Matador Resources Co. (a),(b),(d) | 300 | 4,899 | ||||||||
Newfield Exploration Co. (a),(d) | 2,800 | 76,636 | ||||||||
PDC Energy, Inc. (a),(d) | 300 | 17,862 | ||||||||
Range Resources Corp. (b),(d) | 9,100 | 690,599 | ||||||||
Renewable Energy Group, Inc. (a),(d) | 400 | 6,060 | ||||||||
Rex Energy Corp. (a),(d) | 4,300 | 95,890 | ||||||||
Rosetta Resources, Inc. (a),(d) | 4,000 | 217,840 | ||||||||
Sanchez Energy Corp. (a),(b),(d) | 3,200 | 84,512 | ||||||||
SM Energy Co. (d) | 8,800 | 679,272 | ||||||||
Stone Energy Corp. (a),(d) | 1,000 | 32,430 | ||||||||
Synergy Resources Corp. (a),(b),(d) | 1,500 | 14,625 | ||||||||
Targa Resources Corp. (b),(d) | 2,500 | 182,400 | ||||||||
Ultra Petroleum Corp. (a),(d) | 8,800 | 181,016 | ||||||||
Warren Resources, Inc. (a),(b),(d) | 9,500 | 27,835 | ||||||||
|
| |||||||||
7,681,795 | ||||||||||
|
| |||||||||
Paper & Forest Products — 0.0% | ||||||||||
Clearwater Paper Corp. (a),(d) | 2,000 | 95,540 | ||||||||
KapStone Paper and Packaging Corp. (d) | 6,100 | 261,080 | ||||||||
PH Glatfelter Co. (d) | 200 | 5,414 | ||||||||
Louisiana-Pacific Corp. (a),(d) | 2,500 | 43,975 | ||||||||
|
| |||||||||
406,009 | ||||||||||
|
| |||||||||
Personal Products — 0.0% | ||||||||||
Female Health Co. (The) (d) | 200 | 1,974 | ||||||||
Prestige Brands Holdings, Inc. (a),(d) | 2,100 | 63,252 | ||||||||
Revlon, Inc. Class A (a),(d) | 700 | 19,439 | ||||||||
|
| |||||||||
84,665 | ||||||||||
|
| |||||||||
Pharmaceuticals — 3.9% | ||||||||||
AbbVie, Inc. (c) | 109,648 | 4,904,555 | ||||||||
Actavis, Inc. (a),(b),(c),(d),(j) | 31,100 | 4,478,400 | ||||||||
Allergan, Inc. (b),(c),(j) | 71,212 | 6,441,125 | ||||||||
Cumberland Pharmaceuticals, Inc. (a),(d) | 200 | 906 | ||||||||
Depomed, Inc. (a),(d) | 900 | 6,732 | ||||||||
Eli Lilly & Co. (b),(c) | 90,829 | 4,571,424 | ||||||||
Endo Health Solutions, Inc. (a),(d) | 3,600 | 163,584 |
See Notes to Consolidated Financial Statements.
28
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Impax Laboratories, Inc. (a),(d) | 4,800 | $ | 98,448 | |||||||
Johnson & Johnson | 100 | 8,669 | ||||||||
Lannett Co., Inc. (a),(d) | 1,000 | 21,820 | ||||||||
Mylan, Inc. (a),(c),(d),(j) | 154,000 | 5,878,180 | ||||||||
Pfizer, Inc. (b),(c) | 267,434 | 7,678,030 | ||||||||
Pozen, Inc. (a),(d) | 400 | 2,292 | ||||||||
Sagent Pharmaceuticals, Inc. (a),(d) | 1,000 | 20,400 | ||||||||
Santarus, Inc. (a),(d) | 2,200 | 49,654 | ||||||||
Sciclone Pharmaceuticals, Inc. (a),(d) | 1,100 | 5,577 | ||||||||
Valeant Pharmaceuticals International, Inc. (a),(d) | 5,600 | 584,248 | ||||||||
Zoetis, Inc. (c),(d) | 173,342 | 5,394,403 | ||||||||
|
| |||||||||
40,308,447 | ||||||||||
|
| |||||||||
Professional Services — 0.0% | ||||||||||
Franklin Covey Co. (a),(d) | 200 | 3,590 | ||||||||
Heidrick & Struggles International, Inc. (d) | 100 | 1,906 | ||||||||
Kforce, Inc. (d) | 200 | 3,538 | ||||||||
Korn/Ferry International (a),(d) | 1,400 | 29,960 | ||||||||
Navigant Consulting, Inc. (a),(d) | 2,500 | 38,650 | ||||||||
Resources Connection, Inc. (d) | 200 | 2,714 | ||||||||
RPX Corp. (a),(d) | 900 | 15,777 | ||||||||
Towers Watson & Co. Class A (d) | 1,700 | 181,832 | ||||||||
TrueBlue, Inc. (a),(d) | 2,100 | 50,421 | ||||||||
|
| |||||||||
328,388 | ||||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) — 1.0% | ||||||||||
American Capital Mortgage Investment Corp. (d) | 100 | 1,976 | ||||||||
Anworth Mortgage Asset Corp. (d) | 200 | 966 | ||||||||
Arbor Realty Trust, Inc. (d) | 300 | 2,034 | ||||||||
Ashford Hospitality Trust, Inc. (d) | 800 | 9,872 | ||||||||
Colonial Properties Trust (b),(d) | 10,900 | 245,141 | ||||||||
FelCor Lodging Trust, Inc. (a) | 100 | 616 | ||||||||
Gladstone Commercial Corp. (d) | 3,900 | 70,044 | ||||||||
HCP, Inc. (c) | 67,300 | 2,755,935 | ||||||||
Hospitality Properties Trust (d) | 3,600 | 101,880 | ||||||||
Host Hotels & Resorts, Inc. (b),(d) | 62,300 | 1,100,841 | ||||||||
MFA Financial, Inc. (d) | 200 | 1,490 | ||||||||
Monmouth Real Estate Investment Corp. Class A (d) | 3,900 | 35,373 | ||||||||
Newcastle Investment Corp. (b),(d) | 80,900 | 454,658 | ||||||||
PS Business Parks, Inc. (d) | 100 | 7,462 | ||||||||
Rayonier, Inc. | 9,381 | 522,053 | ||||||||
RLJ Lodging Trust (b),(d) | 69,800 | 1,639,602 | ||||||||
Strategic Hotels & Resorts, Inc. (a),(d) | 44 | 382 | ||||||||
Sunstone Hotel Investors, Inc. (a),(b),(d) | 22,600 | 287,924 | ||||||||
Two Harbors Investment Corp. | 227,453 | 2,208,568 | ||||||||
UMH Properties, Inc. (d) | 200 | 1,986 |
See Notes to Consolidated Financial Statements.
29
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Weyerhaeuser Co. | 18,678 | $ | 534,751 | |||||||
ZAIS Financial Corp. (d) | 100 | 1,735 | ||||||||
|
| |||||||||
9,985,289 | ||||||||||
|
| |||||||||
Real Estate Management & Development — 0.4% | ||||||||||
Alexander & Baldwin, Inc. (a),(d) | 200 | 7,204 | ||||||||
CBRE Group, Inc. (a),(d) | 3,600 | 83,268 | ||||||||
Forest City Enterprises, Inc. Class A (a),(d) | 122,955 | 2,328,768 | ||||||||
Howard Hughes Corp. (The) (a),(d) | 200 | 22,474 | ||||||||
Kennedy-Wilson Holdings, Inc. | 23,500 | 436,160 | ||||||||
Realogy Holdings Corp. (a),(b),(d) | 34,000 | 1,462,680 | ||||||||
Thomas Properties Group, Inc. (d) | 100 | 672 | ||||||||
|
| |||||||||
4,341,226 | ||||||||||
|
| |||||||||
Road & Rail — 0.2% | ||||||||||
Avis Budget Group, Inc. (a),(b),(d) | 19,900 | 573,717 | ||||||||
Hertz Global Holdings, Inc. (a),(d) | 33,100 | 733,496 | ||||||||
Old Dominion Freight Line, Inc. (a),(d) | 1,400 | 64,386 | ||||||||
Quality Distribution, Inc. (a),(d) | 100 | 924 | ||||||||
Ryder System, Inc. (d) | 1,100 | 65,670 | ||||||||
Saia, Inc. (a),(d) | 2,800 | 87,304 | ||||||||
Union Pacific Corp. | 5,636 | 875,496 | ||||||||
|
| |||||||||
2,400,993 | ||||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||||
Alpha & Omega Semiconductor Ltd. (a),(d) | 1,700 | 14,297 | ||||||||
Ambarella, Inc. (a),(d) | 1,200 | 23,424 | ||||||||
ATMI, Inc. (a),(d) | 500 | 13,260 | ||||||||
Brooks Automation, Inc. (d) | 200 | 1,862 | ||||||||
Cabot Microelectronics Corp. (a),(d) | 200 | 7,704 | ||||||||
Ceva, Inc. (a),(d) | 100 | 1,725 | ||||||||
Cirrus Logic, Inc. (a),(b),(d) | 17,600 | 399,168 | ||||||||
Cohu, Inc. (d) | 1,200 | 13,092 | ||||||||
Fairchild Semiconductor International, Inc. (a),(d) | 300 | 4,167 | ||||||||
GSI Technology, Inc. (a),(d) | 100 | 703 | ||||||||
Integrated Silicon Solution, Inc. (a),(d) | 300 | 3,267 | ||||||||
Intermolecular, Inc. (a),(d) | 200 | 1,102 | ||||||||
International Rectifier Corp. (a),(d) | 1,400 | 34,678 | ||||||||
KLA-Tencor Corp. (d) | 1,700 | 103,445 | ||||||||
Micron Technology, Inc. (a),(b),(d) | 23,400 | 408,798 | ||||||||
NVE Corp. (a),(d) | 100 | 5,104 | ||||||||
PDF Solutions, Inc. (a),(d) | 1,800 | 38,250 | ||||||||
Pericom Semiconductor Corp. (a),(d) | 1,500 | 11,700 | ||||||||
Photronics, Inc. (a),(d) | 2,900 | 22,707 | ||||||||
PLX Technology, Inc. (a),(d) | 2,200 | 13,244 | ||||||||
Rambus, Inc. (a),(d) | 400 | 3,760 |
See Notes to Consolidated Financial Statements.
30
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Sigma Designs, Inc. (a),(d) | 2,600 | $ | 14,534 | |||||||
Silicon Image, Inc. (a),(d) | 1,800 | 9,612 | ||||||||
Silicon Laboratories, Inc. (a),(d) | 200 | 8,542 | ||||||||
Spansion, Inc. Class A (a),(d) | 600 | 6,054 | ||||||||
Synaptics, Inc. (a) | 200 | 8,850 | ||||||||
Teradyne, Inc. (a),(d) | 9,200 | 151,984 | ||||||||
Ultra Clean Holdings, Inc. (a),(d) | 900 | 6,219 | ||||||||
Volterra Semiconductor Corp. (a) | 1,100 | 25,300 | ||||||||
|
| |||||||||
1,356,552 | ||||||||||
|
| |||||||||
Software — 0.2% | ||||||||||
Accelrys, Inc. (a),(d) | 1,600 | 15,776 | ||||||||
Actuate Corp. (a),(b),(d) | 11,200 | 82,320 | ||||||||
Advent Software, Inc. (d) | 1,500 | 47,625 | ||||||||
American Software, Inc. Class A (d) | 300 | 2,562 | ||||||||
Aspen Technology, Inc. (a),(b),(d) | 2,600 | 89,830 | ||||||||
Autodesk, Inc. (a),(d) | 7,700 | 317,009 | ||||||||
Callidus Software, Inc. (a),(b),(d) | 9,700 | 88,949 | ||||||||
CommVault Systems, Inc. (a),(d) | 100 | 8,783 | ||||||||
Ebix, Inc. (d) | 1,300 | 12,922 | ||||||||
EPIQ Systems, Inc. (d) | 100 | 1,322 | ||||||||
Infoblox, Inc. (a),(b),(d) | 3,100 | 129,642 | ||||||||
Informatica Corp. (a),(d) | 3,500 | 136,395 | ||||||||
Microsoft Corp. | 6,818 | 227,108 | ||||||||
Netscout Systems, Inc. (a),(d) | 300 | 7,671 | ||||||||
Progress Software Corp. (a),(d) | 1,900 | 49,172 | ||||||||
PTC, Inc. (a),(d) | 200 | 5,686 | ||||||||
Red Hat, Inc. (a),(d) | 4,200 | 193,788 | ||||||||
Rosetta Stone, Inc. (a),(b),(d) | 100 | 1,623 | ||||||||
Seachange International, Inc. (a),(d) | 900 | 10,323 | ||||||||
Splunk, Inc. (a),(d) | 2,300 | 138,092 | ||||||||
Take-Two Interactive Software, Inc. (a),(d) | 3,100 | 56,296 | ||||||||
TIBCO Software, Inc. (a),(b),(d) | 20,300 | 519,477 | ||||||||
TiVo, Inc. (a),(d) | 6,000 | 74,640 | ||||||||
VASCO Data Security International, Inc. (a),(d) | 500 | 3,945 | ||||||||
Verint Systems, Inc. (a),(d) | 100 | 3,706 | ||||||||
|
| |||||||||
2,224,662 | ||||||||||
|
| |||||||||
Specialty Retail — 0.5% | ||||||||||
Advance Auto Parts, Inc. (b),(d) | 4,800 | 396,864 | ||||||||
ANN, Inc. (a),(d) | 900 | 32,598 | ||||||||
AutoNation, Inc. (a),(d) | 100 | 5,217 | ||||||||
Best Buy Co., Inc. (b),(d) | 17,700 | 663,750 | ||||||||
Big 5 Sporting Goods Corp. (d) | 200 | 3,216 | ||||||||
Cabela’s, Inc. (a),(d) | 2,400 | 151,272 | ||||||||
Citi Trends, Inc. (a),(d) | 2,700 | 47,196 |
See Notes to Consolidated Financial Statements.
31
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Express, Inc. (a),(b),(d) | 17,300 | $ | 408,107 | |||||||
Finish Line, Inc. (The) Class A | 200 | 4,974 | ||||||||
Gap, Inc. (The) (b),(d) | 23,800 | 958,664 | ||||||||
hhgregg, Inc. (a),(b),(d) | 2,700 | 48,357 | ||||||||
Home Depot, Inc. (The) (b) | 800 | 60,680 | ||||||||
Kirkland’s, Inc. (a),(d) | 700 | 12,908 | ||||||||
L Brands, Inc. (b),(d) | 14,400 | 879,840 | ||||||||
MarineMax, Inc. (a),(d) | 200 | 2,440 | ||||||||
New York & Co., Inc. (a),(d) | 200 | 1,156 | ||||||||
Office Depot, Inc. (a),(d) | 7,700 | 37,191 | ||||||||
OfficeMax, Inc. (d) | 24,400 | 312,076 | ||||||||
Ross Stores, Inc. (d) | 500 | 36,400 | ||||||||
Stein Mart, Inc. (d) | 1,500 | 20,580 | ||||||||
Tilly’s, Inc. Class A (a),(d) | 500 | 7,255 | ||||||||
Trans World Entertainment Corp. (d) | 300 | 1,389 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a),(d) | 500 | 59,730 | ||||||||
Urban Outfitters, Inc. (a),(b),(d) | 12,200 | 448,594 | ||||||||
Wet Seal, Inc. (The) Class A (a),(d) | 3,500 | 13,755 | ||||||||
Williams-Sonoma, Inc. | 4,773 | 268,243 | ||||||||
Zale Corp. (a),(d) | 2,400 | 36,480 | ||||||||
|
| |||||||||
4,918,932 | ||||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods — 0.1% | ||||||||||
Perry Ellis International, Inc. (d) | 400 | 7,536 | ||||||||
Ralph Lauren Corp. (b),(d) | 4,000 | 658,920 | ||||||||
RG Barry Corp. (d) | 100 | 1,891 | ||||||||
|
| |||||||||
668,347 | ||||||||||
|
| |||||||||
Thrifts & Mortgage Finance — 0.4% | ||||||||||
Banc of California, Inc. (d) | 400 | 5,532 | ||||||||
Beneficial Mutual Bancorp, Inc. (a),(d) | 1,500 | 14,955 | ||||||||
BofI Holding, Inc. (a),(d) | 200 | 12,972 | ||||||||
Charter Financial Corp. (d) | 1,400 | 15,120 | ||||||||
EverBank Financial Corp. | 95,204 | 1,426,156 | ||||||||
First Financial Northwest, Inc. (d) | 400 | 4,172 | ||||||||
Franklin Financial Corp. (d) | 300 | 5,688 | ||||||||
Hudson City Bancorp, Inc. (d) | 1,500 | 13,575 | ||||||||
Northfield Bancorp, Inc. (d) | 100 | 1,214 | ||||||||
Ocwen Financial Corp. (a),(d) | 54,147 | 3,019,778 | ||||||||
Oritani Financial Corp. (d) | 1,600 | 26,336 | ||||||||
Provident Financial Holdings, Inc. (d) | 600 | 9,966 | ||||||||
Provident New York Bancorp (d) | 800 | 8,712 | ||||||||
Rockville Financial, Inc. (d) | 400 | 5,200 | ||||||||
Territorial Bancorp, Inc. (d) | 1,000 | 21,970 | ||||||||
Westfield Financial, Inc. (d) | 300 | 2,118 | ||||||||
|
| |||||||||
4,593,464 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
32
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Tobacco — 0.1% | ||||||||||
Altria Group, Inc. (b),(d) | 40,500 | $ | 1,391,175 | |||||||
Vector Group Ltd. (d) | 5,720 | 92,092 | ||||||||
|
| |||||||||
1,483,267 | ||||||||||
|
| |||||||||
Trading Companies & Distributors — 0.1% | ||||||||||
Aceto Corp. (d) | 600 | 9,372 | ||||||||
Aircastle Ltd. (d) | 1,200 | 20,892 | ||||||||
HD Supply Holdings, Inc. (a),(d) | 24,000 | 527,280 | ||||||||
H&E Equipment Services, Inc. (a),(d) | 2,000 | 53,120 | ||||||||
United Rentals, Inc. (a),(d) | 900 | 52,461 | ||||||||
MRC Global, Inc. (a),(d) | 300 | 8,040 | ||||||||
|
| |||||||||
671,165 | ||||||||||
|
| |||||||||
Transportation Infrastructure — 0.0% | ||||||||||
Wesco Aircraft Holdings, Inc. (a),(d) | 500 | 10,465 | ||||||||
|
| |||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Boingo Wireless, Inc. (a),(d) | 1,600 | 11,200 | ||||||||
Crown Castle International Corp. (a),(d) | 1,800 | 131,454 | ||||||||
NTELOS Holdings Corp. (d) | 6,300 | 118,440 | ||||||||
SBA Communications Corp. Class A (a),(d) | 1,800 | 144,828 | ||||||||
Telephone & Data Systems, Inc. (d) | 1,600 | 47,280 | ||||||||
United States Cellular Corp. (d) | 1,000 | 45,530 | ||||||||
USA Mobility, Inc. (d) | 300 | 4,248 | ||||||||
|
| |||||||||
502,980 | ||||||||||
|
| |||||||||
Total United States | 253,823,371 | |||||||||
|
| |||||||||
TOTAL COMMON STOCK | 344,171,494 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.1% | ||||||||||
Germany — 0.1% | ||||||||||
Automobiles — 0.1% | ||||||||||
Volkswagen AG Preference Shares | 3,317 | 782,086 | ||||||||
|
| |||||||||
Total Germany | 782,086 | |||||||||
|
| |||||||||
Republic of Korea — 0.0% | ||||||||||
Semiconductors & Semiconductor Equipment — 0.0% |
| |||||||||
Samsung Electronics Co. Ltd. Preference Shares | 326 | 265,725 | ||||||||
|
| |||||||||
Total Republic of Korea | 265,725 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCK | 1,047,811 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
33
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
ASSET-BACKED SECURITIES — 0.2% | ||||||||||
Cayman Islands — 0.2% | ||||||||||
ABCLO Ltd. Series 2007-1A, Class C, | $ | 1,000,000 | $ | 948,200 | ||||||
Callidus Debt Partners CLO Fund VII Ltd. Series 7A, Class D, | 1,000,000 | 992,000 | ||||||||
|
| |||||||||
Total Cayman Islands | 1,940,200 | |||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES | 1,940,200 | |||||||||
|
| |||||||||
CONVERTIBLE BONDS — 1.6% | ||||||||||
Finland — 0.7% | ||||||||||
Communications — 0.7% | ||||||||||
Nokia Oyj 5.00%, 10/26/17 (c),(d) | 2,700,000 | EUR | 7,283,476 | |||||||
|
| |||||||||
Total Finland | 7,283,476 | |||||||||
|
| |||||||||
France — 0.1% | ||||||||||
Consumer, Cyclical — 0.1% | ||||||||||
Faurecia 3.25%, 01/01/18 (c),(d) | 4,000,000 | EUR | 1,403,177 | |||||||
|
| |||||||||
Total France | 1,403,177 | |||||||||
|
| |||||||||
Luxembourg — 0.3% | ||||||||||
Energy — 0.3% | ||||||||||
Subsea 7 SA 3.50%, 10/13/14 (c),(d) | 2,500,000 | USD | 3,433,750 | |||||||
|
| |||||||||
Total Luxembourg | 3,433,750 | |||||||||
|
| |||||||||
Netherlands — 0.3% | ||||||||||
Consumer, Cyclical — 0.3% | ||||||||||
Volkswagen International Finance NV Co. GUAR REG S (c) | 2,000,000 | EUR | 2,981,953 | |||||||
|
| |||||||||
Total Netherlands | 2,981,953 | |||||||||
|
| |||||||||
United Kingdom — 0.2% | ||||||||||
Consumer, Cyclical — 0.2% | ||||||||||
TUI Travel PLC SR Unsecured 6.00%, 10/05/14 (c) | 800,000 | GBP | 1,499,102 | |||||||
|
| |||||||||
Total United Kingdom | 1,499,102 | |||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS | 16,601,458 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
34
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
CORPORATE BONDS & NOTES — 23.1% | ||||||||||
Bermuda — 0.9% | ||||||||||
Energy — 0.2% | ||||||||||
Seadrill Ltd. | ||||||||||
5.63%, 09/15/17 (c),(d),(e) | $ | 1,000,000 | $ | 1,010,000 | ||||||
6.13%, 09/15/20 (c),(e) | 1,000,000 | 985,000 | ||||||||
|
| |||||||||
1,995,000 | ||||||||||
|
| |||||||||
Financial — 0.7% | ||||||||||
Armor Re Ltd. 4.25%, 05/15/14 (e),(f) | 800,000 | 808,183 | ||||||||
Golden State Re Ltd., 3.75%, 01/08/15 (e),(f) | 500,000 | 508,661 | ||||||||
Lodestone Re Ltd., 7.25%, 01/08/14 (e),(f) | 1,500,000 | 1,509,667 | ||||||||
NAKAMA RE Ltd., 5.18%, 08/25/29 (e),(f) | 250,000 | 250,500 | ||||||||
Sanders Re Ltd., | ||||||||||
3.50%, 05/05/17 (e),(f) | 500,000 | 500,386 | ||||||||
4.00%, 05/05/17 (e),(f) | 960,000 | 961,792 | ||||||||
Tar Heel Re Ltd., 8.50%, 05/09/19 (e),(f) | 3,000,000 | 3,136,782 | ||||||||
|
| |||||||||
7,675,971 | ||||||||||
|
| |||||||||
Total Bermuda | 9,670,971 | |||||||||
|
| |||||||||
Brazil — 0.9% | ||||||||||
Consumer, Non-cyclical — 0.0% | ||||||||||
Hypermarcas SA | 200,000 | 202,500 | ||||||||
|
| |||||||||
Financial — 0.8% | ||||||||||
Banco Bradesco SA | 2,290,000 | 2,290,000 | ||||||||
Banco do Brasil SA/Cayman | 2,630,000 | 2,505,075 | ||||||||
Banco do Estado do Rio Grande do Sul SA | 300,000 | 296,625 | ||||||||
Banco Votorantim SA | 1,090,000 | 1,130,875 | ||||||||
Itau Unibanco Holding SA | ||||||||||
5.75%, 01/22/21 | 630,000 | 625,275 | ||||||||
6.20%, 04/15/20 - 12/21/21 (b) | 1,570,000 | 1,610,125 | ||||||||
|
| |||||||||
8,457,975 | ||||||||||
|
| |||||||||
Utilities — 0.1% | ||||||||||
CESP Companhia Energetica De Tranche TR 00007 REG S, | 1,336,000 | 895,120 | ||||||||
|
| |||||||||
Total Brazil | 9,555,595 | |||||||||
|
| |||||||||
Canada — 0.5% | ||||||||||
Communications — 0.4% | ||||||||||
Postmedia Network, Inc. 12.50%, 07/15/18 (c) | 4,000,000 | 4,380,000 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
35
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
Consumer, Cyclical — 0.1% | ||||||||||
Air Canada 6.75%, 10/01/19 (c),(e) | $ | 1,000,000 | $ | 995,000 | ||||||
|
| |||||||||
Total Canada | 5,375,000 | |||||||||
|
| |||||||||
Cayman Islands — 1.3% | ||||||||||
Financial — 1.3% | ||||||||||
Ibis Re II Ltd., 4.00%, 06/28/16 (e),(f) | 2,000,000 | 2,032,888 | ||||||||
Montana Re Ltd., | ||||||||||
12.16%, 01/08/14 (e),(f) | 2,000,000 | 2,026,975 | ||||||||
16.66%, 01/08/14 (e),(f) | 1,500,000 | 1,527,217 | ||||||||
Mystic Re Ltd., 12.00%, 03/12/15 (e),(f) | 3,000,000 | 3,214,810 | ||||||||
Pelica Re Ltd. Unsecured, 13.75%, 04/13/2015 (e),(f) | 1,750,000 | 1,900,917 | ||||||||
Successor X Ltd., | ||||||||||
9.35%, 02/25/14 (e),(f) | 500,000 | 507,534 | ||||||||
13.00%, 02/25/14 (e),(f) | 2,000,000 | 2,050,958 | ||||||||
|
| |||||||||
Total Cayman Islands | 13,261,299 | |||||||||
|
| |||||||||
France — 0.2% | ||||||||||
Financial — 0.2% | ||||||||||
Groupama SA Jr Subordinate REG S 6.30% (perpetual bond) (c),(d) | 400,000 | EUR | 424,795 | |||||||
Groupama SA Sr Subordinate 4.38% (perpetual bond) (c),(d),(f) | 1,450,000 | EUR | 1,628,156 | |||||||
|
| |||||||||
Total France | 2,052,951 | |||||||||
|
| |||||||||
Greece — 0.1% | ||||||||||
Industrial — 0.1% | ||||||||||
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc. 8.13%, 02/15/19 (c) | 1,000,000 | 992,500 | ||||||||
|
| |||||||||
Total Greece | 992,500 | |||||||||
|
| |||||||||
Ireland — 0.4% | ||||||||||
Financial — 0.4% | ||||||||||
Pylon II Capital Ltd. Notes, 9.12%, 05/15/16 (e),(f) | 2,230,000 | 3,279,834 | ||||||||
UT2 Funding PLC, 5.32%, 06/30/16 (c) | 850,000 | 1,099,281 | ||||||||
|
| |||||||||
Total Ireland | 4,379,115 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Consumer, Non-cyclical — 0.1% | ||||||||||
Cosan Luxembourg SA 5.00%, 03/14/23 | 760,000 | 684,000 | ||||||||
|
| |||||||||
Total Luxembourg | 684,000 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
36
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
Nigeria — 0.1% | ||||||||||
Energy — 0.1% | ||||||||||
Sea Trucks Group 9.00%, 03/26/18 (e) | $ | 750,000 | $ | 688,125 | ||||||
|
| |||||||||
Total Nigeria | 688,125 | |||||||||
|
| |||||||||
United States — 18.6% | ||||||||||
Basic Materials — 0.2% | ||||||||||
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC 8.88%, 02/01/18 (c),(j) | 1,750,000 | 1,811,250 | ||||||||
|
| |||||||||
Communications — 1.4% | ||||||||||
American Media, Inc. 11.50%, 12/15/17 (c) | 1,640,000 | 1,705,600 | ||||||||
Avaya, Inc. | ||||||||||
7.00%, 04/01/19 (b),(c),(e),(j) | 1,000,000 | 935,000 | ||||||||
9.00%, 04/01/19 (c),(e) | 1,000,000 | 970,000 | ||||||||
10.50%, 03/01/21 (c),(e),(j) | 1,459,000 | 1,181,790 | ||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. 5.75%, 01/15/24 (c),(j) | 1,000,000 | 945,000 | ||||||||
CenturyLink, Inc. 5.80%, 03/15/22 (c) | 1,500,000 | 1,410,000 | ||||||||
Frontier Communications Corp. 7.13%, 01/15/23 (c),(j) | 1,000,000 | 997,500 | ||||||||
McClatchy Co. (The) 9.00%, 12/15/22 (c),(j) | 1,000,000 | 1,055,000 | ||||||||
Sprint Corp. 7.88%, 09/15/23 (c),(e) | 3,000,000 | 3,060,000 | ||||||||
Visant Corp. 10.00%, 10/01/17 (b),(c),(d),(j) | 2,000,000 | 1,860,000 | ||||||||
|
| |||||||||
14,119,890 | ||||||||||
|
| |||||||||
Consumer, Cyclical — 2.1% | ||||||||||
BK Capital Holding/Burge Co. GUAR REG S, 0.00%, 04/15/19 (f),(l) | 620,000 | 545,600 | ||||||||
Boyd Gaming Corp. 9.13%, 12/01/18 (c),(j) | 1,000,000 | 1,087,500 | ||||||||
Caesars Entertainment Operating Co., Inc. | ||||||||||
8.50%, 02/15/20 (c) | 1,000,000 | 920,000 | ||||||||
9.00%, 02/15/20 (b),(c),(d) | 500,000 | 470,000 | ||||||||
11.25%, 06/01/17 (c) | 1,500,000 | 1,522,500 | ||||||||
CCM Merger, Inc. 9.13%, 05/01/19 (c),(e),(j) | 1,000,000 | 1,042,500 | ||||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 07/01/19 (c),(e) | 1,000,000 | 985,000 | ||||||||
General Motors Co. 4.88%, 10/02/23 (c),(e) | 3,000,000 | 2,932,500 | ||||||||
Hot Topic, Inc. 9.25%, 06/15/21 (c),(e) | 1,000,000 | 1,027,500 | ||||||||
Isle of Capri Casinos, Inc. 8.88%, 06/15/20 (c),(j) | 1,000,000 | 1,040,000 | ||||||||
Marina District Finance Co., Inc. | ||||||||||
9.50%, 10/15/15 (c) | 750,000 | 786,563 | ||||||||
9.88%, 08/15/18 (c) | 750,000 | 813,750 | ||||||||
Meritor, Inc. 6.75%, 06/15/21 (b),(c),(j) | 1,000,000 | 990,000 | ||||||||
Mohegan Tribal Gaming Authority 9.75%, 09/01/21 (b),(c),(e) | 2,500,000 | 2,612,500 |
See Notes to Consolidated Financial Statements.
