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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, 2014
Table of Contents
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached hereto.
Table of Contents
Blackstone
Blackstone Alternative Multi-Manager Fund
Blackstone Alternative Multi-Strategy Fund
Series of Blackstone Alternative Investment Funds
Semi-Annual Report (Unaudited)
For the Period Ended September 30, 2014
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
September 30, 2014 (Unaudited)
Geographic Breakdown | Percentage of Total Net Assets | |||
United States | 56.4 | % | ||
Cayman Islands | 5.0 | |||
Ireland | 4.3 | |||
Japan | 1.9 | |||
Netherlands | 1.6 | |||
Switzerland | 1.3 | |||
United Kingdom | 1.3 | |||
Germany | 0.9 | |||
Bermuda | 0.6 | |||
Brazil | 0.6 | |||
China | 0.6 | |||
France | 0.6 | |||
Venezuela | 0.6 | |||
Canada | 0.5 | |||
Italy | 0.4 | |||
Greece | 0.3 | |||
Belgium | 0.2 | |||
Cyprus | 0.2 | |||
Hong Kong | 0.2 | |||
Luxembourg | 0.2 | |||
Denmark | 0.1 | |||
Israel | 0.1 | |||
Mexico | 0.1 | |||
Nigeria | 0.1 | |||
Poland | 0.1 | |||
Republic of Korea | 0.1 | |||
Singapore | 0.1 | |||
South Africa | 0.1 | |||
Bahamas | 0.0 | 1 | ||
Chile | 0.0 | 1 | ||
Colombia | 0.0 | 1 | ||
Curacao | 0.0 | 1 | ||
India | 0.0 | 1 | ||
Puerto Rico | 0.0 | 1 | ||
Portugal | 0.0 | 1 | ||
Spain | 0.0 | 1 | ||
Sweden | 0.0 | 1 | ||
Taiwan | 0.0 | 1 | ||
Other2 | 3.6 | |||
Securities Sold Short | (20.0 | ) | ||
Other Assets and Liabilities3 | 37.9 | |||
|
| |||
Total | 100.0 | % | ||
|
|
1 | Represents less than 0.1%. |
2 | Includes Foreign Government, Exchange-Traded Funds and Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
See Notes to Consolidated Financial Statements.
1
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2014 (Unaudited)
Portfolio Composition | Percentage of Total Net Assets | |||
Common Stock | 41.3 | % | ||
Mortgage-Backed Securities | 16.8 | |||
Asset-Backed Securities | 7.9 | |||
Corporate Bonds & Notes | 7.6 | |||
Foreign Government | 2.9 | |||
U.S. Government Sponsored Agency Securities | 2.6 | |||
Bank Loans | 1.9 | |||
Convertible Bonds | 0.3 | |||
Exchange-Traded Funds | 0.2 | |||
Preferred Stock | 0.1 | |||
Other1 | 0.5 | |||
Securities Sold Short | (20.0 | ) | ||
Other Assets and Liabilities2 | 37.9 | |||
|
| |||
Total | 100.0 | % | ||
|
|
1 | Includes Purchased Options. |
2 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
Credit Quality Allocation3 | Percentage of Total Investments in Securities | |||
AAA/Aaa4 | 3.7 | % | ||
A | 2.2 | |||
BBB/Baa | 5.9 | |||
BB/Ba | 4.6 | |||
B | 5.7 | |||
CCC/Caa | 8.8 | |||
CC/Ca | 0.3 | |||
C | 0.1 | |||
D | 0.6 | |||
Not Rated | 16.8 | |||
Other5 | 51.3 | |||
|
| |||
Total Investments in Securities | 100.0 | % | ||
|
|
3 | Using the higher Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
4 | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the Investment Adviser. |
5 | Includes Common Stock, Preferred Stock, Exchange-Traded Funds and Purchased Options. |
Industry | Percentage of Total Net Assets | |||
Biotechnology & Pharmaceuticals | 9.9 | % | ||
Banking | 4.1 | |||
Media | 4.1 | |||
Financial Services | 3.2 | |||
Health Care Facilities/Services | 3.0 | |||
Insurance | 2.1 | |||
Medical Equipment/Devices | 1.8 | |||
Oil, Gas & Coal | 1.8 | |||
Hardware | 1.5 | |||
Retail Discretionary | 1.4 | |||
Real Estate | 1.3 | |||
Asset Management | 1.2 | |||
Semiconductors | 1.1 | |||
Software | 1.0 | |||
Electrical Equipment | 0.9 | |||
Exploration & Production | 0.9 | |||
Publishing & Broadcasting | 0.9 | |||
Institutional Financial Service | 0.7 | |||
Specialty Finance | 0.7 | |||
Telecommunications | 0.7 |
See Notes to Consolidated Financial Statements.
2
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2014 (Unaudited)
Industry | Percentage of Total Net Assets | |||
Integrated Oils | 0.6 | |||
Retail—Consumer Staples | 0.6 | |||
Transportation & Logistics | 0.6 | |||
Advertising & Marketing | 0.5 | |||
Automotive | 0.5 | |||
Gaming, Lodging & Restaurants | 0.5 | |||
Renewable Energy | 0.5 | |||
Aerospace & Defense | 0.4 | |||
Casinos & Gaming | 0.4 | |||
Consumer Products | 0.3 | |||
Containers & Packaging | 0.3 | |||
Engineering & Construction Services | 0.3 | |||
Industrial Services | 0.3 | |||
Oil & Gas Services | 0.3 | |||
Passenger Transportation | 0.3 | |||
Automobiles Manufacturing | 0.2 | |||
Chemicals | 0.2 | |||
Machinery | 0.2 | |||
Metals & Mining | 0.2 | |||
Property & Casualty Insurance | 0.2 | |||
Auto Parts Manufacturing | 0.1 | |||
Commercial Services | 0.1 | |||
Consumer Finance | 0.1 | |||
Design Manufacturing & Distribution | 0.1 | |||
Distributors—Consumer Staples | 0.1 | |||
Entertainment Resources | 0.1 | |||
Food & Beverage | 0.1 | |||
Home & Office Products | 0.1 | |||
Home Improvement | 0.1 | |||
Power Generation | 0.1 | |||
Railroad | 0.1 | |||
Retail—Consumer Discretionary | 0.1 | |||
Software & Services | 0.1 | |||
Technology Services | 0.1 | |||
Utilities | 0.1 | |||
Apparel & Textile Products | 0.0 | 1 | ||
Construction Materials | 0.0 | 1 | ||
Construction Materials Manufacturing | 0.0 | 1 | ||
Consumer Services | 0.0 | 1 | ||
Distributors | 0.0 | 1 | ||
Forest & Paper Products | 0.0 | 1 | ||
Iron & Steel | 0.0 | 1 | ||
Leisure Products | 0.0 | 1 | ||
Manufactured Goods | 0.0 | 1 | ||
Recreation Facilities & Services | 0.0 | 1 | ||
Restaurants | 0.0 | 1 |
See Notes to Consolidated Financial Statements.
3
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2014 (Unaudited)
Industry | Percentage of Total Net Assets | |||
Transportation Equipment | 0.0 | 1 | ||
Waste & Environmental Service Equipment & Facility | 0.0 | 1 | ||
Other2 | 30.9 | |||
Securities Sold Short | (20.0 | ) | ||
Other Assets and Liabilities3 | 37.9 | |||
|
| |||
Total Investments | 100.0 | % | ||
|
|
1 | Represents less than 0.1%. |
2 | Includes Asset-Backed Securities, Foreign Government, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, Exchange-Traded Funds and Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
See Notes to Consolidated Financial Statements.
4
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information
September 30, 2014 (Unaudited)
Geographic Breakdown | Percentage of Total Net Assets | |||
United States | 48.4 | % | ||
Cayman Islands | 3.8 | |||
Ireland | 3.6 | |||
Japan | 1.9 | |||
Netherlands | 1.5 | |||
Switzerland | 1.4 | |||
United Kingdom | 1.2 | |||
Germany | 0.8 | |||
Bermuda | 0.7 | |||
China | 0.7 | |||
Canada | 0.6 | |||
Venezuela | 0.6 | |||
Brazil | 0.4 | |||
Italy | 0.4 | |||
France | 0.3 | |||
Belgium | 0.2 | |||
Greece | 0.2 | |||
Hong Kong | 0.2 | |||
Luxembourg | 0.2 | |||
Cyprus | 0.1 | |||
Israel | 0.1 | |||
Mexico | 0.1 | |||
Poland | 0.1 | |||
Republic of Korea | 0.1 | |||
Singapore | 0.1 | |||
Chile | 0.0 | 1 | ||
Colombia | 0.0 | 1 | ||
Denmark | 0.0 | 1 | ||
Nigeria | 0.0 | 1 | ||
Portugal | 0.0 | 1 | ||
Puerto Rico | 0.0 | 1 | ||
South Africa | 0.0 | 1 | ||
Spain | 0.0 | 1 | ||
Sweden | 0.0 | 1 | ||
Taiwan | 0.0 | 1 | ||
Other2 | 3.1 | |||
Securities Sold Short | (19.6 | ) | ||
Other Assets and Liabilities3 | 48.8 | |||
|
| |||
Total | 100.0 | % | ||
|
|
1 | Represents less than 0.1%. |
2 | Includes Foreign Government, Exchange-Traded Funds and Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
See Notes to Consolidated Financial Statements.
5
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2014 (Unaudited)
Portfolio Composition | Percentage of Total Net Assets | |||
Common Stock | 41.4 | % | ||
Mortgage-Backed Securities | 14.4 | |||
Asset-Backed Securities | 4.9 | |||
Corporate Bonds & Notes | 4.3 | |||
Foreign Government | 2.5 | |||
U.S. Government Sponsored Agency Securities | 2.3 | |||
Bank Loans | 0.3 | |||
Exchange-Traded Funds | 0.2 | |||
Convertible Bonds | 0.1 | |||
Preferred Stock | 0.0 | 1 | ||
Other2 | 0.4 | |||
Securities Sold Short | (19.6 | ) | ||
Other Assets and Liabilities3 | 48.8 | |||
|
| |||
Total | 100.0 | % | ||
|
|
1 | Represents less than 0.1%. |
2 | Includes Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
Credit Quality Allocation4 | Percentage of Total Investments in Securities | |||
AAA/Aaa5 | 3.9 | % | ||
A | 2.2 | |||
BBB/Baa | 5.6 | |||
BB/Ba | 4.4 | |||
B | 3.9 | |||
CCC/Caa | 8.2 | |||
CC/Ca | 0.3 | |||
C | 0.2 | |||
D | 1.6 | |||
Not Rated | 10.4 | |||
Other6 | 59.3 | |||
|
| |||
Total Investments in Securities | 100.0 | % | ||
|
|
4 | Using the higher Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
5 | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the Investment Adviser. |
6 | Includes Common Stock, Preferred Stock, Exchange-Traded Funds and Purchased Options. |
Industry | Percentage of Total Net Assets | |||
Biotechnology & Pharmaceuticals | 9.4 | % | ||
Media | 4.6 | |||
Banking | 4.0 | |||
Health Care Facilities/Services | 3.1 | |||
Insurance | 2.1 | |||
Medical Equipment/Devices | 2.0 | |||
Oil, Gas & Coal | 1.5 | |||
Retail Discretionary | 1.5 | |||
Hardware | 1.3 | |||
Asset Management | 1.2 | |||
Real Estate | 1.1 | |||
Electrical Equipment | 1.0 | |||
Semiconductors | 1.0 | |||
Telecommunication | 0.9 | |||
Software | 0.8 | |||
Exploration & Production | 0.7 | |||
Transportation & Logistics | 0.7 | |||
Institutional Financial Service | 0.6 | |||
Integrated Oils | 0.6 |
See Notes to Consolidated Financial Statements.
6
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2014 (Unaudited)
Industry | Percentage of Total Net Assets | |||
Retail—Consumer Staples | 0.6 | |||
Specialty Finance | 0.6 | |||
Aerospace & Defense | 0.5 | |||
Gaming, Lodging & Restaurants | 0.5 | |||
Publishing & Broadcasting | 0.5 | |||
Renewable Energy | 0.5 | |||
Automotive | 0.4 | |||
Financial Services | 0.4 | |||
Advertising & Marketing | 0.3 | |||
Consumer Products | 0.3 | |||
Engineering & Construction Services | 0.3 | |||
Industrial Services | 0.3 | |||
Machinery | 0.3 | |||
Casinos & Gaming | 0.2 | |||
Chemicals | 0.2 | |||
Containers & Packaging | 0.2 | |||
Passenger Transportation | 0.2 | |||
Utilities | 0.2 | |||
Automobiles Manufacturing | 0.1 | |||
Commercial Services | 0.1 | |||
Consumer Finance | 0.1 | |||
Design Manufacturing & Distribution | 0.1 | |||
Distributors—Consumer Staples | 0.1 | |||
Food & Beverage | 0.1 | |||
Home & Office Products | 0.1 | |||
Home Improvement | 0.1 | |||
Manufactured Goods | 0.1 | |||
Metals & Mining | 0.1 | |||
Oil & Gas Services | 0.1 | |||
Property & Casualty Insurance | 0.1 | |||
Retail—Consumer Discretionary | 0.1 | |||
Software & Services | 0.1 | |||
Waste & Environmental Service Equipment & Facility | 0.1 | |||
Apparel & Textile Products | 0.0 | 1 | ||
Auto Parts Manufacturing | 0.0 | 1 | ||
Construction Materials | 0.0 | 1 | ||
Construction Materials Manufacturing | 0.0 | 1 | ||
Consumer Services | 0.0 | 1 | ||
Distributors | 0.0 | 1 | ||
Entertainment Resources | 0.0 | 1 | ||
Forest & Paper Products | 0.0 | 1 | ||
Iron & Steel | 0.0 | 1 | ||
Power Generation | 0.0 | 1 | ||
Railroad | 0.0 | 1 | ||
Real Estate Investment Trust (REIT) | 0.0 | 1 | ||
Recreation Facilities & Services | 0.0 | 1 |
See Notes to Consolidated Financial Statements.
7
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2014 (Unaudited)
Industry | Percentage of Total Net Assets | |||
Restaurants | 0.0 | 1 | ||
Technology Services | 0.0 | 1 | ||
Transportation Equipment | 0.0 | 1 | ||
Other2 | 24.7 | |||
Securities Sold Short | (19.6 | ) | ||
Other Assets and Liabilities3 | 48.8 | |||
|
| |||
Total Investments | 100.0 | % | ||
|
|
1 | Represents less than 0.1%. |
2 | Includes Asset-Backed Securities, Foreign Government, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, Exchange-Traded Funds and Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
See Notes to Consolidated Financial Statements.
8
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
INVESTMENT IN SECURITIES — 82.1% | ||||||||||
COMMON STOCK — 41.3% | ||||||||||
Bahamas — 0.0% | ||||||||||
Transportation & Logistics — 0.0% | ||||||||||
Ultrapetrol Bahamas Ltd. (a),(b) | 1,300 | $ | 4,056 | |||||||
|
| |||||||||
Total Bahamas | 4,056 | |||||||||
|
| |||||||||
Belgium — 0.2% | ||||||||||
Consumer Products — 0.1% | ||||||||||
Anheuser-Busch InBev NV | 5,765 | 641,645 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Ageas | 43,471 | 1,443,206 | ||||||||
|
| |||||||||
Total Belgium | 2,084,851 | |||||||||
|
| |||||||||
Bermuda — 0.6% | ||||||||||
Insurance — 0.3% | ||||||||||
Aspen Insurance Holdings Ltd. (b),(c) | 23,100 | 987,987 | ||||||||
Assured Guaranty Ltd. (b) | 151,576 | 3,358,924 | ||||||||
Blue Capital Reinsurance Holdings Ltd. (b),(c) | 2,000 | 35,380 | ||||||||
Third Point Reinsurance Ltd. (a),(b),(c) | 900 | 13,095 | ||||||||
|
| |||||||||
4,395,386 | ||||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Global Sources Ltd. (a),(b) | 85 | 571 | ||||||||
|
| |||||||||
Oil, Gas & Coal — 0.1% | ||||||||||
Kosmos Energy Ltd. (a),(b) | 2,600 | 25,896 | ||||||||
Nabors Industries Ltd. (b),(c) | 22,900 | 521,204 | ||||||||
Seadrill Ltd. (b) | 4,100 | 109,716 | ||||||||
|
| |||||||||
656,816 | ||||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Marvell Technology Group Ltd. (b),(c) | 10,800 | 145,584 | ||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Genpact Ltd. (a),(b),(c) | 16,100 | 262,752 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.2% | ||||||||||
Golar LNG Ltd. | 10,310 | 684,584 | ||||||||
Knightsbridge Tankers Ltd. (b),(c) | 1,800 | 15,930 | ||||||||
Teekay Corp. (b),(c) | 20,400 | 1,353,744 | ||||||||
|
| |||||||||
2,054,258 | ||||||||||
|
| |||||||||
Total Bermuda | 7,515,367 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
9
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Brazil — 0.1% | ||||||||||
Insurance — 0.0% | ||||||||||
Brasil Insurance Participacoes e Administracao SA (a) | 43,000 | $ | 140,537 | |||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Cosan Ltd. A Shares | 20,231 | 217,686 | ||||||||
|
| |||||||||
Utilities — 0.1% | ||||||||||
Cia Energetica de Minas Gerais ADR (b),(c) | 46,000 | 286,580 | ||||||||
|
| |||||||||
Total Brazil | 644,803 | |||||||||
|
| |||||||||
Canada — 0.3% | ||||||||||
Automotive — 0.0% | ||||||||||
Magna International, Inc. | 300 | 28,473 | ||||||||
|
| |||||||||
Banking — 0.0% | ||||||||||
Bank of Nova Scotia (The) | 400 | 24,740 | ||||||||
Royal Bank of Canada (b) | 300 | 21,435 | ||||||||
|
| |||||||||
46,175 | ||||||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
Methanex Corp. (b),(c) | 100 | 6,680 | ||||||||
|
| |||||||||
Consumer Products — 0.0% | ||||||||||
Cott Corp. (b),(c) | 17,300 | 118,851 | ||||||||
SunOpta, Inc. (a),(b) | 400 | 4,828 | ||||||||
|
| |||||||||
123,679 | ||||||||||
|
| |||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Celestica, Inc. (a),(b),(c) | 5,900 | 59,885 | ||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Domtar Corp. (b) | 600 | 21,078 | ||||||||
Mercer International, Inc. (a),(b),(c) | 6,500 | 63,375 | ||||||||
Resolute Forest Products, Inc. (a),(b),(c) | 800 | 12,512 | ||||||||
|
| |||||||||
96,965 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
Tim Hortons, Inc. (b),(c) | 300 | 23,643 | ||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Dragonwave, Inc. (a),(b) | 300 | 369 | ||||||||
Sierra Wireless, Inc. (a),(b),(c) | 2,300 | 61,502 | ||||||||
|
| |||||||||
61,871 | ||||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Points International Ltd. (a),(b) | 200 | 3,484 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
10
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Metals & Mining — 0.1% | ||||||||||
Cameco Corp. (b) | 1,000 | $ | 17,660 | |||||||
Dominion Diamond Corp. (a),(b),(c) | 12,200 | 173,728 | ||||||||
IAMGOLD Corp. (b),(c) | 27,300 | 75,348 | ||||||||
Kinross Gold Corp. (a),(b),(c) | 102,000 | 336,600 | ||||||||
MFC Industrial Ltd. (b),(c) | 1,800 | 12,798 | ||||||||
Nevsun Resources Ltd. (b) | 7,300 | 26,353 | ||||||||
New Gold, Inc. (a),(b),(c) | 1,000 | 5,050 | ||||||||
Primero Mining Corp. (a),(b) | 17 | 82 | ||||||||
Silvercorp Metals, Inc. (b) | 200 | 318 | ||||||||
Taseko Mines Ltd. (a),(b),(c) | 2,400 | 4,080 | ||||||||
Yamana Gold, Inc. (c) | 100 | 600 | ||||||||
|
| |||||||||
659,617 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Advantage Oil & Gas Ltd. (a),(b),(c) | 8,400 | 42,756 | ||||||||
Bellatrix Exploration Ltd. (a),(b) | 100 | 615 | ||||||||
Cenovus Energy, Inc. (b) | 100 | 2,688 | ||||||||
Enerplus Corp. (b) | 100 | 1,897 | ||||||||
Gran Tierra Energy, Inc. (a),(b),(c) | 33,000 | 182,820 | ||||||||
Precision Drilling Corp. (b),(c) | 15,900 | 171,561 | ||||||||
TransGlobe Energy Corp. (b),(c) | 2,500 | 15,200 | ||||||||
|
| |||||||||
417,537 | ||||||||||
|
| |||||||||
Renewable Energy — 0.2% | ||||||||||
Canadian Solar, Inc. (a),(b),(c) | 47,700 | 1,706,229 | ||||||||
|
| |||||||||
Retail Discretionary — 0.0% | ||||||||||
Lululemon Athletica, Inc. (a),(b),(c) | 3,200 | 134,432 | ||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
TransAlta Corp. (b) | 200 | 2,100 | ||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — 0.0% |
| |||||||||
Progressive Waste Solutions Ltd. (b),(c) | 10,100 | 260,277 | ||||||||
|
| |||||||||
Total Canada | 3,624,047 | |||||||||
|
| |||||||||
Cayman Islands — 0.0% | ||||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Fabrinet (a),(b) | 1,500 | 21,900 | ||||||||
|
| |||||||||
Total Cayman Islands | 21,900 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
Insurance — 0.0% | ||||||||||
Administradora de Fondos de Pensiones Provida SA ADR (b),(d) | 300 | 26,394 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
11
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — 0.0% | ||||||||||
Parque Arauco SA | 133,452 | $ | 256,564 | |||||||
|
| |||||||||
Total Chile | 282,958 | |||||||||
|
| |||||||||
China — 0.6% | ||||||||||
Automotive — 0.0% | ||||||||||
China Automotive Systems, Inc. (b),(c) | 2,600 | 23,868 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceutical — 0.0% | ||||||||||
Sinovac Biotech Ltd. (a),(b) | 1,900 | 9,139 | ||||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
Gulf Resources, Inc. (a),(b) | 300 | 429 | ||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
New Oriental Education & Technology Group, Inc. ADR (a),(b),(c) | 2,400 | 55,680 | ||||||||
TAL Education Group ADR (a),(b) | 1,400 | 48,916 | ||||||||
|
| |||||||||
104,596 | ||||||||||
|
| |||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Nam Tai Property, Inc. (b) | 10,800 | 65,556 | ||||||||
|
| |||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
WuXi PharmaTech Cayman, Inc. ADR (a),(b),(c) | 9,700 | 339,694 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
CNINSURE, Inc. ADR (a),(b),(c) | 3,000 | 16,500 | ||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
Hollysys Automation Technologies Ltd. (a),(b),(c) | 800 | 17,992 | ||||||||
|
| |||||||||
Media — 0.3% | ||||||||||
Autohome, Inc. ADR (a),(b) | 300 | 12,603 | ||||||||
Ctrip.com International Ltd. ADR (a),(b),(c) | 1,000 | 56,760 | ||||||||
Qihoo 360 Technology Co. Ltd. ADR (a),(e) | 8,100 | 546,507 | ||||||||
Sohu.com, Inc. (a),(b) | 100 | 5,023 | ||||||||
Tencent Holdings Ltd. | 188,100 | 2,797,936 | ||||||||
Zhaopin Ltd. ADR (a),(b),(c) | 3,000 | 38,910 | ||||||||
|
| |||||||||
3,457,739 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
Guangshen Railway Co. Ltd. ADR (b) | 200 | 3,932 | ||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
E-House China Holdings Ltd. ADR (b),(c) | 6,600 | 62,832 | ||||||||
Xinyuan Real Estate Co. ADR (b),(c) | 18,200 | 53,508 | ||||||||
|
| |||||||||
116,340 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
12
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Renewable Energy — 0.1% | ||||||||||
JA Solar Holdings Co. Ltd. ADR (a),(b),(c) | 26,500 | $ | 245,125 | |||||||
Trina Solar Ltd. ADR (a),(b),(c) | 14,500 | 175,015 | ||||||||
|
| |||||||||
420,140 | ||||||||||
|
| |||||||||
Retail Discretionary — 0.2% | ||||||||||
Alibaba Group Holdings ADR (a) | 23,353 | 2,074,914 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
Changyou.com Ltd. ADR (a),(b) | 400 | 9,572 | ||||||||
Perfect World Co. Ltd. ADR (b),(c) | 16,000 | 315,040 | ||||||||
Sungy Mobile, Ltd. (a),(b) | 100 | 652 | ||||||||
|
| |||||||||
325,264 | ||||||||||
|
| |||||||||
Telecommunication — 0.0% | ||||||||||
21Vianet Group, Inc. ADR (a),(b) | 400 | 7,200 | ||||||||
|
| |||||||||
Total China | 6,983,303 | |||||||||
|
| |||||||||
Colombia — 0.0% | ||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Pacific Rubiales Energy Corp. | 9,881 | 165,691 | ||||||||
|
| |||||||||
Total Colombia | 165,691 | |||||||||
|
| |||||||||
Curacao — 0.0% | ||||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Orthofix International NV (a),(b),(c) | 6,700 | 207,432 | ||||||||
|
| |||||||||
Total Curacao | 207,432 | |||||||||
|
| |||||||||
Denmark — 0.1% | ||||||||||
Banking — 0.1% | ||||||||||
Jyske Bank A/S (a),(b) | 20,785 | 1,123,266 | ||||||||
|
| |||||||||
Commercial Services — 0.0% | ||||||||||
ISS A/S (a) | 14,193 | 384,834 | ||||||||
|
| |||||||||
Total Denmark | 1,508,100 | |||||||||
|
| |||||||||
France — 0.3% | ||||||||||
Banking — 0.3% | ||||||||||
BNP Paribas SA | 13,314 | 883,190 | ||||||||
Credit Agricole SA | 81,528 | 1,230,024 | ||||||||
Societe Generale SA | 20,270 | 1,034,834 | ||||||||
|
| |||||||||
Total France | 3,148,048 | |||||||||
|
| |||||||||
Germany — 0.4% | ||||||||||
Automotive — 0.0% | ||||||||||
Volkswagen AG | 872 | 180,957 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
13
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Health Care Facilities/Services — 0.3% | ||||||||||
Fresenius SE & Co. KGaA | 90,112 | $ | 4,461,018 | |||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Deutsche Wohnen AG | 11,712 | 250,295 | ||||||||
LEG Immobilien AG | 6,245 | 432,801 | ||||||||
|
| |||||||||
683,096 | ||||||||||
|
| |||||||||
Retail Discretionary — 0.0% | ||||||||||
Zalando SE (a) | 1,989 | 54,012 | ||||||||
|
| |||||||||
Total Germany | 5,379,083 | |||||||||
|
| |||||||||
Greece — 0.1% | ||||||||||
Real Estate — 0.1% | ||||||||||
Eurobank Properties Real Estate Investment Co. (a) | 95,697 | 1,087,831 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
Aegean Marine Petroleum Network, Inc. (b),(c) | 1,500 | 13,755 | ||||||||
Costamare, Inc. (b),(c) | 6,100 | 133,956 | ||||||||
Diana Shipping, Inc. (a),(b),(c) | 1,400 | 12,516 | ||||||||
Paragon Shipping, Inc. A Shares (a),(b),(c) | 600 | 2,394 | ||||||||
Safe Bulkers, Inc. (b),(c) | 12,500 | 83,250 | ||||||||
StealthGas, Inc. (a),(b) | 2,200 | 20,042 | ||||||||
Tsakos Energy Navigation Ltd. (b),(c) | 4,500 | 28,710 | ||||||||
|
| |||||||||
294,623 | ||||||||||
|
| |||||||||
Total Greece | 1,382,454 | |||||||||
|
| |||||||||
Hong Kong — 0.2% | ||||||||||
Consumer Services — 0.0% | ||||||||||
Nord Anglia Education, Inc. (a),(b) | 100 | 1,700 | ||||||||
|
| |||||||||
Institutional Financial Service — 0.1% | ||||||||||
Hong Kong Exchanges and Clearing Ltd. | 46,400 | 999,726 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
AIA Group Ltd. (b) | 193,400 | 1,000,020 | ||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
Melco Crown Entertainment Ltd. ADR (b),(c) | 13,900 | 365,431 | ||||||||
|
| |||||||||
Total Hong Kong | 2,366,877 | |||||||||
|
| |||||||||
India — 0.0% | ||||||||||
Metals & Mining — 0.0% | ||||||||||
Sesa Goa Ltd. ADR (c) | 20 | 345 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
14
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Technology Services — 0.0% | ||||||||||
WNS Holdings Ltd. ADR (a),(b) | 200 | $ | 4,502 | |||||||
|
| |||||||||
Total India | 4,847 | |||||||||
|
| |||||||||
Ireland — 4.2% | ||||||||||
Asset Management — 0.1% | ||||||||||
Henderson Group PLC | 436,285 | 1,434,371 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 3.7% | ||||||||||
Endo International PLC (a),(e) | 43,669 | 2,984,339 | ||||||||
Jazz Pharmaceuticals PLC (a),(c) | 2,300 | 369,288 | ||||||||
Mallinckrodt PLC (a),(b),(c),(e),(f) | 193,861 | 17,476,569 | ||||||||
Shire PLC ADR | 100,935 | 26,147,212 | ||||||||
|
| |||||||||
46,977,408 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.3% | ||||||||||
Allegion PLC (b),(c) | 17,011 | �� | 810,404 | |||||||
Ingersoll-Rand PLC (e) | 45,252 | 2,550,403 | ||||||||
|
| |||||||||
3,360,807 | ||||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Seagate Technology PLC (b),(c) | 4,100 | 234,807 | ||||||||
|
| |||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
ICON PLC (a),(b) | 1,200 | 68,676 | ||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Covidien PLC | 400 | 34,604 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Hibernia REIT PLC (a) | 609,378 | 885,126 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
King Digital Entertainment PLC (b),(c) | 1,800 | 22,860 | ||||||||
|
| |||||||||
Total Ireland | 53,018,659 | |||||||||
|
| |||||||||
Israel — 0.1% | ||||||||||
Biotechnology & Pharmaceutical — 0.1% | ||||||||||
Teva Pharmaceutical Industries Ltd. ADR | 19,152 | 1,029,420 | ||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
Orbotech Ltd. (a),(b),(c) | 9,500 | 148,010 | ||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Audiocodes Ltd. (a),(b) | 1,100 | 5,280 | ||||||||
Ceragon Networks Ltd. (a),(b) | 300 | 714 | ||||||||
|
| |||||||||
5,994 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
15
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Syneron Medical Ltd. (a),(b) | 900 | $ | 9,018 | |||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Nova Measuring Instruments Ltd. (a),(b) | 4,100 | 44,280 | ||||||||
Tower Semiconductor Ltd. (a),(b),(c) | 4,200 | 42,714 | ||||||||
|
| |||||||||
86,994 | ||||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
Cimatron Ltd. (a),(b) | 200 | 1,206 | ||||||||
Perion Network Ltd. (a),(b) | 200 | 1,112 | ||||||||
Sapiens International Corp. NV (a),(b) | 100 | 740 | ||||||||
|
| |||||||||
3,058 | ||||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Clicksoftware Technologies Ltd. (b),(c) | 700 | 5,621 | ||||||||
Magic Software Enterprises Ltd. (b) | 1,200 | 8,316 | ||||||||
|
| |||||||||
13,937 | ||||||||||
|
| |||||||||
Telecommunication — 0.0% | ||||||||||
Partner Communications Co. Ltd. ADR (a),(b) | 1,600 | 11,280 | ||||||||
|
| |||||||||
Total Israel | 1,307,711 | |||||||||
|
| |||||||||
Italy — 0.4% | ||||||||||
Asset Management — 0.1% | ||||||||||
Anima Holding SpA (a) | 257,445 | 1,417,073 | ||||||||
|
| |||||||||
Banking — 0.3% | ||||||||||
Banca Generali SpA | 31,651 | 836,715 | ||||||||
Banca Popolare dell’Emilia Romagna (a),(c),(f) | 200,039 | 1,591,754 | ||||||||
FinecoBank SpA (a) | 183,267 | 980,993 | ||||||||
|
| |||||||||
3,409,462 | ||||||||||
|
| |||||||||
Home & Office Products — 0.0% | ||||||||||
De’Longhi SpA (a) | 11,827 | 238,113 | ||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Cerved Information Solutions SpA (a) | 57,911 | 357,238 | ||||||||
|
| |||||||||
Total Italy | 5,421,886 | |||||||||
|
| |||||||||
Japan — 1.9% | ||||||||||
Automotive — 0.3% | ||||||||||
Aisin Seiki Co. Ltd. | 1,711 | 61,701 | ||||||||
Honda Motor Co. Ltd. | 1,715 | 59,421 | ||||||||
Isuzu Motors Ltd. | 8,000 | 113,061 | ||||||||
Mazda Motor Corp. (b) | 136,700 | 3,426,381 |
See Notes to Consolidated Financial Statements.
16
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Toyota Motor Corp. | 1,130 | $ | 66,589 | |||||||
|
| |||||||||
3,727,153 | ||||||||||
|
| |||||||||
Banking — 0.2% | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 160,737 | 908,950 | ||||||||
Mizuho Financial Group, Inc. | 29,625 | 52,916 | ||||||||
Shinsei Bank Ltd. | 581,000 | 1,244,905 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 1,354 | 55,197 | ||||||||
Sumitomo Mitsui Financial Group, Inc. ADR (b) | 700 | 5,740 | ||||||||
|
| |||||||||
2,267,708 | ||||||||||
|
| |||||||||
Chemicals — 0.1% | ||||||||||
Nitto Denko Corp. | 13,500 | 740,392 | ||||||||
|
| |||||||||
Distributors—Consumer Staples — 0.1% | ||||||||||
Mitsubishi Corp. (b) | 78,800 | 1,613,721 | ||||||||
|
| |||||||||
Electrical Equipment — 0.3% | ||||||||||
Hitachi Ltd. | 123,000 | 939,252 | ||||||||
Mitsubishi Heavy Industries Ltd. | 552,842 | 3,556,739 | ||||||||
|
| |||||||||
4,495,991 | ||||||||||
|
| |||||||||
Industrial Services — 0.1% | ||||||||||
Sumitomo Corp. (e) | 108,500 | 1,197,531 | ||||||||
|
| |||||||||
Institutional Financial Service — 0.1% | ||||||||||
Daiwa Securities Group, Inc. | 7,361 | 58,317 | ||||||||
Ichiyoshi Securities Co. Ltd. (a) | 64,300 | 770,369 | ||||||||
|
| |||||||||
828,686 | ||||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
T&D Holdings, Inc. | 75,400 | 968,324 | ||||||||
Tokio Marine Holdings, Inc. | 26,500 | 822,122 | ||||||||
|
| |||||||||
1,790,446 | ||||||||||
|
| |||||||||
Iron & Steel — 0.0% | ||||||||||
Nippon Steel & Sumitomo Metal Corp. (e) | 234,000 | 607,216 | ||||||||
|
| |||||||||
Machinery — 0.2% | ||||||||||
Komatsu Ltd. | 50,700 | 1,172,561 | ||||||||
Kubota Corp. (b),(e) | 116,127 | 1,834,420 | ||||||||
|
| |||||||||
3,006,981 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.1% | ||||||||||
ITOCHU Corp. (c) | 81,700 | 998,204 | ||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
Japan Airlines Co. Ltd. | 2,750 | 75,222 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
17
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — 0.2% | ||||||||||
Industrial & Infrastructure Fund Investment Corp. (a) | 126 | $ | 1,044,304 | |||||||
Mitsubishi Estate Co. Ltd. | 15,000 | 337,611 | ||||||||
Mitsui Fudosan Co. Ltd. | 30,000 | 918,942 | ||||||||
Sumitomo Realty & Development Co. Ltd. | 4,000 | 142,330 | ||||||||
|
| |||||||||
2,443,187 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.1% | ||||||||||
Seven & I Holdings Co. Ltd. | 19,700 | 764,110 | ||||||||
|
| |||||||||
Total Japan | 24,556,548 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Chemicals — 0.0% | ||||||||||
Orion Engineered Carbons SA (a),(b) | 200 | 3,524 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
GAGFAH SA (a) | 42,228 | 786,707 | ||||||||
|
| |||||||||
Telecommunication — 0.0% | ||||||||||
Intelsat SA (a),(b),(c) | 700 | 11,998 | ||||||||
|
| |||||||||
Total Luxembourg | 802,229 | |||||||||
|
| |||||||||
Mexico — 0.1% | ||||||||||
Banking — 0.0% | ||||||||||
Grupo Financiero Banorte SAB de CV O Shares | 10,539 | 67,312 | ||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
OHL Mexico SAB de CV (a) | 169,435 | 458,580 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Corp. Inmobiliaria Vesta SAB de CV | 111,582 | 238,858 | ||||||||
Mexico Real Estate Management SA de CV | 31,829 | 56,048 | ||||||||
Prologis Property Mexico SA de CV | 351,566 | 739,230 | ||||||||
|
| |||||||||
1,034,136 | ||||||||||
|
| |||||||||
Retail Discretionary — 0.0% | ||||||||||
Grupo Sanborns SA de CV | 23,447 | 39,368 | ||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
Hoteles City Express SAB de CV (a) | 87,989 | 161,427 | ||||||||
|
| |||||||||
Total Mexico | 1,760,823 | |||||||||
|
| |||||||||
Netherlands — 1.2% | ||||||||||
Banking — 0.5% | ||||||||||
ING Groep NV CVA (a),(b) | 452,561 | 6,464,879 | ||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
Chicago Bridge & Iron Co. NV (b),(c) | 4,300 | 248,755 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
18
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Institutional Financial Service — 0.1% | ||||||||||
KAS Bank NV CVA (a) | 71,117 | $ | 884,770 | |||||||
|
| |||||||||
Insurance — 0.3% | ||||||||||
Aegon NV (b),(c) | 14,087 | 115,795 | ||||||||
Delta Lloyd NV | 95,346 | 2,299,550 | ||||||||
NN Group NV (a) | 45,455 | 1,319,040 | ||||||||
|
| |||||||||
3,734,385 | ||||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
Sensata Technologies Holding NV (a),(b) | 100 | 4,453 | ||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Ziggo NV | 9,126 | 427,522 | ||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Tornier NV (a),(b) | 400 | 9,560 | ||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Constellium NV A Shares (a),(b) | 4,100 | 100,901 | ||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
NXP Semiconductor NV (a),(b) | 200 | 13,686 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
AVG Technologies NV (a),(b),(c) | 6,800 | 112,744 | ||||||||
|
| |||||||||
Specialty Finance — 0.3% | ||||||||||
AerCap Holdings NV (a),(b),(c) | 92,388 | 3,778,669 | ||||||||
|
| |||||||||
Total Netherlands | 15,780,324 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
Banking — 0.1% | ||||||||||
Alior Bank SA (a) | 48,121 | 1,234,804 | ||||||||
|
| |||||||||
Total Poland | 1,234,804 | |||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
Telecommunication — 0.0% | ||||||||||
Portugal Telecom SGPS SA ADR (b),(c) | 2,600 | 5,434 | ||||||||
|
| |||||||||
Total Portugal | 5,434 | |||||||||
|
| |||||||||
Puerto Rico — 0.0% | ||||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
Triple-S Management Corp. B Shares (a),(b),(c) | 4,400 | 87,560 | ||||||||
|
| |||||||||
Total Puerto Rico | 87,560 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
19
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Republic of Korea — 0.1% | ||||||||||
Automotive — 0.0% | ||||||||||
Hyundai Motor Co. | 941 | $ | 169,875 | |||||||
|
| |||||||||
Hardware — 0.1% | ||||||||||
Samsung Electronics Co. Ltd. | 435 | 488,074 | ||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Magnachip Semiconductor Corp. (a),(b),(c) | 3,100 | 36,270 | ||||||||
SK Hynix, Inc. | 3,855 | 170,785 | ||||||||
|
| |||||||||
207,055 | ||||||||||
|
| |||||||||
Total Republic of Korea | 865,004 | |||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
Design Manufacturing & Distribution — 0.1% | ||||||||||
Flextronics International Ltd. (a),(b),(c) | 68,000 | 701,760 | ||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
China Yuchai International Ltd. (b) | 2,300 | 42,642 | ||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
Ascendas Real Estate Investment Trust | 19,444 | 34,294 | ||||||||
CapitaCommercial Trust | 62,522 | 78,171 | ||||||||
CapitaMall Trust (a) | 21,906 | 32,798 | ||||||||
CDL Hospitality Trusts | 27,633 | 36,174 | ||||||||
Mapletree Logistics Trust | 41,500 | 37,573 | ||||||||
Suntec Real Estate Investment Trust | 27,937 | 38,543 | ||||||||
|
| |||||||||
257,553 | ||||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Kulicke & Soffa Industries, Inc. (a),(b),(c) | 25,800 | 367,134 | ||||||||
|
| |||||||||
Total Singapore | 1,369,089 | |||||||||
|
| |||||||||
South Africa — 0.1% | ||||||||||
Metals & Mining — 0.1% | ||||||||||
Gold Fields Ltd. ADR (b),(c) | 80,000 | 312,000 | ||||||||
Harmony Gold Mining Co. Ltd. ADR (b),(c) | 57,400 | 123,984 | ||||||||
|
| |||||||||
435,984 | ||||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Net 1 UEPS Technologies, Inc. (a),(b),(c) | 17,300 | 208,465 | ||||||||
|
| |||||||||
Total South Africa | 644,449 | |||||||||
|
| |||||||||
Spain — 0.0% | ||||||||||
Banking — 0.0% | ||||||||||
Banco Santander SA ADR (c) | 47 | 446 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
20
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Biotechnology & Pharmaceutical — 0.0% | ||||||||||
Grifols SA ADR (b),(c) | 2,600 | $ | 91,338 | |||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
Abertis Infraestructuras SA | 2,795 | 55,213 | ||||||||
|
| |||||||||
Total Spain | 146,997 | |||||||||
|
| |||||||||
Sweden — 0.0% | ||||||||||
Telecommunication — 0.0% | ||||||||||
Com Hem Holding AB (a) | 28,533 | 207,790 | ||||||||
|
| |||||||||
Total Sweden | 207,790 | |||||||||
|
| |||||||||
Switzerland — 1.3% | ||||||||||
Asset Management — 0.1% | ||||||||||
Julius Baer Group Ltd. | 32,098 | 1,440,661 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceutical — 0.6% | ||||||||||
Roche Holding AG (b),(c),(f) | 26,885 | 7,972,288 | ||||||||
|
| |||||||||
Electrical Equipment — 0.2% | ||||||||||
Tyco International Ltd. | 58,115 | 2,590,186 | ||||||||
|
| |||||||||
Institutional Financial Service — 0.2% | ||||||||||
UBS AG | 161,547 | 2,819,077 | ||||||||
|
| |||||||||
Retail Discretionary — 0.0% | ||||||||||
Dufry AG (a) | 2,706 | 412,688 | ||||||||
|
| |||||||||
Specialty Finance — 0.1% | ||||||||||
Cembra Money Bank AG | 7,360 | 420,153 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.1% | ||||||||||
Flughafen Zuerich AG | 1,639 | 1,029,204 | ||||||||
|
| |||||||||
Total Switzerland | 16,684,257 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
Semiconductors — 0.0% | ||||||||||
ChipMOS Technologies Bermuda Ltd. (b),(c) | 5,800 | 131,196 | ||||||||
Silicon Motion Technology Corp. ADR (b),(c) | 6,900 | 185,886 | ||||||||
United Microelectronics Corp. ADR (b) | 100 | 199 | ||||||||
|
| |||||||||
Total Taiwan | 317,281 | |||||||||
|
| |||||||||
United Kingdom — 1.2% | ||||||||||
Banking — 0.1% | ||||||||||
Standard Chartered PLC | 42,197 | 780,189 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.2% | ||||||||||
AstraZeneca PLC | 10,000 | 720,034 |
See Notes to Consolidated Financial Statements.
21
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
GlaxoSmithKline PLC ADR (b),(c) | 38,800 | $ | 1,783,636 | |||||||
|
| |||||||||
2,503,670 | ||||||||||
|
| |||||||||
Commercial Services — 0.0% | ||||||||||
SSP Group PLC (a) | 45,478 | 191,468 | ||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
InterContinental Hotels Group PLC ADR (b) | 200 | 7,732 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
St James’s Place PLC | 114,053 | 1,349,748 | ||||||||
|
| |||||||||
Media — 0.6% | ||||||||||
Liberty Global PLC (a) | 167,211 | 6,858,159 | ||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
BP PLC ADR (b),(c) | 6,400 | 281,280 | ||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
International Consolidated Airlines Group SA (a) | 5,254 | 31,268 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Kennedy Wilson Europe Real Estate PLC | 79,442 | 1,406,359 | ||||||||
|
| |||||||||
Telecommunications — 0.1% | ||||||||||
BT Group PLC ADR (b) | 200 | 12,296 | ||||||||
Vodafone Group PLC ADR (b),(c) | 51,800 | 1,703,702 | ||||||||
|
| |||||||||
1,715,998 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
Navigator Holdings Ltd. (a),(b) | 400 | 11,132 | ||||||||
|
| |||||||||
Total United Kingdom | 15,137,003 | |||||||||
|
| |||||||||
United States — 27.5% | ||||||||||
Aerospace & Defense — 0.4% | ||||||||||
Aerovironment, Inc. (a),(b),(c) | 3,600 | 108,252 | ||||||||
Alliant Techsystems, Inc. (b),(c) | 16,000 | 2,042,240 | ||||||||
Ducommun, Inc. (a),(b) | 100 | 2,741 | ||||||||
Exelis, Inc. (b),(c) | 51,000 | 843,540 | ||||||||
Hexcel Corp. (a),(b),(c) | 1,800 | 71,460 | ||||||||
Huntington Ingalls Industries, Inc. (b),(c) | 800 | 83,368 | ||||||||
L-3 Communications Holdings, Inc. (b),(c) | 300 | 35,676 | ||||||||
Orbital Sciences Corp. (a),(b),(c) | 10,000 | 278,000 | ||||||||
Rockwell Collins, Inc. (b) | 100 | 7,850 | ||||||||
Spirit Aerosystems Holdings, Inc. A Shares (a),(b),(c) | 18,100 | 688,886 | ||||||||
Textron, Inc. | 400 | 14,396 | ||||||||
TransDigm Group, Inc. (b),(c) | 3,800 | 700,454 | ||||||||
|
| |||||||||
4,876,863 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
22
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Apparel & Textile Products — 0.0% | ||||||||||
Michael Kors Holdings Ltd. (a) | 300 | $ | 21,417 | |||||||
Perry Ellis International, Inc. (a),(b),(c) | 1,300 | 26,455 | ||||||||
Skechers U.S.A., Inc. A Shares (a),(b) | 400 | 21,324 | ||||||||
|
| |||||||||
69,196 | ||||||||||
|
| |||||||||
Asset Management — 0.9% | ||||||||||
American Capital Ltd. (a),(b),(c) | 156,749 | 2,219,566 | ||||||||
Apollo Investment Corp. (b),(c) | 80,000 | 653,600 | ||||||||
Ares Capital Corp. (b),(c) | 133,300 | 2,154,128 | ||||||||
BlackRock Kelso Capital Corp. (b) | 33,600 | 286,944 | ||||||||
Caesars Acquisition Co. A Shares (a),(b) | 8,400 | 79,548 | ||||||||
Calamos Asset Management, Inc. A Shares (b),(c) | 7,200 | 81,144 | ||||||||
Carlyle Group LP (The) | 10,624 | 323,607 | ||||||||
Charles Schwab Corp. (The) (c),(e) | 56,674 | 1,665,649 | ||||||||
Fidus Investment Corp. (b) | 400 | 6,604 | ||||||||
Fifth Street Finance Corp. (b) | 1,600 | 14,688 | ||||||||
Garrison Capital, Inc. (b),(c) | 3,100 | 44,857 | ||||||||
Gladstone Capital Corp. (b),(c) | 8,900 | 78,053 | ||||||||
Gladstone Investment Corp. (b),(c) | 9,400 | 66,834 | ||||||||
Horizon Technology Finance Corp. (b),(c) | 3,100 | 41,726 | ||||||||
KCAP Financial, Inc. (b),(c) | 16,900 | 140,439 | ||||||||
Legg Mason, Inc. (c) | 17,900 | 915,764 | ||||||||
MCG Capital Corp. (b) | 12,800 | 45,056 | ||||||||
Medallion Financial Corp. (b),(c) | 2,500 | 29,150 | ||||||||
Oha Investment Corp. (b),(c) | 4,900 | 30,282 | ||||||||
PennantPark Investment Corp. (b),(c) | 57,500 | 627,325 | ||||||||
Solar Capital Ltd. (b),(c) | 20,300 | 379,204 | ||||||||
Solar Senior Capital Ltd. (b),(c) | 4,300 | 66,177 | ||||||||
Stellus Capital Investment Corp. (b),(c) | 1,300 | 18,057 | ||||||||
TICC Capital Corp. (b),(c) | 22,500 | 198,675 | ||||||||
WhiteHorse Finance, Inc. (b) | 1,700 | 22,525 | ||||||||
WisdomTree Investments, Inc. (a),(b),(c) | 62,814 | 714,823 | ||||||||
|
| |||||||||
10,904,425 | ||||||||||
|
| |||||||||
Automotive — 0.1% | ||||||||||
BorgWarner, Inc. | 15,461 | 813,403 | ||||||||
Gentherm, Inc. (a),(b) | 800 | 33,784 | ||||||||
Methode Electronics, Inc. (b),(c) | 400 | 14,748 | ||||||||
Modine Manufacturing Co. (a),(b) | 1,900 | 22,553 | ||||||||
Motorcar Parts of America, Inc. (a),(b),(c) | 3,700 | 100,677 | ||||||||
Tesla Motors, Inc. (a),(b) | 1,300 | 315,484 | ||||||||
Tower International, Inc. (a),(b),(c) | 9,700 | 244,343 | ||||||||
|
| |||||||||
1,544,992 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
23
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Banking — 1.6% | ||||||||||
1st United Bancorp Inc./Boca Raton (b),(c) | 800 | $ | 6,816 | |||||||
Ameris Bancorp (b) | 300 | 6,585 | ||||||||
Arrow Financial Corp. (b) | 102 | 2,557 | ||||||||
Bancorp, Inc. (a),(b) | 500 | 4,295 | ||||||||
Bank Mutual Corp. (b),(c) | 2,700 | 17,307 | ||||||||
Bank of Kentucky Financial Corp. (b) | 100 | 4,623 | ||||||||
BankUnited, Inc. | 56,800 | 1,731,832 | ||||||||
Beneficial Mutual Bancorp, Inc. (a),(b),(c) | 66,200 | 846,036 | ||||||||
Blue Hills Bancorp, Inc. (a),(b),(c) | 10,100 | 132,512 | ||||||||
Boston Private Financial Holdings, Inc. (b),(c) | 1,200 | 14,868 | ||||||||
Centerstate Banks, Inc. (b),(c) | 2,500 | 25,875 | ||||||||
Central Pacific Financial Corp. (b) | 5,700 | 102,201 | ||||||||
Charter Financial Corp. (b) | 5,500 | 58,850 | ||||||||
Chemical Financial Corp. (b),(c) | 2,500 | 67,225 | ||||||||
Citigroup, Inc. (c) | 86,515 | 4,483,207 | ||||||||
ConnectOne Bancorp, Inc. (b) | 277 | 5,277 | ||||||||
Dime Community Bancshares, Inc. (b) | 200 | 2,880 | ||||||||
EverBank Financial Corp. (c) | 66,719 | 1,178,258 | ||||||||
Farmers Capital Bank Corp. (a),(b) | 100 | 2,253 | ||||||||
First Busey Corp. (b) | 100 | 557 | ||||||||
First Citizens BancShares, Inc. A Shares (c) | 7,900 | 1,711,377 | ||||||||
First Financial Bancorp (b),(c) | 1,400 | 22,162 | ||||||||
First Financial Northwest, Inc. (b) | 500 | 5,105 | ||||||||
First Interstate Bancsystem, Inc. (b) | 5,100 | 135,507 | ||||||||
First Republic Bank (c) | 14,994 | 740,404 | ||||||||
First Security Group, Inc. (a),(b) | 1,800 | 3,564 | ||||||||
Franklin Financial Corp. (a),(b) | 600 | 11,166 | ||||||||
Fulton Financial Corp. (b) | 1,400 | 15,512 | ||||||||
Heritage Commerce Corp. (b) | 1,100 | 9,031 | ||||||||
Heritage Financial Corp. (b) | 91 | 1,441 | ||||||||
HomeTrust Bancshares, Inc. (a),(b),(c) | 400 | 5,844 | ||||||||
Independent Bank Corp. (b),(c) | 2,400 | 28,608 | ||||||||
Intervest Bancshares Corp. (b) | 200 | 1,912 | ||||||||
Investors Bancorp, Inc. (b) | 10 | 101 | ||||||||
JPMorgan Chase & Co. | 8,984 | 541,196 | ||||||||
KeyCorp | 100 | 1,333 | ||||||||
Macatawa Bank Corp. (b) | 100 | 480 | ||||||||
Meridian Bancorp, Inc. (a),(b),(c) | 13,100 | 138,336 | ||||||||
National Bankshares, Inc. (b) | 100 | 2,776 | ||||||||
Northrim BanCorp, Inc. (b) | 100 | 2,643 | ||||||||
Old National Bancorp (b),(c) | 3,100 | 40,207 | ||||||||
Oritani Financial Corp. (b),(c) | 2,900 | 40,861 | ||||||||
Pacific Continental Corp. (b) | 100 | 1,285 | ||||||||
PNC Financial Services Group, Inc. (The) (b),(c) | 41,737 | 3,571,852 | ||||||||
Provident Financial Holdings, Inc. (b) | 600 | 8,754 |
See Notes to Consolidated Financial Statements.
24
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Seacoast Banking Corp. of Florida (a),(b) | 200 | $ | 2,186 | |||||||
Southwest Bancorp, Inc. (b) | 1,100 | 18,040 | ||||||||
Territorial Bancorp, Inc. (b),(c) | 1,000 | 20,290 | ||||||||
Towne Bank (b) | 1,500 | 20,370 | ||||||||
Trico Bancshares (b) | 200 | 4,524 | ||||||||
Tristate Capital Holdings, Inc. (a),(b),(c) | 3,100 | 28,117 | ||||||||
TrustCo Bank Corp. (b) | 600 | 3,864 | ||||||||
Trustmark Corp. (b) | 400 | 9,214 | ||||||||
Union Bankshares Corp. (c) | 38 | 878 | ||||||||
United Community Financial Corp. (b) | 200 | 936 | ||||||||
United Financial Bancorp, Inc. (c) | 20 | 254 | ||||||||
Univest Corp. of Pennsylvania (b) | 1,000 | 18,750 | ||||||||
Waterstone Financial, Inc. (b) | 2,700 | 31,185 | ||||||||
Wells Fargo & Co. (c) | 55,570 | 2,882,416 | ||||||||
Westfield Financial, Inc. (b),(c) | 1,500 | 10,590 | ||||||||
Yadkin Financial Corp. (a),(b) | 200 | 3,632 | ||||||||
Zions BanCorp. (b),(c) | 71,479 | 2,077,180 | ||||||||
|
| |||||||||
20,867,897 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 5.3% | ||||||||||
AbbVie, Inc. (c),(e) | 164,285 | 9,489,102 | ||||||||
Achillion Pharmaceuticals, Inc. (a),(b),(c) | 4,800 | 47,904 | ||||||||
Actavis PLC (a),(b),(e),(f) | 28,123 | 6,785,517 | ||||||||
Agios Pharmaceuticals, Inc. (a),(b) | 100 | 6,135 | ||||||||
Albany Molecular Research, Inc. (a),(b),(c) | 1,200 | 26,484 | ||||||||
Alexion Pharmaceuticals, Inc. (a),(c) | 31,600 | 5,239,912 | ||||||||
Allergan, Inc. (b),(c) | 42,984 | 7,659,319 | ||||||||
AMAG Pharmaceuticals, Inc. (a),(b) | 100 | 3,191 | ||||||||
Amicus Therapeutics, Inc. (a),(b),(c) | 3,800 | 22,610 | ||||||||
Anika Therapeutics, Inc. (a),(b),(c) | 1,800 | 65,988 | ||||||||
ArQule, Inc. (a),(b) | 2,600 | 2,912 | ||||||||
BioCryst Pharmaceuticals, Inc. (a),(b),(c) | 2,600 | 25,428 | ||||||||
BioDelivery Sciences International, Inc. (a),(b) | 100 | 1,709 | ||||||||
Biogen Idec, Inc. (a),(b),(c),(f) | 15,304 | 5,062,716 | ||||||||
Biospecifics Technologies Corp. (a),(b) | 200 | 7,060 | ||||||||
Cambrex Corp. (a),(b),(c) | 3,700 | 69,116 | ||||||||
Chimerix, Inc. (a),(b) | 100 | 2,762 | ||||||||
Cubist Pharmaceuticals, Inc. (a),(b),(e),(f) | 67,200 | 4,458,048 | ||||||||
Depomed, Inc. (a),(b),(c) | 10,000 | 151,900 | ||||||||
Dyax Corp. (a),(b),(c) | 38,700 | 391,644 | ||||||||
Emergent Biosolutions, Inc. (a),(b) | 300 | 6,393 | ||||||||
Enzon Pharmaceuticals, Inc. (b) | 400 | 432 | ||||||||
Gilead Sciences, Inc. (a) | 592 | 63,018 | ||||||||
Impax Laboratories, Inc. (a),(b),(c) | 600 | 14,226 | ||||||||
Incyte Corp. Ltd. (a),(b),(c) | 30,900 | 1,515,645 | ||||||||
Intercept Pharmaceuticals, Inc. (a),(b) | 200 | 47,338 |
See Notes to Consolidated Financial Statements.
25
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Lannett Co., Inc. (a),(b) | 600 | $ | 27,408 | |||||||
Ligand Pharmaceuticals, Inc. (a),(b) | 400 | 18,796 | ||||||||
Medivation, Inc. (a),(b),(c),(e),(f) | 46,300 | 4,577,681 | ||||||||
Merrimack Pharmaceuticals, Inc. (a) | 900 | 7,902 | ||||||||
Mylan, Inc. (a),(e),(f) | 112,500 | 5,117,625 | ||||||||
Neurocrine Biosciences, Inc. (a),(b) | 500 | 7,835 | ||||||||
Omega Protein Corp. (a),(b),(c) | 3,900 | 48,750 | ||||||||
Omeros Corp. (a),(b),(c) | 700 | 8,904 | ||||||||
Pacira Pharmaceuticals, Inc. (a),(b) | 1,100 | 106,612 | ||||||||
PDL BioPharma, Inc. (b) | 100 | 747 | ||||||||
Pfizer, Inc. | 8,781 | 259,654 | ||||||||
Portola Pharmaceuticals, Inc. (a),(b) | 100 | 2,528 | ||||||||
Pozen, Inc. (b),(c) | 1,600 | 11,744 | ||||||||
Receptos, Inc. (a),(b) | 100 | 6,211 | ||||||||
Rigel Pharmaceuticals, Inc. (a),(b),(c) | 7,700 | 14,938 | ||||||||
Salix Pharmaceuticals Ltd. (a),(b),(c),(e),(f) | 74,657 | 11,664,410 | ||||||||
Sciclone Pharmaceuticals, Inc. (a),(b),(c) | 5,800 | 39,962 | ||||||||
Sunesis Pharmaceuticals, Inc. (a),(b) | 4,600 | 32,844 | ||||||||
Targacept, Inc. (a),(b),(c) | 5,200 | 13,156 | ||||||||
Ultragenyx Pharmaceutical, Inc. (a),(b) | 100 | 5,660 | ||||||||
Valeant Pharmaceuticals International, Inc. (a) | 26,283 | 3,448,330 | ||||||||
Vical, Inc. (a),(b) | 400 | 448 | ||||||||
|
| |||||||||
66,588,654 | ||||||||||
|
| |||||||||
Chemicals — 0.1% | ||||||||||
Cabot Corp. (b) | 100 | 5,077 | ||||||||
Ferro Corp. (a),(b),(c) | 1,600 | 23,184 | ||||||||
FMC Corp. (b),(c) | 7,100 | 406,049 | ||||||||
FutureFuel Corp. (b) | 100 | 1,189 | ||||||||
Innophos Holdings, Inc. (b) | 100 | 5,509 | ||||||||
Intrepid Potash, Inc. (a),(b),(c) | 5,800 | 89,610 | ||||||||
Kraton Performance Polymers, Inc. (a),(b),(c) | 1,300 | 23,153 | ||||||||
Landec Corp. (a),(b) | 100 | 1,225 | ||||||||
Lydall, Inc. (a),(b) | 1,100 | 29,711 | ||||||||
OM Group, Inc. (b),(c) | 3,000 | 77,850 | ||||||||
OMNOVA Solutions, Inc. (a),(b),(c) | 1,800 | 9,666 | ||||||||
Quaker Chemical Corp. (b) | 500 | 35,845 | ||||||||
Rockwood Holdings, Inc. (b),(c) | 3,200 | 244,640 | ||||||||
Stepan Co. (b) | 300 | 13,314 | ||||||||
|
| |||||||||
966,022 | ||||||||||
|
| |||||||||
Commercial Services — 0.1% | ||||||||||
AMN Healthcare Services, Inc. (a),(b),(c) | 3,500 | 54,950 | ||||||||
ARAMARK Holdings Corp. (b) | 700 | 18,410 | ||||||||
ARC Document Solutions, Inc. (a),(b),(c) | 3,400 | 27,540 | ||||||||
Barrett Business Services, Inc. (b) | 100 | 3,949 |
See Notes to Consolidated Financial Statements.
26
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
CDI Corp. (b),(c) | 700 | $ | 10,164 | |||||||
Collectors Universe (b),(c) | 1,200 | 26,400 | ||||||||
Computer Task Group, Inc. (b),(c) | 2,100 | 23,310 | ||||||||
Corvel Corp. (a),(b) | 100 | 3,405 | ||||||||
Courier Corp. (b) | 100 | 1,232 | ||||||||
CRA International, Inc. (a),(b) | 2,100 | 53,403 | ||||||||
Ennis, Inc. (b) | 500 | 6,585 | ||||||||
Franklin Covey Co. (a),(b) | 200 | 3,918 | ||||||||
Hackett Group, Inc. (The) (b),(c) | 2,700 | 16,092 | ||||||||
Heidrick & Struggles International, Inc. (b) | 200 | 4,108 | ||||||||
Intersections, Inc. (b),(c) | 4,300 | 16,512 | ||||||||
Korn/Ferry International (a),(b),(c) | 3,300 | 82,170 | ||||||||
Manpowergroup, Inc. (b),(c) | 2,300 | 161,230 | ||||||||
Navigant Consulting, Inc. (a),(b),(c) | 3,300 | 45,903 | ||||||||
On Assignment, Inc. (a),(b) | 100 | 2,685 | ||||||||
PRGX Global, Inc. (a),(b),(c) | 5,500 | 32,230 | ||||||||
Providence Service Corp. (The) (a),(b) | 400 | 19,352 | ||||||||
Resources Connection, Inc. (b) | 300 | 4,182 | ||||||||
ServiceMaster Global Holdings, Inc. (a),(b),(c) | 2,900 | 70,180 | ||||||||
TrueBlue, Inc. (a),(b) | 2,600 | 65,676 | ||||||||
Vectrus, Inc. (a) | 2,833 | 55,329 | ||||||||
|
| |||||||||
808,915 | ||||||||||
|
| |||||||||
Construction Materials — 0.0% | ||||||||||
Headwaters, Inc. (a),(b),(c) | 9,500 | 119,130 | ||||||||
Universal Forest Products, Inc. (b) | 100 | 4,271 | ||||||||
Vulcan Materials Co. (b) | 100 | 6,023 | ||||||||
|
| |||||||||
129,424 | ||||||||||
|
| |||||||||
Consumer Products — 0.2% | ||||||||||
Alliance One International, Inc. (a),(b) | 600 | 1,182 | ||||||||
Central Garden and Pet Co. A Shares (a),(b) | 100 | 804 | ||||||||
Chiquita Brands International, Inc. (a),(b) | 500 | 7,100 | ||||||||
Coca-Cola Enterprises, Inc. | 9,075 | 402,567 | ||||||||
Female Health Co. (The) (b) | 600 | 2,094 | ||||||||
Herbalife Ltd. (b) | 900 | 39,375 | ||||||||
Inventure Foods, Inc. (a),(b),(c) | 1,000 | 12,960 | ||||||||
Molson Coors Brewing Co. B Shares | 2,686 | 199,946 | ||||||||
Mondelez International, Inc. (c) | 28,501 | 976,587 | ||||||||
Monster Beverage Corp. (a),(b) | 1,500 | 137,505 | ||||||||
Philip Morris International, Inc. | 600 | 50,040 | ||||||||
PICO Holdings, Inc. (a),(b) | 500 | 9,975 | ||||||||
Revlon, Inc. A Shares (a),(b) | 600 | 19,014 | ||||||||
Vector Group Ltd. (b),(c) | 5,526 | 122,566 | ||||||||
|
| |||||||||
1,981,715 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
27
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Services — 0.0% | ||||||||||
American Public Education, Inc. (a),(b) | 1,300 | $ | 35,087 | |||||||
Bridgepoint Education, Inc. (a),(b),(c) | 1,000 | 11,160 | ||||||||
Capella Education Co. (b) | 900 | 56,340 | ||||||||
Carriage Services, Inc. (b),(c) | 800 | 13,864 | ||||||||
Corinthian Colleges, Inc. (a),(b) | 200 | 22 | ||||||||
Regis Corp. (b) | 4,900 | 78,204 | ||||||||
Universal Technical Institute, Inc. (b) | 400 | 3,740 | ||||||||
|
| |||||||||
198,417 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.2% | ||||||||||
Berry Plastics Group, Inc. (a),(b),(c) | 43,800 | 1,105,512 | ||||||||
Crown Holdings, Inc. (a),(b),(c) | 17,000 | 756,840 | ||||||||
Graphic Packaging Holding Co. (a),(b),(c) | 8,700 | 108,141 | ||||||||
Owens-Illinois, Inc. (a),(c) | 2,900 | 75,545 | ||||||||
|
| |||||||||
2,046,038 | ||||||||||
|
| |||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Anixter International, Inc. (b),(c) | 3,300 | 279,972 | ||||||||
Benchmark Electronics, Inc. (a),(c) | 2,300 | 51,083 | ||||||||
CTS Corp. (b) | 300 | 4,767 | ||||||||
Plexus Corp. (a),(b) | 1,200 | 44,316 | ||||||||
|
| |||||||||
380,138 | ||||||||||
|
| |||||||||
Distributors — 0.0% | ||||||||||
Ingram Micro, Inc. A Shares (a),(b),(c) | 1,900 | 49,039 | ||||||||
Insight Enterprises, Inc. (a),(b),(c) | 3,800 | 85,994 | ||||||||
ScanSource, Inc. (a),(b),(c) | 2,500 | 86,475 | ||||||||
|
| |||||||||
221,508 | ||||||||||
|
| |||||||||
Distributors—Consumer Staples — 0.0% | ||||||||||
Andersons, Inc. (The) (b),(c) | 500 | 31,440 | ||||||||
|
| |||||||||
Electrical Equipment — 0.1% | ||||||||||
American Science & Engineering, Inc. (b) | 400 | 22,152 | ||||||||
Argan, Inc. (b),(c) | 1,700 | 56,746 | ||||||||
Babcock & Wilcox Co. (The) (b) | 100 | 2,769 | ||||||||
Checkpoint Systems, Inc. (a),(b),(c) | 800 | 9,784 | ||||||||
China Recycling Energy Corp. (a),(b) | 400 | 492 | ||||||||
FARO Technologies, Inc. (a),(b) | 2,700 | 137,025 | ||||||||
General Electric Co. | 39,742 | 1,018,190 | ||||||||
Global Power Equipment Group, Inc. (b) | 400 | 5,960 | ||||||||
Itron, Inc. (a),(b),(c) | 1,500 | 58,965 | ||||||||
Lennox International, Inc. (b),(c) | 1,400 | 107,618 | ||||||||
OSI Systems, Inc. (a),(b) | 700 | 44,436 |
See Notes to Consolidated Financial Statements.