37
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
Navistar International Corp. 8.25%, 11/01/21 (c),(j) | $ | 1,500,000 | $ | 1,518,750 | ||||||
Quiksilver, Inc. / QS Wholesale, Inc. 7.88%, 08/01/18 (c),(e),(j) | 1,000,000 | 1,042,500 | ||||||||
Serta Simmons Holdings LLC 8.13%, 10/01/20 (b),(c),(e),(j) | 1,000,000 | 1,052,500 | ||||||||
Sugarhouse HSP Gaming Prop Mezz LP / Sugarhouse HSP Gaming Finance Corp. | 1,000,000 | 955,000 | ||||||||
Tempur Sealy International, Inc. 6.88%, 12/15/20 (c),(j) | 1,000,000 | 1,045,000 | ||||||||
|
| |||||||||
22,389,663 | ||||||||||
|
| |||||||||
Consumer, Non-cyclical — 1.3% | ||||||||||
Accellent, Inc. | ||||||||||
8.38%, 02/01/17 (c) | 1,600,000 | 1,666,000 | ||||||||
10.00%, 11/01/17 (b),(c),(d),(j) | 500,000 | 460,000 | ||||||||
American Achievement Corp. | 2,000,000 | 2,062,500 | ||||||||
CHS/Community Health Systems, Inc. | 1,000,000 | 1,010,000 | ||||||||
Crestview DS Merger Sub II, Inc. | 500,000 | 515,000 | ||||||||
Kinetic Concepts, Inc. / KCI USA, Inc. | 1,000,000 | 1,103,750 | ||||||||
PHH Corp. 6.38%, 08/15/21 (c) | 1,500,000 | 1,451,250 | ||||||||
Pinnacle Merger Sub, Inc. 9.50%, 10/01/23 (c),(e),(j) | 1,000,000 | 1,028,750 | ||||||||
Pinnacle Operating Corp. 9.00%, 11/15/20 (b),(c),(e),(j) | 2,000,000 | 2,047,500 | ||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu | 1,000,000 | 1,050,000 | ||||||||
Sun Products Corp. (The) 7.75%, 03/15/21 (c),(e),(j) | 1,000,000 | 920,000 | ||||||||
Wyle Services Corp. 10.50%, 04/01/18 (c),(e) | 750,000 | 748,125 | ||||||||
|
| |||||||||
14,062,875 | ||||||||||
|
| |||||||||
Energy — 1.0% | ||||||||||
Access Midstream Partners LP / ACMP Finance Corp. 5.88%, 04/15/21 (c),(j) | 1,500,000 | 1,541,250 | ||||||||
Atlas Energy Holdings Operating Co. LLC / Atlas Resource Finance Corp. 7.75%, 01/15/21 (c),(e) | 1,575,000 | 1,464,750 | ||||||||
Atlas Resource Escrow Corp. 9.25%, 08/15/21 (c),(e) | 1,500,000 | 1,515,000 | ||||||||
EXCO Resources, Inc. 7.50%, 09/15/18 (c),(j) | 1,000,000 | 952,500 | ||||||||
Halcon Resources Corp. | ||||||||||
9.25%, 02/15/22 (b),(c),(e) | 2,000,000 | 2,080,000 | ||||||||
9.75%, 07/15/20 (b),(c),(j) | 1,000,000 | 1,057,500 | ||||||||
Hornbeck Offshore Services, Inc. 5.00%, 03/01/21 (c) | 1,000,000 | 957,500 |
See Notes to Consolidated Financial Statements.
38
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
Linn Energy LLC / Linn Energy Finance Corp., | $ | 1,000,000 | $ | 942,500 | ||||||
Walter Energy, Inc. 9.50%, 10/15/19 (c),(e) | 250,000 | 258,750 | ||||||||
|
| |||||||||
10,769,750 | ||||||||||
|
| |||||||||
Financial — 11.5% | ||||||||||
Lehman Brothers Holdings, Inc. | 453,950,000 | 118,147,062 | ||||||||
MPT Operating Partnership LP / MPT Finance Corp. 6.38%, 02/15/22 (b),(c) | 1,000,000 | 1,012,500 | ||||||||
Patriot Merger Corp. 9.00%, 07/15/21 (b),(c),(e) | 1,000,000 | 1,030,000 | ||||||||
|
| |||||||||
120,189,562 | ||||||||||
|
| |||||||||
Industrial — 0.5% | ||||||||||
Erickson Air-Crane, Inc. | 2,500,000 | 2,446,875 | ||||||||
Gardner Denver, Inc. 6.88%, 08/15/21 (c),(e),(j) | 1,000,000 | 987,500 | ||||||||
Silgan Holdings, Inc. 5.50%, 02/01/22 (c),(e) | 1,500,000 | 1,458,750 | ||||||||
|
| |||||||||
4,893,125 | ||||||||||
|
| |||||||||
Technology — 0.5% | ||||||||||
Amkor Technology, Inc. 6.63%, 06/01/21 (c),(j) | 1,000,000 | 972,500 | ||||||||
First Data Corp. 10.63%, 06/15/21 (c),(e) | 3,500,000 | 3,552,500 | ||||||||
SunGard Data Systems, Inc. 6.63%, 11/01/19 (c),(j) | 1,000,000 | 1,020,000 | ||||||||
|
| |||||||||
5,545,000 | ||||||||||
|
| |||||||||
Utilities — 0.1% | ||||||||||
GenOn Energy, Inc. 9.88%, 10/15/20 (c) | 1,000,000 | 1,102,500 | ||||||||
|
| |||||||||
Total United States | 194,883,615 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | 241,543,171 | |||||||||
|
| |||||||||
BANK LOANS — 1.9% | ||||||||||
United States — 1.9% | ||||||||||
Financial — 1.9% | ||||||||||
MF Global Finance USA, Inc., 06/15/14 (c),(g) | 23,000,000 | 20,240,000 | ||||||||
|
| |||||||||
Total United States | 20,240,000 | |||||||||
|
| |||||||||
TOTAL BANK LOANS | 20,240,000 | |||||||||
|
| |||||||||
FOREIGN GOVERNMENT — 1.7% | ||||||||||
Colombia Government International Bond 12.00%, 10/22/15 (d) | 1,300,000,000 | COP | 778,790 |
See Notes to Consolidated Financial Statements.
39
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
Hungary Government Bond 6.75%, 02/24/17 | $ | 280,000,000 | HUF | $ | 1,352,215 | |||||
Malaysia Government Bond 4.38%, 11/29/19 | 7,640,000 | MYR | 2,432,560 | |||||||
Mexican Bonos | ||||||||||
6.50%, 06/10/21 (d) | 31,000,000 | MXN | 2,477,104 | |||||||
8.00%, 12/19/13 | 20,000,000 | MXN | 1,541,492 | |||||||
Peruvian Government International Bond | 1,150,000 | PEN | 477,999 | |||||||
Poland Government Bond | ||||||||||
3.75%, 04/25/18 | 4,800,000 | PLN | 1,534,214 | |||||||
4.75%, 04/25/17 | 3,900,000 | PLN | 1,296,628 | |||||||
Romania Government Bond 5.80%, 10/26/15 | 680,000 | RON | 213,108 | |||||||
Russian Federal Bond — OFZ 6.80%, 12/11/19 | 88,000,000 | RUB | 2,696,912 | |||||||
Thailand Government Bond | ||||||||||
3.65%, 12/17/21 | 25,500,000 | THB | 806,918 | |||||||
3.88%, 06/13/19 | 17,500,000 | THB | 568,706 | |||||||
Turkey Government Bond 9.00%, 03/08/17 (d) | 3,350,000 | TRY | 1,674,959 | |||||||
|
| |||||||||
TOTAL FOREIGN GOVERNMENT | 17,851,605 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES — 6.9% | ||||||||||
Cayman Islands — 0.1% | ||||||||||
Collateralized Debt Obligation (Commercial) — 0.1% | ||||||||||
N STAR Real Estate CDO, | 1,000,000 | 1,000,000 | ||||||||
|
| |||||||||
Total Cayman Islands | 1,000,000 | |||||||||
|
| |||||||||
United States — 6.7% | ||||||||||
Collateralized Mortgage Obligation (Residential) — 6.6% | ||||||||||
Adjustable Rate Mortgage Trust Series 2005-1, | 2,760,642 | 2,610,187 | ||||||||
Banc of America Funding Trust Series 2006-A, | 1,297,538 | 999,104 | ||||||||
Bear Stearns ARM Trust Series 2005-1, Class 2A1, 2.81%, 03/25/35 (c),(f) | 3,992,721 | 3,729,202 | ||||||||
Citicorp Mortgage Securities Series 2005-7, Class 1A4, 5.50%, 10/25/35 (c) | 845,163 | 830,373 | ||||||||
First Horizon Alternative Mortgage Securities Trust Series 2005-AA7, Class 2A1, | 6,659,801 | 5,877,275 | ||||||||
GSR Mortgage Loan Trust Series 2006-AR1, | 2,217,060 | 1,945,470 | ||||||||
JP Morgan Mortgage Acquisition Trust | 899,774 | 908,592 |
See Notes to Consolidated Financial Statements.
40
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
MASTR Adjustable Rate Mortgages Trust | $ | 11,836,236 | $ | 10,060,800 | ||||||
PHHMC Mortgage Pass Through CE PHHMC | 673,797 | 684,241 | ||||||||
Structured Agency Credit Risk Debt Notes | 966,338 | 978,418 | ||||||||
Structured Asset Securities Corp. Mortgage Loan Trust | 715,608 | 716,967 | ||||||||
Structured Asset Securities Corp. Trust Series 2005-6, Class 2A1, 5.00%, 03/25/35 (c),(f) | 773,712 | 789,186 | ||||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||||
Series 2006-AR10, Class 1A2, | 2,657,784 | 2,245,827 | ||||||||
Series 2006-AR11, Class 3A1A, | 8,451,519 | 5,937,192 | ||||||||
Series 2006-AR13, Class 1A, | 2,758,591 | 2,151,701 | ||||||||
Series 2006-AR15, Class 1A, | 5,864,343 | 4,665,085 | ||||||||
Series 2006-AR19, Class 1A, | 4,224,022 | 3,294,737 | ||||||||
Series 2006-AR7, Class 2A, 1.14%, 07/25/46 (c),(f) | 6,055,095 | 4,925,820 | ||||||||
Series 2006-AR9, Class 1A, 1.16%, 08/25/46 (c),(f) | 9,348,927 | 7,782,982 | ||||||||
Series 2007-OA1, Class A1A, | 5,957,165 | 4,661,482 | ||||||||
Wells Fargo Mortgage Backed Securities | ||||||||||
Series 2005-AR9, Class 3A2, | 612,455 | 592,856 | ||||||||
Series 2006-13, Class A5, 6.00%, 10/25/36 (c) | 577,624 | 583,978 | ||||||||
Series 2006-AR16, Class A1, | 2,123,114 | 1,889,571 | ||||||||
Series 2007-16, Class 1A7, 6.00%, 12/28/37 (c) | 678,455 | 697,791 | ||||||||
|
| |||||||||
69,558,837 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 0.2% | ||||||||||
Boca Hotel Portfolio Trust Series 2013-BOCA, Class E, 3.93%, 08/15/26 (c),(e),(f) | 1,000,000 | 1,000,000 | ||||||||
Credit Suisse Mortgage Capital Certificates | 173,836 | 167,752 |
See Notes to Consolidated Financial Statements.
41
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
LB-UBS Commercial Mortgage Trust Series 2007-C1, Class AJ SEQ (c) | $ | 700,000 | $ | 702,940 | ||||||
|
| |||||||||
1,870,692 | ||||||||||
|
| |||||||||
Total United States | 71,429,529 | |||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 72,429,529 | |||||||||
|
| |||||||||
TRADE CLAIMS — 1.8% | ||||||||||
United States — 1.8% | ||||||||||
Financial — 1.8% | ||||||||||
Lehman Brothers Special Finance 12/31/20 (c),(g) | 75,000,000 | 19,500,000 | ||||||||
|
| |||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 3.0% |
| |||||||||
United States — 3.0% | ||||||||||
Interest Only Collateralized Mortgage Obligations (Residential) — 1.9% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
Series 4029, Class MI, 4.00%, 04/15/41 (c) | 17,968,952 | 3,290,115 | ||||||||
Series 4172, Class PI, 3.00%, 07/15/40 (c) | 24,347,710 | 2,921,725 | ||||||||
Series 4194, Class GI, 4.00%, 04/15/43 (c),(f) | 15,396,214 | 2,988,405 | ||||||||
Federal National Mortgage Association | ||||||||||
Series 2012-144, Class KI, 3.00%, 11/25/42 (c) | 3,320,101 | 441,574 | ||||||||
Series 2012-148, Class CI, 3.00%, 11/25/42 (c) | 21,160,278 | 2,640,803 | ||||||||
Series 2013-1, Class PI, 4.00%, 06/25/42 (c) | 5,426,483 | 1,054,908 | ||||||||
Series 2013-52, Class MI, 4.50%, 06/25/43 (c) | 14,272,717 | 2,060,980 | ||||||||
Series 2013-54, Class IN, 3.50%, 03/25/43 (c) | 16,469,387 | 2,615,339 | ||||||||
Series 2013-83, Class PI, 3.00%, 10/25/41 (c) | 10,768,152 | 1,300,793 | ||||||||
|
| |||||||||
19,314,642 | ||||||||||
|
| |||||||||
Inverse Interest Only Collateralized Mortgage Obligations (Residential) — 1.1% |
| |||||||||
Federal National Mortgage Association | ||||||||||
Series 2013-84, Class PS, 5.97%, 11/25/42 (c),(f) | 15,744,766 | 3,062,357 | ||||||||
Government National Mortgage Association | ||||||||||
Series 2010-14, Class SH, 5.82%, 02/16/40 (c),(f) | 19,933,810 | 3,111,668 | ||||||||
Series 2013-117, Class KI, 5.00%, 12/16/41 (c) | 3,114,007 | 647,714 | ||||||||
Series 2013-117, Class PS, 5.97%, 04/20/43 (c),(f) | 10,959,325 | 2,139,260 | ||||||||
Series 2013-117, Class SP, 5.97%, 03/20/43 (c),(f) | 14,887,320 | 2,831,568 | ||||||||
|
| |||||||||
11,792,567 | ||||||||||
|
| |||||||||
Total United States | 31,107,209 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES | 31,107,209 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
42
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
U.S. TREASURY NOTES — 0.5% | ||||||||||
U.S. Treasury Notes 2.50%, 08/15/23 (b) | $ | 5,000,000 | $ | 4,951,560 | ||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — 0.2% | ||||||||||
iShares China Large-Cap ETF | 14,556 | $ | 539,736 | |||||||
iShares MSCI Japan ETF | 125,301 | 1,492,335 | ||||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS | 2,032,071 | |||||||||
|
| |||||||||
INVESTMENT IN INVESTEE FUND — 2.4% | ||||||||||
Cayman Islands — 2.4% | ||||||||||
Glenview Capital Partners (Cayman), Ltd. (a),(k) | 25,000 | $ | 25,360,000 | |||||||
|
| |||||||||
Security Description | Contracts | Value | ||||||||
PURCHASED OPTIONS — 0.3% | ||||||||||
Exchange-Traded Call Options — 0.0% | ||||||||||
S&P 500 Index Strike Price 1,750.00 USD Expires 10/19/13 (c) | 200 | $ | 26,000 | |||||||
|
| |||||||||
Exchange-Traded Put Options — 0.1% | ||||||||||
10 Year U.S. Treasury Note Future Strike Price 121.00 USD Expires 10/25/13 (c) | 255 | 4,080 | ||||||||
Casino Guichard Perrachon SA Strike Price 68.00 EUR Expires 06/20/14 (c) | 525 | 272,735 | ||||||||
Euro Stoxx 50 Strike Price 2,500.00 EUR Expires 11/15/13 (c) | 150 | 14,002 | ||||||||
Financial Select Sector SPDR Fund Strike Price 20.00 USD Expires 12/21/13 | 6,498 | 493,848 | ||||||||
Financial Select Sector SPDR Fund Strike Price 19.50 USD Expires 12/18/13 | 1,728 | 87,045 | ||||||||
FTSE 100 Strike Price 6,600.00 GBP | 7 | 24,364 | ||||||||
S&P 500 Index Strike Price 1,625.00 USD Expires 12/21/13 | 104 | 306,800 | ||||||||
S&P 500 Index Strike Price 1,650.00 USD Expires 10/19/13 (c) | 85 | 100,130 | ||||||||
S&P 500 Index Strike Price 1,625.00 USD Expires 10/19/13 (c) | 50 | 38,000 | ||||||||
Thyssenkrupp AG Strike Price 10.00 EUR Expires 12/19/14 (c) | 1,600 | 58,443 | ||||||||
|
| |||||||||
1,399,447 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
43
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Notional Amount | Value | ||||||||
FX OTC Call Options — 0.2% | ||||||||||
USD/BRL Currency Strike Price 2.20 USD Expires 12/31/14 Counterparty JPMorgan Chase Bank, N.A. | $ | 1,170,000 | $ | 145,884 | ||||||
EUR/CHF Currency Strike Price 1.25 EUR Expires 12/30/13 Counterparty JPMorgan Chase Bank, N.A. | 5,700,000 | EUR | 27,817 | |||||||
USD/CNY Currency Strike Price 6.40 USD Expires 11/05/15 Counterparty JPMorgan Chase Bank, N.A. | 9,340,000 | USD | 166,147 | |||||||
USD/JPY Currency Strike Price 95.00 USD Expires 12/30/14 Counterparty JPMorgan Chase Bank, N.A. | 21,310,000 | USD | 1,408,741 | |||||||
|
| |||||||||
1,748,589 | ||||||||||
|
| |||||||||
OTC Put Options — 0.0% | ||||||||||
Fiat SpA Strike Price 3.20 EUR Expires 12/19/14 Counterparty JPMorgan Chase Bank, N.A. (c) | 1,750,000 | EUR | 325,775 | |||||||
SAP AG Strike Price 54.00 EUR Expires 10/18/13 Counterparty JPMorgan Chase Bank, N.A. (c) | 20,790 | EUR | 17,005 | |||||||
TOP 40 Index Strike Price 36,136 ZAR Expires 02/28/14 Counterparty JPMorgan Chase Bank, N.A. | 1,002 | ZAR | 48,339 | |||||||
|
| |||||||||
391,119 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS | 3,565,155 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES — 76.6% | 802,341,263 | |||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (16.6%) | (173,396,722 | ) | ||||||||
|
| |||||||||
Other Assets — 40.0% (i) | 418,168,867 | |||||||||
|
| |||||||||
Net Assets — 100.0% | $ | 1,047,113,408 | ||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
SECURITIES SOLD SHORT — (16.6)% | ||||||||||
COMMON STOCK — (11.7)% | ||||||||||
Argentina — (0.0)% | ||||||||||
Hotels, Restaurants & Leisure — (0.0)% | ||||||||||
Arcos Dorados Holdings, Inc. A Shares | 2,700 | $ | (31,995 | ) | ||||||
|
| |||||||||
Internet Software & Services — (0.0)% | ||||||||||
MercadoLibre, Inc. | 1,300 | (175,383 | ) | |||||||
|
| |||||||||
Total Argentina | (207,378 | ) | ||||||||
|
| |||||||||
Australia — (0.1)% | ||||||||||
Commercial Banks — (0.0)% | ||||||||||
Westpac Banking Corp. ADR | 200 | (6,134 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
44
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Metals & Mining — (0.1)% | ||||||||||
BHP Billiton Ltd. ADR | 12,556 | $ | (834,974 | ) | ||||||
|
| |||||||||
Total Australia | (841,108 | ) | ||||||||
|
| |||||||||
Bermuda — (0.0)% | ||||||||||
Electric Utilities — (0.0)% | ||||||||||
Brookfield Infrastructure Partners LP | 100 | (3,802 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Everest Re Group Ltd. | 400 | (58,164 | ) | |||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — (0.0)% | ||||||||||
Frontline Ltd. | 200 | (530 | ) | |||||||
Kosmos Energy Ltd. | 7,600 | (78,128 | ) | |||||||
Teekay Tankers Ltd. Class A | 300 | (786 | ) | |||||||
|
| |||||||||
(79,444 | ) | |||||||||
|
| |||||||||
Total Bermuda | (141,410 | ) | ||||||||
|
| |||||||||
Brazil — (0.1)% | ||||||||||
Airlines — (0.0)% | ||||||||||
Gol Linhas Aereas Inteligentes SA ADR | 4,600 | (22,494 | ) | |||||||
|
| |||||||||
Commercial Banks — (0.0)% | ||||||||||
Banco Santander Brasil SA ADR | 1,700 | (11,815 | ) | |||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Braskem SA ADR | 100 | (1,595 | ) | |||||||
|
| |||||||||
Diversified Telecommunication Services — (0.0)% | ||||||||||
Oi SA ADR | 9,200 | (16,927 | ) | |||||||
|
| |||||||||
Electric Utilities — (0.0)% | ||||||||||
Centrais Eletricas Brasileiras SA ADR | 1,100 | (3,091 | ) | |||||||
|
| |||||||||
Food & Staples Retailing — (0.0)% | ||||||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR | 100 | (4,602 | ) | |||||||
|
| |||||||||
Household Durables — (0.0)% | ||||||||||
Gafisa SA ADR | 15,600 | (50,076 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Cia Siderurgica Nacional SA ADR | 8,000 | (34,160 | ) | |||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — (0.1)% | ||||||||||
Petroleo Brasileiro SA ADR | 48,200 | (746,618 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
45
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Paper & Forest Products — (0.0)% | ||||||||||
Fibria Celulose SA ADR | 9,400 | $ | (108,288 | ) | ||||||
|
| |||||||||
Total Brazil | (999,666 | ) | ||||||||
|
| |||||||||
British Virgin Islands — (0.0)% | ||||||||||
Real Estate Management & Development — (0.0)% | ||||||||||
Altisource Residential Corp. (d) | 600 | (13,788 | ) | |||||||
|
| |||||||||
Total British Virgin Islands | (13,788 | ) | ||||||||
|
| |||||||||
Canada — (0.3)% | ||||||||||
Biotechnology — (0.0)% | ||||||||||
Oncolytics Biotech, Inc. | 300 | (732 | ) | |||||||
|
| |||||||||
Chemicals — (0.1)% | ||||||||||
Methanex Corp. | 100 | (5,127 | ) | |||||||
Potash Corp. of Saskatchewan, Inc. | 30,100 | (941,528 | ) | |||||||
|
| |||||||||
(946,655 | ) | |||||||||
|
| |||||||||
Communications Equipment — (0.2)% | ||||||||||
Blackberry Ltd. | 30,500 | (242,475 | ) | |||||||
|
| |||||||||
Diversified Telecommunication Services — (0.0)% | ||||||||||
Telus Corp. | 300 | (9,936 | ) | |||||||
|
| |||||||||
Health Care Providers & Services — (0.0)% | ||||||||||
Catamaran Corp. | 13,900 | (638,705 | ) | |||||||
|
| |||||||||
Household Durables — (0.0)% | ||||||||||
Brookfield Residential Properties, Inc. | 100 | (2,302 | ) | |||||||
|
| |||||||||
Independent Power Producers & Energy Traders — (0.0)% |
| |||||||||
TransAlta Corp. | 100 | (1,296 | ) | |||||||
|
| |||||||||
IT Services — (0.0)% | ||||||||||
CGI Group, Inc. Class A | 800 | (28,080 | ) | |||||||
|
| |||||||||
Machinery — (0.0)% | ||||||||||
Westport Innovations, Inc. | 1,200 | (29,028 | ) | |||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Imax Corp. | 4,600 | (139,104 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.1)% | ||||||||||
Agnico Eagle Mines Ltd. | 2,600 | (68,822 | ) | |||||||
AuRico Gold, Inc. | 23,200 | (88,392 | ) | |||||||
B2GOLD Corp. | 200 | (496 | ) | |||||||
Barrick Gold Corp. | 24,400 | (454,328 | ) | |||||||
Endeavour Silver Corp. | 1,500 | (6,450 | ) |
See Notes to Consolidated Financial Statements.
46
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
First Majestic Silver Corp. | 2,800 | $ | (33,208 | ) | ||||||
Kinross Gold Corp. | 40,300 | (203,515 | ) | |||||||
McEwen Mining, Inc. | 5,100 | (12,240 | ) | |||||||
New Gold, Inc. | 4,500 | (26,910 | ) | |||||||
Novagold Resources, Inc. | 14,300 | (33,176 | ) | |||||||
Pan American Silver Corp. | 4,300 | (45,365 | ) | |||||||
Pretium Resources, Inc. | 1,000 | (6,890 | ) | |||||||
Rare Element Resources Ltd. | 2,500 | (6,675 | ) | |||||||
Sandstorm Gold Ltd. | 4,300 | (23,134 | ) | |||||||
Seabridge Gold, Inc. | 1,800 | (18,828 | ) | |||||||
Tanzanian Royalty Explortation | 1,600 | (4,048 | ) | |||||||
Turquoise Hill Resources Ltd. | 60,700 | (268,294 | ) | |||||||
|
| |||||||||
(1,300,771 | ) | |||||||||
|
| |||||||||
Multi-Utilities — (0.0)% | ||||||||||
Just Energy Group, Inc. | 1,600 | (10,192 | ) | |||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — (0.0)% | ||||||||||
Penn West Petroleum Ltd. | 12,100 | (134,673 | ) | |||||||
Talisman Energy, Inc. | 400 | (4,600 | ) | |||||||
Uranium Energy Corp. | 1,300 | (2,925 | ) | |||||||
|
| |||||||||
(142,198 | ) | |||||||||
|
| |||||||||
Real Estate Management & Development — (0.1)% | ||||||||||
Brookfield Asset Management, Inc. Class A | 4,300 | (160,820 | ) | |||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
Open Text Corp. | 300 | (22,395 | ) | |||||||
|
| |||||||||
Total Canada | (3,674,689 | ) | ||||||||
|
| |||||||||
Chile — (0.1)% | ||||||||||
Airlines — (0.1)% | ||||||||||
Latam Airlines Group SA ADR | 44,100 | (665,028 | ) | |||||||
|
| |||||||||
Beverages — (0.0)% | ||||||||||
Cia Cervecerias Unidas SA | 469 | (211 | ) | |||||||
Cia Cervecerias Unidas SA ADR | 2,930 | (77,967 | ) | |||||||
|
| |||||||||
(78,178 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Sociedad Quimica y Minera de Chile SA ADR | 1,700 | (51,935 | ) | |||||||
|
| |||||||||
Commercial Banks — (0.0)% | ||||||||||
Banco Santander Chile ADR | 1,000 | (26,290 | ) | |||||||
|
| |||||||||
Total Chile | (821,431 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
47
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
China — (0.1)% | ||||||||||
Internet & Catalog Retail — (0.0)% | ||||||||||
E-Commerce China Dangdang, Inc. ADR | 12,700 | $ | (133,096 | ) | ||||||
|
| |||||||||
Internet Software & Services — (0.1)% | ||||||||||
Renren, Inc. ADR | 1,800 | (6,066 | ) | |||||||
Youku Tudou, Inc. ADR | 42,100 | (1,153,540 | ) | |||||||
|
| |||||||||
(1,159,606 | ) | |||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — (0.0)% | ||||||||||
China Petroleum & Chemical Corp. ADR | 100 | (7,829 | ) | |||||||
Yanzhou Coal Mining Co. Ltd. ADR | 4,500 | (43,020 | ) | |||||||
|
| |||||||||
(50,849 | ) | |||||||||
|
| |||||||||
Semiconductors & Seminconductor Equipment — (0.0)% |
| |||||||||
JA Solar Holdings Co. Ltd. ADR | 600 | (6,102 | ) | |||||||
LDK Solar Co. Ltd. ADR | 1,600 | (3,088 | ) | |||||||
|
| |||||||||
(9,190 | ) | |||||||||
|
| |||||||||
Total China | (1,352,741 | ) | ||||||||
|
| |||||||||
Denmark — (0.1)% | ||||||||||
Pharmeceuticals — (0.1)% | ||||||||||
Novo Nordisk A/S B Shares (c) | 7,500 | (1,270,233 | ) | |||||||
|
| |||||||||
Total Denmark | (1,270,233 | ) | ||||||||
|
| |||||||||
Germany — (0.1)% | ||||||||||
Capital Markets — (0.0)% | ||||||||||
Deutsche Bank AG | 4,600 | (211,048 | ) | |||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — (0.0)% |
| |||||||||
Aixtron SE ADR | 200 | (3,392 | ) | |||||||
|
| |||||||||
Software — (0.1)% | ||||||||||
SAP AG ADR | 5,400 | (399,168 | ) | |||||||
|
| |||||||||
Total Germany | (613,608 | ) | ||||||||
|
| |||||||||
Greece — (0.0)% | ||||||||||
Commercial Banks — (0.0)% | ||||||||||
National Bank of Greece SA ADR | 6,700 | (27,135 | ) | |||||||
|
| |||||||||
Marine — (0.0)% | ||||||||||
Diana Containerships, Inc. | 400 | (1,516 | ) | |||||||
|
| |||||||||
Total Greece | (28,651 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
48
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Hong Kong — (0.0)% | ||||||||||
Wireless Telecommunication Services — (0.0)% | ||||||||||
China Mobile Ltd. ADR | 200 | $ | (11,286 | ) | ||||||
|
| |||||||||
Total Hong Kong | (11,286 | ) | ||||||||
|
| |||||||||
India — (0.0)% | ||||||||||
Commercial Banks — (0.0)% | ||||||||||
HDFC Bank Ltd. ADR | 6,600 | (203,148 | ) | |||||||
ICICI Bank Ltd. ADR | 700 | (21,336 | ) | |||||||
|
| |||||||||
(224,484 | ) | |||||||||
|
| |||||||||
IT Services — (0.0)% | ||||||||||
Wipro Ltd. ADR | 3,500 | (35,910 | ) | |||||||
|
| |||||||||
Pharmaceuticals — (0.0)% | ||||||||||
Dr Reddy’s Laboratories Ltd. ADR | 800 | (30,232 | ) | |||||||
|
| |||||||||
Total India | (290,626 | ) | ||||||||
|
| |||||||||
Ireland — (0.2)% | ||||||||||
Biotechnology — (0.2)% | ||||||||||
Amarin Corp. PLC ADR | 317,900 | (2,009,128 | ) | |||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
CRH PLC ADR | 3,000 | (72,510 | ) | |||||||
|
| |||||||||
Total Ireland | (2,081,638 | ) | ||||||||
|
| |||||||||
Israel — (0.0)% | ||||||||||
Household Durables — (0.0)% | ||||||||||
SodaStream International Ltd. | 2,100 | (131,019 | ) | |||||||
|
| |||||||||
Total Israel | (131,019 | ) | ||||||||
|
| |||||||||
Japan — (0.0)% | ||||||||||
Automobiles — (0.0)% | ||||||||||
Toyota Motor Corp. ADR | 200 | (25,606 | ) | |||||||
|
| |||||||||
Commercial Banks — (0.0)% | ||||||||||
Mizuho Financial Group, Inc. ADR | 100 | (432 | ) | |||||||
|
| |||||||||
Total Japan | (26,038 | ) | ||||||||
|
| |||||||||
Jersey — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
Randgold Resources Ltd. ADR | 800 | (57,224 | ) | |||||||
|
| |||||||||
Total Jersey | (57,224 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
49
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Mexico — (0.1)% | ||||||||||
Beverages — (0.0)% | ||||||||||
Fomento Economico Mexicano SAB de CV ADR | 100 | $ | (9,709 | ) | ||||||
|
| |||||||||
Construction & Engineering — (0.0)% | ||||||||||
Empresas ICA SAB de CV ADR | 3,700 | (31,598 | ) | |||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Grupo Televisa SAB ADR | 7,300 | (204,035 | ) | |||||||
|
| |||||||||
Wireless Telecommunication Services — (0.1)% | ||||||||||
America Movil SAB de CV Series L ADR | 29,300 | (580,433 | ) | |||||||
|
| |||||||||
Total Mexico | (825,775 | ) | ||||||||
|
| |||||||||
Monaco — (0.0)% | ||||||||||
Oil, Gas & Consumable Fuels — (0.0)% | ||||||||||
GasLog Ltd. | 100 | (1,493 | ) | |||||||
Scorpio Tankers, Inc. | 17,300 | (168,848 | ) | |||||||
|
| |||||||||
Total Monaco | (170,341 | ) | ||||||||
|
| |||||||||
Netherlands — (0.2)% | ||||||||||
Diversified Financial Servies — (0.1)% | ||||||||||
ING Groep NV ADR | 25,000 | (283,750 | ) | |||||||
|
| |||||||||
Internet Software & Services — (0.0)% | ||||||||||
Yandex NV A Shares | 2,900 | (105,618 | ) | |||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — (0.1)% |
| |||||||||
ASML Holding NV New York Shares | 12,900 | (1,274,004 | ) | |||||||
|
| |||||||||
Wireless Telecommunication Services — (0.0)% | ||||||||||
VimpelCom Ltd. ADR | 2,200 | (25,850 | ) | |||||||
|
| |||||||||
Total Netherlands | (1,689,222 | ) | ||||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
Oil, Gas & Consumable Fuels — (0.0)% | ||||||||||
Nordic American Tankers Ltd. | 6,900 | (56,856 | ) | |||||||
|
| |||||||||
Total Norway | (56,856 | ) | ||||||||
|
| |||||||||
Philippines — (0.0)% | ||||||||||
Wireless Telecommunication Services — (0.0)% | ||||||||||
Philippine Long Distance Telephone Co. ADR | 200 | (13,568 | ) | |||||||
|
| |||||||||
Total Philippines | (13,568 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
50
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Portugal — (0.0)% | ||||||||||
Diversified Telecommunication Services — (0.0)% | ||||||||||
Portugal Telecom SGPS SA | 16,741 | $ | (75,483 | ) | ||||||
|
| |||||||||
Total Portugal | (75,483 | ) | ||||||||
|
| |||||||||
Republic of Korea — (0.0)% | ||||||||||
Electric Utilities — (0.0)% | ||||||||||
Korea Electric Power Corp. ADR | 1,900 | (26,676 | ) | |||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — (0.0)% |
| |||||||||
LG Display Co. Ltd. ADR | 100 | (1,193 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
POSCO ADR | 400 | (29,456 | ) | |||||||
|
| |||||||||
Wireless Telecommunication Services — (0.0)% | ||||||||||
SK Telecom Co. Ltd. ADR | 2,500 | (56,750 | ) | |||||||
|
| |||||||||
Total Republic of Korea | (114,075 | ) | ||||||||
|
| |||||||||
Russia — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
Mechel ADR | 7,200 | (23,112 | ) | |||||||
|
| |||||||||
Total Russia | (23,112 | ) | ||||||||
|
| |||||||||
South Africa — (0.1)% | ||||||||||
Metals & Mining — (0.1)% | ||||||||||
AngloGold Ashanti Ltd. ADR | 29,400 | (390,432 | ) | |||||||
|
| |||||||||
Total South Africa | (390,432 | ) | ||||||||
|
| |||||||||
Spain — (0.0)% | ||||||||||
Commercial Banks — (0.0)% | ||||||||||
Banco Bilbao Vizcaya Argentaria SA ADR | 200 | (2,236 | ) | |||||||
|
| |||||||||
Diversified Telecommunication Services — (0.0)% | ||||||||||
Telefonica SA ADR | 8,000 | (123,840 | ) | |||||||
|
| |||||||||
Total Spain | (126,076 | ) | ||||||||
|
| |||||||||
Sweden — (0.0)% | ||||||||||
Communications Equipment — (0.0)% | ||||||||||
Telefonaktiebolaget LM Ericsson ADR | 2,700 | (36,045 | ) | |||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — (0.0)% |
| |||||||||
Neonode, Inc. | 200 | (1,284 | ) | |||||||
|
| |||||||||
Total Sweden | (37,329 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
51
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Switzerland — (0.0)% | ||||||||||
Chemicals — (0.0)% | ||||||||||
Syngenta AG ADR | 200 | $ | (16,260 | ) | ||||||
|
| |||||||||
Machinery — (0.0)% | ||||||||||
Pentair Ltd. | 3,700 | (240,278 | ) | |||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — (0.0)% |
| |||||||||
STMicroelectronics NV | 6,300 | (57,960 | ) | |||||||
|
| |||||||||
Total Switzerland | (314,498 | ) | ||||||||
|
| |||||||||
Taiwan — (0.0)% | ||||||||||
Semiconductors & Semiconductor Equipment — (0.0)% |
| |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 15,600 | (264,576 | ) | |||||||
|
| |||||||||
Total Taiwan | (264,576 | ) | ||||||||
|
| |||||||||
United Kingdom — (0.1)% | ||||||||||
Commercial Banks — (0.0)% | ||||||||||
Barclays PLC ADR | 2,400 | (40,896 | ) | |||||||
|
| |||||||||
Hotels, Restaurants & Leisure — (0.0)% | ||||||||||
Carnival PLC ADR | 100 | (3,391 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.1)% | ||||||||||
Rio Tinto PLC ADR | 10,313 | (502,862 | ) | |||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — (0.0)% |
| |||||||||
ARM Holdings PLC ADR | 10,400 | (500,448 | ) | |||||||
|
| |||||||||
Total United Kingdom | (1,047,597 | ) | ||||||||
|
| |||||||||
United States — (10.0)% | ||||||||||
Aerospace & Defense — (0.0)% | ||||||||||
DigitalGlobe, Inc. | 3,300 | (104,346 | ) | |||||||
KEYW Holding Corp. (The) | 1,200 | (16,140 | ) | |||||||
Kratos Defense & Security Solutions, Inc. | 400 | (3,312 | ) | |||||||
Rockwell Collins, Inc. | 1,000 | (67,860 | ) | |||||||
|
| |||||||||
(191,658 | ) | |||||||||
|
| |||||||||
Air Freight & Logistics — (0.0)% | ||||||||||
CH Robinson Worldwide, Inc. | 6,300 | (375,228 | ) | |||||||
XPO Logistics, Inc. | 1,300 | (28,171 | ) | |||||||
|
| |||||||||
(403,399 | ) | |||||||||
|
| |||||||||
Auto Components — (0.0)% | ||||||||||
Standard Motor Products, Inc. | 100 | (3,216 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
52
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Automobiles — (0.0)% | ||||||||||
Winnebago Industries, Inc. | 500 | $ | (12,980 | ) | ||||||
|
| |||||||||
Beverages — (0.0)% | ||||||||||
Coca-Cola Enterprises, Inc. | 300 | (12,063 | ) | |||||||
|
| |||||||||
Biotechnology — (0.7)% | ||||||||||
ACADIA Pharmaceuticals, Inc. (d) | 73,500 | (2,019,045 | ) | |||||||
Alnylam Pharmaceuticals, Inc. | 4,100 | (262,441 | ) | |||||||
Arena Pharmaceuticals, Inc. | 12,600 | (66,402 | ) | |||||||
Ariad Pharmaceuticals, Inc. | 27,700 | (509,680 | ) | |||||||
Array BioPharma, Inc. | 100 | (622 | ) | |||||||
Biotime, Inc. | 100 | (380 | ) | |||||||
Cepheid, Inc. | 2,900 | (113,216 | ) | |||||||
Coronado Biosciences, Inc. | 3,900 | (27,378 | ) | |||||||
Cyclacel Pharmaceuticals, Inc. | 1,100 | (4,697 | ) | |||||||
Cytokinetics, Inc. | 400 | (3,036 | ) | |||||||
Dendreon Corp. | 1,400 | (4,102 | ) | |||||||
Exact Sciences Corp. | 5,300 | (62,593 | ) | |||||||
Exelixis, Inc. | 12,400 | (72,168 | ) | |||||||
Galena Biopharma, Inc. | 1,300 | (2,951 | ) | |||||||
Halozyme Therapeutics, Inc. | 800 | (8,832 | ) | |||||||
ImmunoCellular Therapeutics Ltd. | 4,900 | (12,593 | ) | |||||||
ImmunoGen, Inc. | 5,600 | (95,312 | ) | |||||||
Immunomedics, Inc. | 700 | (4,333 | ) | |||||||
Infinity Pharmaceuticals, Inc. | 12,000 | (209,400 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 2,000 | (4,140 | ) | |||||||
Ironwood Pharmaceuticals, Inc. | 21,200 | (251,220 | ) | |||||||
Keryx Biopharmaceuticals, Inc. | 140,300 | (1,417,030 | ) | |||||||
Merrimack Pharmaceuticals, Inc. | 23,900 | (90,820 | ) | |||||||
Nanosphere, Inc. | 1,700 | (3,400 | ) | |||||||
Neostem, Inc. | 2,900 | (24,795 | ) | |||||||
Neurocrine Biosciences, Inc. | 2,300 | (26,036 | ) | |||||||
Novavax, Inc. | 600 | (1,896 | ) | |||||||
Opko Health, Inc. | 4,100 | (36,121 | ) | |||||||
Orexigen Therapeutics, Inc. | 10,200 | (62,628 | ) | |||||||
Peregrine Pharmaceuticals, Inc. | 7,000 | (9,870 | ) | |||||||
Pharmacyclics, Inc. (c) | 12,760 | (1,766,239 | ) | |||||||
Sangamo Biosciences, Inc. | 2,900 | (30,392 | ) | |||||||
Sarepta Therapeutics, Inc. | 900 | (42,507 | ) | |||||||
Spectrum Pharmaceuticals, Inc. | 4,500 | (37,755 | ) | |||||||
Synageva BioPharma Corp. | 200 | (12,662 | ) | |||||||
Synergy Pharmaceuticals, Inc. | 20,900 | (95,513 | ) | |||||||
Synta Pharmaceuticals Corp. | 4,000 | (25,240 | ) | |||||||
TESARO, Inc. | 100 | (3,874 | ) | |||||||
Threshold Pharmaceuticals, Inc. | 200 | (930 | ) |
See Notes to Consolidated Financial Statements.
53
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Vanda Pharmaceuticals, Inc. | 400 | $ | (4,388 | ) | ||||||
Vical, Inc. | 200 | (250 | ) | |||||||
|
| |||||||||
(7,426,887 | ) | |||||||||
|
| |||||||||
Building Products — (0.0)% | ||||||||||
NCI Building Systems, Inc. | 400 | (5,096 | ) | |||||||
Simpson Manufacturing Co., Inc. | 100 | (3,257 | ) | |||||||
Trex Co., Inc. | 200 | (9,906 | ) | |||||||
|
| |||||||||
(18,259 | ) | |||||||||
|
| |||||||||
Capital Markets — (0.3)% | ||||||||||
Cohen & Steers, Inc. | 100 | (3,531 | ) | |||||||
Eaton Vance Corp. | 2,800 | (108,724 | ) | |||||||
Federated Investors, Inc. Class B | 2,500 | (67,900 | ) | |||||||
FXCM, Inc. Class A | 300 | (5,925 | ) | |||||||
Goldman Sachs Group, Inc. (The) | 13,000 | (2,056,730 | ) | |||||||
Greenhill & Co., Inc. | 300 | (14,964 | ) | |||||||
Janus Capital Group, Inc. | 3,600 | (30,636 | ) | |||||||
Main Street Capital Corp. | 3,200 | (95,776 | ) | |||||||
Morgan Stanley | 9,900 | (266,805 | ) | |||||||
Walter Investment Management Corp. | 16,700 | (660,318 | ) | |||||||
|
| |||||||||
(3,311,309 | ) | |||||||||
|
| |||||||||
Chemicals — (0.1)% | ||||||||||
Axiall Corp. | 13,000 | (491,270 | ) | |||||||
Flotek Industries, Inc. | 4,600 | (105,800 | ) | |||||||
Kronos Worldwide, Inc. | 200 | (3,098 | ) | |||||||
PolyOne Corp. | 200 | (6,142 | ) | |||||||
Sigma-Aldrich Corp. | 1,100 | (93,830 | ) | |||||||
|
| |||||||||
(700,140 | ) | |||||||||
|
| |||||||||
Commercial Banks — (0.1)% | ||||||||||
BancorpSouth, Inc. | 100 | (1,994 | ) | |||||||
Bank of the Ozarks, Inc. | 200 | (9,598 | ) | |||||||
Columbia Banking System, Inc. | 400 | (9,880 | ) | |||||||
First Financial Bankshares, Inc. | 200 | (11,764 | ) | |||||||
First Horizon National Corp. | 5,800 | (63,742 | ) | |||||||
NBT Bancorp, Inc. | 100 | (2,298 | ) | |||||||
Prosperity Bancshares, Inc. | 6,400 | (395,776 | ) | |||||||
|
| |||||||||
(495,052 | ) | |||||||||
|
| |||||||||
Commercial Services & Supplies — (0.2)% | ||||||||||
ACCO Brands Corp. | 3,700 | (24,568 | ) | |||||||
ADT Corp. (The) | 51,200 | (2,081,792 | ) |
See Notes to Consolidated Financial Statements.