28
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Rockwell Automation, Inc. | 300 | $ | 32,964 | |||||||
|
| |||||||||
1,497,101 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.3% | ||||||||||
AECOM Technology Corp. (a),(b),(c) | 13,300 | 448,875 | ||||||||
Comfort Systems USA, Inc. (b),(c) | 1,300 | 17,615 | ||||||||
Dycom Industries, Inc. (a),(b) | 400 | 12,284 | ||||||||
Fluor Corp. (c) | 600 | 40,074 | ||||||||
Great Lakes Dredge & Dock Corp. (b) | 3,100 | 19,158 | ||||||||
Jacobs Engineering Group, Inc. (a),(b),(c) | 15,600 | 761,592 | ||||||||
KBR, Inc. (b),(c) | 84,500 | 1,591,135 | ||||||||
Kimball International, Inc. B Shares (b),(c) | 2,000 | 30,100 | ||||||||
Mistras Group, Inc. (a),(b),(c) | 1,000 | 20,400 | ||||||||
MYR Group, Inc. (a),(b) | 100 | 2,408 | ||||||||
Orion Marine Group, Inc. (a),(b) | 1,500 | 14,970 | ||||||||
SBA Communications Corp. A Shares (a),(b),(c) | 3,300 | 365,970 | ||||||||
Tutor Perini Corp. (a),(b),(c) | 3,000 | 79,200 | ||||||||
URS Corp. (b),(c) | 5,300 | 305,333 | ||||||||
|
| |||||||||
3,709,114 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
Royal Caribbean Cruises Ltd. (b),(c) | 2,600 | 174,954 | ||||||||
|
| |||||||||
Hardware — 1.4% | ||||||||||
Apple, Inc. (c) | 121,827 | 12,274,070 | ||||||||
Aviat Networks, Inc. (a),(b) | 1,400 | 2,520 | ||||||||
Brocade Communications Systems, Inc. (b),(c) | 57,200 | 621,764 | ||||||||
Clearfield, Inc. (a),(b) | 600 | 7,638 | ||||||||
CommScope Holding Co., Inc. (a),(b),(c) | 20,800 | 497,328 | ||||||||
Comtech Telecommunications Corp. (b),(c) | 2,700 | 100,305 | ||||||||
Corning, Inc. (b),(c) | 300 | 5,802 | ||||||||
Daktronics, Inc. (b),(c) | 1,100 | 13,519 | ||||||||
Datalink Corp. (a),(b) | 1,300 | 13,819 | ||||||||
Dolby Laboratories, Inc. A Shares (a),(b),(c) | 6,600 | 275,814 | ||||||||
DTS, Inc. (a),(b) | 300 | 7,575 | ||||||||
Eastman Kodak Co. (a),(b) | 100 | 2,197 | ||||||||
Emcore Corp. (a),(b) | 100 | 569 | ||||||||
Harmonic, Inc. (a),(b),(c) | 4,700 | 29,798 | ||||||||
Hutchinson Technology, Inc. (a),(b) | 400 | 1,464 | ||||||||
Imation Corp. (a),(b) | 1,800 | 5,310 | ||||||||
Immersion Corp. (a),(b) | 1,700 | 14,586 | ||||||||
Infinera Corp. (a),(b) | 1,200 | 12,804 | ||||||||
Juniper Networks, Inc. (b),(c) | 108,400 | 2,401,060 | ||||||||
Knowles Corp. (a),(b) | 900 | 23,850 | ||||||||
KVH Industries, Inc. (a),(b) | 400 | 4,528 | ||||||||
Mercury Systems, Inc. (a),(b),(c) | 800 | 8,808 |
See Notes to Consolidated Financial Statements.
29
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
NETGEAR, Inc. (a),(b) | 1,400 | $ | 43,750 | |||||||
Novatel Wireless, Inc. (a),(b) | 100 | 367 | ||||||||
Oplink Communications, Inc. (b) | 1,600 | 26,912 | ||||||||
PC-Tel, Inc. (b) | 1,000 | 7,590 | ||||||||
Pitney Bowes, Inc. (b),(c) | 3,100 | 77,469 | ||||||||
QLogic Corp. (a),(b),(c) | 35,600 | 326,096 | ||||||||
Radisys Corp. (a),(b) | 200 | 534 | ||||||||
Sanmina Corp. (a),(b),(c) | 7,400 | 154,364 | ||||||||
ShoreTel, Inc. (a),(b),(c) | 2,000 | 13,300 | ||||||||
Skullcandy, Inc. (a),(b),(c) | 2,400 | 18,696 | ||||||||
Telenav, Inc. (a),(b),(c) | 700 | 4,690 | ||||||||
TTM Technologies, Inc. (a),(b) | 700 | 4,767 | ||||||||
VeriFone Systems, Inc. (a),(b) | 1,900 | 65,322 | ||||||||
VOXX International Corp. (a),(b),(c) | 2,600 | 24,180 | ||||||||
Westell Technologies, Inc. A Shares (a),(b) | 200 | 368 | ||||||||
Western Digital Corp. (b),(c) | 3,900 | 379,548 | ||||||||
|
| |||||||||
17,473,081 | ||||||||||
|
| |||||||||
Health Care Facilities/Services — 2.4% | ||||||||||
Alliance HealthCare Services, Inc. (a),(b) | 1,600 | 36,176 | ||||||||
Amedisys, Inc. (a),(b),(c) | 2,700 | 54,459 | ||||||||
Catalent, Inc. (a),(b),(c) | 6,300 | 157,689 | ||||||||
Catamaran Corp. NPV (a),(b),(c),(e),(f) | 155,100 | 6,537,465 | ||||||||
Charles River Laboratories International, Inc. (a),(b),(c) | 2,800 | 167,272 | ||||||||
Digirad Corp. (b),(c) | 2,200 | 8,646 | ||||||||
Five Star Quality Care, Inc. (a),(b),(c) | 3,000 | 11,310 | ||||||||
Genomic Health, Inc. (a),(b) | 200 | 5,662 | ||||||||
HCA Holdings, Inc. (a),(b),(c),(f) | 115,011 | 8,110,576 | ||||||||
Health Net, Inc. (a),(b),(c) | 27,800 | 1,281,858 | ||||||||
HealthSouth Corp. (b) | 500 | 18,450 | ||||||||
Healthways, Inc. (a),(b) | 100 | 1,602 | ||||||||
Magellan Health Services, Inc. (a),(b),(c) | 1,000 | 54,730 | ||||||||
McKesson Corp. (b),(c),(f) | 29,600 | 5,762,232 | ||||||||
Omnicare, Inc. (c),(e) | 43,805 | 2,727,299 | ||||||||
PharMerica Corp. (a),(b) | 500 | 12,215 | ||||||||
RadNet, Inc. (a),(b),(c) | 2,500 | 16,550 | ||||||||
Select Medical Holdings Corp. (b),(c) | 20,500 | 246,615 | ||||||||
Team Health Holdings, Inc. (a),(c) | 600 | 34,794 | ||||||||
Universal American Corp. (a),(b),(c) | 2,500 | 20,100 | ||||||||
Universal Health Services, Inc. B Shares (b),(c),(e),(f) | 45,000 | 4,702,500 | ||||||||
|
| |||||||||
29,968,200 | ||||||||||
|
| |||||||||
Home & Office Products — 0.1% | ||||||||||
ACCO Brands Corp. (a),(b),(c) | 6,700 | 46,230 | ||||||||
American Woodmark Corp. (a),(b),(c) | 2,500 | 92,150 |
See Notes to Consolidated Financial Statements.
30
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Blount International, Inc. (a),(b),(c) | 2,300 | $ | 34,799 | |||||||
Griffon Corp. (b) | 100 | 1,139 | ||||||||
Masco Corp. (b),(c) | 300 | 7,176 | ||||||||
PGT, Inc. (a),(b) | 400 | 3,728 | ||||||||
Scotts Miracle-Gro Co. (The) A Shares (b),(c) | 1,300 | 71,500 | ||||||||
Select Comfort Corp. (a),(b) | 300 | 6,276 | ||||||||
St Joe Co. (The) (a),(b),(c) | 500 | 9,965 | ||||||||
Whirlpool Corp. (c),(f) | 8,946 | 1,302,985 | ||||||||
|
| |||||||||
1,575,948 | ||||||||||
|
| |||||||||
Industrial Services — 0.2% | ||||||||||
Furmanite Corp. (a),(b),(c) | 1,800 | 12,168 | ||||||||
H&E Equipment Services, Inc. (b),(c) | 3,000 | 120,840 | ||||||||
HD Supply Holdings, Inc. (a),(b),(c) | 67,100 | 1,829,146 | ||||||||
United Rentals, Inc. (a),(b),(c) | 2,900 | 322,190 | ||||||||
|
| |||||||||
2,284,344 | ||||||||||
|
| |||||||||
Institutional Financial Service — 0.2% | ||||||||||
Cowen Group, Inc. A Shares (a),(b) | 1,300 | 4,875 | ||||||||
Northern Trust Corp. (c) | 13,800 | 938,814 | ||||||||
Piper Jaffray Cos. (a),(b) | 100 | 5,224 | ||||||||
Raymond James Financial, Inc. | 18,400 | 985,872 | ||||||||
SWS Group, Inc. (a),(b) | 200 | 1,378 | ||||||||
|
| |||||||||
1,936,163 | ||||||||||
|
| |||||||||
Insurance — 1.1% | ||||||||||
Allstate Corp. (The) (c) | 13,267 | 814,196 | ||||||||
American International Group, Inc. (b),(c) | 74,397 | 4,018,926 | ||||||||
Ameriprise Financial, Inc. (b) | 12,222 | 1,507,950 | ||||||||
AmTrust Financial Services, Inc. (b) | 30 | 1,195 | ||||||||
Crawford & Co. B Shares (b) | 200 | 1,650 | ||||||||
Employers Holdings, Inc. (b) | 1,800 | 34,650 | ||||||||
FBL Financial Group, Inc. A Shares (b),(c) | 1,200 | 53,640 | ||||||||
Genworth Financial, Inc. A Shares (a),(b),(c) | 70,100 | 918,310 | ||||||||
Hartford Financial Services Group, Inc. (b) | 59,130 | 2,202,592 | ||||||||
Mercury General Corp. (b) | 100 | 4,881 | ||||||||
OneBeacon Insurance Group Ltd. A Shares (b) | 700 | 10,787 | ||||||||
Primerica, Inc. (b) | 21,454 | 1,034,512 | ||||||||
Principal Financial Group, Inc. (c) | 19,700 | 1,033,659 | ||||||||
Progressive Corp. (The) (b),(c) | 9,400 | 237,632 | ||||||||
Prudential Financial, Inc. (c) | 10,571 | 929,614 | ||||||||
RPX Corp. (a),(b),(c) | 900 | 12,357 | ||||||||
Selective Insurance Group, Inc. (b) | 200 | 4,428 | ||||||||
Symetra Financial Corp. (b),(c) | 2,000 | 46,660 | ||||||||
United Insurance Holdings Corp. (b) | 200 | 3,000 | ||||||||
Voya Financial, Inc. (b),(c) | 19,900 | 778,090 | ||||||||
|
| |||||||||
13,648,729 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
31
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Iron & Steel — 0.0% | ||||||||||
Northwest Pipe Co. (a),(b) | 100 | $ | 3,410 | |||||||
Nucor Corp. (c) | 1,600 | 86,848 | ||||||||
Reliance Steel & Aluminum Co. (b) | 200 | 13,680 | ||||||||
Shiloh Industries, Inc. (a),(b) | 900 | 15,309 | ||||||||
Steel Dynamics, Inc. (b),(c) | 9,200 | 208,012 | ||||||||
United States Steel Corp. (b),(c) | 5,800 | 227,186 | ||||||||
|
| |||||||||
554,445 | ||||||||||
|
| |||||||||
Leisure Products — 0.0% | ||||||||||
Arctic Cat, Inc. (b) | 200 | 6,964 | ||||||||
Johnson Outdoors, Inc. A Shares (b) | 100 | 2,590 | ||||||||
Nautilus, Inc. (a),(b) | 1,000 | 11,970 | ||||||||
|
| |||||||||
21,524 | ||||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
AGCO Corp. (b),(c) | 1,900 | 86,374 | ||||||||
Federal Signal Corp. (b) | 1,800 | 23,832 | ||||||||
Hyster-Yale Materials Handling, Inc. (b) | 100 | 7,162 | ||||||||
Intevac, Inc. (a),(b) | 800 | 5,336 | ||||||||
Parker Hannifin Corp. (b),(c) | 2,400 | 273,960 | ||||||||
Regal-Beloit Corp. (b),(c) | 400 | 25,700 | ||||||||
Rofin-Sinar Technologies, Inc. (a),(b),(c) | 2,100 | 48,426 | ||||||||
Xerium Technologies, Inc. (a),(b) | 600 | 8,766 | ||||||||
|
| |||||||||
479,556 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.0% | ||||||||||
Aegion Corp. (a),(b),(c) | 1,900 | 42,275 | ||||||||
Ampco-Pittsburgh Corp. (b),(c) | 1,500 | 30,000 | ||||||||
Chart Industries, Inc. (a),(b) | 800 | 48,904 | ||||||||
Dynamic Materials Corp. (b),(c) | 800 | 15,240 | ||||||||
Gibraltar Industries, Inc. (a),(b) | 100 | 1,369 | ||||||||
Insteel Industries, Inc. (b) | 300 | 6,168 | ||||||||
Rogers Corp. (a),(b) | 600 | 32,856 | ||||||||
Timken Co. (b),(c) | 10,600 | 449,334 | ||||||||
|
| |||||||||
626,146 | ||||||||||
|
| |||||||||
Media — 3.2% | ||||||||||
Alliance Data Systems Corp. (a),(b),(c) | 300 | 74,481 | ||||||||
Blucora, Inc. (a),(b) | 2,400 | 36,576 | ||||||||
Boingo Wireless, Inc. (a),(b),(c) | 4,800 | 34,224 | ||||||||
Charter Communications, Inc. A Shares (a),(e) | 34,489 | 5,220,600 | ||||||||
Clear Channel Outdoor Holdings, Inc. A Shares (b),(c) | 8,100 | 54,594 | ||||||||
Comcast Corp. A Shares (e),(f) | 122,447 | 6,585,200 | ||||||||
Conversant, Inc. (a),(b),(c) | 5,000 | 171,250 | ||||||||
Demand Media, Inc. (a),(b) | 1,140 | 10,089 |
See Notes to Consolidated Financial Statements.
32
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Dice Holdings, Inc. (a),(b),(c) | 11,700 | $ | 98,046 | |||||||
DISH Network Corp. A Shares (a),(b),(c) | 49,600 | 3,203,168 | ||||||||
EchoStar Corp. A Shares (a),(b),(c) | 1,900 | 92,644 | ||||||||
Facebook, Inc. A Shares (a),(c),(f) | 51,516 | 4,071,825 | ||||||||
Google, Inc. A Shares (a) | 216 | 127,097 | ||||||||
Google, Inc. C Shares (a),(c) | 1,513 | 873,546 | ||||||||
Harte-Hanks, Inc. (b),(c) | 2,300 | 14,651 | ||||||||
Journal Communications, Inc. A Shares (a),(b),(c) | 6,300 | 53,109 | ||||||||
Lamar Advertising Co. A Shares (c),(e) | 155,084 | 7,637,887 | ||||||||
Lee Enterprises, Inc. (a),(b) | 200 | 676 | ||||||||
Liberty Ventures (a),(b),(c) | 4,600 | 174,616 | ||||||||
Martha Stewart Living Omnimedia A Shares (a),(b) | 100 | 360 | ||||||||
McClatchy Co. (The) A Shares (a),(b) | 4,300 | 14,448 | ||||||||
MDC Partners, Inc. A Shares (c) | 50 | 959 | ||||||||
Monster Worldwide, Inc. (a),(b),(c) | 24,000 | 132,000 | ||||||||
National CineMedia, Inc. (b),(c) | 12,800 | 185,728 | ||||||||
New Media Investment Group, Inc. | 200 | 3,326 | ||||||||
News Corp. A Shares (a),(b),(c) | 1,100 | 17,985 | ||||||||
Orbitz Worldwide, Inc. (a),(b),(c) | 29,000 | 228,230 | ||||||||
Starz (a),(b) | 1 | 33 | ||||||||
TechTarget, Inc. (a),(b),(c) | 1,100 | 9,449 | ||||||||
Time Warner Cable, Inc. (b),(c) | 15,500 | 2,224,095 | ||||||||
Time, Inc. (a),(b),(c) | 4,000 | 93,720 | ||||||||
Trulia, Inc. (a),(b),(c) | 3,000 | 146,700 | ||||||||
Twenty-First Century Fox, Inc. A Shares (e) | 160,419 | 5,500,767 | ||||||||
Twitter, Inc. (a),(f) | 25,393 | 1,309,771 | ||||||||
Walt Disney Co. (The) | 11,780 | 1,048,773 | ||||||||
WebMD Health Corp. (a),(b),(c) | 500 | 20,905 | ||||||||
XO Group, Inc. (a),(b) | 400 | 4,484 | ||||||||
Yahoo!, Inc. (a) | 27,491 | 1,120,258 | ||||||||
Zillow, Inc. A Shares (a),(b),(c) | 2,500 | 289,975 | ||||||||
|
| |||||||||
40,886,245 | ||||||||||
|
| |||||||||
Medical Equipment/Devices — 1.8% | ||||||||||
Affymetrix, Inc. (a),(b) | 200 | 1,596 | ||||||||
Agilent Technologies, Inc. (b),(c),(e),(f) | 74,100 | 4,222,218 | ||||||||
Alphatec Holdings, Inc. (a),(b) | 100 | 170 | ||||||||
AngioDynamics, Inc. (a),(b),(c) | 1,200 | 16,464 | ||||||||
Boston Scientific Corp. (a),(b),(c) | 141,600 | 1,672,296 | ||||||||
Bruker Corp. (a),(b) | 400 | 7,406 | ||||||||
CareFusion Corp. (a),(b),(c) | 1,000 | 45,250 | ||||||||
CONMED Corp. (b),(c) | 1,700 | 62,628 | ||||||||
CryoLife, Inc. (b) | 2,300 | 22,701 | ||||||||
Cutera, Inc. (a),(b) | 600 | 6,060 | ||||||||
Cyberonics, Inc. (a),(b),(c) | 600 | 30,696 | ||||||||
Danaher Corp. (c),(f) | 71,500 | 5,432,570 |
See Notes to Consolidated Financial Statements.
33
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Edwards Lifesciences Corp. (a),(b),(c) | 12,500 | $ | 1,276,875 | |||||||
Exactech, Inc. (a),(b) | 400 | 9,156 | ||||||||
Harvard Bioscience, Inc. (a),(b) | 600 | 2,454 | ||||||||
Hologic, Inc. (a),(b) | 2,700 | 65,691 | ||||||||
ICU Medical, Inc. (a),(b),(c) | 2,100 | 134,778 | ||||||||
Illumina, Inc. (a),(b) | 1,200 | 196,704 | ||||||||
Intuitive Surgical, Inc. (a),(f) | 10,000 | 4,618,200 | ||||||||
Luminex Corp. (a),(b),(c) | 1,000 | 19,500 | ||||||||
Masimo Corp. (a),(b),(c) | 2,100 | 44,688 | ||||||||
Myriad Genetics, Inc. (a),(b),(c) | 3,400 | 131,138 | ||||||||
PerkinElmer, Inc. (b) | 1,300 | 56,680 | ||||||||
RTI Surgical, Inc. (a),(b),(c) | 1,800 | 8,604 | ||||||||
SurModics, Inc. (a),(b) | 200 | 3,632 | ||||||||
Thermo Fisher Scientific, Inc. (c),(f) | 39,600 | 4,819,320 | ||||||||
Thoratec Corp. (a),(b) | 900 | 24,057 | ||||||||
Vascular Solutions, Inc. (a),(b) | 700 | 17,290 | ||||||||
|
| |||||||||
22,948,822 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Century Aluminum Co. (a),(b),(c) | 2,900 | 75,313 | ||||||||
Noranda Aluminum Holding Corp. (b) | 200 | 904 | ||||||||
US Silica Holdings, Inc. (b),(c) | 2,300 | 143,773 | ||||||||
|
| |||||||||
219,990 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 1.6% | ||||||||||
Abraxas Petroleum Corp. (a),(b) | 1,600 | 8,448 | ||||||||
Approach Resources, Inc. (a),(b),(c) | 6,600 | 95,700 | ||||||||
Athlon Energy, Inc. (a),(b),(c) | 9,500 | 553,185 | ||||||||
Bill Barrett Corp. (a),(b),(c) | 11,400 | 251,256 | ||||||||
Cabot Oil & Gas Corp. (b),(c) | 10,600 | 346,514 | ||||||||
Cheniere Energy, Inc. (a),(b),(c) | 37,900 | 3,033,137 | ||||||||
Clayton Williams Energy, Inc. (a),(b),(c) | 2,500 | 241,125 | ||||||||
Cloud Peak Energy, Inc. (a),(b),(c) | 3,600 | 45,432 | ||||||||
CVR Energy, Inc. (b),(c) | 17,200 | 769,356 | ||||||||
Delek US Holdings, Inc. (b),(c) | 4,200 | 139,104 | ||||||||
Diamondback Energy, Inc. (a),(b),(c) | 13,900 | 1,039,442 | ||||||||
Energen Corp. (b) | 700 | 50,568 | ||||||||
EnLink Midstream LLC (b),(c) | 5,000 | 206,650 | ||||||||
EQT Corp. (b),(c) | 23,800 | 2,178,652 | ||||||||
Evolution Petroleum Corp. (b),(c) | 500 | 4,590 | ||||||||
Halcon Resources Corp. (a),(b) | 1,300 | 5,148 | ||||||||
Kinder Morgan Management LLC (a),(b),(c) | 1,900 | 178,885 | ||||||||
Kodiak Oil & Gas Corp. (a),(b),(c) | 80,800 | 1,096,456 | ||||||||
Marathon Petroleum Corp. (b),(c) | 22,600 | 1,913,542 | ||||||||
Matrix Service Co. (a),(b) | 700 | 16,884 | ||||||||
Mitcham Industries, Inc. (a),(b) | 600 | 6,630 |
See Notes to Consolidated Financial Statements.
34
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Murphy Oil Corp. (b),(c) | 2,100 | $ | 119,511 | |||||||
Natural Gas Services Group, Inc. (a),(b) | 300 | 7,221 | ||||||||
Newfield Exploration Co. (a),(b),(c) | 25,300 | 937,871 | ||||||||
Oceaneering International, Inc. (c) | 100 | 6,517 | ||||||||
Oil States International, Inc. (a),(b),(c) | 800 | 49,520 | ||||||||
PDC Energy, Inc. (a),(b),(c) | 4,300 | 216,247 | ||||||||
Pioneer Energy Services Corp. (a),(b),(c) | 1,100 | 15,422 | ||||||||
Southwestern Energy Co. (a),(b),(c) | 84,400 | 2,949,780 | ||||||||
Targa Resources Corp. (b),(c) | 3,200 | 435,744 | ||||||||
Tesco Corp. (b),(c) | 3,900 | 77,415 | ||||||||
TransAtlantic Petroleum Ltd. (a),(b) | 300 | 2,697 | ||||||||
Unit Corp. (a),(b),(c) | 1,200 | 70,380 | ||||||||
VAALCO Energy, Inc. (a),(b) | 400 | 3,400 | ||||||||
Warren Resources, Inc. (a),(b),(c) | 22,700 | 120,310 | ||||||||
Westmoreland Coal Co. (a),(b),(c) | 3,400 | 127,194 | ||||||||
Whiting Petroleum Corp. (a),(b),(c) | 8,700 | 674,685 | ||||||||
WPX Energy, Inc. (a),(b),(c) | 72,100 | 1,734,726 | ||||||||
|
| |||||||||
19,729,344 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.3% | ||||||||||
Alaska Air Group, Inc. (b),(c) | 1,900 | 82,726 | ||||||||
American Airlines Group, Inc. (b),(c) | 74,400 | 2,639,712 | ||||||||
Hawaiian Holdings, Inc. (a),(b),(c) | 12,900 | 173,505 | ||||||||
JetBlue Airways Corp. (a),(b) | 200 | 2,124 | ||||||||
Southwest Airlines Co. (b),(c) | 14,800 | 499,796 | ||||||||
Spirit Airlines, Inc. (a),(b),(c) | 8,438 | 583,403 | ||||||||
|
| |||||||||
3,981,266 | ||||||||||
|
| |||||||||
Real Estate — 0.4% | ||||||||||
Agree Realty Corp. (b) | 100 | 2,738 | ||||||||
American Residential Properties, Inc. (a),(b),(c) | 4,500 | 82,530 | ||||||||
Armada Hoffler Properties, Inc. (b),(c) | 10,100 | 91,708 | ||||||||
CoreSite Realty Corp. (b) | 100 | 3,287 | ||||||||
Crown Castle International Corp. (c) | 13,279 | 1,069,358 | ||||||||
FelCor Lodging Trust, Inc. (b),(c) | 3,000 | 28,080 | ||||||||
Forest City Enterprises, Inc. A Shares (a),(b),(c) | 84,904 | 1,660,722 | ||||||||
Franklin Street Properties Corp. (b) | 100 | 1,122 | ||||||||
Geo Group, Inc. (The) (b),(c) | 200 | 7,644 | ||||||||
Gladstone Commercial Corp. (b),(c) | 5,400 | 91,746 | ||||||||
iStar Financial, Inc. (a),(b),(c) | 5,300 | 71,550 | ||||||||
Kennedy-Wilson Holdings, Inc. (c) | 48,841 | 1,170,230 | ||||||||
Mid-America Apartment Communities, Inc. (b) | 24 | 1,575 | ||||||||
Realogy Holdings Corp. (a),(b) | 2,800 | 104,160 | ||||||||
Select Income REIT (b),(c) | 3,300 | 79,365 | ||||||||
Strategic Hotels & Resorts, Inc. (a),(c) | 44 | 513 | ||||||||
Weyerhaeuser Co. (c) | 22,988 | 732,398 | ||||||||
|
| |||||||||
5,198,726 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
35
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
Carmike Cinemas, Inc. (a),(b),(c) | 4,300 | $ | 133,214 | |||||||
Diamond Resorts International, Inc. (a),(b),(c) | 6,200 | 141,112 | ||||||||
Marcus Corp. (b) | 400 | 6,320 | ||||||||
SeaWorld Entertainment, Inc. (b) | 1,400 | 26,922 | ||||||||
Town Sports International Holdings, Inc. (b),(c) | 3,700 | 24,790 | ||||||||
|
| |||||||||
332,358 | ||||||||||
|
| |||||||||
Renewable Energy — 0.2% | ||||||||||
Broadwind Energy, Inc. (a),(b) | 1,400 | 10,486 | ||||||||
First Solar, Inc. (a),(b),(c) | 1,300 | 85,553 | ||||||||
Renewable Energy Group, Inc. (a),(b),(c) | 3,100 | 31,465 | ||||||||
REX American Resources Corp. (a),(b),(c) | 4,400 | 320,672 | ||||||||
SolarCity Corp. (a),(c),(f) | 19,137 | 1,140,566 | ||||||||
SunEdison, Inc. (a),(c),(f) | 30,182 | 569,836 | ||||||||
|
| |||||||||
2,158,578 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.5% | ||||||||||
Big Lots, Inc. (b),(c) | 6,100 | 262,605 | ||||||||
CVS Caremark Corp. (c) | 11,241 | 894,671 | ||||||||
Dollar General Corp. (a),(c) | 55,377 | 3,384,089 | ||||||||
Dollar Tree, Inc. (a),(b),(c) | 13,400 | 751,338 | ||||||||
Pantry, Inc. (The) (a),(b) | 2,000 | 40,460 | ||||||||
Rite Aid Corp. (a),(b),(c) | 320,500 | 1,551,220 | ||||||||
TravelCenters of America LLC (a),(b),(c) | 2,800 | 27,664 | ||||||||
|
| |||||||||
6,912,047 | ||||||||||
|
| |||||||||
Retail Discretionary — 1.1% | ||||||||||
1-800-Flowers.com, Inc. A Shares (a),(b),(c) | 3,200 | 23,008 | ||||||||
Avis Budget Group, Inc. (a),(b),(c) | 50,700 | 2,782,923 | ||||||||
Big 5 Sporting Goods Corp. (b),(c) | 2,500 | 23,425 | ||||||||
Burlington Stores, Inc. (a),(b),(c) | 9,900 | 394,614 | ||||||||
Citi Trends, Inc. (a),(b),(c) | 5,100 | 112,710 | ||||||||
eBay, Inc. (a),(f) | 16,681 | 944,645 | ||||||||
Ezcorp, Inc. A Shares (a),(b),(c) | 6,100 | 60,451 | ||||||||
Foot Locker, Inc. (b),(c) | 26,000 | 1,446,900 | ||||||||
GameStop Corp. A Shares (b),(c) | 8,400 | 346,080 | ||||||||
GNC Holdings, Inc. A Shares | 6,458 | 250,183 | ||||||||
Gordmans Stores, Inc. (a),(b),(c) | 1,100 | 3,762 | ||||||||
Home Depot, Inc. (The) (b),(c) | 16,772 | 1,538,663 | ||||||||
JC Penney Co., Inc. (a),(b) | 4,700 | 47,188 | ||||||||
Kirkland’s, Inc. (a),(b) | 1,000 | 16,110 | ||||||||
L Brands, Inc. (b),(c) | 38,100 | 2,551,938 | ||||||||
Liquidity Services, Inc. (a),(b) | 100 | 1,375 | ||||||||
Lowe’s Cos., Inc. | 4,544 | 240,469 | ||||||||
MarineMax, Inc. (a),(b),(c) | 1,400 | 23,590 |
See Notes to Consolidated Financial Statements.
36
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Netflix, Inc. (a),(c),(f) | 2,891 | $ | 1,304,361 | |||||||
New York & Co., Inc. (a),(b) | 300 | 909 | ||||||||
Overstock.com, Inc. (a),(b) | 600 | 10,116 | ||||||||
Stein Mart, Inc. (b) | 1,300 | 15,015 | ||||||||
Tilly’s, Inc. A Shares (a),(b) | 600 | 4,512 | ||||||||
Trans World Entertainment Corp. (b) | 300 | 1,098 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a),(b),(c) | 14,200 | 1,678,014 | ||||||||
United Online, Inc. (b),(c) | 2,342 | 25,645 | ||||||||
Williams-Sonoma, Inc. (c) | 3,148 | 209,562 | ||||||||
Zumiez, Inc. (a),(b),(c) | 1,000 | 28,100 | ||||||||
|
| |||||||||
14,085,366 | ||||||||||
|
| |||||||||
Semiconductors — 1.1% | ||||||||||
Alpha & Omega Semiconductor Ltd. (a),(b) | 1,900 | 17,860 | ||||||||
Amkor Technology, Inc. (a),(b),(c) | 2,800 | 23,548 | ||||||||
Analog Devices, Inc. (b),(c) | 3,600 | 178,164 | ||||||||
Applied Materials, Inc. | 30,004 | 648,387 | ||||||||
Axcelis Technologies, Inc. (a),(b),(c) | 700 | 1,393 | ||||||||
Ceva, Inc. (a),(b) | 700 | 9,408 | ||||||||
Cohu, Inc. (b) | 1,400 | 16,758 | ||||||||
Diodes, Inc. (a),(b) | 400 | 9,568 | ||||||||
DSP Group, Inc. (a),(b) | 400 | 3,548 | ||||||||
Entropic Communications, Inc. (a),(b) | 800 | 2,128 | ||||||||
Fairchild Semiconductor International, Inc. (a),(b),(c) | 14,600 | 226,738 | ||||||||
FormFactor, Inc. (a),(b),(c) | 2,100 | 15,057 | ||||||||
GSI Technology, Inc. (a),(b) | 518 | 2,802 | ||||||||
II-VI, Inc. (b),(c) | 600 | 7,062 | ||||||||
Inphi Corp. (a),(b) | 100 | 1,438 | ||||||||
Integrated Device Technology, Inc. (a),(b),(c) | 15,400 | 245,630 | ||||||||
Integrated Silicon Solution, Inc. (b) | 300 | 4,122 | ||||||||
Kemet Corp. (a),(b),(c) | 1,000 | 4,120 | ||||||||
Lam Research Corp. (f) | 12,996 | 970,801 | ||||||||
Lattice Semiconductor Corp. (a),(b),(c) | 13,200 | 99,000 | ||||||||
Micron Technology, Inc. (a),(b),(c),(f) | 125,409 | 4,296,512 | ||||||||
Newport Corp. (a),(b),(c) | 2,800 | 49,616 | ||||||||
NVE Corp. (a),(b) | 200 | 12,908 | ||||||||
OmniVision Technologies, Inc. (a),(b),(c) | 12,900 | 341,334 | ||||||||
ON Semiconductor Corp. (a),(b),(c) | 18,600 | 166,284 | ||||||||
Pericom Semiconductor Corp. (a),(b) | 1,700 | 16,558 | ||||||||
Photronics, Inc. (a),(b),(c) | 6,300 | 50,715 | ||||||||
QUALCOMM, Inc. | 10,062 | 752,336 | ||||||||
Rambus, Inc. (a),(b),(c) | 3,400 | 42,432 | ||||||||
RF Micro Devices, Inc. (a),(b),(c) | 185,800 | 2,144,132 | ||||||||
Richardson Electronics Ltd. (b),(c) | 1,200 | 11,988 | ||||||||
Rudolph Technologies, Inc. (a),(b),(c) | 2,300 | 20,815 | ||||||||
Sigma Designs, Inc. (a),(b),(c) | 4,900 | 21,119 |
See Notes to Consolidated Financial Statements.
37
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Silicon Image, Inc. (a),(b),(c) | 5,800 | $ | 29,232 | |||||||
Silicon Laboratories, Inc. (a),(b),(c) | 800 | 32,512 | ||||||||
Tessera Technologies, Inc. (b) | 2,400 | 63,792 | ||||||||
TriQuint Semiconductor, Inc. (a),(b),(c) | 151,400 | 2,887,198 | ||||||||
Ultra Clean Holdings, Inc. (a),(b),(c) | 3,700 | 33,115 | ||||||||
Ultratech, Inc. (a),(b),(c) | 3,400 | 77,350 | ||||||||
Veeco Instruments, Inc. (a),(b) | 600 | 20,970 | ||||||||
Vitesse Semiconductor Corp. (a),(b) | 100 | 360 | ||||||||
|
| |||||||||
13,558,810 | ||||||||||
|
| |||||||||
Software — 1.0% | ||||||||||
Actuate Corp. (a),(b),(c) | 11,800 | 46,020 | ||||||||
Acxiom Corp. (a),(b),(c) | 3,300 | 54,615 | ||||||||
Advent Software, Inc. (b),(c) | 1,700 | 53,652 | ||||||||
Agilysys, Inc. (a),(b) | 400 | 4,692 | ||||||||
American Software, Inc. A Shares (b) | 300 | 2,646 | ||||||||
Audience, Inc. (a),(b) | 100 | 740 | ||||||||
Autodesk, Inc. (a),(b),(c) | 4,900 | 269,990 | ||||||||
CA, Inc. (b),(c) | 2,000 | 55,880 | ||||||||
Calix, Inc. (a),(b),(c) | 1,700 | 16,269 | ||||||||
Carbonite, Inc. (a),(b) | 900 | 9,216 | ||||||||
Digi International, Inc. (a),(b) | 1,700 | 12,750 | ||||||||
Digital River, Inc. (a),(b),(c) | 4,700 | 68,244 | ||||||||
Ebix, Inc. (b) | 1,500 | 21,270 | ||||||||
Electronic Arts, Inc. (a),(b),(c) | 22,100 | 786,981 | ||||||||
Envestnet, Inc. (a),(b) | 45,004 | 2,025,180 | ||||||||
EPIQ Systems, Inc. (b) | 200 | 3,512 | ||||||||
Informatica Corp. (a),(b),(c) | 3,800 | 130,112 | ||||||||
InnerWorkings, Inc. (a),(b) | 100 | 809 | ||||||||
IntraLinks Holdings, Inc. (a),(b) | 300 | 2,430 | ||||||||
Lionbridge Technologies, Inc. (a),(b),(c) | 2,500 | 11,250 | ||||||||
Microsoft Corp. (c) | 13,539 | 627,668 | ||||||||
MicroStrategy, Inc. A Shares (a),(b) | 100 | 13,084 | ||||||||
NeuStar, Inc. A Shares (a),(b),(c) | 6,500 | 161,395 | ||||||||
Palo Alto Networks, Inc. (a),(b),(c) | 5,100 | 500,310 | ||||||||
PDF Solutions, Inc. (a),(b) | 1,600 | 20,176 | ||||||||
Progress Software Corp. (a),(b),(c) | 600 | 14,346 | ||||||||
Quality Systems, Inc. (b),(c) | 2,100 | 28,917 | ||||||||
RealNetworks, Inc. (a),(b),(c) | 3,900 | 27,105 | ||||||||
Salesforce.com, Inc. (a),(b),(c),(f) | 23,904 | 1,375,197 | ||||||||
Seachange International, Inc. (a),(b) | 2,000 | 13,920 | ||||||||
support.com, Inc. (a),(b) | 2,500 | 5,400 | ||||||||
Symantec Corp. (b) | 128,900 | 3,030,439 | ||||||||
Synopsys, Inc. (a),(b),(c) | 900 | 35,726 | ||||||||
Tableau Software, Inc. A Shares (a),(b) | 100 | 7,265 | ||||||||
Teradata Corp. (a),(b),(c) | 37,600 | 1,576,192 |
See Notes to Consolidated Financial Statements.
38
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
VASCO Data Security International, Inc. (a),(b),(c) | 4,600 | $ | 86,388 | |||||||
Veeva Systems, Inc. A Shares (a),(b) | 1,500 | 42,255 | ||||||||
VMware, Inc. A Shares (a),(b),(c) | 16,800 | 1,576,512 | ||||||||
Workday, Inc. A Shares (a),(b) | 3,000 | 247,500 | ||||||||
|
| |||||||||
12,966,053 | ||||||||||
|
| |||||||||
Specialty Finance — 0.3% | ||||||||||
American Capital Mortgage Investment Corp. (b),(c) | 11,200 | 210,784 | ||||||||
Apollo Commercial Real Estate Finance, Inc. (b),(c) | 16,100 | 252,931 | ||||||||
Arbor Realty Trust, Inc. (b),(c) | 7,000 | 47,180 | ||||||||
Arlington Asset Investment Corp. A Shares (b),(c) | 10,900 | 276,969 | ||||||||
Capstead Mortgage Corp. (c) | 100 | 1,224 | ||||||||
Cherry Hill Mortgage Investment Corp. (b),(c) | 2,700 | 50,490 | ||||||||
Chimera Investment Corp. (b),(c) | 17,400 | 52,896 | ||||||||
CIT Group, Inc. (c) | 15,309 | 703,601 | ||||||||
Consumer Portfolio Services, Inc. (a),(b),(c) | 2,300 | 14,743 | ||||||||
Dynex Capital, Inc. (b) | 3,000 | 24,240 | ||||||||
Ellington Residential Mortgage REIT (b),(c) | 2,200 | 35,618 | ||||||||
Five Oaks Investment Corp. (b) | 600 | 6,300 | ||||||||
FleetCor Technologies, Inc. (a),(b),(c) | 700 | 99,484 | ||||||||
FNFV Group (a),(b) | 34 | 468 | ||||||||
Global Cash Access Holdings, Inc. (a),(b),(c) | 11,000 | 74,250 | ||||||||
Imperial Holdings, Inc. (a),(b),(c) | 200 | 1,290 | ||||||||
New Residential Investment Corp. (b),(c) | 90,100 | 525,283 | ||||||||
Visa, Inc. A Shares (c),(f) | 3,856 | 822,755 | ||||||||
ZAIS Financial Corp. (b),(c) | 1,400 | 24,164 | ||||||||
|
| |||||||||
3,224,670 | ||||||||||
|
| |||||||||
Technology Services — 0.1% | ||||||||||
Booz Allen Hamilton Holding Corp. (b) | 300 | 7,020 | ||||||||
Broadridge Financial Solutions, Inc. (b),(c) | 1,000 | 41,630 | ||||||||
CIBER, Inc. (a),(b),(c) | 5,000 | 17,150 | ||||||||
Computer Sciences Corp. | 100 | 6,115 | ||||||||
ExlService Holdings, Inc. (a),(b),(c) | 6,100 | 148,901 | ||||||||
Intermolecular, Inc. (a),(b) | 200 | 464 | ||||||||
Leidos Holdings, Inc. (b),(c) | 4,700 | 161,351 | ||||||||
McGraw Hill Financial, Inc. (b),(c) | 800 | 67,560 | ||||||||
MSCI, Inc. (c) | 14,642 | 688,467 | ||||||||
NIC, Inc. (b),(c) | 2,200 | 37,884 | ||||||||
Perficient, Inc. (a),(b),(c) | 2,800 | 41,972 | ||||||||
Sykes Enterprises, Inc. (a),(b) | 100 | 1,998 | ||||||||
TeleTech Holdings, Inc. (a),(b) | 200 | 4,916 | ||||||||
|
| |||||||||
1,225,428 | ||||||||||
|
| |||||||||
Telecommunications — 0.6% | ||||||||||
Akamai Technologies, Inc. (a),(b) | 300 | 17,940 | ||||||||
Consolidated Communications Holdings, Inc. (b),(c) | 2,500 | 62,625 |
See Notes to Consolidated Financial Statements.
39
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Equinix, Inc. (a),(b),(c) | 5,300 | $ | 1,126,144 | |||||||
Fairpoint Communications, Inc. (a),(b),(c) | 2,900 | 43,993 | ||||||||
General Communication, Inc. A Shares (a),(b),(c) | 9,100 | 99,281 | ||||||||
Inteliquent, Inc. (b) | 3,200 | 39,840 | ||||||||
Level 3 Communications, Inc. (a),(b),(c) | 32,200 | 1,472,506 | ||||||||
Limelight Networks, Inc. (a),(b),(c) | 2,400 | 5,604 | ||||||||
Lumos Networks Corp. (b) | 700 | 11,375 | ||||||||
Premiere Global Services, Inc. (a),(b),(c) | 2,400 | 28,728 | ||||||||
Spok Holdings, Inc. (b),(c) | 800 | 10,408 | ||||||||
T-Mobile US, Inc. (a),(c) | 76,835 | 2,218,227 | ||||||||
TeleCommunication Systems, Inc. A Shares (a),(b) | 600 | 1,674 | ||||||||
TW telecom, Inc. (a),(b),(c) | 32,600 | 1,356,486 | ||||||||
Verizon Communications, Inc. | 17,173 | 858,478 | ||||||||
West Corp. (b),(c) | 1,400 | 41,244 | ||||||||
Zix Corp. (a),(b),(c) | 5,200 | 17,784 | ||||||||
|
| |||||||||
7,412,337 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.1% | ||||||||||
Air Transport Services Group, Inc. (a),(b),(c) | 4,100 | 29,848 | ||||||||
Atlas Air Worldwide Holdings, Inc. (a),(b) | 600 | 19,812 | ||||||||
Con-way, Inc. (b),(c) | 2,500 | 118,750 | ||||||||
Dorian LPG Ltd. (a),(b) | 500 | 8,910 | ||||||||
Echo Global Logistics, Inc. (a),(b) | 300 | 7,065 | ||||||||
Quality Distribution, Inc. (a),(b),(c) | 8,900 | 113,742 | ||||||||
Saia, Inc. (a),(b) | 200 | 9,912 | ||||||||
Scorpio Bulkers, Inc. (a),(b) | 600 | 3,492 | ||||||||
Stamps.com, Inc. (a),(b) | 900 | 28,584 | ||||||||
Swift Transportation Co. (a),(b) | 1,000 | 20,980 | ||||||||
Union Pacific Corp. | 5,054 | 547,955 | ||||||||
UTi Worldwide, Inc. (a),(b),(c) | 5,400 | 57,402 | ||||||||
|
| |||||||||
966,452 | ||||||||||
|
| |||||||||
Transportation Equipment — 0.0% | ||||||||||
Allison Transmission Holdings, Inc. (b) | 400 | 11,396 | ||||||||
Spartan Motors, Inc. (b) | 200 | 934 | ||||||||
|
| |||||||||
12,330 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.5% | ||||||||||
BJ’s Restaurants, Inc. (a),(b) | 100 | 3,599 | ||||||||
Bloomin’ Brands, Inc. (a),(b),(c) | 16,600 | 304,444 | ||||||||
Bravo Brio Restaurant Group, Inc. (a),(b) | 4,300 | 55,771 | ||||||||
Denny’s Corp. (a),(b),(c) | 12,200 | 85,766 | ||||||||
DineEquity, Inc. (b) | 100 | 8,159 | ||||||||
Einstein Noah Restaurant Group, Inc. (b),(c) | 3,600 | 72,576 | ||||||||
Fiesta Restaurant Group, Inc. (a),(b) | 500 | 24,840 | ||||||||
Hyatt Hotels Corp. A Shares (a),(b),(c) | 5,400 | 326,808 |
See Notes to Consolidated Financial Statements.
40
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Isle of Capri Casinos, Inc. (a),(b),(c) | 4,000 | $ | 30,000 | |||||||
Jack in the Box, Inc. (b) | 1,000 | 68,190 | ||||||||
Las Vegas Sands Corp. (b) | 2,200 | 136,862 | ||||||||
MGM Resorts International (a),(b),(c) | 136,300 | 3,104,914 | ||||||||
Monarch Casino & Resort, Inc. (a),(b) | 1,700 | 20,247 | ||||||||
Morgans Hotel Group Co. (a),(b),(c) | 8,600 | 69,402 | ||||||||
Papa John’s International, Inc. (b) | 300 | 11,997 | ||||||||
Penn National Gaming, Inc. (a),(b),(c) | 29,600 | 331,816 | ||||||||
Popeyes Louisiana Kitchen, Inc. (a),(b),(c) | 900 | 36,450 | ||||||||
Ruth’s Hospitality Group, Inc. (b),(c) | 2,900 | 32,016 | ||||||||
Wynn Resorts Ltd. (b),(c) | 10,500 | 1,964,340 | ||||||||
|
| |||||||||
6,688,197 | ||||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
CenterPoint Energy, Inc. (b),(c) | 500 | 12,235 | ||||||||
Dynegy, Inc. (a),(b),(c) | 1,800 | 51,948 | ||||||||
Middlesex Water Co. (b) | 400 | 7,840 | ||||||||
OGE Energy Corp. (b),(c) | 10,100 | 374,811 | ||||||||
Pinnacle West Capital Corp. (c) | 34 | 1,858 | ||||||||
Unitil Corp. (b) | 200 | 6,218 | ||||||||
|
| |||||||||
454,910 | ||||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — 0.0% | ||||||||||
Casella Waste Systems, Inc. A Shares (a),(b),(c) | 5,000 | 19,250 | ||||||||
Ceco Environmental Corp. (c) | 42 | 563 | ||||||||
Fuel Tech, Inc. (a),(b) | 100 | 425 | ||||||||
|
| |||||||||
20,238 | ||||||||||
|
| |||||||||
Total United States | 348,547,116 | |||||||||
|
| |||||||||
TOTAL COMMON STOCK | 523,218,781 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.1% | ||||||||||
Germany — 0.1% | ||||||||||
Automotive — 0.1% | ||||||||||
Volkswagen AG Preference Shares | 2,312 | 480,076 | ||||||||
|
| |||||||||
Total Germany | 480,076 | |||||||||
|
| |||||||||
Republic of Korea — 0.0% | ||||||||||
Hardware — 0.0% | ||||||||||
Samsung Electronics Co. Ltd. Preference Shares | 233 | 198,279 | ||||||||
|
| |||||||||
Total Republic of Korea | 198,279 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCK | 678,355 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
41
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
ASSET-BACKED SECURITIES — 7.9% | ||||||||||
Cayman Islands — 4.5% |
| |||||||||
ABCLO Ltd., Series 2007-1A, Class C, 2.08%, 04/15/21 (b),(f),(g),(h) | $ | 1,000,000 | $ | 983,700 | ||||||
Bridgeport CLO Ltd., Series 2006-1A, Class C, 1.73%, 07/21/20 (f),(g),(h) | 2,000,000 | 1,857,200 | ||||||||
Columbus Nova CLO Ltd., | ||||||||||
Series 2007-1A, Class E, 3.83%, 05/16/19 (f),(g),(h) | 539,000 | 519,380 | ||||||||
Series 2007-2A, Class D, 4.73%, 10/15/21 (f),(g),(h) | 850,000 | 845,835 | ||||||||
Comstock Funding Ltd., Series 2006-1A, Class C, 1.98%, 05/30/20 (f),(g),(h) | 1,500,000 | 1,441,800 | ||||||||
Crown Point CLO Ltd., Series 2012-1A, 5.23%, 11/21/22 (f),(g),(h) | 500,000 | 500,900 | ||||||||
Cutwater Ltd., Series 2014-1A, Class C, 3.93%, 07/15/26 (f),(g),(h) | 2,203,000 | 2,042,181 | ||||||||
Duane Street CLO V Ltd., Series 2007-5A, Class B, 7.98%, 10/14/21 (d),(f),(g),(h) | 1,533,000 | 1,536,066 | ||||||||
Eaton Vance CDO VIII Ltd., Series 2006-8A, Class D, 3.65%, 08/15/22 (f),(g),(h) | 400,000 | 378,360 | ||||||||
Fairway Loan Funding Co., Series 2006-1A, Class B2L, 4.03%, 10/17/18 (f),(g),(h) | 5,400,000 | 5,370,300 | ||||||||
Golub Capital Partners CLO Ltd., Series 2011-10AR, Class DR, 4.08%, 10/20/21 (f),(g),(h) | 750,000 | 740,775 | ||||||||
Gramercy Real Estate CDO Ltd., Series 2007-1A, Class A1, 0.51%, 08/15/56 (f),(g),(h) | 1,508,153 | 1,350,702 | ||||||||
Harbourview CDO III Ltd., Series 3A, Class A, 1.21%, 09/15/31 (d),(f),(g),(h) | 3,097,344 | 2,789,158 | ||||||||
ING Investment Management CLO Ltd., Series 2011-1A, Class D, | 2,860,000 | 2,787,356 | ||||||||
JFIN CLO Ltd., Series 2007-1A, Class D, 3.03%, 07/20/21 (f),(g),(h) | 1,500,000 | 1,475,550 | ||||||||
Katonah Ltd., Series 2007-10A, Class E, 4.24%, 04/17/20 (f),(g),(h) | 1,805,000 | 1,736,590 | ||||||||
Kingsland IV Ltd., Series 2007-4A, Class E, 3.58%, 04/16/21 (f),(g),(h) | 628,000 | 578,199 | ||||||||
LightPoint CLO V Ltd., Series 2006-5A, Class D, 3.88%, 08/05/19 (f),(g),(h) | 670,000 | 646,818 | ||||||||
Loomis Sayles CLO I Ltd., Series 2006-1A, Class D, 1.84%, 10/26/20 (f),(g),(h) | 2,100,000 | 2,098,320 |
See Notes to Consolidated Financial Statements.
42
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
MidOcean Credit CLO, | ||||||||||
Series 2014-3A, Class D, 3.98%, 07/21/26 (f),(g),(h) | $ | 3,268,000 | $ | 3,064,077 | ||||||
Series 2014-3A, Class E, 5.48%, 07/21/26 (f),(g),(h) | 2,594,000 | 2,304,769 | ||||||||
Octagon Investment Partners XX Ltd., | ||||||||||
Series 2014-1A, Class D, 3.89%, 08/12/26 (f),(g),(h) | 1,156,000 | 1,089,877 | ||||||||
Series 2014-1A, Class E, 5.49%, 08/12/26 (f),(g),(h) | 875,000 | 808,850 | ||||||||
Pegasus Ltd., Series 2007-1A, Class A1, 0.55%, 11/25/49 (d),(f),(g),(h) | 375,000 | 331,875 | ||||||||
Preferred Term Securities X Ltd., 0.96%, 07/03/33 (f),(g),(h) | 1,057,384 | 972,793 | ||||||||
Preferred Term Securities XVII Ltd., 0.73%, 06/23/35 (f),(g),(h) | 945,000 | 595,350 | ||||||||
Preferred Term Securities XXIV Ltd., 0.53%, 03/22/37 (f),(g),(h) | 3,935,509 | 3,030,342 | ||||||||
Rait CRE CDO I, Ltd., Series 2006-1A, Class A2, 0.50%, 11/20/46 (d),(f),(g),(h) | 474,000 | 388,111 | ||||||||
Red River CLO Ltd., Series 1A, Class D, 1.89%, 07/27/18 (f),(g),(h) | 5,500,000 | 5,091,350 | ||||||||
SRERS Funding Ltd., Series 2011-RS, Class A1B1, 0.40%, 05/09/46 (f),(g),(h) | 6,513,804 | 6,227,197 | ||||||||
Trapeza CDO LLC, Series 2007-13A, Class A3, 0.66%, 11/09/42 (f),(g),(h) | 863,000 | 483,280 | ||||||||
Trimaran CLO IV Ltd. REG S, Series 2005-1X, Class B2L, 5.38%, 12/01/17 (f),(g) | 1,630,000 | 1,630,326 | ||||||||
Whitehorse Ltd., Series 2012-1A, Class B2L, 5.49%, 02/03/25 (f),(g),(h) | 396,000 | 363,924 | ||||||||
WhiteHorse VII Ltd., Series 2013-1A, Class B2L, 5.03%, 11/24/25 (f),(g),(h) | 417,000 | 369,379 | ||||||||
|
| |||||||||
Total Cayman Islands | 56,430,690 | |||||||||
|
| |||||||||
United States — 3.4% | ||||||||||
AmeriCredit Automobile Receivables Trust, Series 2012-4, Class E, | 2,500,000 | 2,581,750 | ||||||||
ARES CLO Ltd. REG S, Series 2007-3RX, Class E, | 436,000 | 402,341 | ||||||||
CPS Auto Receivables Trust, | ||||||||||
Series 2014-B, Class D, 4.62%, 05/15/20 (f),(h) | 433,000 | 429,449 | ||||||||
Series 2014-C, Class D, 4.83%, 08/17/20 (f),(h) | 881,000 | 877,124 | ||||||||
Educational Funding Co. LLC (The), Series 2006-1A, Class A2, | 2,573,816 | 2,414,754 | ||||||||
FFCA Secured Lending Corp., Series 1999-WA1C, 7.85%, 05/18/26 (d),(f),(h) | 205,230 | 211,715 |
See Notes to Consolidated Financial Statements.
43
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Fraser Sullivan CLO II Ltd., Series 2006-2A, Class E, 3.73%, 12/20/20 (f),(g),(h) | $ | 2,284,000 | $ | 2,198,807 | ||||||
Harch CLO III Ltd., Series 2007-1A, Class E, 3.98%, 04/17/20 (f),(g),(h) | 2,451,000 | 2,325,999 | ||||||||
OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.47%, 09/18/24 (f),(h) | 3,150,000 | 3,154,725 | ||||||||
SLM Private Credit Student Loan Trust, Series 2004-A, Class C, 1.18%, 06/15/33 (f),(g) | 109,552 | 100,131 | ||||||||
Springcastle SPV, 3.75%, 04/03/21 (f),(h),(l) | 23,857,531 | 24,081,792 | ||||||||
Venture IX CDO Ltd., Series 2007-9A, Class D, 4.38%, 10/12/21 (f),(g),(h) | 1,500,000 | 1,500,150 | ||||||||
Westgate Resorts, Series 2014-1A, Class C, 5.50%, 12/20/26 (f),(h) | 2,892,000 | 2,898,651 | ||||||||
|
| |||||||||
Total United States | 43,177,388 | |||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES (COST $99,493,620) | 99,608,078 | |||||||||
|
| |||||||||
CONVERTIBLE BONDS — 0.3% | ||||||||||
France — 0.1% | ||||||||||
Auto Parts Manufacturing — 0.1% | ||||||||||
Faurecia REG S, 3.25%, 01/01/18 (b),(c),(f) | 4,794,700 | EUR | 1,716,861 | |||||||
|
| |||||||||
Total France | 1,716,861 | |||||||||
|
| |||||||||
Netherlands — 0.2% | ||||||||||
Automobiles Manufacturing — 0.2% | ||||||||||
Volkswagen International Finance NV Co. REG S, 5.50%, 11/09/15 (b),(f) | 1,700,000 | EUR | 2,213,964 | |||||||
|
| |||||||||
Total Netherlands | 2,213,964 | |||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS | 3,930,825 | |||||||||
|
| |||||||||
BANK LOANS — 1.9% | ||||||||||
Netherlands — 0.2% | ||||||||||
Exploration & Production — 0.2% | ||||||||||
Endeavour International Holding B.V., 1.00%, 01/02/17 (d),(f),(g) | $ | 2,794,770 | 2,738,875 | |||||||
|
| |||||||||
Total Netherlands | 2,738,875 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
44
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
United States — 1.7% | ||||||||||
Financial Services — 1.7% | ||||||||||
MF Global Finance USA, Inc., 1.00%, 06/15/15 (d),(f),(g),(i) | $ | 25,000,000 | $ | 20,843,750 | ||||||
|
| |||||||||
Total United States | 20,843,750 | |||||||||
|
| |||||||||
TOTAL BANK LOANS | 23,582,625 | |||||||||
|
| |||||||||
CORPORATE BONDS & NOTES — 7.6% | ||||||||||
Brazil — 0.5% | ||||||||||
Banking — 0.4% | ||||||||||
Banco Bradesco SA REG S, 5.90%, 01/16/21 (c) | 1,640,000 | 1,709,700 | ||||||||
Banco do Brasil SA/Cayman REG S, 5.88%, 01/26/22 (c) | 1,580,000 | 1,599,750 | ||||||||
Banco do Estado do Rio Grande do Sul SA REG S, 7.38%, 02/02/22 | 300,000 | 314,655 | ||||||||
Banco Votorantim SA REG S, 7.38%, 01/21/20 | 770,000 | 852,390 | ||||||||
Itau Unibanco Holding SA REG S, | ||||||||||
5.75%, 01/22/21 | 630,000 | 656,775 | ||||||||
6.20%, 04/15/20 | 770,000 | 827,750 | ||||||||
6.20%, 12/21/21 (c) | 300,000 | 312,750 | ||||||||
|
| |||||||||
6,273,770 | ||||||||||
|
| |||||||||
Power Generation — 0.1% | ||||||||||
CESP Companhia Energetica De Tranche TR 00007 REG S, 9.75%, 01/15/15 (d) | 1,086,000 | 703,185 | ||||||||
|
| |||||||||
Total Brazil | 6,976,955 | |||||||||
|
| |||||||||
Canada — 0.2% | ||||||||||
Oil & Gas Services — 0.0% | ||||||||||
Sanjel Corp. REG S, 7.50%, 06/19/19 | 200,000 | 197,000 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.2% | ||||||||||
Postmedia Network, Inc., 12.50%, 07/15/18 (c),(f) | 2,375,000 | 2,499,688 | ||||||||
|
| |||||||||
Total Canada | 2,696,688 | |||||||||
|
| |||||||||
Cyprus — 0.2% | ||||||||||
Oil & Gas Services — 0.2% | ||||||||||
Ocean Rig UDW, Inc., 7.25%, 04/01/19 (e),(f),(h) | 2,892,000 | 2,646,180 | ||||||||
|
| |||||||||
Total Cyprus | �� | 2,646,180 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
45
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
France — 0.2% | ||||||||||
Property & Casualty Insurance — 0.2% | ||||||||||
Groupama SA REG S, 6.38% (c),(f),(g),(j) | 1,500,000 | EUR | $ | 1,904,048 | ||||||
Groupama SA Jr Subordinate REG S, 6.30% (c),(f),(g),(j) | 100,000 | EUR | 126,621 | |||||||
|
| |||||||||
Total France | 2,030,669 | |||||||||
|
| |||||||||
Germany — 0.4% | ||||||||||
Banking — 0.4% | ||||||||||
HSH Nordbank AG MTN, | ||||||||||
1.00%, 02/14/17 (f),(g) | 2,891,000 | EUR | 2,933,963 | |||||||
1.04%, 02/14/17 (f),(g) | 2,255,000 | EUR | 2,285,664 | |||||||
|
| |||||||||
Total Germany | 5,219,627 | |||||||||
|
| |||||||||
Greece — 0.2% | ||||||||||
Transportation & Logistics — 0.2% | ||||||||||
Dynagas LNG Partners, 6.25%, 10/30/19 (f) | $ | 2,350,000 | 2,303,000 | |||||||
|
| |||||||||
Total Greece | 2,303,000 | |||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
Banking — 0.1% | ||||||||||
UT2 Funding PLC, 5.32%, 06/30/16 (e),(f) | 750,000 | EUR | 965,050 | |||||||
|
| |||||||||
Total Ireland | 965,050 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Containers & Packaging — 0.1% | ||||||||||
Ardagh Finance Holdings SA PIK, 8.63%, 06/15/19 (e),(f),(h) | $ | 690,000 | 693,450 | |||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Cosan Luxembourg SA REG S, 5.00%, 03/14/23 | 660,000 | 633,600 | ||||||||
|
| |||||||||
Total Luxembourg | 1,327,050 | |||||||||
|
| |||||||||
Nigeria — 0.1% | ||||||||||
Oil & Gas Services — 0.1% | ||||||||||
Sea Trucks Group Ltd. REG S, | 750,000 | 705,000 | ||||||||
|
| |||||||||
Total Nigeria | 705,000 | |||||||||
|
| |||||||||
Singapore — 0.0% | ||||||||||
Oil & Gas Services — 0.0% | ||||||||||
Oro Negro Drilling Pte Ltd. REG S, 7.50%, 01/24/19 | 200,000 | 199,500 | ||||||||
|
| |||||||||
Total Singapore | 199,500 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
46
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
United Kingdom — 0.1% | ||||||||||
Financial Services — 0.1% | ||||||||||
Depfa Funding III LP REG S, 1.72% (f),(g),(j) | 1,728,000 | EUR | $ | 1,254,967 | ||||||
|
| |||||||||
Total United Kingdom | 1,254,967 | |||||||||
|
| |||||||||
United States — 4.9% | ||||||||||
Advertising & Marketing — 0.5% | ||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 (c),(f) | $ | 3,436,000 | 2,954,960 | |||||||
Visant Corp., 10.00%, 10/01/17 (b),(c),(e),(f) | 4,050,000 | 3,614,625 | ||||||||
|
| |||||||||
6,569,585 | ||||||||||
|
| |||||||||
Casinos & Gaming — 0.4% | ||||||||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Property, 11.00%, 10/01/21 (e),(f),(h) | 3,190,000 | 2,990,625 | ||||||||
Caesars Growth Properties Holdings LLC / Caesars Growth Properties Finance, Inc., 9.38%, 05/01/22 (f),(h) | 2,361,000 | 2,065,875 | ||||||||
|
| |||||||||
5,056,500 | ||||||||||
|
| |||||||||
Construction Materials Manufacturing — 0.0% | ||||||||||
Hardwoods Acquisition, Inc., 7.50%, 08/01/21 (f),(h) | 550,000 | 541,750 | ||||||||
|
| |||||||||
Consumer Finance — 0.1% | ||||||||||
DFC Finance Corp., 10.50%, 06/15/20 (f),(h) | 1,194,000 | 1,158,180 | ||||||||
|
| |||||||||
Entertainment Resources — 0.1% | ||||||||||
24 Hour Holdings III LLC, 8.00%, 06/01/22 (e),(f),(h) | 380,000 | 351,500 | ||||||||
Carlson Travel Holdings, Inc., PIK, 7.50%, 08/15/19 (c),(f),(h) | 300,000 | 303,000 | ||||||||
|
| |||||||||
654,500 | ||||||||||
|
| |||||||||
Exploration & Production — 0.7% | ||||||||||
Atlas Energy Holdings Operating Co. LLC / Atlas Resource Finance Corp., 7.75%, 01/15/21 (f) | 799,000 | 787,015 | ||||||||
Energy XXI Gulf Coast, Inc., 6.88%, 03/15/24 (e),(f),(h) | 700,000 | 658,000 | ||||||||
EXCO Resources, Inc., 8.50%, 04/15/22 (f) | 710,000 | 681,600 | ||||||||
Gastar Exploration, Inc., 8.63%, 05/15/18 (c),(f) | 2,858,000 | 2,943,740 | ||||||||
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.63%, 12/01/21 (f),(h) | 700,000 | 686,000 | ||||||||
Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC, 9.25%, 06/01/21 (c),(e),(f) | 1,718,000 | 1,705,115 | ||||||||
Quicksilver Resources, Inc., 11.00%, 07/01/21 (e),(f) | 2,446,000 | 1,614,360 | ||||||||
|
| |||||||||
9,075,830 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
47
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Financial Services — 1.4% | ||||||||||
Infinity Acquisition LLC / Infinity Acquisition Finance Corp., | $ | 1,146,000 | $ | 1,105,890 | ||||||
MF Global Holdings Ltd., | ||||||||||
1.88%, 02/01/16 (d),(f),(i) | 18,472,000 | 7,758,240 | ||||||||
3.38%, 08/01/18 (d),(f),(i) | 6,000,000 | 2,520,000 | ||||||||
6.25%, 08/08/16 (d),(f),(i) | 4,000,000 | 1,690,000 | ||||||||
ROC Finance LLC / ROC Finance 1 Corp., 12.13%, 09/01/18 (c),(f),(h) | 3,920,000 | 4,233,600 | ||||||||
|
| |||||||||
17,307,730 | ||||||||||
|
| |||||||||
Food & Beverage — 0.1% | ||||||||||
Cott Beverages, Inc., 5.38%, 07/01/22 (f),(h) | 1,380,000 | 1,335,150 | ||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Zebra Technologies Corp. Sr. Unsecured, 7.25%, 10/15/22 (f),(h) | 470,000 | 470,000 | ||||||||
|
| |||||||||
Health Care Facilities/Services — 0.3% | ||||||||||
Envision Healthcare Corp., 5.13%, 07/01/22 (c),(f),(h) | 1,035,000 | 1,019,475 | ||||||||
inVentiv Health, Inc., 10.00%, 08/15/18 (f),(g),(h) | 247,000 | 198,835 | ||||||||
inVentiv Health, Inc. PIK, 10.00%, 08/15/18 (c),(f),(h) | 343,000 | 317,275 | ||||||||
Jaguar Holding Co. I, PIK, 9.38%, 10/15/17 (f),(h) | 825,000 | 833,250 | ||||||||
MedImpact Holdings, Inc., 10.50%, 02/01/18 (f),(h) | 1,318,000 | 1,410,095 | ||||||||
|
| |||||||||
3,778,930 | ||||||||||
|
| |||||||||
Home Improvement — 0.1% | ||||||||||
Empire Today LLC / Empire Today Finance Corp., 11.38%, 02/01/17 (f),(h) | 1,010,000 | 1,010,000 | ||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Crimson Merger Sub, Inc., 6.63%, 05/15/22 (e),(f),(h) | 350,000 | 318,938 | ||||||||
|
| |||||||||
Oil & Gas Services — 0.0% | ||||||||||
Hercules Offshore, Inc., 6.75%, 04/01/22 (f),(h) | 720,000 | 563,400 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.7% | ||||||||||
American Media, Inc., 11.50%, 12/15/17 (c),(f) | 5,390,000 | 5,686,450 | ||||||||
Knight Ridder, Inc., | ||||||||||
5.75%, 09/01/17 (c),(f) | 1,500,000 | 1,650,000 | ||||||||
6.88%, 03/15/29 (c),(f) | 2,485,000 | 1,938,300 | ||||||||
7.15%, 11/01/27 (f) | 14,000 | 12,810 | ||||||||
|
| |||||||||
9,287,560 | ||||||||||
|
| |||||||||
Railroad — 0.1% | ||||||||||
Florida East Coast Holdings Corp., 9.75%, 05/01/20 (e),(f),(h) | 710,000 | 720,650 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
48
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Real Estate — 0.1% | ||||||||||
MPT Operating Partnership LP / MPT Finance Corp., 5.50%, 05/01/24 (c),(f) | $ | 1,065,000 | $ | 1,078,312 | ||||||
|
| |||||||||
Restaurants — 0.0% | ||||||||||
BK Capital Holding/Burge Co. REG S, 1.00%, 04/15/19 (c),(g),(k) | 440,000 | 409,200 | ||||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.1% | ||||||||||
Michaels Stores, Inc., 5.88%, 12/15/20 (f),(h) | 940,000 | 935,300 | ||||||||
|
| |||||||||
Retail Discretionary — 0.1% | ||||||||||
Group 1 Automotive, Inc., 5.00%, 06/01/22 (f),(h) | 1,000,000 | 967,500 | ||||||||
|
| |||||||||
Software & Services — 0.1% | ||||||||||
Sungard Availability Services Capital, Inc., 8.75%, 04/01/22 (c),(e),(f),(h) | 1,707,000 | 1,271,715 | ||||||||
|
| |||||||||
Total United States | 62,510,730 | |||||||||
|
| |||||||||
Venezuela — 0.6% | ||||||||||
Integrated Oils — 0.6% | ||||||||||
Petroleos de Venezuela SA REG S, | ||||||||||
6.00%, 11/15/26 | 7,192,000 | 3,739,840 | ||||||||
9.75%, 05/17/35 (b) | 5,937,000 | 3,814,522 | ||||||||
|
| |||||||||
Total Venezuela | 7,554,362 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | 96,389,778 | |||||||||
|
| |||||||||
FOREIGN GOVERNMENT — 2.9% | ||||||||||
Argentina Boden Bonds, 7.00%, 10/03/15 (b) | 6,632,000 | ARS | 6,167,760 | |||||||
Argentine Republic Government International Bond, 8.28%, 12/31/33 (l) | 2,567,132 | ARS | 2,207,733 | |||||||
Colombia Government International Bond, 7.75%, 04/14/21 | 2,977,000,000 | COP | 1,592,148 | |||||||
European Investment Bank, 9.00%, 03/31/21 | 29,750,000 | ZAR | 2,732,457 | |||||||
Hellenic Republic Government Bond REG S, 4.75%, 04/17/19 (h) | 936,000 | EUR | 1,171,031 | |||||||
Hungary Government International Bond, 5.38%, 03/25/24 | 5,976,000 | HUF | 6,304,680 | |||||||
Malaysia Government Bond, 3.49%, 03/31/20 | 6,650,000 | MYR | 2,000,670 | |||||||
Mexican Bonos, 6.50%, 06/10/21 (b) | 29,500,000 | MXN | 2,290,288 | |||||||
Peruvian Government International Bond REG S, 7.84%, 08/12/20 | 1,150,000 | PEN | 453,059 | |||||||
Poland Government Bond, 3.75%, 04/25/18 | 3,550,000 | PLN | 1,128,412 | |||||||
Russian Federal Bond—OFZ, 6.80%, 12/11/19 | 73,100,000 | RUB | 1,671,685 |
See Notes to Consolidated Financial Statements.