54
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Cintas Corp. | 3,900 | $ | (199,680 | ) | ||||||
HNI Corp. | 200 | (7,236 | ) | |||||||
|
| |||||||||
(2,313,276 | ) | |||||||||
|
| |||||||||
Communications Equipment — (0.0)% | ||||||||||
Meru Networks, Inc. | 200 | (654 | ) | |||||||
Parkervision, Inc. | 2,500 | (8,375 | ) | |||||||
Procera Networks, Inc. | 5,000 | (77,450 | ) | |||||||
Riverbed Technology, Inc. | 2,100 | (30,639 | ) | |||||||
Ruckus Wireless, Inc. | 4,700 | (79,101 | ) | |||||||
|
| |||||||||
(196,219 | ) | |||||||||
|
| |||||||||
Computers & Peripherals — (0.1)% | ||||||||||
3D Systems Corp. | 200 | (10,798 | ) | |||||||
Diebold, Inc. | 5,700 | (167,352 | ) | |||||||
Fusion-io, Inc. | 28,600 | (382,954 | ) | |||||||
Hutchinson Technology, Inc. | 200 | (696 | ) | |||||||
OCZ Technology Group, Inc. | 2,100 | (2,730 | ) | |||||||
Silicon Graphics International Corp. | 1,000 | (16,250 | ) | |||||||
|
| |||||||||
(580,780 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
Texas Industries, Inc. | 300 | (19,893 | ) | |||||||
|
| |||||||||
Consumer Finance — (0.4)% | ||||||||||
Capital One Financial Corp. | 31,300 | (2,151,562 | ) | |||||||
Portfolio Recovery Associates, Inc. | 33,145 | (1,986,711 | ) | |||||||
|
| |||||||||
(4,138,273 | ) | |||||||||
|
| |||||||||
Distributors — (0.0)% | ||||||||||
Pool Corp. | 200 | (11,226 | ) | |||||||
|
| |||||||||
Diversified Consumer Services — (0.0)% | ||||||||||
Outerwall, Inc. | 1,600 | (79,984 | ) | |||||||
Weight Watchers International, Inc. | 1,000 | (37,370 | ) | |||||||
|
| |||||||||
(117,354 | ) | |||||||||
|
| |||||||||
Diversified Financial Services — (0.3)% | ||||||||||
Bank of America Corp. | 141,800 | (1,956,840 | ) | |||||||
Berkshire Hathaway, Inc. Class B | 2,400 | (272,424 | ) | |||||||
Leucadia National Corp. | 27,500 | (749,100 | ) | |||||||
PHH Corp. | 4,200 | (99,708 | ) | |||||||
|
| |||||||||
(3,078,072 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
55
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Diversified Telecommunication Services — (0.0)% | ||||||||||
CenturyLink, Inc. | 3,500 | $ | (109,830 | ) | ||||||
Cincinnati Bell, Inc. | 9,000 | (24,480 | ) | |||||||
inContact, Inc. | 700 | (5,789 | ) | |||||||
Inteliquent, Inc. | 4,700 | (45,402 | ) | |||||||
Iridium Communications, Inc. | 300 | (2,064 | ) | |||||||
|
| |||||||||
(187,565 | ) | |||||||||
|
| |||||||||
Electric Utilities — (0.2)% | ||||||||||
Duke Energy Corp. | 4,000 | (267,120 | ) | |||||||
Northeast Utilities | 18,500 | (763,125 | ) | |||||||
Pepco Holdings, Inc. | 29,400 | (542,724 | ) | |||||||
|
| |||||||||
(1,572,969 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.1)% | ||||||||||
Acuity Brands, Inc. | 12,900 | (1,187,058 | ) | |||||||
Capstone Turbine Corp. | 18,800 | (22,184 | ) | |||||||
Encore Wire Corp. | 100 | (3,944 | ) | |||||||
FuelCell Energy, Inc. | 800 | (1,032 | ) | |||||||
SolarCity Corp. | 4,900 | (169,540 | ) | |||||||
|
| |||||||||
(1,383,758 | ) | |||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — (0.0)% |
| |||||||||
InvenSense, Inc. | 5,900 | (103,958 | ) | |||||||
Microvision, Inc. | 400 | (696 | ) | |||||||
RealD, Inc. | 1,800 | (12,600 | ) | |||||||
Uni-Pixel, Inc. | 2,400 | (42,552 | ) | |||||||
|
| |||||||||
(159,806 | ) | |||||||||
|
| |||||||||
Energy Equipment & Services — (0.1)% | ||||||||||
Geospace Technologies Corp. | 12,200 | (1,028,460 | ) | |||||||
Nuverra Environmental Solutions, Inc. | 19,300 | (44,197 | ) | |||||||
|
| |||||||||
(1,072,657 | ) | |||||||||
|
| |||||||||
Food & Staples Retailing — (0.7)% | ||||||||||
Roundy’s, Inc. | 13,300 | (114,380 | ) | |||||||
Safeway, Inc. | 22,800 | (729,372 | ) | |||||||
Walgreen Co. (c) | 116,000 | (6,240,800 | ) | |||||||
|
| |||||||||
(7,084,552 | ) | |||||||||
|
| |||||||||
Food Products — (0.1)% | ||||||||||
Annie’s, Inc. | 1,800 | (88,380 | ) | |||||||
Campbell Soup Co. | 6,300 | (256,473 | ) | |||||||
Hormel Foods Corp. | 400 | (16,848 | ) |
See Notes to Consolidated Financial Statements.
56
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Pinnacle Foods, Inc. | 3,400 | $ | (89,998 | ) | ||||||
Snyders-Lance, Inc. | 100 | (2,885 | ) | |||||||
|
| |||||||||
(454,584 | ) | |||||||||
|
| |||||||||
Health Care Equipment & Supplies — (0.8)% | ||||||||||
Biolase, Inc. | 2,607 | (4,979 | ) | |||||||
Boston Scientific Corp. (c) | 177,545 | (2,084,378 | ) | |||||||
Cerus Corp. | 1,900 | (12,749 | ) | |||||||
DENTSPLY International, Inc. (c) | 33,945 | (1,473,553 | ) | |||||||
IDEXX Laboratories, Inc. (c) | 14,692 | (1,464,058 | ) | |||||||
Masimo Corp. | 4,800 | (127,872 | ) | |||||||
Medical Action Industries, Inc. | 500 | (3,320 | ) | |||||||
Medtronic, Inc. (c) | 37,484 | (1,996,023 | ) | |||||||
Navidea Biopharmaceuticals, Inc. | 8,100 | (21,465 | ) | |||||||
Rockwell Medical, Inc. | 2,200 | (25,102 | ) | |||||||
TearLab Corp. | 6,800 | (75,208 | ) | |||||||
Unilife Corp. | 500 | (1,660 | ) | |||||||
Varian Medical Systems, Inc. (c) | 19,964 | (1,491,910 | ) | |||||||
|
| |||||||||
(8,782,277 | ) | |||||||||
|
| |||||||||
Health Care Providers & Services — (0.5)% | ||||||||||
AmerisourceBergen Corp. (c) | 31,648 | (1,933,693 | ) | |||||||
BioScrip, Inc. | 3,900 | (34,242 | ) | |||||||
DaVita HealthCare Partners, Inc. | 100 | (5,690 | ) | |||||||
Emeritus Corp. | 2,200 | (40,766 | ) | |||||||
Express Scripts Holding Co. | 28,500 | (1,760,730 | ) | |||||||
Kindred Healthcare, Inc. | 5,200 | (69,836 | ) | |||||||
Quest Diagnostics, Inc. (c) | 15,173 | (937,540 | ) | |||||||
Tenet Healthcare Corp. | 300 | (12,357 | ) | |||||||
|
| |||||||||
(4,794,854 | ) | |||||||||
|
| |||||||||
Health Care Technology — (0.1)% | ||||||||||
athenahealth, Inc. | 3,000 | (325,680 | ) | |||||||
Cerner Corp. | 3,400 | (178,670 | ) | |||||||
Merge Healthcare, Inc. | 3,900 | (10,179 | ) | |||||||
Vocera Communications, Inc. | 1,000 | (18,600 | ) | |||||||
|
| |||||||||
(533,129 | ) | |||||||||
|
| |||||||||
Hotels, Restaurants & Leisure — (0.4)% | ||||||||||
Bally Technologies, Inc. | 27,800 | (2,003,268 | ) | |||||||
Cheesecake Factory, Inc. (The) | 5,200 | (228,540 | ) | |||||||
Choice Hotels International, Inc. | 3,900 | (168,441 | ) | |||||||
Dunkin’ Brands Group, Inc. | 45,800 | (2,072,908 | ) | |||||||
Jamba, Inc. | 2,300 | (30,774 | ) | |||||||
|
| |||||||||
(4,503,931 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
57
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Household Durables — (0.1)% | ||||||||||
Beazer Homes USA, Inc. | 4,200 | $ | (75,600 | ) | ||||||
Blyth, Inc. | 900 | (12,447 | ) | |||||||
DR Horton, Inc. | 12,800 | (248,704 | ) | |||||||
Hovnanian Enterprises, Inc. Class A | 20,300 | (106,169 | ) | |||||||
KB Home | 4,500 | (81,090 | ) | |||||||
M/I Homes, Inc. | 2,200 | (45,364 | ) | |||||||
PulteGroup, Inc. | 400 | (6,600 | ) | |||||||
Ryland Group, Inc. (The) | 300 | (12,162 | ) | |||||||
Tempur Sealy International, Inc. | 3,400 | (149,464 | ) | |||||||
Tupperware Brands Corp. | 100 | (8,637 | ) | |||||||
William Lyon Homes Class A | 300 | (6,096 | ) | |||||||
Zagg, Inc. | 200 | (900 | ) | |||||||
|
| |||||||||
(753,233 | ) | |||||||||
|
| |||||||||
Household Products — (0.2)% | ||||||||||
Colgate-Palmolive Co. (c) | 21,500 | (1,274,950 | ) | |||||||
Harbinger Group, Inc. | 2,800 | (29,036 | ) | |||||||
Procter & Gamble Co. (The) (c) | 16,000 | (1,209,440 | ) | |||||||
|
| |||||||||
(2,513,426 | ) | |||||||||
|
| |||||||||
Independent Power Producers & Energy Traders — (0.2)% |
| |||||||||
Atlantic Power Corp. | 4,200 | (18,102 | ) | |||||||
Dynegy, Inc. | 500 | (9,660 | ) | |||||||
NRG Energy, Inc. (d) | 77,600 | (2,120,808 | ) | |||||||
|
| |||||||||
(2,148,570 | ) | |||||||||
|
| |||||||||
Insurance — (0.2)% | ||||||||||
Alleghany Corp. | 600 | (245,790 | ) | |||||||
American Equity Investment Life Holding Co. | 600 | (12,732 | ) | |||||||
Amtrust Financial Services, Inc. | 27,670 | (1,080,790 | ) | |||||||
Chubb Corp. (The) | 2,700 | (241,002 | ) | |||||||
HCI Group, Inc. | 100 | (4,084 | ) | |||||||
Hilltop Holdings, Inc. | 900 | (16,650 | ) | |||||||
|
| |||||||||
(1,601,048 | ) | |||||||||
|
| |||||||||
Internet & Catalog Retail — (0.0)% | ||||||||||
Shutterfly, Inc. | 700 | (39,116 | ) | |||||||
|
| |||||||||
Internet Software & Services — (0.2)% | ||||||||||
Angie’s List, Inc. | 10,300 | (231,750 | ) | |||||||
Bankrate, Inc. | 21,800 | (448,426 | ) | |||||||
Bazaarvoice, Inc. | 4,200 | (38,136 | ) | |||||||
EarthLink, Inc. | 9,700 | (48,015 | ) | |||||||
Gogo, Inc. | 100 | (1,777 | ) |
See Notes to Consolidated Financial Statements.
58
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
MeetMe, Inc. | 700 | $ | (1,267 | ) | ||||||
Millennial Media, Inc. | 16,600 | (117,362 | ) | |||||||
Move, Inc. | 200 | (3,390 | ) | |||||||
Pandora Media, Inc. | 8,400 | (211,092 | ) | |||||||
Trulia, Inc. | 300 | (14,109 | ) | |||||||
WebMD Health Corp. | 23,700 | (677,820 | ) | |||||||
|
| |||||||||
(1,793,144 | ) | |||||||||
|
| |||||||||
IT Services — (0.2)% | ||||||||||
Heartland Payment Systems, Inc. | 100 | (3,972 | ) | |||||||
Higher One Holdings, Inc. | 1,200 | (9,204 | ) | |||||||
Paychex, Inc. | 10,200 | (414,528 | ) | |||||||
Teradata Corp. | 35,900 | (1,990,296 | ) | |||||||
|
| |||||||||
(2,418,000 | ) | |||||||||
|
| |||||||||
Leisure Equipment & Products — (0.0)% | ||||||||||
Callaway Golf Co. | 800 | (5,696 | ) | |||||||
JAKKS Pacific, Inc. | 3,800 | (17,062 | ) | |||||||
Nautilus, Inc. | 6,400 | (46,208 | ) | |||||||
Sturm Ruger & Co., Inc. | 100 | (6,263 | ) | |||||||
|
| |||||||||
(75,229 | ) | |||||||||
|
| |||||||||
Life Sciences Tools & Services — (0.1)% | ||||||||||
Apricus Biosciences, Inc. | 100 | (209 | ) | |||||||
Illumina, Inc. (c) | 16,000 | (1,293,280 | ) | |||||||
Sequenom, Inc. | 25,200 | (67,284 | ) | |||||||
|
| |||||||||
(1,360,773 | ) | |||||||||
|
| |||||||||
Machinery — (0.3)% | ||||||||||
Accuride Corp. | 200 | (1,028 | ) | |||||||
Briggs & Stratton Corp. | 35,900 | (722,308 | ) | |||||||
CLARCOR, Inc. | 100 | (5,553 | ) | |||||||
Navistar International Corp. | 6,400 | (233,472 | ) | |||||||
Pall Corp. (c) | 25,867 | (1,992,794 | ) | |||||||
Proto Labs, Inc. | 1,300 | (99,307 | ) | |||||||
Titan International, Inc. | 200 | (2,928 | ) | |||||||
|
| |||||||||
(3,057,390 | ) | |||||||||
|
| |||||||||
Media — (0.1)% | ||||||||||
Dex Media, Inc. | 3,600 | (29,268 | ) | |||||||
Digital Generation, Inc. | 400 | (5,172 | ) | |||||||
EW Scripps Co. Class A | 1,600 | (29,360 | ) | |||||||
Gannett Co., Inc. | 21,000 | (562,590 | ) | |||||||
Sirius XM Radio, Inc. | 57,500 | (222,525 | ) | |||||||
Twenty-First Century Fox, Inc. | 15,300 | (512,550 | ) | |||||||
|
| |||||||||
(1,361,465 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
59
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Metals & Mining — (0.4)% | ||||||||||
AK Steel Holding Corp. | 33,800 | $ | (126,750 | ) | ||||||
Allied Nevada Gold Corp. | 28,000 | (117,040 | ) | |||||||
AMCOL International Corp. | 100 | (3,268 | ) | |||||||
Century Aluminum Co. | 2,800 | (22,540 | ) | |||||||
Cliffs Natural Resources, Inc. | 30,500 | (625,250 | ) | |||||||
Freeport-McMoRan Copper & Gold, Inc. | 5,400 | (178,632 | ) | |||||||
Globe Specialty Metals, Inc. | 100 | (1,541 | ) | |||||||
Gold Resource Corp. | 2,400 | (15,912 | ) | |||||||
Golden Star Resources Ltd. | 3,200 | (1,280 | ) | |||||||
Hecla Mining Co. | 57,200 | (179,608 | ) | |||||||
Molycorp, Inc. | 1,000 | (6,560 | ) | |||||||
Newmont Mining Corp. | 69,800 | (1,961,380 | ) | |||||||
Noranda Aluminum Holding Corp. | 400 | (984 | ) | |||||||
Paramount Gold and Silver Corp. | 2,600 | (3,354 | ) | |||||||
RTI International Metals, Inc. | 100 | (3,204 | ) | |||||||
Thompson Creek Metals Co., Inc. | 1,100 | (3,949 | ) | |||||||
United States Steel Corp. | 500 | (10,295 | ) | |||||||
Walter Energy, Inc. | 79,700 | (1,118,191 | ) | |||||||
|
| |||||||||
(4,379,738 | ) | |||||||||
|
| |||||||||
Multiline Retail — (0.1)% | ||||||||||
Bon-Ton Stores, Inc. (The) | 7,600 | (80,180 | ) | |||||||
JC Penney Co., Inc. | 38,200 | (336,924 | ) | |||||||
Sears Holdings Corp. | 700 | (41,748 | ) | |||||||
|
| |||||||||
(458,852 | ) | |||||||||
|
| |||||||||
Office Electronics — (0.1)% | ||||||||||
Zebra Technologies Corp. Class A | 16,600 | (755,798 | ) | |||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — (0.7)% | ||||||||||
Alon USA Energy, Inc. | 16,800 | (171,528 | ) | |||||||
Alpha Natural Resources, Inc. | 138,600 | (826,056 | ) | |||||||
Amyris, Inc. | 100 | (231 | ) | |||||||
Arch Coal, Inc. | 115,000 | (472,650 | ) | |||||||
Bill Barrett Corp. | 28,100 | (705,591 | ) | |||||||
BPZ Resources, Inc. | 1,800 | (3,510 | ) | |||||||
Cobalt International Energy, Inc. | 41,600 | (1,034,176 | ) | |||||||
Comstock Resources, Inc. | 47,500 | (755,725 | ) | |||||||
Emerald Oil, Inc. | 29,500 | (212,105 | ) | |||||||
Endeavour International Corp. | 1,000 | (5,350 | ) | |||||||
FX Energy, Inc. | 2,300 | (7,912 | ) | |||||||
Gevo, Inc. | 100 | (192 | ) | |||||||
Gulfport Energy Corp. | 15,900 | (1,023,006 | ) | |||||||
Halcon Resources Corp. | 84,400 | (373,892 | ) | |||||||
Harvest Natural Resources, Inc. | 100 | (535 | ) |
See Notes to Consolidated Financial Statements.
60
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
James River Coal Co. | 2,400 | $ | (4,752 | ) | ||||||
KiOR, Inc. Class A | 3,800 | (10,716 | ) | |||||||
Magnum Hunter Resources Corp. | 54,566 | (336,672 | ) | |||||||
Midstates Petroleum Co., Inc. | 14,800 | (75,924 | ) | |||||||
Pacific Ethanol, Inc. | 400 | (1,404 | ) | |||||||
PBF Energy, Inc. | 500 | (11,225 | ) | |||||||
Peabody Energy Corp. | 34,200 | (589,950 | ) | |||||||
Penn Virginia Corp. | 7,000 | (46,550 | ) | |||||||
Quicksilver Resources, Inc. | 25,800 | (50,826 | ) | |||||||
Rentech, Inc. | 3,100 | (6,138 | ) | |||||||
Resolute Energy Corp. | 500 | (4,180 | ) | |||||||
Royale Energy, Inc. | 600 | (1,632 | ) | |||||||
SandRidge Energy, Inc. | 2,700 | (15,822 | ) | |||||||
Swift Energy Co. | 5,400 | (61,668 | ) | |||||||
Uranerz Energy Corp. | 500 | (475 | ) | |||||||
Whiting Petroleum Corp. | 2,900 | (173,565 | ) | |||||||
ZaZa Energy Corp. | 200 | (230 | ) | |||||||
|
| |||||||||
(6,984,188 | ) | |||||||||
|
| |||||||||
Personal Products — (0.0)% | ||||||||||
Star Scientific, Inc. | 1,000 | (1,910 | ) | |||||||
|
| |||||||||
Pharmaceuticals — (0.4)% | ||||||||||
Ampio Pharmaceuticals, Inc. | 900 | (6,750 | ) | |||||||
Bristol-Myers Squibb Co. (c) | 29,600 | (1,369,888 | ) | |||||||
Cadence Pharmaceuticals, Inc. | 2,100 | (13,251 | ) | |||||||
Endocyte, Inc. | 100 | (1,333 | ) | |||||||
Hospira, Inc. (c) | 11,866 | (465,385 | ) | |||||||
Merck & Co., Inc. (c) | 52,600 | (2,504,286 | ) | |||||||
Nektar Therapeutics | 100 | (1,044 | ) | |||||||
NuPathe, Inc. | 900 | (2,169 | ) | |||||||
Repros Therapeutics, Inc. | 400 | (10,720 | ) | |||||||
Ventrus Biosciences, Inc. | 400 | (1,156 | ) | |||||||
Vivus, Inc. | 9,400 | (87,608 | ) | |||||||
|
| |||||||||
(4,463,590 | ) | |||||||||
|
| |||||||||
Professional Services — (0.0)% | ||||||||||
Acacia Research Corp. | 2,400 | (55,344 | ) | |||||||
Advisory Board Co. (The) | 500 | (29,740 | ) | |||||||
Nielsen Holdings NV | 2,800 | (102,060 | ) | |||||||
|
| |||||||||
(187,144 | ) | |||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) — (0.9)% | ||||||||||
AG Mortgage Investment Trust, Inc. | 100 | (1,662 | ) | |||||||
Agree Realty Corp. | 1,400 | (42,252 | ) | |||||||
American Realty Capital Properties, Inc. | 15,100 | (184,220 | ) |
See Notes to Consolidated Financial Statements.
61
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
American Residential Properties, Inc. | 900 | $ | (15,849 | ) | ||||||
AmREIT, Inc. | 1,900 | (32,965 | ) | |||||||
Apollo Residential Mortgage, Inc. | 16,400 | (239,276 | ) | |||||||
Ares Commercial Real Estate Corp. | 8,600 | (106,898 | ) | |||||||
ARMOUR Residential REIT, Inc. | 68,200 | (286,440 | ) | |||||||
Associated Estates Realty Corp. | 10,100 | (150,591 | ) | |||||||
AvalonBay Communities, Inc. | 400 | (50,836 | ) | |||||||
Brandywine Realty Trust | 1,200 | (15,816 | ) | |||||||
Campus Crest Communities, Inc. | 4,400 | (47,520 | ) | |||||||
Capstead Mortgage Corp. | 1,900 | (22,363 | ) | |||||||
Chambers Street Properties | 2,700 | (23,706 | ) | |||||||
Chatham Lodging Trust | 4,600 | (82,156 | ) | |||||||
Cole Real Estate Investment, Inc. | 100 | (1,226 | ) | |||||||
Colony Financial, Inc. | 2,300 | (45,954 | ) | |||||||
CoreSite Realty Corp. | 100 | (3,394 | ) | |||||||
Corporate Office Properties Trust | 2,800 | (64,680 | ) | |||||||
Cousins Properties, Inc. | 2,000 | (20,580 | ) | |||||||
DCT Industrial Trust, Inc. | 3,500 | (25,165 | ) | |||||||
DDR Corp. | 5,000 | (78,550 | ) | |||||||
DiamondRock Hospitality Co. | 4,000 | (42,680 | ) | |||||||
Digital Realty Trust, Inc. | 5,000 | (265,500 | ) | |||||||
Duke Realty Corp. | 1,100 | (16,984 | ) | |||||||
DuPont Fabros Technology, Inc. | 2,200 | (56,694 | ) | |||||||
Dynex Capital, Inc. | 20,100 | (176,277 | ) | |||||||
Education Realty Trust, Inc. | 200 | (1,820 | ) | |||||||
Equity One, Inc. | 900 | (19,674 | ) | |||||||
Equity Residential | 200 | (10,714 | ) | |||||||
Excel Trust, Inc. | 3,000 | (36,000 | ) | |||||||
First Potomac Realty Trust | 1,900 | (23,883 | ) | |||||||
General Growth Properties, Inc. | 8,100 | (156,249 | ) | |||||||
Glimcher Realty Trust | 5,900 | (57,525 | ) | |||||||
Gramercy Property Trust, Inc. | 1,600 | (6,640 | ) | |||||||
Hatteras Financial Corp. | 500 | (9,355 | ) | |||||||
Healthcare Realty Trust, Inc. | 15,100 | (348,961 | ) | |||||||
Hersha Hospitality Trust | 14,700 | (82,173 | ) | |||||||
Highwoods Properties, Inc. | 200 | (7,062 | ) | |||||||
JAVELIN Mortgage Investment Corp. | 500 | (5,915 | ) | |||||||
Kite Realty Group Trust | 10,400 | (61,672 | ) | |||||||
LaSalle Hotel Properties | 18,800 | (536,176 | ) | |||||||
Lexington Realty Trust | 4,700 | (52,781 | ) | |||||||
Macerich Co. (The) | 400 | (22,576 | ) | |||||||
Mack-Cali Realty Corp. | 5,700 | (125,058 | ) | |||||||
Medical Properties Trust, Inc. | 1,800 | (21,906 | ) | |||||||
National Retail Properties, Inc. | 100 | (3,182 | ) | |||||||
New Residential Investment Corp. | 2,600 | (17,212 | ) | |||||||
New York Mortgage Trust, Inc. | 4,100 | (25,625 | ) |
See Notes to Consolidated Financial Statements.