49
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Russian Foreign Bond—Eurobond REG S, 7.50%, 03/31/30 (g) | 4,592,205 | RUB | $ | 5,144,326 | ||||||
Thailand Government Bond, 3.63%, 06/16/23 (b) | 44,000,000 | THB | 1,382,146 | |||||||
Turkey Government Bond, | ||||||||||
9.00%, 03/08/17 (b) | 3,550,000 | TRY | 1,543,783 | |||||||
10.50%, 01/15/20 | 1,705,000 | TRY | 781,145 | |||||||
|
| |||||||||
TOTAL FOREIGN GOVERNMENT | 36,571,323 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES — 16.8% | ||||||||||
Cayman Islands — 0.5% | ||||||||||
Collateralized Debt Obligation (Commercial) — 0.1% | ||||||||||
N STAR Real Estate CDO Ltd., 5.16%, 08/25/29 (b),(f),(g),(h) | $ | 1,000,000 | 1,007,500 | |||||||
|
| |||||||||
Commercial Mortgage-Backed Security — 0.4% | ||||||||||
PFP III Ltd., Series 2014-1, Class D, 4.25%, 06/14/31 (f),(g),(h) | 5,300,000 | 5,259,190 | ||||||||
|
| |||||||||
Total Cayman Islands | 6,266,690 | |||||||||
|
| |||||||||
United States — 16.3% | ||||||||||
Collateralized Debt Obligation (Commercial) — 0.1% | ||||||||||
Resource Capital Corp. Ltd., 2.65%, 04/15/32 (f),(g) | 1,329,000 | 1,329,000 | ||||||||
|
| |||||||||
Collateralized Mortgage Obligation (Residential) — 10.5% | ||||||||||
Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1, 2.78%, 05/25/35 (f),(g) | 2,208,431 | 2,176,629 | ||||||||
Alternative Loan Trust, Series 2005-J2, Class 1A5, 0.65%, 04/25/35 (f),(g) | 1,170,841 | 1,032,682 | ||||||||
Banc of America Alternative Loan Trust, | 813,498 | 776,890 | ||||||||
Banc of America Funding Corp., | ||||||||||
Series 2006-A, Class 3A2, | 1,257,554 | 1,022,643 | ||||||||
Series 2006-H, Class 2A3, | 6,414,678 | 5,420,403 | ||||||||
Series 2006-I, Class 6A1, | 797,995 | 626,426 | ||||||||
CHL Mortgage Pass-Through Trust, | 339,511 | 339,511 | ||||||||
Citicorp Mortgage Securities Trust, | ||||||||||
Series 2005-7, Class 1A4, 5.50%, 10/25/35 (f) | 699,052 | 694,858 | ||||||||
Series 2006-3, Class 1A10, 6.25%, 06/25/36 (f) | 3,635,037 | 3,678,294 | ||||||||
Series 2007-1, Class 1A3, 5.75%, 01/25/37 (f) | 1,514,477 | 1,530,379 |
See Notes to Consolidated Financial Statements.
50
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Connecticut Avenue Securities, | ||||||||||
Series 2014-C02, Class 1M2, 2.75%, 05/25/24 (b),(f),(g),(l) | $ | 7,651,567 | $ | 7,031,025 | ||||||
Series 2014-C03, Class 1M2, 3.15%, 07/25/24 (f),(g),(l) | 10,739,817 | 10,153,423 | ||||||||
Series 2014-C03, Class 2M2, 3.05%, 07/25/24 (b),(f),(g),(l) | 22,746,213 | 21,381,440 | ||||||||
Countrywide Asset-Backed Certificates, Series 2006-BC4, Class 2A2, | 2,486,292 | 2,325,428 | ||||||||
CV Mortgage Loan Trust, Series 2013-1, Class NOTE, 4.31%, 12/25/43 (b),(f),(g),(h) | 687,319 | 689,587 | ||||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1, 2.24%, 09/25/35 (f),(g) | 6,268,722 | 5,588,566 | ||||||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 3A2, 2.63%, 09/25/35 (f),(g) | 506,218 | 490,374 | ||||||||
JP Morgan Alternative Loan Trust, | ||||||||||
Series 2006-S4, Class A3A, 5.78%, 12/25/36 (f),(g) | 645,100 | 603,168 | ||||||||
Series 2006-S4, Class A6, | 472,896 | 455,446 | ||||||||
JP Morgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF3 SEQ, | 686,514 | 703,334 | ||||||||
JP Morgan Mortgage Trust, Series 2007-A1, Class 5A6, 2.61%, 07/25/35 (f),(g) | 318,938 | 304,586 | ||||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-11AR, Class A1, | 1,189,598 | 876,734 | ||||||||
PHHMC Mortgage Pass-Through Certificates, Series 2008-CIM1, Class 21A2, | 465,228 | 473,462 | ||||||||
Structured Agency Credit Risk, | ||||||||||
Series 2013-DN2, Class M2, 4.40%, 11/25/23 (f),(g),(l) | 17,722,350 | 18,700,624 | ||||||||
Series 2014-DN3, Class M2, 2.56%, 08/25/24 (f),(g),(l) | 2,500,000 | 2,502,000 | ||||||||
Series 2014-HQ1, Class M2, 2.66%, 08/25/24 (f),(g),(l) | 7,500,000 | 7,549,500 | ||||||||
Series 2014-HQ2, Class M3, 3.90%, 09/25/24 (f),(g),(l) | 3,909,266 | 3,830,299 | ||||||||
Structured Asset Securities Corp. Trust, | ||||||||||
Series 2005-4XS, Class 1A3, 5.00%, 03/25/35 (f),(g),(k) | 513,608 | 526,294 | ||||||||
Series 2005-6, Class 2A1, 5.50%, 05/25/35 (f) | 583,315 | 595,448 |
See Notes to Consolidated Financial Statements.
51
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||||
Series 2006-AR7, Class 2A, 1.10%, 07/25/46 (f),(g) | $ | 5,314,094 | $ | 4,496,786 | ||||||
Series 2006-AR9, Class 1A, 1.12%, 08/25/46 (f),(g) | 8,592,511 | 7,690,297 | ||||||||
Series 2006-AR11, Class 3A1A, 1.04%, 09/25/46 (f),(g) | 7,471,803 | 6,201,597 | ||||||||
Series 2006-AR19, Class 1A, 0.86%, 01/25/47 (f),(g) | 3,840,518 | 3,139,624 | ||||||||
Series 2007-OA1, Class A1A, 0.82%, 02/25/47 (f),(g) | 5,441,833 | 4,481,894 | ||||||||
Wells Fargo Mortgage-Backed Securities, | ||||||||||
Series 2005-9, Class 1A12, 5.50%, 10/25/35 (f) | 163,038 | 164,636 | ||||||||
Series 2005-AR9, Class 3A2, 2.61%, 06/25/34 (b),(f),(g) | 480,900 | 475,370 | ||||||||
Series 2006-13, Class A5, | 507,439 | 515,964 | ||||||||
Series 2007-12, Class A6, 5.50%, 09/25/37 (f) | 350,504 | 359,792 | ||||||||
Series 2007-14, Class 1A1, 6.00%, 10/25/37 (f) | 637,816 | 636,860 | ||||||||
Series 2007-16, Class 1A7, 6.00%, 12/28/37 (b),(f) | 453,577 | 467,637 | ||||||||
US Residential Opportunity Fund Trust, Series 2014-1A, Class NOTE, | 2,693,607 | 2,697,647 | ||||||||
|
| |||||||||
133,407,557 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 5.7% | ||||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||
Series 2013-DSNY, Class F, | 600,000 | 600,000 | ||||||||
Series 2014-ICTS, Class E, | 1,340,000 | 1,337,990 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class AJ, 5.64%, 12/11/40 (f),(g) | 1,353,000 | 1,314,304 | ||||||||
Boca Hotel Portfolio Trust, Series 2013-BOCA, Class E, 3.90%, 08/15/26 (f),(g),(h) | 1,000,000 | 1,001,100 | ||||||||
CD Commercial Mortgage Trust, Series 2007-CD4, Class AJ, 5.40%, 12/11/49 (f),(g) | 3,188,000 | 2,633,288 | ||||||||
CGBAM Commercial Mortgage Trust, Series 2014-HD, Class E, | 405,000 | 405,041 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2000-C1, Class G, 6.85%, 08/15/33 (b),(f),(g),(h) | 450,309 | 459,315 |
See Notes to Consolidated Financial Statements.
52
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2014-CR15, Class D, 4.92%, 02/10/47 (b),(f),(g),(h) | $ | 1,225,000 | $ | 1,171,957 | ||||||
Series 2014-CR18, Class XA, 1.47%, 07/15/47 (f),(g),(l) | 43,989,386 | 3,563,140 | ||||||||
Series 2014-LC17, Class XA, 1.04%, 10/10/47 (b),(f),(g) | 5,275,000 | 329,688 | ||||||||
Series 2014-PAT, Class E, | 2,700,000 | 2,700,000 | ||||||||
Series 2014-UBS4, Class D, 4.84%, 08/10/47 (b),(f),(g),(h) | 2,940,000 | 2,624,244 | ||||||||
Series 2014-UBS4, Class XA, 1.45%, 08/10/47 (f),(g),(l) | 71,585,000 | 6,091,883 | ||||||||
Series 2014-UBS5, Class C, 4.61%, 09/10/47 (b),(f),(g) | 2,668,000 | 2,691,478 | ||||||||
Series 2014-UBS5, Class XA, 1.12%, 09/10/47 (b),(f),(g) | 8,265,000 | 581,856 | ||||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class H, | 257,844 | 257,715 | ||||||||
GCCFC Commercial Mortgage Trust, Series 2007-GG11, Class AJ, | 5,170,000 | 5,417,643 | ||||||||
GE Commercial Mortgage Corp., Series 2005-C3, Class G, 5.33%, 07/10/45 (f),(g),(h) | 1,500,000 | 1,510,800 | ||||||||
Hilton USA Trust, | ||||||||||
Series 2013-HLF, Class EFL, 3.91%, 11/05/30 (f),(g),(h) | 3,430,000 | 3,438,575 | ||||||||
Series 2014-ORL, Class E, 2.16%, 07/15/29 (b),(f),(g),(h) | 810,000 | 811,053 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||
Series 2006-LDP8, Class C, 5.55%, 05/15/45 (f),(g) | 1,300,000 | 1,292,590 | ||||||||
Series 2007-CB19, Class AJ, 5.89%, 02/12/49 (f),(g),(l) | 5,407,000 | 4,933,347 | ||||||||
Series 2006-CB15, Class AM, 5.86%, 06/12/43 (f),(g) | 3,200,000 | 3,298,880 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2014-C21, Class XA, 1.29%, 08/15/47 (b),(f) | 8,426,363 | 678,322 | ||||||||
Series 2014-C22, Class XA, 1.15%, 09/15/47 (b),(f),(g) | 8,228,000 | 571,846 | ||||||||
LB-UBS Commercial Mortgage Trust, | ||||||||||
Series 2007-C1, Class AJ SEQ, 5.48%, 02/15/40 (f) | 700,000 | 728,490 |
See Notes to Consolidated Financial Statements.
53
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2007-C7, Class AJ, | $ | 3,900,000 | $ | 4,129,320 | ||||||
Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class D, 5.46%, 11/12/37 (f),(g) | 1,234,000 | 1,198,091 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2014-C15, Class D, 5.06%, 04/15/47 (f),(g),(h),(l) | 1,680,000 | 1,582,392 | ||||||||
Series 2014-C16, Class D, 4.92%, 06/15/47 (f),(g),(h),(l) | 3,080,000 | 2,841,916 | ||||||||
Series 2014-C17, Class XA, 1.45%, 08/15/47 (b),(f),(g) | 15,935,075 | 1,290,741 | ||||||||
Series 2014-C18, Class D, 3.39%, 10/15/47 (f),(h) | 2,015,000 | 1,627,112 | ||||||||
Series 2014-C18, Class XA, 1.00%, 10/15/47 (f),(g) | 6,265,000 | 361,491 | ||||||||
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.57%, 11/12/49 (f),(g) | 5,200,000 | 5,247,840 | ||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AJ, 5.66%, 04/15/47 (f),(g) | 1,600,000 | 1,658,240 | ||||||||
WF-RBS Commercial Mortgage Trust, | ||||||||||
Series 2014-C20, Class D, 3.99%, 05/15/47 (b),(f),(h) | 1,795,000 | 1,535,802 | ||||||||
Series 2014-C22, Class XA, 0.97%, 09/15/57 (b),(f),(g) | 5,425,000 | 361,848 | ||||||||
|
| |||||||||
72,279,338 | ||||||||||
|
| |||||||||
Total United States | 207,015,895 | |||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES (COST $213,857,909) | 213,282,585 | |||||||||
|
| |||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 2.6% | ||||||||||
United States — 2.6% | ||||||||||
Interest Only Collateralized Mortgage Obligations (Residential) — 1.7% | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 4029, Class MI, 4.00%, 04/15/41 (f) | 15,770,489 | 2,903,347 | ||||||||
Series 4123, Class IP SEQ, 4.50%, 07/15/42 (f) | 5,173,189 | 1,229,667 | ||||||||
Series 4141, Class HI, 3.50%, 10/15/42 (f) | 13,074,657 | 2,303,755 | ||||||||
Series 4172, Class PI, 3.00%, 07/15/40 (f) | 21,950,703 | 2,489,210 | ||||||||
Series 4194, Class GI, 4.00%, 04/15/43 (f) | 13,652,124 | 2,704,486 | ||||||||
Series 4257, Class IK, 4.00%, 12/15/42 (f) | 14,227,017 | 3,270,791 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2012-148, Class CI, 3.00%, 11/25/42 (f) | 19,573,245 | 2,413,381 | ||||||||
Series 2013-54, Class IN, 3.50%, 03/25/43 (f) | 15,299,763 | 2,288,845 |
See Notes to Consolidated Financial Statements.
54
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2013-83, Class PI, 3.00%, 10/25/41 (f) | $ | 9,804,147 | $ | 1,138,261 | ||||||
|
| |||||||||
20,741,743 | ||||||||||
|
| |||||||||
Inverse Interest Only Collateralized Mortgage Obligations (Residential) — 0.9% |
| |||||||||
Federal Home Loan Mortgage Corp., Series 4094, Class SK, 5.90%, 08/15/42 (f),(g) | 1,535,188 | 354,936 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2012-111, Class ES, 6.00%, 12/25/41 (f),(g) | 10,381,448 | 2,004,658 | ||||||||
Series 2013-55, Class GS, 6.05%, 06/25/43 (f),(g) | 26,519,395 | 5,948,300 | ||||||||
Series 2013-84, Class PS, 6.00%, 11/25/42 (f),(g) | 13,985,475 | 2,669,827 | ||||||||
Government National Mortgage Association, | ||||||||||
Series 2010-61, Class SJ, | 3,668,924 | 601,703 | ||||||||
|
| |||||||||
11,579,424 | ||||||||||
|
| |||||||||
Total United States | 32,321,167 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES | 32,321,167 | |||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — 0.2% | ||||||||||
Financial Select Sector SPDR Fund | 11,159 | $ | 258,554 | |||||||
iShares China Large-Cap ETF | 8,086 | 309,532 | ||||||||
iShares MSCI Japan ETF | 79,285 | 933,185 | ||||||||
iShares Russell 2000 ETF | 12,829 | 1,402,851 | ||||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS | 2,904,122 | |||||||||
|
| |||||||||
Security Description | Contracts | Value | ||||||||
PURCHASED OPTIONS — 0.5% | ||||||||||
Exchange-Traded Call Options — 0.1% | ||||||||||
Apple, Inc. Strike Price 103.00 USD Expires 10/24/14 | 573 | $ | 110,016 | |||||||
DAX Index Strike Price 10,300.00 EUR Expires 12/19/14 | 475 | 62,995 | ||||||||
Facebook, Inc. Strike Price 60.00 USD Expires 01/15/16 | 200 | 474,000 | ||||||||
HCA Holdings, Inc. Strike Price 75.00 USD Expires 10/18/14 | 125 | 4,375 | ||||||||
Hertz Global Holdings, Inc. Strike Price 29.00 USD Expires 03/20/15 | 1,122 | 135,762 |
See Notes to Consolidated Financial Statements.
55
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Contracts | Value | ||||||||
Pandora Media, Inc. Strike Price 30.00 USD Expires 01/15/16 | 2 | $ | 600 | |||||||
Yahoo, Inc. Strike Price 35.00 USD Expires 01/15/16 | 471 | 419,190 | ||||||||
|
| |||||||||
1,206,938 | ||||||||||
|
| |||||||||
Exchange-Traded Put Options — 0.1% | ||||||||||
Apple, Inc. Strike Price 95.00 USD Expires 10/18/14 | 573 | 17,190 | ||||||||
AT&T, Inc. Strike Price 34.00 USD Expires 11/22/14 (f) | 385 | 17,710 | ||||||||
Deutsche Telekom AG Strike Price 12.00 EUR Expires 11/21/14 (f) | 858 | 37,929 | ||||||||
Euro Stoxx 50 Index Strike Price 3,200.00 EUR Expires 11/21/14 (f) | 32 | 26,676 | ||||||||
Euro Stoxx 50 Index Strike Price 3,250.00 EUR Expires 11/21/14 (f) | 19 | 24,718 | ||||||||
Eurodollar Future Strike Price 98.50 USD Expires 03/14/16 (f) | 224 | 155,400 | ||||||||
Financial Select Sector SPDR Fund Strike Price 20.00 USD Expires 01/17/15 | 2,911 | 43,665 | ||||||||
Financial Select Sector SPDR Fund Strike Price 21.00 USD Expires 01/17/15 | 2,911 | 72,775 | ||||||||
iShares 20+Year Treasury Bond Strike Price 110.00 USD Expires 10/18/14 | 424 | 2,120 | ||||||||
iShares MSCI Brazil Capped ETF Strike Price 48.50 USD Expires 11/22/14 (f) | 275 | 173,515 | ||||||||
iShares Russell 2000 ETF Strike Price 104.00 USD Expires 10/03/14 | 1,182 | 8,274 | ||||||||
NASDAQ 100 Stock Index Strike Price 4,045.00 USD Expires 10/18/14 (f) | 3 | 17,400 | ||||||||
S&P 500 Index Strike Price 1,775.00 USD Expires 01/17/15 | 135 | 263,250 | ||||||||
S&P 500 Index Strike Price 1,850.00 USD Expires 10/31/14 (f) | 242 | 194,810 | ||||||||
S&P 500 Index Strike Price 1,870.00 USD Expires 10/18/14 | 171 | 85,500 | ||||||||
S&P 500 Index Strike Price 1,950.00 USD Expires 10/18/14 | 8 | 13,120 | ||||||||
S&P 500 Index Strike Price 1,960.00 USD Expires 10/31/14 | 35 | 98,000 | ||||||||
S&P 500 Index Strike Price 1,965.00 USD Expires 10/18/14 | 5 | 10,385 | ||||||||
S&P 500 Index Strike Price 1,855.00 USD Expires 10/03/14 | 39 | 1,950 | ||||||||
S&P 500 Index Strike Price 1,950.00 USD Expires 10/31/14 | 46 | 111,780 |
See Notes to Consolidated Financial Statements.
56
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Contracts | Value | ||||||||
Solarcity Corp. Strike Price 58.00 USD Expires 10/18/14 (f) | 102 | $ | 26,724 | |||||||
Thyssenkrupp AG Strike Price 10.00 EUR Expires 12/19/14 (f) | 1,600 | 2,021 | ||||||||
|
| |||||||||
1,404,912 | ||||||||||
|
| |||||||||
Security Description | Notional Amount | Value | ||||||||
FX OTC Call Options — 0.3% | ||||||||||
EUR/USD Currency Strike Price 1.30 USD Expires 01/05/15 Counterparty JPMorgan Chase Bank, N.A. | 4,208,462 | EUR | $ | 170,355 | ||||||
USD/BRL Currency Strike Price 2.60 BRL Expires 12/31/15 Counterparty JPMorgan Chase Bank, N.A. | 1,895,400 | USD | 183,778 | |||||||
USD/CNH Currency Strike Price 6.40 CNH Expires 11/05/15 Counterparty Morgan Stanley Capital Services LLC | 800,000 | USD | 8,649 | |||||||
USD/CNH Currency Strike Price 6.40 CNH Expires 11/05/15 Counterparty Morgan Stanley Capital Services LLC | 2,000,000 | USD | 21,621 | |||||||
USD/CNH Currency Strike Price 6.40 CNH Expires 11/05/15 Counterparty Morgan Stanley Capital Services LLC | 4,860,200 | USD | 52,463 | |||||||
USD/CNH Currency Strike Price 6.80 CNH Expires 11/05/15 Counterparty Morgan Stanley Capital Services LLC | 3,540,000 | USD | 17,995 | |||||||
USD/CNH Currency Strike Price 6.30 CNH Expires 11/05/15 Counterparty JPMorgan Chase Bank, N.A. | 9,340,000 | USD | 149,168 | |||||||
USD/JPY Currency Strike Price 110.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 4,580,000 | USD | 64,708 | |||||||
USD/JPY Currency Strike Price 110.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 11,130,000 | USD | 157,248 | |||||||
USD/JPY Currency Strike Price 105.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 4,580,000 | USD | 208,810 | |||||||
USD/JPY Currency Strike Price 105.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 11,130,000 | USD | 508,349 | |||||||
USD/JPY Currency Strike Price 95.00 JPY Expires 12/30/14 Counterparty JPMorgan Chase Bank, N.A. | 15,710,000 | USD | 2,087,448 |
See Notes to Consolidated Financial Statements.
57
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Notional Amount | Value | ||||||||
USD/JPY Currency Strike Price 110.00 JPY Expires 12/17/14 Counterparty JPMorgan Chase Bank, N.A. | 8,839,280 | USD | $ | 115,957 | ||||||
|
| |||||||||
3,746,549 | ||||||||||
|
| |||||||||
FX OTC Put Options — 0.0% | ||||||||||
AUD/USD Currency Strike Price 0.90 USD Expires 02/05/15 Counterparty Credit Suisse International | 3,241,251 | AUD | 124,217 | |||||||
EUR/CHF Currency Strike Price 1.18 CHF Expires 09/21/15 Counterparty JPMorgan Chase Bank, N.A. | 6,935,546 | EUR | 77,802 | |||||||
USD/BRL Currency Strike Price 2.40 BRL Expires 12/31/15 Counterparty Morgan Stanley Capital Services LLC | 550,000 | USD | 6,990 | |||||||
USD/JPY Currency Strike Price 90.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 4,580,000 | USD | 7 | |||||||
USD/JPY Currency Strike Price 90.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 11,130,000 | USD | 17 | |||||||
|
| |||||||||
209,033 | ||||||||||
|
| |||||||||
OTC Call Options — 0.0% | ||||||||||
Mallinckrodt PLC Strike Price 100.00 USD Expires 01/16/15 Counterparty Morgan Stanley & Co. International PLC | 478 | USD | 159,285 | |||||||
Pandora Media, Inc. Strike Price 30.00 USD Expires 01/15/16 Counterparty Credit Suisse International | 572 | USD | 176,222 | |||||||
|
| |||||||||
335,507 | ||||||||||
|
| |||||||||
OTC Put Options — 0.0% | ||||||||||
Fiat SpA Strike Price 3.20 EUR Expires 12/19/14 Counterparty JPMorgan Chase Bank, N.A. | 1,750,000 | EUR | 532 | |||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS | 6,903,471 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES — 82.1% |
| $ | 1,039,391,110 | |||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (20.0)% | (252,920,393 | ) | ||||||||
|
| |||||||||
Other Assets (n) — 37.9% |
| 480,515,874 | ||||||||
|
| |||||||||
Net Assets — 100.0% |
| $ | 1,266,986,591 | |||||||
|
|
See Notes to Consolidated Financial Statements.
58
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
SECURITIES SOLD SHORT — (20.0)% | ||||||||||
COMMON STOCK — (14.5)% | ||||||||||
Argentina — (0.0)% | ||||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Arcos Dorados Holdings, Inc. A Shares | 5,800 | $ | (34,684 | ) | ||||||
|
| |||||||||
Total Argentina | (34,684 | ) | ||||||||
|
| |||||||||
Australia — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Samson Oil & Gas Ltd. ADR | 400 | (127 | ) | |||||||
|
| |||||||||
Total Australia | (127 | ) | ||||||||
|
| |||||||||
Bermuda — (0.2)% | ||||||||||
Insurance — (0.0)% | ||||||||||
Montpelier Re Holdings Ltd. | 200 | (6,218 | ) | |||||||
RenaissanceRe Holdings Ltd. | 2,400 | (239,976 | ) | |||||||
|
| |||||||||
(246,194 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.1)% | ||||||||||
Energy XXI Bermuda Ltd. | 136,989 | (1,554,825 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Frontline Ltd. | 2,400 | (3,024 | ) | |||||||
Golar LNG Ltd. | 8,600 | (571,040 | ) | |||||||
|
| |||||||||
(574,064 | ) | |||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Belmond Ltd. A Shares | 8,700 | (101,442 | ) | |||||||
|
| |||||||||
Total Bermuda | (2,476,525 | ) | ||||||||
|
| |||||||||
Brazil — (0.1)% | ||||||||||
Chemicals — (0.0)% | ||||||||||
Braskem SA ADR | 2,000 | (26,340 | ) | |||||||
|
| |||||||||
Consumer Products — (0.1)% | ||||||||||
AMBEV SA ADR | 27,700 | (181,435 | ) | |||||||
BRF SA ADR | 400 | (9,516 | ) | |||||||
|
| |||||||||
(190,951 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
Cia Siderurgica Nacional SA ADR | 27,800 | (98,690 | ) | |||||||
Vale SA ADR | 600 | (6,606 | ) | |||||||
|
| |||||||||
(105,296 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
59
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Cosan Ltd. A Shares | 100 | $ | (1,076 | ) | ||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Gol Linhas Aereas Inteligentes SA ADR | 900 | (4,329 | ) | |||||||
|
| |||||||||
Telecommunication — (0.0)% | ||||||||||
Oi SA ADR | 222,000 | (155,400 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Cia Paranaense de Energia ADR | 100 | (1,367 | ) | |||||||
|
| |||||||||
Total Brazil | (484,759 | ) | ||||||||
|
| |||||||||
Canada — (0.1)% | ||||||||||
Apparel & Textile Products — (0.0)% | ||||||||||
Gildan Activewear, Inc. | 700 | (38,304 | ) | |||||||
|
| |||||||||
Automotive — (0.0)% | ||||||||||
Westport Innovations, Inc. | 8,600 | (90,386 | ) | |||||||
|
| |||||||||
Biotechnology & Pharmaceutical — (0.0)% | ||||||||||
Oncolytics Biotech, Inc. | 300 | (171 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.1)% | ||||||||||
Turquoise Hill Resources Ltd. | 182,700 | (683,298 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
AuRico Gold, Inc. | 35,800 | (124,942 | ) | |||||||
Endeavour Silver Corp. | 6,700 | (29,279 | ) | |||||||
McEwen Mining, Inc. | 13,500 | (26,460 | ) | |||||||
North American Palladium Ltd. | 15,900 | (3,085 | ) | |||||||
Novagold Resources, Inc. | 20,400 | (61,812 | ) | |||||||
Pan American Silver Corp. | 2,900 | (31,842 | ) | |||||||
Rare Element Resources Ltd. | 6,700 | (4,355 | ) | |||||||
Seabridge Gold, Inc. | 21,100 | (169,644 | ) | |||||||
Silver Standard Resources, Inc. | 400 | (2,440 | ) | |||||||
Tanzanian Royalty Exploration | 1,700 | (3,587 | ) | |||||||
Uranium Energy Corp. | 14,500 | (18,125 | ) | |||||||
|
| |||||||||
(475,571 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Pengrowth Energy Corp. | 15,300 | (79,560 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Ballard Power Systems, Inc. | 4,300 | (13,889 | ) | |||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
CGI Group, Inc. A Shares | 2,600 | (87,802 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
60
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Canadian National Railway Co. | 1,500 | $ | (106,440 | ) | ||||||
|
| |||||||||
Total Canada | (1,575,421 | ) | ||||||||
|
| |||||||||
Cayman Islands — (0.1)% | ||||||||||
Asset Management — (0.1)% | ||||||||||
Home Loan Servicing Solutions Ltd. | 45,300 | (959,907 | ) | |||||||
|
| |||||||||
Total Cayman Islands | (959,907 | ) | ||||||||
|
| |||||||||
Chile — (0.1)% | ||||||||||
Passenger Transportation — (0.1)% | ||||||||||
Latam Airlines Group SA ADR | 41,562 | (472,560 | ) | |||||||
|
| |||||||||
Total Chile | (472,560 | ) | ||||||||
|
| |||||||||
China — (0.2)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Kandi Technologies Group, Inc. | 5,200 | (67,548 | ) | |||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Tarena International, Inc. | 500 | (6,465 | ) | |||||||
|
| |||||||||
Health Care Facilities/Services — (0.0)% | ||||||||||
iKang Healthcare Group, Inc. ADR | 1,300 | (25,298 | ) | |||||||
|
| |||||||||
Media — (0.2)% | ||||||||||
58.com, Inc. ADR | 200 | (7,450 | ) | |||||||
Leju Holdings Ltd. ADR | 1,500 | (19,275 | ) | |||||||
Weibo Corp. ADR | 100 | (1,869 | ) | |||||||
Youku Tudou, Inc. ADR | 105,700 | (1,894,144 | ) | |||||||
|
| |||||||||
(1,922,738 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
China Petroleum & Chemical Corp. ADR | 2,900 | (253,344 | ) | |||||||
Yanzhou Coal Mining Co. Ltd. ADR | 3,100 | (25,203 | ) | |||||||
|
| |||||||||
(278,547 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
ReneSola Ltd. ADR | 17,200 | (51,600 | ) | |||||||
Yingli Green Energy Holding Co. Ltd. ADR | 9,900 | (30,789 | ) | |||||||
|
| |||||||||
(82,389 | ) | |||||||||
|
| |||||||||
Retail Discretionary — (0.0)% | ||||||||||
E-Commerce China Dangdang, Inc. ADR | 29,200 | (356,240 | ) | |||||||
JD.com, Inc. ADR | 2,000 | (51,640 | ) | |||||||
LightInTheBox Holding Co. Ltd. ADR | 700 | (4,375 | ) | |||||||
|
| |||||||||
(412,255 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
61
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Software — (0.0)% | ||||||||||
NQ Mobile, Inc. ADR | 3,300 | $ | (23,001 | ) | ||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
China Lodging Group Ltd. ADR | 300 | (7,731 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Huaneng Power International, Inc. ADR | 500 | (21,830 | ) | |||||||
|
| |||||||||
Total China | (2,847,802 | ) | ||||||||
|
| |||||||||
Cyprus — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Ocean Rig UDW, Inc. | 4,400 | (70,928 | ) | |||||||
|
| |||||||||
Total Cyprus | (70,928 | ) | ||||||||
|
| |||||||||
Colombia — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Bancolombia SA ADR | 3,100 | (175,832 | ) | |||||||
|
| |||||||||
Total Colombia | (175,832 | ) | ||||||||
|
| |||||||||
Denmark — (0.3)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.3)% | ||||||||||
Novo Nordisk A/S ADR | 3,500 | (166,670 | ) | |||||||
Novo Nordisk A/S B Shares | 80,100 | (3,832,699 | ) | |||||||
|
| |||||||||
Total Denmark | (3,999,369 | ) | ||||||||
|
| |||||||||
Germany — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
Deutsche Bank AG | 21,500 | (749,490 | ) | |||||||
|
| |||||||||
Health Care Facilities/Services — (0.0)% | ||||||||||
Fresenius Medical Care AG & Co. KGaA ADR | 800 | (27,760 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
Aixtron SE ADR | 1,400 | (21,182 | ) | |||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
SAP AG ADR | 7,600 | (548,416 | ) | |||||||
|
| |||||||||
Total Germany | (1,346,848 | ) | ||||||||
|
| |||||||||
Greece — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
National Bank of Greece SA ADR | 5,500 | (16,555 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Diana Containerships, Inc. | 200 | (450 | ) | |||||||
|
| |||||||||
Total Greece | (17,005 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
62
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
India — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
HDFC Bank Ltd. ADR | 5,100 | $ | (237,558 | ) | ||||||
|
| |||||||||
Biotechnology & Pharmaceutical — (0.0)% | ||||||||||
Dr Reddy’s Laboratories Ltd. ADR | 2,400 | (126,120 | ) | |||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Infosys Ltd. ADR | 100 | (6,049 | ) | |||||||
Wipro Ltd. ADR | 1,700 | (20,672 | ) | |||||||
|
| |||||||||
(26,721 | ) | |||||||||
|
| |||||||||
Total India | (390,399 | ) | ||||||||
|
| |||||||||
Ireland — (0.3)% | ||||||||||
Banking — (0.0)% | ||||||||||
Bank of Ireland ADR | 700 | (11,081 | ) | |||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.3)% | ||||||||||
Amarin Corp. PLC ADR | 133,000 | (144,970 | ) | |||||||
Endo International PLC | 39,400 | (2,692,596 | ) | |||||||
Perrigo Co. PLC | 3,656 | (549,095 | ) | |||||||
|
| |||||||||
(3,386,661 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.0)% | ||||||||||
Fly Leasing Ltd. ADR | 400 | (5,124 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Ardmore Shipping Corp. | 1,000 | (10,900 | ) | |||||||
|
| |||||||||
Total Ireland | (3,413,766 | ) | ||||||||
|
| |||||||||
Israel — (0.1)% | ||||||||||
Biotechnology & Pharmaceutical — (0.1)% | ||||||||||
Teva Pharmaceutical Industries Ltd. ADR | 22,000 | (1,182,500 | ) | |||||||
|
| |||||||||
Total Israel | (1,182,500 | ) | ||||||||
|
| |||||||||
Japan — (0.0)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Toyota Motor Corp. ADR | 2,500 | (293,825 | ) | |||||||
|
| |||||||||
Banking — (0.0)% | ||||||||||
Mitsubishi UFJ Financial Group, Inc. ADR | 900 | (5,049 | ) | |||||||
|
| |||||||||
Institutional Financial Service — (0.0)% | ||||||||||
Nomura Holdings, Inc. ADR | 2,100 | (12,411 | ) | |||||||
|
| |||||||||
Telecommunication — (0.0)% | ||||||||||
Nippon Telegraph & Telephone Corp. ADR | 1,900 | (59,109 | ) | |||||||
|
| |||||||||
Total Japan | (370,394 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
63
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Luxembourg — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Pacific Drilling SA | 5,700 | $ | (47,139 | ) | ||||||
|
| |||||||||
Total Luxembourg | (47,139 | ) | ||||||||
|
| |||||||||
Monaco — (0.0)% | ||||||||||
Transportation & Logistics — (0.0)% | ||||||||||
GasLog Ltd. | 5,700 | (125,457 | ) | |||||||
Scorpio Tankers, Inc. | 38,200 | (317,442 | ) | |||||||
|
| |||||||||
Total Monaco | (442,899 | ) | ||||||||
|
| |||||||||
Netherlands — (0.2)% | ||||||||||
Banking — (0.0)% | ||||||||||
ING Groep NV ADR | 29,000 | (411,510 | ) | |||||||
|
| |||||||||
Commercial Services — (0.0)% | ||||||||||
Vistaprint NV | 100 | (5,479 | ) | |||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Yandex NV A Shares | 400 | (11,118 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.1)% | ||||||||||
Qiagen NV | 49,000 | (1,115,730 | ) | |||||||
|
| |||||||||
Semiconductors — (0.1)% | ||||||||||
ASML Holding NV New York Shares | 13,000 | (1,284,660 | ) | |||||||
|
| |||||||||
Telecommunication — (0.0)% | ||||||||||
VimpelCom Ltd. ADR | 20,200 | (145,844 | ) | |||||||
|
| |||||||||
Total Netherlands | (2,974,341 | ) | ||||||||
|
| |||||||||
Norway — (0.1)% | ||||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Nordic American Tankers Ltd. | 68,200 | (542,190 | ) | |||||||
|
| |||||||||
Total Norway | (542,190 | ) | ||||||||
|
| |||||||||
Panama — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Latinoamericano de Comercio Exterior SA E Shares | 1,300 | (39,884 | ) | |||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Avianca Holdings SA ADR | 1,400 | (19,208 | ) | |||||||
|
| |||||||||
Total Panama | (59,092 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
64
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Peru — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Credicorp Ltd. | 2,600 | $ | (398,814 | ) | ||||||
|
| |||||||||
Total Peru | (398,814 | ) | ||||||||
|
| |||||||||
Republic of Korea — (0.0)% | ||||||||||
Iron & Steel — (0.0)% | ||||||||||
POSCO ADR | 2,900 | (220,110 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Korea Electric Power Corp. ADR | 1,700 | (38,148 | ) | |||||||
|
| |||||||||
Total Republic of Korea | (258,258 | ) | ||||||||
|
| |||||||||
Spain — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Bilbao Vizcaya Argentaria SA ADR | 3 | (36 | ) | |||||||
|
| |||||||||
Total Spain | (36 | ) | ||||||||
|
| |||||||||
Sweden — (0.0)% | ||||||||||
Hardware — (0.0)% | ||||||||||
Neonode, Inc. | 6,700 | (14,405 | ) | |||||||
|
| |||||||||
Total Sweden | (14,405 | ) | ||||||||
|
| |||||||||
Switzerland — (0.1)% | ||||||||||
Institutional Financial Service — (0.1)% | ||||||||||
Credit Suisse Group AG ADR | 18,800 | (519,632 | ) | |||||||
UBS AG | 9,300 | (161,541 | ) | |||||||
|
| |||||||||
(681,173 | ) | |||||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
ACE Ltd. | 400 | (41,948 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
STMicroelectronics NV | 3,000 | (23,070 | ) | |||||||
|
| |||||||||
Total Switzerland | (746,191 | ) | ||||||||
|
| |||||||||
Taiwan — (0.0)% | ||||||||||
Telecommunication — (0.0)% | ||||||||||
Chunghwa Telecom Co. Ltd. ADR | 300 | (8,991 | ) | |||||||
|
| |||||||||
Total Taiwan | (8,991 | ) | ||||||||
|
| |||||||||
Turkey — (0.0)% | ||||||||||
Telecommunication — (0.0)% | ||||||||||
Turkcell Iletisim Hizmetleri AS ADR | 600 | (7,884 | ) | |||||||
|
| |||||||||
Total Turkey | (7,884 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
65
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
United Kingdom — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
Barclays PLC ADR | 45,928 | $ | (680,194 | ) | ||||||
Lloyds Banking Group PLC ADR | 2,900 | (14,616 | ) | |||||||
|
| |||||||||
(694,810 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
Diageo PLC ADR | 600 | (69,240 | ) | |||||||
|
| |||||||||
Machinery — (0.0)% | ||||||||||
CNH Industrial NV | 35 | (277 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
National Grid PLC ADR | 2,300 | (165,324 | ) | |||||||
|
| |||||||||
Total United Kingdom | (929,651 | ) | ||||||||
|
| |||||||||
United States — (12.4)% | ||||||||||
Aerospace & Defense — (0.0)% | ||||||||||
GenCorp, Inc. | 1,000 | (15,970 | ) | |||||||
Oshkosh Corp. | 200 | (8,830 | ) | |||||||
Sturm Ruger & Co., Inc. | 1,600 | (77,904 | ) | |||||||
|
| |||||||||
(102,704 | ) | |||||||||
|
| |||||||||
Apparel & Textile Products — (0.0)% | ||||||||||
Quiksilver, Inc. | 6,800 | (11,696 | ) | |||||||
Wolverine World Wide, Inc. | 2,700 | (67,662 | ) | |||||||
|
| |||||||||
(79,358 | ) | |||||||||
|
| |||||||||
Asset Management — (0.3)% | ||||||||||
Acacia Research Corp. | 1,600 | (24,768 | ) | |||||||
Artisan Partners Asset Management, Inc. A Shares | 2,000 | (104,100 | ) | |||||||
Carlyle Group LP (The) | 543 | (16,540 | ) | |||||||
Cohen & Steers, Inc. | 800 | (30,752 | ) | |||||||
Janus Capital Group, Inc. | 99,000 | (1,439,460 | ) | |||||||
Leucadia National Corp. | 75,100 | (1,790,384 | ) | |||||||
Medley Capital Corp. | 4,900 | (57,869 | ) | |||||||
NorthStar Asset Management Group, Inc. | 5,800 | (106,836 | ) | |||||||
Prospect Capital Corp. | 4,400 | (43,560 | ) | |||||||
TPG Specialty Lending, Inc. | 1,000 | (16,010 | ) | |||||||
|
| |||||||||
(3,630,279 | ) | |||||||||
|
| |||||||||
Automotive — (0.0)% | ||||||||||
Federal-Mogul Holdings Corp. | 200 | (2,974 | ) | |||||||
Quantum Fuel Systems Technologies Worldwide, Inc. | 11,800 | (43,896 | ) | |||||||
|
| |||||||||
(46,870 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
66
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Banking — (0.7)% | ||||||||||
Banc of California, Inc. | 400 | $ | (4,652 | ) | ||||||
Bank of America Corp. | 192,800 | (3,287,240 | ) | |||||||
Citigroup, Inc. | 61,400 | (3,181,748 | ) | |||||||
First Niagara Financial Group, Inc. | 100 | (833 | ) | |||||||
JPMorgan Chase & Co. | 19,200 | (1,156,608 | ) | |||||||
MB Financial, Inc. | 22 | (609 | ) | |||||||
PacWest Bancorp | 23,157 | (954,763 | ) | |||||||
Sterling Bancorp | 1,461 | (18,686 | ) | |||||||
Umpqua Holdings Corp. | 20,865 | (343,647 | ) | |||||||
United Bankshares, Inc. | 746 | (23,074 | ) | |||||||
|
| |||||||||
(8,971,860 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (1.7)% | ||||||||||
ACADIA Pharmaceuticals, Inc. | 45,500 | (1,126,580 | ) | |||||||
AcelRx Pharmaceuticals, Inc. | 1,700 | (9,333 | ) | |||||||
Aegerion Pharmaceuticals, Inc. | 21,200 | (707,656 | ) | |||||||
Akebia Therapeutics, Inc. | 100 | (2,213 | ) | |||||||
Alnylam Pharmaceuticals, Inc. | 1,800 | (140,580 | ) | |||||||
Ampio Pharmaceuticals, Inc. | 23,900 | (84,367 | ) | |||||||
Antares Pharma, Inc. | 1,900 | (3,477 | ) | |||||||
Apricus Biosciences, Inc. | 100 | (151 | ) | |||||||
Aratana Therapeutics, Inc. | 100 | (1,004 | ) | |||||||
Arena Pharmaceuticals, Inc. | 40,300 | (168,857 | ) | |||||||
Ariad Pharmaceuticals, Inc. | 51,100 | (275,940 | ) | |||||||
Array BioPharma, Inc. | 300 | (1,071 | ) | |||||||
Arrowhead Research Corp. | 6,000 | (88,620 | ) | |||||||
Assembly Biosciences, Inc. | 200 | (1,638 | ) | |||||||
Auxilium Pharmaceuticals, Inc. | 100 | (2,985 | ) | |||||||
AVANIR Pharmaceuticals, Inc. A Shares | 15,600 | (185,952 | ) | |||||||
Biotime, Inc. | 100 | (314 | ) | |||||||
Cel-Sci Corp. | 100 | (91 | ) | |||||||
Celldex Therapeutics, Inc. | 31,500 | (408,240 | ) | |||||||
Celsion Corp. | 3,400 | (10,064 | ) | |||||||
Chelsea Therapeutics International | 400 | (0 | ) | |||||||
Clovis Oncology, Inc. | 2,800 | (127,008 | ) | |||||||
CombiMatrix Corp. | 300 | (375 | ) | |||||||
Coronado Biosciences, Inc. | 5,500 | (11,550 | ) | |||||||
CTI BioPharma Corp. | 14,300 | (34,606 | ) | |||||||
Cyclacel Pharmaceuticals, Inc. | 5,000 | (15,200 | ) | |||||||
CytRx Corp. | 40,000 | (101,600 | ) | |||||||
Dendreon Corp. | 20,100 | (28,944 | ) | |||||||
Discovery Laboratories, Inc. | 600 | (1,104 | ) | |||||||
Durata Therapeutics, Inc. | 3,300 | (41,844 | ) | |||||||
Dynavax Technologies Corp. | 1,200 | (1,716 | ) | |||||||
Eli Lilly & Co. | 49,100 | (3,184,135 | ) |
See Notes to Consolidated Financial Statements.
67
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Endocyte, Inc. | 3,500 | $ | (21,280 | ) | ||||||
Exelixis, Inc. | 19,700 | (30,141 | ) | |||||||
Galectin Therapeutics, Inc. | 800 | (4,024 | ) | |||||||
Galena Biopharma, Inc. | 37,200 | (76,632 | ) | |||||||
Halozyme Therapeutics, Inc. | 1,300 | (11,830 | ) | |||||||
Hospira, Inc. | 83,400 | (4,339,302 | ) | |||||||
Idera Pharmaceuticals, Inc. | 7,800 | (17,862 | ) | |||||||
ImmunoGen, Inc. | 2,400 | (25,416 | ) | |||||||
Immunomedics, Inc. | 2,000 | (7,440 | ) | |||||||
Infinity Pharmaceuticals, Inc. | 600 | (8,052 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 11,800 | (116,230 | ) | |||||||
Insmed, Inc. | 200 | (2,610 | ) | |||||||
Intrexon Corp. | 2,000 | (37,160 | ) | |||||||
Ironwood Pharmaceuticals, Inc. | 19,400 | (251,327 | ) | |||||||
Johnson & Johnson | 27,300 | (2,909,907 | ) | |||||||
Keryx Biopharmaceuticals, Inc. | 94,700 | (1,302,125 | ) | |||||||
Lexicon Pharmaceuticals, Inc. | 3,000 | (4,230 | ) | |||||||
MannKind Corp. | 8,500 | (50,235 | ) | |||||||
Mast Therapeutics, Inc. | 300 | (167 | ) | |||||||
NanoViricides, Inc. | 100 | (300 | ) | |||||||
Neuralstem, Inc. | 5,300 | (17,384 | ) | |||||||
Novavax, Inc. | 6,700 | (27,939 | ) | |||||||
Nupathe, Inc. | 900 | (0 | ) | |||||||
Opexa Therapeutics, Inc. | 400 | (397 | ) | |||||||
Orexigen Therapeutics, Inc. | 43,500 | (185,310 | ) | |||||||
Organovo Holdings, Inc. | 5,900 | (37,583 | ) | |||||||
Oxigene, Inc. | 5,300 | (11,395 | ) | |||||||
Peregrine Pharmaceuticals, Inc. | 9,700 | (13,192 | ) | |||||||
Progenics Pharmaceuticals, Inc. | 2,000 | (10,380 | ) | |||||||
Raptor Pharmaceutical Corp. | 4,200 | (40,278 | ) | |||||||
Repros Therapeutics, Inc. | 6,800 | (67,320 | ) | |||||||
Rexahn Pharmaceuticals, Inc. | 5,000 | (4,050 | ) | |||||||
Rock Creek Pharmaceuticals, Inc. | 1,000 | (280 | ) | |||||||
Sarepta Therapeutics, Inc. | 19,500 | (411,450 | ) | |||||||
StemCells, Inc. | 2,700 | (3,402 | ) | |||||||
Synergy Pharmaceuticals, Inc. | 47,700 | (132,845 | ) | |||||||
Synta Pharmaceuticals Corp. | 11,900 | (35,819 | ) | |||||||
Tenax Therapeutics, Inc. | 100 | (393 | ) | |||||||
TherapeuticsMD, Inc. | 700 | (3,248 | ) | |||||||
Theravance, Inc. | 7,200 | (123,048 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 18,100 | (187,878 | ) | |||||||
Venaxis, Inc. | 100 | (166 | ) | |||||||
Vertex Pharmaceuticals, Inc. | 2,800 | (314,468 | ) | |||||||
Vivus, Inc. | 10,400 | (40,144 | ) | |||||||
Zoetis, Inc. | 121,000 | (4,470,950 | ) | |||||||
|
| |||||||||
(22,122,804 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
68
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Chemicals — (0.0)% | ||||||||||
Airgas, Inc. | 300 | $ | (33,195 | ) | ||||||
American Vanguard Corp. | 100 | (1,120 | ) | |||||||
Rentech, Inc. | 4,600 | (7,866 | ) | |||||||
Taminco Corp. | 1,200 | (31,320 | ) | |||||||
Valhi, Inc. | 800 | (5,224 | ) | |||||||
|
| |||||||||
(78,725 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.1)% | ||||||||||
Care.com, Inc. | 500 | (4,075 | ) | |||||||
Healthcare Services Group, Inc. | 900 | (25,749 | ) | |||||||
HMS Holdings Corp. | 61,200 | (1,153,620 | ) | |||||||
InterCloud Systems, Inc. | 7,100 | (32,234 | ) | |||||||
Odyssey Marine Exploration, Inc. | 300 | (273 | ) | |||||||
|
| |||||||||
(1,215,951 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.1)% | ||||||||||
Louisiana-Pacific Corp. | 600 | (8,154 | ) | |||||||
Martin Marietta Materials, Inc. | 30 | (3,868 | ) | |||||||
Ply Gem Holdings, Inc. | 300 | (3,252 | ) | |||||||
Trex Co., Inc. | 24,000 | (829,680 | ) | |||||||
|
| |||||||||
(844,954 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.1)% | ||||||||||
22nd Century Group, Inc. | 2,000 | (5,040 | ) | |||||||
Annie’s, Inc. | 500 | (22,950 | ) | |||||||
Brown-Forman Corp. B Shares | 800 | (72,176 | ) | |||||||
Church & Dwight Co., Inc. | 100 | (7,016 | ) | |||||||
Clearwater Paper Corp. | 7,400 | (444,814 | ) | |||||||
Darling Ingredients, Inc. | 7,100 | (130,072 | ) | |||||||
Dean Foods Co. | 18,500 | (245,125 | ) | |||||||
Diamond Foods, Inc. | 1,300 | (37,193 | ) | |||||||
Elizabeth Arden, Inc. | 100 | (1,674 | ) | |||||||
Kellogg Co. | 3,700 | (227,920 | ) | |||||||
Molson Coors Brewing Co. B Shares | 200 | (14,888 | ) | |||||||
Post Holdings, Inc. | 18,600 | (617,148 | ) | |||||||
Snyders-Lance, Inc. | 200 | (5,300 | ) | |||||||
|
| |||||||||
(1,831,316 | ) | |||||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Lincoln Educational Services Corp. | 700 | (1,967 | ) | |||||||
Weight Watchers International, Inc. | 13,200 | (362,208 | ) | |||||||
|
| |||||||||
(364,175 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
69
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Electrical Equipment — (0.1)% | ||||||||||
Capstone Turbine Corp. | 34,000 | $ | (36,380 | ) | ||||||
InvenSense, Inc. | 33,500 | (660,955 | ) | |||||||
Revolution Lighting Technologies, Inc. | 1,100 | (1,848 | ) | |||||||
|
| |||||||||
(699,183 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
Pike Corp. | 3,600 | (42,804 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.1)% | ||||||||||
McDonald’s Corp. | 8,478 | (803,799 | ) | |||||||
Multimedia Games Holding Co., Inc. | 6,400 | (230,464 | ) | |||||||
Papa Murphy’s Holdings, Inc. | 100 | (1,020 | ) | |||||||
Pinnacle Entertainment, Inc. | 16,300 | (408,967 | ) | |||||||
|
| |||||||||
(1,444,250 | ) | |||||||||
|
| |||||||||
Hardware — (0.3)% | ||||||||||
3D Systems Corp. | 11,300 | (523,981 | ) | |||||||
Aerohive Networks, Inc. | 3,200 | (25,664 | ) | |||||||
Alliance Fiber Optic Products, Inc. | 2,800 | (34,804 | ) | |||||||
Aruba Networks, Inc. | 11,900 | (256,802 | ) | |||||||
CalAmp Corp. | 7,500 | (132,150 | ) | |||||||
Ciena Corp. | 17,200 | (287,584 | ) | |||||||
Control4 Corp. | 100 | (1,293 | ) | |||||||
Diebold, Inc. | 26,700 | (943,044 | ) | |||||||
ExOne Co. (The) | 8,600 | (179,654 | ) | |||||||
Extreme Networks, Inc. | 2,800 | (13,412 | ) | |||||||
Finisar Corp. | 8,100 | (134,703 | ) | |||||||
Gigamon, Inc. | 3,500 | (36,645 | ) | |||||||
Microvision, Inc. | 5,400 | (10,476 | ) | |||||||
Procera Networks, Inc. | 2,800 | (26,824 | ) | |||||||
Ruckus Wireless, Inc. | 100 | (1,336 | ) | |||||||
Stratasys Ltd. | 8,500 | (1,026,630 | ) | |||||||
Turtle Beach Corp. | 1,700 | (13,005 | ) | |||||||
Violin Memory, Inc. | 4,600 | (22,402 | ) | |||||||
Zhone Technologies, Inc. | 3,800 | (10,260 | ) | |||||||
|
| |||||||||
(3,680,669 | ) | |||||||||
|
| |||||||||
Health Care Facilities/Services — (1.0)% | ||||||||||
Acadia Healthcare Co., Inc. | 100 | (4,850 | ) | |||||||
BioScrip, Inc. | 33,400 | (230,794 | ) | |||||||
Brookdale Senior Living, Inc. | 6 | (193 | ) | |||||||
Cardinal Health, Inc. | 26,300 | (1,970,396 | ) | |||||||
Catamaran Corp. | 300 | (12,645 | ) | |||||||
Community Health Systems, Inc. | 3,600 | (197,244 | ) | |||||||
Express Scripts Holding Co. | 70,400 | (4,972,352 | ) |
See Notes to Consolidated Financial Statements.
70
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Foundation Medicine, Inc. | 100 | $ | (1,896 | ) | ||||||
Humana, Inc. | 25,000 | (3,257,250 | ) | |||||||
Kindred Healthcare, Inc. | 15,800 | (306,520 | ) | |||||||
Neostem, Inc. | 14,600 | (80,738 | ) | |||||||
Quest Diagnostics, Inc. | 23,600 | (1,432,048 | ) | |||||||
|
| |||||||||
(12,466,926 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.2)% | ||||||||||
Beazer Homes USA, Inc. | 11,300 | (189,614 | ) | |||||||
Hovnanian Enterprises, Inc. A Shares | 85,900 | (315,253 | ) | |||||||
M/I Homes, Inc. | 1,400 | (27,748 | ) | |||||||
Masonite International Corp. | 17,100 | (946,998 | ) | |||||||
MDC Holdings, Inc. | 11,200 | (283,584 | ) | |||||||
Taylor Morrison Home Corp. A Shares | 1,200 | (19,464 | ) | |||||||
TRI Pointe Homes, Inc. | 84,700 | (1,096,018 | ) | |||||||
William Lyon Homes A Shares | 2,300 | (50,830 | ) | |||||||
|
| |||||||||
(2,929,509 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
MSC Industrial Direct Co., Inc. A Shares | 700 | (59,822 | ) | |||||||
Titan Machinery, Inc. | 1,500 | (19,485 | ) | |||||||
|
| |||||||||
(79,307 | ) | |||||||||
|
| |||||||||
Institutional Financial Service — (0.6)% | ||||||||||
FXCM, Inc. Class A | 15,000 | (237,750 | ) | |||||||
Goldman Sachs Group, Inc. (The) | 17,500 | (3,212,475 | ) | |||||||
IntercontinentalExchange Group, Inc. | 6,231 | (1,215,357 | ) | |||||||
Morgan Stanley | 91,300 | (3,156,241 | ) | |||||||
Northern Trust Corp. | 800 | (54,424 | ) | |||||||
RCS Capital Corp. A Shares | 500 | (11,260 | ) | |||||||
|
| |||||||||
(7,887,507 | ) | |||||||||
|
| |||||||||
Insurance — (0.3)% | ||||||||||
Allstate Corp. (The) | 300 | (18,411 | ) | |||||||
American Equity Investment Life Holding Co. | 2,700 | (61,776 | ) | |||||||
Berkshire Hathaway, Inc. B Shares | 21,800 | (3,011,452 | ) | |||||||
CNO Financial Group, Inc. | 300 | (5,088 | ) | |||||||
eHealth, Inc. | 200 | (4,826 | ) | |||||||
HCI Group, Inc. | 800 | (28,792 | ) | |||||||
Markel Corp. | 300 | (190,845 | ) | |||||||
Radian Group, Inc. | 55,400 | (790,004 | ) | |||||||
Torchmark Corp. | 49 | (2,566 | ) | |||||||
|
| |||||||||
(4,113,760 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
Allegheny Technologies, Inc. | 100 | (3,710 | ) | |||||||
AM Castle & Co. | 800 | (6,832 | ) |
See Notes to Consolidated Financial Statements.
71
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Cliffs Natural Resources, Inc. | 12,300 | $ | (127,674 | ) | ||||||
|
| |||||||||
(138,216 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.0)% | ||||||||||
Callaway Golf Co. | 3,200 | (23,168 | ) | |||||||
Winnebago Industries, Inc. | 700 | (15,239 | ) | |||||||
|
| |||||||||
(38,407 | ) | |||||||||
|
| |||||||||
Machinery — (0.1)% | ||||||||||
Adept Technology, Inc. | 1,500 | (12,615 | ) | |||||||
Briggs & Stratton Corp. | 26,600 | (479,332 | ) | |||||||
Colfax Corp. | 3,700 | (210,789 | ) | |||||||
|
| |||||||||
(702,736 | ) | |||||||||
|
| |||||||||
Manufactured Goods — (0.0)% | ||||||||||
Global Brass & Copper Holdings, Inc. | 400 | (5,868 | ) | |||||||
NCI Building Systems, Inc. | 1,800 | (34,920 | ) | |||||||
|
| |||||||||
(40,788 | ) | |||||||||
|
| |||||||||
Media — (0.6)% | ||||||||||
Angie’s List, Inc. | 7,100 | (45,227 | ) | |||||||
Borderfree, Inc. | 200 | (2,580 | ) | |||||||
Brightcove, Inc. | 1,600 | (8,928 | ) | |||||||
Coupons.com, Inc. | 400 | (4,784 | ) | |||||||
Cumulus Media, Inc. A Shares | 34,800 | (140,244 | ) | |||||||
Dex Media, Inc. | 2,100 | (20,076 | ) | |||||||
DreamWorks Animation SKG, Inc. A Shares | 400 | (10,908 | ) | |||||||
Entravision Communications Corp. A Shares | 400 | (1,584 | ) | |||||||
Everyday Health, Inc. | 1,000 | (13,970 | ) | |||||||
Groupon, Inc. | 211,700 | (1,414,156 | ) | |||||||
Liberty Media Corp. | 833 | (39,301 | ) | |||||||
Lions Gate Entertainment Corp. | 4,800 | (158,256 | ) | |||||||
LiveDeal, Inc. | 500 | (1,490 | ) | |||||||
Marin Software, Inc. | 2,300 | (19,780 | ) | |||||||
MeetMe, Inc. | 4,200 | (8,274 | ) | |||||||
Millennial Media, Inc. | 50,600 | (94,116 | ) | |||||||
Pandora Media, Inc. | 98,500 | (2,379,760 | ) | |||||||
RealD, Inc. | 300 | (2,811 | ) | |||||||
Rocket Fuel, Inc. | 1,400 | (22,120 | ) | |||||||
Rubicon Project, Inc. (The) | 2,900 | (34,017 | ) | |||||||
Shutterfly, Inc. | 1,900 | (92,606 | ) | |||||||
Sirius XM Holdings, Inc. | 3,600 | (12,564 | ) | |||||||
Time Warner, Inc. | 1,100 | (82,731 | ) | |||||||
Tremor Video, Inc. | 100 | (234 | ) | |||||||
Walt Disney Co. (The) | 17,900 | (1,593,637 | ) | |||||||
World Wrestling Entertainment, Inc. A Shares | 13,600 | (187,272 | ) |
See Notes to Consolidated Financial Statements.