62
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Omega Healthcare Investors, Inc. | 100 | $ | (2,987 | ) | ||||||
Pennsylvania Real Estate Investment Trust | 100 | (1,870 | ) | |||||||
PennyMac Mortgage Investment Trust | 500 | (11,340 | ) | |||||||
Prologis, Inc. | 5,200 | (195,624 | ) | |||||||
Realty Income Corp. | 5,600 | (222,600 | ) | |||||||
Redwood Trust, Inc. | 12,800 | (252,032 | ) | |||||||
Regency Centers Corp. | 600 | (29,010 | ) | |||||||
Retail Properties of America, Inc. | 100 | (1,375 | ) | |||||||
Ryman Hospitality Properties, Inc. | 54,600 | (1,884,246 | ) | |||||||
Silver Bay Realty Trust Corp. | 21,600 | (338,256 | ) | |||||||
SL Green Realty Corp. | 4,000 | (355,360 | ) | |||||||
Spirit Realty Capital, Inc. | 229,800 | (2,109,564 | ) | |||||||
STAG Industrial, Inc. | 600 | (12,072 | ) | |||||||
Washington Real Estate Investment Trust (d) | 700 | (17,689 | ) | |||||||
Western Asset Mortgage Capital Corp. | 20,700 | (330,993 | ) | |||||||
|
| |||||||||
(9,497,411 | ) | |||||||||
|
| |||||||||
Real Estate Management & Development — (0.0)% | ||||||||||
Brookfield Office Properties, Inc. | 7,400 | (141,118 | ) | |||||||
St Joe Co. (The) | 200 | (3,924 | ) | |||||||
|
| |||||||||
(145,042 | ) | |||||||||
|
| |||||||||
Road & Rail — (0.0)% | ||||||||||
Genesee & Wyoming, Inc. Class A | 900 | (83,673 | ) | |||||||
YRC Worldwide, Inc. | 1,500 | (25,320 | ) | |||||||
|
| |||||||||
(108,993 | ) | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — (0.2)% |
| |||||||||
Advanced Micro Devices, Inc. | 19,900 | (75,620 | ) | |||||||
Amkor Technology, Inc. | 400 | (1,716 | ) | |||||||
ANADIGICS, Inc. | 200 | (394 | ) | |||||||
Applied Materials, Inc. | 92,400 | (1,620,696 | ) | |||||||
Applied Micro Circuits Corp. | 100 | (1,290 | ) | |||||||
Cree, Inc. | 8,300 | (499,577 | ) | |||||||
Cypress Semiconductor Corp. | 6,500 | (60,710 | ) | |||||||
Entropic Communications, Inc. | 600 | (2,628 | ) | |||||||
GT Advanced Technologies, Inc. | 800 | (6,808 | ) | |||||||
Lam Research Corp. | 500 | (25,595 | ) | |||||||
Mindspeed Technologies, Inc. | 400 | (1,216 | ) | |||||||
Rudolph Technologies, Inc. | 100 | (1,140 | ) | |||||||
SunEdison, Inc. | 13,300 | (106,001 | ) | |||||||
|
| |||||||||
(2,403,391 | ) | |||||||||
|
| |||||||||
Software — (0.1)% | ||||||||||
Bottomline Technologies de, Inc. | 12,800 | (356,864 | ) | |||||||
Glu Mobile, Inc. | 18,300 | (51,057 | ) |
See Notes to Consolidated Financial Statements.
63
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Jive Software, Inc. | 7,500 | $ | (93,750 | ) | ||||||
Mitek Systems, Inc. | 1,700 | (8,806 | ) | |||||||
Tangoe, Inc. | 10,400 | (248,144 | ) | |||||||
VirnetX Holding Corp. | 500 | (10,200 | ) | |||||||
Vringo, Inc. | 11,200 | (32,256 | ) | |||||||
Zynga, Inc. Class A | 2,100 | (7,728 | ) | |||||||
|
| |||||||||
(808,805 | ) | |||||||||
|
| |||||||||
Specialty Retail — (0.2)% | ||||||||||
Abercrombie & Fitch Co. Class A | 33,500 | (1,184,895 | ) | |||||||
Aeropostale, Inc. | 36,400 | (342,160 | ) | |||||||
Barnes & Noble, Inc. | 15,600 | (201,864 | ) | |||||||
bebe stores, Inc. | 3,700 | (22,533 | ) | |||||||
Buckle, Inc. (The) | 400 | (21,620 | ) | |||||||
Christopher & Banks Corp. | 300 | (2,163 | ) | |||||||
Francesca’s Holdings Corp. | 4,700 | (87,608 | ) | |||||||
Pier 1 Imports, Inc. | 2,000 | (39,040 | ) | |||||||
Stage Stores, Inc. | 300 | (5,760 | ) | |||||||
Staples, Inc. | 8,800 | (128,920 | ) | |||||||
TravelCenters of America LLC | 400 | (3,140 | ) | |||||||
|
| |||||||||
(2,039,703 | ) | |||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods — (0.0)% | ||||||||||
Jones Group, Inc. (The) | 800 | (12,008 | ) | |||||||
Quiksilver, Inc. | 5,500 | (38,665 | ) | |||||||
|
| |||||||||
(50,673 | ) | |||||||||
|
| |||||||||
Thrifts & Mortgage Finance — (0.1)% | ||||||||||
MGIC Investment Corp. | 100 | (728 | ) | |||||||
Radian Group, Inc. | 89,300 | (1,243,949 | ) | |||||||
|
| |||||||||
(1,244,677 | ) | |||||||||
|
| |||||||||
Tobacco — (0.0)% | ||||||||||
Alliance One International, Inc. | 300 | (873 | ) | |||||||
|
| |||||||||
Trading Companies & Distributors — (0.0)% | ||||||||||
CAI International, Inc. | 1,700 | (39,559 | ) | |||||||
DXP Enterprises, Inc. | 100 | (7,897 | ) | |||||||
Titan Machinery, Inc. | 3,100 | (49,817 | ) | |||||||
|
| |||||||||
(97,273 | ) | |||||||||
|
| |||||||||
Transportation Infrastructure — (0.0)% | ||||||||||
Macquarie Infrastructure Co. LLC | 4,300 | (230,222 | ) | |||||||
|
| |||||||||
Water Utilities — (0.0)% | ||||||||||
American States Water Co. | 200 | (5,512 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
64
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Shares | Value | ||||||||
Wireless Telecommunication Services — (0.0)% | ||||||||||
NII Holdings, Inc. | 4,900 | $ | (29,743 | ) | ||||||
Sprint Corp. | 54,900 | (340,929 | ) | |||||||
|
| |||||||||
(370,672 | ) | |||||||||
|
| |||||||||
Total United States | (104,915,999 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCK | (122,627,473 | ) | ||||||||
|
| |||||||||
Security Description | Principal Amount | Value | ||||||||
CORPORATE BONDS & NOTES — (1.0)% | ||||||||||
Luxembourg — (0.1)% | ||||||||||
Communications — (0.1)% | ||||||||||
Intelsat Jackson Holdings SA 6.63%, 12/15/22 (c),(e) | $ | 500,000 | $ | (501,250 | ) | |||||
|
| |||||||||
Total Luxembourg | (501,250 | ) | ||||||||
|
| |||||||||
United States — (0.9)% | ||||||||||
Basic Materials — (0.1)% | ||||||||||
Steel Dynamics, Inc. 6.13%, 08/15/19 (c) | 500,000 | (526,250 | ) | |||||||
|
| |||||||||
Communications — (0.1)% | ||||||||||
Windstream Corp. 7.50%, 06/01/22 (c) | 850,000 | (856,375 | ) | |||||||
Windstream Corp. 7.75%, 10/01/21 (c) | 500,000 | (521,250 | ) | |||||||
|
| |||||||||
(1,377,625 | ) | |||||||||
|
| |||||||||
Consumer, Cyclical — (0.1)% | ||||||||||
AmeriGas Finance LLC / AmeriGas Finance Corp. 7.00%, 05/20/22 (c) | 500,000 | (525,000 | ) | |||||||
MGM Resorts International 11.38%, 03/01/18 (c),(d) | 500,000 | (641,250 | ) | |||||||
|
| |||||||||
(1,166,250 | ) | |||||||||
|
| |||||||||
Consumer, Non-cyclical — (0.3)% | ||||||||||
Alliance One International, Inc. 9.88%, 07/15/21 (c),(e) | 1,500,000 | (1,425,000 | ) | |||||||
Constellation Brands, Inc. 3.75%, 05/01/21 (c) | 500,000 | (464,375 | ) | |||||||
ServiceMaster Co. 8.00%, 02/15/20 (c) | 500,000 | (500,000 | ) | |||||||
Tenet Healthcare Corp. 4.50%, 04/01/21 (c) | 530,000 | (500,850 | ) | |||||||
|
| |||||||||
(2,890,225 | ) | |||||||||
|
| |||||||||
Energy — (0.0)% | ||||||||||
Peabody Energy Corp. 6.25%, 11/15/21 (c) | 500,000 | (490,000 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
65
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Security Description | Principal Amount | Value | ||||||||
Financial — (0.3)% | ||||||||||
Denali Borrower LLC / Denali Finance Corp. 5.63%, 10/15/20 (c),(e) | $ | 3,000,000 | $ | (2,943,750 | ) | |||||
|
| |||||||||
Total United States | (9,394,100 | ) | ||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | (9,895,350 | ) | ||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — (3.9)% | ||||||||||
Alerian MLP ETF | 29,500 | $ | (518,905 | ) | ||||||
Consumer Staples Select Sector SPDR Fund (c) | 69,614 | (2,770,637 | ) | |||||||
Health Care Select Sector SPDR Fund (c) | 56,708 | (2,867,723 | ) | |||||||
iShares Global Materials ETF | 8,990 | (538,051 | ) | |||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 45,692 | (5,186,956 | ) | |||||||
iShares JP Morgan USD Emerging Markets Bond ETF | 18,996 | (2,070,564 | ) | |||||||
iShares Mortgage Real Estate Capped ETF | 85,191 | (1,021,440 | ) | |||||||
iShares MSCI Chile Capped ETF | 21,281 | (1,067,668 | ) | |||||||
iShares MSCI Indonesia ETF | 10,385 | (244,982 | ) | |||||||
iShares MSCI Philippines ETF | 7,832 | (257,594 | ) | |||||||
iShares Russell 2000 ETF (c) | 27,563 | (2,938,767 | ) | |||||||
iShares U.S. Broker Dealers ETF | 98,375 | (3,211,944 | ) | |||||||
SPDR Dow Jones Global Real Estate ETF | 24,372 | (1,030,936 | ) | |||||||
SPDR S&P 500 ETF Trust (c) | 17,037 | (2,863,920 | ) | |||||||
SPDR S&P Insurance ETF | 36,572 | (2,075,827 | ) | |||||||
SPDR S&P Metals & Mining ETF | 13,800 | (505,494 | ) | |||||||
SPDR S&P Oil & Gas Exploration & Production ETF | 8,180 | (538,980 | ) | |||||||
SPDR S&P Regional Banking ETF | 223,115 | (7,954,050 | ) | |||||||
Vanguard FTSE Developed Markets ETF | 40,755 | (1,613,083 | ) | |||||||
Vanguard FTSE Emerging Markets ETF | 39,800 | (1,596,378 | ) | |||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS | (40,873,899 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (16.6%) | $ | (173,396,722 | ) | |||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | All or a portion of this security is pledged as collateral for derivative financial instruments. |
(c) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Manager Fund. |
(d) | All or a portion of this security is segregated for derivative financial instruments. |
See Notes to Consolidated Financial Statements.
66
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
(e) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional investors unless registered under the Securities Act of 1933 or exempted from registration. |
(f) | Variable/floating rate interest rate security. Rate presented is as of September 30, 2013. |
(g) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. |
(h) | Also represents cost for federal tax purposes. |
(i) | Assets, other than investments in securities, less liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of this balance represents cash collateral for derivatives. |
(j) | All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers. |
(k) | Security considered illiquid. |
(l) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of September 30, 2013. Maturity date presented is the ultimate maturity. |
Options Written Contracts Outstanding as of September 30, 2013:
Exchange-Traded Put | Strike | Expiration | Contracts | Premium | Market | Unrealized | ||||||||||||||
Financial Select Sector SPDR Fund | 18.00 USD | 12/21/13 | 6,498 | $ | (78,041 | ) | $ | (136,458 | ) | $ | (58,417 | ) | ||||||||
Financial Select Sector SPDR Fund | 17.50 USD | 12/18/13 | 1,728 | (10,307 | ) | (26,828 | ) | (16,521 | ) | |||||||||||
Vivendi SA | 17.00 EUR | 12/20/13 | 2,278 | (243,593 | ) | (246,543 | ) | (2,950 | ) | |||||||||||
Vodafone Group PLC | 2.10 GBP | 11/15/13 | 1,270 | (216,365 | ) | (71,960 | ) | 144,405 | ||||||||||||
$ | (548,306 | ) | $ | (481,789 | ) | $ | 66,517 | |||||||||||||
See Notes to Consolidated Financial Statements.
67
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Counterparty | Strike | Expiration | Notional | Premium | Market | Unrealized | ||||||||||||||||||||
FX OTC Call Options Written |
| |||||||||||||||||||||||||
Call — USD/BRL Currency | JPMorgan Chase Bank, N.A. | 3.30 USD | 12/31/14 | $ | 1,170,000 USD | $ | (22,310 | ) | $ | (15,898 | ) | $ | 6,412 | |||||||||||||
Call — EUR/CHF Currency | JPMorgan Chase Bank, N.A. | 1.30 EUR | 12/30/13 | 5,700,000 EUR | (16,164 | ) | (2,767 | ) | 13,397 | |||||||||||||||||
Call — USD/CNY Currency | JPMorgan Chase Bank, N.A. | 6.80 USD | 11/05/15 | 9,340,000 USD | (139,721 | ) | (118,384 | ) | 21,337 | |||||||||||||||||
Call — USD/JPY Currency | JPMorgan Chase Bank, N.A. | 105.00 USD | 12/30/14 | 21,310,000 USD | (678,297 | ) | (480,908 | ) | 197,389 | |||||||||||||||||
Call — USD/JPY Currency | JPMorgan Chase Bank, N.A. | 110.00 USD | 12/30/14 | 21,310,000 USD | (403,824 | ) | (268,183 | ) | 135,641 | |||||||||||||||||
Call — USD/KRW Currency | JPMorgan Chase Bank, N.A. | 1,140.00 USD | 12/23/13 | 11,460,000 USD | (72,427 | ) | (49,189 | ) | 23,238 | |||||||||||||||||
Call — USD/MXN Currency | JPMorgan Chase Bank, N.A. | 13.60 USD | 12/23/13 | 5,530,000 USD | (91,798 | ) | (89,701 | ) | 2,097 | |||||||||||||||||
$ | (1,424,541 | ) | $ | (1,025,030 | ) | $ | 399,511 | |||||||||||||||||||
FX OTC Put Options Written |
| |||||||||||||||||||||||||
Put — USD/BRL | JPMorgan Chase Bank, N.A. | 2.10 USD | 12/31/14 | $ | 1,170,000 USD | $ | (32,228 | ) | $ | (34,105 | ) | $ | (1,877 | ) | ||||||||||||
Put — USD/JPY | JPMorgan Chase Bank, N.A. | 90.00 USD | 12/30/14 | 21,310,000 USD | (492,261 | ) | (480,961 | ) | 11,300 | |||||||||||||||||
$ | (524,489 | ) | $ | (515,066 | ) | $ | 9,423 | |||||||||||||||||||
OTC Put Options Written |
| |||||||||||||||||||||||||
Vodafone Group PLC | JPMorgan Chase Bank, N.A. | 2.100 GBP | 11/15/13 | $ | 850,000 GBP | $ | (122,427 | ) | $ | (40,708 | ) | $ | 81,719 | |||||||||||||
Total Options Written Outstanding |
| $ | (2,619,763 | ) | $ | (2,062,593 | ) | $ | 557,170 | |||||||||||||||||
Futures Contracts Sold Outstanding at September 30, 2013
Description | Number of Contracts | Exchange | Notional Amount | Expiration Date | Unrealized Appreciation (Depreciation) | |||||||||||||
Euro Stoxx 50 Index | 1,687 | Eurex | 16,870 EUR | Dec 2013 | $ | 305,893 |
See Notes to Consolidated Financial Statements.
68
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2013
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
BRL | 5,844,515 | USD | 2,465,000 | Morgan Stanley Capital Services LLC | 02/12/14 | $ | 94,442 | |||||||||||||
DKK | 10,050,210 | EUR | 1,350,000 | JPMorgan Chase Bank, N.A. | 06/16/14 | (806 | ) | |||||||||||||
GBP | 24,580 | USD | 39,490 | Morgan Stanley & Co, LLC | 12/30/13 | 278 | ||||||||||||||
IDR | 16,800,000,000 | USD | 1,600,000 | Morgan Stanley Capital Services LLC | 10/01/13 | (149,223 | ) | |||||||||||||
IDR | 15,953,000,000 | USD | 1,400,000 | Morgan Stanley Capital Services LLC | 10/16/13 | (26,643 | ) | |||||||||||||
IDR | 4,862,250,000 | USD | 450,000 | Morgan Stanley Capital Services LLC | 10/16/13 | (31,420 | ) | |||||||||||||
NGN | 326,340,000 | USD | 2,000,000 | JPMorgan Chase Bank, N.A. | 10/17/13 | 14,538 | ||||||||||||||
NOK | 22,442,867 | EUR | 2,850,000 | JPMorgan Chase Bank, N.A. | 12/03/13 | (132,593 | ) | |||||||||||||
NOK | 4,492,512 | EUR | 570,000 | JPMorgan Chase Bank, N.A. | 12/03/13 | (25,865 | ) | |||||||||||||
PHP | 5,876,550 | USD | 135,000 | Morgan Stanley Capital Services LLC | 02/12/14 | 479 | ||||||||||||||
RUB | 15,940,000 | USD | 500,000 | Morgan Stanley Capital Services LLC | 10/09/13 | (8,625 | ) | |||||||||||||
SEK | 25,623,051 | EUR | 2,950,000 | JPMorgan Chase Bank, N.A. | 12/03/13 | (10,296 | ) | |||||||||||||
SEK | 5,088,330 | EUR | 585,000 | JPMorgan Chase Bank, N.A. | 12/03/13 | (931 | ) | |||||||||||||
SGD | 2,447,645 | USD | 1,930,000 | JPMorgan Chase Bank, N.A. | 12/03/13 | 21,187 | ||||||||||||||
THB | 12,500,000 | USD | 385,624 | Morgan Stanley Capital Services LLC | 10/16/13 | 13,654 | ||||||||||||||
ZAR | 24,351,730 | USD | 2,421,708 | Morgan Stanley Capital Services LLC | 10/16/13 | (1,152 | ) | |||||||||||||
ZAR | 24,351,730 | USD | 2,466,622 | JPMorgan Chase Bank, N.A. | 10/16/13 | (46,066 | ) | |||||||||||||
ZAR | 14,760,150 | USD | 1,500,000 | Morgan Stanley Capital Services LLC | 10/16/13 | (32,844 | ) | |||||||||||||
USD | 180,000 | CLP | 92,296,800 | JPMorgan Chase Bank, N.A. | 12/03/13 | (1,233 | ) | |||||||||||||
USD | 2,702,100 | EUR | 2,000,000 | State Street Bank London | 10/25/13 | (3,754 | ) | |||||||||||||
USD | 20,243,640 | EUR | 15,000,000 | State Street Bank London | 10/25/13 | (50,267 | ) | |||||||||||||
USD | 124,161 | GBP | 77,025 | Morgan Stanley & Co, LLC | 12/30/13 | (455 | ) |
See Notes to Consolidated Financial Statements.
69
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
USD | 1,487,252 | IDR | 16,800,000,000 | Morgan Stanley Capital Services LLC | 10/01/13 | $ | 36,475 | |||||||||||||
USD | 4,359,114 | JPY | 426,860,135 | Morgan Stanley & Co, LLC | 12/30/13 | 13,803 | ||||||||||||||
USD | 82,206 | JPY | 8,091,065 | Morgan Stanley & Co, LLC | 12/30/13 | (159 | ) | |||||||||||||
USD | 1,500,000 | NGN | 242,250,000 | JPMorgan Chase Bank, N.A. | 10/17/13 | 4,560 | ||||||||||||||
USD | 1,000,000 | NOK | 5,939,250 | State Street Bank London | 10/25/13 | 13,147 | ||||||||||||||
USD | 532,542 | PLN | 1,733,835 | Morgan Stanley Capital Services LLC | 10/16/13 | (22,203 | ) | |||||||||||||
USD | 296,460 | RUB | 9,924,000 | Morgan Stanley Capital Services LLC | 10/09/13 | (9,462 | ) | |||||||||||||
USD | 2,467,147 | ZAR | 24,351,730 | JPMorgan Chase Bank, N.A. | 10/16/13 | 46,591 | ||||||||||||||
USD | 2,466,622 | ZAR | 24,351,730 | Morgan Stanley Capital Services LLC | 10/16/13 | 46,066 | ||||||||||||||
USD | 1,000,000 | SEK | 6,377,350 | State Street Bank London | 10/25/13 | 8,211 | ||||||||||||||
USD | 3,697,986 | SEK | 23,605,937 | Morgan Stanley & Co, LLC | 12/30/13 | 32,362 | ||||||||||||||
USD | 560,332 | SEK | 3,585,302 | Morgan Stanley & Co. LLC | 12/30/13 | 3,592 | ||||||||||||||
USD | 358,401 | SEK | 2,306,119 | Morgan Stanley & Co. LLC | 12/30/13 | 298 | ||||||||||||||
USD | 2,783 | SEK | 17,910 | Morgan Stanley & Co. LLC | 12/30/13 | 2 | ||||||||||||||
USD | 1,000,000 | CHF | 911,400 | State Street Bank London | 10/25/13 | (7,982 | ) | |||||||||||||
USD | 1,039,159 | CHF | 939,015 | Morgan Stanley & Co. LLC | 12/30/13 | 20 | ||||||||||||||
|
| |||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding | $ | (212,274 | ) | |||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
70
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
OTC Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at September 30, 2013
Reference | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Vinci SA | (1.00%) | 12/21/18 | Credit Suisse International | 6,000,000 EUR | $ | 35,517 | $ | 43,501 | $ | (7,984) | ||||||||||||||||
ArcelorMittal SA | (1.00%) | 09/21/18 | Credit Suisse International | 700,000 EUR | 110,536 | 123,887 | (13,351) | |||||||||||||||||||
Vinci SA | (1.00%) | 09/21/18 | Credit Suisse International | 1,000,000 EUR | 2,749 | 6,477 | (3,728) | |||||||||||||||||||
ArcelorMittal SA | (1.00%) | 06/21/18 | Credit Suisse International | 7,000,000 EUR | 997,065 | 1,081,481 | (84,416) | |||||||||||||||||||
Vinci SA | (1.00%) | 09/21/18 | Credit Suisse International | 1,000,000 EUR | 2,749 | 11,317 | (8,568) | |||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issues (Buy Protection) |
| $ | 1,148,616 | $ | 1,266,663 | $ | (118,047) | |||||||||||||||||||
OTC Credit Default Swaps on Single-Name Issues (Sell Protection) — Outstanding at September 30, 2013
Reference | Rating(2) | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||||
ThyssenKrupp AG | Ba1 | 1.00% | 09/20/18 | JPMorgan Chase Bank, N.A. | 1,000,000 EUR | $ | (123,993 | ) | $ | (126,288 | ) | $ | 2,295 | |||||||||||||||
ThyssenKrupp AG | Ba1 | 1.00% | 09/20/18 | JPMorgan Chase Bank, N.A. | 3,000,000 EUR | (371,981 | ) | (378,866 | ) | 6,885 | ||||||||||||||||||
Rallye SA | NR | 5.00% | 09/21/18 | Morgan Stanley Capital Services LLC | 7,000,000 EUR | 472,368 | 613,698 | (141,330 | ) | |||||||||||||||||||
Fiat SpA | B1 | 5.00% | 03/20/18 | JPMorgan Chase Bank, N.A. | 7,000,000 EUR | 309,302 | 301,051 | 8,251 | ||||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issues (Sell Protection) |
| $ | 285,696 | $ | 409,595 | $ | (123,899 | ) | ||||||||||||||||||||
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(2) | Using the higher of S&P’s or Moody’s ratings. NR represents a security that is not rated. |
See Notes to Consolidated Financial Statements.