72
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Yelp, Inc. | 12,100 | $ | (825,825 | ) | ||||||
|
| |||||||||
(7,217,251 | ) | |||||||||
|
| |||||||||
Medical Equipment/Devices — (1.1)% | ||||||||||
Abaxis, Inc. | 2,900 | (147,059 | ) | |||||||
ABIOMED, Inc. | 8,400 | (208,572 | ) | |||||||
Alere, Inc. | 1,100 | (42,658 | ) | |||||||
Becton Dickinson and Co. | 15,200 | (1,729,912 | ) | |||||||
Biolase, Inc. | 3,646 | (9,079 | ) | |||||||
BioTelemetry, Inc. | 3,600 | (24,156 | ) | |||||||
Cepheid, Inc. | 6,700 | (295,001 | ) | |||||||
Cerus Corp. | 14,500 | (58,145 | ) | |||||||
CR Bard, Inc. | 9,000 | (1,284,390 | ) | |||||||
Cytori Therapeutics, Inc. | 200 | (135 | ) | |||||||
DexCom, Inc. | 400 | (15,996 | ) | |||||||
Endologix, Inc. | 100 | (1,060 | ) | |||||||
EnteroMedics, Inc. | 1,800 | (2,214 | ) | |||||||
Hologic, Inc. | 101,500 | (2,469,495 | ) | |||||||
ImmunoCellular Therapeutics Ltd. | 6,500 | (5,785 | ) | |||||||
Insulet Corp. | 26,700 | (983,895 | ) | |||||||
IsoRay, Inc. | 700 | (1,183 | ) | |||||||
Navidea Biopharmaceuticals, Inc. | 11,400 | (15,048 | ) | |||||||
Opko Health, Inc. | 29,600 | (251,896 | ) | |||||||
Rockwell Medical, Inc. | 6,900 | (63,066 | ) | |||||||
Sequenom, Inc. | 4,200 | (12,474 | ) | |||||||
Sirona Dental Systems, Inc. | 3,600 | (276,048 | ) | |||||||
Spectranetics Corp. | 4,100 | (108,937 | ) | |||||||
Stereotaxis, Inc. | 1,400 | (3,248 | ) | |||||||
TearLab Corp. | 6,800 | (23,120 | ) | |||||||
Unilife Corp. | 8,300 | (19,048 | ) | |||||||
Varian Medical Systems, Inc. | 41,000 | (3,284,920 | ) | |||||||
Volcano Corp. | 700 | (7,448 | ) | |||||||
Waters Corp. | 19,300 | (1,913,016 | ) | |||||||
|
| |||||||||
(13,257,004 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Allied Nevada Gold Corp. | 97,100 | (321,401 | ) | |||||||
Coeur Mining, Inc. | 2,600 | (12,896 | ) | |||||||
Gold Resource Corp. | 2,600 | (13,312 | ) | |||||||
Golden Star Resources Ltd. | 13,500 | (5,669 | ) | |||||||
Hecla Mining Co. | 29,900 | (74,152 | ) | |||||||
Midway Gold Corp. | 1,600 | (1,664 | ) | |||||||
Molycorp, Inc. | 77,000 | (91,630 | ) | |||||||
Paramount Gold and Silver Corp. | 6,400 | (5,760 | ) | |||||||
Thompson Creek Metals Co., Inc. | 5,100 | (11,220 | ) | |||||||
Uranerz Energy Corp. | 1,200 | (1,320 | ) | |||||||
|
| |||||||||
(539,024 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
73
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Oil, Gas & Coal — (0.7)% | ||||||||||
Alon USA Energy, Inc. | 42,900 | $ | (616,044 | ) | ||||||
Alpha Natural Resources, Inc. | 166,400 | (412,672 | ) | |||||||
Arch Coal, Inc. | 241,100 | (511,132 | ) | |||||||
Cal Dive International, Inc. | 400 | (388 | ) | |||||||
CARBO Ceramics, Inc. | 300 | (17,769 | ) | |||||||
Clean Energy Fuels Corp. | 10,600 | (82,680 | ) | |||||||
Cobalt International Energy, Inc. | 162,400 | (2,208,640 | ) | |||||||
Comstock Resources, Inc. | 39,200 | (729,904 | ) | |||||||
Emerald Oil, Inc. | 76,400 | (469,860 | ) | |||||||
Enbridge Energy Management LLC | 1 | (37 | ) | |||||||
Endeavour International Corp. | 18,800 | (5,621 | ) | |||||||
EXCO Resources, Inc. | 170,000 | (567,800 | ) | |||||||
Flotek Industries, Inc. | 900 | (23,463 | ) | |||||||
Forest Oil Corp. | 24,300 | (28,431 | ) | |||||||
FX Energy, Inc. | 4,900 | (14,896 | ) | |||||||
Gastar Exploration, Inc. | 600 | (3,522 | ) | |||||||
Goodrich Petroleum Corp. | 9,300 | (137,826 | ) | |||||||
Hercules Offshore, Inc. | 53,700 | (118,140 | ) | |||||||
ION Geophysical Corp. | 8,300 | (23,157 | ) | |||||||
Laredo Petroleum, Inc. | 1,500 | (33,615 | ) | |||||||
LinnCo LLC | 1 | (29 | ) | |||||||
Magnum Hunter Resources Corp. | 19,866 | (110,654 | ) | |||||||
Midstates Petroleum Co., Inc. | 25,300 | (127,765 | ) | |||||||
Miller Energy Resources, Inc. | 1,400 | (6,160 | ) | |||||||
PBF Energy, Inc. | 6,700 | (160,800 | ) | |||||||
Peabody Energy Corp. | 5,600 | (69,328 | ) | |||||||
Quicksilver Resources, Inc. | 86,000 | (51,841 | ) | |||||||
Resolute Energy Corp. | 7,100 | (44,517 | ) | |||||||
Rosetta Resources, Inc. | 900 | (40,104 | ) | |||||||
Sanchez Energy Corp. | 5,300 | (139,178 | ) | |||||||
SandRidge Energy, Inc. | 40,400 | (173,316 | ) | |||||||
SemGroup Corp. A Shares | 100 | (8,327 | ) | |||||||
Stone Energy Corp. | 3,300 | (103,488 | ) | |||||||
Synergy Resources Corp. | 12,200 | (148,718 | ) | |||||||
Triangle Petroleum Corp. | 200 | (2,202 | ) | |||||||
Ultra Petroleum Corp. | 29,600 | (688,496 | ) | |||||||
Vantage Drilling Co. | 100 | (127 | ) | |||||||
W&T Offshore, Inc. | 1,600 | (17,600 | ) | |||||||
Walter Energy, Inc. | 89,100 | (208,494 | ) | |||||||
ZaZa Energy Corp. | 20 | (72 | ) | |||||||
|
| |||||||||
(8,106,813 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Republic Airways Holdings, Inc. | 100 | (1,111 | ) | |||||||
SkyWest, Inc. | 7,000 | (54,460 | ) | |||||||
|
| |||||||||
(55,571 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
74
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — (1.0)% | ||||||||||
American Campus Communities, Inc. | 600 | $ | (21,870 | ) | ||||||
American Realty Capital Properties, Inc. | 249,160 | (3,004,870 | ) | |||||||
Ashford Hospitality Trust, Inc. | 400 | (4,088 | ) | |||||||
AvalonBay Communities, Inc. | 1,000 | (140,970 | ) | |||||||
Aviv REIT, Inc. | 600 | (15,810 | ) | |||||||
BioMed Realty Trust, Inc. | 3,100 | (62,620 | ) | |||||||
Brandywine Realty Trust | 100 | (1,407 | ) | |||||||
Camden Property Trust | 28,200 | (1,932,546 | ) | |||||||
Campus Crest Communities, Inc. | 41,900 | (268,160 | ) | |||||||
CatchMark Timber Trust, Inc. A Shares | 1,700 | (18,632 | ) | |||||||
Chambers Street Properties | 100 | (753 | ) | |||||||
Chatham Lodging Trust | 2,400 | (55,392 | ) | |||||||
Chesapeake Lodging Trust | 400 | (11,660 | ) | |||||||
CubeSmart | 800 | (14,384 | ) | |||||||
Digital Realty Trust, Inc. | 9,600 | (598,848 | ) | |||||||
Douglas Emmett, Inc. | 100 | (2,567 | ) | |||||||
Education Realty Trust, Inc. | 50,100 | (515,028 | ) | |||||||
Essex Property Trust, Inc. | 1,900 | (339,625 | ) | |||||||
Federal Realty Investment Trust | 800 | (94,768 | ) | |||||||
Gaming and Leisure Properties, Inc. | 32 | (989 | ) | |||||||
Glimcher Realty Trust | 900 | (12,186 | ) | |||||||
Government Properties Income Trust | 3,800 | (83,258 | ) | |||||||
Gramercy Property Trust, Inc. | 10,400 | (59,904 | ) | |||||||
Health Care REIT, Inc. | 18,300 | (1,141,371 | ) | |||||||
Kite Realty Group Trust | 350 | (8,484 | ) | |||||||
Mack-Cali Realty Corp. | 2,000 | (38,220 | ) | |||||||
Medical Properties Trust, Inc. | 3,500 | (42,910 | ) | |||||||
National Retail Properties, Inc. | 3,200 | (110,624 | ) | |||||||
New York REIT, Inc. | 26,000 | (267,280 | ) | |||||||
Parkway Properties Inc. | 62 | (1,164 | ) | |||||||
Physicians Realty Trust | 8,800 | (120,736 | ) | |||||||
Piedmont Office Realty Trust, Inc. A Shares | 2,300 | (40,572 | ) | |||||||
Realty Income Corp. | 58,700 | (2,394,373 | ) | |||||||
Regency Centers Corp. | 2,200 | (118,426 | ) | |||||||
Rexford Industrial Realty, Inc. | 1,800 | (24,912 | ) | |||||||
RLJ Lodging Trust | 300 | (8,541 | ) | |||||||
Ryman Hospitality Properties, Inc. | 300 | (14,190 | ) | |||||||
SL Green Realty Corp. | 200 | (20,264 | ) | |||||||
STAG Industrial, Inc. | 2,100 | (43,491 | ) | |||||||
Summit Hotel Properties, Inc. | 16,300 | (175,714 | ) | |||||||
Ventas, Inc. | 2,100 | (130,095 | ) | |||||||
Washington Real Estate Investment Trust | 2,900 | (73,602 | ) | |||||||
Winthrop Realty Trust | 1,000 | (15,070 | ) | |||||||
|
| |||||||||
(12,050,374 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
75
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Recreation Facilities & Services — (0.0)% | ||||||||||
SFX Entertainment, Inc. | 700 | $ | (3,514 | ) | ||||||
|
| |||||||||
Renewable Energy — (0.2)% | ||||||||||
BioFuel Energy Corp. | 400 | (2,552 | ) | |||||||
BioFuel Energy Corp. | 400 | (1,152 | ) | |||||||
FuelCell Energy, Inc. | 44,600 | (93,214 | ) | |||||||
Gevo, Inc. | 2,400 | (822 | ) | |||||||
GT Advanced Technologies, Inc. | 59,300 | (642,219 | ) | |||||||
Ocean Power Technologies, Inc. | 300 | (354 | ) | |||||||
Pacific Ethanol, Inc. | 22,800 | (318,288 | ) | |||||||
Plug Power, Inc. | 24,200 | (111,078 | ) | |||||||
Silver Spring Networks, Inc. | 1,200 | (11,580 | ) | |||||||
SolarCity Corp. | 10,900 | (649,640 | ) | |||||||
Solazyme, Inc. | 21,100 | (157,406 | ) | |||||||
Uni-Pixel, Inc. | 3,900 | (24,726 | ) | |||||||
|
| |||||||||
(2,013,031 | ) | |||||||||
|
| |||||||||
Retail—Consumer Staples — (0.1)% | ||||||||||
CST Brands, Inc. | 4,500 | (161,775 | ) | |||||||
Fairway Group Holdings Corp. | 800 | (2,992 | ) | |||||||
Nutrisystem, Inc. | 2,300 | (35,351 | ) | |||||||
Potbelly Corp. | 1,200 | (13,992 | ) | |||||||
Roundy’s, Inc. | 26,600 | (79,534 | ) | |||||||
Safeway, Inc. | 19,600 | (672,280 | ) | |||||||
SpartanNash Co. | 100 | (1,945 | ) | |||||||
Walgreen Co. | 9,800 | (580,846 | ) | |||||||
|
| |||||||||
(1,548,715 | ) | |||||||||
|
| |||||||||
Retail Discretionary — (0.7)% | ||||||||||
Abercrombie & Fitch Co. A Shares | 1,600 | (58,144 | ) | |||||||
Aeropostale, Inc. | 37,400 | (123,046 | ) | |||||||
American Apparel, Inc. | 11,700 | (9,594 | ) | |||||||
American Eagle Outfitters, Inc. | 9,400 | (136,488 | ) | |||||||
Avis Budget Group, Inc. | 8,686 | (476,775 | ) | |||||||
Barnes & Noble, Inc. | 2,200 | (43,428 | ) | |||||||
bebe stores, Inc. | 9,100 | (21,112 | ) | |||||||
Blyth, Inc. | 900 | (7,308 | ) | |||||||
Bon-Ton Stores, Inc. (The) | 13,100 | (109,516 | ) | |||||||
Cabela’s, Inc. | 51,600 | (3,039,240 | ) | |||||||
CarMax, Inc. | 2,000 | (92,900 | ) | |||||||
Chegg, Inc. | 600 | (3,744 | ) | |||||||
Container Store Group, Inc. (The) | 6,500 | (141,505 | ) | |||||||
DSW, Inc. A Shares | 100 | (3,011 | ) | |||||||
Francesca’s Holdings Corp. | 8,800 | (122,584 | ) | |||||||
Genesco, Inc. | 300 | (22,425 | ) |
See Notes to Consolidated Financial Statements.
76
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Group 1 Automotive, Inc. | 200 | $ | (14,542 | ) | ||||||
hhgregg, Inc. | 100 | (631 | ) | |||||||
Lumber Liquidators Holdings, Inc. | 2,700 | (154,926 | ) | |||||||
Macy’s, Inc. | 1,000 | (58,180 | ) | |||||||
Men’s Wearhouse, Inc. (The) | 2,800 | (132,216 | ) | |||||||
Office Depot, Inc. | 49,003 | (251,875 | ) | |||||||
RadioShack Corp. | 10,200 | (10,098 | ) | |||||||
Sears Holdings Corp. | 9,500 | (239,685 | ) | |||||||
Sportsman’s Warehouse Holdings, Inc. | 2,100 | (14,143 | ) | |||||||
Stage Stores, Inc. | 400 | (6,844 | ) | |||||||
Tile Shop Holdings, Inc. | 6,700 | (61,975 | ) | |||||||
Tractor Supply Co. | 49,800 | (3,063,198 | ) | |||||||
zulily, Inc. A Shares | 1,800 | (68,202 | ) | |||||||
|
| |||||||||
(8,487,335 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.1)% | ||||||||||
Advanced Micro Devices, Inc. | 50,900 | (173,569 | ) | |||||||
ANADIGICS, Inc. | 300 | (202 | ) | |||||||
Applied Micro Circuits Corp. | 16,500 | (115,500 | ) | |||||||
Cypress Semiconductor Corp. | 6,700 | (66,162 | ) | |||||||
International Rectifier Corp. | 4,000 | (156,960 | ) | |||||||
Mattson Technology, Inc. | 1,000 | (2,470 | ) | |||||||
Maxwell Technologies, Inc. | 300 | (2,616 | ) | |||||||
Oclaro, Inc. | 100 | (143 | ) | |||||||
Parkervision, Inc. | 2,500 | (2,850 | ) | |||||||
Pixelworks, Inc. | 11,100 | (71,706 | ) | |||||||
QuickLogic Corp. | 7,800 | (23,322 | ) | |||||||
Rubicon Technology, Inc. | 5,800 | (24,650 | ) | |||||||
|
| |||||||||
(640,150 | ) | |||||||||
|
| |||||||||
Software — (0.4)% | ||||||||||
2U, Inc. | 1,300 | (20,267 | ) | |||||||
A10 Networks, Inc. | 4,700 | (42,817 | ) | |||||||
Amber Road, Inc. | 400 | (6,936 | ) | |||||||
BroadSoft, Inc. | 300 | (6,312 | ) | |||||||
ChannelAdvisor Corp. | 6,100 | (100,040 | ) | |||||||
Compuware Corp. | 6,600 | (70,026 | ) | |||||||
Cornerstone OnDemand, Inc. | 4,400 | (151,404 | ) | |||||||
Datawatch Corp. | 200 | (2,050 | ) | |||||||
Dealertrack Technologies, Inc. | 27,600 | (1,198,116 | ) | |||||||
FireEye, Inc. | 34,200 | (1,045,152 | ) | |||||||
Five9, Inc. | 1,000 | (6,540 | ) | |||||||
Glu Mobile, Inc. | 94,000 | (485,980 | ) | |||||||
Imperva, Inc. | 7,000 | (201,110 | ) | |||||||
Interactive Intelligence Group, Inc. | 100 | (4,180 | ) | |||||||
Jive Software, Inc. | 11,100 | (64,713 | ) |
See Notes to Consolidated Financial Statements.
77
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
KEYW Holding Corp. (The) | 1,100 | $ | (12,177 | ) | ||||||
LogMeIn, Inc. | 18,400 | (847,688 | ) | |||||||
Mitek Systems, Inc. | 4,000 | (9,640 | ) | |||||||
OPOWER, Inc. | 1,300 | (24,518 | ) | |||||||
Paycom Software, Inc. | 1,500 | (24,840 | ) | |||||||
Paylocity Holding Corp. | 100 | (1,965 | ) | |||||||
Q2 Holdings, Inc. | 500 | (7,000 | ) | |||||||
Qlik Technologies, Inc. | 100 | (2,704 | ) | |||||||
Rally Software Development Corp. | 6,900 | (82,869 | ) | |||||||
RealPage, Inc. | 5,100 | (79,050 | ) | |||||||
Rosetta Stone, Inc. | 100 | (805 | ) | |||||||
Tangoe, Inc. | 4,700 | (63,685 | ) | |||||||
Textura Corp. | 1,700 | (44,880 | ) | |||||||
VirnetX Holding Corp. | 1,900 | (11,400 | ) | |||||||
Vringo, Inc. | 60,700 | (57,374 | ) | |||||||
Zynga, Inc. A Shares | 124,800 | (336,960 | ) | |||||||
|
| |||||||||
(5,013,198 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.7)% | ||||||||||
Aircastle Ltd. | 100 | (1,636 | ) | |||||||
Apollo Residential Mortgage, Inc. | 13,900 | (214,477 | ) | |||||||
Ares Commercial Real Estate Corp. | 11,100 | (129,759 | ) | |||||||
ARMOUR Residential REIT, Inc. | 95,500 | (367,675 | ) | |||||||
CAI International, Inc. | 4,800 | (92,880 | ) | |||||||
CIT Group, Inc. | 20,200 | (928,392 | ) | |||||||
Colony Financial, Inc. | 9,900 | (221,562 | ) | |||||||
CYS Investments, Inc. | 139,800 | (1,151,952 | ) | |||||||
Ellie Mae, Inc. | 2,300 | (74,980 | ) | |||||||
Encore Capital Group, Inc. | 500 | (22,155 | ) | |||||||
First American Financial Corp. | 5,400 | (146,448 | ) | |||||||
Green Dot Corp. A Shares | 100 | (2,114 | ) | |||||||
Heartland Payment Systems, Inc. | 200 | (9,544 | ) | |||||||
Higher One Holdings, Inc. | 800 | (1,976 | ) | |||||||
Invesco Mortgage Capital, Inc. | 800 | (12,576 | ) | |||||||
JAVELIN Mortgage Investment Corp. | 4,700 | (56,447 | ) | |||||||
MGIC Investment Corp. | 90,700 | (708,367 | ) | |||||||
MoneyGram International, Inc. | 1,000 | (12,540 | ) | |||||||
Nationstar Mortgage Holdings, Inc. | 9,200 | (315,008 | ) | |||||||
Navient Corp. | 59,200 | (1,048,432 | ) | |||||||
Newcastle Investment Corp. | 34 | (431 | ) | |||||||
NorthStar Realty Finance Corp. | 100 | (1,767 | ) | |||||||
Ocwen Financial Corp. | 20,900 | (547,162 | ) | |||||||
Portfolio Recovery Associates, Inc. | 13,145 | (686,564 | ) | |||||||
RAIT Financial Trust | 11,900 | (88,417 | ) | |||||||
Redwood Trust, Inc. | 13,000 | (215,540 | ) | |||||||
Regional Management Corp. | 1,000 | (17,950 | ) |
See Notes to Consolidated Financial Statements.
78
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Total System Services, Inc. | 300 | $ | (9,288 | ) | ||||||
WageWorks, Inc. | 1,200 | (54,636 | ) | |||||||
Walter Investment Management Corp. | 27,800 | (610,210 | ) | |||||||
Western Asset Mortgage Capital Corp. | 57,335 | (847,411 | ) | |||||||
Xoom Corp. | 5,000 | (109,750 | ) | |||||||
|
| |||||||||
(8,708,046 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Bottomline Technologies de, Inc. | 9,000 | (248,310 | ) | |||||||
Cyan, Inc. | 200 | (624 | ) | |||||||
IMS Health Holdings, Inc. | 200 | (5,238 | ) | |||||||
Spherix, Inc. | 200 | (312 | ) | |||||||
|
| |||||||||
(254,484 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
DigitalGlobe, Inc. | 36,000 | (1,026,000 | ) | |||||||
EarthLink Holdings Corp. | 8,900 | (30,438 | ) | |||||||
Global Eagle Entertainment, Inc. | 200 | (2,244 | ) | |||||||
Gogo, Inc. | 16,200 | (273,132 | ) | |||||||
Iridium Communications, Inc. | 2,000 | (17,700 | ) | |||||||
NTELOS Holdings Corp. | 1,700 | (18,088 | ) | |||||||
Sprint Corp. | 22,800 | (144,552 | ) | |||||||
|
| |||||||||
(1,512,154 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Baltic Trading Ltd. | 26,900 | (111,366 | ) | |||||||
Genesee & Wyoming, Inc. A Shares | 3,800 | (362,178 | ) | |||||||
XPO Logistics, Inc. | 18,000 | (678,060 | ) | |||||||
YRC Worldwide, Inc. | 3,900 | (79,248 | ) | |||||||
|
| |||||||||
(1,230,852 | ) | |||||||||
|
| |||||||||
Transportation Equipment — (0.2)% | ||||||||||
Trinity Industries, Inc. | 65,400 | (3,055,488 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.2)% | ||||||||||
Bob Evans Farms, Inc. | 600 | (28,404 | ) | |||||||
Boyd Gaming Corp. | 56,000 | (568,960 | ) | |||||||
Caesars Entertainment Corp. | 9,700 | (122,026 | ) | |||||||
Churchill Downs, Inc. | 400 | (39,000 | ) | |||||||
Dunkin’ Brands Group, Inc. | 5,800 | (259,956 | ) | |||||||
Krispy Kreme Doughnuts, Inc. | 200 | (3,432 | ) | |||||||
Scientific Games Corp. A Shares | 33,700 | (362,949 | ) | |||||||
Sonic Corp. | 51,000 | (1,140,360 | ) | |||||||
|
| |||||||||
(2,525,087 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
79
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Utilities — (0.5)% | ||||||||||
Atlantic Power Corp. | 57,500 | $ | (136,850 | ) | ||||||
Cleco Corp. | 3,300 | (158,895 | ) | |||||||
Duke Energy Corp. | 24,000 | (1,794,480 | ) | |||||||
Exelon Corp. | 17,900 | (610,211 | ) | |||||||
Hawaiian Electric Industries, Inc. | 71,800 | (1,906,290 | ) | |||||||
Laclede Group, Inc. (The) | 9,500 | (440,800 | ) | |||||||
NorthWestern Corp. | 500 | (22,680 | ) | |||||||
NRG Energy, Inc. | 36,400 | (1,109,472 | ) | |||||||
Pepco Holdings, Inc. | 9,000 | (240,840 | ) | |||||||
PPL Corp. | 4,100 | (134,644 | ) | |||||||
Westar Energy, Inc. | 600 | (20,472 | ) | |||||||
|
| |||||||||
(6,575,634 | ) | |||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — (0.0)% | ||||||||||
CLARCOR, Inc. | 2,200 | (138,776 | ) | |||||||
Nuverra Environmental Solutions, Inc. | 8,370 | (123,457 | ) | |||||||
|
| |||||||||
(262,233 | ) | |||||||||
|
| |||||||||
Total United States | (156,609,016 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCK | (182,857,733 | ) | ||||||||
|
| |||||||||
Security Description | Principal Amount | Value | ||||||||
CORPORATE BONDS & NOTES — (0.7)% | ||||||||||
United States — (0.7)% | ||||||||||
Apparel & Textile Products — (0.1)% | ||||||||||
William Carter Co. (The), 5.25%, 08/15/21 | $ | 850,000 | $ | (884,000 | ) | |||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
American Achievement Corp., 10.88%, 04/15/16 | 270,000 | (268,650 | ) | |||||||
|
| |||||||||
Exploration & Production — (0.2)% | ||||||||||
California Resources Corp., 6.00%, 11/15/24 | 3,180,000 | (3,267,450 | ) | |||||||
|
| |||||||||
Food & Beverage — (0.1)% | ||||||||||
Constellation Brands, Inc., 3.75%, 05/01/21 | 900,000 | (887,625 | ) | |||||||
|
| |||||||||
Pipeline — (0.1)% | ||||||||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp., 4.50%, 07/15/23 | 1,287,000 | (1,261,260 | ) | |||||||
|
| |||||||||
Publishing & Broadcasting — (0.1)% | ||||||||||
iHeartCommunications, Inc., 9.00%, 09/15/22 | 1,620,000 | (1,615,950 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Wireless Telecommunication Services — (0.1)% | ||||||||||
T-Mobile USA, Inc., 6.38%, 03/01/25 | $ | 795,000 | $ | (793,012 | ) | |||||
|
| |||||||||
Total United States | (8,977,947 | ) | ||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | (8,977,947 | ) | ||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — (4.8)% | ||||||||||
Alerian MLP ETF | 20,709 | $ | (396,992 | ) | ||||||
Consumer Staples Select Sector SPDR Fund | 9,686 | (436,935 | ) | |||||||
Financial Select Sector SPDR Fund | 354,289 | (8,208,876 | ) | |||||||
Health Care Select Sector SPDR Fund | 315,584 | (20,168,973 | ) | |||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 32,024 | (3,785,877 | ) | |||||||
iShares Nasdaq Biotechnology ETF | 6,112 | (1,672,427 | ) | |||||||
iShares Russell 2000 ETF | 43,813 | (4,790,952 | ) | |||||||
SPDR S&P 500 ETF Trust | 3,300 | (650,166 | ) | |||||||
SPDR S&P Regional Banking ETF | 246,290 | (9,324,539 | ) | |||||||
Vanguard FTSE Developed Markets ETF | 293,056 | (11,648,976 | ) | |||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS | (61,084,713 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (20.0)% | $ | (252,920,393 | ) | |||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | All or a portion of this security is earmarked to cover obligations related to derivative financial instruments and other financial instruments. |
(c) | All or a portion of this security is pledged as collateral for derivative financial instruments. |
(d) | Security considered illiquid. |
(e) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. |
(f) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Manager Fund. |
(g) | Variable/floating interest rate security. Rate presented is as of September 30, 2014. |
(h) | 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 buyers unless registered under the Securities Act of 1933. |
(i) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
(j) | Security is perpetual in nature and has no stated maturity. |
(k) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of September 30, 2014. Maturity date presented is the ultimate maturity. |
(l) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
(m) | Approximates cost for federal tax purposes. |
(n) | Assets, other than investments in securities, less liabilities, other than securities sold short. A significant portion of this balance represents cash collateral. |
Options Written Contracts Outstanding as of September 30, 2014:
Strike | Expiration | Contracts | Premium | Market | Unrealized | |||||||||||||||
Exchange-Traded Call Options Written | ||||||||||||||||||||
Apple, Inc. | 107.00 USD | 10/24/14 | 1,146 | $ | (131,743 | ) | $ | (95,118 | ) | $ | 36,625 | |||||||||
AstraZeneca PLC | 46.00 GBP | 11/21/14 | 9 | (33,722 | ) | (20,937 | ) | 12,785 | ||||||||||||
AstraZeneca PLC | 48.00 GBP | 11/21/14 | 4 | (12,958 | ) | (5,593 | ) | 7,365 | ||||||||||||
Pandora Media, Inc. | 30.00 USD | 01/15/16 | 2 | (946 | ) | (600 | ) | 346 | ||||||||||||
Qualcomm, Inc. | 77.50 USD | 11/22/14 | 64 | (9,184 | ) | (7,488 | ) | 1,696 | ||||||||||||
S&P 500 Index | 2,050.00 USD | 10/31/14 | 134 | (49,173 | ) | (32,160 | ) | 17,013 | ||||||||||||
$ | (237,726 | ) | $ | (161,896 | ) | $ | 75,830 | |||||||||||||
Exchange-Traded Put Options Written | ||||||||||||||||||||
Alstom SA | 26.00 EUR | 12/19/14 | 551 | $ | (82,094 | ) | $ | (25,750 | ) | $ | 56,344 | |||||||||
Alstom SA | 27.00 EUR | 12/19/14 | 552 | (86,825 | ) | (51,593 | ) | 35,232 | ||||||||||||
S&P 500 Index | 1,870.00 USD | 10/18/14 | 8 | (5,856 | ) | (4,000 | ) | 1,856 | ||||||||||||
$ | (174,775 | ) | $ | (81,343 | ) | $ | 93,432 | |||||||||||||
Counterparty | Strike | Expiration | Notional | Premium | Market | Unrealized | ||||||||||||||||||||
FX OTC Call Options Written |
| |||||||||||||||||||||||||
USD/BRL Currency | Morgan Stanley Capital Services LLC | 2.60 BRL | 12/31/15 | 550,000 USD | $ | (35,530 | ) | $ | (53,328 | ) | $ | (17,798 | ) | |||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.40 CNH | 11/05/15 | 820,000 USD | (10,820 | ) | (8,865 | ) | 1,955 | |||||||||||||||||
USD/CNH Currency | JPMorgan Chase Bank, N.A. | 6.80 CNH | 11/05/15 | 9,340,000 USD | (57,348 | ) | (47,478 | ) | 9,870 | |||||||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.80 CNH | 11/05/15 | 800,000 USD | (4,880 | ) | (4,067 | ) | 813 | |||||||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.80 CNH | 11/05/15 | 2,000,000 USD | (10,410 | ) | (10,167 | ) | 243 | |||||||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.30 CNH | 11/05/15 | 2,720,000 USD | (50,578 | ) | (43,441 | ) | 7,137 | |||||||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.30 CNH | 11/05/15 | 4,860,200 USD | (62,794 | ) | (77,479 | ) | (14,685 | ) | ||||||||||||||||
USD/JPY Currency | JPMorgan Chase Bank, N.A. | 110.00 JPY | 12/30/14 | 15,710,000 USD | (297,704 | ) | (221,955 | ) | 75,749 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Counterparty | Strike | Expiration | Notional | Premium | Market | Unrealized | ||||||||||||||||||||
USD/JPY Currency | JPMorgan Chase Bank, N.A. | 105.00 JPY | 12/30/14 | 15,710,000 USD | $ | (500,049 | ) | $ | (716,247 | ) | $ | (216,198 | ) | |||||||||||||
USD/JPY Currency | Morgan Stanley Capital Services LLC | 95.00 JPY | 12/30/14 | 4,580,000 USD | (328,157 | ) | (608,562 | ) | (280,405 | ) | ||||||||||||||||
USD/JPY Currency | Morgan Stanley Capital Services LLC | 95.00 JPY | 12/30/14 | 11,130,000 USD | (773,535 | ) | (1,479,681 | ) | (706,146 | ) | ||||||||||||||||
$ | (2,131,805 | ) | $ | (3,271,270 | ) | $ | (1,139,465 | ) | ||||||||||||||||||
FX OTC Put Options Written |
| |||||||||||||||||||||||||
USD/BRL Currency | JPMorgan Chase Bank, N.A. | 2.40 BRL | 12/31/15 | 1,895,400 USD | $ | (55,558 | ) | $ | (24,088 | ) | $ | 31,470 | ||||||||||||||
USD/JPY Currency | JPMorgan Chase Bank, N.A. | 90.00 JPY | 12/30/14 | 15,710,000 USD | (362,901 | ) | (24 | ) | 362,877 | |||||||||||||||||
$ | (418,459 | ) | $ | (24,112 | ) | $ | 394,347 | |||||||||||||||||||
OTC Call Option Written |
| |||||||||||||||||||||||||
Pandora Media, Inc. | Credit Suisse International | 50.00 USD | 01/15/16 | 57,200 USD | $ | (76,444 | ) | $ | (15,018 | ) | $ | 61,426 | ||||||||||||||
Total Options Written Outstanding |
| $ | (3,039,209 | ) | $ | (3,553,639 | ) | $ | (514,430 | ) | ||||||||||||||||
Reverse Repurchase Agreements Outstanding as of September 30, 2014
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Accrued | |||||||||||
Bank of America Merrill Lynch | 1.84% | 07/25/14 | 10/31/14 | $ | 4,399,000 | $ | 4,412,041 | |||||||||
Bank of America Merrill Lynch | 1.65% | 09/11/14 | 10/10/14 | 1,067,000 | 1,067,978 | |||||||||||
Bank of America Merrill Lynch | 1.84% | 08/06/14 | 11/06/14 | 2,006,000 | 2,011,742 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/11/14 | 10/10/14 | 1,910,000 | 1,911,751 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/29/14 | 10/29/14 | 2,804,000 | 2,804,257 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/11/14 | 10/10/14 | 1,415,000 | 1,416,297 | |||||||||||
Bank of America Merrill Lynch | 1.84% | 07/31/14 | 11/05/14 | 1,998,000 | 2,003,821 | |||||||||||
Bank of America Merrill Lynch | 1.84% | 08/06/14 | 11/06/14 | 3,596,000 | 3,606,293 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/11/14 | 10/10/14 | 2,970,000 | 2,972,723 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/25/14 | 10/27/14 | 1,775,000 | 1,775,488 | |||||||||||
Bank of America Merrill Lynch | 1.66% | 07/29/14 | 10/02/14 | 4,118,000 | 4,123,507 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/25/14 | 10/27/14 | 8,408,000 | 8,410,312 | |||||||||||
Bank of America Merrill Lynch | 1.75% | 07/18/14 | 10/29/14 | 5,412,000 | 5,428,837 | |||||||||||
Bank of America Merrill Lynch | 1.55% | 09/11/14 | 10/10/14 | 2,015,000 | 2,016,735 | |||||||||||
Bank of America Merrill Lynch | 1.55% | 09/11/14 | 10/10/14 | 6,036,000 | 6,041,198 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/18/14 | 10/20/14 | 2,806,000 | 2,807,672 | |||||||||||
Bank of America Merrill Lynch | 1.50% | 09/18/14 | 10/15/14 | 1,094,000 | 1,094,729 | |||||||||||
Bank of America Merrill Lynch | 1.50% | 09/15/14 | 10/15/14 | 1,962,000 | 1,963,308 | |||||||||||
Credit Suisse Securities (Europe) Limited | (3.00)% | 09/25/14 | 09/25/15 | 1,773,888 | 1,773,001 |
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Accrued | |||||||||||
Credit Suisse Securities (USA) LLC | 1.49% | 08/04/14 | 11/04/14 | $ | 4,993,000 | $ | 5,004,979 | |||||||||
Credit Suisse Securities (USA) LLC | 1.49% | 08/04/14 | 11/04/14 | 2,993,000 | 3,000,181 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.90% | 09/08/14 | 10/08/14 | 17,983,000 | 18,004,870 | |||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 83,533,888 | $ | 83,651,720 | |||||||||||
Futures Contracts Outstanding at September 30, 2014
Description | Number of | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
Long Futures | ||||||||||||||||||||
90 Day Eurodollar | 1,059 | CME | 264,750,000 USD | 03/14/16 | $ | (287,630 | ) | |||||||||||||
90 Day Sterling | 828 | LIF | 103,500,000 GBP | 06/17/15 | 212,831 | |||||||||||||||
Australia 10-Year Bond | 275 | SFE | 27,500,000 AUD | 12/15/14 | 313,226 | |||||||||||||||
Bankers’ Acceptance | 1,336 | CDE | 334,000,000 CAD | 03/14/16 | (56,638 | ) | ||||||||||||||
Brent Crude | 65 | ICE | 65,000 USD | 10/16/14 | (285,800 | ) | ||||||||||||||
Cocoa | 458 | ICE | 4,580 USD | 12/15/14 | 554,463 | |||||||||||||||
Coffee | 29 | ICE | 1,087,500 USD | 12/18/14 | (151,910 | ) | ||||||||||||||
DAX Index | 13 | Eurex | 325 EUR | 12/19/14 | (55,667 | ) | ||||||||||||||
Euro-BTP | 349 | Eurex | 34,900,000 EUR | 12/08/14 | 353,325 | |||||||||||||||
Euro-Oat | 42 | Eurex | 4,200,000 EUR | 12/08/14 | 23,564 | |||||||||||||||
FTSE/JSE Top 40 | 190 | Safex | 1,900 ZAR | 12/18/14 | (293,919 | ) | ||||||||||||||
Gold 100 OZ | 77 | COMEX | 7,700 USD | 12/29/14 | (655,054 | ) | ||||||||||||||
IBEX 35 Index | 70 | MEFF | 700 EUR | 10/17/14 | 89,225 | |||||||||||||||
Long Gilt | 25 | LIF | 2,500,000 GBP | 12/29/14 | 14,066 | |||||||||||||||
Mex Bolsa Index | 394 | MEXDER | 3,940 MXN | 12/19/14 | (341,125 | ) | ||||||||||||||
Natural Gas | 79 | NYMEX | 790,000 USD | 03/27/15 | 59,009 | |||||||||||||||
Natural Gas | 12 | NYMEX | 120,000 USD | 10/29/14 | 23,686 | |||||||||||||||
Nikkei 225 | 57 | OSE | 57,000 JPY | 12/11/14 | 253,221 | |||||||||||||||
NY Harbor ULSD | 57 | NYMEX | 2,394,000 USD | 04/30/15 | (127,482 | ) | ||||||||||||||
OMXS30 Index | 245 | Nasdaq OMX | 24,500 SEK | 10/17/14 | 49,181 | |||||||||||||||
RBOB Gasoline | 49 | NYMEX | 2,058,000 USD | 10/31/14 | (59,050 | ) | ||||||||||||||
S&P 500 E-Mini Index | 264 | CME | 13,200 USD | 12/19/14 | (141,894 | ) | ||||||||||||||
S&P/TSX 60 Index | 19 | CDE | 3,800 CAD | 12/18/14 | (99,973 | ) | ||||||||||||||
SGX CNX Nifty | 315 | SGX | 630 USD | 10/30/14 | (130,158 | ) | ||||||||||||||
Soybean Meal | 228 | CBOT | 22,800 USD | 12/12/14 | (1,678,452 | ) | ||||||||||||||
Sugar 11 | 20 | ICE | 2,240,000 USD | 02/27/15 | 16 | |||||||||||||||
Topix Index | 7 | OSE | 70,000 JPY | 12/11/14 | 17,938 | |||||||||||||||
U.S. Treasury 10-Year Note | 290 | CBOT | 29,000,000 USD | 12/19/14 | (208,697 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (2,609,698 | ) | ||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Description | Number of | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
Short Futures | ||||||||||||||||||||
3 Month Euribor | 1,422 | LIF | 355,500,000 EUR | 12/14/15 | $ | (253,295 | ) | |||||||||||||
3 Month Euro Swiss | 144 | ICE | 36,000,000 CHF | 03/16/15 | 717 | |||||||||||||||
3 Month Euro Swiss | 2,414 | ICE | 603,500,000 CHF | 12/15/14 | (135,338 | ) | ||||||||||||||
90 Day Eurodollar | 17 | CME | 4,250,000 USD | 12/15/14 | (1,056 | ) | ||||||||||||||
90 Day Eurodollar | 9 | CME | 2,250,000 USD | 12/14/15 | 1,221 | |||||||||||||||
90 Day Eurodollar | 6 | CME | 1,500,000 USD | 12/19/16 | 1,122 | |||||||||||||||
90 Day Eurodollar | 7 | CME | 1,750,000 USD | 12/18/17 | 57 | |||||||||||||||
90 Day Eurodollar | 2 | CME | 500,000 USD | 12/17/18 | (268 | ) | ||||||||||||||
90 Day Eurodollar | 5 | CME | 1,250,000 USD | 12/16/19 | (2,038 | ) | ||||||||||||||
90 Day Eurodollar | 14 | CME | 3,500,000 USD | 06/15/15 | (348 | ) | ||||||||||||||
90 Day Eurodollar | 5 | CME | 1,250,000 USD | 06/13/16 | 977 | |||||||||||||||
90 Day Eurodollar | 4 | CME | 1,000,000 USD | 06/19/17 | 865 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 750,000 USD | 06/18/18 | (133 | ) | ||||||||||||||
90 Day Eurodollar | 2 | CME | 500,000 USD | 06/17/19 | (480 | ) | ||||||||||||||
90 Day Eurodollar | 3 | CME | 750,000 USD | 06/15/20 | (1,633 | ) | ||||||||||||||
90 Day Eurodollar | 14 | CME | 3,500,000 USD | 03/16/15 | (1,473 | ) | ||||||||||||||
90 Day Eurodollar | 6 | CME | 1,500,000 USD | 03/14/16 | 1,347 | |||||||||||||||
90 Day Eurodollar | 4 | CME | 1,000,000 USD | 03/19/18 | 290 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 750,000 USD | 03/18/19 | (808 | ) | ||||||||||||||
90 Day Eurodollar | 5 | CME | 1,250,000 USD | 03/16/20 | (2,350 | ) | ||||||||||||||
90 Day Eurodollar | 10 | CME | 2,500,000 USD | 09/14/15 | 137 | |||||||||||||||
90 Day Eurodollar | 7 | CME | 1,750,000 USD | 09/19/16 | 1,257 | |||||||||||||||
90 Day Eurodollar | 8 | CME | 2,000,000 USD | 09/18/17 | 1,430 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 750,000 USD | 09/17/18 | (345 | ) | ||||||||||||||
90 Day Eurodollar | 9 | CME | 2,250,000 USD | 09/16/19 | (1,861 | ) | ||||||||||||||
90 Day Eurodollar | 5 | CME | 1,250,000 USD | 03/13/17 | 1,237 | |||||||||||||||
90-Day Bank Bill | 203 | SFE | 203,000,000 AUD | 03/10/16 | 8,110 | |||||||||||||||
CAC40 10 Euro | 13 | Euronext | 130 EUR | 10/17/14 | (1,839 | ) | ||||||||||||||
Canada 10-Year Bond | 113 | CDE | 11,300,000 CAD | 12/18/14 | 120,942 | |||||||||||||||
CBOE Volatility Index | 227 | CFE | 227,000 USD | 11/18/14 | (259,018 | ) | ||||||||||||||
CBOE Volatility Index | 449 | CFE | 449,000 USD | 02/17/15 | (419,591 | ) | ||||||||||||||
Corn | 470 | CBOT | 2,350,000 USD | 12/12/14 | 988,784 | |||||||||||||||
Cotton No.2 | 158 | ICE | 7,900,000 USD | 03/09/15 | 296,285 | |||||||||||||||
Cotton No.2 | 26 | ICE | 1,300,000 USD | 12/08/14 | 27,518 | |||||||||||||||
Euro Stoxx 50 | 2,278 | Eurex | 22,780 EUR | 12/19/14 | 421,909 | |||||||||||||||
Euro-Bund | 459 | Eurex | 45,900,000 EUR | 12/08/14 | (401,187 | ) | ||||||||||||||
FTSE 100 Index | 238 | LIF | 2,380 GBP | 12/19/14 | 598,068 | |||||||||||||||
Gasoil | 106 | ICE | 10,600 USD | 11/12/14 | 106,428 | |||||||||||||||
Hang Seng Index | 29 | HKFE | 1,450 HKD | 10/30/14 | 210,564 | |||||||||||||||
Japan 10-Year Bond | 136 | OSE | 13,600,000,000 JPY | 12/11/14 | (77,283 | ) | ||||||||||||||
Lean Hogs | 8 | CME | 320,000 USD | 12/12/14 | 10,121 | |||||||||||||||
Live Cattle | 72 | CME | 2,880,000 USD | 12/31/14 | (48,404 | ) | ||||||||||||||
NASDAQ 100 E-Mini | 187 | CME | 3,740 USD | 12/19/14 | 7,123 |
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Description | Number of | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
RBOB Gasoline | 56 | NYMEX | 2,352,000 USD | 04/30/15 | $ | 132,148 | ||||||||||||||
S&P 500 E-Mini Index | 748 | CME | 37,400 USD | 12/19/14 | 836,529 | |||||||||||||||
Soybean Oil | 518 | CBOT | 31,080,000 USD | 12/12/14 | 1,514,919 | |||||||||||||||
SPI 200 | 63 | SFE | 1,575 AUD | 12/18/14 | 224,191 | |||||||||||||||
Swiss Market Index | 84 | Eurex | 840 CHF | 12/19/14 | (46,357 | ) | ||||||||||||||
Topix Index | 201 | OSE | 2,010,000 JPY | 12/11/14 | (582,248 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 66 | CBOT | 6,600,000 USD | 12/19/14 | (2,573 | ) | ||||||||||||||
Wheat | 139 | CBOT | 695,000 USD | 12/12/14 | 548,373 | |||||||||||||||
WTI Crude | 5 | NYMEX | 5,000 USD | 10/21/14 | (3,626 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 3,819,117 | |||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts Outstanding |
| $ | 1,209,419 | |||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2014
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
BRL | 5,844,515 | USD | 2,562,934 | JPMorgan Chase Bank, N.A. | 10/31/14 | $ | (193,777 | ) | ||||||||||||||
BRL | 2,936,469 | USD | 1,266,593 | JPMorgan Chase Bank, N.A. | 12/17/14 | (91,340 | ) | |||||||||||||||
BRL | 28,036,000 | USD | 12,352,565 | State Street Bank and Trust Company | 10/02/14 | (898,781 | ) | |||||||||||||||
BRL | 1,316,728 | USD | 560,000 | JPMorgan Chase Bank, N.A. | 10/17/14 | (24,236 | ) | |||||||||||||||
BRL | 1,424,000 | USD | 578,697 | State Street Bank and Trust Company | 11/04/14 | (2,085 | ) | |||||||||||||||
CHF | 18,375 | USD | 19,343 | Morgan Stanley & Co., LLC | 12/30/14 | (78 | ) | |||||||||||||||
CNY | 12,382,000 | USD | 2,000,000 | JPMorgan Chase Bank, N.A. | 10/08/14 | 16,501 | ||||||||||||||||
CNY | 1,544,375 | USD | 250,000 | JPMorgan Chase Bank, N.A. | 10/08/14 | 1,513 | ||||||||||||||||
CNY | 4,585,564 | USD | 741,281 | JPMorgan Chase Bank, N.A. | 10/31/14 | 3,174 | ||||||||||||||||
CNY | 4,575,112 | USD | 741,281 | JPMorgan Chase Bank, N.A. | 10/31/14 | 1,477 | ||||||||||||||||
CNY | 13,898,925 | USD | 2,258,556 | JPMorgan Chase Bank, N.A. | 10/08/14 | 4,988 | ||||||||||||||||
COP | 174,860,911 | USD | 89,512 | JPMorgan Chase Bank, N.A. | 12/17/14 | (3,806 | ) | |||||||||||||||
DKK | 7,142,635 | EUR | 959,178 | Morgan Stanley Capital Services LLC | 12/17/14 | 329 | ||||||||||||||||
EUR | 4,696,816 | USD | 6,061,636 | Morgan Stanley Capital Services LLC | 10/06/14 | (129,168 | ) | |||||||||||||||
EUR | 230,935 | USD | 298,661 | Morgan Stanley & Co., LLC | 12/17/14 | (6,821 | ) | |||||||||||||||
EUR | 66,037 | USD | 83,870 | Morgan Stanley & Co., LLC | 12/30/14 | (408 | ) | |||||||||||||||
EUR | 641,272 | USD | 815,063 | Morgan Stanley & Co., LLC | 12/17/14 | (4,665 | ) | |||||||||||||||
GBP | 2,520,779 | EUR | 3,167,882 | Morgan Stanley Capital Services LLC | 12/17/14 | 80,479 | ||||||||||||||||
GBP | 372,033 | USD | 600,547 | Morgan Stanley & Co., LLC | 12/17/14 | 2,174 | ||||||||||||||||
GBP | 45,648,000 | USD | 74,033,752 | State Street Bank and Trust Company | 12/17/14 | (80,687 | ) | |||||||||||||||
INR | 112,419,300 | USD | 1,785,000 | JPMorgan Chase Bank, N.A. | 03/27/15 | (24,372 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
JPY | 3,181,813,000 | USD | 29,667,531 | State Street Bank and Trust Company | 12/17/14 | $ | (636,248 | ) | ||||||||||||||
JPY | 69,665,985 | USD | 637,967 | Morgan Stanley & Co., LLC | 12/17/14 | (2,325 | ) | |||||||||||||||
KRW | 25,335,508,000 | USD | 24,366,923 | State Street Bank and Trust Company | 12/17/14 | (503,300 | ) | |||||||||||||||
MXN | 14,318,784 | USD | 1,084,058 | Morgan Stanley Capital Services LLC | 12/17/14 | (23,419 | ) | |||||||||||||||
MXN | 734,426,000 | USD | 55,054,423 | State Street Bank and Trust Company | 12/17/14 | (653,062 | ) | |||||||||||||||
MXN | 16,739,431 | USD | 1,260,093 | JPMorgan Chase Bank, N.A. | 12/17/14 | (20,148 | ) | |||||||||||||||
MXN | 7,432,930 | USD | 561,519 | JPMorgan Chase Bank, N.A. | 10/17/14 | (8,661 | ) | |||||||||||||||
MYR | 1,332,648 | USD | 415,000 | JPMorgan Chase Bank, N.A. | 12/17/14 | (11,149 | ) | |||||||||||||||
NGN | 666,918,873 | USD | 4,051,755 | JPMorgan Chase Bank, N.A. | 10/30/14 | 2,920 | ||||||||||||||||
NGN | 83,200,000 | USD | 500,000 | JPMorgan Chase Bank, N.A. | 12/17/14 | 602 | ||||||||||||||||
NOK | 12,900,250 | EUR | 1,583,008 | Morgan Stanley Capital Services LLC | 12/17/14 | 2,026 | ||||||||||||||||
PHP | 5,876,550 | USD | 131,276 | JPMorgan Chase Bank, N.A. | 10/27/14 | (599 | ) | |||||||||||||||
PLN | 3,766,053 | USD | 1,171,218 | JPMorgan Chase Bank, N.A. | 01/30/15 | (39,761 | ) | |||||||||||||||
SEK | 16,551,732 | EUR | 1,800,021 | Morgan Stanley Capital Services LLC | 12/17/14 | 18,491 | ||||||||||||||||
SEK | 57,475,000 | USD | 8,055,925 | State Street Bank and Trust Company | 12/17/14 | (92,767 | ) | |||||||||||||||
SGD | 1,749,463 | USD | 1,395,362 | Morgan Stanley Capital Services LLC | 12/17/14 | (24,030 | ) | |||||||||||||||
TRY | 14,455,000 | USD | 6,401,966 | State Street Bank and Trust Company | 12/17/14 | (173,833 | ) | |||||||||||||||
ZAR | 18,075,160 | USD | 1,615,722 | JPMorgan Chase Bank, N.A. | 12/17/14 | (34,308 | ) | |||||||||||||||
ZAR | 267,727,000 | USD | 23,959,817 | State Street Bank and Trust Company | 12/17/14 | (536,114 | ) | |||||||||||||||
USD | 28,434,127 | AUD | 31,620,000 | State Street Bank and Trust Company | 12/17/14 | 898,633 | ||||||||||||||||
USD | 11,577,986 | BRL | 26,612,000 | State Street Bank and Trust Company | 10/02/14 | 705,960 | ||||||||||||||||
USD | 1,200,000 | BRL | 2,765,160 | State Street Bank and Trust Company | 11/04/14 | 80,319 | ||||||||||||||||
USD | 560,000 | BRL | 1,330,728 | JPMorgan Chase Bank, N.A. | 10/16/14 | 18,394 | ||||||||||||||||
USD | 1,266,593 | BRL | 3,061,229 | JPMorgan Chase Bank, N.A. | 12/17/14 | 41,408 | ||||||||||||||||
USD | 583,846 | BRL | 1,424,000 | State Street Bank and Trust Company | 10/02/14 | 2,087 | ||||||||||||||||
USD | 2,249,147 | CHF | 2,101,378 | Morgan Stanley & Co., LLC | 12/17/14 | 46,441 | ||||||||||||||||
USD | 14,200,474 | CHF | 13,268,000 | State Street Bank and Trust Company | 12/17/14 | 292,692 | ||||||||||||||||
USD | 3,648,046 | CHF | 3,399,375 | Morgan Stanley & Co., LLC | 12/30/14 | 84,068 | ||||||||||||||||
USD | 61,361 | CHF | 57,575 | Morgan Stanley & Co., LLC | 12/30/14 | 998 | ||||||||||||||||
USD | 239,645 | CHF | 228,952 | Morgan Stanley & Co., LLC | 12/17/14 | (347 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 502,259 | CHF | 476,845 | Morgan Stanley & Co., LLC | 12/17/14 | $ | 2,421 | |||||||||||||||
USD | 221,867 | CLP | 132,077,535 | Morgan Stanley Capital Services LLC | 12/17/14 | 2,482 | ||||||||||||||||
USD | 2,250,000 | CNY | 13,898,925 | JPMorgan Chase Bank, N.A. | 10/08/14 | (13,544 | ) | |||||||||||||||
USD | 2,012,057 | CNY | 12,382,000 | JPMorgan Chase Bank, N.A. | 10/08/14 | (4,444 | ) | |||||||||||||||
USD | 250,959 | CNY | 1,544,375 | JPMorgan Chase Bank, N.A. | 10/08/14 | (554 | ) | |||||||||||||||
USD | 84,565,010 | CZK | 1,803,222,000 | State Street Bank and Trust Company | 12/17/14 | 1,649,988 | ||||||||||||||||
USD | 6,164,641 | EUR | 4,696,816 | State Street Bank and Trust Company | 10/06/14 | 232,173 | ||||||||||||||||
USD | 9,583,398 | EUR | 7,401,679 | Morgan Stanley & Co., LLC | 12/17/14 | 229,633 | ||||||||||||||||
USD | 50,169,114 | EUR | 38,752,000 | State Street Bank and Trust Company | 12/17/14 | 1,196,832 | ||||||||||||||||
USD | 272,037 | EUR | 209,770 | Morgan Stanley & Co., LLC | 12/30/14 | 6,917 | ||||||||||||||||
USD | 38,365 | EUR | 29,821 | Morgan Stanley & Co., LLC | 12/30/14 | 676 | ||||||||||||||||
USD | 6,829,461 | EUR | 5,100,000 | State Street Bank and Trust Company | 11/04/14 | 386,528 | ||||||||||||||||
USD | 1,291,280 | EUR | 979,486 | JPMorgan Chase Bank, N.A. | 12/17/14 | 53,470 | ||||||||||||||||
USD | 5,116,880 | EUR | 4,000,000 | State Street Bank and Trust Company | 10/24/14 | 63,963 | ||||||||||||||||
USD | 10,888,118 | GBP | 6,711,863 | Morgan Stanley & Co., LLC | 12/17/14 | 14,414 | ||||||||||||||||
USD | 2,207,064 | HKD | 17,103,646 | Morgan Stanley & Co., LLC | 12/17/14 | 4,685 | ||||||||||||||||
USD | 155,623 | HKD | 1,208,705 | Morgan Stanley & Co., LLC | 12/17/14 | (18 | ) | |||||||||||||||
USD | 16,763,715 | HUF | 4,089,173,000 | State Street Bank and Trust Company | 12/17/14 | 166,630 | ||||||||||||||||
USD | 12,908,013 | ILS | 46,798,000 | State Street Bank and Trust Company | 12/17/14 | 191,204 | ||||||||||||||||
USD | 646,868 | JPY | 67,843,544 | Morgan Stanley Capital Services LLC | 12/17/14 | 27,855 | ||||||||||||||||
USD | 211,377 | JPY | 22,530,203 | Morgan Stanley & Co., LLC | 12/17/14 | 5,808 | ||||||||||||||||
USD | 4,407 | JPY | 470,136 | Morgan Stanley & Co., LLC | 12/17/14 | 118 | ||||||||||||||||
USD | 16,832,379 | JPY | 1,798,118,908 | Morgan Stanley & Co., LLC | 12/17/14 | 426,104 | ||||||||||||||||
USD | 32,010 | JPY | 3,425,390 | Morgan Stanley & Co., LLC | 12/17/14 | 756 | ||||||||||||||||
USD | 117,728 | JPY | 12,622,260 | Morgan Stanley & Co., LLC | 12/17/14 | 2,561 | ||||||||||||||||
USD | 43,212 | JPY | 4,689,194 | Morgan Stanley & Co., LLC | 12/17/14 | 427 | ||||||||||||||||
USD | 167,604 | JPY | 18,245,421 | Morgan Stanley & Co., LLC | 12/17/14 | 1,131 | ||||||||||||||||
USD | 168,348 | JPY | 18,323,619 | Morgan Stanley & Co., LLC | 12/17/14 | 1,160 | ||||||||||||||||
USD | 317,957 | JPY | 34,486,872 | Morgan Stanley & Co., LLC | 12/17/14 | 3,294 | ||||||||||||||||
USD | 1,265,981 | MXN | 16,739,431 | JPMorgan Chase Bank, N.A. | 12/17/14 | 26,036 | ||||||||||||||||
USD | 3,863 | MXN | 50,738 | JPMorgan Chase Bank, N.A. | 12/17/14 | 105 | ||||||||||||||||
USD | 560,000 | MXN | 7,432,930 | JPMorgan Chase Bank, N.A. | 10/17/14 | 7,142 | ||||||||||||||||
USD | 100,000 | MYR | 330,386 | JPMorgan Chase Bank, N.A. | 12/17/14 | (122 | ) | |||||||||||||||
USD | 16,352,716 | NZD | 20,232,000 | State Street Bank and Trust Company | 12/17/14 | 676,591 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 23,175,031 | PLN | 75,663,000 | State Street Bank and Trust Company | 12/17/14 | $ | 404,781 | |||||||||||||||
USD | 11,773,049 | RUB | 456,394,000 | State Street Bank and Trust Company | 12/17/14 | 412,789 | ||||||||||||||||
USD | 2,878,490 | ZAR | 31,058,902 | JPMorgan Chase Bank, N.A. | 12/17/14 | 161,115 | ||||||||||||||||
|
| |||||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts |
| $ | 4,426,486 | |||||||||||||||||||
|
|
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2014
Reference | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
CDX.EM.21 | (5.00%) | 06/20/19 | JPMorgan Chase Bank, N.A. | 1,584,000 USD | $ | (143,322 | ) | $ | (124,344 | ) | $ | (18,978) | ||||||||||||||
iTraxx CEEMA Series 21 Version 1 | (1.00%) | 06/20/19 | JPMorgan Chase Bank, N.A. | 225,000 USD | 15,625 | 22,167 | (6,542) | |||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | (127,697 | ) | $ | (102,177 | ) | $ | (25,520) | |||||||||||||||||
OTC Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at September 30, 2014
Reference | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
ArcelorMittal SA | (1.00%) | 12/20/18 | Credit Suisse International | 7,000,000 EUR | $ | 380,063 | $ | 453,503 | $ | (73,440) | ||||||||||||||||
United Mexican States | (1.00%) | 12/20/19 | Morgan Stanley Capital Services LLC | 14,606,000 USD | 88,382 | (72,072) | 160,454 | |||||||||||||||||||
Vinci SA | (1.00%) | 12/20/18 | Morgan Stanley Capital Services LLC | 2,000,000 EUR | (37,120) | (44,590) | 7,470 | |||||||||||||||||||
Vinci SA | (1.00%) | 12/20/18 | Credit Suisse International | 6,000,000 EUR | (111,360) | 43,501 | (154,861) | |||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issues (Buy Protection) |
| $ | 319,965 | $ | 380,342 | $ | (60,377) | |||||||||||||||||||
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
OTC Credit Default Swaps on Single-Name Issues (Sell Protection) — Outstanding at September 30, 2014
Reference | Rating(1) | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
Federal Republic of Brazil | Baa2 | 1.00% | 09/20/19 | Morgan Stanley Capital Services LLC | 14,598,000 USD | $ | (465,730 | ) | $ | (326,974 | ) | $ | (138,756 | ) | ||||||||||||
Fiat SpA | B2 | 5.00% | 03/20/18 | JPMorgan Chase Bank, N.A. | 4,000,000 EUR | 485,707 | 172,030 | 313,677 | ||||||||||||||||||
Rallye SA | NR | 5.00% | 09/20/18 | Morgan Stanley Capital Services LLC | 2,000,000 EUR | 263,244 | 175,342 | 87,902 | ||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issues (Sell Protection) |
| $ | 283,221 | $ | 20,398 | $ | 262,823 | |||||||||||||||||||
(1) | Using the higher of S&P’s or Moody’s ratings. NR represents a security that is not rated. |
(2) | 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. |
OTC Total Return Swaps Outstanding at September 30, 2014
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
Buys |
| |||||||||||||
Aegon NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | $ | 1,876,609 | $ | — | ||||||||
Airbus Group | 12/28/15 | Credit Suisse Securities (Europe) Limited | 3,983,478 | — | ||||||||||
Alcatel Lucent | 12/28/15 | Credit Suisse Securities (Europe) Limited | 853,111 | — | ||||||||||
Amadeus IT Holding SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,650,496 | — | ||||||||||
ArcelorMittal N.V. | 12/28/15 | Credit Suisse Securities (Europe) Limited | 7,565,710 | — | ||||||||||
AstraZeneca PLC | 06/19/19 | Credit Suisse Securities (Europe) Limited | 3,173,577 | 38,813 | ||||||||||
Atos | 12/28/15 | Credit Suisse Securities (Europe) Limited | 730,844 | — | ||||||||||
Barclays PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,086,580 | — | ||||||||||
Bayer AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 4,370,816 | — | ||||||||||
Beiersdorf AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 552,354 | — | ||||||||||
BP PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,914,853 | — | ||||||||||
BT Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,232,831 | 210 | ||||||||||
Carrefour SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,439,345 | — | ||||||||||
Commerzbank AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 958,629 | — | ||||||||||
Credit Agricole SA | 07/29/19 | Credit Suisse Securities (Europe) Limited | 4,771,381 | 490,826 | ||||||||||
Credit Suisse Group AG | 12/29/15 | Credit Suisse Securities (Europe) Limited | 2,527,251 | — | ||||||||||
Delta Lloyd NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,837,402 | — | ||||||||||
Deutsche Bank AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 3,422,875 | — | ||||||||||
Electricite De France EDF | 12/28/15 | Credit Suisse Securities (Europe) Limited | 3,956,278 | — | ||||||||||
Enel SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,149,928 | — | ||||||||||
ENI SpA Italia | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,732,834 | — |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
Fresenius Medical Care AG | 12/24/15 | Morgan Stanley Capital Services LLC | $ | 2,010,509 | $ | 46,014 | ||||||||
Fresenius Medical Care AG & Co KGaA | 12/24/15 | Credit Suisse Securities (Europe) Limited | 2,576,156 | — | ||||||||||
Fresenius SE & Co. KGAA | 06/22/16 | Morgan Stanley Capital Services LLC | 1,007,626 | (2,669 | ) | |||||||||
Friends Life Group Ltd. | 12/28/15 | Credit Suisse Securities (Europe) Limited | 968,030 | — | ||||||||||
Indonesia Government Bond | 10/30/14 | Credit Suisse International | 1,858,535 | (115,986 | ) | |||||||||
ING Groep NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,404,468 | — | ||||||||||
Intesa San Paolo | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,237,940 | — | ||||||||||
iShares MSCI Brazil Index ETF | 07/27/15 | Credit Suisse Securities (Europe) Limited | 434,978 | — | ||||||||||
Jazztel PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,831,646 | — | ||||||||||
JPCEWELL Index | 08/21/15 | JPMorgan Chase Bank N.A | 4,988 | (12,588 | ) | |||||||||
Koninklijke KPN NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 7,185,666 | — | ||||||||||
Linde AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 2,292,241 | — | ||||||||||
Lloyds Banking Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 3,917,314 | 97,681 | ||||||||||
MAN AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 74,613 | — | ||||||||||
Mead Johnson Nutrition Co. | 07/27/15 | Credit Suisse Securities (Europe) Limited | 1,061,210 | 4,136 | ||||||||||
Mediaset SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,869,395 | — | ||||||||||
Orange | 12/28/15 | Credit Suisse Securities (Europe) Limited | 994,387 | — | ||||||||||
Peugeot SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,813,084 | — | ||||||||||
Publicis Groupe | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,899,812 | — | ||||||||||
Puma SE | 12/24/15 | Credit Suisse Securities (Europe) Limited | 1,558,420 | — | ||||||||||
Rexel SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,601,592 | — | ||||||||||
Royal Bank of Scotland Group | 04/04/19 | Credit Suisse Securities (Europe) Limited | 5,224,939 | 213,789 | ||||||||||
Royal Dutch Shell PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 4,157,951 | — | ||||||||||
RWE | 12/24/15 | Credit Suisse Securities (Europe) Limited | 3,020,324 | — | ||||||||||
SabMiller PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,517,958 | — | ||||||||||
Safran SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 4,867,086 | 212,162 | ||||||||||
Safran SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,963,844 | — | ||||||||||
Sanofi | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,879,892 | — | ||||||||||
Sanofi | 12/28/15 | Morgan Stanley Capital Services LLC | 4,269,539 | 531,494 | ||||||||||
Shire PLC | 12/28/15 | Morgan Stanley Capital Services LLC | 3,766,853 | 103,770 | ||||||||||
Shire PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 4,391,487 | 2,475,936 | ||||||||||
Shire PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 915,298 | — | ||||||||||
Smith & Nephew PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 729,834 | — | ||||||||||
Societe Generale Paris | 12/28/15 | Credit Suisse Securities (Europe) Limited | 3,859,824 | — |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
STM IM | 12/28/15 | Credit Suisse Securities (Europe) Limited | $ | 1,785,327 | $ | — | ||||||||
TIM Participacoes SA ADR | 07/27/15 | Credit Suisse Securities (Europe) Limited | 2,214,686 | — | ||||||||||
TSB Banking Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 457,390 | — | ||||||||||
UBM PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,638,431 | 17,162 | ||||||||||
UniCredito | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,356,528 | — | ||||||||||
Vinci SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 8,406,403 | — | ||||||||||
Vodafone Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 9,396,122 | — | ||||||||||
Zalando SE | 12/24/15 | Credit Suisse Securities (Europe) Limited | 38,561 | — | ||||||||||
Zurich Insurance Group AG | 12/29/15 | Credit Suisse Securities (Europe) Limited | 1,866,847 | — | ||||||||||
|
| |||||||||||||
Total Buys |
| $ | 4,100,750 | |||||||||||
|
| |||||||||||||
Sells | ||||||||||||||
Abbvie, Inc. | 07/27/15 | Credit Suisse Securities (Europe) Limited | 565,355 | — | ||||||||||
Allianz SE REG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 1,274,042 | — | ||||||||||
America Movil ADR | 07/27/15 | Credit Suisse Securities (Europe) Limited | 304,366 | — | ||||||||||
AT&T, Inc. | 07/27/15 | Credit Suisse Securities (Europe) Limited | 1,516,095 | — | ||||||||||
Banco Santander SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,385,619 | — | ||||||||||
Bovespa Index | 10/15/14 | Morgan Stanley Capital Services LLC | 43 | 131,339 | ||||||||||
BT Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 319,762 | — | ||||||||||
Casino Guichard Perrachon SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,360,363 | — | ||||||||||
Danone | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,016,108 | — | ||||||||||
Deutsche Telekom AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 645,262 | — | ||||||||||
Distribuidora Internacional | 12/28/15 | Credit Suisse Securities (Europe) Limited | 832,914 | — | ||||||||||
Euro Stoxx SX7E | 07/15/15 | Credit Suisse Securities (Europe) Limited | 1,718,159 | (115,413 | ) | |||||||||
Faurecia | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,209,756 | — | ||||||||||
Fiat SpA | 02/09/15 | Credit Suisse Securities (Europe) Limited | 337,740 | — | ||||||||||
Heineken NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 320,991 | — | ||||||||||
iBoxx Liquid High Yield Index | 12/22/14 | JPMorgan Chase Bank N.A | 950,000 | 5,815 | ||||||||||
iBoxx Liquid High Yield Index | 12/22/14 | JPMorgan Chase Bank N.A | 2,000,000 | 8,157 | ||||||||||
IBoxx Liquid High Yield Index | 12/22/14 | JPMorgan Chase Bank N.A | 2,500,000 | 10,372 | ||||||||||
iBoxx Liquid High Yield Index | 12/22/14 | JPMorgan Chase Bank N.A | 2,850,000 | 36,799 | ||||||||||
iBoxx Liquid Leverage Loans Index | 12/22/14 | JPMorgan Chase Bank N.A | 2,500,000 | 23,524 | ||||||||||
iBoxx Liquid Leverage Loans Index | 12/22/14 | JPMorgan Chase Bank N.A | 500,000 | 1,797 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
iBoxx Liquid Leverage Loans Index | 12/22/14 | JPMorgan Chase Bank N.A | $ | 1,200,000 | $ | 988 | ||||||||
Infineon Technologies AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 858,412 | — | ||||||||||
iShares Russell 2000 ETF | 12/22/15 | Morgan Stanley Capital Services LLC | 843,352 | 9,977 | ||||||||||
KOSPI2 Index | 12/11/14 | Morgan Stanley Capital Services LLC | 214 | 622,528 | ||||||||||
Legal & General Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 961,661 | — | ||||||||||
MSCI Daily World Gross Airlines | 07/31/15 | JPMorgan Chase Bank N.A | 4,311 | 1,543 | ||||||||||
Nestle SA | 12/29/15 | Credit Suisse Securities (Europe) Limited | 68,432 | — | ||||||||||
Pernod Ricard | 12/28/15 | Credit Suisse Securities (Europe) Limited | 494,544 | — | ||||||||||
Reed Elsevier NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 962,399 | — | ||||||||||
Sainbury PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 724,762 | — | ||||||||||
SAP AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 95,415 | — | ||||||||||
SPDR S&P 500 ETF Trust | 12/22/15 | Morgan Stanley Capital Services LLC | 857,068 | (93,136 | ) | |||||||||
Technip SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,189,539 | — | ||||||||||
Telecom Italia SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 356,595 | — | ||||||||||
Telefonica Brasil | 07/27/15 | Credit Suisse Securities (Europe) Limited | 237,892 | (2,353 | ) | |||||||||
Telefonica SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 750,639 | — | ||||||||||
Telenor ASA | 12/29/15 | Credit Suisse Securities (Europe) Limited | 346,841 | — | ||||||||||
Teliasonera AB | 12/28/15 | Credit Suisse Securities (Europe) Limited | 390,858 | — | ||||||||||
Texas Instruments, Inc. | 07/27/15 | Credit Suisse Securities (Europe) Limited | 972,876 | — | ||||||||||
Unilever DR | 12/28/15 | Credit Suisse Securities (Europe) Limited | 796,320 | — | ||||||||||
Unilever PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 432,897 | — | ||||||||||
Veolia Environment SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,014,997 | — | ||||||||||
Volkswagen AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 2,412,841 | — | ||||||||||
WPP PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 963,341 | — | ||||||||||
|
| |||||||||||||
Total Sells |
| $ | 641,937 | |||||||||||
|
| |||||||||||||
Total OTC Total Return Swaps Outstanding | $ | 4,742,687 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2014
The Fund | Floating Rate | Fixed | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
Receives | Three-Month Libor | 1.000% | 12/19/16 | Credit Suisse (USA) Securities LLC | 46,592,000 USD | $ | 10,063 | $ | (6,759 | ) | $ | 16,822 | ||||||||||||||
Receives | Three-Month Libor | 1.919% | 09/30/19 | Morgan Stanley & Co. LLC | 6,923,000 USD | 9,062 | — | 9,062 | ||||||||||||||||||
Receives | Three-Month Libor | 2.250% | 12/17/19 | Credit Suisse (USA) Securities LLC | 22,187,000 USD | (194,033 | ) | (150,095 | ) | (43,938 | ) | |||||||||||||||
Receives | Three-Month Libor | 2.534% | 09/25/24 | Morgan Stanley & Co. LLC | 8,180,000 USD | 86,578 | — | 86,578 | ||||||||||||||||||
Pays | Three-Month Libor | 3.500% | 12/19/44 | Credit Suisse (USA) Securities LLC | 4,033,000 USD | 219,195 | 139,052 | 80,143 | ||||||||||||||||||
Pays | Three-Month Libor | 3.000% | 12/17/24 | Credit Suisse (USA) Securities LLC | 3,780,000 USD | 90,099 | 58,234 | 31,865 | ||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding | $ | 220,964 | $ | 40,432 | $ | 180,532 | ||||||||||||||||||||
OTC Interest Rate Swap Outstanding at September 30, 2014
The Fund | Floating Rate | Fixed | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
Pays | BRL-CDI Rate | 11.045% | 01/02/17 | JPMorgan Chase Bank, N.A. | 6,898,355 BRL | $ | (54,214) | $ | — | $ | (54,214) | |||||||||||||||
Total OTC Interest Rate Swap Outstanding | $ | (54,214) | $ | — | $ | (54,214) | ||||||||||||||||||||
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Abbreviation Legend: | ||||
ADR | American Depository Receipt | |||
ASX | Australian Securities Exchange | |||
BRL-CDI | Brazil Interbank Deposit Rate | |||
CBOE | Chicago Board Options Exchange | |||
CBOT | Chicago Board of Trade | |||
CDE | Montreal Exchange | |||
CFE | CBOE Futures Exchange | |||
CME | Chicago Mercantile Exchange | |||
COMEX | Commodities Exchange Center | |||
ETF | Exchange-Traded Fund | |||
Eurex | Eurex Exchange | |||
Euronext | Euronext Paris | |||
FTSE | Financial Times and Stock Exchange | |||
FX | Foreign Exchange | |||
HKFE | Hong Kong Futures Exchange Ltd. | |||
ICE | Ice Futures Europe | |||
LIBOR | London Interbank Offered Rate | |||
LIF | New York Stock Exchange Euronext Liffe | |||
MEFF | MEFF Renta Variable | |||
MexDer | Mexican Derivatives Exchange | |||
MTN | Medium Term Note | |||
Nasdaq-OMX | NASDAQ OMX Stockholm | |||
NYMEX | New York Mercantile Exchange | |||
OSE | Osaka Exchange | |||
OTC | Over the Counter | |||
PIK | Payment in Kind | |||
REG S | Regulation-S | |||
REIT | Real Estate Investment Trust | |||
Safex | South African Futures Exchange | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
SPDR | Standard and Poor’s Depository Receipt | |||
Currency Legend: | ||||
ARS | Argentina Peso | |||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CLP | Chilean Peso | |||
CNY | Chinese Yuan | |||
COP | Colombian Peso | |||
CZK | Czech Koruna | |||
DKK | Danish Krone | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
HUF | Hungarian Forint |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
ILS | Israeli Shekel | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korea Won | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
NGN | Nigerian Naira | |||
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
PEN | Peruvian Nuevo Sol | |||
PHP | Philippine Peso | |||
PLN | Polish Zloty | |||
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.
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Consolidated Schedule of Investments
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
INVESTMENT IN SECURITIES — 70.8% | ||||||||||
COMMON STOCK — 41.4% | ||||||||||
Belgium — 0.2% | ||||||||||
Consumer Products — 0.1% | ||||||||||
Anheuser-Busch InBev NV | 1,630 | $ | 181,419 | |||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Ageas | 15,120 | 501,973 | ||||||||
|
| |||||||||
Total Belgium | 683,392 | |||||||||
|
| |||||||||
Bermuda — 0.7% | ||||||||||
Insurance — 0.3% | ||||||||||
Aspen Insurance Holdings Ltd. (a) | 13,200 | 564,564 | ||||||||
Assured Guaranty Ltd. (a) | 43,900 | 972,824 | ||||||||
Blue Capital Reinsurance Holdings Ltd. (a) | 1,200 | 21,228 | ||||||||
Third Point Reinsurance Ltd. (a),(c) | 600 | 8,730 | ||||||||
|
| |||||||||
1,567,346 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.1% | ||||||||||
Kosmos Energy Ltd. (a),(c) | 1,900 | 18,924 | ||||||||
Nabors Industries Ltd. (a) | 11,400 | 259,464 | ||||||||
Seadrill Ltd. (a) | 2,800 | 74,928 | ||||||||
|
| |||||||||
353,316 | ||||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Marvell Technology Group Ltd. (a) | 2,100 | 28,308 | ||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Genpact Ltd. (a),(c) | 10,400 | 169,728 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.3% | ||||||||||
Golar LNG Ltd. | 6,293 | 417,855 | ||||||||
Knightsbridge Tankers Ltd. (a) | 1,100 | 9,735 | ||||||||
Teekay Corp. (a) | 10,900 | 723,324 | ||||||||
|
| |||||||||
1,150,914 | ||||||||||
|
| |||||||||
Total Bermuda | 3,269,612 | |||||||||
|
| |||||||||
Brazil — 0.1% | ||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Cosan Ltd. A Shares | 8,638 | 92,945 | ||||||||
|
| |||||||||
Utilities — 0.1% | ||||||||||
Cia Energetica de Minas Gerais ADR (a) | 28,400 | 176,932 | ||||||||
|
| |||||||||
Total Brazil | 269,877 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Canada — 0.5% | ||||||||||
Automotive — 0.0% | ||||||||||
Magna International, Inc. | 400 | $ | 37,964 | |||||||
|
| |||||||||
Banking — 0.0% | ||||||||||
Bank of Nova Scotia (The) | 1,100 | 68,035 | ||||||||
Royal Bank of Canada (b) | 800 | 57,160 | ||||||||
|
| |||||||||
125,195 | ||||||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
Methanex Corp. (a) | 100 | 6,680 | ||||||||
|
| |||||||||
Consumer Products — 0.0% | ||||||||||
Cott Corp. (a),(b) | 4,900 | 33,663 | ||||||||
SunOpta, Inc. (a),(c) | 200 | 2,414 | ||||||||
|
| |||||||||
36,077 | ||||||||||
|
| |||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Celestica, Inc. (a),(c) | 3,800 | 38,570 | ||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Mercer International, Inc. (a),(b),(c) | 4,300 | 41,925 | ||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
Tim Hortons, Inc. | 100 | 7,881 | ||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Dragonwave, Inc. (a),(c) | 300 | 369 | ||||||||
Sierra Wireless, Inc. (a),(b),(c) | 600 | 16,044 | ||||||||
|
| |||||||||
16,413 | ||||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Points International Ltd. (a),(c) | 100 | 1,742 | ||||||||
|
| |||||||||
Metals & Mining — 0.1% | ||||||||||
Alexco Resource Corp. (a),(c) | 100 | 67 | ||||||||
Cameco Corp. (b) | 800 | 14,128 | ||||||||
Dominion Diamond Corp. (a),(b),(c) | 7,300 | 103,952 | ||||||||
IAMGOLD Corp. (a) | 16,700 | 46,092 | ||||||||
Kinross Gold Corp. (a),(b),(c) | 75,500 | 249,150 | ||||||||
MFC Industrial Ltd. (a) | 700 | 4,977 | ||||||||
Nevsun Resources Ltd. (a) | 2,000 | 7,220 | ||||||||
New Gold, Inc. (a),(c) | 500 | 2,525 | ||||||||
Taseko Mines Ltd. (a),(c) | 600 | 1,020 | ||||||||
|
| |||||||||
429,131 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
98
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Advantage Oil & Gas Ltd. (a),(b),(c) | 5,600 | $ | 28,504 | |||||||
Gran Tierra Energy, Inc. (a),(b),(c) | 4,600 | 25,484 | ||||||||
Precision Drilling Corp. (a) | 4,900 | 52,871 | ||||||||
TransGlobe Energy Corp. (a),(b) | 2,100 | 12,768 | ||||||||
|
| |||||||||
119,627 | ||||||||||
|
| |||||||||
Renewable Energy — 0.2% | ||||||||||
Canadian Solar, Inc. (a),(b),(c) | 27,300 | 976,521 | ||||||||
|
| |||||||||
Retail Discretionary — 0.1% | ||||||||||
Lululemon Athletica, Inc. (a),(b),(c) | 3,200 | 134,432 | ||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
TransAlta Corp. (a) | 100 | 1,050 | ||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — 0.1% | ||||||||||
Progressive Waste Solutions Ltd. (a),(b) | 6,400 | 164,928 | ||||||||
|
| |||||||||
Total Canada | 2,138,136 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
Chemicals — 0.0% | ||||||||||
Sociedad Quimica y Minera de Chile SA ADR (a) | 100 | 2,614 | ||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
Parque Arauco SA | 37,738 | 72,552 | ||||||||
|
| |||||||||
Total Chile | 75,166 | |||||||||
|
| |||||||||
China — 0.7% | ||||||||||
Automotive — 0.0% | ||||||||||
China Automotive Systems, Inc. (a) | 1,900 | 17,442 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceutical — 0.0% | ||||||||||
Sinovac Biotech Ltd. (a),(c) | 500 | 2,405 | ||||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
Gulf Resources, Inc. (a),(c) | 300 | 429 | ||||||||
|
| |||||||||
Commercial Services — 0.0% | ||||||||||
51job, Inc. ADR (a),(c) | 100 | 2,993 | ||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
New Oriental Education & Technology Group, Inc. ADR (a),(c) | 3,500 | 81,200 | ||||||||
TAL Education Group ADR (a),(c) | 300 | 10,482 | ||||||||
|
| |||||||||
91,682 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
99
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Nam Tai Property, Inc. (a) | 500 | $ | 3,035 | |||||||
|
| |||||||||
Health Care Facilities/Services — 0.1% | ||||||||||
WuXi PharmaTech Cayman, Inc. ADR (a),(c) | 6,100 | 213,622 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
CNINSURE, Inc. ADR (a),(c) | 1,900 | 10,450 | ||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
Hollysys Automation Technologies Ltd. (a),(c) | 400 | 8,996 | ||||||||
|
| |||||||||
Media — 0.3% | ||||||||||
Ctrip.com International Ltd. ADR (a),(c) | 800 | 45,408 | ||||||||
Phoenix New Media Ltd. ADR (a),(c) | 300 | 2,805 | ||||||||
Qihoo 360 Technology Co. Ltd. ADR (c),(d) | 5,028 | 339,239 | ||||||||
Sohu.com, Inc. (a),(c) | 300 | 15,069 | ||||||||
Tencent Holdings Ltd. | 69,200 | 1,029,331 | ||||||||
Zhaopin Ltd. ADR (a),(c) | 2,900 | 37,613 | ||||||||
|
| |||||||||
1,469,465 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
Guangshen Railway Co. Ltd. ADR (a) | 200 | 3,932 | ||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
E-House China Holdings Ltd. ADR (a) | 4,200 | 39,984 | ||||||||
Xinyuan Real Estate Co. ADR (a) | 3,200 | 9,408 | ||||||||
|
| |||||||||
49,392 | ||||||||||
|
| |||||||||
Renewable Energy — 0.1% | ||||||||||
JA Solar Holdings Co. Ltd. ADR (a),(c) | 19,300 | 178,525 | ||||||||
Trina Solar Ltd. ADR (a),(c) | 8,000 | 96,560 | ||||||||
|
| |||||||||
275,085 | ||||||||||
|
| |||||||||
Retail Discretionary — 0.2% | ||||||||||
Alibaba Group Holdings ADR (c),(d) | 8,272 | 734,967 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
Changyou.com Ltd. ADR (a),(c) | 900 | 21,537 | ||||||||
Perfect World Co. Ltd. ADR (a) | 6,400 | 126,016 | ||||||||
|
| |||||||||
147,553 | ||||||||||
|
| |||||||||
Telecommunication — 0.0% | ||||||||||
21Vianet Group, Inc. ADR (a),(c) | 200 | 3,600 | ||||||||
|
| |||||||||
Total China | 3,035,048 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
100
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Colombia — 0.0% | ||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Pacific Rubiales Energy Corp. | 2,794 | $ | 46,851 | |||||||
|
| |||||||||
Total Colombia | 46,851 | |||||||||
|
| |||||||||
Denmark — 0.0% | ||||||||||
Commercial Services — 0.0% | ||||||||||
ISS A/S (c) | 8,047 | 218,190 | ||||||||
|
| |||||||||
Total Denmark | 218,190 | |||||||||
|
| |||||||||
France — 0.2% | ||||||||||
Banking — 0.2% | ||||||||||
BNP Paribas SA | 4,656 | 308,858 | ||||||||
Credit Agricole SA | 28,461 | 429,395 | ||||||||
Societe Generale SA | 7,065 | 360,686 | ||||||||
|
| |||||||||
Total France | 1,098,939 | |||||||||
|
| |||||||||
Germany — 0.4% | ||||||||||
Automotive — 0.0% | ||||||||||
Volkswagen AG (b) | 247 | 51,257 | ||||||||
|
| |||||||||
Health Care Facilities/Services — 0.4% | ||||||||||
Fresenius SE & Co. KGaA | 33,059 | 1,636,595 | ||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
Deutsche Wohnen AG | 3,314 | 70,823 | ||||||||
LEG Immobilien AG | 1,773 | 122,875 | ||||||||
|
| |||||||||
193,698 | ||||||||||
|
| |||||||||
Retail Discretionary — 0.0% | ||||||||||
Zalando SE | 694 | 18,846 | ||||||||
|
| |||||||||
Total Germany | 1,900,396 | |||||||||
|
| |||||||||
Greece — 0.1% | ||||||||||
Real Estate — 0.1% | ||||||||||
Eurobank Properties Real Estate Investment Co. | 26,265 | 298,566 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
Costamare, Inc. (a) | 5,000 | 109,800 | ||||||||
Diana Shipping, Inc. (a),(c) | 1,800 | 16,092 | ||||||||
Navios Maritime Acquisition Corp. / Navios Acquisition Finance US, Inc. (a) | 100 | 271 | ||||||||
Safe Bulkers, Inc. (a) | 1,800 | 11,988 | ||||||||
StealthGas, Inc. (a),(c) | 1,500 | 13,665 | ||||||||
Tsakos Energy Navigation Ltd. (a) | 1,500 | 9,570 | ||||||||
|
| |||||||||
161,386 | ||||||||||
|
| |||||||||
Total Greece | 459,952 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Hong Kong — 0.2% | ||||||||||
Institutional Financial Service — 0.1% | ||||||||||
Hong Kong Exchanges and Clearing Ltd. | 16,100 | $ | 346,887 | |||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
AIA Group Ltd. | 67,400 | 348,508 | ||||||||
|
| |||||||||
Total Hong Kong | 695,395 | |||||||||
|
| |||||||||
Ireland — 3.6% | ||||||||||
Asset Management — 0.1% | ||||||||||
Henderson Group PLC | 151,872 | 499,308 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 3.1% | ||||||||||
Endo International PLC (c),(d),(e) | 16,046 | 1,096,584 | ||||||||
Mallinckrodt PLC (a),(b),(c),(d),(e) | 61,339 | 5,529,711 | ||||||||
Shire PLC ADR (d) | 30,407 | 7,876,933 | ||||||||
|
| |||||||||
14,503,228 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.3% | ||||||||||
Allegion PLC (a) | 7,477 | 356,204 | ||||||||
Ingersoll-Rand PLC | 16,491 | 929,433 | ||||||||
|
| |||||||||
1,285,637 | ||||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Seagate Technology PLC (a) | 2,800 | 160,356 | ||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Covidien PLC | 1,100 | 95,161 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Hibernia REIT PLC (c) | 213,426 | 310,003 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
King Digital Entertainment PLC (a) | 1,700 | 21,590 | ||||||||
|
| |||||||||
Total Ireland | 16,875,283 | |||||||||
|
| |||||||||
Israel — 0.1% | ||||||||||
Biotechnology & Pharmaceutical — 0.1% | ||||||||||
Teva Pharmaceutical Industries Ltd. ADR (e) | 6,897 | 370,714 | ||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
Orbotech Ltd. (a),(c) | 5,200 | 81,016 | ||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Ceragon Networks Ltd. (a),(c) | 300 | 714 | ||||||||
Radware Ltd. (a),(c) | 400 | 7,064 | ||||||||
|
| |||||||||
7,778 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Syneron Medical Ltd. (c) | 200 | $ | 2,004 | |||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Nova Measuring Instruments Ltd. (a),(c) | 600 | 6,480 | ||||||||
Tower Semiconductor Ltd. (a),(c) | 2,600 | 26,442 | ||||||||
|
| |||||||||
32,922 | ||||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
Cimatron Ltd. (a),(c) | 200 | 1,206 | ||||||||
Sapiens International Corp. NV (a),(c) | 100 | 740 | ||||||||
|
| |||||||||
1,946 | ||||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Clicksoftware Technologies Ltd. (a) | 100 | 803 | ||||||||
Magic Software Enterprises Ltd. (a) | 600 | 4,158 | ||||||||
|
| |||||||||
4,961 | ||||||||||
|
| |||||||||
Total Israel | 501,341 | |||||||||
|
| |||||||||
Italy — 0.4% | ||||||||||
Asset Management — 0.1% | ||||||||||
Anima Holding SpA (c) | 70,755 | 389,462 | ||||||||
|
| |||||||||
Banking — 0.3% | ||||||||||
Banca Generali SpA | 10,663 | 281,883 | ||||||||
Banca Popolare dell’Emilia Romagna (c),(e) | 72,414 | 576,214 | ||||||||
FinecoBank SpA (c) | 58,471 | 312,984 | ||||||||
|
| |||||||||
1,171,081 | ||||||||||
|
| |||||||||
Home & Office Products — 0.0% | ||||||||||
De’Longhi SpA | 3,344 | 67,325 | ||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Cerved Information Solutions SpA (c) | 16,003 | 98,718 | ||||||||
|
| |||||||||
Total Italy | 1,726,586 | |||||||||
|
| |||||||||
Japan — 1.9% | ||||||||||
Automotive — 0.3% | ||||||||||
Aisin Seiki Co. Ltd. | 500 | 18,030 | ||||||||
Honda Motor Co. Ltd. | 200 | 6,929 | ||||||||
Isuzu Motors Ltd. | 28,000 | 395,715 | ||||||||
Mazda Motor Corp. | 48,100 | 1,205,625 | ||||||||
Toyota Motor Corp. | 300 | 17,679 | ||||||||
|
| |||||||||
1,643,978 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
103
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Banking — 0.2% | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 52,700 | $ | 298,013 | |||||||
Mizuho Financial Group, Inc. | 5,300 | 9,467 | ||||||||
Shinsei Bank Ltd. | 202,000 | 432,824 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 200 | 8,153 | ||||||||
Sumitomo Mitsui Financial Group, Inc. ADR (b) | 1,400 | 11,480 | ||||||||
|
| |||||||||
759,937 | ||||||||||
|
| |||||||||
Chemicals — 0.1% | ||||||||||
Nitto Denko Corp. (d) | 4,600 | 252,282 | ||||||||
|
| |||||||||
Distributors—Consumer Staples — 0.1% | ||||||||||
Mitsubishi Corp. | 28,700 | 587,738 | ||||||||
|
| |||||||||
Electrical Equipment — 0.4% | ||||||||||
Hitachi Ltd. | 45,000 | 343,629 | ||||||||
Mitsubishi Heavy Industries Ltd. | 215,000 | 1,383,214 | ||||||||
|
| |||||||||
1,726,843 | ||||||||||
|
| |||||||||
Industrial Services — 0.1% | ||||||||||
Sumitomo Corp. (d) | 38,600 | 426,034 | ||||||||
|
| |||||||||
Institutional Financial Service — 0.0% | ||||||||||
Daiwa Securities Group, Inc. | 1,000 | 7,922 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
T&D Holdings, Inc. | 26,300 | 337,757 | ||||||||
Tokio Marine Holdings, Inc. | 9,200 | 285,416 | ||||||||
|
| |||||||||
623,173 | ||||||||||
|
| |||||||||
Iron & Steel — 0.0% | ||||||||||
Nippon Steel & Sumitomo Metal Corp. | 86,000 | 223,165 | ||||||||
|
| |||||||||
Machinery — 0.2% | ||||||||||
Komatsu Ltd. | 18,600 | 430,170 | ||||||||
Kubota Corp. (d) | 44,786 | 707,470 | ||||||||
|
| |||||||||
1,137,640 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.1% | ||||||||||
ITOCHU Corp. | 29,100 | 355,541 | ||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
Japan Airlines Co. Ltd. | 800 | 21,883 | ||||||||
|
| |||||||||
Real Estate — 0.2% | ||||||||||
Industrial & Infrastructure Fund Investment Corp. | 43 | 356,390 | ||||||||
Mitsubishi Estate Co. Ltd. | 3,000 | 67,522 | ||||||||
Mitsui Fudosan Co. Ltd. | 10,800 | 330,819 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Sumitomo Realty & Development Co. Ltd. | 2,000 | $ | 71,165 | |||||||
|
| |||||||||
825,896 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.1% | ||||||||||
Seven & I Holdings Co. Ltd. | 7,200 | 279,269 | ||||||||
|
| |||||||||
Total Japan | 8,871,301 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Chemicals — 0.0% | ||||||||||
Orion Engineered Carbons SA (a),(c) | 200 | 3,524 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
GAGFAH SA (c) | 11,943 | 222,498 | ||||||||
|
| |||||||||
Total Luxembourg | 226,022 | |||||||||
|
| |||||||||
Mexico — 0.1% | ||||||||||
Banking — 0.0% | ||||||||||
Grupo Financiero Banorte SAB de CV O Shares | 1,908 | 12,186 | ||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
OHL Mexico SAB de CV (c) | 47,913 | 129,678 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Corp. Inmobiliaria Vesta SAB de CV | 31,553 | 67,544 | ||||||||
Mexico Real Estate Management SA de CV | 5,968 | 10,509 | ||||||||
Prologis Property Mexico SA de CV | 111,289 | 234,005 | ||||||||
|
| |||||||||
312,058 | ||||||||||
|
| |||||||||
Retail Discretionary — 0.0% | ||||||||||
Grupo Sanborns SA de CV | 4,245 | 7,128 | ||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
Hoteles City Express SAB de CV (c) | 24,882 | 45,649 | ||||||||
|
| |||||||||
Total Mexico | 506,699 | |||||||||
|
| |||||||||
Netherlands — 1.1% | ||||||||||
Banking — 0.5% | ||||||||||
ING Groep NV CVA (c) | 169,160 | 2,416,467 | ||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
Chicago Bridge & Iron Co. NV (a) | 2,100 | 121,485 | ||||||||
|
| |||||||||
Insurance — 0.3% | ||||||||||
Aegon NV REG S (a) | 12,368 | 101,665 | ||||||||
Delta Lloyd NV (a) | 33,235 | 801,560 | ||||||||
NN Group NV (c) | 14,431 | 418,767 | ||||||||
|
| |||||||||
1,321,992 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
105
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Media — 0.0% | ||||||||||
Ziggo NV | 2,581 | $ | 120,911 | |||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Constellium NV A Shares (a),(c) | 2,200 | 54,142 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
AVG Technologies NV (a),(c) | 5,200 | 86,216 | ||||||||
|
| |||||||||
Specialty Finance — 0.3% | ||||||||||
AerCap Holdings NV (a),(c) | 26,193 | 1,071,294 | ||||||||
|
| |||||||||
Total Netherlands | 5,192,507 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
Banking — 0.1% | ||||||||||
Alior Bank SA (c) | 16,796 | 430,992 | ||||||||
|
| |||||||||
Total Poland | 430,992 | |||||||||
|
| |||||||||
Portugal — 0.0% | ||||||||||
Telecommunication — 0.0% | ||||||||||
Portugal Telecom SGPS SA ADR (a) | 2,900 | 6,061 | ||||||||
|
| |||||||||
Total Portugal | 6,061 | |||||||||
|
| |||||||||
Puerto Rico — 0.0% | ||||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
Triple-S Management Corp. B Shares (a),(c) | 2,500 | 49,750 | ||||||||
|
| |||||||||
Total Puerto Rico | 49,750 | |||||||||
|
| |||||||||
Republic of Korea — 0.1% | ||||||||||
Automotive — 0.0% | ||||||||||
Hyundai Motor Co. | 266 | 48,020 | ||||||||
|
| |||||||||
Hardware — 0.1% | ||||||||||
Samsung Electronics Co. Ltd. | 119 | 133,519 | ||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Magnachip Semiconductor Corp. (a),(c) | 1,600 | 18,720 | ||||||||
SK Hynix, Inc. | 1,089 | 48,245 | ||||||||
|
| |||||||||
66,965 | ||||||||||
|
| |||||||||
Total Republic of Korea | 248,504 | |||||||||
|
| |||||||||
Singapore — 0.1% | ||||||||||
Design Manufacturing & Distribution — 0.1% | ||||||||||
Flextronics International Ltd. (a),(b),(c) | 39,200 | 404,544 | ||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
China Yuchai International Ltd. (a) | 1,400 | 25,956 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
106
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — 0.0% | ||||||||||
Ascendas Real Estate Investment Trust | 3,000 | $ | 5,291 | |||||||
CapitaCommercial Trust | 11,000 | 13,753 | ||||||||
CapitaMall Trust | 3,000 | 4,492 | ||||||||
CDL Hospitality Trusts | 4,000 | 5,236 | ||||||||
Mapletree Logistics Trust | 7,000 | 6,338 | ||||||||
Suntec Real Estate Investment Trust | 4,000 | 5,519 | ||||||||
|
| |||||||||
40,629 | ||||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Kulicke & Soffa Industries, Inc. (a),(c) | 12,700 | 180,721 | ||||||||
|
| |||||||||
Total Singapore | 651,850 | |||||||||
|
| |||||||||
South Africa — 0.0% | ||||||||||
Metals & Mining — 0.0% | ||||||||||
Gold Fields Ltd. ADR (a) | 11,600 | 45,240 | ||||||||
Harmony Gold Mining Co. Ltd. ADR (a) | 10,200 | 22,032 | ||||||||
|
| |||||||||
67,272 | ||||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Net 1 UEPS Technologies, Inc. (a),(c) | 11,500 | 138,575 | ||||||||
|
| |||||||||
Total South Africa | 205,847 | |||||||||
|
| |||||||||
Spain — 0.0% | ||||||||||
Biotechnology & Pharmaceutical — 0.0% | ||||||||||
Grifols SA ADR (a) | 500 | 17,565 | ||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
Abertis Infraestructuras SA | 636 | 12,564 | ||||||||
|
| |||||||||
Total Spain | 30,129 | |||||||||
|
| |||||||||
Sweden — 0.0% | ||||||||||
Telecommunication — 0.0% | ||||||||||
Com Hem Holding AB (c) | 8,099 | 58,980 | ||||||||
|
| |||||||||
Total Sweden | 58,980 | |||||||||
|
| |||||||||
Switzerland — 1.4% | ||||||||||
Asset Management — 0.1% | ||||||||||
Julius Baer Group Ltd. (a) | 6,463 | 290,080 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceutical — 0.7% | ||||||||||
Roche Holding AG (b),(e) | 10,374 | 3,076,233 | ||||||||
|
| |||||||||
Electrical Equipment — 0.2% | ||||||||||
Tyco International Ltd. | 21,134 | 941,942 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
107
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Institutional Financial Service — 0.3% | ||||||||||
Credit Suisse Group AG (e) | 10,209 | $ | 283,055 | |||||||
UBS AG | 67,206 | 1,172,779 | ||||||||
|
| |||||||||
1,455,834 | ||||||||||
|
| |||||||||
Retail Discretionary — 0.0% | ||||||||||
Dufry AG (c) | 765 | 116,669 | ||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Cembra Money Bank AG | 2,080 | 118,739 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.1% | ||||||||||
Flughafen Zuerich AG | 464 | 291,367 | ||||||||
|
| |||||||||
Total Switzerland | 6,290,864 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
Semiconductors — 0.0% | ||||||||||
ChipMOS Technologies Bermuda Ltd. (a) | 1,700 | 38,454 | ||||||||
Silicon Motion Technology Corp. ADR (a) | 2,500 | 67,350 | ||||||||
|
| |||||||||
Total Taiwan | 105,804 | |||||||||
|
| |||||||||
United Kingdom — 1.1% | ||||||||||
Automotive — 0.0% | ||||||||||
Delphi Automotive PLC | 100 | 6,134 | ||||||||
|
| |||||||||
Banking — 0.1% | ||||||||||
Standard Chartered PLC | 14,723 | 272,217 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.1% | ||||||||||
AstraZeneca PLC | 2,000 | 144,007 | ||||||||
GlaxoSmithKline PLC ADR (a),(b) | 12,900 | 593,013 | ||||||||
|
| |||||||||
737,020 | ||||||||||
|
| |||||||||
Commercial Services — 0.0% | ||||||||||
SSP Group PLC (c) | 11,730 | 49,385 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
St James’s Place PLC | 39,832 | 471,388 | ||||||||
|
| |||||||||
Media — 0.6% | ||||||||||
Liberty Global PLC (c),(d) | 66,765 | 2,738,366 | ||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
BP PLC ADR | 2,100 | 92,295 | ||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
International Consolidated Airlines Group SA (c) | 1,354 | 8,058 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
108
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — 0.1% | ||||||||||
Kennedy Wilson Europe Real Estate PLC (a) | 21,034 | $ | 372,364 | |||||||
|
| |||||||||
Telecommunication — 0.1% | ||||||||||
Vodafone Group PLC ADR (a),(b) | 16,800 | 552,552 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
Navigator Holdings Ltd. (a),(c) | 100 | 2,783 | ||||||||
|
| |||||||||
Total United Kingdom | 5,302,562 | |||||||||
|
| |||||||||
United States — 28.2% | ||||||||||
Aerospace & Defense — 0.5% | ||||||||||
Aerovironment, Inc. (a),(c) | 400 | 12,028 | ||||||||
Alliant Techsystems, Inc. (a),(b) | 7,000 | 893,480 | ||||||||
Ducommun, Inc. (a),(c) | 100 | 2,741 | ||||||||
Exelis, Inc. (a),(b) | 28,900 | 478,006 | ||||||||
Hexcel Corp. (a),(c) | 1,000 | 39,700 | ||||||||
Huntington Ingalls Industries, Inc. (a) | 200 | 20,842 | ||||||||
L-3 Communications Holdings, Inc. (b) | 400 | 47,568 | ||||||||
Orbital Sciences Corp. (a),(c) | 6,800 | 189,040 | ||||||||
Rockwell Collins, Inc. | 100 | 7,850 | ||||||||
Spirit Aerosystems Holdings, Inc. A Shares (a),(b),(c) | 7,500 | 285,450 | ||||||||
Textron, Inc. | 300 | 10,797 | ||||||||
TransDigm Group, Inc. (b) | 600 | 110,598 | ||||||||
|
| |||||||||
2,098,100 | ||||||||||
|
| |||||||||
Apparel & Textile Products — 0.0% | ||||||||||
Michael Kors Holdings Ltd. (c) | 700 | 49,973 | ||||||||
Perry Ellis International, Inc. (a),(c) | 800 | 16,280 | ||||||||
Skechers U.S.A., Inc. A Shares (b),(c) | 300 | 15,993 | ||||||||
|
| |||||||||
82,246 | ||||||||||
|
| |||||||||
Asset Management — 0.9% | ||||||||||
American Capital Ltd. (b),(c) | 54,300 | 768,888 | ||||||||
Apollo Investment Corp. (a) | 26,000 | 212,420 | ||||||||
Ares Capital Corp. (a),(b) | 39,600 | 639,936 | ||||||||
BlackRock Kelso Capital Corp. (a),(b) | 18,900 | 161,406 | ||||||||
Caesars Acquisition Co. A Shares (a),(c) | 1,200 | 11,364 | ||||||||
Calamos Asset Management, Inc. A Shares (a) | 500 | 5,635 | ||||||||
Carlyle Group LP (The) (b) | 3,482 | 106,062 | ||||||||
Charles Schwab Corp. (The) | 38,312 | 1,125,989 | ||||||||
Fidus Investment Corp. (a) | 200 | 3,302 | ||||||||
Fifth Street Finance Corp. (a) | 700 | 6,426 | ||||||||
Garrison Capital, Inc. (a),(b) | 1,900 | 27,493 | ||||||||
Gladstone Capital Corp. (a),(b) | 5,300 | 46,481 | ||||||||
Gladstone Investment Corp. (a) | 5,500 | 39,105 |
See Notes to Consolidated Financial Statements.
109
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Horizon Technology Finance Corp. (a) | 1,500 | $ | 20,190 | |||||||
KCAP Financial, Inc. (a) | 9,800 | 81,438 | ||||||||
Legg Mason, Inc. (a) | 6,100 | 312,076 | ||||||||
Medallion Financial Corp. (a),(b) | 2,100 | 24,486 | ||||||||
Oha Investment Corp. (a),(b) | 2,900 | 17,922 | ||||||||
PennantPark Floating Rate Capital Ltd. (a) | 200 | 2,756 | ||||||||
PennantPark Investment Corp. (a),(b) | 33,900 | 369,849 | ||||||||
Solar Capital Ltd. (a) | 11,800 | 220,424 | ||||||||
Solar Senior Capital Ltd. (a) | 2,400 | 36,936 | ||||||||
TICC Capital Corp. (a),(b) | 12,200 | 107,726 | ||||||||
WhiteHorse Finance, Inc. (a),(b) | 1,100 | 14,575 | ||||||||
|
| |||||||||
4,362,885 | ||||||||||
|
| |||||||||
Automotive — 0.1% | ||||||||||
BorgWarner, Inc. (b),(e) | 5,770 | 303,560 | ||||||||
Fuel Systems Solutions, Inc. (a),(c) | 100 | 891 | ||||||||
Gentherm, Inc. (a),(b),(c) | 400 | 16,892 | ||||||||
Methode Electronics, Inc. (a) | 100 | 3,687 | ||||||||
Modine Manufacturing Co. (a),(c) | 400 | 4,748 | ||||||||
Motorcar Parts of America, Inc. (a),(c) | 700 | 19,047 | ||||||||
Tesla Motors, Inc. (c) | 200 | 48,536 | ||||||||
Tower International, Inc. (a),(b),(c) | 4,000 | 100,760 | ||||||||
|
| |||||||||
498,121 | ||||||||||
|
| |||||||||
Banking — 1.9% | ||||||||||
Arrow Financial Corp. (a),(b) | 102 | 2,557 | ||||||||
Bancorp, Inc. (a),(c) | 700 | 6,013 | ||||||||
Bank Mutual Corp. (a),(b) | 1,900 | 12,179 | ||||||||
BankUnited, Inc. (b) | 19,600 | 597,604 | ||||||||
Beneficial Mutual Bancorp, Inc. (c) | 19,500 | 249,210 | ||||||||
Blue Hills Bancorp, Inc. (a),(b),(c) | 6,600 | 86,592 | ||||||||
Boston Private Financial Holdings, Inc. (a) | 100 | 1,239 | ||||||||
Centerstate Banks, Inc. (a) | 1,800 | 18,630 | ||||||||
Central Pacific Financial Corp. (a) | 1,300 | 23,309 | ||||||||
Charter Financial Corp. (a) | 3,200 | 34,240 | ||||||||
Chemical Financial Corp. (a),(b) | 2,600 | 69,914 | ||||||||
Citigroup, Inc. (a),(b) | 43,175 | 2,237,329 | ||||||||
ConnectOne Bancorp, Inc. (a) | 477 | 9,087 | ||||||||
Dime Community Bancshares, Inc. (a) | 300 | 4,320 | ||||||||
EverBank Financial Corp. | 23,200 | 409,712 | ||||||||
Farmers Capital Bank Corp. (a),(c) | 100 | 2,253 | ||||||||
Financial Institutions, Inc. (a) | 200 | 4,496 | ||||||||
First Busey Corp. (a) | 200 | 1,114 | ||||||||
First Citizens BancShares, Inc. A Shares (b) | 2,700 | 584,901 | ||||||||
First Financial Bancorp (a) | 300 | 4,749 | ||||||||
First Financial Northwest, Inc. (a) | 200 | 2,042 |
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
First Interstate Bancsystem, Inc. (a) | 2,700 | $ | 71,739 | |||||||
First Republic Bank (b) | 5,000 | 246,900 | ||||||||
First Security Group, Inc. (a),(c) | 1,400 | 2,772 | ||||||||
Franklin Financial Corp. (a),(c) | 400 | 7,444 | ||||||||
Fulton Financial Corp. (a),(b) | 2,300 | 25,484 | ||||||||
HomeTrust Bancshares, Inc. (a),(c) | 200 | 2,922 | ||||||||
Independent Bank Corp. (a) | 1,400 | 16,688 | ||||||||
JPMorgan Chase & Co. (b) | 2,452 | 147,708 | ||||||||
KeyCorp (a),(b) | 2,800 | 37,324 | ||||||||
Meridian Bancorp, Inc. (a),(b),(c) | 12,800 | 135,168 | ||||||||
National Bankshares, Inc. (a) | 200 | 5,552 | ||||||||
Old National Bancorp (a),(b) | 4,400 | 57,068 | ||||||||
Oritani Financial Corp. (a) | 1,200 | 16,908 | ||||||||
Pacific Premier Bancorp, Inc. (a),(c) | 100 | 1,405 | ||||||||
PNC Financial Services Group, Inc. (The) (a),(b) | 14,400 | 1,232,352 | ||||||||
PrivateBancorp, Inc. | 200 | 5,982 | ||||||||
Provident Financial Holdings, Inc. (a) | 200 | 2,918 | ||||||||
Seacoast Banking Corp. of Florida (a),(c) | 200 | 2,186 | ||||||||
Stock Yards Bancorp, Inc. (a) | 100 | 3,010 | ||||||||
Sun Bancorp, Inc. (a),(c) | 20 | 362 | ||||||||
Susquehanna Bancshares, Inc. (a) | 200 | 2,000 | ||||||||
TCF Financial Corp. (a),(b) | 1,200 | 18,636 | ||||||||
Towne Bank (a),(b) | 1,100 | 14,938 | ||||||||
Trico Bancshares (a) | 200 | 4,524 | ||||||||
Tristate Capital Holdings, Inc. (a),(b),(c) | 3,000 | 27,210 | ||||||||
TrustCo Bank Corp. (a) | 1,200 | 7,728 | ||||||||
Trustmark Corp. (a) | 600 | 13,821 | ||||||||
United Community Financial Corp. (a) | 100 | 468 | ||||||||
Wells Fargo & Co. (a) | 29,048 | 1,506,720 | ||||||||
Westfield Financial, Inc. (a) | 1,300 | 9,178 | ||||||||
Wilshire Bancorp, Inc. (a) | 500 | 4,615 | ||||||||
Yadkin Financial Corp. (a),(c) | 300 | 5,448 | ||||||||
Zions BanCorp. (b) | 24,800 | 720,688 | ||||||||
|
| |||||||||
8,719,356 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 5.4% | ||||||||||
AbbVie, Inc. (d) | 53,769 | 3,105,697 | ||||||||
Achillion Pharmaceuticals, Inc. (a),(b),(c) | 3,300 | 32,934 | ||||||||
Actavis PLC (a),(c),(d),(e) | 10,590 | 2,555,155 | ||||||||
Albany Molecular Research, Inc. (a),(c) | 900 | 19,863 | ||||||||
Alexion Pharmaceuticals, Inc. (b),(c),(d),(e) | 12,500 | 2,072,750 | ||||||||
Allergan, Inc. (a),(b),(e) | 16,504 | 2,940,848 | ||||||||
AMAG Pharmaceuticals, Inc. (a),(c) | 100 | 3,191 | ||||||||
Amicus Therapeutics, Inc. (a),(b),(c) | 2,500 | 14,875 | ||||||||
ArQule, Inc. (a),(c) | 1,000 | 1,120 | ||||||||
BioCryst Pharmaceuticals, Inc. (a),(c) | 1,300 | 12,714 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Biogen Idec, Inc. (b),(c),(e) | 6,102 | $ | 2,018,603 | |||||||
Cambrex Corp. (a),(c) | 1,000 | 18,680 | ||||||||
Cubist Pharmaceuticals, Inc. (a),(b),(c),(d),(e) | 26,600 | 1,764,644 | ||||||||
Depomed, Inc. (a),(b),(c) | 7,100 | 107,849 | ||||||||
Dyax Corp. (a),(b),(c) | 10,300 | 104,236 | ||||||||
Enzon Pharmaceuticals, Inc. (a) | 100 | 108 | ||||||||
Gilead Sciences, Inc. (c) | 167 | 17,777 | ||||||||
Incyte Corp. Ltd. (a),(b),(c) | 7,100 | 348,255 | ||||||||
Lannett Co., Inc. (a),(c) | 100 | 4,568 | ||||||||
Medivation, Inc. (a),(b),(c),(d),(e) | 18,500 | 1,829,095 | ||||||||
Merrimack Pharmaceuticals, Inc. (c) | 1,300 | 11,414 | ||||||||
Mylan, Inc. (b),(c),(d),(e) | 44,600 | 2,028,854 | ||||||||
Neurocrine Biosciences, Inc. (a),(c) | 100 | 1,567 | ||||||||
Omega Protein Corp. (a),(c) | 1,700 | 21,250 | ||||||||
Omeros Corp. (a),(c) | 600 | 7,632 | ||||||||
Pacira Pharmaceuticals, Inc. (c) | 500 | 48,460 | ||||||||
Pfizer, Inc. (b) | 2,481 | 73,363 | ||||||||
Rigel Pharmaceuticals, Inc. (a),(b),(c) | 2,600 | 5,044 | ||||||||
Salix Pharmaceuticals Ltd. (b),(c),(d),(e) | 28,888 | 4,513,461 | ||||||||
Sciclone Pharmaceuticals, Inc. (a),(b),(c) | 3,900 | 26,871 | ||||||||
Sunesis Pharmaceuticals, Inc. (a),(b),(c) | 3,700 | 26,418 | ||||||||
Targacept, Inc. (a),(b),(c) | 3,200 | 8,096 | ||||||||
Valeant Pharmaceuticals International, Inc. (b),(c) | 9,624 | 1,262,669 | ||||||||
Vical, Inc. (a),(c) | 300 | 336 | ||||||||
Ziopharm Oncology, Inc. (a),(c) | 100 | 264 | ||||||||
|
| |||||||||
25,008,661 | ||||||||||
|
| |||||||||
Chemicals — 0.1% | ||||||||||
Ferro Corp. (a),(c) | 600 | 8,694 | ||||||||
FMC Corp. (a),(b) | 4,900 | 280,231 | ||||||||
Intrepid Potash, Inc. (a),(b),(c) | 6,200 | 95,790 | ||||||||
OM Group, Inc. (a),(b) | 1,800 | 46,710 | ||||||||
Rockwood Holdings, Inc. (a) | 1,900 | 145,255 | ||||||||
|
| |||||||||
576,680 | ||||||||||
|
| |||||||||
Commercial Services — 0.1% | ||||||||||
AMN Healthcare Services, Inc. (a),(c) | 400 | 6,280 | ||||||||
ARC Document Solutions, Inc. (a),(c) | 800 | 6,480 | ||||||||
Barrett Business Services, Inc. | 200 | 7,898 | ||||||||
Collectors Universe (a) | 800 | 17,600 | ||||||||
Computer Task Group, Inc. (a),(b) | 1,900 | 21,090 | ||||||||
Courier Corp. (a) | 100 | 1,232 | ||||||||
CRA International, Inc. (a),(b),(c) | 1,700 | 43,231 | ||||||||
Hackett Group, Inc. (The) (a) | 200 | 1,192 | ||||||||
Heidrick & Struggles International, Inc. (a) | 100 | 2,054 | ||||||||
Insperity, Inc. (a) | 300 | 8,202 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Intersections, Inc. (a),(b) | 1,300 | $ | 4,992 | |||||||
Manpowergroup, Inc. (b) | 1,000 | 70,100 | ||||||||
Navigant Consulting, Inc. (a),(c) | 300 | 4,173 | ||||||||
On Assignment, Inc. (b),(c) | 100 | 2,685 | ||||||||
PRGX Global, Inc. (a),(c) | 1,700 | 9,962 | ||||||||
Resources Connection, Inc. (a) | 100 | 1,394 | ||||||||
ServiceMaster Global Holdings, Inc. (a),(b),(c) | 2,300 | 55,660 | ||||||||
TrueBlue, Inc. (a),(b),(c) | 1,200 | 30,312 | ||||||||
Vectrus, Inc. (c) | 1,605 | 31,346 | ||||||||
|
| |||||||||
325,883 | ||||||||||
|
| |||||||||
Construction Materials — 0.0% | ||||||||||
Headwaters, Inc. (a),(b),(c) | 500 | 6,270 | ||||||||
|
| |||||||||
Consumer Products — 0.2% | ||||||||||
Central Garden and Pet Co. A Shares (a),(c) | 200 | 1,608 | ||||||||
Chiquita Brands International, Inc. (a),(b),(c) | 900 | 12,780 | ||||||||
Coca-Cola Enterprises, Inc. | 2,562 | 113,650 | ||||||||
Female Health Co. (The) (a) | 200 | 698 | ||||||||
Herbalife Ltd. (a),(b) | 400 | 17,500 | ||||||||
Inventure Foods, Inc. (a),(b),(c) | 700 | 9,072 | ||||||||
Molson Coors Brewing Co. Class B | 758 | 56,426 | ||||||||
Mondelez International, Inc. (b) | 8,831 | 302,594 | ||||||||
Monster Beverage Corp. (a),(b),(c) | 300 | 27,501 | ||||||||
Philip Morris International, Inc. | 2,200 | 183,480 | ||||||||
Vector Group Ltd. (a),(b) | 3,850 | 85,393 | ||||||||
|
| |||||||||
810,702 | ||||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
American Public Education, Inc. (a),(c) | 700 | 18,893 | ||||||||
Bridgepoint Education, Inc. (a),(c) | 1,000 | 11,160 | ||||||||
Corinthian Colleges, Inc. (a),(c) | 200 | 22 | ||||||||
Regis Corp. (a) | 900 | 14,364 | ||||||||
|
| |||||||||
44,439 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.1% | ||||||||||
Berry Plastics Group, Inc. (a),(b),(c) | 16,700 | 421,508 | ||||||||
Crown Holdings, Inc. (a),(b),(c) | 700 | 31,164 | ||||||||
Graphic Packaging Holding Co. (a),(c) | 600 | 7,458 | ||||||||
|
| |||||||||
460,130 | ||||||||||
|
| |||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Anixter International, Inc. (b) | 100 | 8,484 | ||||||||
Plexus Corp. (a),(c) | 600 | 22,158 | ||||||||
|
| |||||||||
30,642 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Distributors — 0.0% | ||||||||||
Insight Enterprises, Inc. (a),(c) | 500 | $ | 11,315 | |||||||
Tech Data Corp. (a),(c) | 100 | 5,886 | ||||||||
|
| |||||||||
17,201 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.1% | ||||||||||
Argan, Inc. (a) | 100 | 3,338 | ||||||||
Checkpoint Systems, Inc. (a),(c) | 1,100 | 13,453 | ||||||||
China Recycling Energy Corp. (a),(c) | 400 | 492 | ||||||||
General Electric Co. | 11,238 | 287,918 | ||||||||
Houston Wire & Cable Co. (a) | 100 | 1,198 | ||||||||
Itron, Inc. (a),(c) | 400 | 15,724 | ||||||||
Lennox International, Inc. (a),(b) | 500 | 38,435 | ||||||||
OSI Systems, Inc. (a),(c) | 100 | 6,348 | ||||||||
Rockwell Automation, Inc. | 300 | 32,964 | ||||||||
|
| |||||||||
399,870 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.3% | ||||||||||
AECOM Technology Corp. (a),(b),(c) | 9,700 | 327,375 | ||||||||
Comfort Systems USA, Inc. (a) | 100 | 1,355 | ||||||||
Fluor Corp. | 300 | 20,037 | ||||||||
Jacobs Engineering Group, Inc. (a),(b),(c) | 6,700 | 327,094 | ||||||||
KBR, Inc. (a),(b) | 24,500 | 461,335 | ||||||||
MasTec, Inc. (a),(c) | 300 | 9,186 | ||||||||
Orion Marine Group, Inc. (a),(b),(c) | 1,000 | 9,980 | ||||||||
SBA Communications Corp. A Shares (a),(b),(c) | 1,200 | 133,080 | ||||||||
URS Corp. (a),(b) | 3,800 | 218,918 | ||||||||
|
| |||||||||
1,508,360 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.5% | ||||||||||
BJ’s Restaurants, Inc. (a),(c) | 300 | 10,797 | ||||||||
Bloomin’ Brands, Inc. (a),(b),(c) | 11,700 | 214,578 | ||||||||
Bravo Brio Restaurant Group, Inc. (a),(c) | 2,000 | 25,940 | ||||||||
Denny’s Corp. (a),(b),(c) | 3,300 | 23,199 | ||||||||
DineEquity, Inc. (a) | 100 | 8,159 | ||||||||
Einstein Noah Restaurant Group, Inc. (a) | 2,100 | 42,336 | ||||||||
Hyatt Hotels Corp. A Shares (a),(b),(c) | 1,500 | 90,780 | ||||||||
Isle of Capri Casinos, Inc. (a),(b),(c) | 2,900 | 21,750 | ||||||||
Las Vegas Sands Corp. | 700 | 43,547 | ||||||||
MGM Resorts International (a),(b),(c) | 45,100 | 1,027,378 | ||||||||
Morgans Hotel Group Co. (a),(b),(c) | 4,800 | 38,736 | ||||||||
Royal Caribbean Cruises Ltd. (a),(b) | 800 | 53,832 | ||||||||
Starbucks Corp. | 400 | 30,184 | ||||||||
Penn National Gaming, Inc. (a),(b),(c) | 15,400 | 172,634 | ||||||||
Popeyes Louisiana Kitchen, Inc. (a),(c) | 100 | 4,050 | ||||||||
Ruth’s Hospitality Group, Inc. (a),(b) | 2,500 | 27,600 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Wynn Resorts Ltd. (a),(b) | 3,000 | $ | 561,240 | |||||||
|
| |||||||||
2,396,740 | ||||||||||
|
| |||||||||
Hardware — 1.2% | �� | |||||||||
Apple, Inc. (a),(e) | 38,599 | 3,888,849 | ||||||||
CommScope Holding Co., Inc. (a),(b),(c) | 12,600 | 301,266 | ||||||||
Comtech Telecommunications Corp. (a),(b) | 1,000 | 37,150 | ||||||||
Daktronics, Inc. (a) | 200 | 2,458 | ||||||||
Dolby Laboratories, Inc. A Shares (a),(b),(c) | 4,600 | 192,234 | ||||||||
DTS, Inc. (a),(c) | 300 | 7,575 | ||||||||
Harmonic, Inc. (a),(c) | 1,200 | 7,608 | ||||||||
Hutchinson Technology, Inc. (a),(c) | 400 | 1,464 | ||||||||
Imation Corp. (a),(c) | 900 | 2,655 | ||||||||
Immersion Corp. (a),(b),(c) | 1,200 | 10,296 | ||||||||
Infinera Corp. (b),(c) | 700 | 7,469 | ||||||||
Juniper Networks, Inc. (a),(b) | 23,300 | 516,095 | ||||||||
Knowles Corp. (a),(c) | 500 | 13,250 | ||||||||
Mercury Systems, Inc. (a),(c) | 100 | 1,101 | ||||||||
NETGEAR, Inc. (a),(c) | 100 | 3,125 | ||||||||
PC-Tel, Inc. (a) | 800 | 6,072 | ||||||||
Pitney Bowes, Inc. (b) | 700 | 17,493 | ||||||||
QLogic Corp. (a),(b),(c) | 12,200 | 111,752 | ||||||||
Sanmina Corp. (a),(b),(c) | 2,700 | 56,322 | ||||||||
Skullcandy, Inc. (a),(c) | 500 | 3,895 | ||||||||
Telenav, Inc. (a),(b),(c) | 400 | 2,680 | ||||||||
VOXX International Corp. (a),(b),(c) | 1,900 | 17,670 | ||||||||
Westell Technologies, Inc. A Shares (a),(c) | 100 | 184 | ||||||||
Western Digital Corp. (a),(b) | 2,100 | 204,372 | ||||||||
|
| |||||||||
5,413,035 | ||||||||||
|
| |||||||||
Health Care Facilities/Services — 2.5% | ||||||||||
Amedisys, Inc. (a),(b),(c) | 2,100 | 42,357 | ||||||||
Brookdale Senior Living, Inc. (a),(c) | 9 | 290 | ||||||||
Catalent, Inc. (a),(b),(c) | 5,600 | 140,168 | ||||||||
Catamaran Corp. NPV (a),(c),(e) | 61,400 | 2,588,010 | ||||||||
Centene Corp. (c) | 100 | 8,271 | ||||||||
Digirad Corp. (a),(b) | 2,000 | 7,860 | ||||||||
Five Star Quality Care, Inc. (a),(c) | 1,000 | 3,770 | ||||||||
Genomic Health, Inc. (a),(b),(c) | 400 | 11,324 | ||||||||
HCA Holdings, Inc. (a),(b),(c),(e) | 41,257 | 2,909,444 | ||||||||
Health Net, Inc. (a),(b),(c) | 9,900 | 456,489 | ||||||||
HealthSouth Corp. (b) | 300 | 11,070 | ||||||||
Magellan Health Services, Inc. (a),(c) | 200 | 10,946 | ||||||||
McKesson Corp. (b),(d),(e) | 11,700 | 2,277,639 | ||||||||
Omnicare, Inc. (d) | 16,071 | 1,000,580 | ||||||||
PharMerica Corp. (a),(c) | 200 | 4,886 |
See Notes to Consolidated Financial Statements.
115
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
RadNet, Inc. (a),(b),(c) | 2,100 | $ | 13,902 | |||||||
Select Medical Holdings Corp. (a),(b) | 4,800 | 57,744 | ||||||||
Team Health Holdings, Inc. (a),(c) | 100 | 5,799 | ||||||||
Universal American Corp. (a),(c) | 800 | 6,432 | ||||||||
Universal Health Services, Inc. Class B (a),(b),(d),(e) | 20,600 | 2,152,700 | ||||||||
|
| |||||||||
11,709,681 | ||||||||||
|
| |||||||||
Home & Office Products — 0.1% | ||||||||||
ACCO Brands Corp. (a),(b),(c) | 4,600 | 31,740 | ||||||||
American Woodmark Corp. (a),(b),(c) | 1,400 | 51,604 | ||||||||
Blount International, Inc. (a),(c) | 500 | 7,565 | ||||||||
Masco Corp. (a),(b) | 400 | 9,568 | ||||||||
PGT, Inc. (a),(c) | 100 | 932 | ||||||||
Scotts Miracle-Gro Co. (The) A Shares (a),(b) | 1,000 | 55,000 | ||||||||
Select Comfort Corp. (a),(b),(c) | 500 | 10,460 | ||||||||
St Joe Co. (The) (a),(c) | 200 | 3,986 | ||||||||
Whirlpool Corp. (b),(e) | 3,339 | 486,325 | ||||||||
|
| |||||||||
657,180 | ||||||||||
|
| |||||||||
Industrial Services — 0.2% | ||||||||||
Furmanite Corp. (a),(b),(c) | 800 | 5,408 | ||||||||
HD Supply Holdings, Inc. (a),(b),(c) | 27,200 | 741,472 | ||||||||
United Rentals, Inc. (c) | 900 | 99,990 | ||||||||
|
| |||||||||
846,870 | ||||||||||
|
| |||||||||
Institutional Financial Service — 0.2% | ||||||||||
INTL. FCStone, Inc. (a),(c) | 200 | 3,464 | ||||||||
Investment Technology Group, Inc. (b),(c) | 100 | 1,576 | ||||||||
Northern Trust Corp. (b) | 4,700 | 319,741 | ||||||||
Piper Jaffray Cos. (a),(c) | 100 | 5,224 | ||||||||
Raymond James Financial, Inc. | 6,400 | 342,912 | ||||||||
|
| |||||||||
672,917 | ||||||||||
|
| |||||||||
Insurance — 1.1% | ||||||||||
Aflac, Inc. | 100 | 5,825 | ||||||||
Allstate Corp. (The) (a),(b) | 4,600 | 282,302 | ||||||||
American International Group, Inc. (a) | 25,800 | 1,393,716 | ||||||||
Ameriprise Financial, Inc. (b) | 4,200 | 518,196 | ||||||||
Employers Holdings, Inc. (a) | 500 | 9,625 | ||||||||
Genworth Financial, Inc. A Shares (a),(b),(c) | 38,000 | 497,800 | ||||||||
Hartford Financial Services Group, Inc. | 20,500 | 763,625 | ||||||||
Lincoln National Corp. | 100 | 5,358 | ||||||||
Mercury General Corp. (a) | 200 | 9,762 | ||||||||
OneBeacon Insurance Group Ltd. A Shares (a) | 400 | 6,164 | ||||||||
Primerica, Inc. (a),(b) | 7,401 | 356,876 | ||||||||
Principal Financial Group, Inc. (b) | 6,800 | 356,796 |
See Notes to Consolidated Financial Statements.