71
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
OTC Total Return Swaps Outstanding at September 30, 2013
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||
Buys | ||||||||||||
Allianz SE | 02/09/2015 | Credit Suisse Securities (Europe) Limited | $2,438,034 | $ | — | |||||||
Amadeus IT Holding SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 3,594,162 | — | ||||||||
ArcelorMittal N.V. | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,243,919 | — | ||||||||
Arkema SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,507,674 | — | ||||||||
Atos | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 6,001,677 | — | ||||||||
Barclays PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,590,310 | — | ||||||||
Barclays PLC RTS | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 120,920 | — | ||||||||
Bayer AG — REG S | 08/07/2015 | Morgan Stanley Capital Services LLC | 4,872,058 | 25,078 | ||||||||
Bayer AG | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 3,959,449 | — | ||||||||
Beiersdorf AG | 08/07/2015 | Morgan Stanley Capital Services LLC | 3,280,848 | (79,546 | ) | |||||||
BHP Billiton PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,517,691 | — | ||||||||
BP PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,802,506 | — | ||||||||
Carrefour SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,691,532 | — | ||||||||
Compagnie de St-Gobain | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,177,987 | — | ||||||||
Cie Generale des Etablissements Michelin | 02/09/2015 | Credit Suisse Securities (USA) LLC | 1,353,340 | — | ||||||||
Club Mediterranee SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 84,843 | — | ||||||||
CNH Industrial NV | 04/07/2015 | Credit Suisse Securities (Europe) Limited | 2,886,002 | — | ||||||||
Credit Suisse Group AG | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 4,219,521 | — | ||||||||
Deutsche Bank AG | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 4,095,684 | — | ||||||||
Direct Line | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 380,231 | — | ||||||||
Electricite De France EDF | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 945,220 | — | ||||||||
European Aeronautic Defence and Space Co NV | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 4,339,458 | — | ||||||||
Fresenius Medical Care AG & Co KGaA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,617,111 | — | ||||||||
Galp Energia SGPS SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,803,831 | — | ||||||||
GDF SUEZ | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,905,034 | — | ||||||||
ING Groep NV | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,926,340 | — | ||||||||
Jazztel PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 4,795,382 | — | ||||||||
Koninklijke Ahold NV | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,731,095 | — | ||||||||
Koninklijke KPN NV | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 7,331,636 | — | ||||||||
L’Oreal | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,989,143 | — | ||||||||
Lafarge SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,379,248 | — | ||||||||
Lagardere SCA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,178,134 | — | ||||||||
Linde AG | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,601,087 | — |
See Notes to Consolidated Financial Statements.
72
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||
Nordea | 02/09/2015 | Credit Suisse Securities (Europe) Limited | $1,335,759 | $ | — | |||||||
Peugeot SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,596,473 | — | ||||||||
Puma SE | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,658,657 | — | ||||||||
Reckitt Benckiser Group PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 3,082,907 | — | ||||||||
Renault SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,321,388 | — | ||||||||
Rexel SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 3,188,863 | — | ||||||||
Royal Dutch Petroleum | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 3,751,825 | — | ||||||||
Sanofi | 08/07/2015 | Morgan Stanley Capital Services LLC | 3,370,893 | 74,847 | ||||||||
Sanofi | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,064,368 | — | ||||||||
Shire PLC | 08/07/2015 | Morgan Stanley Capital Services LLC | 7,161,450 | 150,701 | ||||||||
Stada Arzneimittel AG | 08/07/2015 | Morgan Stanley Capital Services LLC | 3,953,332 | 58,042 | ||||||||
Statoil ASA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 877,123 | — | ||||||||
Swedish Match AB | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,222,299 | — | ||||||||
ThyssenKrupp AG | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 542,948 | — | ||||||||
UniCredito | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,994,738 | — | ||||||||
Vinci SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 3,443,157 | — | ||||||||
Vodafone Group PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,227,386 | — | ||||||||
|
| |||||||||||
Total Buys | $ | 229,122 | ||||||||||
|
| |||||||||||
Sells | ||||||||||||
ARM Holdings PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,447,765 | — | ||||||||
AT&T, Inc. | 08/14/2018 | Credit Suisse Securities (Europe) Limited | 702,509 | — | ||||||||
AstraZeneca PLC | 08/07/2015 | Morgan Stanley Capital Services LLC | 1,950,256 | 13,143 | ||||||||
BT Group PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 574,411 | — | ||||||||
Cap Gemini SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 376,658 | — | ||||||||
Casino Guichard Perrachon SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,081,990 | — | ||||||||
Faurecia | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 824,911 | — | ||||||||
Fiat SPA | 02/09/2015 | Credit Suisse Securities (USA) LLC | 478,097 | — | ||||||||
Fresenius Medical Care AG & Co KGaA | 08/07/2015 | Morgan Stanley Capital Services LLC | 2,639,421 | 49,484 | ||||||||
Fresenius SE & Co KGaA | 08/07/2015 | Morgan Stanley Capital Services LLC | 2,238,841 | 78,676 | ||||||||
Nokia OYJ | 02/12/2015 | Credit Suisse Securities (Europe) Limited | 6,275,284 | — | ||||||||
SAP AG | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,374,571 | — | ||||||||
Subsea 7 SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,894,441 | (3,213 | ) | |||||||
TUI Travel PLC | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 747,064 | — | ||||||||
Veolia Environnement SA | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 2,413,111 | — | ||||||||
Verizon Communications, Inc. | 08/14/2018 | Credit Suisse Securities (Europe) Limited | 291,998 | — | ||||||||
Volkswagen AG | 02/09/2015 | Credit Suisse Securities (Europe) Limited | 1,944,100 | — | ||||||||
|
| |||||||||||
Total Sells | $ | 138,090 | ||||||||||
|
| |||||||||||
Total OTC Total Return Swaps Outstanding | $ | 367,212 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
73
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2013
The Pays/ Receives Floating Rate | Floating | Fixed | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||||
Receive | Three-Month LIBOR | 3.250% | 12/18/23 | Credit Suisse Securities (USA) LLC | 3,687,400 USD | $ | (130,848 | ) | $ | (27,688 | ) | $ | (103,160 | ) | ||||||||||||||
Receive | Three-Month LIBOR | 0.750% | 12/18/15 | Credit Suisse Securities (USA) LLC | 60,908,200 USD | (251,207 | ) | (21,998 | ) | (229,209 | ) | |||||||||||||||||
Pay | Three-Month LIBOR | 4.000% | 12/18/43 | Credit Suisse Securities (USA) LLC | 1,930,100 USD | 113,278 | (28,115 | ) | 141,393 | |||||||||||||||||||
Receive | Three-Month LIBOR | 2.000% | 12/18/18 | Credit Suisse Securities (USA) LLC | 26,405,300 USD | (414,896 | ) | (68,372 | ) | (346,524 | ) | |||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding |
| $ | (683,673 | ) | $ | (146,173 | ) | $ | (537,500 | ) | ||||||||||||||||||
OTC Interest Rate Swaps Outstanding at September 30, 2013
The | Floating | Fixed | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
Pay | Brazil CETIP Interbank Deposit Overnight Rate | 9.590% | 01/02/15 | JPMorgan Chase Bank, N.A. | 11,426,595 BRL | $ | (30,715) | $ | — | $ | (30,715) | |||||||||||||||
Pay | Three- Month JIBAR- SAFEX | 9.480% | 08/08/23 | JPMorgan Chase Bank, N.A. | 69,000,000 ZAR | 40,599 | — | 40,599 | ||||||||||||||||||
Total OTC Interest Rate Swaps Outstanding | $ | 9,884 | $ | — | $ | 9,884 | ||||||||||||||||||||
See Notes to Consolidated Financial Statements.
74
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued) (Unaudited)
September 30, 2013
OTC Total Return Index Swap Outstanding at September 30, 2013
Counterparty | Maturity | Description | Notional | Value | ||||||||
Morgan Stanley & Co. International PLC (“Index Sponsor”) | 08/09/2018 | The Fund makes payments to the Index Sponsor in exchange for receiving payments that reflect the return of a dynamically adjusted customized index (the “Index Swap”) sponsored by a third-party investment manager (the “Index Selection Agent”). The index components may include a fully diversified portfolio of derivative financial instruments.*/** | $ | 39,600,000 | $ | (2,182,014 | ) |
The summary below provides a breakdown of the futures contracts comprising the index components as of September 30, 2013:
Category | % Breakdown | |||
Interest Rate | 46.03 | % | ||
Bond Index | 19.47 | |||
Energy | 8.50 | |||
Equity Index | 8.22 | |||
Foreign Currency | 6.90 | |||
Agricultural | 5.00 | |||
Metals | 4.51 | |||
Other | 1.37 | |||
|
| |||
Total | 100.00 | % | ||
|
|
* | Derivative financial instruments that comprise the index components may include futures, options, options on futures, swap, swap on futures, and forward contracts on currencies, interest rates, interest rate instruments, commodities, equity related indices and instruments, and other indices, in all cases traded on regulated markets, such as exchanges, and/or OTC markets. |
** | The Fund pays the Index Sponsor a floating fee equal to the fed fund effective rate plus 0.40% on the notional amount of the Index Swap. Additionally, the value of the Index Swap reflects the quarterly management fee of the Index Selection Agent equal to 0.50% (2% per annum) of the market value of the index components. The value of the Index Swap may also include a deduction for the quarterly performance fees payable to the Index Selection Agent equal to 20% of the net of profits and losses of the index component trades closed during a calendar quarter, net of any losses carried forward. As of September 30, 2013, total fees of the Index Swap included in the value were $139,867. The Index Swap is held in Blackstone Alternative Multi-Manager Sub Fund II Ltd., which is a wholly-owned subsidiary of Blackstone Alternative Multi-Manager Fund. |
See Notes to Consolidated Financial Statements.
75
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Concluded) (Unaudited)
September 30, 2013
Abbreviation Legend: | ||||
ADR | American Depository Receipt | |||
ARM | Adjustable Rate Mortgage | |||
CDO | Collateralized Debt Obligation | |||
ETF | Exchange-Traded Fund | |||
FTSE | Financial Times and Stock Exchange | |||
JIBAR | Johannesburg Interbank Agreed Rate | |||
LIBOR | London Interbank Offered Rate | |||
OTC | Over the Counter | |||
REG S | Regulation-S | |||
SAFEX | South African Futures Exchange | |||
SPDR | Standard and Poor’s Depositary Receipt | |||
Currency Legend: | ||||
BRL | Brazilian Real | |||
CHF | Swiss Franc | |||
CLD | Chilian Peso | |||
COP | Colombian Peso | |||
DKK | Danish Krone | |||
EUR | Euro | |||
GBP | British Pound | |||
HUF | Hungarian Forint | |||
IDR | Indonesian Rupiah | |||
JPY | Japanese Yen | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
NGN | Nigerian Naira | |||
NOK | Norwegian Krone | |||
PEN | Peruvian Nuevo Sol | |||
PHP | Philippine Peso | |||
PLN | Polish Zloty | |||
RON | New Romanian Leu | |||
RUB | Russian Ruble | |||
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
THB | Thai Baht | |||
TRY | Turkish Lira | |||
USD | United States Dollar | |||
ZAR | South African Rand |
See Notes to Consolidated Financial Statements.
76
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities
September 30, 2013 (Unaudited)
Assets: | ||||
Total investments in securities, at value including $29,382,424 of securities on loan | $ | 802,341,263 | ||
Cash | 264,031,699 | |||
Cash denominated in foreign currencies (cost $6,483,090) | 6,484,412 | |||
Segregated cash balance with broker for securities sold short | 166,946,112 | |||
Segregated cash balance with custodian for derivative financial instruments | 30,049,957 | |||
Segregated cash balance with broker for futures contracts | 4,927,352 | |||
Segregated cash balance with counterparties for swaps and other derivative financial instruments | 3,671,307 | |||
Income receivable | 3,856,573 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 349,705 | |||
Swap contracts, premium paid | 2,181,412 | |||
Unrealized appreciation on swap contracts | 508,001 | |||
Receivable for investments sold | 36,553,225 | |||
Receivable for shares sold | 888,316 | |||
Receivable for periodic payments from swap contracts | 1,614,099 | |||
Variation margin receivable | 683,194 | |||
Deferred offering cost | 425,760 | |||
Prepaid expenses | 159,295 | |||
Receivable from Investment Adviser | 899,394 | |||
|
| |||
Total assets | 1,326,571,076 | |||
|
| |||
Liabilities: | ||||
Securities sold short, at value (proceeds of $171,265,719) | 173,396,722 | |||
Securities lending collateral | 30,186,747 | |||
Cash received as collateral for swaps | 818,886 | |||
Swap contracts, premium received | 505,154 | |||
Unrealized depreciation on swap contracts | 2,554,865 | |||
Variation margin payable | 43,492 | |||
Options written, at value (premiums received $2,619,763) | 2,062,593 | |||
Payable for investments purchased | 63,090,563 | |||
Payable for shares redeemed | 503,461 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 561,979 | |||
Dividend and interest income payable on securities sold short | 462,577 | |||
Offering cost payable | 554,424 | |||
Management fees payable | 2,887,770 | |||
Payable to trustees | 25,703 | |||
Accrued expenses | 1,802,732 | |||
|
| |||
Total liabilities | 279,457,668 | |||
|
| |||
Net Assets | $ | 1,047,113,408 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | 1,042,795,693 | |||
Accumulated net investment loss | (898,681 | ) | ||
Accumulated net realized loss | (888,274 | ) | ||
Net unrealized appreciation | 6,104,670 | |||
|
| |||
Net Assets | $ | 1,047,113,408 | ||
|
| |||
Net Asset Value: | ||||
Net assets | 1,047,113,408 | |||
Class I shares outstanding, no par value, unlimited shares authorized | 104,466,454 | |||
|
| |||
Net asset value per share | $ | 10.02 | ||
|
|
See Notes to Consolidated Financial Statements.
77
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Statement of Operations (Unaudited)
For the Period of August 6, 2013 (commencement of operations) to September 30, 2013
Investment Income: | ||||
Dividends (including net foreign taxes withheld of $12,398) | $ | 888,101 | ||
Interest | 2,738,741 | |||
|
| |||
Total Income | 3,626,842 | |||
|
| |||
Expenses: | ||||
Management fees | $ | 2,887,770 | ||
Administration fees | 188,293 | |||
Custodian fees | 149,151 | |||
Shareholder service fees | 19,726 | |||
Trustees’ fees | 36,203 | |||
Offering costs | 128,664 | |||
Registration | 34,000 | |||
Printing and postage | 215,068 | |||
Professional fees | 257,727 | |||
Dividends and interest on securities sold short | 568,691 | |||
Organization fees | 759,334 | |||
Other | 285,226 | |||
|
| |||
Total Expenses | 5,529,853 | |||
|
| |||
Less: | ||||
Expenses reimbursed by Investment Adviser | (1,004,330 | ) | ||
|
| |||
Net expenses | $ | 4,525,523 | ||
|
| |||
Net investment loss | (898,681 | ) | ||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain on investments in securities | 472,218 | |||
Net realized gain on securities sold short | 567,069 | |||
Net realized loss on forward foreign currency exchange contracts | (275,148 | ) | ||
Net realized loss on futures contracts | (2,368,443 | ) | ||
Net realized gain on options written | 84,140 | |||
Net realized gain on swap contracts | 631,890 | |||
Net unrealized appreciation on investments in securities | 10,086,270 | |||
Net unrealized appreciation on foreign currency transactions | 82,978 | |||
Net unrealized depreciation on forward foreign currency exchange contracts | (212,274 | ) | ||
Net unrealized depreciation on securities sold short | (2,131,003 | ) | ||
Net unrealized appreciation on futures contracts | 305,893 | |||
Net unrealized appreciation on options written | 557,170 | |||
Net unrealized depreciation on swap contracts | (2,584,364 | ) | ||
|
| |||
Net realized and unrealized gain | 5,216,396 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 4,317,715 | ||
|
|
See Notes to Consolidated Financial Statements.
78
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets (Unaudited)
For the Period of August 6, 2013 (commencement of operations) to September 30, 2013
Increase (Decrease) in Net Assets | ||||
Operations: | ||||
Net investment loss | $ | (898,681 | ) | |
Net realized loss | (888,274 | ) | ||
Net unrealized appreciation | 6,104,670 | |||
|
| |||
Net increase in net assets resulting from operations | 4,317,715 | |||
|
| |||
Capital Transactions: | ||||
Proceeds from sale of Class I shares | 1,091,238,129 | |||
Cost of Class I shares redeemed | (48,542,436 | ) | ||
|
| |||
Net increase in net assets resulting from capital transactions | 1,042,695,693 | |||
|
| |||
Net increase in net assets | 1,047,013,408 | |||
|
| |||
Net Assets: | ||||
Beginning of period | 100,000 | |||
|
| |||
End of period | $ | 1,047,113,408 | ||
|
| |||
Accumulated net investment loss | $ | (898,681 | ) | |
|
| |||
Share Transactions: | ||||
Beginning of period | 10,000 | |||
Class I shares sold | 109,314,593 | |||
Class I shares redeemed | (4,858,139 | ) | ||
|
| |||
Net change in shares resulting from share transactions | 104,456,454 | |||
|
| |||
End of period | 104,466,454 | |||
|
|
See Notes to Consolidated Financial Statements.
79
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Statement of Cash Flows (Unaudited)
For the Period August 6, 2013 (commencement of operations) to September 30, 2013
Cash Flows from Operating Activities: | ||||
Net increase in net assets resulting from operations | $ | 4,317,715 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities: | ||||
Purchases of investments in securities | (924,865,528 | ) | ||
Proceeds from securities sold short | 241,450,763 | |||
Payments to cover securities sold short | (75,294,850 | ) | ||
Proceeds from disposition of investments in securities | 165,372,443 | |||
Proceeds from premiums received from options written | 2,990,916 | |||
Premiums paid on closing options written | (287,013 | ) | ||
Net realized gain on investments in securities | (472,218 | ) | ||
Net realized gain on options written | (84,140 | ) | ||
Net realized gain on securities sold short | (567,069 | ) | ||
Net accretion of bond discount and amortization of bond and swap premium | (75,477 | ) | ||
Net unrealized appreciation on options written | (557,170 | ) | ||
Net unrealized appreciation on investments in securities | (10,086,270 | ) | ||
Net unrealized depreciation on securities sold short | 2,131,003 | |||
Changes in assets and liabilities: | ||||
(Increase) decrease in assets: | ||||
Segregated cash balance with broker for securities sold short | (166,946,112 | ) | ||
Segregated cash balance with custodian for derivative financial instruments | (30,049,957 | ) | ||
Segregated cash balance with broker for futures contracts | (4,927,352 | ) | ||
Segregated cash balance with counterparties for swaps and other derivative financial instruments | (3,671,307 | ) | ||
Income receivable | (3,856,573 | ) | ||
Swap contracts, premium paid | (2,181,412 | ) | ||
Unrealized appreciation on swap contracts | (508,001 | ) | ||
Unrealized appreciation on forward foreign currency exchange contracts | (349,705 | ) | ||
Variation margin receivable | (683,194 | ) | ||
Receivable for periodic payments from swap contracts | (1,614,099 | ) | ||
Other assets | (1,484,449 | ) | ||
Increase (decrease) in liabilities: | ||||
Payable for securities lending collateral | 30,186,747 | |||
Cash received as collateral for swaps | 818,886 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 561,979 | |||
Swap contracts, premium received | 505,154 | |||
Unrealized depreciation on swap contracts | 2,554,865 | |||
Variation margin payable | 43,492 | |||
Dividend and interest income payable on securities sold short | 462,577 | |||
Accrued expenses and other liabilities | 5,270,629 | |||
|
| |||
Net cash used for operating activities | (771,894,727 | ) | ||
|
| |||
Cash Flows from Financing Activities: | ||||
Proceeds from sale of Class I shares | 1,090,349,813 | |||
Cost of Class I shares redeemed | (48,038,975 | ) | ||
|
| |||
Net cash provided by financing activities | 1,042,310,838 | |||
|
| |||
Net increase in cash and foreign currency | 270,416,111 | |||
Cash and foreign currency, beginning of period | 100,000 | |||
|
| |||
Cash and foreign currency, end of period | $ | 270,516,111 | ||
|
|
See Notes to Consolidated Financial Statements.
80
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Financial Highlights (Unaudited)
(For a Share Outstanding Throughout the Period)
Period Ended September 30, 20131 | Class I | |||
Net Asset Value, Beginning of Period | $ | 10.00 | ||
Income From Investment Operations: | ||||
Net investment loss | (0.01 | )2 | ||
Net realized and unrealized gain | 0.03 | |||
|
| |||
Total From Investment Operations | 0.02 | |||
|
| |||
Net Asset Value, End of Period | $ | 10.02 | ||
|
| |||
Total Return3 | 0.20 | % | ||
|
| |||
Ratios to Average Net Assets:4 | ||||
Total expenses before reimbursement from Investment Adviser | 3.30 | % | ||
Reimbursement from Investment Adviser5 | (0.24 | )% | ||
|
| |||
Net expenses after reimbursement from Investment Adviser | 3.06 | % | ||
Excluded Expenses5 | (0.66 | )% | ||
|
| |||
Expenses, net of impact of excluded expenses | 2.40 | % | ||
|
| |||
Net investment loss | (0.17 | )% | ||
|
| |||
Supplemental Data: | ||||
Net assets, end of period (000 omitted) | $ | 1,047,113 | ||
Portfolio turnover3 | 33 | % |
1 | For the period August 6, 2013 (commencement of operations) through September 30, 2013. |
2 | Calculated using average shares outstanding. |
3 | Percentage represents the results for the period and is not annualized. |
4 | Financial ratios have been annualized except for organization costs. |
5 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
81
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
1. Organization
Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust currently consists of a single series, Blackstone Alternative Multi-Manager Fund (the “Fund”). The Fund is a non-diversified fund that commenced operations on August 6, 2013.
The Fund’s investment objective is to seek capital appreciation. The Investment Adviser (as defined below) seeks to achieve the Fund’s objective by allocating the Fund’s assets among a variety of non-traditional or “alternative” investment strategies. The Investment Adviser allocates the Fund’s assets among investment sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds and may also manage a portion of the Fund’s assets directly.
The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Subsidiaries, Blackstone Alternative Multi-Manager Sub Fund II Ltd., (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Each of the other Subsidiaries, Blackstone Alternative Multi-Manager Sub Fund III L.L.C. (the “Domestic Subsidiary III”), and Blackstone Alternative Multi-Manager Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), is a Delaware limited liability company. The Cayman Subsidiary is expected to invest, directly or indirectly through the use of derivatives, in securities and commodities interests. Domestic Subsidiary III and Domestic Subsidiary IV each is expected to invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated financial statements include the financial statements of Blackstone Alternative Multi-Manager Fund and the Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the Subsidiaries.
The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and pursuant to the investment management agreement, has engaged BAIA to manage the Fund’s day-to-day investment activities. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the Sub-Advisers. Each Sub-Adviser is responsible for the day-to-day management of the Fund’s assets that the Investment Adviser allocates to it. The Investment Adviser has the responsibility to oversee each Sub-Adviser (subject to the oversight of the Board).
Each of the Fund and the Cayman Subsidiary is a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 of the Commodity Exchange Act (“CEA”), respectively, from certain disclosure, reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiary III and the Domestic Subsidiary IV, and such pools are not subject to regulation by the CFTC.
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.
82
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
2. Basis of Presentation
The Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars. All inter-company accounts and transactions have been eliminated in consolidation.
The preparation of financial statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates and these differences could be material.
3. Significant Accounting Policies
The net asset value (“NAV”) of the Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).
Valuation Policy
For purposes of calculating the NAV, the Fund values its investment in securities, securities sold short, and derivative financial instruments at fair value. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e. the exit price) in an orderly transaction between market participants at the measurement date. The Board has established procedures for determining the fair value of securities, including securities sold short, and derivative financial instruments (together the “investments”) (the “Valuation Procedures”). The Investment Adviser’s management formed the Fair Value Committee (the “FVC”), to which the Board delegated the authority to develop Valuation Procedures and to provide oversight of the valuation and pricing function of the Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or otherwise reliable for a particular investment), the fair value will be determined, in good faith by the FVC, and such determinations shall be reported to the Board. Due to the inherent uncertainty of these estimates, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations), including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the values of the Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the FVC and the Investment Adviser the responsibility for monitoring significant events that may materially affect the values of the Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events. There were no instances of such determination made as of September 30, 2013.
Fair Value Measurements
Current fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The hierarchy established under the fair value guidance gives the
83
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3.
Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:
Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.
The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, such as common stock, ADR’s and exchange-traded funds, and derivative financial instruments actively traded on recognized exchanges, such as futures contracts and option contracts.
Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date. Investments in investment funds or hedge funds (“Investee Funds”) are classified as Level 2 if the Fund has the ability to redeem its investment in the Investee Fund at the reported net asset value per share (or its equivalent) at the measurement date or within 90 days thereof, upon no greater than 90 days prior written notice and there are no other potential liquidity restrictions that could be invoked within 90 days of the measurement date.
The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, foreign government obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; OTC derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC equity options, and foreign currency options; and forward foreign currency exchange contracts.
Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date. Investments in Investee Funds that are subject to a minimum holding period or lockup greater than 90 days from the measurement date, are in liquidation, cannot be redeemed within 90 days of the measurement date, are subject to redemption notice periods in excess of 90 days, have limited the individual amount of shareholder redemptions and/or aggregate amount of shareholder redemptions, or have suspended redemptions are classified as Level 3.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
84
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:
Exchange-Traded Securities
Equity securities, including common stock, listed preferred stock, exchange-traded funds, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, if applicable. For equity securities traded on more than one exchange, the last reported sales price on the exchange where the equity security is primarily traded is used. Equity securities traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (long positions) or ask (short positions) price or the mean for exchange-traded options. If no bid or ask price is available, the prior days’ price will be used, unless it is determined that such prior days’ price no longer reflects fair value. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.
The Fund may use a third-party fair valuation service to value foreign equity securities that are primarily traded outside of North and South America. The service calculates a factor that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy.
OTC Derivative Financial Instruments
Derivative financial instruments, such as forward foreign currency exchange contracts, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued by pricing service providers or based on broker dealer quotations. Depending on the product and the terms of the transaction, the value of derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.
Fixed Income Securities
Fixed income securities, including corporate and convertible bonds, U.S. Treasury obligations, foreign debt obligations, bank loans, and trade claims, are normally valued by pricing service providers on the basis of last available bid price. In determining the value of a particular investment, pricing service providers may use
85
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
broker-dealer quotations, reported trades or valuation estimates from their internal pricing models to determine the reported price. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Investment in Investee Fund
The fair value of investments in Investee Funds is generally determined using the reported net asset value per share of the Investee Fund, or its equivalent, as a practical expedient for fair value. The Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported net asset value per share or its equivalent if the reported net asset value per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with Accounting Standards Codification 946, Financial Services-Investment Companies (“ASC 946”). In order to use the practical expedient, the Investment Adviser has internal processes to independently evaluate the fair value measurement process utilized by the underlying Investee Fund to calculate the Investee Fund’s net asset value or its equiavlent in accordance with ASC 946. Such internal process includes the evaluation of the Investee Fund’s process and related internal controls in place to estimate the fair value of its underlying investments that are included in the net asset value calculation, performing ongoing operational due diligence, review each Investee Fund’s audited financial statements, and ongoing monitoring of other relevant qualitative and quantitative factors. If it is determined, based on due diligence and investment monitoring procedures, that the reported net asset value per share or its equivalent of an Investee Fund does not represent fair value, the FVC or the Board, shall estimate the fair value in good faith and as determined under approved policies and procedures. There were no instances of such determination made as of September 30, 2013.
Securities and Other Investments
Bank Loans
The Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon
86
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in mortgage-related securities (residential and commercial) and asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations (“CMO”), commercial mortgage-backed securities (“CMBS”), residential mortgage-backed securities (“RMBS”), collateralized debt obligations (“CDO”) and other securities that directly or indirectly represent a participation, or are secured by and payable from mortgage loans on real property. Mortgage related and other asset-backed securities represent interests in pools of mortgages, loans or other assets. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. Although asset-backed securities and CMBS generally experience less prepayment risk than RMBS, each of RMBS, CMBS and asset-backed securities, like traditional fixed-income securities, are subject to credit, interest rate, prepayment and extension risks.
Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities. The Fund’s investments in asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. These securities also are subject to the risk of default on the underlying mortgage or assets, particularly during periods of economic downturn. The timely payment of principal and interest of certain mortgage-related securities is guaranteed by the full faith and credit of the U.S Government.
Mortgage-backed securities may be either pass-through securities or CMO’s. Pass-through securities represent a right to receive principal and interest payments collected on a pool of mortgages, which are passed through to security holders. CMOs are created by dividing the principal and interest payments collected on a pool of mortgages into several revenue streams (tranches) with different priority rights to portions of the underlying mortgage payments. Certain CMO tranches may represent a right to receive interest only (“IOs”), principal only (“POs”) or an amount that remains after floating-rate tranches are paid (an “inverse floater”). These securities may be extremely sensitive to changes in interest rates. Interest rates on inverse floaters, for example, vary inversely with a short-term floating rate (which may be reset periodically). Interest rates on inverse floaters will decrease when short-term rates increase, and will increase when short-term rates decrease. These securities have the effect of providing a degree of investment leverage. In response to changes in market interest rates or other market conditions, the value of an inverse floater may increase or decrease at a multiple of the increase or decrease in the value of the underlying securities. If the Fund invests in CMO tranches (including CMO tranches issued by government agencies) and interest rates move in a manner not anticipated by Fund management, it is possible that the Fund could lose all or substantially all of its investment.
Securities Sold Short
The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the
87
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
Fund’s broker will execute a stock borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.
Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short in the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations. Unrealized appreciation or depreciation for the difference between the proceeds received and the fair value of the open Short Sale position is recorded as net unrealized appreciation or depreciation from investments in securities in the Consolidated Statement of Operations. A realized gain or loss is recognized when the short position is closed as a realized gain or loss from investments in securities in the Statement of Operations.
Investment Transactions and Related Investment Income
Investment transactions are recorded as of the trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, when notified. Interest income, which includes amortization of premium and accretion of discount on non-defaulted fixed income securities, is recorded on the accrual basis. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.
Cash
At September 30, 2013, the Fund had $264,031,699 in domestic cash and $6,484,412 in foreign cash held at a major US bank.
Foreign Currency Translation
The functional currency of the Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Fund does not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and deprecation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized gain or loss on foreign currency translation in the Consolidated Statement of Operations.
Contingencies
Under the Trust’s Declaration of Trust, each of the Fund’s officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund may enter into contracts that contain a variety of representations and indemnifications. The Fund expects the risk of loss pursuant to these indemnifications to be remote.
Income Taxes
The Fund’s policy is to comply with the provisions of the Internal Revenue Code, as amended (the “Code”), applicable to regulated investment companies and to distribute all of its investment company taxable income
88
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.
For the current open tax year and all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements.
Organization Costs
Organizational expenses associated with the establishment of the Fund were expensed by the Fund and reimbursed by the Investment Manager.
Offering Costs
Offering costs are amortized over 12 months on a straight-line basis beginning on the date of commencement of operations.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are declared and paid annually. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (defined below) of the Fund or, if elected by the Shareholder, paid in cash.
Segregation and Collateralization
In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) and its staff require that the Fund either deliver collateral or segregate assets in connection with certain investments (e.g., futures contracts, forward foreign currency exchange contracts, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, a Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff.
The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments’ with collateral. At September 30, 2013, the Fund used the gross method of presentation in the consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s custodian and securities pledged by the Fund as collateral are identified in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive, unless explicitly permitted by each respective governing agreement.
89
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
The Fund manages counterparty risk by entering into agreements only with counterparties that are believed to have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that could be triggered subject to certain circumstances. Such circumstances may include agreed upon net asset value threshold. If triggered, the counterparty could request additional cash margin and/or terminate the contract.
Securities Lending
The Fund may lend securities, through its agent, to certain qualified borrowers in an amount not to exceed 33 1/3% of the value of the Fund’s total assets. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next business day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The risk of borrower default will be borne by the Fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be re-invested for the purchase of investment in securities. Income from securities lending is included in investment income on the Consolidated Statement of Operations. As of September 30, 2013, the market value of securities loaned amounted to $29,382,424, and the Fund had received cash collateral of $30,186,747.
The securities lending agreement entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.
The following table is a summary of the Fund’s securities lending agreements by borrower/counterparty which are subject to offset under the securities lending agreement as of September 30, 2013:
Securities Loaned | Cash Collateral | Net Amount | ||||||||
Borrower/Counterparty | ||||||||||
BNP Paribas Prime Brokerage, Inc. | 105,753 | (105,753 | ) | — | ||||||
Citadel Securities LLC | 1,913,997 | (1,913,997 | ) | — | ||||||
Credit Suisse Securities (USA) LLC | 430,990 | (430,990 | ) | — | ||||||
Deutsche Bank Securities Inc. | 1,703,466 | (1,703,466 | ) | — | ||||||
Goldman Sachs & Co. | 5,882,228 | (5,882,228 | ) | — | ||||||
Janney Montgomery Scott LLC | 64,845 | (64,845 | ) | — | ||||||
Jefferies LLC | 1,098,086 | (1,098,086 | ) | — | ||||||
JP Morgan Clearing Corp. | 4,950,280 | (4,950,280 | ) | — | ||||||
JP Morgan Securities LLC | 2,311,343 | (2,311,343 | ) | — | ||||||
Merrill Lynch International | 1,692,724 | (1,692,724 | ) | — | ||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,304,120 | (5,304,120 | ) | — | ||||||
Newedge USA, LLC | 751,929 | (751,929 | ) | — | ||||||
RBC Capital Markets, LLC | 869,021 | (869,021 | ) | — | ||||||
RBS Securities Inc. | 1,346,735 | (1,346,735 | ) | — | ||||||
Sanford C. Bernstein & CO, LLC | 103,614 | (103,614 | ) | — | ||||||
State Street Bank and Trust Company | 853,293 | (853,293 | ) | — | ||||||
|
|
|
|
| ||||||
Total | 29,382,424 | (29,382,424 | ) | — | ||||||
|
|
|
|
|
(1) | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
90
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
4. Derivative Financial Instruments
In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to protect its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g. inflation risk). These contracts may be transacted on a recognized exchange or over-the-counter. Fair value of assets and liabilities related to the Fund’s derivative financial instruments are included in the Consolidated Statement of Assets and Liabilities. The following disclosures contain information on how the Fund uses derivative financial instruments and how the derivative financial instruments affect the Fund’s financial positions, results of operations and cash flows. The derivative financial instruments outstanding as of period end are disclosed in the notes to the Consolidated Schedule of Investments.
Forward Foreign Currency Exchange Contracts
The Fund may enter into forward foreign currency exchange contracts to obtain investment exposure, enhance return or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forward foreign currency exchange contracts, are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. The market value of a forward foreign currency contract fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is recorded as an unrealized gain or loss on forward foreign currency exchange contracts. When a contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Realized and unrealized gains and losses on forward foreign currency exchange contracts are included in the Consolidated Statement of Operations. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency exchange contracts may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened.
Futures Contracts
The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security, or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures on the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the
91
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
Consolidated Statement of Assets and Liabilities and as a component of net change in unrealized appreciation or depreciation on futures contracts on the Consolidated Statement of Operations. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized in the Consolidated Statement of Assets and Liabilities.
Options Contracts
The Fund purchases and writes call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.
Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.
Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.
Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.
92
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.
Options Written
The Fund’s transactions in written call and put options during the period ended September 30, 2013 were as follows:
Calls | Puts | |||||||||||||||||||||||
Contracts | Notional (a) | Premiums | Contracts | Notional (a) | Premiums | |||||||||||||||||||
Options Outstanding, August 6, 2013 (commencement of operations) | — | — | — | — | — | — | ||||||||||||||||||
Options written | 150 | 75,826,118 | $ | 1,452,851 | 18,807 | 24,500,000 | $ | 1,538,063 | ||||||||||||||||
Options bought back | (100 | ) | — | (8,755 | ) | (6,883 | ) | (1,170,000 | ) | (334,020 | ) | |||||||||||||
Options expired | (50 | ) | (6,118 | ) | (19,555 | ) | (150 | ) | — | (8,821 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Options Outstanding, September 30, 2013 | — | 75,820,000 | $ | 1,424,541 | 11,774 | 23,330,000 | $ | 1,195,222 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Amount shown is in the currency in which the transaction was denominated. |
Swap Agreements
The Fund may enter into total return, interest rate, and credit default swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the over-the-counter market or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”). The Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for Swaps identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected on the Consolidated Statement of Assets and Liabilities.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements
93
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. A Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty. Counterparty risk related to centrally cleared swaps is mitigated due to the protection against defaults provided by the exchange on which these contracts trade.
Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.
OTC and centrally cleared interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability on the Fund’s Consolidated Statement of Assets and Liabilities. An upfront payment made by the Fund is recorded as an asset on the Consolidated Statement of Assets and Liabilities. OTC and centrally cleared interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.
Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, index or market without owning such security or investing directly in that index or market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.
Credit Default Swaps: The Fund may enter into OTC credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issues and/or baskets of securities.
In an OTC credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally
94
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by Fund are recorded as realized gains or losses. OTC credit default swap contracts are marked to market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.
OTC and centrally cleared interest rate swaps, total return swaps and credit default swaps outstanding at period end are listed after the Fund’s Consolidated Schedule of Investments.
At September 30, 2013, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
Asset Derivatives | Liability Derivatives | |||||||||||
Risk Exposure | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Interest Rate | Swap contracts, premiums paid and unrealized appreciation | $ | 40,599 | Swap contracts, premiums received and unrealized depreciation | $ | 30,715 | ||||||
Centrally cleared swaps, at value (a) | 113,278 | Centrally cleared swaps, at value (a) | 796,951 | |||||||||
Equity | Swaps contracts, premiums paid and unrealized appreciation | 449,971 | Swap contracts, premiums received and unrealized depreciation | 2,264,773 | ||||||||
Unrealized appreciation on futures contracts (a) | 305,893 | Options written, at value | 522,497 | |||||||||
Purchased options, at value (b) | 1,816,566 | |||||||||||
Credit | Swaps contacts, premiums paid and unrealized appreciation | 1,930,286 | Swap contracts, premiums received and unrealized depreciation | 495,974 | ||||||||
Foreign Exchange | Purchased options, at value (b) | 1,748,589 | Options written, at value | 1,540,096 | ||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 349,705 | Unrealized depreciation on forward foreign currency exchange contracts | 561,979 | |||||||||
|
|
|
| |||||||||
Total | $ | 6,754,887 | $ | 6,212,985 | ||||||||
|
|
|
|
95
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the period ended September 30, 2013:
Consolidated Statement of | Interest Rate | Credit | Equity | Foreign | Total | |||||||||||||||
Purchased options contracts (a) | $ | 28,072 | $ | — | $ | (561,591 | ) | $ | — | $ | (533,519 | ) | ||||||||
Forward foreign currency exchange contracts | — | — | — | (275,148 | ) | (275,148 | ) | |||||||||||||
Future contracts | — | — | (2,368,443 | ) | — | (2,368,443 | ) | |||||||||||||
Swap contracts | (221,665 | ) | 103,406 | 750,149 | — | 631,890 | ||||||||||||||
Options written | — | — | 84,140 | — | 84,140 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (193,593 | ) | $ | 103,406 | $ | (2,095,745 | ) | $ | (275,148 | ) | $ | (2,461,080 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
Consolidated Statement of | Interest Rate | Credit | Equity | Foreign | Total | |||||||||||||||
Purchased options contracts (b) | $ | — | $ | — | $ | (398,782 | ) | $ | — | $ | (398,782 | ) | ||||||||
Forward foreign currency exchange contracts | — | — | — | (212,274 | ) | (212,274 | ) | |||||||||||||
Future contracts | — | — | 305,893 | — | 305,893 | |||||||||||||||
Swap contracts | (527,616 | ) | (241,946 | ) | (1,814,802 | ) | — | (2,584,364 | ) | |||||||||||
Options written | — | — | 557,170 | — | 557,170 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (527,616 | ) | $ | (241,946 | ) | $ | (1,350,521 | ) | $ | (212,274 | ) | $ | (2,332,357 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
(a) | Includes cumulative appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
(b) | Includes options purchased that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain (loss) on investments in securities and net unrealized appreciation (depreciation) on investments in securities as shown in the Consolidated Statement of Operations. |
The average notional amounts below represent the average volume for the period ended September 30, 2013:
Derivative Description | Average Notional (c) | |
Purchased Options Contracts | $23,704,143 | |
Forward Foreign Currency Exchange Contracts | $58,915,280 | |
Futures Contracts | $21,984 | |
Swap Contracts | $328,731,231 | |
Options Written | $52,347,800 |
(c) | Averages are based on activity levels during the period August 6, 2013 (commencement of operations) through September 30, 2013. |
Netting Arrangements
The Fund uses master netting arrangements, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following
96
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
table presents information related to derivative financial instruments and collateral related to securities loaned that are subject to an enforceable master netting arrangement or similar agreement (“MNA”) and are not offset, as shown in the Consolidated Statement of Assets and Liabilities as of September 30, 2013.
Assets | Liabilities | |||||||
Description: | ||||||||
Purchased options (a) | $ | 3,565,155 | $ | — | ||||
Forward foreign currency exchange contracts | 349,705 | (561,979 | ) | |||||
Swaps | 2,689,413 | (3,060,019 | ) | |||||
Options written | — | (2,062,593 | ) | |||||
Futures contracts | 683,194 | — | ||||||
Centrally cleared derivative financial instruments | — | (43,492 | ) | |||||
|
|
|
| |||||
Total gross amounts of derivative financial instrument assets and liabilities | $ | 7,287,467 | $ | (5,728,083 | ) | |||
Derivative financial instruments not subject to MNA | (2,108,641 | ) | 525,281 | |||||
|
|
|
| |||||
Total gross amounts subject to MNA | $ | 5,178,826 | $ | (5,202,802 | ) | |||
|
|
|
|
(a) | Value of options purchased as reported in the Consolidated Schedule of Investments; amount is classified as investment in securities in the Consolidated Statement of Assets and Liabilities. |
The following table represents the Funds’ derivative financial instrument asset and liabilities by counterparty net of amounts available for offset under a MNA and net of related collateral received/pledged by the Fund as of September 30, 2013:
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||
Gross Amount of | Derivative | Cash | Non-Cash | Net | ||||||||||||||||
By Counterparty (1) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | $ | 1,924,402 | $ | (1,788,600 | ) | $ | — | $ | — | $ | 135,802 | |||||||||
Morgan Stanley Capital Services LLC | 191,116 | (191,116 | ) | — | — | — | ||||||||||||||
Domestic Subsidiary III | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | 613,698 | (141,330 | ) | (472,368 | ) | — | — | |||||||||||||
JP Morgan Chase Bank N.A. | 661,262 | (545,862 | ) | — | — | 115,400 | ||||||||||||||
State Street Bank and Trust | 21,358 | (21,358 | ) | — | — | |||||||||||||||
Credit Suisse International | 1,266,664 | (118,047 | ) | — | (709,561 | ) | 439,056 | |||||||||||||
Domestic Subsidiary IV | ||||||||||||||||||||
Morgan Stanley & Co, LLC | 50,355 | (614 | ) | — | — | 49,741 | ||||||||||||||
Morgan Stanley Capital Services LLC | 449,971 | (79,546 | ) | (276,173 | ) | — | 94,252 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 5,178,826 | $ | (2,886,473 | ) | $ | (748,541 | ) | $ | (709,561 | ) | $ | 834,251 | ||||||||
|
|
|
|
|
|
|
|
|
|
97
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||
Gross Amounts | Derivative | Cash | Non-Cash | Net | ||||||||||||||||
By Counterparty (1) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | $ | (1,788,600 | ) | $ | 1,788,600 | — | — | $ | — | |||||||||||
Morgan Stanley Capital Services LLC | (281,573 | ) | 191,116 | — | — | (90,457 | ) | |||||||||||||
Domestic Subsidiary III | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | (141,330 | ) | 141,330 | — | — | — | ||||||||||||||
JP Morgan Chase Bank N.A. | (545,862 | ) | 545,862 | — | — | — | ||||||||||||||
State Street Bank and Trust | (62,003 | ) | 21,358 | — | — | (40,645 | ) | |||||||||||||
Credit Suisse International | (118,047 | ) | 118,047 | — | — | — | ||||||||||||||
Credit Suisse Securities (Europe) Limited | (3,213 | ) | — | — | — | (3,213 | ) | |||||||||||||
Domestic Subsidiary IV | ||||||||||||||||||||
Morgan Stanley & Co, LLC | (614 | ) | 614 | — | — | — | ||||||||||||||
Morgan Stanley Capital Services LLC | (79,546 | ) | 79,546 | — | — | — | ||||||||||||||
Cayman Subsidiary | ||||||||||||||||||||
Morgan Stanley & Co International plc | (2,182,014 | ) | — | $ | 2,182,014 | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (5,202,802 | ) | $ | 2,886,473 | $ | 2,182,014 | $ | — | $ | (134,315 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
(1) | The Fund and each Subsidiary are subject to separate MNA’s with each individual counterparty. |
(2) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(3) | Net amount represents the net amount payable to the individual counterparty in the event of default. |
(4) | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
(5) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(6) | At September 30, 2013, the Fund received U.S. Treasury Notes/Bonds as collateral for derivative financial instruments. |
98
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
5. Fair Value Measurements
The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of September 30, 2013:
Asset Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investment in Securities: | ||||||||||||||||
Common Stock | $ | 288,707,278 | $ | 55,464,216 | $— | $ | 344,171,494 | |||||||||
Preferred Stock | — | 1,047,811 | — | 1,047,811 | ||||||||||||
Asset-Backed Securities | — | 1,940,200 | — | 1,940,200 | ||||||||||||
Convertible Bonds | — | 16,601,458 | — | 16,601,458 | ||||||||||||
Corporate Bonds & Notes | — | 241,543,171 | — | 241,543,171 | ||||||||||||
Bank Loan | — | 20,240,000 | — | 20,240,000 | ||||||||||||
Foreign Government | — | 17,851,605 | — | 17,851,605 | ||||||||||||
Mortgage-Backed Securities | — | 72,429,529 | — | 72,429,529 | ||||||||||||
Trade Claims | — | 19,500,000 | — | 19,500,000 | ||||||||||||
U.S. Government Sponsored Agency Securities | ||||||||||||||||
Securities | — | 31,107,209 | — | 31,107,209 | ||||||||||||
U.S. Treasury Bonds & Notes | — | 4,951,560 | — | 4,951,560 | ||||||||||||
Exchange-Traded Funds | 2,032,071 | — | — | 2,032,071 | ||||||||||||
Investment in Investee Fund (a) | — | — | 25,360,000 | 25,360,000 | ||||||||||||
Purchased Options | 1,425,447 | 2,139,708 | — | 3,565,155 | ||||||||||||
Total Investments in Securities | $ | 292,164,796 | $ | 484,816,467 | $ | 25,360,000 | $ | 802,341,263 | ||||||||
Forward Foreign Currency Exchange Contracts | — | 349,705 | — | 349,705 | ||||||||||||
Futures Contracts | 305,893 | — | — | 305,893 | ||||||||||||
OTC Credit Default Swaps | — | 1,930,286 | — | 1,930,286 | ||||||||||||
OTC Total Return Swaps | — | 449,971 | — | 449,971 | ||||||||||||
Interest Rate Swaps | — | 153,877 | — | 153,877 | ||||||||||||
Total Assets | $ | 292,470,689 | $ | 487,700,306 | $ | 25,360,000 | $ | 805,530,995 | ||||||||
| ||||||||||||||||
Liability Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Securities Sold Short | $ | 162,155,656 | $ | 11,241,066 | $ | — | $ | 173,396,722 | ||||||||
Options Written | 481,789 | 1,580,804 | — | 2,062,593 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | 561,979 | — | 561,979 | ||||||||||||
OTC Credit Default Swaps | — | 495,974 | — | 495,974 | ||||||||||||
OTC Total Return Swaps | — | 82,759 | — | 82,759 | ||||||||||||
Interest Rate Swaps | — | 827,666 | — | 827,666 | ||||||||||||
OTC Total Return Index Swap | — | 2,182,014 | — | 2,182,014 | ||||||||||||
Total Liabilities | $ | 162,637,445 | $ | 16,972,262 | $ | — | $ | 179,609,707 | ||||||||
|
(a) | The classification of investment in Investee Fund includes in the table above is meant to be indicative of the Fund’s classification of its investment in Investee Fund. It is not meant to be indicative of the classification of the investments in the underlying portfolio of the Investee Fund. |
99
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
Investment in Securities — Investment in Investee Fund | ||||
Balance as of August 6, 2013 | — | |||
Purchases | $ | 25,000,000 | ||
Sales | — | |||
Transfers In | — | |||
Transfers Out | — | |||
Net realized gain (loss) | — | |||
Net change in unrealized appreciation | $ | 360,000 | ||
|
| |||
Balance as of September 30, 2013 | $ | 25,360,000 | ||
|
| |||
Net change in unrealized appreciation related to investments still held as of September 30, 2013 | $ | 360,000 | ||
|
|
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the year.
Realized and unrealized gains and losses recorded for Level 3 investments are reported as net realized gain from investments in securities net unrealized appreciation from investments in securities in the Consolidated Statement of Operations.
U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets and/or liabilities categorized as Level 3 within the fair value hierarchy. The disclosure requirement excludes investments for which fair value is based on unobservable but non-quantitative inputs. Such items include investment in Investee Fund for which fair value is determined based on net asset value, or its equivalent, as a practical expedient for fair value. As of September 30, 2013, the Fund did not hold any Level 3 investments with significant unobservable inputs.
Major Investment Strategies
The following table summarizes investment in Investee Fund, by investment strategy, the unfunded commitment of the strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund. In instances where redemptions were restricted, the maximum remaining redemption restriction period is disclosed. Where the remaining redemption restriction period is not known, the date the redemption restriction commenced is disclosed.
Investment in Investee Fund by Strategy | Unfunded Commitment $ | Category (A) | Category (B) | Total $ (A)+(B) | ||||||||
Amount $ | Maximum Remaining Redemption Restriction Period | Amount $ | Redemption Restriction Commencement Date | |||||||||
Equity (1)(2) | N/A | $25,360,000 | N/A | — | N/A | $25,360,000 |
100
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
Category (A) Investment in Investee Fund cannot be redeemed and the maximum remaining redemption restriction period is disclosed. The maximum remaining redemption restriction period is based on the restriction period for the Investee Fund as defined in the Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investment in the Investee Fund. The Fund’s investment in a particular Investee Fund classified within the strategy above may be comprised of investments with differing liquidity terms or investments which were made at differing points in time.