116
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Progressive Corp. (The) (a),(b) | 12,700 | $ | 321,056 | |||||||
Prudential Financial, Inc. (b) | 3,600 | 316,584 | ||||||||
RPX Corp. (a),(c) | 900 | 12,357 | ||||||||
Selective Insurance Group, Inc. (a) | 100 | 2,214 | ||||||||
United Insurance Holdings Corp. (a) | 100 | 1,500 | ||||||||
Voya Financial, Inc. (a) | 600 | 23,460 | ||||||||
|
| |||||||||
4,883,216 | ||||||||||
|
| |||||||||
Iron & Steel — 0.0% | ||||||||||
Nucor Corp. (b) | 400 | 21,712 | ||||||||
Steel Dynamics, Inc. (a),(b) | 5,000 | 113,050 | ||||||||
United States Steel Corp. (a) | 100 | 3,917 | ||||||||
|
| |||||||||
138,679 | ||||||||||
|
| |||||||||
Machinery — 0.1% | ||||||||||
AGCO Corp. (a),(b) | 1,700 | 77,282 | ||||||||
Federal Signal Corp. (a) | 800 | 10,592 | ||||||||
Intevac, Inc. (a),(b),(c) | 400 | 2,668 | ||||||||
Parker Hannifin Corp. (a),(b) | 1,600 | 182,640 | ||||||||
Regal-Beloit Corp. (a) | 200 | 12,850 | ||||||||
Rofin-Sinar Technologies, Inc. (a),(b),(c) | 1,300 | 29,978 | ||||||||
|
| |||||||||
316,010 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.1% | ||||||||||
Aegion Corp. (a),(b),(c) | 2,100 | 46,725 | ||||||||
Timken Co. (a),(b) | 7,500 | 317,925 | ||||||||
|
| |||||||||
364,650 | ||||||||||
|
| |||||||||
Media — 3.7% | ||||||||||
Alliance Data Systems Corp. (c) | 200 | 49,654 | ||||||||
Blucora, Inc. (a),(b),(c) | 500 | 7,620 | ||||||||
Boingo Wireless, Inc. (a),(c) | 2,800 | 19,964 | ||||||||
Charter Communications, Inc. A Shares (b),(c),(d) | 13,717 | 2,076,342 | ||||||||
Clear Channel Outdoor Holdings, Inc. A Shares (a) | 4,700 | 31,678 | ||||||||
Comcast Corp. A Shares (b),(d),(e) | 48,965 | 2,633,338 | ||||||||
Conversant, Inc. (a),(b),(c) | 3,800 | 130,150 | ||||||||
Demand Media, Inc. (a),(c) | 300 | 2,655 | ||||||||
Dice Holdings, Inc. (a),(b),(c) | 6,800 | 56,984 | ||||||||
DIRECTV (c) | 400 | 34,608 | ||||||||
DISH Network Corp. A Shares (a),(b),(c) | 15,500 | 1,000,990 | ||||||||
EchoStar Corp. A Shares (a),(b),(c) | 1,200 | 58,512 | ||||||||
Eros International PLC (a),(c) | 400 | 5,844 | ||||||||
Facebook, Inc. A Shares (a),(b),(c),(e) | 25,001 | 1,976,079 | ||||||||
Google, Inc. A Shares (c) | 151 | 88,850 | ||||||||
Google, Inc. C Shares (c) | 427 | 246,533 | ||||||||
Harte-Hanks, Inc. (a),(b) | 2,200 | 14,014 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Interpublic Group of Cos., Inc. (The) (a),(b) | 400 | $ | 7,328 | |||||||
Journal Communications, Inc. A Shares (a),(b),(c) | 3,100 | 26,133 | ||||||||
Lamar Advertising Co. A Shares (a),(d) | 65,846 | 3,242,915 | ||||||||
Lee Enterprises, Inc. (a),(c) | 100 | 338 | ||||||||
Liberty Ventures (a),(c) | 1,700 | 64,532 | ||||||||
McClatchy Co. (The) A Shares (a),(c) | 600 | 2,016 | ||||||||
Monster Worldwide, Inc. (a),(c) | 1,000 | 5,500 | ||||||||
National CineMedia, Inc. (a) | 600 | 8,706 | ||||||||
New Media Investment Group, Inc. | 200 | 3,326 | ||||||||
News Corp. A Shares (a),(c) | 3,100 | 50,685 | ||||||||
Orbitz Worldwide, Inc. (a),(b),(c) | 23,400 | 184,158 | ||||||||
TechTarget, Inc. (a),(b),(c) | 700 | 6,013 | ||||||||
Time Warner Cable, Inc. (a),(b) | 5,900 | 846,591 | ||||||||
Time, Inc. (a),(b),(c) | 3,900 | 91,377 | ||||||||
Trulia, Inc. (a),(b),(c) | 2,700 | 132,030 | ||||||||
Twenty-First Century Fox, Inc. A Shares (d) | 68,200 | 2,338,578 | ||||||||
Twitter, Inc. (b),(c),(e) | 9,477 | 488,824 | ||||||||
Walt Disney Co. (The) | 3,331 | 296,559 | ||||||||
WebMD Health Corp. (a),(b),(c) | 1,100 | 45,991 | ||||||||
Yahoo!, Inc. (b),(c),(d) | 17,792 | 725,024 | ||||||||
Zillow, Inc. A Shares (b),(c) | 100 | 11,599 | ||||||||
|
| |||||||||
17,012,038 | ||||||||||
|
| |||||||||
Medical Equipment/Devices — 2.0% | ||||||||||
Affymetrix, Inc. (a),(c) | 200 | 1,596 | ||||||||
Agilent Technologies, Inc. (b),(e) | 30,900 | 1,760,682 | ||||||||
AngioDynamics, Inc. (a),(c) | 500 | 6,860 | ||||||||
Boston Scientific Corp. (a),(b),(c) | 68,300 | 806,623 | ||||||||
Bruker Corp. (a),(c) | 300 | 5,555 | ||||||||
CareFusion Corp. (b),(c) | 200 | 9,050 | ||||||||
CONMED Corp. (a) | 500 | 18,420 | ||||||||
CryoLife, Inc. (a) | 400 | 3,948 | ||||||||
Cyberonics, Inc. (a),(c) | 300 | 15,348 | ||||||||
Danaher Corp. (a),(b),(e) | 28,300 | 2,150,234 | ||||||||
Edwards Lifesciences Corp. (a),(b),(c) | 5,100 | 520,965 | ||||||||
Exactech, Inc. (a),(c) | 200 | 4,578 | ||||||||
Harvard Bioscience, Inc. (a),(c) | 200 | 818 | ||||||||
ICU Medical, Inc. (a),(c) | 100 | 6,418 | ||||||||
Intuitive Surgical, Inc. (a),(c),(e) | 3,900 | 1,801,098 | ||||||||
Luminex Corp. (a),(b),(c) | 1,300 | 25,350 | ||||||||
Masimo Corp. (a),(b),(c) | 1,200 | 25,536 | ||||||||
PerkinElmer, Inc. (b) | 1,200 | 52,320 | ||||||||
SurModics, Inc. (a),(c) | 200 | 3,632 | ||||||||
Thermo Fisher Scientific, Inc. (b),(e) | 15,700 | 1,910,690 | ||||||||
Waters Corp. (c),(e) | 200 | 19,824 | ||||||||
|
| |||||||||
9,149,545 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Metals & Mining — 0.0% | ||||||||||
Century Aluminum Co. (a),(b),(c) | 1,000 | $ | 25,970 | |||||||
US Silica Holdings, Inc. (a),(b) | 400 | 25,004 | ||||||||
|
| |||||||||
50,974 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 1.3% | ||||||||||
Abraxas Petroleum Corp. (a),(c) | 300 | 1,584 | ||||||||
Approach Resources, Inc. (a),(b),(c) | 4,200 | 60,900 | ||||||||
Athlon Energy, Inc. (a),(b),(c) | 3,400 | 197,982 | ||||||||
Bill Barrett Corp. (a),(b),(c) | 800 | 17,632 | ||||||||
Cheniere Energy, Inc. (a),(b),(c) | 12,500 | 1,000,375 | ||||||||
Clayton Williams Energy, Inc. (a),(b),(c) | 1,200 | 115,740 | ||||||||
Cloud Peak Energy, Inc. (a),(c) | 800 | 10,096 | ||||||||
CVR Energy, Inc. (a),(b) | 8,000 | 357,840 | ||||||||
Delek US Holdings, Inc. (a),(b) | 4,800 | 158,976 | ||||||||
Diamondback Energy, Inc. (a),(b),(c) | 2,200 | 164,516 | ||||||||
EnLink Midstream LLC (a),(b) | 2,400 | 99,192 | ||||||||
EQT Corp. (a) | 4,300 | 393,622 | ||||||||
Evolution Petroleum Corp. (a),(b) | 400 | 3,672 | ||||||||
Halcon Resources Corp. (a),(b),(c) | 4,000 | 15,840 | ||||||||
Kinder Morgan Management LLC (a),(b),(c) | 1,300 | 122,395 | ||||||||
Kodiak Oil & Gas Corp. (a),(b),(c) | 42,200 | 572,654 | ||||||||
Marathon Petroleum Corp. (a),(b) | 4,900 | 414,883 | ||||||||
Mitcham Industries, Inc. (a),(c) | 200 | 2,210 | ||||||||
Murphy Oil Corp. (a),(b) | 1,100 | 62,601 | ||||||||
Newfield Exploration Co. (a),(b),(c) | 13,500 | 500,445 | ||||||||
Southwestern Energy Co. (a),(b),(c) | 22,600 | 789,870 | ||||||||
Swift Energy Co. (a),(c) | 100 | 960 | ||||||||
Targa Resources Corp. (a),(b) | 1,500 | 204,255 | ||||||||
TransAtlantic Petroleum Ltd. (a),(c) | 300 | 2,697 | ||||||||
VAALCO Energy, Inc. (a),(c) | 600 | 5,100 | ||||||||
Warren Resources, Inc. (a),(b),(c) | 7,200 | 38,160 | ||||||||
Westmoreland Coal Co. (a),(b),(c) | 2,100 | 78,561 | ||||||||
Whiting Petroleum Corp. (a),(b),(c) | 3,300 | 255,915 | ||||||||
WPX Energy, Inc. (a),(c) | 18,500 | 445,110 | ||||||||
|
| |||||||||
6,093,783 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.2% | ||||||||||
Alaska Air Group, Inc. (a),(b) | 700 | 30,478 | ||||||||
American Airlines Group, Inc. (a),(b) | 20,900 | 741,532 | ||||||||
Hawaiian Holdings, Inc. (a),(b),(c) | 7,100 | 95,495 | ||||||||
Southwest Airlines Co. (a),(b) | 3,300 | 111,441 | ||||||||
|
| |||||||||
978,946 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — 0.4% | ||||||||||
Agree Realty Corp. (a) | 200 | $ | 5,476 | |||||||
American Residential Properties, Inc. (a),(b),(c) | 4,100 | 75,194 | ||||||||
Armada Hoffler Properties, Inc. (a),(b) | 6,400 | 58,112 | ||||||||
Crown Castle International Corp. (d) | 4,913 | 395,644 | ||||||||
FelCor Lodging Trust, Inc. (a) | 200 | 1,872 | ||||||||
Forest City Enterprises, Inc. A Shares (a),(b),(c) | 30,100 | 588,756 | ||||||||
Franklin Street Properties Corp. (a) | 800 | 8,976 | ||||||||
Geo Group, Inc. (The) (a) | 100 | 3,822 | ||||||||
Gladstone Commercial Corp. (a) | 3,100 | 52,669 | ||||||||
iStar Financial, Inc. (a),(c) | 5,900 | 79,650 | ||||||||
Kennedy-Wilson Holdings, Inc. (b) | 16,800 | 402,528 | ||||||||
Select Income REIT (a),(b) | 2,300 | 55,315 | ||||||||
Weyerhaeuser Co. (b) | 7,700 | 245,322 | ||||||||
|
| |||||||||
1,973,336 | ||||||||||
|
| |||||||||
Real Estate Investment Trust (REIT) — 0.0% | ||||||||||
American Tower Corp. | 100 | 9,363 | ||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
Carmike Cinemas, Inc. (a),(c) | 1,100 | 34,078 | ||||||||
Diamond Resorts International, Inc. (a),(b),(c) | 4,400 | 100,144 | ||||||||
SeaWorld Entertainment, Inc. (a),(b) | 1,000 | 19,230 | ||||||||
Town Sports International Holdings, Inc. (a) | 200 | 1,340 | ||||||||
|
| |||||||||
154,792 | ||||||||||
|
| |||||||||
Renewable Energy — 0.2% | ||||||||||
Ameresco, Inc. A Shares (a),(c) | 100 | 685 | ||||||||
Broadwind Energy, Inc. (a),(c) | 200 | 1,498 | ||||||||
First Solar, Inc. (a),(c) | 700 | 46,067 | ||||||||
Renewable Energy Group, Inc. (a),(c) | 3,300 | 33,495 | ||||||||
REX American Resources Corp. (a),(b),(c) | 3,300 | 240,504 | ||||||||
SolarCity Corp. (b),(c),(e) | 7,142 | 425,663 | ||||||||
SunEdison, Inc. (b),(c),(e) | 11,264 | 212,665 | ||||||||
|
| |||||||||
960,577 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.5% | ||||||||||
Big Lots, Inc. (a) | 2,900 | 124,845 | ||||||||
CVS Caremark Corp. (b) | 3,179 | 253,017 | ||||||||
Dollar General Corp. (c) | 20,119 | 1,229,472 | ||||||||
Dollar Tree, Inc. (a),(b),(c) | 9,000 | 504,630 | ||||||||
Pantry, Inc. (The) (a),(c) | 1,600 | 32,368 | ||||||||
Rite Aid Corp. (a),(b),(c) | 60,500 | 292,820 | ||||||||
TravelCenters of America LLC (a),(c) | 1,900 | 18,772 | ||||||||
|
| |||||||||
2,455,924 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Retail Discretionary — 1.1% | ||||||||||
1-800-Flowers.com, Inc. A Shares (a),(c) | 1,800 | $ | 12,942 | |||||||
Avis Budget Group, Inc. (a),(b),(c) | 16,900 | 927,641 | ||||||||
Burlington Stores, Inc. (a),(b),(c) | 7,100 | 283,006 | ||||||||
Citi Trends, Inc. (a),(b),(c) | 2,900 | 64,090 | ||||||||
Coach, Inc. | 100 | 3,561 | ||||||||
eBay, Inc. (c),(e) | 5,748 | 325,509 | ||||||||
Ezcorp, Inc. A Shares (a),(c) | 2,200 | 21,802 | ||||||||
Foot Locker, Inc. (a),(b) | 7,700 | 428,505 | ||||||||
GameStop Corp. A Shares (a) | 1,000 | 41,200 | ||||||||
GNC Holdings, Inc. A Shares (b) | 1,901 | 73,645 | ||||||||
Home Depot, Inc. (The) (b) | 8,201 | 752,360 | ||||||||
JC Penney Co., Inc. (a),(b),(c) | 15,600 | 156,624 | ||||||||
Kirkland’s, Inc. (a),(c) | 400 | 6,444 | ||||||||
L Brands, Inc. (a),(b) | 7,400 | 495,652 | ||||||||
Lowe’s Cos., Inc. | 1,285 | 68,002 | ||||||||
MarineMax, Inc. (a),(b),(c) | 1,000 | 16,850 | ||||||||
Netflix, Inc. (a),(c),(e) | 1,079 | 486,823 | ||||||||
New York & Co., Inc. (a),(c) | 300 | 909 | ||||||||
Overstock.com, Inc. (a),(b),(c) | 500 | 8,430 | ||||||||
Pep Boys-Manny Moe & Jack (The) (a),(c) | 200 | 1,782 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a),(b),(c) | 4,900 | 579,033 | ||||||||
United Online, Inc. (a),(b) | 3,000 | 32,850 | ||||||||
Williams-Sonoma, Inc. | 890 | 59,247 | ||||||||
Zumiez, Inc. (a),(c) | 500 | 14,050 | ||||||||
|
| |||||||||
4,860,957 | ||||||||||
|
| |||||||||
Semiconductors — 1.0% | ||||||||||
Alpha & Omega Semiconductor Ltd. (a),(c) | 900 | 8,460 | ||||||||
Analog Devices, Inc. (a),(b) | 1,900 | 94,031 | ||||||||
Applied Materials, Inc. (e) | 11,197 | 241,967 | ||||||||
Ceva, Inc. (a),(b),(c) | 600 | 8,064 | ||||||||
Diodes, Inc. (a),(c) | 200 | 4,784 | ||||||||
Entropic Communications, Inc. (a),(c) | 400 | 1,064 | ||||||||
Fairchild Semiconductor International, Inc. (a),(b),(c) | 5,100 | 79,203 | ||||||||
FormFactor, Inc. (a),(c) | 800 | 5,736 | ||||||||
GSI Technology, Inc. (a),(c) | 418 | 2,261 | ||||||||
Integrated Device Technology, Inc. (a),(b),(c) | 6,000 | 95,700 | ||||||||
Kemet Corp. (a),(c) | 400 | 1,648 | ||||||||
Lam Research Corp. (e) | 4,850 | 362,295 | ||||||||
Lattice Semiconductor Corp. (a),(b),(c) | 2,800 | 21,000 | ||||||||
Micron Technology, Inc. (a),(b),(c),(e) | 39,762 | 1,362,246 | ||||||||
OmniVision Technologies, Inc. (a),(b),(c) | 4,700 | 124,362 | ||||||||
Photronics, Inc. (a),(b),(c) | 4,200 | 33,810 | ||||||||
QUALCOMM, Inc. | 2,846 | 212,796 | ||||||||
RF Micro Devices, Inc. (a),(b),(c) | 65,800 | 759,332 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Richardson Electronics Ltd. (a),(b) | 1,000 | $ | 9,990 | |||||||
Rudolph Technologies, Inc. (a),(b),(c) | 2,000 | 18,100 | ||||||||
Sigma Designs, Inc. (a),(c) | 1,800 | 7,758 | ||||||||
Silicon Image, Inc. (a),(b),(c) | 1,600 | 8,064 | ||||||||
Silicon Laboratories, Inc. (a),(b),(c) | 400 | 16,256 | ||||||||
TriQuint Semiconductor, Inc. (a),(b),(c) | 51,600 | 984,012 | ||||||||
Ultratech, Inc. (a),(b),(c) | 2,200 | 50,050 | ||||||||
Veeco Instruments, Inc. (c) | 600 | 20,970 | ||||||||
Vitesse Semiconductor Corp. (a),(c) | 300 | 1,080 | ||||||||
|
| |||||||||
4,535,039 | ||||||||||
|
| |||||||||
Software — 0.8% | ||||||||||
Actuate Corp. (a),(c) | 500 | 1,950 | ||||||||
Acxiom Corp. (a),(b),(c) | 2,300 | 38,065 | ||||||||
Adobe Systems, Inc. (c) | 100 | 6,919 | ||||||||
Advent Software, Inc. (a),(b) | 500 | 15,780 | ||||||||
Agilysys, Inc. (a),(c) | 300 | 3,519 | ||||||||
Audience, Inc. (a),(c) | 200 | 1,480 | ||||||||
Autodesk, Inc. (a),(b),(c) | 2,600 | 143,260 | ||||||||
CA, Inc. (b) | 200 | 5,588 | ||||||||
Calix, Inc. (a),(c) | 1,300 | 12,441 | ||||||||
Carbonite, Inc. (a),(c) | 1,000 | 10,240 | ||||||||
Digi International, Inc. (a),(c) | 400 | 3,000 | ||||||||
Digital River, Inc. (a),(b),(c) | 4,300 | 62,436 | ||||||||
Ebix, Inc. (a),(b) | 700 | 9,926 | ||||||||
Electronic Arts, Inc. (a),(b),(c) | 6,200 | 220,782 | ||||||||
Envestnet, Inc. (a),(b),(c) | 9,800 | 441,000 | ||||||||
Informatica Corp. (a),(b),(c) | 2,800 | 95,872 | ||||||||
InnerWorkings, Inc. (a),(c) | 200 | 1,618 | ||||||||
Microsoft Corp. (b) | 4,418 | 204,819 | ||||||||
MicroStrategy, Inc. A Shares (a),(c) | 100 | 13,084 | ||||||||
NeuStar, Inc. A Shares (a),(b),(c) | 5,800 | 144,014 | ||||||||
Palo Alto Networks, Inc. (b),(c) | 800 | 78,480 | ||||||||
Progress Software Corp. (a),(c) | 800 | 19,128 | ||||||||
Quality Systems, Inc. (a) | 2,200 | 30,294 | ||||||||
RealNetworks, Inc. (a),(c) | 500 | 3,475 | ||||||||
Salesforce.com, Inc. (b),(c),(e) | 8,548 | 491,766 | ||||||||
Seachange International, Inc. (a),(c) | 300 | 2,088 | ||||||||
support.com, Inc. (a),(c) | 1,300 | 2,808 | ||||||||
Symantec Corp. (a),(b) | 27,000 | 634,770 | ||||||||
Synopsys, Inc. (a),(c) | 600 | 23,817 | ||||||||
Teradata Corp. (a),(b),(c) | 9,200 | 385,664 | ||||||||
VASCO Data Security International, Inc. (a),(c) | 2,700 | 50,706 | ||||||||
Veeva Systems, Inc. A Shares (a),(c) | 600 | 16,902 | ||||||||
VMware, Inc. A Shares (a),(b),(c) | 6,400 | 600,576 | ||||||||
Workday, Inc. A Shares (a),(c) | 300 | 24,750 | ||||||||
|
| |||||||||
3,801,017 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Specialty Finance — 0.3% | ||||||||||
AG Mortgage Investment Trust, Inc. (a) | 200 | $ | 3,560 | |||||||
American Capital Mortgage Investment Corp. (a),(b) | 4,000 | 75,280 | ||||||||
Apollo Commercial Real Estate Finance, Inc. (a) | 5,500 | 86,405 | ||||||||
Arbor Realty Trust, Inc. (a) | 4,400 | 29,656 | ||||||||
Arlington Asset Investment Corp. A Shares (a),(b) | 9,400 | 238,854 | ||||||||
Capstead Mortgage Corp. (a) | 200 | 2,448 | ||||||||
Cherry Hill Mortgage Investment Corp. (a) | 2,000 | 37,400 | ||||||||
Chimera Investment Corp. (a) | 13,700 | 41,648 | ||||||||
CIT Group, Inc. | 4,329 | 198,961 | ||||||||
Consumer Portfolio Services, Inc. (a),(c) | 1,400 | 8,974 | ||||||||
Dynex Capital, Inc. (a),(b) | 1,100 | 8,888 | ||||||||
Ellington Residential Mortgage REIT (a) | 1,500 | 24,285 | ||||||||
FleetCor Technologies, Inc. (c) | 200 | 28,424 | ||||||||
Global Cash Access Holdings, Inc. (a),(b),(c) | 2,800 | 18,900 | ||||||||
New Residential Investment Corp. (a),(b) | 58,000 | 338,140 | ||||||||
Visa, Inc. A Shares (e) | 1,439 | 307,039 | ||||||||
ZAIS Financial Corp. (a) | 1,300 | 22,438 | ||||||||
|
| |||||||||
1,471,300 | ||||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Booz Allen Hamilton Holding Corp. (a),(b) | 300 | 7,020 | ||||||||
Broadridge Financial Solutions, Inc. (b) | 100 | 4,163 | ||||||||
Computer Sciences Corp. | 200 | 12,230 | ||||||||
ExlService Holdings, Inc. (a),(c) | 200 | 4,882 | ||||||||
IHS, Inc. A Shares (c) | 100 | 12,519 | ||||||||
Leidos Holdings, Inc. (a),(b) | 2,700 | 92,691 | ||||||||
ManTech International Corp. A Shares (a) | 100 | 2,695 | ||||||||
McGraw Hill Financial, Inc. | 400 | 33,780 | ||||||||
NIC, Inc. (a) | 1,700 | 29,274 | ||||||||
Perficient, Inc. (a),(c) | 200 | 2,998 | ||||||||
|
| |||||||||
202,252 | ||||||||||
|
| |||||||||
Telecommunications — 0.8% | ||||||||||
Akamai Technologies, Inc. (c) | 400 | 23,920 | ||||||||
AT&T, Inc. (e) | 275 | 9,691 | ||||||||
Consolidated Communications Holdings, Inc. (a) | 1,400 | 35,070 | ||||||||
Equinix, Inc. (a),(b),(c) | 2,800 | 594,944 | ||||||||
Fairpoint Communications, Inc. (a),(b),(c) | 600 | 9,102 | ||||||||
General Communication, Inc. A Shares (a),(b),(c) | 6,800 | 74,188 | ||||||||
Inteliquent, Inc. (a) | 1,100 | 13,695 | ||||||||
Level 3 Communications, Inc. (a),(b),(c) | 18,700 | 855,151 | ||||||||
Limelight Networks, Inc. (a),(b),(c) | 1,000 | 2,335 | ||||||||
Lumos Networks Corp. (a) | 100 | 1,625 | ||||||||
Pendrell Corp. (a),(c) | 200 | 268 | ||||||||
Spok Holdings, Inc. (a) | 100 | 1,301 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
T-Mobile US, Inc. (b),(c) | 27,797 | $ | 802,499 | |||||||
TW telecom, Inc. (a),(b),(c) | 20,300 | 844,683 | ||||||||
Verizon Communications, Inc. (b),(d) | 6,300 | 314,937 | ||||||||
West Corp. (a) | 900 | 26,514 | ||||||||
Zix Corp. (a),(b),(c) | 2,000 | 6,840 | ||||||||
|
| |||||||||
3,616,763 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.1% | ||||||||||
Air Transport Services Group, Inc. (a),(c) | 700 | 5,096 | ||||||||
Atlas Air Worldwide Holdings, Inc. (a),(c) | 100 | 3,302 | ||||||||
Con-way, Inc. (a),(b) | 3,000 | 142,500 | ||||||||
Dorian LPG Ltd. (a),(c) | 200 | 3,564 | ||||||||
Quality Distribution, Inc. (a),(c) | 2,500 | 31,950 | ||||||||
Saia, Inc. (a),(c) | 100 | 4,956 | ||||||||
Scorpio Bulkers, Inc. (b),(c) | 400 | 2,328 | ||||||||
Swift Transportation Co. (b),(c) | 1,200 | 25,176 | ||||||||
Union Pacific Corp. (b) | 1,429 | 154,932 | ||||||||
UTi Worldwide, Inc. (a),(b),(c) | 4,900 | 52,087 | ||||||||
|
| |||||||||
425,891 | ||||||||||
|
| |||||||||
Transportation Equipment — 0.0% | ||||||||||
Allison Transmission Holdings, Inc. (b) | 400 | 11,396 | ||||||||
Spartan Motors, Inc. (a),(b) | 200 | 934 | ||||||||
|
| |||||||||
12,330 | ||||||||||
|
| |||||||||
Utilities — 0.1% | ||||||||||
CenterPoint Energy, Inc. (a) | 800 | 19,576 | ||||||||
Delta Natural Gas Co., Inc. (a) | 100 | 1,977 | ||||||||
Dynegy, Inc. (a),(b),(c) | 2,000 | 57,720 | ||||||||
Middlesex Water Co. (a) | 500 | 9,800 | ||||||||
OGE Energy Corp. (a),(b) | 6,400 | 237,504 | ||||||||
|
| |||||||||
326,577 | ||||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — 0.0% | ||||||||||
Casella Waste Systems, Inc. A Shares (a),(c) | 1,200 | 4,620 | ||||||||
|
| |||||||||
Total United States | 130,444,548 | |||||||||
|
| |||||||||
TOTAL COMMON STOCK | 191,616,584 | |||||||||
|
| |||||||||
PREFERRED STOCK — 0.0% | ||||||||||
Germany — 0.0% | ||||||||||
Automotive — 0.0% | ||||||||||
Volkswagen AG Preference Shares | 654 | 135,800 | ||||||||
|
| |||||||||
Total Germany | 135,800 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Republic of Korea — 0.0% | ||||||||||
Hardware — 0.0% | ||||||||||
Samsung Electronics Co. Ltd. Preference Shares | 60 | $ | 51,059 | |||||||
|
| |||||||||
Total Republic of Korea | 51,059 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCK | 186,859 | |||||||||
|
| |||||||||
Security Description | Principal Amount | Value | ||||||||
ASSET-BACKED SECURITIES — 4.9% | ||||||||||
Cayman Islands — 3.6% | ||||||||||
Bridgeport CLO Ltd., Series 2006-1A, Class C, 1.73%, 07/21/20 (e),(f),(g) | $ | 500,000 | $ | 464,300 | ||||||
CIFC Funding Ltd., Series 2006-1BA, Class B2L, 4.23%, 12/22/20 (e),(f),(g) | 400,000 | 389,960 | ||||||||
Columbus Nova CLO IV Ltd., Series 2007-2A, Class D, 4.73%, 10/15/21 (e),(f),(g) | 250,000 | 248,775 | ||||||||
Crown Point CLO Ltd., Series 2012-1A, 5.23%, 11/21/22 (e),(f),(g) | 1,800,000 | 1,803,240 | ||||||||
Cutwater Ltd., Series 2014-1A, Class C, 3.93%, 07/15/26 (e),(f),(g) | 649,000 | �� | 601,623 | |||||||
Duane Street CLO V Ltd., Series 2007-5A, Class B, 7.98%, 10/14/21 (e),(f),(g),(h) | 467,000 | 467,934 | ||||||||
Eastland CLO Ltd., Series 2007-1A, Class C, 1.74%, 05/01/22 (e),(f),(g) | 400,000 | 351,520 | ||||||||
Fairway Loan Funding Co., Series 2006-1A, Class B2L, 4.03%, 10/17/18 (e),(f),(g) | 1,200,000 | 1,193,400 | ||||||||
FORE CLO Ltd., Series 2007-1A, Class D, 3.23%, 07/20/19 (e),(f),(g) | 1,371,153 | 1,351,134 | ||||||||
Golub Capital Partners CLO Ltd., Series 2011-10AR, Class DR, 4.08%, 10/20/21 (e),(f),(g) | 250,000 | 246,925 | ||||||||
Gramercy Real Estate CDO Ltd., Series 2007-1A, Class A1, 0.51%, 08/15/56 (e),(f),(g) | 555,386 | 497,404 | ||||||||
Harbourview CDO III Ltd., Series 3A, Class A, 1.21%, 09/15/31 (e),(f),(g),(h) | 942,790 | 848,983 | ||||||||
ING IM CLO Ltd., Series 2011-1A, Class D, 4.73%, 06/22/21 (e),(f),(g) | 640,000 | 623,744 | ||||||||
Katonah Ltd., Series 2007-10A, Class E, 4.24%, 04/17/20 (e),(f),(g) | 681,000 | 655,190 | ||||||||
Loomis Sayles CLO I Ltd., Series 2006-1A, Class D, 1.84%, 10/26/20 (e),(f),(g) | 1,100,000 | 1,099,120 | ||||||||
MidOcean Credit CLO, | ||||||||||
Series 2014-3A, Class D, 3.98%, 07/21/26 (e),(f),(g) | 732,000 | 686,323 | ||||||||
Series 2014-3A, Class E, 5.48%, 07/21/26 (e),(f),(g) | 581,000 | 516,218 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Octagon Investment Partners, Series 2014-1A, Class D, 3.89%, 08/12/26 (e),(f),(g) | $ | 344,000 | $ | 324,323 | ||||||
Preferred Term Securities X Ltd., 0.96%, 07/03/33 (e),(f),(g) | 389,093 | 357,966 | ||||||||
Preferred Term Securities XVII Ltd., 0.73%, 06/23/35 (e),(f),(g) | 211,000 | 132,930 | ||||||||
Preferred Term Securities XXIV Ltd., 0.53%, 03/22/37 (e),(f),(g) | 1,057,797 | 814,504 | ||||||||
Red River CLO Ltd., Series 1A, Class D, 1.89%, 07/27/18 (e),(f),(g) | 900,000 | 833,130 | ||||||||
SRERS Funding Ltd., Series 2011-RS, Class A1B1, 0.40%, 05/09/46 (e),(f),(g) | 1,954,703 | 1,868,696 | ||||||||
Trapeza Cdo XIII Ltd., Series 2007-13A, Class A3, 0.66%, 11/09/42 (e),(f),(g) | 270,000 | 151,200 | ||||||||
|
| |||||||||
Total Cayman Islands | 16,528,542 | |||||||||
|
| |||||||||
United States — 1.3% | ||||||||||
AmeriCredit Automobile Receivables Trust, | ||||||||||
Series 2012-4, Class E, 3.82%, 02/10/20 (e),(f) | 800,000 | 826,160 | ||||||||
Series 2014-3, Class D, 3.13%, 10/08/20 (e) | 300,000 | 299,010 | ||||||||
CPS Auto Receivables Trust, | ||||||||||
Series 2014-B, Class D, 4.62%, 05/15/20 (e),(f) | 156,000 | 154,721 | ||||||||
Series 2014-C, Class D, 4.83%, 08/17/20 (e),(f) | 391,000 | 389,280 | ||||||||
Educational Funding Co. LLC (The), Series 2006-1A, Class A2, 0.48%, 10/25/29 (e),(f),(g) | 793,812 | 744,754 | ||||||||
FFCA Secured Lending Corporation, Series 1992-WA1C, 7.85%, 05/18/26 (e),(f),(h) | 81,966 | 84,556 | ||||||||
Fraser Sullivan CLO II Ltd., Series 2006-2A, Class E, 3.73%, 12/20/20 (e),(f),(g) | 716,000 | 689,293 | ||||||||
Harch CLO III Ltd., Series 2007-1A, Class E, 3.98%, 04/17/20 (e),(f),(g) | 549,000 | 521,001 | ||||||||
OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.47%, 09/18/24 (e),(f) | 850,000 | 851,275 | ||||||||
Westgate Resorts, Series 2014-1A, Class C, 5.50%, 12/20/26 (e),(f) | 1,474,000 | 1,477,390 | ||||||||
|
| |||||||||
Total United States | 6,037,440 | |||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES | 22,565,982 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
126
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
CONVERTIBLE BONDS — 0.1% | ||||||||||
France — 0.0% | ||||||||||
Auto Parts Manufacturing — 0.0% | ||||||||||
Faurecia REG S, 3.25%, 01/01/18 (e) | 653,800 | EUR | $ | 234,109 | ||||||
|
| |||||||||
Total France | 234,109 | |||||||||
|
| |||||||||
Netherlands — 0.1% | ||||||||||
Automobiles Manufacturing — 0.1% | ||||||||||
Volkswagen International Finance NV Co. GUAR REG S, 5.505%, 11/09/15 (e) | 300,000 | EUR | 390,700 | |||||||
|
| |||||||||
Total Netherlands | 390,700 | |||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS | 624,809 | |||||||||
|
| |||||||||
BANK LOANS — 0.3% | ||||||||||
Netherlands — 0.3% | ||||||||||
Exploration & Production — 0.3% | ||||||||||
Endeavour International Holding B.V., | $ | 1,172,360 | 1,148,912 | |||||||
|
| |||||||||
Total Netherlands | 1,148,912 | |||||||||
|
| |||||||||
TOTAL BANK LOANS | 1,148,912 | |||||||||
|
| |||||||||
CORPORATE BONDS & NOTES — 4.3% | ||||||||||
Brazil — 0.3% | ||||||||||
Banking — 0.3% | ||||||||||
Banco Bradesco SA REG S, 5.90%, 01/16/21 | 350,000 | 364,875 | ||||||||
Banco do Brasil SA/Cayman REG S, 5.88%, 01/26/22 | 300,000 | 303,750 | ||||||||
Banco Votorantim SA REG S, 7.38%, 01/21/20 | 150,000 | 166,050 | ||||||||
Itau Unibanco Holding SA REG S, | ||||||||||
5.75%, 01/22/21 | 200,000 | 208,500 | ||||||||
6.20%, 04/15/20 | 150,000 | 161,250 | ||||||||
|
| |||||||||
1,204,425 | ||||||||||
|
| |||||||||
Power Generation — 0.0% | ||||||||||
CESP Companhia Energetica De Tranche TR 00007 REG S, 9.75%, 01/15/15 (h) | 250,000 | 161,875 | ||||||||
|
| |||||||||
Total Brazil | 1,366,300 | |||||||||
|
| |||||||||
Canada — 0.1% | ||||||||||
Publishing & Broadcasting — 0.1% | ||||||||||
Postmedia Network, Inc., 12.50%, 07/15/18 (b),(e) | 574,000 | 604,135 | ||||||||
|
| |||||||||
Total Canada | 604,135 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Cyprus — 0.1% | ||||||||||
Oil & Gas Services — 0.1% | ||||||||||
Ocean Rig UDW, Inc., 7.25%, 04/01/19 (d),(e),(f) | $ | 708,000 | $ | 647,820 | ||||||
|
| |||||||||
Total Cyprus | 647,820 | |||||||||
|
| |||||||||
France — 0.1% | ||||||||||
Property & Casualty Insurance — 0.1% | ||||||||||
Groupama SA REG S, 6.38% (e),(g),(i) | 400,000 | EUR | 507,746 | |||||||
|
| |||||||||
Total France | 507,746 | |||||||||
|
| |||||||||
Germany — 0.4% | ||||||||||
Banking — 0.4% | ||||||||||
HSH Nordbank AG, MTN, | ||||||||||
1.00%, 02/14/17 (e),(g) | 699,000 | EUR | 709,388 | |||||||
1.04%, 02/14/17 (e),(g) | 900,000 | EUR | 912,238 | |||||||
|
| |||||||||
Total Germany | 1,621,626 | |||||||||
|
| |||||||||
Greece — 0.1% | ||||||||||
Transportation & Logistics — 0.1% | ||||||||||
Dynagas LNG Partners, 6.25%, 10/30/19 (e) | $ | 600,000 | 588,000 | |||||||
|
| |||||||||
Total Greece | 588,000 | |||||||||
|
| |||||||||
Ireland — 0.0% | ||||||||||
Banking — 0.0% | ||||||||||
UT2 Funding PLC, 5.32%, 06/30/16 (e) | 100,000 | EUR | 128,673 | |||||||
|
| |||||||||
Total Ireland | 128,673 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Containers & Packaging — 0.1% | ||||||||||
Ardagh Finance Holdings SA, PIK, 8.63%, 06/15/19 (d),(e),(f) | $ | 200,000 | 201,000 | |||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Cosan Luxembourg SA REG S, 5.00%, 03/14/23 | 100,000 | 96,000 | ||||||||
|
| |||||||||
Total Luxembourg | 297,000 | |||||||||
|
| |||||||||
Nigeria — 0.0% | ||||||||||
Oil & Gas Services — 0.0% | ||||||||||
Sea Trucks Group REG S, 9.00%, 03/26/18 (f),(h) | 200,000 | 188,000 | ||||||||
|
| |||||||||
Total Nigeria | 188,000 | |||||||||
|
| |||||||||
United Kingdom — 0.1% | ||||||||||
Financial Services — 0.1% | ||||||||||
Depfa Funding III LP REG S, 1.72% (e),(g),(i) | 676,000 | EUR | 490,948 | |||||||
|
| |||||||||
Total United Kingdom | 490,948 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
128
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
United States — 2.4% | ||||||||||
Advertising & Marketing — 0.3% | ||||||||||
Affinion Group, Inc., 7.88%, 12/15/18 (b),(e) | $ | 803,000 | $ | 690,580 | ||||||
Visant Corp., 10.00%, 10/01/17 (d),(e) | 750,000 | 669,375 | ||||||||
|
| |||||||||
1,359,955 | ||||||||||
|
| |||||||||
Casinos & Gaming — 0.2% | ||||||||||
Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Property, 11.00%, 10/01/21 (d),(e),(f) | 771,000 | 722,813 | ||||||||
Caesars Growth Properties Holdings LLC / Caesars Growth Properties Finance, Inc., 9.38%, 05/01/22 (b),(e),(f) | 571,000 | 499,625 | ||||||||
|
| |||||||||
1,222,438 | ||||||||||
|
| |||||||||
Construction Materials Manufacturing — 0.0% | ||||||||||
Hardwoods Acquisition, Inc., 7.50%, 08/01/21 (b),(e),(f) | 130,000 | 128,050 | ||||||||
|
| |||||||||
Consumer Finance — 0.1% | ||||||||||
DFC Finance Corp., 10.50%, 06/15/20 (e),(f) | 466,000 | 452,020 | ||||||||
|
| |||||||||
Entertainment Resources — 0.0% | ||||||||||
24 Hour Holdings III LLC, 8.00%, 06/01/22 (d),(e),(f) | 100,000 | 92,500 | ||||||||
|
| |||||||||
Exploration & Production — 0.4% | ||||||||||
Atlas Energy Holdings Operating Co. LLC / Atlas Resource Finance Corp., 7.75%, 01/15/21 (e) | 204,000 | 200,940 | ||||||||
Gastar Exploration, Inc., 8.63%, 05/15/18 (b),(e) | 693,000 | 713,790 | ||||||||
Legacy Reserves LP / Legacy Reserves Finance Corp., 6.63%, 12/01/21 (b),(e),(f) | 175,000 | 171,500 | ||||||||
Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC, 9.25%, 06/01/21 (d),(e) | 450,000 | 446,625 | ||||||||
Quicksilver Resources, Inc., 11.00%, 07/01/21 (d),(e) | 597,000 | 394,020 | ||||||||
|
| |||||||||
1,926,875 | ||||||||||
|
| |||||||||
Financial Services — 0.3% | ||||||||||
Infinity Acquisition LLC / Infinity Acquisition Finance Corp., 7.25%, 08/01/22 (d),(e),(f) | 274,000 | 264,410 | ||||||||
ROC Finance LLC / ROC Finance 1 Corp., 12.13%, 09/01/18 (b),(e),(f) | 945,000 | 1,020,600 | ||||||||
|
| |||||||||
1,285,010 | ||||||||||
|
| |||||||||
Food & Beverage — 0.1% | ||||||||||
Cott Beverages, Inc., 5.38%, 07/01/22 (e),(f) | 350,000 | 338,625 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
129
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Hardware — 0.0% | ||||||||||
Zebra Technologies Corp. Sr. Unsecured, | $ | 120,000 | $ | 120,000 | ||||||
|
| |||||||||
Health Care Facilities/Services — 0.1% | ||||||||||
inVentiv Health, Inc., | ||||||||||
11.00%, 08/15/18 (e),(f),(g) | 63,000 | 50,715 | ||||||||
PIK, 10.00%, 08/15/18 (e),(f) | 87,000 | 80,475 | ||||||||
Jaguar Holding Co. I, PIK, 9.38%, 10/15/17 (e),(f) | 195,000 | 196,950 | ||||||||
|
| |||||||||
328,140 | ||||||||||
|
| |||||||||
Home Improvement — 0.1% | ||||||||||
Empire Today LLC / Empire Today Finance Corp., | 241,000 | 241,000 | ||||||||
|
| |||||||||
Oil & Gas Services — 0.0% | ||||||||||
Hercules Offshore, Inc., 6.75%, 04/01/22 (e),(f) | 100,000 | 78,250 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.4% | ||||||||||
American Media, Inc., 11.50%, 12/15/17 (e) | 1,250,000 | 1,318,750 | ||||||||
Knight Ridder, Inc., 6.88%, 03/15/29 (e) | 711,000 | 554,580 | ||||||||
McClatchy Co. (The), 9.00%, 12/15/22 (e) | 75,000 | 81,000 | ||||||||
|
| |||||||||
1,954,330 | ||||||||||
|
| |||||||||
Railroad — 0.0% | ||||||||||
Florida East Coast Holdings Corp., | 100,000 | 101,500 | ||||||||
|
| |||||||||
Restaurants — 0.0% | ||||||||||
BK Capital Holding/Burge Co. GUAR REG S, 0.00%, 04/15/19 (g),(j) | 100,000 | 93,000 | ||||||||
|
| |||||||||
Retail — Consumer Discretionary — 0.1% | ||||||||||
Michaels Stores, Inc., 5.88%, 12/15/20 (e),(f) | 240,000 | 238,800 | ||||||||
|
| |||||||||
Retail Discretionary — 0.1% | ||||||||||
Group 1 Automotive, Inc., 5.00%, 06/01/22 (b),(e),(f) | 250,000 | 241,875 | ||||||||
|
| |||||||||
Software & Services — 0.1% | ||||||||||
Sungard Availability Services Capital, Inc., | 412,000 | 306,940 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.1% | ||||||||||
Seaspan Corp. Preference Shares, 6.38%, 04/30/19 (e) | 13,000 | 332,670 | ||||||||
|
| |||||||||
Total United States | 10,841,978 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
130
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Venezuela — 0.6% | ||||||||||
Integrated Oils — 0.6% | ||||||||||
Petroleos de Venezuela SA, | ||||||||||
6.00%, 11/15/26 | $ | 3,225,000 | $ | 1,677,000 | ||||||
9.75%, 05/17/35 REG S (a) | 1,642,000 | 1,054,985 | ||||||||
|
| |||||||||
2,731,985 | ||||||||||
|
| |||||||||
Total Venezuela | 2,731,985 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | 20,014,211 | |||||||||
|
| |||||||||
FOREIGN GOVERNMENT — 2.5% | ||||||||||
Argentina Boden Bonds, 7.00%, 10/03/15 | 1,843,000 | ARS | 1,713,990 | |||||||
Argentine Republic Government International Bond, 8.28%, 12/31/33 (k) | 706,627 | ARS | 607,699 | |||||||
Colombia Government International Bond, | 1,070,000,000 | COP | 572,253 | |||||||
European Investment Bank, 9.00%, 03/31/21 | 9,800,000 | ZAR | 900,103 | |||||||
Hellenic Republic Government Bond REG S, | 322,000 | EUR | 402,855 | |||||||
Hungary Government International Bond, | 1,650,000 | HUF | 1,740,750 | |||||||
Malaysia Government Bond, 3.49%, 03/31/20 | 1,905,000 | MYR | 573,124 | |||||||
Mexican Bonos, 6.50%, 06/10/21 | 10,600,000 | MXN | 822,951 | |||||||
Peruvian Government International Bond REG S, | 341,002 | PEN | 134,343 | |||||||
Poland Government Bond, 3.75%, 04/25/18 | 1,240,000 | PLN | 394,150 | |||||||
Russian Federal Bond—OFZ, 6.80%, 12/11/19 | 26,100,000 | RUB | 596,867 | |||||||
Russian Foreign Bond—Eurobond REG S, | 1,565,450 | RUB | 1,753,664 | |||||||
Thailand Government Bond, 3.63%, 06/16/23 | 15,800,000 | THB | 496,316 | |||||||
Turkey Government Bond, | ||||||||||
9.00%, 03/08/17 | 1,250,000 | TRY | 543,586 | |||||||
10.50%, 01/15/20 | 640,000 | TRY | 293,216 | |||||||
|
| |||||||||
TOTAL FOREIGN GOVERNMENT | 11,545,867 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES — 14.4% | ||||||||||
Cayman Islands — 0.2% | ||||||||||
Commercial Mortgage-Backed Security — 0.2% | ||||||||||
PFP III Ltd., Series 2014-1, Class D, | $ | 1,000,000 | 992,300 | |||||||
|
| |||||||||
Total Cayman Islands | 992,300 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
131
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
United States — 14.2% | ||||||||||
Collateralized Debt Obligation (Commercial) — 0.1% | ||||||||||
Resource Capital Corp. Ltd., 2.65%, 04/15/32 (e),(g) | $ | 300,000 | $ | 300,000 | ||||||
|
| |||||||||
Collateralized Mortgage Obligation (Residential) — 9.3% | ||||||||||
Alternative Loan Trust, Series 2005-J2, Class 1A5, | 738,531 | 651,384 | ||||||||
Banc of America Funding Trust, | ||||||||||
Series 2006-A, Class 3A2, 2.75%, 02/20/36 (e),(g) | 3,476,970 | 2,827,472 | ||||||||
Series 2007-B, Class A1, 0.36%, 04/20/47 (e),(g) | 3,372,315 | 2,510,351 | ||||||||
CHL Mortgage Pass-Through Trust, Series 2005-HYB3, Class 3A2, 2.44%, 06/20/35 (e),(g) | 4,094,286 | 3,887,525 | ||||||||
Citicorp Mortgage Securities Trust, | ||||||||||
Series 2006-3 1A10, 6.25%, 06/25/36 (e) | 838,855 | 848,837 | ||||||||
Series 2007-1, Class 1A3, 5.75%, 01/25/37 (e) | 413,243 | 417,582 | ||||||||
Countrywide Asset-Backed Certificates, | ||||||||||
Series 2005-15, Class 1AF6, 4.60%, 04/25/36 (e),(g) | 246,971 | 247,218 | ||||||||
Series 2006-BC4, Class 2A2, 0.31%, 11/25/36 (e),(g) | 698,095 | 652,928 | ||||||||
CV Mortgage Loan Trust, Series 2013-1, Class NOTE, 4.31%, 12/25/43 (a),(e),(f),(g) | 238,847 | 239,636 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2013-DN2, Class M2, 4.40%, 11/25/23 (e),(g),(k) | 4,897,650 | 5,168,000 | ||||||||
Series 2014-DN3, Class M2, 2.56%, 08/25/24 (e),(g),(k) | 800,000 | 800,640 | ||||||||
Series 2014-HQ1, Class M2, 2.66%, 08/25/24 (e),(g),(k) | 2,400,000 | 2,415,840 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2014-C02, Class 1M2, | 2,302,501 | 2,115,768 | ||||||||
Series 2014-C03, Class 1M2, 3.15%, 07/25/24 (e),(g),(k) | 3,375,184 | 3,190,899 | ||||||||
Series 2014-C03, Class 2M2, | 6,911,933 | 6,497,217 | ||||||||
First Horizon Alternative Mortgage Trust, Series 2005 AA9, Class 3A1, 2.23%, 11/25/35 (e),(g) | 4,537,971 | 3,783,761 | ||||||||
JP Morgan Alternative Loan Trust, Series 2006-S4, Class A3A, 5.78%, 12/25/36 (e),(g) | 161,275 | 150,792 | ||||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-11AR, Class A1, 0.43%, 01/25/36 (e),(g) | 3,283,158 | 2,419,687 |
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Structured Agency Credit Risk, Series 2014-HQ2, Class M3, 3.90%, 09/25/24 (e),(g),(k) | $ | 1,381,835 | $ | 1,353,922 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2007-HY6, Class 2A3, 2.48%, 06/25/37 (e),(g) | 2,872,284 | 2,514,398 | ||||||||
Wells Fargo Mortgage Backed Securities, Series 2005-9, Class 1A12, 5.50%, 10/25/35 (e) | 326,077 | 329,272 | ||||||||
�� |
|
| ||||||||
43,023,129 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 4.8% | ||||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||
Series 2013-DSNY, Class F, 3.65%, 09/15/26 (e),(f),(g) | 900,000 | 900,000 | ||||||||
Series 2014-ICTS, Class E, | 1,020,000 | 1,018,470 | ||||||||
BBCMS Trust 2014-BXO, Series 2014-BXO, Class E, 2.72%, 08/15/27 (e),(f),(g) | 1,000,000 | 1,000,600 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PW10, Class AJ, 5.64%, 12/11/40 (e),(g) | 480,000 | 466,272 | ||||||||
CD Commercial Mortgage Trust, Series 2007-CD4, Class AJ, 5.40%, 12/11/49 (e),(g) | 1,067,000 | 881,342 | ||||||||
CGBAM Commercial Mortgage Trust, Series 2014-HD, Class E, 3.15%, 02/15/31 (a),(e),(f),(g) | 140,000 | 140,014 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series, 2014-PAT, Class E, 3.30%, 08/13/27 (e),(f),(g) | 1,100,000 | 1,100,000 | ||||||||
Series 2007-GG11, Class AJ, 6.26%, 12/10/49 (e),(g) | 900,000 | 943,110 | ||||||||
Series 2014-CR15, Class D, | 305,000 | 291,794 | ||||||||
Series 2014-CR18, Class XA, | 10,567,841 | 855,995 | ||||||||
Series 2014-LC17, Class XA, 1.04%, 10/10/47 (a),(e),(g) | 2,010,000 | 125,625 | ||||||||
Series 2014-UBS4, Class D, | 875,000 | 781,025 | ||||||||
Series 2014-UBS4, Class XA, 1.45%, 08/10/47 (e),(g),(k) | 21,325,000 | 1,814,757 | ||||||||
Series 2014-UBS5, Class C, 4.61%, 09/10/47 (a),(e),(g) | 930,000 | 938,184 | ||||||||
Series 2014-UBS5, Class XA, | 2,870,000 | 202,048 | ||||||||
Hilton USA Trust, | ||||||||||
Series 2013-HLF, Class EFL, | 1,400,000 | 1,403,500 | ||||||||
Series 2014-ORL, Class E, | 280,000 | 280,364 |
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, |
| |||||||||
Series 2006-CB15, Class AM, 5.86%, 06/12/43 (e),(g) | $ | 500,000 | $ | 515,450 | ||||||
Series 2007-CB19, Class AJ, 5.89%, 02/12/49 (e),(g),(k) | 1,646,000 | 1,501,810 | ||||||||
Series 2013-JWRZ, Class E, 3.89%, 04/15/30 (e),(f),(g) | 800,000 | 803,680 | ||||||||
Series 2014-C21, Class XA, 1.29%, 08/15/47 (a),(e) | 2,508,917 | 201,968 | ||||||||
Series 2014-C22, Class XA, 1.15%, 09/15/47 (a),(e),(g) | 2,832,000 | 196,824 | ||||||||
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class AJ, 6.46%, 09/15/45 (e),(g) | 600,000 | 635,280 | ||||||||
Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class D, 5.46%, 11/12/37 (e),(g) | 445,000 | 432,050 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2014-C15, Class D, 5.06%, 04/15/47 (e),(f),(g),(k) | 420,000 | 395,598 | ||||||||
Series 2014-C16, Class D, 4.92%, 06/15/47 (e),(f),(g),(k) | 770,000 | 710,479 | ||||||||
Series 2014-C17, Class XA, 1.45%, 08/15/47 (a),(e),(g) | 4,919,860 | 398,509 | ||||||||
Series 2014-C18, Class D, 3.39%, 10/15/47 (e),(f) | 700,000 | 565,250 | ||||||||
Series 2014-C18, Class XA, 1.00%, 10/15/47 (e),(g) | 2,630,000 | 151,751 | ||||||||
Morgan Stanley Capital I Trust, Series 2007-T25, Class AJ, 5.57%, 11/12/49 (e),(g) | 1,400,000 | 1,412,880 | ||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AJ, 5.66%, 04/15/47 (e),(g) | 800,000 | 829,120 | ||||||||
WF-RBS Commercial Mortgage Trust, | ||||||||||
Series 2014-C20, Class D, 3.99%, 05/15/47 (a),(e),(f) | 425,000 | 363,630 | ||||||||
Series 2014-C22, Class XA, 0.97%, 09/15/57 (a),(e),(g) | 1,885,000 | 125,730 | ||||||||
|
| |||||||||
22,383,109 | ||||||||||
|
| |||||||||
Total United States | 65,706,238 | |||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 66,698,538 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 2.3% | ||||||||||
United States — 2.3% | ||||||||||
Interest Only Collateralized Mortgage Obligations (Residential) — 1.6% | ||||||||||
Federal Home Loan Mortgage Corp., Series 4123, Class IP SEQ, 4.50%, 07/15/42 (e) | $ | 18,150,227 | $ | 4,314,309 | ||||||
Federal National Mortgage Assocation, | ||||||||||
Series 2012-55, Class ID, 4.50%, 05/25/42 (e) | 7,710,858 | 1,722,606 | ||||||||
Series 2014-30, Class KI, 3.50%, 05/25/33 (e) | 10,792,906 | 1,612,460 | ||||||||
|
| |||||||||
7,649,375 | ||||||||||
|
| |||||||||
Inverse Interest Only Collateralized Mortgage Obligations (Residential) — 0.7% | ||||||||||
Federal National Mortgage Association, | ||||||||||
Series 2012-111, Class ES, 6.00%, 12/25/41 (e),(g) | 10,381,635 | 2,004,693 | ||||||||
Series 2012-144, Class SD, | 4,992,223 | 1,160,193 | ||||||||
|
| |||||||||
3,164,886 | ||||||||||
|
| |||||||||
Total United States | 10,814,261 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES |
| 10,814,261 | ||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — 0.2% | ||||||||||
Financial Select Sector SPDR Fund | 3,151 | $ | 73,009 | |||||||
iShares China Large-Cap ETF | 2,287 | 87,546 | ||||||||
iShares MSCI Japan ETF | 22,420 | 263,883 | ||||||||
iShares Russell 2000 ETF (e) | 3,227 | 352,873 | ||||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS | 777,311 | |||||||||
|
| |||||||||
Security Description | Contracts | Value | ||||||||
PURCHASED OPTIONS — 0.4% | ||||||||||
Exchange-Traded Call Options — 0.1% | ||||||||||
Apple, Inc. Strike Price 103.00 USD Expires 10/24/14 | 197 | $ | 37,824 | |||||||
DAX Index Strike Price 10,300.00 EUR Expires 12/19/14 | 163 | 21,617 | ||||||||
Facebook, Inc. Strike Price 60.00 USD Expires 01/15/16 | 103 | 244,110 | ||||||||
HCA Holdings, Inc. Strike Price 75.00 USD Expires 10/18/14 | 41 | 1,435 | ||||||||
Hertz Global Holdings, Inc. Strike Price 29.00 USD Expires 03/20/15 | 410 | 49,610 | ||||||||
Pandora Media, Inc. Strike Price 50.00 USD Expires 01/15/16 | 54 | 810 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Contracts | Value | ||||||||
S&P 500 Index Strike Price 2,050.00 USD Expires 10/31/14 | 5 | $ | 1,200 | |||||||
Yahoo, Inc. Strike Price 35.00 USD Expires 01/15/16 | 211 | 187,790 | ||||||||
|
| |||||||||
544,396 | ||||||||||
|
| |||||||||
Exchange-Traded Put Options — 0.1% | ||||||||||
Apple, Inc. Strike Price 95.00 USD Expires 10/18/14 | 197 | 5,910 | ||||||||
AT+T, Inc. Strike Price 34.00 USD Expires 11/22/14 (e) | 141 | 6,486 | ||||||||
Deutsche Telekom AG Strike Price 12.00 EUR Expires 11/21/14 (e) | 310 | 13,704 | ||||||||
Euro Stoxx 50 Index Strike Price 3,250.00 EUR Expires 11/21/14 (e) | 7 | 9,107 | ||||||||
Euro Stoxx 50 Index Strike Price 3,200.00 EUR Expires 11/21/14 (e) | 12 | 10,003 | ||||||||
Eurodollar Future Strike Price 98.50 USD Expires 03/14/16 (e) | 50 | 34,688 | ||||||||
Financial Select Sector SPDR Fund Strike Price 20.00 USD Expires 01/17/15 | 782 | 11,730 | ||||||||
Financial Select Sector SPDR Fund Strike Price 21.00 USD Expires 01/17/15 | 782 | 19,550 | ||||||||
iShares 20+Year Treasury Bond Strike Price 110.00 USD Expires 10/18/14 | 113 | 565 | ||||||||
iShares MSCI Brazil Capped ETF Strike Price 48.50 USD Expires 11/22/14 (e) | 100 | 63,096 | ||||||||
iShares Russell 2000 ETF Strike Price 104.00 USD Expires 10/03/14 | 407 | 2,849 | ||||||||
NASDAQ 100 Stock Index Strike Price 4,045.00 USD Expires 10/18/14 (e) | 1 | 5,800 | ||||||||
S&P 500 Index Strike Price 1,775.00 USD Expires 01/17/15 | 36 | 70,200 | ||||||||
S&P 500 Index Strike Price 1,950.00 USD Expires 10/18/14 | 3 | 4,920 | ||||||||
S&P 500 Index Strike Price 1,850.00 USD Expires 10/31/14 (e) | 60 | 48,300 | ||||||||
S&P 500 Index Strike Price 1,965.00 USD Expires 10/18/14 | 2 | 4,154 | ||||||||
S&P 500 Index Strike Price 1,960.00 USD Expires 10/31/14 | 12 | 33,600 | ||||||||
S&P 500 Index Strike Price 1,870.00 USD Expires 10/18/14 | 36 | 18,000 | ||||||||
S&P 500 Index Strike Price 1,950.00 USD Expires 10/31/14 | 16 | 38,880 | ||||||||
S&P 500 Index Strike Price 1,855.00 USD Expires 10/03/14 | 13 | 650 | ||||||||
Solarcity Corp. Strike Price 58.00 USD Expires 10/18/14 (e) | 38 | 9,956 | ||||||||
|
| |||||||||
412,148 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Notional Amount | Value | ||||||||
FX OTC Call Options — 0.2% | ||||||||||
USD/BRL Currency Strike Price 2.60 BRL Expires 12/31/15 Counterparty Morgan Stanley Capital Services LLC | 240,000 | USD | $ | 23,270 | ||||||
USD/CNH Currency Strike Price 6.30 CNH Expires 11/05/15 Counterparty Morgan Stanley Capital Services LLC | 670,000 | USD | 10,681 | |||||||
USD/CNH Currency Strike Price 6.30 CNH Expires 11/05/15 Counterparty Morgan Stanley Capital Services LLC | 1,200,000 | USD | 19,165 | |||||||
USD/CNH Currency Strike Price 6.40 CNH Expires 11/05/15 Counterparty Morgtan Stanley Capital Services LLC | 200,000 | USD | 2,159 | |||||||
USD/CNH Currency Strike Price 6.40 CNH Expires 11/05/15 Counterparty Morgan Stanley Capital Services LLC | 360,000 | USD | 3,892 | |||||||
USD/CNH Currency Strike Price 6.40 CNH Expires 11/05/15 Counterparty Morgan Stanley Capital Services LLC | 1,372,800 | USD | 14,818 | |||||||
USD/JPY Currency Strike Price 110.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 2,020,000 | USD | 28,539 | |||||||
USD/JPY Currency Strike Price 95.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 1,130,000 | USD | 150,228 | |||||||
USD/JPY Currency Strike Price 105.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 3,150,000 | USD | 143,872 | |||||||
USD/JPY Currency Strike Price 95.00 JPY Expires 12/30/14 Counterparty Morgan Stanley Capital Services LLC | 2,020,000 | USD | 268,405 | |||||||
USD/JPY Currency Strike Price 110.00 JPY Expires 12/17/14 Counterparty JPMorgan Chase Bank, N.A. | 2,684,027 | USD | 35,210 | |||||||
|
| |||||||||
700,239 | ||||||||||
|
| |||||||||
FX OTC Put Options — 0.0% | ||||||||||
AUD/USD Currency Strike Price 0.90 USD Expires 02/05/15 Counterparty Credit Suisse International | 873,990 | AUD | 33,495 | |||||||
EUR/CHF Currency Strike Price 1.18 CHF Expires 09/21/15 Counterparty JPMorgan Chase Bank, N.A. | 2,335,384 | EUR | 26,198 | |||||||
EUR/USD Currency Strike Price 1.30 USD Expires 01/05/15 Counterparty JPMorgan Chase Bank, N.A. | 958,528 | EUR | 38,801 | |||||||
|
| |||||||||
98,494 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Notional Amount | Value | ||||||||
OTC Call Options — 0.0% | ||||||||||
Mallinckrodt PLC Strike Price 100.00 USD Expires 01/16/15 Counterparty Morgan Stanley & Co. International PLC | 184 | USD | $ | 61,315 | ||||||
Pandora Media, Inc. Strike Price 30.00 USD Expires 01/15/16 Counterparty Credit Suisse International | 209 | USD | 64,389 | |||||||
|
| |||||||||
125,704 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS | 1,880,981 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES — 70.8% |
| 327,874,315 | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (19.6)% (PROCEEDS $93,632,758) | (91,016,437 | ) | ||||||||
|
| |||||||||
Other Assets (m) — 48.8% | 225,930,332 | |||||||||
|
| |||||||||
Net Assets — 100.0% | $ | 462,788,210 | ||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
SECURITIES SOLD SHORT — (19.6)% | ||||||||||
COMMON STOCK — (15.0)% | ||||||||||
Argentina — (0.0)% | ||||||||||
Gaming, Lodging & Restaurants — (0.0)% | �� | |||||||||
Arcos Dorados Holdings, Inc. A Shares | 4,000 | $ | (23,920 | ) | ||||||
|
| |||||||||
Total Argentina | (23,920 | ) | ||||||||
|
| |||||||||
Bermuda — (0.3)% | ||||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Belmond Ltd. A Shares | 6,400 | (74,624 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Montpelier Re Holdings Ltd. | 200 | (6,218 | ) | |||||||
RenaissanceRe Holdings Ltd. | 1,600 | (159,984 | ) | |||||||
|
| |||||||||
(166,202 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.2)% | ||||||||||
Energy XXI Bermuda Ltd. | 81,600 | (926,160 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Frontline Ltd. | 300 | (378 | ) | |||||||
Golar LNG Ltd. | 6,400 | (424,960 | ) | |||||||
|
| |||||||||
(425,338 | ) | |||||||||
|
| |||||||||
Total Bermuda | (1,592,324 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
138
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Brazil — (0.1)% | ||||||||||
Chemicals — (0.0)% | ||||||||||
Braskem SA ADR | 1,200 | $ | (15,804 | ) | ||||||
|
| |||||||||
Consumer Products — (0.1)% | ||||||||||
AMBEV SA ADR | 26,900 | (176,195 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
Cia Siderurgica Nacional SA ADR | 16,000 | (56,800 | ) | |||||||
Vale SA ADR | 1,100 | (12,111 | ) | |||||||
|
| |||||||||
(68,911 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Gol Linhas Aereas Inteligentes SA ADR | 100 | (481 | ) | |||||||
|
| |||||||||
Telecommunication — (0.0)% | ||||||||||
Oi SA ADR | 103,900 | (72,730 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Cia Paranaense de Energia ADR | 200 | (2,734 | ) | |||||||
|
| |||||||||
Total Brazil | (336,855 | ) | ||||||||
|
| |||||||||
Canada — (0.1)% | ||||||||||
Iron & Steel — (0.0)% | ||||||||||
Turquoise Hill Resources Ltd. | 38,300 | (143,242 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.1)% | ||||||||||
AuRico Gold, Inc. | 200 | (698 | ) | |||||||
Endeavour Silver Corp. | 5,700 | (24,909 | ) | |||||||
McEwen Mining, Inc. | 9,300 | (18,228 | ) | |||||||
North American Palladium Ltd. | 6,200 | (1,203 | ) | |||||||
Novagold Resources, Inc. | 6,700 | (20,301 | ) | |||||||
Pan American Silver Corp. | 1,800 | (19,764 | ) | |||||||
Seabridge Gold, Inc. | 15,600 | (125,424 | ) | |||||||
Silver Standard Resources, Inc. | 100 | (610 | ) | |||||||
Uranium Energy Corp. | 6,800 | (8,500 | ) | |||||||
|
| |||||||||
(219,637 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Pengrowth Energy Corp. | 2,500 | (13,000 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Ballard Power Systems, Inc. | 200 | (646 | ) | |||||||
|
| |||||||||
Total Canada | (376,525 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
139
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Cayman Islands — (0.1)% | ||||||||||
Asset Management — (0.1)% | ||||||||||
Home Loan Servicing Solutions Ltd. | 24,500 | $ | (519,155 | ) | ||||||
|
| |||||||||
Total Cayman Islands | (519,155 | ) | ||||||||
|
| |||||||||
Chile — (0.1)% | ||||||||||
Passenger Transportation — (0.1)% | ||||||||||
Latam Airlines Group SA ADR | 20,800 | (236,496 | ) | |||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||
Cencosud SA ADR | 100 | (901 | ) | |||||||
|
| |||||||||
Total Chile | (237,397 | ) | ||||||||
|
| |||||||||
China — (0.2)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Kandi Technologies Group, Inc. | 1,200 | (15,588 | ) | |||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Tarena International, Inc. | 400 | (5,172 | ) | |||||||
|
| |||||||||
Health Care Facilities/Services — (0.0)% | ||||||||||
iKang Healthcare Group, Inc. ADR | 1,300 | (25,298 | ) | |||||||
|
| |||||||||
Media — (0.2)% | ||||||||||
58.com, Inc. ADR | 100 | (3,725 | ) | |||||||
Leju Holdings Ltd. ADR | 1,300 | (16,705 | ) | |||||||
Weibo Corp. ADR | 100 | (1,869 | ) | |||||||
Youku Tudou, Inc. ADR | 41,100 | (736,512 | ) | |||||||
|
| |||||||||
(758,811 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
China Petroleum & Chemical Corp. ADR | 1,200 | (104,832 | ) | |||||||
Yanzhou Coal Mining Co. Ltd. ADR | 200 | (1,626 | ) | |||||||
|
| |||||||||
(106,458 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
ReneSola Ltd. ADR | 7,900 | (23,700 | ) | |||||||
Yingli Green Energy Holding Co. Ltd. ADR | 400 | (1,244 | ) | |||||||
|
| |||||||||
(24,944 | ) | |||||||||
|
| |||||||||
Retail Discretionary — (0.0)% | ||||||||||
E-Commerce China Dangdang, Inc. ADR | 3,900 | (47,580 | ) | |||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
NQ Mobile, Inc. ADR | 2,800 | (19,516 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Utilities — (0.0)% | ||||||||||
Huaneng Power International, Inc. ADR | 200 | $ | (8,732 | ) | ||||||
|
| |||||||||
Total China | (1,012,099 | ) | ||||||||
|
| |||||||||
Colombia — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Bancolombia SA ADR | 1,900 | (107,768 | ) | |||||||
|
| |||||||||
Total Colombia | (107,768 | ) | ||||||||
|
| |||||||||
Cyprus — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Ocean Rig UDW, Inc. | 3,000 | (48,360 | ) | |||||||
|
| |||||||||
Total Cyprus | (48,360 | ) | ||||||||
|
| |||||||||
Denmark — (0.3)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.3)% | ||||||||||
Novo Nordisk A/S ADR | 4,300 | (204,766 | ) | |||||||
Novo Nordisk A/S B Shares | 31,700 | (1,516,811 | ) | |||||||
|
| |||||||||
Total Denmark | (1,721,577 | ) | ||||||||
|
| |||||||||
Germany — (0.1)% | ||||||||||
Banking — (0.0)% | ||||||||||
Deutsche Bank AG | 7,000 | (244,020 | ) | |||||||
|
| |||||||||
Health Care Facilities/Services — (0.0)% | ||||||||||
Fresenius Medical Care AG & Co. KGaA ADR | 500 | (17,350 | ) | |||||||
|
| |||||||||
Software — (0.1)% | ||||||||||
SAP AG ADR | 4,500 | (324,720 | ) | |||||||
|
| |||||||||
Total Germany | (586,090 | ) | ||||||||
|
| |||||||||
India — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
HDFC Bank Ltd. ADR | 3,200 | (149,056 | ) | |||||||
|
| |||||||||
Biotechnology & Pharmaceutical — (0.0)% | ||||||||||
Dr Reddy’s Laboratories Ltd. ADR | 2,400 | (126,120 | ) | |||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Infosys Ltd. ADR | 400 | (24,196 | ) | |||||||
Wipro Ltd. ADR | 100 | (1,216 | ) | |||||||
|
| |||||||||
(25,412 | ) | |||||||||
|
| |||||||||
Total India | (300,588 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Indonesia — (0.0)% | ||||||||||
Telecommunication — (0.0)% | ||||||||||
PT Telekomunikasi Indonesia Persero Tbk ADR | 100 | $ | (4,810 | ) | ||||||
|
| |||||||||
Total Indonesia | (4,810 | ) | ||||||||
|
| |||||||||
Ireland — (0.3)% | ||||||||||
Banking — (0.0)% | ||||||||||
Bank of Ireland ADR | 400 | (6,332 | ) | |||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.3)% | ||||||||||
Amarin Corp. PLC ADR | 21,000 | (22,890 | ) | |||||||
Endo International PLC | 15,600 | (1,066,104 | ) | |||||||
Perrigo Co. PLC | 1,500 | (225,285 | ) | |||||||
|
| |||||||||
(1,314,279 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.0)% | ||||||||||
Fly Leasing Ltd. ADR | 200 | (2,562 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Ardmore Shipping Corp. | 300 | (3,270 | ) | |||||||
|
| |||||||||
Total Ireland | (1,326,443 | ) | ||||||||
|
| |||||||||
Israel — (0.1)% | ||||||||||
Biotechnology & Pharmaceutical — (0.1)% | ||||||||||
Teva Pharmaceutical Industries Ltd. ADR | 8,700 | (467,625 | ) | |||||||
|
| |||||||||
Total Israel | (467,625 | ) | ||||||||
|
| |||||||||
Japan — (0.0)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Toyota Motor Corp. ADR | 600 | (70,518 | ) | |||||||
|
| |||||||||
Institutional Financial Service — (0.0)% | ||||||||||
Nomura Holdings, Inc. ADR | 1,200 | (7,092 | ) | |||||||
|
| |||||||||
Telecommunication — (0.0)% | ||||||||||
Nippon Telegraph & Telephone Corp. ADR | 1,100 | (34,221 | ) | |||||||
|
| |||||||||
Total Japan | (111,831 | ) | ||||||||
|
| |||||||||
Luxembourg — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Pacific Drilling SA | 3,400 | (28,118 | ) | |||||||
|
| |||||||||
Total Luxembourg | (28,118 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
142
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Monaco — (0.1)% | ||||||||||
Transportation & Logistics — (0.1)% | ||||||||||
GasLog Ltd. | 4,800 | $ | (105,648 | ) | ||||||
Scorpio Tankers, Inc. | 15,500 | (128,805 | ) | |||||||
|
| |||||||||
Total Monaco | (234,453 | ) | ||||||||
|
| |||||||||
Netherlands — (0.2)% | ||||||||||
Banking — (0.0)% | ||||||||||
ING Groep NV ADR | 9,300 | (131,967 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.1)% | ||||||||||
Qiagen NV | 21,900 | (498,663 | ) | |||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Core Laboratories NV | 200 | (29,270 | ) | |||||||
|
| |||||||||
Semiconductors — (0.1)% | ||||||||||
ASML Holding NV New York Shares | 2,200 | (217,404 | ) | |||||||
|
| |||||||||
Telecommunication — (0.0)% | ||||||||||
VimpelCom Ltd. ADR | 12,300 | (88,806 | ) | |||||||
|
| |||||||||
Total Netherlands | (966,110 | ) | ||||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Nordic American Tankers Ltd. | 28,000 | (222,600 | ) | |||||||
|
| |||||||||
Total Norway | (222,600 | ) | ||||||||
|
| |||||||||
Panama — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Latinoamericano de Comercio Exterior SA, Class E Shares | 800 | (24,544 | ) | |||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Avianca Holdings SA ADR | 1,000 | (13,720 | ) | |||||||
|
| |||||||||
Total Panama | (38,264 | ) | ||||||||
|
| |||||||||
Peru — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
Credicorp Ltd. | 1,600 | (245,424 | ) | |||||||
|
| |||||||||
Total Peru | (245,424 | ) | ||||||||
|
| |||||||||
Republic of Korea — (0.0)% | ||||||||||
Iron & Steel — (0.0)% | ||||||||||
POSCO ADR | 1,400 | (106,260 | ) | |||||||
|
| |||||||||
Total Republic of Korea | (106,260 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Sweden — (0.0)% | ||||||||||
Hardware — (0.0)% | ||||||||||
Neonode, Inc. | 1,900 | $ | (4,085 | ) | ||||||
|
| |||||||||
Total Sweden | (4,085 | ) | ||||||||
|
| |||||||||
Switzerland — (0.1)% | ||||||||||
Institutional Financial Service — (0.1)% | ||||||||||
Credit Suisse Group AG ADR | 6,000 | (165,840 | ) | |||||||
UBS AG | 3,700 | (64,269 | ) | |||||||
|
| |||||||||
(230,109 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
STMicroelectronics NV | 200 | (1,538 | ) | |||||||
|
| |||||||||
Total Switzerland | (231,647 | ) | ||||||||
|
| |||||||||
Taiwan — (0.0)% | ||||||||||
Hardware — (0.0)% | ||||||||||
AU Optronics Corp. ADR | 100 | (416 | ) | |||||||
|
| |||||||||
Telecommunication — (0.0)% | ||||||||||
Chunghwa Telecom Co. Ltd. ADR | 300 | (8,991 | ) | |||||||
|
| |||||||||
Total Taiwan | (9,407 | ) | ||||||||
|
| |||||||||
Turkey — (0.0)% | ||||||||||
Telecommunication — (0.0)% | ||||||||||
Turkcell Iletisim Hizmetleri AS ADR | 700 | (9,198 | ) | |||||||
|
| |||||||||
Total Turkey | (9,198 | ) | ||||||||
|
| |||||||||
United Kingdom — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
Barclays PLC ADR | 15,304 | (226,652 | ) | |||||||
Lloyds Banking Group plc ADR | 1,000 | (5,040 | ) | |||||||
|
| |||||||||
(231,692 | ) | |||||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
National Grid PLC ADR | 900 | (64,692 | ) | |||||||
|
| |||||||||
Total United Kingdom | (296,384 | ) | ||||||||
|
| |||||||||
United States — (12.6)% | ||||||||||
Aerospace & Defense — (0.0)% | ||||||||||
GenCorp, Inc. | 500 | (7,985 | ) | |||||||
Sturm Ruger & Co., Inc. | 1,700 | (82,773 | ) | |||||||
|
| |||||||||
(90,758 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
144
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Asset Management — (0.5)% | ||||||||||
Acacia Research Corp. | 200 | $ | (3,096 | ) | ||||||
Artisan Partners Asset Management, Inc. A Shares | 1,300 | (67,665 | ) | |||||||
Janus Capital Group, Inc. | 68,500 | (995,990 | ) | |||||||
Leucadia National Corp. | 39,800 | (948,832 | ) | |||||||
Medley Capital Corp. | 800 | (9,448 | ) | |||||||
NorthStar Asset Management Group, Inc. | 4,300 | (79,206 | ) | |||||||
Prospect Capital Corp. | 5,500 | (54,450 | ) | |||||||
TPG Specialty Lending, Inc. | 200 | (3,202 | ) | |||||||
|
| |||||||||
(2,161,889 | ) | |||||||||
|
| |||||||||
Automotive — (0.0)% | ||||||||||
Federal-Mogul Holdings Corp. | 300 | (4,461 | ) | |||||||
Quantum Fuel Systems Technologies Worldwide, Inc. | 4,500 | (16,740 | ) | |||||||
|
| |||||||||
(21,201 | ) | |||||||||
|
| |||||||||
Banking — (0.7)% | ||||||||||
Banc of California, Inc. | 100 | (1,163 | ) | |||||||
Bank of America Corp. | 57,800 | (985,490 | ) | |||||||
Citigroup, Inc. | 18,700 | (969,034 | ) | |||||||
JPMorgan Chase & Co. | 5,000 | (301,200 | ) | |||||||
MB Financial, Inc. | 36 | (996 | ) | |||||||
PacWest Bancorp | 13,400 | (552,482 | ) | |||||||
Umpqua Holdings Corp. | 12,800 | (210,816 | ) | |||||||
United Bankshares, Inc. | 100 | (3,093 | ) | |||||||
|
| |||||||||
(3,024,274 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (1.7)% | ||||||||||
ACADIA Pharmaceuticals, Inc. | 4,700 | (116,372 | ) | |||||||
AcelRx Pharmaceuticals, Inc. | 400 | (2,196 | ) | |||||||
Aegerion Pharmaceuticals, Inc. | 9,100 | (303,758 | ) | |||||||
Ampio Pharmaceuticals, Inc. | 13,000 | (45,890 | ) | |||||||
Antares Pharma, Inc. | 800 | (1,464 | ) | |||||||
Arena Pharmaceuticals, Inc. | 13,400 | (56,146 | ) | |||||||
Ariad Pharmaceuticals, Inc. | 11,500 | (62,100 | ) | |||||||
Array BioPharma, Inc. | 100 | (357 | ) | |||||||
AVANIR Pharmaceuticals, Inc. A Shares | 2,900 | (34,568 | ) | |||||||
Celldex Therapeutics, Inc. | 4,800 | (62,208 | ) | |||||||
Celsion Corp. | 200 | (592 | ) | |||||||
Clovis Oncology, Inc. | 1,500 | (68,040 | ) | |||||||
CTI BioPharma Corp. | 2,400 | (5,808 | ) | |||||||
CytRx Corp. | 25,800 | (65,532 | ) | |||||||
Dendreon Corp. | 2,600 | (3,744 | ) | |||||||
Durata Therapeutics, Inc. | 1,300 | (16,484 | ) | |||||||
Eli Lilly & Co. | 19,500 | (1,264,575 | ) |
See Notes to Consolidated Financial Statements.
145
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Endocyte, Inc. | 400 | $ | (2,432 | ) | ||||||
Exelixis, Inc. | 4,300 | (6,579 | ) | |||||||
Galectin Therapeutics, Inc. | 300 | (1,509 | ) | |||||||
Galena Biopharma, Inc. | 11,700 | (24,102 | ) | |||||||
Hospira, Inc. | 33,000 | (1,716,990 | ) | |||||||
Idera Pharmaceuticals, Inc. | 2,300 | (5,267 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 2,100 | (20,685 | ) | |||||||
Intrexon Corp. | 900 | (16,722 | ) | |||||||
Ironwood Pharmaceuticals, Inc. | 3,600 | (46,638 | ) | |||||||
Johnson & Johnson | 10,800 | (1,151,172 | ) | |||||||
Keryx Biopharmaceuticals, Inc. | 19,400 | (266,750 | ) | |||||||
Lexicon Pharmaceuticals, Inc. | 100 | (141 | ) | |||||||
MannKind Corp. | 200 | (1,182 | ) | |||||||
Mast Therapeutics, Inc. | 100 | (56 | ) | |||||||
NanoViricides, Inc. | 100 | (300 | ) | |||||||
Neuralstem, Inc. | 2,200 | (7,216 | ) | |||||||
Orexigen Therapeutics, Inc. | 12,000 | (51,120 | ) | |||||||
Organovo Holdings, Inc. | 3,500 | (22,295 | ) | |||||||
OXiGENE, Inc. | 2,000 | (4,300 | ) | |||||||
Peregrine Pharmaceuticals, Inc. | 700 | (952 | ) | |||||||
Repros Therapeutics, Inc. | 400 | (3,960 | ) | |||||||
Rexahn Pharmaceuticals, Inc. | 2,500 | (2,025 | ) | |||||||
Sarepta Therapeutics, Inc. | 6,400 | (135,040 | ) | |||||||
StemCells, Inc. | 800 | (1,008 | ) | |||||||
Synergy Pharmaceuticals, Inc. | 10,600 | (29,521 | ) | |||||||
Synta Pharmaceuticals Corp. | 3,400 | (10,234 | ) | |||||||
TherapeuticsMD, Inc. | 600 | (2,784 | ) | |||||||
Theravance, Inc. | 1,800 | (30,762 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 2,500 | (25,950 | ) | |||||||
Vertex Pharmaceuticals, Inc. | 1,300 | (146,003 | ) | |||||||
Vivus, Inc. | 3,300 | (12,738 | ) | |||||||
Zoetis, Inc. | 47,900 | (1,769,905 | ) | |||||||
|
| |||||||||
(7,626,172 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Rentech, Inc. | 700 | (1,197 | ) | |||||||
Taminco Corp. | 1,300 | (33,930 | ) | |||||||
Valhi, Inc. | 300 | (1,959 | ) | |||||||
|
| |||||||||
(37,086 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.1)% | ||||||||||
Healthcare Services Group, Inc. | 100 | (2,861 | ) | |||||||
HMS Holdings Corp. | 26,800 | (505,180 | ) | |||||||
InterCloud Systems, Inc. | 4,800 | (21,792 | ) |
See Notes to Consolidated Financial Statements.
146
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Rollins, Inc. | 100 | $ | (2,928 | ) | ||||||
|
| |||||||||
(532,761 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.1)% | ||||||||||
Louisiana-Pacific Corp. | 600 | (8,154 | ) | |||||||
Martin Marietta Materials, Inc. | 30 | (3,868 | ) | |||||||
Trex Co., Inc. | 9,100 | (314,587 | ) | |||||||
|
| |||||||||
(326,609 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.2)% | ||||||||||
22nd Century Group, Inc. | 900 | (2,268 | ) | |||||||
Annie’s, Inc. | 200 | (9,180 | ) | |||||||
Brown-Forman Corp. Class B | 1,200 | (108,264 | ) | |||||||
Clearwater Paper Corp. | 3,600 | (216,396 | ) | |||||||
Darling Ingredients, Inc. | 4,600 | (84,272 | ) | |||||||
Dean Foods Co. | 8,700 | (115,275 | ) | |||||||
Diamond Foods, Inc. | 1,100 | (31,471 | ) | |||||||
Kellogg Co. | 3,400 | (209,440 | ) | |||||||
Molson Coors Brewing Co. Class B | 100 | (7,444 | ) | |||||||
Post Holdings, Inc. | 9,300 | (308,574 | ) | |||||||
Snyders-Lance, Inc. | 100 | (2,650 | ) | |||||||
|
| |||||||||
(1,095,234 | ) | |||||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Lincoln Educational Services Corp. | 400 | (1,124 | ) | |||||||
Weight Watchers International, Inc. | 1,100 | (30,184 | ) | |||||||
|
| |||||||||
(31,308 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.0)% | ||||||||||
Capstone Turbine Corp. | 13,900 | (14,873 | ) | |||||||
InvenSense, Inc. | 3,000 | (59,190 | ) | |||||||
|
| |||||||||
(74,063 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
Pike Corp. | 3,700 | (43,993 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.3)% | ||||||||||
McDonald’s Corp. | 9,076 | (860,496 | ) | |||||||
Multimedia Games Holding Co., Inc. | 5,800 | (208,858 | ) | |||||||
Papa Murphy’s Holdings, Inc. | 100 | (1,020 | ) | |||||||
Pinnacle Entertainment, Inc. | 3,100 | (77,779 | ) | |||||||
|
| |||||||||
(1,148,153 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
147
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Gaming, Lodging & Restaurants — (0.3)% | ||||||||||
Bob Evans Farms, Inc. | 400 | $ | (18,936 | ) | ||||||
Boyd Gaming Corp. | 34,500 | (350,520 | ) | |||||||
Caesars Entertainment Corp. | 6,400 | (80,512 | ) | |||||||
Krispy Kreme Doughnuts, Inc. | 400 | (6,864 | ) | |||||||
Scientific Games Corp. A Shares | 16,000 | (172,320 | ) | |||||||
Sonic Corp. | 23,100 | (516,516 | ) | |||||||
|
| |||||||||
(1,145,668 | ) | |||||||||
|
| |||||||||
Hardware — (0.2)% | ||||||||||
3D Systems Corp. | 1,100 | (51,007 | ) | |||||||
Aerohive Networks, Inc. | 2,700 | (21,654 | ) | |||||||
Alliance Fiber Optic Products, Inc. | 2,000 | (24,860 | ) | |||||||
ARRIS Group, Inc. | 200 | (5,671 | ) | |||||||
CalAmp Corp. | 3,700 | (65,194 | ) | |||||||
Ciena Corp. | 9,700 | (162,184 | ) | |||||||
Diebold, Inc. | 3,700 | (130,684 | ) | |||||||
ExOne Co. (The) | 4,900 | (102,361 | ) | |||||||
Extreme Networks, Inc. | 1,800 | (8,622 | ) | |||||||
Gigamon, Inc. | 2,800 | (29,316 | ) | |||||||
Microvision, Inc. | 3,100 | (6,014 | ) | |||||||
Ruckus Wireless, Inc. | 300 | (4,008 | ) | |||||||
Stratasys Ltd. | 2,600 | (314,028 | ) | |||||||
Turtle Beach Corp. | 900 | (6,885 | ) | |||||||
Violin Memory, Inc. | 1,500 | (7,305 | ) | |||||||
|
| |||||||||
(939,793 | ) | |||||||||
|
| |||||||||
Health Care Facilities/Services — (1.0)% | ||||||||||
Acadia Healthcare Co., Inc. | 400 | (19,400 | ) | |||||||
BioScrip, Inc. | 8,900 | (61,499 | ) | |||||||
Cardinal Health, Inc. | 10,400 | (779,168 | ) | |||||||
Express Scripts Holding Co. | 25,700 | (1,815,191 | ) | |||||||
Humana, Inc. | 9,900 | (1,289,871 | ) | |||||||
Kindred Healthcare, Inc. | 12,200 | (236,680 | ) | |||||||
Neostem, Inc. | 6,400 | (35,392 | ) | |||||||
Quest Diagnostics, Inc. | 9,300 | (564,324 | ) | |||||||
|
| |||||||||
(4,801,525 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.3)% | ||||||||||
Beazer Homes USA, Inc. | 700 | (11,746 | ) | |||||||
Hovnanian Enterprises, Inc. A Shares | 32,700 | (120,009 | ) | |||||||
Masonite International Corp. | 9,400 | (520,572 | ) | |||||||
MDC Holdings, Inc. | 5,000 | (126,600 | ) | |||||||
Newell Rubbermaid, Inc. | 1,200 | (41,292 | ) | |||||||
Standard Pacific Corp. | 100 | (749 | ) | |||||||
Taylor Morrison Home Corp. A Shares | 100 | (1,622 | ) |
See Notes to Consolidated Financial Statements.
148
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
TRI Pointe Homes, Inc. | 35,300 | $ | (456,782 | ) | ||||||
William Lyon Homes A Shares | 1,400 | (30,940 | ) | |||||||
|
| |||||||||
(1,310,312 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
MSC Industrial Direct Co., Inc. A Shares | 100 | (8,546 | ) | |||||||
TAL International Group, Inc. | 100 | (4,125 | ) | |||||||
|
| |||||||||
(12,671 | ) | |||||||||
|
| |||||||||
Institutional Financial Service — (0.5)% | ||||||||||
FXCM, Inc. A Shares | 5,000 | (79,250 | ) | |||||||
Goldman Sachs Group, Inc. (The) | 5,600 | (1,027,992 | ) | |||||||
IntercontinentalExchange Group, Inc. | 2,300 | (448,615 | ) | |||||||
Morgan Stanley | 27,900 | (964,503 | ) | |||||||
RCS Capital Corp. A Shares | 400 | (9,008 | ) | |||||||
|
| |||||||||
(2,529,368 | ) | |||||||||
|
| |||||||||
Insurance — (0.2)% | ||||||||||
American Equity Investment Life Holding Co. | 1,800 | (41,184 | ) | |||||||
Berkshire Hathaway, Inc. B Shares | 7,200 | (994,608 | ) | |||||||
CNO Financial Group, Inc. | 200 | (3,392 | ) | |||||||
HCI Group, Inc. | 400 | (14,396 | ) | |||||||
Hilltop Holdings, Inc. | 300 | (6,015 | ) | |||||||
Markel Corp. | 100 | (63,615 | ) | |||||||
Radian Group, Inc. | 1,100 | (15,686 | ) | |||||||
Torchmark Corp. | 49 | (2,566 | ) | |||||||
|
| |||||||||
(1,141,462 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
AM Castle & Co. | 200 | (1,708 | ) | |||||||
Cliffs Natural Resources, Inc. | 8,600 | (89,268 | ) | |||||||
|
| |||||||||
(90,976 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.0)% | ||||||||||
Callaway Golf Co. | 200 | (1,448 | ) | |||||||
|
| |||||||||
Machinery — (0.1)% | ||||||||||
Adept Technology, Inc. | 1,000 | (8,410 | ) | |||||||
Briggs & Stratton Corp. | 14,500 | (261,290 | ) | |||||||
Colfax Corp. | 1,600 | (91,152 | ) | |||||||
|
| |||||||||
(360,852 | ) | |||||||||
|
| |||||||||
Manufactured Goods — (0.0)% | ||||||||||
Proto Labs, Inc. | 500 | (34,500 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Media — (0.5)% | ||||||||||
Angie’s List, Inc. | 2,500 | $ | (15,925 | ) | ||||||
Borderfree, Inc. | 100 | (1,290 | ) | |||||||
Brightcove, Inc. | 400 | (2,232 | ) | |||||||
Coupons.com, Inc. | 300 | (3,588 | ) | |||||||
Cumulus Media, Inc. A Shares | 27,700 | (111,631 | ) | |||||||
DreamWorks Animation SKG, Inc. A Shares | 300 | (8,181 | ) | |||||||
Entravision Communications Corp. A Shares | 200 | (792 | ) | |||||||
Everyday Health, Inc. | 600 | (8,382 | ) | |||||||
Groupon, Inc. | 88,000 | (587,840 | ) | |||||||
Liberty Media Corp. | 567 | (26,751 | ) | |||||||
Lions Gate Entertainment Corp. | 2,000 | (65,940 | ) | |||||||
LiveDeal, Inc. | 400 | (1,192 | ) | |||||||
Marin Software, Inc. | 700 | (6,020 | ) | |||||||
MeetMe, Inc. | 900 | (1,773 | ) | |||||||
Millennial Media, Inc. | 9,200 | (17,112 | ) | |||||||
Pandora Media, Inc. | 19,500 | (471,120 | ) | |||||||
Rocket Fuel, Inc. | 500 | (7,900 | ) | |||||||
Rubicon Project, Inc. (The) | 2,200 | (25,806 | ) | |||||||
Shutterfly, Inc. | 100 | (4,874 | ) | |||||||
Walt Disney Co. (The) | 400 | (35,612 | ) | |||||||
World Wrestling Entertainment, Inc. A Shares | 5,700 | (78,489 | ) | |||||||
Yelp, Inc. | 10,200 | (696,150 | ) | |||||||
|
| |||||||||
(2,178,600 | ) | |||||||||
|
| |||||||||
Medical Equipment/Devices — (1.2)% | ||||||||||
Abaxis, Inc. | 2,400 | (121,704 | ) | |||||||
Alere, Inc. | 800 | (31,024 | ) | |||||||
Becton Dickinson and Co. | 6,100 | (694,241 | ) | |||||||
BioTelemetry, Inc. | 1,100 | (7,381 | ) | |||||||
Cepheid, Inc. | 3,100 | (136,493 | ) | |||||||
Cerus Corp. | 800 | (3,208 | ) | |||||||
CR Bard, Inc. | 3,600 | (513,756 | ) | |||||||
DexCom, Inc. | 100 | (3,999 | ) | |||||||
Endologix, Inc. | 100 | (1,060 | ) | |||||||
EnteroMedics, Inc. | 100 | (123 | ) | |||||||
Hologic, Inc. | 40,200 | (978,066 | ) | |||||||
ImmunoCellular Therapeutics Ltd. | 700 | (623 | ) | |||||||
Insulet Corp. | 14,400 | (530,640 | ) | |||||||
IsoRay, Inc. | 600 | (1,014 | ) | |||||||
Navidea Biopharmaceuticals, Inc. | 800 | (1,056 | ) | |||||||
Opko Health, Inc. | 15,900 | (135,309 | ) | |||||||
Rockwell Medical, Inc. | 1,200 | (10,968 | ) | |||||||
Sirona Dental Systems, Inc. | 2,500 | (191,700 | ) | |||||||
Spectranetics Corp. | 2,600 | (69,082 | ) | |||||||
Unilife Corp. | 400 | (918 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Varian Medical Systems, Inc. | 16,200 | $ | (1,297,944 | ) | ||||||
Volcano Corp. | 600 | (6,384 | ) | |||||||
Waters Corp. | 7,600 | (753,312 | ) | |||||||
|
| |||||||||
(5,490,005 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Allied Nevada Gold Corp. | 10,500 | (34,755 | ) | |||||||
Coeur Mining, Inc. | 1,400 | (6,944 | ) | |||||||
Gold Resource Corp. | 500 | (2,560 | ) | |||||||
Hecla Mining Co. | 3,800 | (9,424 | ) | |||||||
Midway Gold Corp. | 1,200 | (1,248 | ) | |||||||
Molycorp, Inc. | 43,900 | (52,241 | ) | |||||||
Paramount Gold and Silver Corp. | 2,500 | (2,250 | ) | |||||||
Thompson Creek Metals Co., Inc. | 800 | (1,760 | ) | |||||||
Uranerz Energy Corp. | 400 | (440 | ) | |||||||
|
| |||||||||
(111,622 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.7)% | ||||||||||
Alon USA Energy, Inc. | 23,300 | (334,588 | ) | |||||||
Alpha Natural Resources, Inc. | 13,900 | (34,472 | ) | |||||||
Arch Coal, Inc. | 60,400 | (128,048 | ) | |||||||
CARBO Ceramics, Inc. | 100 | (5,923 | ) | |||||||
Clean Energy Fuels Corp. | 6,200 | (48,360 | ) | |||||||
Cobalt International Energy, Inc. | 62,900 | (855,440 | ) | |||||||
Comstock Resources, Inc. | 7,900 | (147,098 | ) | |||||||
Emerald Oil, Inc. | 21,000 | (129,150 | ) | |||||||
Endeavour International Corp. | 1,500 | (448 | ) | |||||||
EXCO Resources, Inc. | 77,800 | (259,852 | ) | |||||||
Flotek Industries, Inc. | 1,100 | (28,677 | ) | |||||||
Forest Oil Corp. | 16,600 | (19,422 | ) | |||||||
FX Energy, Inc. | 2,900 | (8,816 | ) | |||||||
Goodrich Petroleum Corp. | 4,200 | (62,244 | ) | |||||||
Hercules Offshore, Inc. | 22,600 | (49,720 | ) | |||||||
ION Geophysical Corp. | 3,700 | (10,323 | ) | |||||||
Laredo Petroleum, Inc. | 800 | (17,928 | ) | |||||||
Magnum Hunter Resources Corp. | 12,200 | (67,954 | ) | |||||||
Midstates Petroleum Co., Inc. | 500 | (2,525 | ) | |||||||
Miller Energy Resources, Inc. | 500 | (2,200 | ) | |||||||
PBF Energy, Inc. | 5,000 | (120,000 | ) | |||||||
PetroQuest Energy, Inc. | 300 | (1,686 | ) | |||||||
Quicksilver Resources, Inc. | 42,800 | (25,800 | ) | |||||||
Resolute Energy Corp. | 700 | (4,389 | ) | |||||||
Rosetta Resources, Inc. | 500 | (22,280 | ) | |||||||
Sanchez Energy Corp. | 4,300 | (112,918 | ) | |||||||
SandRidge Energy, Inc. | 16,900 | (72,501 | ) | |||||||
Stone Energy Corp. | 3,100 | (97,216 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Synergy Resources Corp. | 10,500 | $ | (127,995 | ) | ||||||
Ultra Petroleum Corp. | 17,000 | (395,420 | ) | |||||||
W&T Offshore, Inc. | 200 | (2,200 | ) | |||||||
Walter Energy, Inc. | 9,600 | (22,464 | ) | |||||||
|
| |||||||||
(3,218,057 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Republic Airways Holdings, Inc. | 200 | (2,222 | ) | |||||||
SkyWest, Inc. | 4,500 | (35,010 | ) | |||||||
|
| |||||||||
(37,232 | ) | |||||||||
|
| |||||||||
Real Estate — (1.0)% | ||||||||||
American Realty Capital Properties, Inc. | 67,500 | (814,050 | ) | |||||||
Ashford Hospitality Trust, Inc. | 200 | (2,044 | ) | |||||||
Aviv REIT, Inc. | 400 | (10,540 | ) | |||||||
Camden Property Trust | 14,800 | (1,014,244 | ) | |||||||
Campus Crest Communities, Inc. | 23,500 | (150,400 | ) | |||||||
CatchMark Timber Trust, Inc. A Shares | 1,000 | (10,960 | ) | |||||||
Chatham Lodging Trust | 100 | (2,308 | ) | |||||||
Chesapeake Lodging Trust | 100 | (2,915 | ) | |||||||
CubeSmart | 200 | (3,596 | ) | |||||||
Digital Realty Trust, Inc. | 700 | (43,666 | ) | |||||||
Education Realty Trust, Inc. | 39,300 | (404,004 | ) | |||||||
Essex Property Trust, Inc. | 800 | (143,000 | ) | |||||||
Glimcher Realty Trust | 500 | (6,770 | ) | |||||||
Government Properties Income Trust | 2,600 | (56,966 | ) | |||||||
Gramercy Property Trust, Inc. | 8,800 | (50,688 | ) | |||||||
Health Care REIT, Inc. | 6,600 | (411,642 | ) | |||||||
Kite Realty Group Trust | 100 | (2,424 | ) | |||||||
Mack-Cali Realty Corp. | 500 | (9,555 | ) | |||||||
National Retail Properties, Inc. | 400 | (13,828 | ) | |||||||
New York REIT, Inc. | 19,000 | (195,320 | ) | |||||||
Physicians Realty Trust | 5,600 | (76,832 | ) | |||||||
Piedmont Office Realty Trust, Inc. A Shares | 1,300 | (22,932 | ) | |||||||
Realty Income Corp. | 21,700 | (885,143 | ) | |||||||
Rexford Industrial Realty, Inc. | 1,700 | (23,528 | ) | |||||||
Ryman Hospitality Properties, Inc. | 100 | (4,730 | ) | |||||||
STAG Industrial, Inc. | 1,200 | (24,852 | ) | |||||||
Summit Hotel Properties, Inc. | 4,600 | (49,588 | ) | |||||||
Washington Real Estate Investment Trust | 800 | (20,304 | ) | |||||||
Winthrop Realty Trust | 800 | (12,056 | ) | |||||||
|
| |||||||||
(4,468,885 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.2)% | ||||||||||
BioFuel Energy Corp. | 100 | (288 | ) | |||||||
BioFuel Energy Corp. | 100 | (638 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
FuelCell Energy, Inc. | 26,400 | $ | (55,176 | ) | ||||||
Gevo, Inc. | 100 | (34 | ) | |||||||
GT Advanced Technologies, Inc. | 24,000 | (259,920 | ) | |||||||
Pacific Ethanol, Inc. | 10,700 | (149,372 | ) | |||||||
Plug Power, Inc. | 4,800 | (22,032 | ) | |||||||
Silver Spring Networks, Inc. | 700 | (6,755 | ) | |||||||
SolarCity Corp. | 2,500 | (149,000 | ) | |||||||
Solazyme, Inc. | 3,500 | (26,110 | ) | |||||||
|
| |||||||||
(669,325 | ) | |||||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||
Potbelly Corp. | 600 | (6,996 | ) | |||||||
Roundy’s, Inc. | 100 | (299 | ) | |||||||
SpartanNash Co. | 100 | (1,945 | ) | |||||||
|
| |||||||||
(9,240 | ) | |||||||||
|
| |||||||||
Retail Discretionary — (0.6)% | ||||||||||
Abercrombie & Fitch Co. A Shares | 900 | (32,706 | ) | |||||||
Aeropostale, Inc. | 100 | (329 | ) | |||||||
American Apparel, Inc. | 4,500 | (3,690 | ) | |||||||
American Eagle Outfitters, Inc. | 7,400 | (107,448 | ) | |||||||
Avis Budget Group, Inc. | 1,786 | (98,034 | ) | |||||||
Barnes & Noble, Inc. | 1,600 | (31,584 | ) | |||||||
Bon-Ton Stores, Inc. (The) | 5,700 | (47,652 | ) | |||||||
Cabela’s, Inc. | 17,100 | (1,007,190 | ) | |||||||
CarMax, Inc. | 400 | (18,580 | ) | |||||||
Chegg, Inc. | 300 | (1,872 | ) | |||||||
Children’s Place, Inc. (The) | 100 | (4,766 | ) | |||||||
Container Store Group, Inc. (The) | 4,900 | (106,673 | ) | |||||||
Francesca’s Holdings Corp. | 6,500 | (90,545 | ) | |||||||
Group 1 Automotive, Inc. | 200 | (14,542 | ) | |||||||
Lumber Liquidators Holdings, Inc. | 1,100 | (63,118 | ) | |||||||
Macy’s, Inc. | 800 | (46,544 | ) | |||||||
Men’s Wearhouse, Inc. (The) | 1,400 | (66,108 | ) | |||||||
Office Depot, Inc. | 7,100 | (36,494 | ) | |||||||
RadioShack Corp. | 800 | (792 | ) | |||||||
Sportsman’s Warehouse Holdings, Inc. | 1,800 | (12,123 | ) | |||||||
Stage Stores, Inc. | 500 | (8,555 | ) | |||||||
Tile Shop Holdings, Inc. | 2,300 | (21,275 | ) | |||||||
Tractor Supply Co. | 16,700 | (1,027,217 | ) | |||||||
zulily, Inc. A Shares | 500 | (18,945 | ) | |||||||
|
| |||||||||
(2,866,782 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.1)% | ||||||||||
Advanced Micro Devices, Inc. | 33,000 | (112,530 | ) | |||||||
Applied Micro Circuits Corp. | 6,200 | (43,400 | ) |
See Notes to Consolidated Financial Statements.
153
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
International Rectifier Corp. | 3,900 | $ | (153,036 | ) | ||||||
Maxwell Technologies, Inc. | 100 | (872 | ) | |||||||
Pixelworks, Inc. | 6,300 | (40,698 | ) | |||||||
QuickLogic Corp. | 4,800 | (14,352 | ) | |||||||
Rubicon Technology, Inc. | 1,300 | (5,525 | ) | |||||||
|
| |||||||||
(370,413 | ) | |||||||||
|
| |||||||||
Software — (0.4)% | ||||||||||
2U, Inc. | 1,000 | (15,590 | ) | |||||||
A10 Networks, Inc. | 3,700 | (33,707 | ) | |||||||
Amber Road, Inc. | 100 | (1,734 | ) | |||||||
BroadSoft, Inc. | 200 | (4,208 | ) | |||||||
ChannelAdvisor Corp. | 2,700 | (44,280 | ) | |||||||
Compuware Corp. | 6,000 | (63,660 | ) | |||||||
Cornerstone OnDemand, Inc. | 1,800 | (61,938 | ) | |||||||
Dealertrack Technologies, Inc. | 8,300 | (360,303 | ) | |||||||
FireEye, Inc. | 8,000 | (244,480 | ) | |||||||
Five9, Inc. | 900 | (5,886 | ) | |||||||
Glu Mobile, Inc. | 44,900 | (232,133 | ) | |||||||
Imperva, Inc. | 2,300 | (66,079 | ) | |||||||
Interactive Intelligence Group, Inc. | 100 | (4,180 | ) | |||||||
Jive Software, Inc. | 1,700 | (9,911 | ) | |||||||
LogMeIn, Inc. | 10,800 | (497,556 | ) | |||||||
Mitek Systems, Inc. | 200 | (482 | ) | |||||||
OPOWER, Inc. | 1,100 | (20,746 | ) | |||||||
Paycom Software, Inc. | 1,500 | (24,840 | ) | |||||||
Paylocity Holding Corp. | 100 | (1,965 | ) | |||||||
Q2 Holdings, Inc. | 200 | (2,800 | ) | |||||||
Rally Software Development Corp. | 3,100 | (37,231 | ) | |||||||
RealPage, Inc. | 3,100 | (48,050 | ) | |||||||
Take-Two Interactive Software, Inc. | 100 | (2,307 | ) | |||||||
Vringo, Inc. | 18,400 | (17,392 | ) | |||||||
Zynga, Inc. A Shares | 30,200 | (81,540 | ) | |||||||
|
| |||||||||
(1,882,998 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.7)% | ||||||||||
Apollo Residential Mortgage, Inc. | 8,000 | (123,440 | ) | |||||||
Ares Commercial Real Estate Corp. | 5,000 | (58,450 | ) | |||||||
ARMOUR Residential REIT, Inc. | 17,700 | (68,145 | ) | |||||||
CAI International, Inc. | 1,900 | (36,765 | ) | |||||||
CIT Group, Inc. | 4,100 | (188,436 | ) | |||||||
Colony Financial, Inc. | 7,000 | (156,660 | ) | |||||||
CYS Investments, Inc. | 80,600 | (664,144 | ) | |||||||
Encore Capital Group, Inc. | 500 | (22,155 | ) | |||||||
First American Financial Corp. | 4,200 | (113,904 | ) | |||||||
FNFV Group | 33 | (454 | ) |
See Notes to Consolidated Financial Statements.
154
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Heartland Payment Systems, Inc. | 100 | $ | (4,772 | ) | ||||||
JAVELIN Mortgage Investment Corp. | 3,600 | (43,236 | ) | |||||||
MGIC Investment Corp. | 21,200 | (165,572 | ) | |||||||
MoneyGram International, Inc. | 400 | (5,016 | ) | |||||||
Nationstar Mortgage Holdings, Inc. | 3,300 | (112,992 | ) | |||||||
Navient Corp. | 30,200 | (534,842 | ) | |||||||
Newcastle Investment Corp. | 34 | (431 | ) | |||||||
NorthStar Realty Finance Corp. | 300 | (5,301 | ) | |||||||
Ocwen Financial Corp. | 4,700 | (123,046 | ) | |||||||
RAIT Financial Trust | 6,800 | (50,524 | ) | |||||||
Redwood Trust, Inc. | 6,800 | (112,744 | ) | |||||||
Regional Management Corp. | 300 | (5,385 | ) | |||||||
Springleaf Holdings, Inc. | 100 | (3,193 | ) | |||||||
Total System Services, Inc. | 200 | (6,192 | ) | |||||||
WageWorks, Inc. | 900 | (40,977 | ) | |||||||
Walter Investment Management Corp. | 7,900 | (173,405 | ) | |||||||
Western Asset Mortgage Capital Corp. | 34,200 | (505,476 | ) | |||||||
Xoom Corp. | 2,100 | (46,095 | ) | |||||||
|
| |||||||||
(3,371,752 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
FICO STRIPS — PRINCIPAL | 100 | (5,510 | ) | |||||||
|
| |||||||||
Telecommunications — (0.2)% | ||||||||||
DigitalGlobe, Inc. | 17,500 | (498,750 | ) | |||||||
EarthLink Holdings Corp. | 1,800 | (6,156 | ) | |||||||
Global Eagle Entertainment, Inc. | 100 | (1,122 | ) | |||||||
Gogo, Inc. | 14,300 | (241,098 | ) | |||||||
NTELOS Holdings Corp. | 900 | (9,576 | ) | |||||||
Sprint Corp. | 11,800 | (74,812 | ) | |||||||
|
| |||||||||
(831,514 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Baltic Trading Ltd. | 8,400 | (34,776 | ) | |||||||
Genesee & Wyoming, Inc. A Shares | 3,400 | (324,054 | ) | |||||||
XPO Logistics, Inc. | 6,600 | (248,622 | ) | |||||||
YRC Worldwide, Inc. | 200 | (4,064 | ) | |||||||
|
| |||||||||
(611,516 | ) | |||||||||
|
| |||||||||
Transportation Equipment — (0.2)% | ||||||||||
Navistar International Corp. | 100 | (3,291 | ) | |||||||
Trinity Industries, Inc. | 21,600 | (1,009,152 | ) | |||||||
|
| |||||||||
(1,012,443 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
155
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
Utilities — (0.5)% | ||||||||||
Atlantic Power Corp. | 12,400 | $ | (29,512 | ) | ||||||
Cleco Corp. | 2,800 | (134,820 | ) | |||||||
Duke Energy Corp. | 8,400 | (628,068 | ) | |||||||
Exelon Corp. | 6,000 | (204,540 | ) | |||||||
Hawaiian Electric Industries, Inc. | 11,600 | (307,980 | ) | |||||||
Laclede Group, Inc. (The) | 6,700 | (310,880 | ) | |||||||
NRG Energy, Inc. | 23,100 | (704,088 | ) | |||||||
Pepco Holdings, Inc. | 3,400 | (90,984 | ) | |||||||
Westar Energy, Inc. | 400 | (13,648 | ) | |||||||
|
| |||||||||
(2,424,520 | ) | |||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — (0.0)% | ||||||||||
CLARCOR, Inc. | 2,100 | (132,468 | ) | |||||||
Nuverra Environmental Solutions, Inc. | 900 | (13,275 | ) | |||||||
US Ecology, Inc. | 200 | (9,352 | ) | |||||||
|
| |||||||||
(155,095 | ) | |||||||||
|
| |||||||||
Total United States | (58,297,585 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCK | (69,462,902 | ) | ||||||||
|
| |||||||||
Security Description | Principal Amount | Value | ||||||||
CORPORATE BONDS & NOTES — (0.3)% | ||||||||||
United States — (0.3)% | ||||||||||
Consumer Products — (0.0)% | ||||||||||
American Achievement Corp., 10.88%, 04/15/16 (e),(f) | $ | 65,000 | $ | (64,675 | ) | |||||
|
| |||||||||
Exploration & Production — (0.2)% | ||||||||||
California Resources Corp., 6.00%, 11/15/24 (f) | 780,000 | (801,450 | ) | |||||||
|
| |||||||||
Publishing & Broadcasting — (0.1)% | ||||||||||
iHeart Communications, Inc., 9.00%, 09/15/22 (f) | 390,000 | (389,025 | ) | |||||||
|
| |||||||||
Wireless Telecommunication Services — (0.0)% | ||||||||||
T-Mobile USA, Inc., 6.38%, 03/01/25 (e) | 195,000 | (194,512 | ) | |||||||
|
| |||||||||
Total United States | (1,449,662 | ) | ||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | (1,449,662 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — (4.3)% | ||||||||||
Alerian MLP ETF | 7,000 | $ | (134,190 | ) | ||||||
Consumer Staples Select Sector SPDR Fund | 2,738 | (123,511 | ) | |||||||
Financial Select Sector SPDR Fund | 119,200 | (2,761,864 | ) | |||||||
Health Care Select Sector SPDR Fund | 96,130 | (6,143,668 | ) | |||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 10,700 | (1,264,954 | ) | |||||||
iShares Nasdaq Biotechnology ETF | 1,406 | (384,724 | ) | |||||||
iShares Russell 2000 ETF (e) | 6,800 | (743,580 | ) | |||||||
iShares Russell 2000 ETF | 8,108 | (886,610 | ) | |||||||
SPDR S&P 500 ETF Trust | 3,200 | (630,464 | ) | |||||||
SPDR S&P Regional Banking ETF | 82,800 | (3,134,808 | ) | |||||||
Vanguard FTSE Developed Markets ETF | 98,000 | (3,895,500 | ) | |||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS | (20,103,873 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (19.6)% | $ | (91,016,437 | ) | |||||||
|
|
Footnote Legend:
(a) | All or a portion of this security is earmarked to cover obligations related to derivative financial instruments and other financial instruments. |
(b) | All or a portion of this security is pledged as collateral for derivative financial instruments. |
(c) | Non-income producing. |
(d) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. |
(e) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(f) | 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 buyers unless registered under the Securities Act of 1933. |
(g) | Variable/floating interest rate security. Rate presented is as of September 30, 2014. |
(h) | Security considered illiquid. |
(i) | Security is perpetual in nature and has no stated maturity. |
(j) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of September 30, 2014. Maturity date presented is the ultimate maturity. |
(k) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
(l) | Approximates cost for federal tax purposes. |
(m) | Assets, other than investments in securities, less liabilities, other than securities sold short. A significant portion of this balance represents cash collateral. |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Options Written Contracts Outstanding as of September 30, 2014:
Strike | Expiration | Contracts | Premium | Market | Unrealized | |||||||||||||||
Exchange-Traded Call Options Written |
| |||||||||||||||||||
Apple, Inc. | 107.00 USD | 10/24/14 | 394 | $ | (45,294 | ) | $ | (32,702 | ) | $ | 12,592 | |||||||||
AstraZeneca PLC | 46.00 GBP | 11/21/14 | 3 | (11,663 | ) | (6,979 | ) | 4,684 | ||||||||||||
AstraZeneca PLC | 48.00 GBP | 11/21/14 | 2 | (6,479 | ) | (2,797 | ) | 3,682 | ||||||||||||
Pandora Media, Inc. | 50.00 USD | 01/15/16 | 54 | (4,364 | ) | (810 | ) | 3,554 | ||||||||||||
Qualcomm, Inc. | 77.50 USD | 11/22/14 | 18 | (2,589 | ) | (2,106 | ) | 483 | ||||||||||||
$ | (70,389 | ) | $ | (45,394 | ) | $ | 24,995 | |||||||||||||
Exchange-Traded Put Options Written |
| |||||||||||||||||||
Alstom SA | 26.00 EUR | 12/19/14 | 188 | $ | (26,557 | ) | $ | (8,786 | ) | $ | 17,771 | |||||||||
Alstom SA | 27.00 EUR | 12/19/14 | 200 | (30,406 | ) | (18,693 | ) | 11,713 | ||||||||||||
S&P 500 Index | 1,870.00 USD | 10/18/14 | 3 | (2,196 | ) | (1,500 | ) | 696 | ||||||||||||
$ | (59,159 | ) | $ | (28,979 | ) | $ | 30,180 | |||||||||||||
Counterparty | Strike | Expiration | Notional | Premium | Market | Unrealized | ||||||||||||||||||||
FX OTC Call Options Written |
| |||||||||||||||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.30 CNH | 11/05/15 | 1,372,800 USD | $ | (17,737 | ) | $ | (21,884 | ) | $ | (4,147 | ) | |||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.80 CNH | 11/05/15 | 670,000 USD | (1,531 | ) | (3,403 | ) | (1,872 | ) | ||||||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.80 CNH | 11/05/15 | 200,000 USD | (457 | ) | (1,016 | ) | (559 | ) | ||||||||||||||||
USD/CNH Currency | Morgan Stanley Capital Services LLC | 6.80 CNH | 11/05/15 | 1,560,000 USD | (7,414 | ) | (7,930 | ) | (516 | ) | ||||||||||||||||
USD/JPY Currency | Morgan Stanley Capital Services LLC | 95.00 JPY | 12/30/14 | 3,150,000 USD | (218,925 | ) | (418,778 | ) | (199,853 | ) | ||||||||||||||||
USD/JPY Currency | Morgan Stanley Capital Services LLC | 105.00 JPY | 12/30/14 | 2,020,000 USD | (18,705 | ) | (92,095 | ) | (73,390 | ) | ||||||||||||||||
USD/JPY Currency | Morgan Stanley Capital Services LLC | 105.00 JPY | 12/30/14 | 1,130,000 USD | (7,006 | ) | (51,594 | ) | (44,588 | ) | ||||||||||||||||
USD/JPY Currency | Morgan Stanley Capital Services LLC | 110.00 JPY | 12/30/14 | 2,020,000 USD | (4,585 | ) | (28,539 | ) | (23,954 | ) | ||||||||||||||||
$ | (276,360 | ) | $ | (625,239 | ) | $ | (348,879 | ) | ||||||||||||||||||
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Counterparty | Strike | Expiration | Notional | Premium | Market | Unrealized | ||||||||||||||||||||
FX OTC Put Options Written |
| |||||||||||||||||||||||||
USD/BRL Currency | Morgan Stanley Capital Services LLC | 2.40 BRL | 12/31/15 | 240,000 USD | $ | (6,368 | ) | $ | (3,050 | ) | $ | 3,318 | ||||||||||||||
OTC Call Option Written |
| |||||||||||||||||||||||||
Pandora Media, Inc. | Credit Suisse International | 50.00 USD | 01/15/16 | 20,900 USD | $ | (25,280 | ) | $ | (5,487 | ) | $ | 19,793 | ||||||||||||||
Total Options Written Outstanding |
| $ | (437,556 | ) | $ | (708,149 | ) | $ | (270,593 | ) | ||||||||||||||||
Reverse Repurchase Agreements Outstanding as of September 30, 2014
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Accrued | |||||||||||
Bank of America Merrill Lynch | 1.75% | 09/12/14 | 10/10/14 | $ | 974,000 | $ | 974,900 | |||||||||
Bank of America Merrill Lynch | 1.84% | 07/25/14 | 10/31/14 | 1,310,000 | 1,313,883 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/11/14 | 10/10/14 | 388,000 | 388,356 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/29/14 | 10/29/14 | 838,000 | 838,077 | |||||||||||
Bank of America Merrill Lynch | 1.84% | 08/09/14 | 11/06/14 | 588,000 | 589,683 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/11/14 | 10/10/14 | 638,000 | 638,585 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/11/14 | 10/10/14 | 453,000 | 453,415 | |||||||||||
Bank of America Merrill Lynch | 1.66% | 07/29/14 | 10/02/14 | 1,207,000 | 1,208,614 | |||||||||||
Bank of America Merrill Lynch | 1.84% | 08/06/14 | 11/06/14 | 1,054,000 | 1,057,017 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/11/14 | 10/10/14 | 993,000 | 993,910 | |||||||||||
Bank of America Merrill Lynch | 1.84% | 07/31/14 | 11/05/14 | 586,000 | 587,707 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/25/14 | 10/27/14 | 526,000 | 526,145 | |||||||||||
Bank of America Merrill Lynch | 1.75% | 07/18/14 | 10/29/14 | 1,617,000 | 1,622,031 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/25/14 | 10/27/14 | 2,199,000 | 2,199,605 | |||||||||||
Bank of America Merrill Lynch | 1.55% | 09/11/14 | 10/10/14 | 645,000 | 645,555 | |||||||||||
Bank of America Merrill Lynch | 1.55% | 09/11/14 | 10/10/14 | 1,931,000 | 1,932,663 | |||||||||||
Bank of America Merrill Lynch | 1.65% | 09/18/14 | 10/20/14 | 975,000 | 975,581 | |||||||||||
Bank of America Merrill Lynch | 1.50% | 09/15/14 | 10/15/14 | 273,000 | 273,182 | |||||||||||
Bank of America Merrill Lynch | 1.50% | 09/15/14 | 10/15/14 | 490,000 | 490,327 | |||||||||||
Credit Suisse Securities (Europe) LLC | (3.00)% | 08/28/14 | 08/31/15 | 443,762 | 430,786 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.49% | 08/04/14 | 11/04/14 | 1,487,000 | 1,490,567 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.49% | 08/04/14 | 11/04/14 | 719,000 | 720,725 | |||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 20,334,762 | $ | 20,351,314 | |||||||||||
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Futures Contracts Outstanding at September 30, 2014
Description | Number of | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
Long Futures | ||||||||||||||||||||
90 Day Eurodollar | 312 | CME | 78,000,000 USD | 03/14/16 | $ | (84,741 | ) | |||||||||||||
90 Day Sterling | 244 | LIF | 30,500,000 GBP | 06/17/15 | 165,943 | |||||||||||||||
Australia 10-Year Bond | 81 | SFE | 8,100,000 AUD | 12/15/14 | 92,259 | |||||||||||||||
Bankers’ Acceptance | 394 | CDE | 98,500,000 CAD | 03/14/16 | (26,334 | ) | ||||||||||||||
Brent Crude | 19 | ICE | 19,000 USD | 10/16/14 | (83,541 | ) | ||||||||||||||
Cocoa | 135 | ICE | 1,350 USD | 12/15/14 | 161,833 | |||||||||||||||
Coffee | 8 | ICE | 300,000 USD | 12/18/14 | (41,906 | ) | ||||||||||||||
DAX Index | 4 | Eurex | 100 EUR | 12/19/14 | (18,276 | ) | ||||||||||||||
Euro-BTP | 103 | Eurex | 10,300,000 EUR | 12/08/14 | 47,937 | |||||||||||||||
Euro-Oat | 12 | Eurex | 1,200,000 EUR | 12/08/14 | 4,625 | |||||||||||||||
FTSE/JSE Top 40 | 56 | Safex | 560 ZAR | 12/18/14 | (87,743 | ) | ||||||||||||||
Gold 100 OZ | 23 | COMEX | 2,300 USD | 12/29/14 | (192,892 | ) | ||||||||||||||
IBEX 35 Index | 21 | MEFF | 210 EUR | 10/17/14 | 18,679 | |||||||||||||||
Long Gilt | 7 | LIF | 700,000 GBP | 12/29/14 | 2,109 | |||||||||||||||
Mex Bolsa Index | 116 | MEXDER | 1,160 MXN | 12/19/14 | (102,474 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 40,000 USD | 10/29/14 | 7,895 | |||||||||||||||
Natural Gas | 23 | NYMEX | 230,000 USD | 03/27/15 | 17,180 | |||||||||||||||
Nikkei 225 | 17 | OSE | 17,000 JPY | 12/11/14 | 75,058 | |||||||||||||||
NY Harbor ULSD | 17 | NYMEX | 714,000 USD | 04/30/15 | (38,021 | ) | ||||||||||||||
OMXS 30 Index | 72 | Nasdaq OMX | 7,200 SEK | 10/17/14 | 13,218 | |||||||||||||||
RBOB Gasoline | 15 | NYMEX | 630,000 USD | 10/31/14 | (18,076 | ) | ||||||||||||||
S&P 500 E-Mini Index | 78 | CME | 3,900 USD | 12/19/14 | (41,923 | ) | ||||||||||||||
S&P/TSX 60 Index | 6 | CDE | 1,200 CAD | 12/18/14 | (31,583 | ) | ||||||||||||||
SGX CNX Nifty | 93 | SGX | 186 USD | 10/30/14 | (38,428 | ) | ||||||||||||||
Soybean Meal | 67 | CBOT | 6,700 USD | 12/12/14 | (481,754 | ) | ||||||||||||||
Sugar 11 | 6 | ICE | 672,000 USD | 02/27/15 | 5 | |||||||||||||||
Topix Index | 2 | OSE | 20,000 JPY | 12/11/14 | 5,124 | |||||||||||||||
U.S. Treasury 10-Year Note | 85 | CBOT | 8,500,000 USD | 12/19/14 | (60,984 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (736,811 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Short Futures | ||||||||||||||||||||
3 Month Euribor | 419 | LIF | 104,750,000 EUR | 12/14/15 | $ | (70,815 | ) | |||||||||||||
3 Month Euro Swiss | 713 | ICE | 178,250,000 CHF | 12/15/14 | (39,014 | ) | ||||||||||||||
3 Month Euro Swiss | 41 | ICE | 10,250,000 CHF | 03/16/15 | 299 | |||||||||||||||
90 Day Eurodollar | 1 | CME | 250,000 USD | 09/17/18 | (140 | ) | ||||||||||||||
90 Day Eurodollar | 1 | CME | 250,000 USD | 06/18/18 | (90 | ) | ||||||||||||||
90 Day Eurodollar | 4 | CME | 1,000,000 USD | 09/14/15 | 184 | |||||||||||||||
90 Day Eurodollar | 5 | CME | 1,250,000 USD | 12/15/14 | (188 | ) | ||||||||||||||
90 Day Eurodollar | 4 | CME | 1,000,000 USD | 03/16/15 | (423 | ) | ||||||||||||||
90 Day Eurodollar | 3 | CME | 750,000 USD | 12/14/15 | 324 | |||||||||||||||
90 Day Eurodollar | 2 | CME | 500,000 USD | 03/14/16 | 445 |
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Description | Number of | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
90 Day Eurodollar | 3 | CME | 750,000 USD | 09/19/16 | $ | 330 | ||||||||||||||
90 Day Eurodollar | 1 | CME | 250,000 USD | 12/19/16 | 197 | |||||||||||||||
90 Day Eurodollar | 4 | CME | 1,000,000 USD | 12/18/17 | (260 | ) | ||||||||||||||
90 Day Eurodollar | 1 | CME | 250,000 USD | 09/18/17 | 223 | |||||||||||||||
90 Day Eurodollar | 2 | CME | 500,000 USD | 03/19/18 | 145 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 750,000 USD | 12/16/19 | (1,370 | ) | ||||||||||||||
90 Day Eurodollar | 2 | CME | 500,000 USD | 09/16/19 | (568 | ) | ||||||||||||||
90 Day Eurodollar | 2 | CME | 500,000 USD | 06/15/15 | (43 | ) | ||||||||||||||
90 Day Eurodollar | 1 | CME | 250,000 USD | 03/13/17 | 235 | |||||||||||||||
90 Day Eurodollar | 1 | CME | 250,000 USD | 03/16/20 | (78 | ) | ||||||||||||||
90-Day Bank Bill | 60 | SFE | 60,000,000 AUD | 03/10/16 | 2,397 | |||||||||||||||
CAC40 10 Euro | 4 | Euronext | 40 EUR | 10/17/14 | (134 | ) | ||||||||||||||
Canada 10-Year Bond | 33 | CDE | 3,300,000 CAD | 12/18/14 | 35,119 | |||||||||||||||
CBOE Volatility Index | 132 | CFE | 132,000 USD | 02/17/15 | (119,732 | ) | ||||||||||||||
CBOE Volatility Index | 67 | CFE | 67,000 USD | 11/18/14 | (72,319 | ) | ||||||||||||||
Corn | 139 | CBOT | 695,000 USD | 12/12/14 | 293,418 | |||||||||||||||
Cotton No.2 | 47 | ICE | 2,350,000 USD | 03/09/15 | 91,355 | |||||||||||||||
Cotton No.2 | 8 | ICE | 400,000 USD | 12/08/14 | 8,467 | |||||||||||||||
Euro Stoxx 50 | 733 | Eurex | 7,330 EUR | 12/19/14 | 137,282 | |||||||||||||||
Euro-Bund | 135 | Eurex | 13,500,000 EUR | 12/08/14 | (91,299 | ) | ||||||||||||||
FTSE 100 Index | 71 | LIF | 710 GBP | 12/19/14 | 182,805 | |||||||||||||||
Gasoil | 31 | ICE | 3,100 USD | 11/12/14 | 31,125 | |||||||||||||||
Hang Seng Index | 9 | HKFE | 450 HKD | 10/30/14 | 66,316 | |||||||||||||||
Japan 10-Year Bond | 40 | OSE | 4,000,000,000 JPY | 12/11/14 | (16,777 | ) | ||||||||||||||
Lean Hogs | 2 | CME | 80,000 USD | 12/12/14 | 2,530 | |||||||||||||||
Live Cattle | 21 | CME | 840,000 USD | 12/31/14 | (14,118 | ) | ||||||||||||||
NASDAQ 100 E-Mini | 66 | CME | 1,320 USD | 12/19/14 | 4,488 | |||||||||||||||
RBOB Gasoline | 16 | NYMEX | 672,000 USD | 04/30/15 | 37,757 | |||||||||||||||
S&P 500 E-Mini Index | 394 | CME | 19,700 USD | 12/19/14 | 424,610 | |||||||||||||||
Soybean Oil | 153 | CBOT | 9,180,000 USD | 12/12/14 | 396,480 | |||||||||||||||
SPI 200 | 19 | SFE | 475 AUD | 12/18/14 | 68,726 | |||||||||||||||
Swiss Market Index | 25 | Eurex | 250 CHF | 12/19/14 | (12,158 | ) | ||||||||||||||
Topix Index | 49 | OSE | 490,000 JPY | 12/11/14 | (141,941 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 23 | CBOT | 2,300,000 USD | 12/19/14 | 200 | |||||||||||||||
Wheat | 41 | CBOT | 205,000 USD | 12/12/14 | 163,244 | |||||||||||||||
WTI Crude | 1 | NYMEX | 1,000 USD | 10/21/14 | (725 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 1,366,509 | |||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts Outstanding | $ | 629,698 | ||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2014
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
BRL | 662,732 | USD | 280,000 | Morgan Stanley & Co. International | 10/16/14 | $ | (10,256 | ) | ||||||||||||
BRL | 376,208 | USD | 160,000 | Morgan Stanley & Co. International | 10/17/14 | (6,917 | ) | |||||||||||||
BRL | 420,000 | USD | 170,683 | State Street Bank and Trust Company | 11/04/14 | (615 | ) | |||||||||||||
BRL | 599,279 | USD | 258,488 | Morgan Stanley & Co. International | 12/17/14 | (18,617 | ) | |||||||||||||
BRL | 7,397,000 | USD | 3,259,093 | State Street Bank and Trust Company | 10/02/14 | (237,134 | ) | |||||||||||||
BRL | 197,000 | USD | 85,433 | Morgan Stanley & Co. International | 12/17/14 | (6,580 | ) | |||||||||||||
BRL | 1,580,000 | USD | 692,861 | Morgan Stanley & Co. International | 10/31/14 | (52,327 | ) | |||||||||||||
CHF | 5,335 | USD | 5,687 | Morgan Stanley & Co. LLC | 12/30/14 | (94 | ) | |||||||||||||
CHF | 7,275 | USD | 7,658 | Morgan Stanley & Co. LLC | 12/30/14 | (31 | ) | |||||||||||||
CNY | 3,706,800 | USD | 602,350 | Morgan Stanley & Co. International | 10/08/14 | 1,335 | ||||||||||||||
CNY | 742,656 | USD | 120,000 | Morgan Stanley & Co. International | 10/31/14 | 591 | ||||||||||||||
CNY | 3,706,500 | USD | 600,000 | Morgan Stanley & Co. International | 10/08/14 | 3,636 | ||||||||||||||
CNY | 1,261,356 | USD | 203,905 | Morgan Stanley & Co. International | 10/31/14 | 912 | ||||||||||||||
CNY | 1,258,481 | USD | 203,905 | Morgan Stanley & Co. International | 10/31/14 | 445 | ||||||||||||||
COP | 49,863,813 | USD | 25,597 | Morgan Stanley & Co. International | 12/17/14 | (1,148 | ) | |||||||||||||
DKK | 2,012,733 | EUR | 270,288 | Morgan Stanley Capital Services LLC | 12/17/14 | 108 | ||||||||||||||
EUR | 71,041 | USD | 91,875 | Morgan Stanley & Co. LLC | 12/17/14 | (2,099 | ) | |||||||||||||
EUR | 1,202,138 | USD | 1,551,460 | Morgan Stanley Capital Services LLC | 10/06/14 | (33,062 | ) | |||||||||||||
EUR | 26,806 | USD | 34,044 | Morgan Stanley & Co. LLC | 12/30/14 | (165 | ) | |||||||||||||
EUR | 229,491 | USD | 291,685 | Morgan Stanley & Co. LLC | 12/17/14 | (1,673 | ) | |||||||||||||
GBP | 716,000 | EUR | 899,803 | Morgan Stanley Capital Services LLC | 12/17/14 | 22,865 | ||||||||||||||
GBP | 6,069 | USD | 9,796 | Morgan Stanley & Co. LLC | 12/17/14 | 35 | ||||||||||||||
GBP | 13,459,000 | USD | 21,828,345 | State Street Bank and Trust Company | 12/17/14 | (23,790 | ) | |||||||||||||
IDR | 1,580,722,000 | USD | 130,000 | Morgan Stanley & Co. International | 12/19/14 | (3,028 | ) | |||||||||||||
IDR | 2,035,920,000 | USD | 170,000 | Morgan Stanley & Co. International | 12/19/14 | (6,464 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
IDR | 3,910,400,000 | USD | 320,000 | Morgan Stanley & Co. International | 12/19/14 | $ | (5,895 | ) | ||||||||||||
IDR | 368,100,000 | USD | 30,000 | Morgan Stanley & Co. International | 12/19/14 | (432 | ) | |||||||||||||
INR | 8,930,600 | USD | 140,000 | Morgan Stanley & Co. International | 05/27/15 | (1,562 | ) | |||||||||||||
INR | 30,230,400 | USD | 480,000 | Morgan Stanley & Co. International | 03/27/15 | (6,302 | ) | |||||||||||||
JPY | 938,110,000 | USD | 8,747,028 | State Street Bank and Trust Company | 12/17/14 | (187,588 | ) | |||||||||||||
JPY | 19,745,476 | USD | 180,819 | Morgan Stanley & Co. LLC | 12/17/14 | (657 | ) | |||||||||||||
KRW | 7,469,795,000 | USD | 7,184,222 | State Street Bank and Trust Company | 12/17/14 | (148,390 | ) | |||||||||||||
MXN | 4,649,842 | USD | 350,026 | Morgan Stanley & Co. International | 12/17/14 | (5,481 | ) | |||||||||||||
MXN | 4,107,894 | USD | 310,330 | Morgan Stanley & Co. International | 10/17/14 | (4,755 | ) | |||||||||||||
MXN | 4,085,180 | USD | 309,284 | Morgan Stanley Capital Services LLC | 12/17/14 | (6,580 | ) | |||||||||||||
MXN | 216,535,000 | USD | 16,232,009 | State Street Bank and Trust Company | 12/17/14 | (192,546 | ) | |||||||||||||
MXN | 85,720 | USD | 6,526 | Morgan Stanley & Co. International | 12/17/14 | (174 | ) | |||||||||||||
MYR | 272,952 | USD | 85,000 | Morgan Stanley & Co. International | 12/17/14 | (2,250 | ) | |||||||||||||
MYR | 485,925 | USD | 150,000 | Morgan Stanley & Co. International | 12/17/14 | (2,683 | ) | |||||||||||||
NGN | 170,575,968 | USD | 1,036,306 | JPMorgan Chase Bank, N.A. | 10/30/14 | 2,314 | ||||||||||||||
NGN | 45,778,500 | USD | 270,000 | JPMorgan Chase Bank, N.A. | 02/12/15 | 2,102 | ||||||||||||||
NOK | 3,621,562 | EUR | 444,407 | Morgan Stanley Capital Services LLC | 12/17/14 | 592 | ||||||||||||||
PHP | 1,011,862 | USD | 23,000 | Morgan Stanley & Co. International | 10/27/14 | (489 | ) | |||||||||||||
PLN | 326,350 | USD | 100,000 | Morgan Stanley & Co. International | 01/30/15 | (1,927 | ) | |||||||||||||
PLN | 1,007,817 | USD | 313,425 | Morgan Stanley & Co. International | 01/30/15 | (10,559 | ) | |||||||||||||
SEK | 4,646,450 | EUR | 505,307 | Morgan Stanley Capital Services LLC | 12/17/14 | 5,213 | ||||||||||||||
SEK | 16,946,000 | USD | 2,375,219 | State Street Bank and Trust Company | 12/17/14 | (27,351 | ) | |||||||||||||
SGD | 500,556 | USD | 399,241 | Morgan Stanley Capital Services LLC | 12/17/14 | (6,869 | ) | |||||||||||||
TRY | 4,262,000 | USD | 1,887,595 | State Street Bank and Trust Company | 12/17/14 | (51,254 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2014 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
ZAR | 78,935,000 | USD | 7,064,167 | State Street Bank and Trust Company | 12/17/14 | $ | (158,065 | ) | ||||||||||||
USD | 8,383,661 | AUD | 9,323,000 | State Street Bank and Trust Company | 12/17/14 | 264,957 | ||||||||||||||
USD | 3,035,458 | BRL | 6,977,000 | State Street Bank and Trust Company | 10/02/14 | 185,085 | ||||||||||||||
USD | 400,000 | BRL | 921,720 | State Street Bank and Trust Company | 11/04/14 | 26,773 | ||||||||||||||
USD | 280,000 | BRL | 665,364 | Morgan Stanley & Co. International | 10/16/14 | 9,185 | ||||||||||||||
USD | 343,921 | BRL | 831,224 | Morgan Stanley & Co. International | 12/17/14 | 11,210 | ||||||||||||||
USD | 172,202 | BRL | 420,000 | State Street Bank and Trust Company | 10/02/14 | 616 | ||||||||||||||
USD | 170,616 | CHF | 160,490 | Morgan Stanley & Co. LLC | 12/17/14 | 2,372 | ||||||||||||||
USD | 250,000 | CHF | 236,125 | State Street Bank and Trust Company | 10/24/14 | 2,626 | ||||||||||||||
USD | 4,186,935 | CHF | 3,912,000 | State Street Bank and Trust Company | 12/17/14 | 86,299 | ||||||||||||||
USD | 92,895 | CHF | 88,750 | Morgan Stanley & Co. LLC | 12/17/14 | (143 | ) | |||||||||||||
USD | 194,552 | CHF | 184,708 | Morgan Stanley & Co. LLC | 12/17/14 | 920 | ||||||||||||||
USD | 725,946 | CHF | 678,251 | Morgan Stanley & Co. LLC | 12/17/14 | 14,925 | ||||||||||||||
USD | 1,369,776 | CHF | 1,276,500 | Morgan Stanley & Co. LLC | 12/30/14 | 31,465 | ||||||||||||||
USD | 104,390 | CHF | 97,505 | Morgan Stanley & Co. LLC | 12/30/14 | 2,164 | ||||||||||||||
USD | 67,542 | CLP | 40,208,000 | Morgan Stanley Capital Services LLC | 12/17/14 | 739 | ||||||||||||||
USD | 600,000 | CNY | 3,706,800 | Morgan Stanley & Co. International | 10/08/14 | (3,685 | ) | |||||||||||||
USD | 602,301 | CNY | 3,706,500 | Morgan Stanley & Co. International | 10/08/14 | (1,335 | ) | |||||||||||||
USD | 24,932,727 | CZK | 531,653,000 | State Street Bank and Trust Company | 12/17/14 | 486,474 | ||||||||||||||
USD | 347,652 | EUR | 263,708 | Morgan Stanley & Co. International | 12/17/14 | 14,400 | ||||||||||||||
USD | 13,509 | EUR | 10,501 | Morgan Stanley & Co. LLC | 12/30/14 | 238 | ||||||||||||||
USD | 290,235 | EUR | 226,190 | Morgan Stanley & Co. LLC | 12/17/14 | 4,395 | ||||||||||||||
USD | 5,116,880 | EUR | 4,000,000 | State Street Bank and Trust Company | 10/24/14 | 63,963 | ||||||||||||||
USD | 14,791,034 | EUR | 11,425,000 | State Street Bank and Trust Company | 12/17/14 | 352,854 | ||||||||||||||
USD | 3,562,915 | EUR | 2,751,796 | Morgan Stanley & Co. LLC | 12/17/14 | 85,414 | ||||||||||||||
USD | 82,698 | EUR | 63,770 | Morgan Stanley & Co. LLC | 12/30/14 | 2,102 | ||||||||||||||
USD | 94,631 | EUR | 72,952 | Morgan Stanley & Co. International | 12/17/14 | 2,440 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
USD | 1,577,824 | EUR | 1,202,138 | State Street Bank and Trust Company | 10/06/14 | $ | 59,426 | |||||||||||||
USD | 3,217,594 | GBP | 1,983,451 | Morgan Stanley & Co. LLC | 12/17/14 | 4,279 | ||||||||||||||
USD | 50,599 | HKD | 392,344 | Morgan Stanley & Co. LLC | 12/17/14 | 77 | ||||||||||||||
USD | 62,602 | HKD | 486,221 | Morgan Stanley & Co. LLC | 12/17/14 | (9 | ) | |||||||||||||
USD | 952,067 | HKD | 7,378,045 | Morgan Stanley & Co. LLC | 12/17/14 | 1,990 | ||||||||||||||
USD | 4,942,533 | HUF | 1,205,632,000 | State Street Bank and Trust Company | 12/17/14 | 49,128 | ||||||||||||||
USD | 3,805,820 | ILS | 13,798,000 | State Street Bank and Trust Company | 12/17/14 | 56,375 | ||||||||||||||
USD | 110,276 | JPY | 11,960,936 | Morgan Stanley & Co. LLC | 12/17/14 | 1,141 | ||||||||||||||
USD | 809,753 | JPY | 88,036,337 | Morgan Stanley & Co. LLC | 12/17/14 | 6,486 | ||||||||||||||
USD | 69,785 | JPY | 7,438,195 | Morgan Stanley & Co. LLC | 12/17/14 | 1,917 | ||||||||||||||
USD | 1,590 | JPY | 169,612 | Morgan Stanley & Co. LLC | 12/17/14 | 42 | ||||||||||||||
USD | 6,163,139 | JPY | 658,377,317 | Morgan Stanley & Co. LLC | 12/17/14 | 155,933 | ||||||||||||||
USD | 8,356 | JPY | 894,182 | Morgan Stanley & Co. LLC | 12/17/14 | 197 | ||||||||||||||
USD | 21,606 | JPY | 2,344,596 | Morgan Stanley & Co. LLC | 12/17/14 | 213 | ||||||||||||||
USD | 53,329 | JPY | 5,805,361 | Morgan Stanley & Co. LLC | 12/17/14 | 359 | ||||||||||||||
USD | 53,565 | JPY | 5,830,243 | Morgan Stanley & Co. LLC | 12/17/14 | 368 | ||||||||||||||
USD | 184,820 | JPY | 19,383,890 | Morgan Stanley Capital Services LLC | 12/17/14 | 7,956 | ||||||||||||||
USD | 150,000 | MXN | 1,988,400 | Morgan Stanley & Co. International | 10/17/14 | 2,088 | ||||||||||||||
USD | 160,000 | MXN | 2,123,694 | Morgan Stanley & Co. International | 10/17/14 | 2,024 | ||||||||||||||
USD | 351,661 | MXN | 4,649,842 | Morgan Stanley & Co. International | 12/17/14 | 7,116 | ||||||||||||||
USD | 90,000 | NGN | 15,183,000 | JPMorgan Chase Bank, N.A. | 02/12/15 | (246 | ) | |||||||||||||
USD | 4,821,271 | NZD | 5,965,000 | State Street Bank and Trust Company | 12/17/14 | 199,479 | ||||||||||||||
USD | 6,832,779 | PLN | 22,308,000 | State Street Bank and Trust Company | 12/17/14 | 119,343 | ||||||||||||||
USD | 3,471,109 | RUB | 134,561,000 | State Street Bank and Trust Company | 12/17/14 | 121,705 | ||||||||||||||
USD | 235,303 | ZAR | 2,637,864 | Morgan Stanley & Co. International | 12/17/14 | 4,474 | ||||||||||||||
USD | 100,000 | ZAR | 1,117,000 | Morgan Stanley & Co. International | 12/17/14 | 2,256 | ||||||||||||||
|
| |||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding | $ | 1,264,909 | ||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
OTC Credit Default Swaps on Single-Name Issues (Buy Protection)—Outstanding at September 30, 2014
Reference | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
United Mexican States | (1.00)% | 12/20/19 | Morgan Stanley Capital Services LLC | 4,980,000 USD | $ | 31,378 | $ | (24,574) | $ | 55,952 | ||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issues (Buy Protection) |
| $ | 31,378 | $ | (24,574) | $ | 55,952 | |||||||||||||||||||
OTC Credit Default Swaps on Single-Name Issues (Sell Protection)—Outstanding at September 30, 2014
Reference | Rating(1) | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||
Federal Republic of Brazil | Baa2 | 1.00% | 09/20/19 | Morgan Stanley Capital Services LLC | 4,969,000 USD | $ | (158,529) | $ | (111,298) | $ | (47,231) | |||||||||||||
Total OTC Credit Default Swaps on Single-Name Issues (Sell Protection) |
| $ | (158,529) | $ | (111,298) | $ | (47,231) | |||||||||||||||||
(1) | Using the higher of S&P’s or Moody’s ratings. |
(2) | 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. |
OTC Total Return Swaps Outstanding at September 30, 2014
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||
Buys | ||||||||||||
Aegon NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | $ | 679,333 | $ | — | ||||||
Airbus Group | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,441,993 | — | ||||||||
Alcatel Lucent | 12/28/15 | Credit Suisse Securities (Europe) Limited | 308,826 | — | ||||||||
Amadeus IT Holding SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 959,494 | — | ||||||||
ArcelorMittal N.V. | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,163,002 | — | ||||||||
AstraZeneca PLC | 06/19/19 | Credit Suisse Securities (Europe) Limited | 1,264,932 | 31,946 | ||||||||
Atos | 12/28/15 | Credit Suisse Securities (Europe) Limited | 264,556 | — | ||||||||
Barclays PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 755,640 | — | ||||||||
Bayer AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 1,582,257 | — | ||||||||
Beiersdorf AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 199,907 | — | ||||||||
BP PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 693,180 | — | ||||||||
BT Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 448,289 | 2,471 | ||||||||
Carrefour SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 883,049 | — | ||||||||
Commerzbank AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 347,020 | — |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||
Credit Agricole SA | 07/29/19 | Credit Suisse Securities (Europe) Limited | $ | 1,771,886 | $ | 173,057 | ||||||
Credit Suisse Group AG | 12/29/15 | Credit Suisse Securities (Europe) Limited | 631,820 | — | ||||||||
Delta Lloyd NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 665,149 | — | ||||||||
Deutsche Bank AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 1,239,069 | — | ||||||||
Electricite De France EDF | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,432,176 | — | ||||||||
Enel SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 778,273 | — | ||||||||
ENI SpA Italia | 12/28/15 | Credit Suisse Securities (Europe) Limited | 627,281 | — | ||||||||
Fresenius Medical Care AG | 12/24/15 | Morgan Stanley Capital Services LLC | 794,531 | 21,333 | ||||||||
Fresenius Medical Care AG & Co KgaA | 12/24/15 | Credit Suisse Securities (Europe) Limited | 932,593 | — | ||||||||
Fresenius SE & Co. KGAA | 06/22/16 | Morgan Stanley Capital Services LLC | 397,094 | (1,052 | ) | |||||||
Friends Life Group Ltd. | 12/28/15 | Credit Suisse Securities (Europe) Limited | 350,428 | — | ||||||||
ING Groep NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 870,420 | — | ||||||||
Intesa San Paolo | 12/28/15 | Credit Suisse Securities (Europe) Limited | 810,134 | — | ||||||||
iShares MSCI Brazil Index ETF | 07/27/15 | Credit Suisse Securities (Europe) Limited | 153,639 | — | ||||||||
Jazztel PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,025,054 | — | ||||||||
JPCEWELL Index | 08/21/15 | JPMorgan Chase Bank N.A | 1,400 | (3,533 | ) | |||||||
Koninklijke KPN NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,601,212 | — | ||||||||
Linde AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 829,804 | — | ||||||||
Lloyds Banking Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,634,805 | 30,229 | ||||||||
MAN AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 27,009 | — | ||||||||
Mead Johnson Nutrition Co. | 07/27/15 | Credit Suisse Securities (Europe) Limited | 384,110 | 1,410 | ||||||||
Mediaset SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 676,719 | — | ||||||||
Orange | 12/28/15 | Credit Suisse Securities (Europe) Limited | 359,962 | — | ||||||||
Peugeot SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 656,333 | — | ||||||||
Publicis Groupe | 12/28/15 | Credit Suisse Securities (Europe) Limited | 687,751 | — | ||||||||
Puma SE | 12/24/15 | Credit Suisse Securities (Europe) Limited | 564,128 | — | ||||||||
Rexel SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 579,796 | — | ||||||||
Royal Bank of Scotland Group | 04/04/19 | Credit Suisse Securities (Europe) Limited | 1,799,506 | 71,187 | ||||||||
Royal Dutch Shell PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,505,192 | — | ||||||||
RWE | 12/24/15 | Credit Suisse Securities (Europe) Limited | 1,093,343 | — | ||||||||
SabMiller PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 911,620 | — | ||||||||
Safran SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,664,968 | 186,564 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||
Safran SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | $ | 1,072,918 | $ | — | ||||||
Sanofi | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,042,503 | — | ||||||||
Sanofi | 12/28/15 | Morgan Stanley Capital Services LLC | 1,737,044 | 162,689 | ||||||||
Shire PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,088,664 | 578,413 | ||||||||
Shire PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 331,301 | — | ||||||||
Shire PLC | 12/28/15 | Morgan Stanley Capital Services LLC | 1,492,983 | 41,376 | ||||||||
Smith & Nephew PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 264,196 | — | ||||||||
Societe Generale Paris | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,397,256 | — | ||||||||
STM FP | 12/28/15 | Credit Suisse Securities (Europe) Limited | 58,085 | (142 | ) | |||||||
STM IM | 12/28/15 | Credit Suisse Securities (Europe) Limited | 588,135 | — | ||||||||
TIM Participacoes SA ADR | 07/27/15 | Credit Suisse Securities (Europe) Limited | 801,720 | — | ||||||||
TSB Banking Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 158,008 | — | ||||||||
UBM PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 593,117 | 5,178 | ||||||||
UniCredito | 12/28/15 | Credit Suisse Securities (Europe) Limited | 853,061 | — | ||||||||
Vinci SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 692,108 | — | ||||||||
Vodafone Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 3,401,396 | — | ||||||||
Zalando SE | 12/24/15 | Credit Suisse Securities (Europe) Limited | 13,958 | — | ||||||||
Zurich Insurance Group AG | 12/29/15 | Credit Suisse Securities (Europe) Limited | 675,680 | — | ||||||||
|
| |||||||||||
Total Buys | $ | 1,301,126 | ||||||||||
|
| |||||||||||
Sells | ||||||||||||
Abbvie, Inc. | 07/27/15 | Credit Suisse Securities (Europe) Limited | 213,885 | — | ||||||||
Allianz SE REG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 461,210 | — | ||||||||
America Movil ADR | 07/27/15 | Credit Suisse Securities (Europe) Limited | 110,174 | — | ||||||||
AT&T, Inc. | 07/27/15 | Credit Suisse Securities (Europe) Limited | 546,749 | — | ||||||||
Banco Santander SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 501,591 | — | ||||||||
Bovespa Index | 10/15/14 | Morgan Stanley Capital Services LLC | 13 | 39,707 | ||||||||
BT Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 115,755 | — | ||||||||
Casino Guichard Perrachon SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 317,177 | — | ||||||||
Danone | 12/28/15 | Credit Suisse Securities (Europe) Limited | 367,845 | — | ||||||||
Deutsche Telekom AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 233,412 | — | ||||||||
Distribuidora Internacional | 12/28/15 | Credit Suisse Securities (Europe) Limited | 301,518 | — | ||||||||
Euro Stoxx SX7E | 07/15/15 | Credit Suisse Securities (Europe) Limited | 425,762 | (28,600 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||
Faurecia | 12/28/15 | Credit Suisse Securities (Europe) Limited | $ | 169,336 | $ | — | ||||||