Category (B) Investment in Investee Fund cannot be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed.
(1) | The Equity strategy generally includes equity-focused Investee Funds with a bottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals, top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies. |
(2) | Investment in Investee Fund is redeemable quarterly upon 45 days’ written notice. |
6. Purchase and Sale of Fund Shares
The Fund currently offers Class I shares (the “Shares”). Class I shares are offered to investors who are clients of investment advisors, consultants, broker dealers or other financial intermediaries who: (a) charge such clients fees for advisory, investment, consulting or similar services and (b) have entered into an agreement with Blackstone Advisory Partners L.P. to offer the Shares. Class I shares may also be offered for investment by personnel of the Investment Adviser, and as otherwise may be determined by the Board.
Shares of the Fund may be purchased or redeemed each Business Day.
7. Investment Adviser Fees and Other Transactions with Affiliates
Management Fee
Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund will pay the Investment Adviser a management fee (the “Fund Management Fee”), quarterly in arrears (accrued on a daily basis), equal to 1.95% (annualized) of the Fund’s average daily net assets, excluding the net assets of the Subsidiaries. The Investment Adviser receives additional compensation (the “Subsidiary Management Fee,” and together with the Fund Management Fee, the “Management Fee”), quarterly in arrears (accrued on a daily basis), equal to 1.95% (annualized) of the Subsidiaries’ average daily net assets.
Sub-Advisory Fees
Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers will be compensated for the services they provide to the Fund by the Investment Adviser from the Management Fee received by the Investment Adviser.
Expense Limitation and Reimbursement
The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement (the “Agreement”) with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to
101
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
0.45% per annum of the Fund’s net assets (the “Total Expense Cap”). Specified Expenses includes all expenses incurred by the Fund with the exception of (i) the Management Fee, (ii) the distribution or service fees, (iii) acquired fund fees and expenses, (iv) brokerage and trading costs, (v) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (vi) taxes, (vii) dividends and interest on short positions, and (viii) extraordinary expenses (as determined in the sole discretion of BAIA) (together, the “Excluded Expenses”). To the extent the estimated annualized Specified Expenses for any month exceeds the Total Expense Cap, the Investment Adviser will waive its fees and/or make payments to the Fund for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the Agreement at any time in its sole discretion after May 31, 2016. The Fund has agreed to repay the amounts borne by the Investment Adviser under the Agreement within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses are less than the lower of the Total Expense Cap and any expense limitation agreement then in effect. The repayment may not raise the level of estimated annualized Specified Expenses in the month of repayment to exceed the Total Expense Cap. As of September 30, 2013, the repayments that potentially may be made by the Fund to the Investment Adviser total $2,013,496.
Expense Payments
The Investment Adviser pays expenses on behalf of the Fund and is subsequently reimbursed for such payments. Subject to the Expense Limitation and Reimbursement Agreement, the Fund was allocated $2,013,496 of the repayment amount which reduced the amount payable by the Fund to the Investment Manager for reimbursement of such expenses. As of September 30, 2013, the Fund had $899,394 receivable from the Investment Adviser recorded in the Consolidated Statement of Assets and Liabilities.
8. Other Agreements
State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund.
Blackstone Advisory Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.
9. Financial Instruments and Off-Balance Sheet Risk
Market Risk: In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit and counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations.
Credit and Counterparty Risk: The Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. The potential loss could exceed the value of the financial assets and liabilities recorded in the consolidated financial statements. Financial assets that potentially expose the Fund to credit and counterparty risk consist principally of cash due from counterparties and investments. The Fund manages counterparty risk by entering into agreements only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. The Fund’s investment adviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring
102
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non-standard settlement trades, the Fund restricts its exposure to credit and counterparty losses by entering into master netting agreements with counterparties (approved brokers) with whom it undertakes a significant volume of transactions. Collateral requirements may differ by type of derivative or investment, as applicable. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for over-the-counter traded derivatives (e.g., forward foreign currency exchange contracts, swap agreements and over-the-counter options). For derivatives traded under an ISDA Master Agreement or similar master agreement, the collateral requirements may be netted across all transactions traded under such agreement and certain counterparties may allow one amount to be posted from one party to the other to collateralize such obligations. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement may permit net amounts owed under each transaction to be net to derive one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Fund’s credit risk to such counterparty equal to any amounts payable by the Fund under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction. Cash collateral that has been pledged to cover obligations of the Fund under derivative financial instrument contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Consolidated Schedule of Investments.
Foreign Investment Risk: The investments by the Fund in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency exchange contracts with respect to the potential inability of counterparties to meet the terms of their contracts.
Liquidity Risk: Some securities held by the Fund may be difficult sell, or illiquid, particular during times of market turmoil. Illiquid securities may also be difficult to value. If the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.
Non-Diversification Risk: The Fund is classified as a “non-diversified” investment company which means that the percentage of its assets that maybe invested in the securities of a single issuer is not limited by the 1940 Act. As a result, the fund’s investment portfolio may be subject to greater risk and volatility that if investments had been made in the securities of a broad range of issuers.
Additional risks associated with each type of investment are described within the respective security type notes. The Fund’s prospectus includes a discussion of the principal risks of investing in the Fund.
103
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued) (Unaudited)
For the Period August 6, 2013 (commencement of operations)
to September 30, 2013
10. Investment Transactions
The aggregate cost of purchases and proceeds of sales of investments in securities (excluding U.S. Treasury obligations and U.S. government sponsored agency securities) (including maturities), other than short-term investments (if applicable), for the period ended September 30, 2013 were as follows:
Purchases | $ | 942,841,969 | ||
Sales | $ | 190,911,941 |
11. Subsequent Events
The Fund has evaluated the impact of subsequent events through the date of financial statement issuance, and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the consolidated financial statements.
104
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Shareholder Fee Example (Unaudited)
As a shareholder of the Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The actual expense example is based on an investment of $1,000 invested at the commencement of operations and held through the period ended September 30, 2013.
The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the period ended September 30, 2013.
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 8/6/2013 | Ending Account Value 9/30/2013 | Expenses Paid During Period1 | ||||||||||
Actual | $1,000.00 | $1,002.00 | $ 4.62 | |||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,009.73 | $15.42 |
1 | “Actual” expense information for the Fund is for the period from August 6, 2013 (commencement of operations) to September 30, 2013. Actual expenses are equal to the Fund’s annualized net expense ratio of 3.06%, multiplied by 55/365 (to reflect the period from commencement of operations to September 30, 2013). “Hypothetical” expense information is presented on the basis of the full one-half year period to enable comparison to other funds. It is based on assuming the same net expense ratio and average account value over the period, but it is multiplied by 183/365 (to reflect the full half-year period). |
105
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Supplemental Information (Unaudited)
September 30, 2013
Management of the Fund
The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund (the “Independent Trustees”). The Trustees and the Fund’s officers are subject to removal or replacement in accordance with Massachusetts law and the Fund’s Declaration of Trust. The Trustees were elected by the initial shareholder of the Fund.
Sub-Advisers
The Investment Adviser has engaged the following entities as sub-advisers (each, a “Sub-Adviser,” and together, the “Sub-Advisers”) to provide investment management services to the Fund or to one or more Subsidiaries:
Ÿ | Bayview Asset Management, LLC |
Ÿ | Boussard & Gavaudan Asset Management, LP |
Ÿ | BTG Pactual Asset Management US, LLC |
Ÿ | Caspian Capital LP |
Ÿ | Cerberus Sub-Advisory I, LLC |
Ÿ | Chatham Asset Management, LLC |
Ÿ | Credit Suisse Hedging-Griffo Servicos Internacionais S.A. |
Ÿ | Good Hill Partners LP |
Ÿ | HealthCor Management, L.P. |
Ÿ | Nephila Capital, Ltd. |
Ÿ | Two Sigma Advisers, LLC |
Ÿ | Wellington Management Company, LLP |
Compensation for Trustees
The Fund pays no compensation to any of its officers or to Trustees who are not Independent Trustees. Each Independent Trustee is paid by the Fund $30,000 per fiscal year for his or her services to the Fund, and the Chairpersons of the Board and the Audit Committee are each paid an additional $3,000 per fiscal year. In addition, the Independent Trustees also were paid a one-time fee of $7,500 for his or her services related to the organizational meetings of the Fund. Trustees are reimbursed by the Fund for their travel expenses related to Board meetings.
Form N-Q Filings
The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Holdings and allocations shown on any Form N-Q are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.
Proxy Voting Policies
A description of the policies and procedures used to vote proxies related to the Fund’s portfolio securities and information regarding how the Fund voted proxies relating to its portfolio securities from its inception through June 30, 2014 will be available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.
106
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Supplemental Information (Continued) (Unaudited)
September 30, 2013
Board Approval of the Investment Management and Sub Fund Investment Management Agreements
At an organizational meeting of the Board held in person on April 29, 2013, the Board, including all of the Independent Trustees, considered and unanimously approved the following agreements:
(1) | investment management agreement (“Investment Management Agreement”) between BAIA and the Trust, on behalf of the Fund; |
(2) | investment management agreement (“Sub II Agreement”) between BAIA and Blackstone Alternative Multi-Manager Sub Fund II Ltd. (“Sub Fund II”); and |
(3) | investment management agreement (“Sub III Agreement”) between BAIA and Blackstone Alternative Multi-Manager Sub Fund III L.L.C. (“Sub Fund III”). |
In addition, at an organizational meeting of the Board held in person on July 11, 2013, the Board, including a majority of the Independent Trustees, considered and unanimously approved the investment management agreement (“Sub IV Agreement”) between BAIA and Blackstone Alternative Multi-Manager Sub Fund IV L.L.C. (“Sub Fund IV”). Sub Fund II, Sub Fund III, and Sub Fund IV are collectively referred to herein as the “Sub Funds” and each a “Sub Fund.” The Sub II Agreement, Sub III Agreement, and Sub IV Agreement are collectively referred to herein as the “Sub Fund Investment Management Agreements.” Because each Sub Fund is a wholly-owned subsidiary of the Fund, references to the Fund below should be understood to be references to the Fund and the Sub Funds.
The Independent Trustees were assisted in their review of the Investment Management Agreement and the Sub Fund Investment Management Agreements by independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Investment Management Agreement and the Sub Fund Investment Management Agreements. Prior to the meetings, the Board received, among other things, (a) materials prepared by independent legal counsel regarding the relevant factors to consider in evaluating the Investment Management Agreement and the Sub Fund Investment Management Agreements; (b) materials prepared by BAIA relating to, among other things, BAIA’s qualifications to serve as investment manager; analysis of the fees and expenses of the Fund (on a combined basis with the fees and expenses of the Sub Funds) as compared with a peer group of funds; analysis of BAIA’s expected profitability from providing services to the Fund and Sub Funds; and information regarding BAIA’s Code of Ethics and compliance program; and (c) materials prepared by an outside firm, unaffiliated with the Fund, the Sub Funds, or BAIA, that is in the business of regularly preparing reports for use by fund boards in considering investment advisory agreement approvals (the “Service Provider”) comparing the management fee rate and total operating expenses of the Fund (on a combined basis with the fees and expenses of the Sub Funds) to those of a peer group of funds determined by the Service Provider.
At the meetings, there was discussion regarding the materials that had been provided to the Board, the terms of the Investment Management Agreement and the Sub Fund Investment Management Agreements, the expected operations of the Fund, and other relevant considerations. The Independent Trustees met with representatives of BAIA separately in executive session to consider the information BAIA provided. They also met in executive session with their independent legal counsel. In evaluating the agreements, the Board took into account the fact that BAIA serves as investment adviser to, and receives a management fee from, the Fund and the Sub Funds, but does not receive a management fee from the Fund with respect to assets of the Sub Fund so that there is no duplicative payment of management fees. Following this discussion, the Board, including all of the Independent Trustees, determined to approve the Investment Management
107
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Supplemental Information (Continued) (Unaudited)
September 30, 2013
Agreement and each of the Sub Fund Investment Management Agreements for an initial term of two years on the basis of the following considerations, among others:
Nature, Extent, and Quality of the Services
The Board considered the investment management and other services that would be provided to the Fund by BAIA in light of the Fund’s structure, investment objective, strategies, and other characteristics. The Board noted that the Fund would employ a “manager of managers” structure, whereby BAIA would be responsible for selecting sub-advisers (subject to Board approval), allocating the Fund’s assets among them, and overseeing their day-to-day management of the Fund’s assets. The Board discussed BAIA’s personnel, operations, and financial condition, including BAIA’s (1) significant investment in, commitment to, and ability to retain key personnel; (2) focus on analysis of complex asset categories, including a variety of alternative investments; (3) disciplined investment approach and commitment to investment principles; (4) significant investment in and commitment to personnel, including additional hiring and extensive training, and infrastructure, including research, risk management and portfolio management analytics; (5) significant compliance efforts; (6) oversight of and plan for distribution; and (7) ability to identify, select, and provide ongoing oversight and monitoring of quality sub-advisers and other service providers. The Board noted the status of Blackstone Alternative Asset Management L.P. (“BAAM”), an affiliate of BAIA, as one of the largest discretionary hedge fund allocators and the expected associated competitive advantages in structuring and supervising a group of sub-advisers that were expected to come principally from the hedge fund industry. The Board concluded that the nature, extent, and quality of the management and advisory services to be provided were appropriate and thus supported a decision to approve the Investment Management Agreement and Sub Fund Investment Management Agreements.
Costs of Services and Profitability
In analyzing the cost of services and profitability of BAIA, the Board discussed the proposed advisory fee, the resources that BAIA had devoted to the Fund and the Sub Funds, and the information BAIA provided regarding the profitability to BAIA from providing advisory services to the Fund. The Board reviewed the Fund’s management fee rate and the total expense ratio compared to those of a peer group of funds determined by the Service Provider. The Board took into account the guidance provided by a prospective distribution partner regarding its understanding of the market and fee arrangements for comparable funds, as well as the significant investment by, and cost to, BAIA regarding the service infrastructure needed to support the Fund and its investors. The Board noted that the proposed management fee would include any fees that would be payable to the sub-advisers and considered BAIA’s undertaking to limit certain expenses of the Fund that exceed a specified level. The Board, recognizing that there was not yet profitability data to evaluate for the Fund, considered the proposed profits estimated to be realized by BAIA and its affiliates from its relationship with the Fund and noted that additional data would be provided after the Fund commenced operations. On the basis of the Board’s review of the fees to be charged by BAIA for investment advisory and related services, the relatively unique and highly specialized nature of the Fund’s investment program, and the estimated costs associated with managing the Fund, the Board concluded that the level of investment management fees was appropriate in light of the services to be provided, the management fees and estimated overall expense ratios of comparable investment companies, and BAIA’s undertaking to limit certain expenses.
Economies of Scale
The Board discussed various financial and economic considerations relating to the proposed arrangement with BAIA, including economies of scale. While noting that the management fees would not decrease as the level of Fund assets increased, the Board concluded that the management fees reflected the complexity of the Fund’s operations and the fact that, as the assets of the Fund increased, the complexity of the Fund’s operations would potentially increase through retention of additional sub-advisers employing diverse
108
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Supplemental Information (Continued) (Unaudited)
September 30, 2013
investment strategies. The Board noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of management fees payable to BAIA, with respect to different asset sizes of the Fund, in the future.
Investment Performance of the Investment Adviser
Since the Fund had not yet commenced operations, the Trustees were unable to consider its performance.
Other Benefits
The Board discussed other benefits that BAIA may receive from the Fund, including the ability to leverage the infrastructure designed to service the Fund on behalf of other clients, soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to Fund shareholders. The Board noted that BAIA indicated they did not expect to receive significant ancillary benefits as a result of their relationship with the Fund and that BAIA would not realize significant “fall out” benefits from its relationship with the Fund. The Board concluded that other benefits derived by BAIA from its relationship with the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and investors therein, and were consistent with industry practice and the best interests of the Fund and its shareholders.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under the Investment Management Agreement and each of the Sub Fund Investment Management Agreements were fair and reasonable with respect to the services that BAIA would provide to the Fund and in light of the other factors described above and additional factors that the Board deemed relevant. After review and consideration of certain other terms and conditions of the Investment Management Agreement and Sub Fund Investment Management Agreements, the Board concluded that the terms of each agreement were reasonable and fair and noted that they would have the opportunity to periodically re-examine the terms of the Investment Management Agreement and Sub Fund Investment Management Agreements in the future. The Board based its decision on an evaluation of all these factors as a whole and did not consider any one factor as all-important or controlling. The Board was assisted by the advice of independent counsel in making these determinations.
Board Consideration of the Sub-Advisory Agreements
At organizational meetings of the Board held in person on May 14, 2013, June 19-20, 2013 and July 31, 2013, the Board, including all of the Independent Trustees considered and unanimously approved the sub-advisory agreements (“Sub-Advisory Agreements”) between BAIA and each of the following Sub-Advisers:
Ÿ | Bayview Asset Management, LLC |
Ÿ | Boussard & Gavaudan Asset Management, LP |
Ÿ | BTG Pactual Asset Management US, LLC |
Ÿ | Caspian Capital LP |
Ÿ | Cerberus Sub-Advisory I, LLC |
Ÿ | Chatham Asset Management, LLC |
Ÿ | Credit Suisse Hedging-Griffo Servicos Internacionais S.A. |
Ÿ | Good Hill Partners LP |
Ÿ | HealthCor Management, L.P. |
Ÿ | Nephila Capital, Ltd. |
Ÿ | Two Sigma Advisers, LLC |
Ÿ | Wellington Management Company, LLP |
109
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Supplemental Information (Continued) (Unaudited)
September 30, 2013
The Independent Trustees were assisted in their review of the Sub-Advisory Agreements by independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. The Board noted that BAIA and the Fund would rely on an exemptive order from the SEC that would permit the Fund to add or replace sub-advisers to the Fund without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approves the new sub-advisers and certain other conditions are met. Prior to the meetings, the Board received, among other things, (a) materials prepared by independent legal counsel regarding the relevant factors to consider in evaluating the Sub-Advisory Agreements; (b) materials prepared by BAIA relating to each Sub-Adviser, including (1) summary information regarding: the investment thesis; strengths; a comparison to hedge fund strategies; a firm-wide risk evaluation and a strategy risk evaluation; an assessment of relevant valuation, liquidity, trade execution, allocation, and compliance matters; and a summary of the key terms of the relevant Sub-Advisory Agreement; (2) information in greater detail regarding the Sub-Adviser’s investment thesis, investment strategy, investment process, portfolio construction, organizational history and ownership, quantitative analysis, peer group analysis, risk review, and business and financial evaluation; (3) information regarding the Sub-Adviser’s product offerings and personnel, business viability, related entities, product and operational complexity, valuation, internal controls, counterparties, service providers, and regulatory and compliance infrastructure; (4) a summary of the Sub-Adviser’s compliance program; and (5) information regarding the role of each Sub-Adviser as part of the Fund’s portfolio; and (c) materials prepared by each Sub-Adviser that addressed, among other things: (1) general financial information; (2) services and personnel; (3) portfolio management; (4) costs, fees, other benefits, and profitability; and (5) risk management and regulatory compliance matters.
At the meetings, there was discussion regarding the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) met telephonically with their independent legal counsel on several occasions to consider the information provided. In evaluating the Sub-Advisory Agreements, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the investment management fee and would not increase the fees or expenses otherwise incurred by the Fund’s shareholders. Following this discussion, the Board, including all of the Independent Trustees, determined to approve each of the Sub-Advisory Agreements for an initial term of two years on the basis of the following considerations, among others:
Nature, Extent, and Quality of the Services
The Board discussed and considered with respect to each Sub-Adviser (1) personnel, operations, and financial condition; (2) investment expertise; (3) percentage of Fund assets to be allocated to the Sub-Adviser; (4) expected return on the assets that would be managed by the Sub-Adviser; (5) where applicable, the Sub-Adviser’s experience and performance in managing hedge funds and other products in which BAAM funds had invested, the existing relationship between the Sub-Adviser and BAAM, and the extent to which the Sub-Adviser’s strategy for the Fund would overlap with its hedge fund strategy; and (6) the experience and depth of the Sub-Adviser’s portfolio management team and its ability to manage risk. The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve the Sub-Advisory Agreements.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Sub-Adviser, the Board discussed the following factors: the proposed sub-advisory fee for managing the allocated Fund assets, including any breakpoints, discounts, exclusivity periods, or “most-favored nations” provisions, the Sub-Adviser’s resources devoted to the Fund, and (where available) the information provided by each Sub-Adviser regarding the profitability to the Sub-Adviser from providing sub-advisory services to the Fund. Where applicable, the Board reviewed the
110
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Supplemental Information (Continued) (Unaudited)
September 30, 2013
performance of the Sub-Adviser’s comparable hedge fund as compared to relevant indices, as well as information about the management fees borne by those funds. The Board considered the specific resources the Sub-Adviser would devote to the Fund for analysis, risk management, compliance, and order execution and the extent to which the Sub-Adviser’s investment process would be scalable. The Board noted that the compensation paid to the Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of the Sub-Adviser did not increase the fees or expenses otherwise incurred by the Fund’s shareholders. On the basis of the Board’s review of the fees to be charged by each Sub-Adviser for investment sub-advisory services, the relatively unique and highly specialized nature of the portfolio that the Sub-Adviser would manage, and the estimated costs associated with managing the portfolio, the Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided. It was noted that all of the Sub-Advisory Agreements were the result of arms-length negotiations.
Economies of Scale
The Board discussed various financial and economic considerations relating to the proposed arrangement with each Sub-Adviser, including economies of scale. In the case of certain Sub-Advisers, the Board noted that the sub-advisory fees would decrease as the level of portfolio assets increased and/or that the fees were discounted. The Board noted that while the sub-advisory fees would not decrease as the level of portfolio assets increased, the assets to be managed by such Sub-Advisers were expected to be relatively modest in size in the first year of operations. The Board noted that certain Fund expenses would be subject to an expense cap and determined that because the Fund had not commenced operations, it was premature to discuss changes to and/or additional breakpoints. The Board noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Sub-Adviser, with respect to different asset sizes of the portfolio managed by such Sub-Adviser, in the future.
Investment Performance of the Sub-Advisers
Since the Fund had not yet commenced operations, the Trustees were unable to consider its performance. The Trustees reviewed historical investment performance generated by each Sub-Adviser for other funds managed by the Sub-Adviser, but noted that the Fund was different in structure and, as a result, its investment program and performance would differ from those of the other funds.
Other Benefits
The Board discussed other potential benefits that each Sub-Adviser might receive from the Fund, including the ability to leverage the infrastructure designed to service the Fund on behalf of other clients, soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to Fund shareholders. The Board noted that none of the Sub-Advisers indicated that it expected to receive significant ancillary benefits as a result of its relationship with BAIA, BAAM, or the Fund and that none of the Sub-Advisers expected to realize significant “fall out” benefits from its relationship with BAIA, BAAM, or the Fund. The Board concluded that other benefits derived by each Sub-Adviser from its relationship with BAIA, BAAM, or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and investors therein, and were consistent with industry practice and the best interests of the Fund and its shareholders.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that the relevant Sub-Adviser would provide to the Fund and in light of the other factors described above and additional factors that the Board deemed relevant. After review and consideration of certain other terms and conditions of the
111
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Supplemental Information (Continued) (Unaudited)
September 30, 2013
Sub-Advisory Agreements, the Board concluded that the terms of each Sub-Advisory Agreement were reasonable and fair and noted that they would have the opportunity to periodically re-examine the terms of the Sub-Advisory Agreements in the future. The Board based its decision on an evaluation of all these factors as a whole and did not consider any one factor as all-important or controlling. The Board was assisted by the advice of independent counsel in making these determinations.
Additional Information
The Fund’s registration statement includes additional information about the Trustees of the Fund. The registration statement is available, without charge, upon request by calling 1-855-890-7725.
112
Blackstone Alternative Multi-Manager Fund
a series of Blackstone Alternative Investment Funds
Trustees
John M. Brown, Chairman
Frank J. Coates
Paul J. Lawler
Kristen M. Leopold
Peter Koffler
Investment Manager
Blackstone Alternative Investment Advisors LLC
345 Park Avenue
New York, New York 10154
Administrator, Custodian
and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Officers
Brian F. Gavin, President and Principal Executive Officer
Arthur Liao, Treasurer and Principal Financial and Accounting Officer
Peter Koffler, Chief Compliance Officer
Scott Sherman, Chief Legal Officer
Stephen Buehler, Secretary
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199-3600
This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Manager Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.blackstone.com/blackstone-alternative-multi-manager-fund. You can also get this information at no cost by calling the Fund at 1-855-890-7725.
Item 2. Code of Ethics.
Not applicable to this semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable to this semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable to this semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) | The registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Stockholders filed under item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Investment Management Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not applicable to this semi-annual report. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Blackstone Alternative Investment Funds | |
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) | ||
Date December 6, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) | ||
Date December 6, 2013 | ||
By (Signature and Title) | /s/ Arthur Liao | |
Arthur Liao, Treasurer (Principal Financial and Accounting Officer) | ||
Date December 6, 2013 |