Heineken NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 116,125 | — | ||||||||
iBoxx Liquid High Yield Index | 12/22/14 | JPMorgan Chase Bank N.A | 250,000 | 1,530 | ||||||||
Iboxx Liquid High Yield Index | 12/22/14 | JPMorgan Chase Bank N.A | 2,600,000 | 19,368 | ||||||||
iBoxx Liquid Leverage Loans Index | 12/22/14 | JPMorgan Chase Bank N.A | 1,700,000 | 15,996 | ||||||||
Infineon Technologies AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 310,745 | — | ||||||||
KOSPI2 Index | 12/11/14 | Morgan Stanley Capital Services LLC | 63 | 183,268 | ||||||||
Legal & General Group PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 348,256 | — | ||||||||
MSCI Daily World Gross Airlines | 07/31/15 | JPMorgan Chase Bank N.A | 1,211 | 434 | ||||||||
Nestle SA | 12/29/15 | Credit Suisse Securities (Europe) Limited | 24,798 | — | ||||||||
Pernod Ricard | 12/28/15 | Credit Suisse Securities (Europe) Limited | 179,001 | — | ||||||||
Reed Elsevier PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 81,158 | — | ||||||||
Reed Elsevier NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 298,352 | — | ||||||||
Sainbury PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 262,363 | — | ||||||||
SAP AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 34,546 | — | ||||||||
Technip SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 430,587 | — | ||||||||
Telecom Italia SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 129,088 | — | ||||||||
Telefonica Brasil | 07/27/15 | Credit Suisse Securities (Europe) Limited | 86,120 | (695 | ) | |||||||
Telefonica SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 271,728 | — | ||||||||
Telenor ASA | 12/29/15 | Credit Suisse Securities (Europe) Limited | 125,555 | — | ||||||||
Teliasonera AB | 12/28/15 | Credit Suisse Securities (Europe) Limited | 141,493 | — | ||||||||
Texas Instruments, Inc. | 07/27/15 | Credit Suisse Securities (Europe) Limited | 352,906 | — | ||||||||
Unilever DR | 12/28/15 | Credit Suisse Securities (Europe) Limited | 288,405 | — | ||||||||
Unilever PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 156,605 | — | ||||||||
Veolia Environment SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 729,535 | — | ||||||||
Volkswagen AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 527,420 | — | ||||||||
WPP PLC | 12/28/15 | Credit Suisse Securities (Europe) Limited | 348,734 | — | ||||||||
|
| |||||||||||
Total Sells | $ | 231,008 | ||||||||||
|
| |||||||||||
Total OTC Total Return Swaps Outstanding | $ | 1,532,134 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2014
The | Floating Rate | Fixed | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||||
Receives | Three-Month Libor | 1.000% | 12/19/16 | Credit Suisse Securities (USA) LLC | 6,361,000 USD | $ | 1,374 | $ | (923 | ) | $ | 2,297 | ||||||||||||||||
Receives | Three-Month Libor | 1.919% | 09/30/19 | Morgan Stanley & Co. LLC | 2,311,250 USD | 3,025 | — | 3,025 | ||||||||||||||||||||
Receives | Three-Month Libor | 2.250% | 12/17/19 | Credit Suisse Securities (USA) LLC | 6,550,000 USD | (57,282 | ) | (44,311 | ) | (12,971 | ) | |||||||||||||||||
Receives | Three-Month Libor | 2.534% | 09/25/24 | Morgan Stanley & Co. LLC | 2,130,000 USD | 22,544 | — | 22,544 | ||||||||||||||||||||
Pays | Three-Month Libor | 3.500% | 12/19/44 | Credit Suisse Securities (USA) LLC | 1,204,000 USD | 65,615 | 15 | 65,600 | ||||||||||||||||||||
Pays | Three-Month Libor | 3.000% | 12/17/24 | Credit Suisse Securities (USA) LLC | 2,271,000 USD | 55,688 | 34,987 | 20,701 | ||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding |
| $ | 90,964 | $ | (10,232 | ) | $ | 101,196 | ||||||||||||||||||||
OTC Interest Rate Swap Outstanding at September 30, 2014
The | Floating Rate | Fixed | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
Pays | BRL-CDI Rate | 11.045% | 01/02/17 | JPMorgan Chase Bank, N.A. | 1,910,073 BRL | $ | (18,595) | $ | — | $ | (18,595) | |||||||||||||||
Total OTC Interest Rate Swap Outstanding | $ | (18,595) | $ | — | $ | (18,595) | ||||||||||||||||||||
Abbreviation Legend: | ||||
ADR | American Depository Receipt | |||
ASX | Australian Securities Exchange | |||
BRL-CDI | Brazil Interbank Deposit Rate | |||
CBOE | Chicago Board Options Exchange | |||
CBOT | Chicago Board of Trade | |||
CDE | Montreal Exchange | |||
CFE | CBOE Futures Exchange |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
CME | Chicago Mercantile Exchange | |||
COMEX | Commodities Exchange Center | |||
ETF | Exchange-Traded Fund | |||
Eurex | Eurex Exchange | |||
Euronext | Euronext Paris | |||
FTSE | Financial Times and Stock Exchange | |||
FX | Foreign Exchange | |||
HKFE | Hong Kong Futures Exchange Ltd. | |||
ICE | Ice Futures Europe | |||
LIBOR | London Interbank Offered Rate | |||
LIF | New York Stock Exchange Euronext Liffe | |||
MEFF | MEFF Renta Variable | |||
MexDer | Mexican Derivatives Exchange | |||
MTN | Medium Term Note | |||
Nasdaq-OMX | NASDAQ OMX Stockholm | |||
NYMEX | New York Mercantile Exchange | |||
OSE | Osaka Exchange | |||
OTC | Over the Counter | |||
PIK | Payment in Kind | |||
REG S | Regulation-S | |||
REIT | Real Estate Investment Trust | |||
Safex | South African Futures Exchange | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
SPDR | Standard and Poor’s Depository Receipt | |||
Currency Legend: | ||||
ARS | Argentina Peso | |||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CLP | Chilean Peso | |||
CNY | Chinese Yuan | |||
COP | Colombian Peso | |||
CZK | Czech Koruna | |||
DKK | Danish Krone | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
HUF | Hungarian Forint | |||
IDR | Indonesian Rupiah | |||
ILS | Israeli Shekel | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korea Won | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
NGN | Nigerian Naira |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2014 (Unaudited)
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
PEN | Peruvian Nuevo Sol | |||
PHP | Philippine Peso | |||
PLN | Polish Zloty | |||
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.
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Blackstone Alternative Investment Funds and Subsidiaries
Consolidated Statement of Assets and Liabilities
As of September 30, 2014 (Unaudited)
Multi-Manager Fund | Multi-Strategy | |||||||
Assets: | ||||||||
Total investments in securities, at value (cost of $1,030,414,040 and $330,251,493, respectively)2 | $ | 1,039,391,110 | $ | 327,874,315 | ||||
Cash | 268,878,455 | 145,267,877 | ||||||
Cash denominated in foreign currencies (cost $11,306,464 and $3,885,113, respectively) | 10,536,768 | 3,824,393 | ||||||
Segregated cash balance with broker for securities sold short | 245,922,744 | 86,418,339 | ||||||
Segregated cash balance with custodian for derivative financial instruments | 30,050,214 | 9,436,594 | ||||||
Segregated cash balance with broker for futures contracts | 30,494,583 | 10,098,868 | ||||||
Segregated cash balance with counterparties for swaps, other derivative financial instruments and reverse repurchase agreements | 2,047,442 | 630,385 | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | 8,665,463 | 2,496,136 | ||||||
Income receivable | 4,779,445 | 1,393,459 | ||||||
Receivable for investments sold | 59,875,481 | 13,984,764 | ||||||
Receivable for shares sold | 826,834 | 16,826,741 | ||||||
Receivable for periodic payments from swap contracts | 1,771,460 | 649,324 | ||||||
Variation margin receivable | 784,597 | 72,035 | ||||||
Swap contracts, premium paid | 866,543 | — | ||||||
Unrealized appreciation on swap contracts | 5,654,335 | 1,622,108 | ||||||
Receivable from Investment Adviser | — | 407,650 | ||||||
Prepaid expenses and other assets | — | 164,821 | ||||||
|
|
|
| |||||
Total assets | 1,710,545,474 | 621,167,809 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Securities sold short, at value (proceeds of $260,286,507 and $93,632,758, respectively) | 252,920,393 | 91,016,437 | ||||||
Securities lending collateral | 58,063,249 | 24,712,541 | ||||||
Cash received as collateral for swaps | 2,487,284 | 223,415 | ||||||
Options written, at value (premiums received $3,039,209 and $437,556, respectively) | 3,553,639 | 708,149 | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | 4,238,977 | 1,231,227 | ||||||
Payable for reverse repurchase agreements | 83,651,720 | 20,351,314 | ||||||
Payable for investments purchased | 26,343,902 | 15,932,772 | ||||||
Payable for shares redeemed | 568,070 | 245,170 | ||||||
Payable to Investment Adviser for recouped expense reimbursement | 455,542 | — | ||||||
Swap contracts, premium received | 567,980 | 135,872 | ||||||
Unrealized depreciation on swap contracts | 788,936 | 99,848 | ||||||
Variation margin payable | 1,653,951 | 601,314 | ||||||
Dividend and interest income payable on securities sold short | 282,775 | 147,212 | ||||||
Management fee payable | 6,147,356 | 1,772,041 | ||||||
Accrued expenses | 1,835,109 | 1,202,287 | ||||||
|
|
|
| |||||
Total liabilities | 443,558,883 | 158,379,599 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,266,986,591 | $ | 462,788,210 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in capital | 1,169,785,783 | 458,297,783 | ||||||
Accumulated net investment loss | (13,871,966 | ) | (1,326,760 | ) | ||||
Accumulated net realized gain | 84,512,763 | 2,362,650 | ||||||
Net unrealized appreciation/depreciation | 26,560,011 | 3,454,537 | ||||||
|
|
|
| |||||
Net Asset Value: | ||||||||
Net assets | $ | 1,266,986,591 | 462,788,210 | |||||
Class I Shares outstanding, no par value, unlimited shares authorized | 116,458,579 | 45,678,207 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 10.88 | $ | 10.13 | ||||
|
|
|
|
1 | The Fund commenced investment operations on June 16, 2014. |
2 | Includes $55,969,307 and $23,828,353, respectively, of investments in securities on loan. |
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Operations
For the Period Ended September 30, 2014 (Unaudited)
Multi-Manager Fund | Multi-Strategy | |||||||
Investment Income: | ||||||||
Dividends (including net foreign taxes withheld of $148,507 and $9,697, respectively) | $ | 4,198,706 | $ | 566,552 | ||||
Interest (including net foreign taxes withheld of $413 and $0, respectively) | 11,059,544 | 1,351,728 | ||||||
|
|
|
| |||||
Total income | 15,258,250 | 1,918,280 | ||||||
|
|
|
| |||||
Expenses: | ||||||||
Management fees | $ | 12,002,301 | 1,934,059 | |||||
Administration fees | 1,062,083 | 261,853 | ||||||
Custodian fees | 662,635 | 293,339 | ||||||
Trustees’ fees | 62,297 | 33,011 | ||||||
Shareholder service fees | 50,366 | 67,424 | ||||||
Offering costs | 205,395 | 71,731 | ||||||
Registration fees | 23,817 | 58,245 | ||||||
Printing and postage fees | 132,203 | 72,256 | ||||||
Professional fees | 416,646 | 350,668 | ||||||
Dividends and interest on securities sold short | 1,840,285 | 354,001 | ||||||
Organization fees | — | 107,000 | ||||||
Financing fees on securities sold short | 1,158,913 | 127,374 | ||||||
Line of credit fee | 45,541 | 15,167 | ||||||
Interest fees | 595,873 | 77,632 | ||||||
Other | 21,571 | 11,175 | ||||||
|
|
|
| |||||
Total expenses | 18,279,926 | 3,834,935 | ||||||
|
|
|
| |||||
Expenses recouped (reimbursed) by Investment Adviser | 571,476 | (589,895 | ) | |||||
|
|
|
| |||||
Net expenses | 18,851,402 | 3,245,040 | ||||||
|
|
|
| |||||
Net investment income (loss) | (3,593,152 | ) | (1,326,760 | ) | ||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss): | ||||||||
Net realized gain (loss) on investments in securities | 41,513,515 | (262,787 | ) | |||||
Net realized gain (loss) on securities sold short | (3,714,176 | ) | 819,989 | |||||
Net realized gain (loss) on forward foreign currency exchange contracts | 3,949,823 | 1,602,098 | ||||||
Net realized gain (loss) on foreign currency transactions | (92,908 | ) | (280,804 | ) | ||||
Net realized gain (loss) on futures contracts | (9,849,914 | ) | (1,062,095 | ) | ||||
Net realized gain (loss) on options written | 2,882,571 | 392,994 | ||||||
Net realized gain (loss) on swap contracts | 3,425,881 | 1,153,255 | ||||||
Net change in unrealized appreciation (depreciation) on investments in securities | (35,761,396 | ) | (2,377,178 | ) | ||||
Net change in unrealized appreciation (depreciation) on securities sold short | 13,317,573 | 2,616,321 | ||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | 5,225,985 | 1,264,909 | ||||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | 134,781 | (32,076 | ) | |||||
Net change in unrealized appreciation (depreciation) on futures contracts | 1,955,212 | 629,698 | ||||||
Net change in unrealized appreciation (depreciation) on options written | (1,519,030 | ) | (270,593 | ) | ||||
Net change in unrealized appreciation (depreciation) on swap contracts | 7,451,327 | 1,623,456 | ||||||
|
|
|
| |||||
Net realized and unrealized gain (loss) | 28,919,244 | 5,817,187 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | $ | 25,326,092 | 4,490,427 | |||||
|
|
|
|
1 | The Fund commenced investment operations on June 16, 2014. |
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets
Multi-Manager Fund | ||||||||
Six-Months Ended 9/30/2014 (unaudited) | Period Ended 3/31/20141 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment loss | $ | (3,593,152 | ) | $ | (4,934,568 | ) | ||
Net realized gain | 38,114,792 | 45,913,995 | ||||||
Net unrealized appreciation (depreciation) | (9,195,548 | ) | 35,755,559 | |||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 25,326,092 | 76,734,986 | ||||||
|
|
|
| |||||
Distributions: | ||||||||
Distributions from net investment income | (418,772 | ) | (4,570,359 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from sale of Class I Shares | 118,950,160 | 1,232,785,935 | ||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | 418,772 | 4,570,359 | ||||||
Cost of Class I Shares redeemed | (60,194,960 | ) | (126,715,622 | ) | ||||
|
|
|
| |||||
Net increase in net assets resulting from capital transactions | 59,173,972 | 1,110,640,672 | ||||||
|
|
|
| |||||
Net increase in net assets | 84,081,292 | 1,182,805,299 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 1,182,905,299 | 100,000 | ||||||
|
|
|
| |||||
End of period | $ | 1,266,986,591 | $ | 1,182,905,299 | ||||
|
|
|
| |||||
Accumulated net investment loss | $ | (13,871,966 | ) | $ | (9,860,042 | ) | ||
|
|
|
| |||||
Share Transactions: | ||||||||
Beginning of period | 110,951,809 | 10,000 | ||||||
|
|
|
| |||||
Class I Shares sold | 11,057,502 | 122,884,070 | ||||||
Class I Shares reinvested | 38,348 | 440,716 | ||||||
Class I Shares redeemed | (5,589,080 | ) | (12,382,977 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 5,506,770 | 110,941,809 | ||||||
|
|
|
| |||||
End of period | 116,458,579 | 110,951,809 | ||||||
|
|
|
|
1 | The Fund commenced investment operations on August 6, 2013. |
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets (Continued)
Multi-Strategy Fund | ||||
Period Ended 9/30/20141 (unaudited) | ||||
Increase (Decrease) in Net Assets | ||||
Operations: | ||||
Net investment loss | $ | (1,326,760 | ) | |
Net realized gain | 2,362,650 | |||
Net unrealized appreciation (depreciation) | 3,454,537 | |||
|
| |||
Net increase in net assets resulting from operations | 4,490,427 | |||
|
| |||
Capital Transactions: | ||||
Proceeds from sale of Class I Shares | 473,821,292 | |||
Cost of Class I Shares redeemed | (15,523,509 | ) | ||
|
| |||
Net increase in net assets resulting from capital transactions | 458,297,783 | |||
|
| |||
Net increase in net assets | 462,788,210 | |||
|
| |||
Net Assets: | ||||
Beginning of period | — | |||
|
| |||
End of period | $ | 462,788,210 | ||
|
| |||
Accumulated net investment loss | $ | (1,326,760 | ) | |
|
| |||
Share Transactions: | ||||
Beginning of period | — | |||
|
| |||
Class I Shares sold | 47,219,980 | |||
Class I Shares redeemed | (1,541,773 | ) | ||
|
| |||
Net change in shares resulting from share transactions | 45,678,207 | |||
|
| |||
End of period | 45,678,207 | |||
|
|
1 | The Fund commenced investment operations on June 16, 2014. |
See Notes to Consolidated Financial Statements.
176
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Consolidated Statement of Cash Flows
Multi-Manager Fund | ||||
Six-Months 9/30/20141 (unaudited) | ||||
Cash Flows from Operating Activities: | ||||
Net increase in net assets resulting from operations | $ | 25,326,092 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities: | ||||
Purchases of investments in securities | (1,432,955,136 | ) | ||
Proceeds from securities sold short | 422,279,878 | |||
Payments to cover securities sold short | (388,979,115 | ) | ||
Proceeds from disposition of investment in securities | 1,287,078,975 | |||
Premiums paid on closing options written | (740,359 | ) | ||
Proceeds from premiums received from options written | 4,477,540 | |||
Net realized gain on investments in securities | (41,513,515 | ) | ||
Net realized loss on securities sold short | 3,714,176 | |||
Net realized gain on options written | (2,882,571 | ) | ||
Net accretion of bond discount and amortization of bond and swap premium | 2,182,552 | |||
Net change in unrealized depreciation of investments in securities | 35,761,396 | |||
Net change in unrealized appreciation of securities sold short | (13,317,573 | ) | ||
Net change in unrealized depreciation of options written | 1,519,030 | |||
Changes in assets and liabilities: | ||||
(Increase) decrease in assets: | ||||
Segregated cash balance with broker for securities sold short | (35,395,982 | ) | ||
Segregated cash balance with custodian for derivative financial instruments | (6,419,418 | ) | ||
Segregated cash balance with broker for futures contracts | (9,838,711 | ) | ||
Segregated cash balance with counterparties for swaps, other derivative financial instruments and reverse repurchase agreements | 6,338,300 | |||
Unrealized appreciation on forward foreign currency exchange contracts | (7,288,890 | ) | ||
Income receivable | (879,368 | ) | ||
Receivable for periodic payments for swap contracts | (1,771,460 | ) | ||
Variation margin receivable | (391,929 | ) | ||
Swap contracts, premiums paid | 1,208,014 | |||
Unrealized appreciation on swap contracts | (4,575,721 | ) | ||
Receivable from Investment Adviser | 2,996,860 | |||
Prepaid expenses and other assets | 342,014 | |||
Increase (decrease) in liabilities: | ||||
Securities lending collateral | 26,893,126 | |||
Cash received as collateral for swaps | 2,487,284 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 2,062,905 | |||
Swaps contracts, premiums received | (66,699 | ) | ||
Unrealized depreciation on swap contracts | (2,827,457 | ) | ||
Variation margin payable | 1,604,432 | |||
Payable for periodic payments from swap contracts | (1,604,542 | ) | ||
Dividend and interest income payable on securities sold short | (59,885 | ) | ||
Interest payable on reverse repurchase agreements | 73,283 | |||
Payable to Investment Adviser | 455,542 | |||
Management fees payable | 594,157 | |||
Accrued expenses | 303,164 | |||
|
| |||
Net cash used for operating activities | (123,809,611 | ) | ||
|
| |||
Cash Flows from Financing Activities: | ||||
Proceeds from shares sold | 119,297,264 | |||
Cost of shares repurchased | (60,155,705 | ) | ||
Proceeds from reverse repurchase agreements | 285,438,388 | |||
Repayment of reverse repurchase agreements | (241,047,500 | ) | ||
|
| |||
Net cash provided by financing activities | 103,532,447 | |||
|
| |||
Net increase in cash and foreign currency | (20,277,164 | ) | ||
Cash and foreign currency, beginning of period | 299,692,387 | |||
|
| |||
Cash and foreign currency, end of period | $ | 279,415,223 | ||
|
| |||
Supplemental Disclosure of Cash Flow Information | ||||
Cash paid during period for interest | 758,254 | |||
|
| |||
Non-Cash Financing Activities | ||||
Capital shares issued in reinvestment of distribution | 418,772 | |||
|
|
See Notes to Consolidated Financial Statements.
177
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Consolidated Statement of Cash Flows (Continued)
Multi-Strategy Fund | ||||
Period Ended 9/30/20141 (unaudited) | ||||
Cash Flows from Operating Activities: | ||||
Net increase in net assets resulting from operations | $ | 4,490,427 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities: | ||||
Purchases of investments in securities | (484,848,455 | ) | ||
Proceeds from securities sold short | 150,480,859 | |||
Payments to cover securities sold short | (61,939,769 | ) | ||
Proceeds from disposition of investments in securities | 161,640,577 | |||
Premiums paid on closing options written | (39,276 | ) | ||
Proceeds from premiums received from options written | 869,826 | |||
Net realized loss on investments in securities | 262,787 | |||
Net realized gain on securities sold short | (819,989 | ) | ||
Net realized gain on options written | (392,994 | ) | ||
Net accretion of bond discount and amortization of bond and swap premium | 553,263 | |||
Net change in unrealized depreciation of investments in securities | 2,377,178 | |||
Net change in unrealized appreciation of securities sold short | (2,616,321 | ) | ||
Net change in unrealized depreciation of options written | 270,593 | |||
Changes in assets and liabilities: | ||||
(Increase) decrease in assets: | ||||
Segregated cash balance with broker for securities sold short | (86,418,339 | ) | ||
Segregated cash balance with custodian for derivative financial instruments | (9,436,594 | ) | ||
Segregated cash balance with broker for futures contracts | (10,098,868 | ) | ||
Segregated cash balance with counterparties for swaps, other derivative financial instruments and reverse repurchase agreements | (630,385 | ) | ||
Unrealized appreciation on forward foreign currency exchange contracts | (2,496,136 | ) | ||
Income receivable | (1,393,459 | ) | ||
Receivable for periodic payments for swap contracts | (649,324 | ) | ||
Variation margin receivable | (72,035 | ) | ||
Unrealized appreciation on swap contracts | (1,622,108 | ) | ||
Receivable from Investment Adviser | (407,650 | ) | ||
Prepaid expenses and other assets | (164,821 | ) | ||
Increase (decrease) in liabilities: | ||||
Securities lending collateral | 24,712,541 | |||
Cash received as collateral for swaps | 223,415 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 1,231,227 | |||
Swaps contracts, premiums received | 135,872 | |||
Unrealized depreciation on swap contracts | 99,848 | |||
Variation margin payable | 601,314 | |||
Dividend and interest income payable on securities sold short | 147,212 | |||
Interest payable on reverse repurchase agreements | 16,552 | |||
Management fees payable | 1,772,041 | |||
Accrued expenses | 1,202,287 | |||
|
| |||
Net cash used for operating activities | (312,958,704 | ) | ||
|
| |||
Cash Flows from Financing Activities: | ||||
Proceeds from shares sold | 456,994,551 | |||
Cost of shares repurchased | (15,278,339 | ) | ||
Proceeds from reverse repurchase agreements | 38,601,511 | |||
Repayment of reverse repurchase agreements | (18,266,749 | ) | ||
|
| |||
Net cash provided by financing activities | 462,050,974 | |||
|
| |||
Net increase in cash and foreign currency | 149,092,270 | |||
Cash and foreign currency, beginning of period | — | |||
|
| |||
Cash and foreign currency, end of period | $ | 149,092,270 | ||
|
| |||
Supplemental Disclosure of Cash Flow Information | ||||
Cash paid during period for interest | 94,184 | |||
|
|
1 | The Fund commenced investment operations on June 16, 2014. |
See Notes to Consolidated Financial Statements.
178
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Consolidated Financial Highlights
(For a Share Outstanding Throughout Each Period)
Multi-Manager Fund—Class I | ||||||||
Six-Months Ended 9/30/2014 (unaudited) | Period Ended 3/31/20141 | |||||||
Net Asset Value, Beginning of Period | $ | 10.66 | $ | 10.00 | ||||
Income From Investment Operations: | ||||||||
Net investment income (loss) | (0.03 | )2 | (0.05 | )2 | ||||
Net realized and unrealized gain (loss) | 0.25 | 0.75 | ||||||
|
|
|
| |||||
Total From Investment Operations | 0.22 | 0.70 | ||||||
|
|
|
| |||||
Less Distributions to Shareholders: | ||||||||
From net investment income (loss) | (0.00 | )3 | (0.04 | ) | ||||
|
|
|
| |||||
Total Distributions | (0.00 | )3 | (0.04 | ) | ||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 10.88 | $ | 10.66 | ||||
|
|
|
| |||||
Total Return4 | 2.10 | % | 7.04 | % | ||||
|
|
|
| |||||
Ratios to Average Net Assets:5,6 | ||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 2.93 | % | 3.33 | % | ||||
Recoupment (reimbursement) from Investment Adviser | 0.11 | % | (0.27 | )% | ||||
|
|
|
| |||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.04 | % | 3.06 | % | ||||
Excluded Expenses7 | (0.64 | )% | (0.66 | )% | ||||
|
|
|
| |||||
Expenses, net of impact of excluded expenses | 2.40 | % | 2.40 | % | ||||
|
|
|
| |||||
Net investment income (loss) | (0.57 | )% | (0.69 | )% | ||||
|
|
|
| |||||
Supplemental Data: | ||||||||
Net assets, end of period (000 omitted) | $ | 1,266,987 | $ | 1,182,905 | ||||
Portfolio turnover4 | 127 | % | 135 | % |
1 | For the period August 6, 2013 (commencement of operations) to March 31, 2014. |
2 | Calculated using average shares outstanding. |
3 | Represents less than $0.01. |
4 | Percentage represents the results for the period and is not annualized. |
5 | Financial ratios have been annualized except for non-recurring costs. |
6 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund. |
7 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement, except for Management Fees. See Note 7. |
See Notes to Consolidated Financial Statements.
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(For a Share Outstanding Throughout the Period)
Multi-Strategy Fund—Class I | ||||
Period 9/30/20141 (unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 10.00 | ||
Income From Investment Operations: | ||||
Net investment loss | (0.04 | )2 | ||
Net realized and unrealized gain | 0.17 | |||
|
| |||
Total From Investment Operations | 0.13 | |||
|
| |||
Net Asset Value, End of Period | $ | 10.13 | ||
|
| |||
Total Return3 | 1.30 | % | ||
|
| |||
Ratios to Average Net Assets:4 | ||||
Total expenses before reimbursement from Investment Adviser | 3.63 | % | ||
Reimbursement from Investment Adviser5 | (0.52 | )% | ||
|
| |||
Net expenses after reimbursement from Investment Adviser | 3.11 | % | ||
Excluded Expenses5 | (0.71 | )% | ||
|
| |||
Expenses, net of impact of excluded expenses | 2.40 | % | ||
|
| |||
Net investment loss | (1.18 | )% | ||
|
| |||
Supplemental Data: | ||||
Net assets, end of period (000 omitted) | $ | 462,788 | ||
Portfolio turnover3 | 66 | % |
1 | For the period June 16, 2014 (commencement of operations) to September 30, 2014. |
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 non-recurring 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.
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Notes to Consolidated Financial Statements
For the Period Ended September 30, 2014 (Unaudited)
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 two series that have commenced operations, Blackstone Alternative Multi-Manager Fund (“Multi-Manager Fund”) and Blackstone Alternative Multi-Strategy Fund (“Multi-Strategy Fund”) (each individually referred to as a “Fund”, and collectively, the “Funds”). The Multi-Manager Fund and the Multi-Strategy Fund are non-diversified funds that commenced operations on August 6, 2013 and June 16, 2014, respectively.
The investment adviser of the Funds 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 each Fund’s affairs and, pursuant to an investment management agreement, has engaged BAIA to manage the Fund’s day-to-day investment activities. Each Fund’s investment objective is to seek capital appreciation. The Investment Adviser seeks to achieve the Funds’ objectives by allocating the Funds’ assets among a variety of non-traditional or, “alternative,” investment strategies. The Investment Adviser determines the allocations of the Funds’ assets and allocates a majority of the Funds’ assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds, and may also manage a portion of the Funds’ assets directly. Each Sub-Adviser is responsible for the day-to-day management of the Funds’ 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 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 each Fund’s Subsidiaries, Blackstone Alternative Multi-Manager Sub Fund II Ltd. and Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiaries”), is a Cayman Islands exempted company. Each of the other Subsidiaries, Blackstone Alternative Multi-Manager Sub Fund III L.L.C. and Blackstone Alternative Multi-Strategy Sub Fund III L.L.C., (the “Domestic Subsidiaries III”), and Blackstone Alternative Multi-Manager Sub Fund IV L.L.C. and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiaries IV”), are Delaware limited liability companies. The Cayman Subsidiaries are expected to invest, directly or indirectly through the use of derivatives, in securities and commodity interests. Domestic Subsidiaries III and Domestic Subsidiaries IV are each 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 the Multi-Manager Fund and its applicable Subsidiaries and the Multi-Strategy Fund and its applicable Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.
The Funds and the Cayman Subsidiaries are each a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Funds and the Cayman Subsidiaries, 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. None of the Domestic Subsidiaries III and Domestic Subsidiaries IV intend 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 Subsidiaries III and the Domestic Subsidiaries IV, and such pools are not subject to regulation by the CFTC.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the respective Prospectus of each of the Funds.
2. Basis of Presentation
Each 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.
The Funds are investment companies in accordance with Accounting Standards Codification 946, Financial Services-Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.
3. Significant Accounting Policies
The net asset value (“NAV”) of each Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).
Valuation Policy
For purposes of calculating the NAV, each Fund values its investments in securities, securities sold short, derivative financial instruments and other investments based on market quotations or at fair value. U.S. GAAP defines fair value as the price that each 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 and other investments (together the “investments”) (the “Valuation Procedures”). The Board has delegated to the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. The Investment Adviser’s management formed the Fair Value Committee (the “FVC”), which provides oversight of the valuation and pricing function of each Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not 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 each 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 each 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, 2014.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
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 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. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
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 Funds do 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, and derivative financial instruments actively traded on recognized exchanges.
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 Funds have the ability to redeem their 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 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 fair value 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 an investment to be reclassified between Level 1, Level 2, or Level 3.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
A description of the valuation techniques applied to each 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, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. Securities traded on a recognized exchange for which there were no sales on that day are valued at the last available bid price (long positions) or ask price (short positions) 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 Funds may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North and South America. The third-party fair valuation service provider 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. As of September 30, 2014, no such adjustments have been made.
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 broker-dealer quotations, reported trades or valuation estimates from their internal pricing models to
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For the Period Ended September 30, 2014 (Unaudited)
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 (“ABS”) 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 ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Level 3 securities are valued by broker quotes and pricing services. At September 30, 2014, the value of these securities was approximately $11,968,240. In the instance where less than three broker-dealer quotations are received, such investments will generally be categorized as Level 3 within the fair value hierarchy. The appropriateness of fair values for these securities are monitored on an ongoing basis which may include results of backtesting, results of pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.
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 Funds 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 equivalent 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 of 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, 2014.
Securities and Other Investments
Bank Loans
The Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. Each Fund invests in loans through novations, assignments, and participation interests. In a novation, a 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 a 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 Funds may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
a 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 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 Funds may invest in mortgage-related securities (residential and commercial) and other ABS. 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 ABS 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 ABS and CMBS generally experience less prepayment risk than RMBS, each RMBS, CMBS and ABS, 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 Funds’ investments in ABS 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. 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. CMO 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 a Fund invests in CMO tranches (including CMO tranches issued by government agencies) and interest rates move in a manner not anticipated by Fund’s management, it is possible that the Fund could lose all or substantially all of its investment.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Securities Sold Short
The Funds may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby a Fund sells securities they do not own in anticipation of a decline in the market price of those securities, whereby the 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 Funds establish 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 Funds are 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 on securities sold short in the Consolidated Statement of Operations. A realized gain or loss is recognized when the short position is closed and is recorded as a net realized gain or loss on securities sold short in the Consolidated 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 premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an 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, 2014, the Multi-Manager Fund and Multi-Strategy Fund had $268,878,455 and $145,267,877, respectively, in domestic cash and $10,536,768 and $3,824,393, respectively, in foreign cash held at a major U.S. bank.
Foreign Currency
The functional currency of each 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 Funds do 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 appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Contingencies
Under the Trust’s Declaration of Trust, each of the Funds’ officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds may enter into contracts that contain a variety of representations and indemnifications. The Funds expect the risk of loss pursuant to these indemnifications to be remote.
Income Taxes
The Funds’ policy is to comply with the provisions of the Internal Revenue Code, as amended, applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Funds plan 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 Funds 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 Funds were expensed by the Funds as incurred and reimbursed by the Investment Adviser in accordance with the terms of the Expense Limitation and Reimbursement agreement (see Note 7).
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 Funds, if any, are declared and paid annually. Dividends and capital gain distributions paid by the Funds will be reinvested in additional Shares (defined below) of the Funds 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 a Fund either delivers collateral or segregates 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 guidance 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 Funds 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 each 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 Funds to offset certain derivative financial instruments’ with collateral. At September 30, 2014, the Funds used the gross method of presentation in their consolidated
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For the Period Ended September 30, 2014 (Unaudited)
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 Funds is segregated by the Funds’ custodian and identified as such in each Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Funds and the applicable counterparty. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.
The Funds manage 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 Funds 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.
Reverse Repurchase Agreements
The Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. As of September 30, 2014, the face value of open reverse repurchase agreements for Multi-Manager Fund and Multi-Strategy Fund was $83,533,888 and $20,334,762, respectively. The weighted average daily balance of reverse repurchase agreements outstanding during the period ended September 30, 2014 for Multi-Manager Fund and Multi-Strategy Fund was approximately $42,398,418 and $10,106,885, respectively, at a weighted average weekly interest rate of 1.98% and 2.03%, respectively.
An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The following table presents the reverse repurchase agreements, which are subject to enforceable MRA’s, as well as the collateral delivered related to those reverse repurchase agreements.
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Multi-Manager Fund
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral Pledged(1) | Cash Collateral Pledged(1) | Net Amount | ||||||||||||
Bank of America Merrill Lynch | $ | 55,868,689 | $ | (55,868,689 | ) | $ | — | $ | — | |||||||
Credit Suisse Securities (Europe) LLC | 1,773,001 | (1,773,001 | ) | — | — | |||||||||||
Credit Suisse Securities (USA) LLC | 26,010,030 | (26,010,030 | ) | — | — | |||||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | 83,651,720 | $ | (83,651,720 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
(1) | Excess of collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash and cash collateral pledged at September 30, 2014 was $110,120,990 and $1,281,215, respectively. |
Multi-Strategy Fund
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral Pledged(1) | Cash Collateral Pledged(1) | Net Amount | ||||||||||||
Bank of America Merrill Lynch | $ | 17,709,236 | $ | (17,709,236 | ) | $ | — | $ | — | |||||||
Credit Suisse Securities (Europe) LLC | 430,786 | (430,786 | ) | — | — | |||||||||||
Credit Suisse Securities (USA) LLC | 2,211,292 | (2,211,292 | ) | — | — | |||||||||||
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| |||||||||
Total | $ | 20,351,314 | $ | (20,351,314 | ) | $ | — | $ | — | |||||||
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|
|
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|
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(1) | Excess of collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash and cash collateral pledged at September 30, 2014 was $26,948,457 and $318,665, respectively. |
Securities Lending
The Funds may lend securities, through their agent, to certain qualified financial institutions. 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 each Fund on the next Business Day. The initial collateral received by each 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 each Fund’s agent; the Funds will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that each Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investments. Income from securities lending is included in investment income on the Consolidated Statement of Operations. As of September 30, 2014, the market value of securities loaned for Multi-Manager Fund and Multi-Strategy Fund amounted to $55,969,307 and $23,858,353, respectively, and each Fund had received cash collateral of $58,063,249 and $24,712,541, respectively.
The securities lending agreement entered into by each 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 Funds can reinvest cash collateral.
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The following table is a summary of each Fund’s securities lending agreements by borrower/counterparty which are subject to offset under the securities lending agreement as of September 30, 2014:
Multi-Manager Fund
Borrower/Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | |||||||||
Citadel Securities LLC | $ | 8,063,077 | $ | (8,063,077 | ) | $ | — | |||||
Citigroup Global Markets, Inc. | 4,945,243 | (4,945,243 | ) | — | ||||||||
Credit Suisse Securities (USA) LLC | 3,531,187 | (3,531,187 | ) | — | ||||||||
Deutsche Bank Securities, Inc. | 586,309 | (586,309 | ) | — | ||||||||
Goldman Sachs & Co. | 6,664,057 | (6,664,057 | ) | — | ||||||||
Jefferies LLC | 1,414,844 | (1,414,844 | ) | — | ||||||||
JP Morgan Clearing Corp. | 5,394,098 | (5,394,098 | ) | — | ||||||||
JP Morgan Securities LLC | 324,825 | (324,825 | ) | — | ||||||||
JP Morgan Securities PLC | 715,208 | (715,208 | ) | — | ||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,911,734 | (5,911,734 | ) | — | ||||||||
Newedge USA, LLC | 8,835 | (8,835 | ) | — | ||||||||
Pershing LLC | 1,299,050 | (1,299,050 | ) | — | ||||||||
RBC Capital Markets, LLC | 6,702,916 | (6,702,916 | ) | — | ||||||||
Sanford C. Bernstein & Co. LLC | 18,678 | (18,678 | ) | — | ||||||||
State Street Bank and Trust Company | 8,941,943 | (8,941,943 | ) | — | ||||||||
UBS Securities LLC | 1,447,303 | (1,447,303 | ) | — | ||||||||
|
| |||||||||||
Total | $ | 55,969,307 | $ | (55,969,307 | ) | $ | — | |||||
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|
(1) | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
Multi-Strategy Fund
Borrower/Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | |||||||||
BNP Paribas Prime Brokerage, Inc. | $ | 332 | $ | (332 | ) | $ | — | |||||
BNP Paribas Securities Corp. | 314,760 | (314,760 | ) | — | ||||||||
Citadel Securities LLC | 909,822 | (909,822 | ) | — | ||||||||
Citigroup Global Markets, Inc. | 2,403,670 | (2,403,670 | ) | — | ||||||||
Deutsche Bank Securities, Inc. | 5,715,012 | (5,715,012 | ) | — | ||||||||
Goldman Sachs & Co. | 2,774,647 | (2,774,647 | ) | — | ||||||||
Industrial & Commercial Bank of China Financial Services LLC | 82,516 | (82,516 | ) | — | ||||||||
Janney Montgomery Scott LLC | 113,259 | (113,259 | ) | — | ||||||||
JP Morgan Clearing Corp. | 4,080,400 | (4,080,400 | ) | — | ||||||||
JP Morgan Securities LLC | 91,500 | (91,500 | ) | — | ||||||||
JP Morgan Securities PLC | 69,534 | (69,534 | ) | — | ||||||||
Merrill Lynch International | 219,639 | (219,639 | ) | — | ||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,986,248 | (3,986,248 | ) | — | ||||||||
Morgan Stanley & Co. LLC | 860,722 | (860,722 | ) | — | ||||||||
Newedge USA, LLC | 621,845 | (621,845 | ) | — | ||||||||
Pershing LLC | 1,166,454 | (1,166,454 | ) | — |
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Borrower/Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | |||||||||
Sanford C. Bernstein & Co. LLC | $ | 62,971 | $ | (62,971 | ) | $ | — | |||||
Timber Hill LLC | 181,644 | (181,644 | ) | — | ||||||||
UBS Securities LLC | 203,378 | (203,378 | ) | — | ||||||||
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| |||||||||||
Total | $ | 23,858,353 | $ | (23,858,353 | ) | $ | — | |||||
|
|
(1) | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
4. Derivative Financial Instruments
In the normal course of business, the Funds enter into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Funds or to protect against exposure to certain risks such as credit risk, equity risk, and 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 each Fund’s derivative financial instruments are included in the Consolidated Statement of Assets and Liabilities. The following disclosures contain information on how the Funds use derivative financial instruments and how the derivative financial instruments affect the Funds’ financial positions, results of operations and cash flows. The derivative financial instruments outstanding as of the period end are disclosed in the Consolidated Schedule of Investments.
Forward Foreign Currency Exchange Contracts
The Funds 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, each 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 Funds, 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 Funds could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. Each 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 Funds may enter into futures contracts to maintain investment exposure to a target asset class or to enhance return. The Funds may be subject to fluctuations in equity prices, interest rates, commodity prices
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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. A 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 contracts 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 a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the 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, a 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 Funds 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 Funds 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 Funds purchase and write call and put options. An option contract purchased by a 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 a Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by a Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Funds 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. A 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 Funds 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 a Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.
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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 a 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 a 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 a 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.
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 a 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
Each Fund’s transactions in written call and put options during the period ended September 30, 2014 were as follows:
Multi-Manager Fund
Calls | Puts | |||||||||||||||||||||||
Contacts | Notional | Premiums | Contracts | Notional | Premiums | |||||||||||||||||||
Options Outstanding, March 31, 2014 | — | 52,760,000 | $ | 1,144,349 | 3,856 | 23,715,451 | $ | 1,040,251 | ||||||||||||||||
Options written | 14,081 | 29,907,600 | 3,065,430 | 9,651 | 2,789,558 | 1,412,110 | ||||||||||||||||||
Options bought back | (2,860 | ) | (11,223,200 | ) | (710,969 | ) | (2,237 | ) | (8,302,496 | ) | (1,021,831 | ) | ||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
Options expired | (9,862 | ) | (3,167,000 | ) | (1,052,835 | ) | (10,159 | ) | (597,113 | ) | (837,296 | ) | ||||||||||||
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| |||||||||||||
Options Outstanding, September 30, 2014 | 1,359 | 68,277,400 | $ | 2,445,975 | 1,111 | 17,605,400 | $ | 593,234 | ||||||||||||||||
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Multi-Strategy Fund
Calls | Puts | |||||||||||||||||||||||
Contacts | Notional | Premiums | Contracts | Notional | Premiums | |||||||||||||||||||
Options Outstanding, June 16, 2014 (commencement of operations) | — | — | $ | — | — | — | $ | — | ||||||||||||||||
Options written | 3,463 | 13,043,500 | 695,770 | 2,400 | 2,442,390 | 174,056 | ||||||||||||||||||
Options bought back | (413 | ) | — | (21,727 | ) | (84 | ) | (2,130,279 | ) | (18,543 | ) | |||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||
Options expired | (2,579 | ) | (899,800 | ) | (302,014 | ) | (1,925 | ) | (72,111 | ) | (89,986 | ) | ||||||||||||
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| |||||||||||||
Options Outstanding, September 30, 2014 | 471 | 12,143,700 | $ | 372,029 | 391 | 240,000 | $ | 65,527 | ||||||||||||||||
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Swap Agreements
The Funds may enter into total return, interest rate, and credit default swap agreements (“swaps”). Swaps are bilaterally negotiated agreements between a 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 exchange (“centrally cleared swaps”). The Funds 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 Funds 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 a Fund as collateral for swaps are 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 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 a 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 Funds 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 Funds are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Funds may hold fixed rate bonds, and 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. A 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.
Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by a Fund is recorded as a liability on the Fund’s Consolidated Statement of Assets and Liabilities. An upfront payment made by a Fund is recorded as an asset on the Consolidated Statement of Assets and Liabilities. 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 Funds 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 security, 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
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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, a 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 Funds 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 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 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 a Fund or made by a Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Credit default swaps 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.
Interest rate swaps, total return swaps and credit default swaps outstanding at period end are listed after the Funds’ Consolidated Schedule of Investments.
At September 30, 2014, the Multi-Manager Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
Multi-Manager Fund
Asset Derivatives | Liability Derivatives | |||||||||||
Risk Exposure | Consolidated Statement of Assets & | Fair Value | Consolidated Statement of Assets & | Fair Value | ||||||||
Interest Rate | Swap contracts, at fair value (a) | $ | — | Swap contracts, at fair value (a) | $ | 54,214 | ||||||
Centrally cleared swaps, at fair value (b) | 414,997 | Centrally cleared swaps, at fair value (b) | 194,033 | |||||||||
Unrealized appreciation on futures contracts (b) | 1,056,721 | Unrealized depreciation on futures contracts (b) | 1,435,434 | |||||||||
Equity | Swaps contracts, at fair value (a) | 4,997,380 | Swap contracts, at fair value (a) | 226,159 | ||||||||
Unrealized appreciation on futures contracts (b) | 2,707,949 | Unrealized depreciation on futures contracts (b) | 2,371,789 | |||||||||
Purchased options at fair value (c) | 2,792,489 | Options written, at value | 258,257 |
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Asset Derivatives | Liability Derivatives | |||||||||||
Risk Exposure | Consolidated Statement of Assets & | Fair Value | Consolidated Statement of Assets & | Fair Value | ||||||||
Commodity | Unrealized appreciation on futures contracts (b) | $ | 4,261,750 | Unrealized depreciation on futures contracts (b) | $ | 3,009,778 | ||||||
Credit | Swaps contacts, at fair value (a) | 1,320,473 | Swap contracts, at fair value (a) | 873,518 | ||||||||
Foreign Exchange | Purchased options at fair value (c) | 4,110,982 | Options written, at value | 3,295,382 | ||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 8,665,463 | Unrealized depreciation on forward foreign currency exchange contracts | 4,238,977 | |||||||||
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|
| |||||||||
Total | $ | 30,328,204 | $ | 15,957,541 | ||||||||
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|
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, 2014:
Consolidated Statement of | Commodity | Interest Rate | Credit | Equity | Foreign Exchange | Total | ||||||||||||||||||
Swap contracts | $ | $ | 336,383 | $ | (359,203 | ) | $ | 3,448,701 | $ | — | $ | 3,425,881 | ||||||||||||
Future contracts | (3,509,001 | ) | 1,511,197 | — | (7,852,110 | ) | — | (9,849,914 | ) | |||||||||||||||
Purchased options (c) | — | — | — | (9,477,061 | ) | 319,032 | (9,158,029 | ) | ||||||||||||||||
Options written | — | — | 2,567,126 | 315,445 | 2,882,571 | |||||||||||||||||||
Forward foreign currency exchange contracts | — | — | — | — | 3,949,823 | 3,949,823 | ||||||||||||||||||
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$ | (3,509,001 | ) | $ | 1,847,580 | $ | (359,203 | ) | $ | (11,313,344 | ) | $ | 4,584,300 | $ | (8,749,668 | ) | |||||||||
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Consolidated Statement of | Commodity | Interest Rate | Credit | Equity | Foreign Exchange | Total | ||||||||||||||||||
Swap contracts (b) | $ | — | $ | 26,192 | $ | 335,589 | $ | 7,089,546 | $ | — | $ | 7,451,327 | ||||||||||||
Future contracts (b) | 1,213,712 | (1,350,870 | ) | — | 2,092,370 | — | 1,955,212 | |||||||||||||||||
Purchased options (c) | — | 40,735 | — | 727,953 | 1,500,917 | 2,269,605 | ||||||||||||||||||
Options written | — | — | — | (82,425 | ) | (1,436,605 | ) | (1,519,030 | ) | |||||||||||||||
Forward foreign currency exchange contracts | — | — | — | — | 5,225,985 | 5,225,985 | ||||||||||||||||||
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| |||||||||||||
$ | 1,213,712 | $ | (1,283,943 | ) | $ | 335,589 | $ | 9,827,444 | $ | 5,290,297 | $ | 15,383,099 | ||||||||||||
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
At September 30, 2014, the Multi-Strategy Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
Multi-Strategy Fund
Asset Derivatives | Liability Derivatives | |||||||||||
Risk Exposure | Consolidated Statement of Assets & | Fair Value | Consolidated Statement of Assets & | Fair Value | ||||||||
Interest Rate | Swap contracts, at fair value (a) | $ | — | Swap contracts, at fair value (a) | $ | 18,595 | ||||||
Centrally cleared swaps, at fair value (b) | 148,246 | Centrally cleared swaps, at fair value (b) | 57,282 | |||||||||
Unrealized appreciation on futures contracts (b) | 352,971 | Unrealized depreciation on futures contracts (b) | 393,124 | |||||||||
Equity | Swaps contracts, at fair value (a) | 1,529,262 | Swap contracts, at fair value (a) | 34,022 | ||||||||
Unrealized appreciation on futures contracts (b) | 996,306 | Unrealized depreciation on futures contracts (b) | 666,711 | |||||||||
Purchased options at fair value (c) | 1,047,560 | Options written, at value | 79,860 | |||||||||
Commodity | Unrealized appreciation on futures contracts (b) | 1,211,289 | Unrealized depreciation on futures contracts (b) | 871,033 | ||||||||
Credit | Swaps contacts, at fair value (a) | 68,272 | Swap contracts, at fair value (a) | 158,529 | ||||||||
Foreign Exchange | Purchased options at fair value (c) | 833,421 | Options written, at value | 628,289 | ||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 2,496,136 | Unrealized depreciation on forward foreign currency exchange contracts | 1,231,227 | |||||||||
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| |||||||||
Total | $ | 8,683,463 | $ | 4,138,672 | ||||||||
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|
|
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, 2014:
Consolidated Statement of | Commodity | Interest Rate | Credit | Equity | Foreign Exchange | Total | ||||||||||||||||||
Swap contracts | $ | — | $ | 16,900 | $ | 551 | $ | 1,135,804 | $ | — | $ | 1,153,255 | ||||||||||||
Future contracts | (604,667 | ) | (127,934 | ) | — | (329,494 | ) | — | (1,062,095 | ) | ||||||||||||||
Purchased options (c) | — | — | — | (1,244,851 | ) | 159,694 | (1,085,157 | ) | ||||||||||||||||
Options written | — | — | — | 394,060 | (1,066 | ) | 392,994 | |||||||||||||||||
Forward foreign currency exchange contracts | — | — | — | — | 1,602,098 | 1,602,098 | ||||||||||||||||||
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| |||||||||||||
$ | (604,667 | ) | $ | (111,034 | ) | $ | 551 | $ | (44,481 | ) | $ | 1,760,726 | $ | 1,001,095 | ||||||||||
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Consolidated Statement of | Commodity | Interest Rate | Credit | Equity | Foreign Exchange | Total | ||||||||||||||||||
Swap contracts (b) | $ | — | $ | 82,601 | $ | 45,615 | $ | 1,495,240 | $ | — | $ | 1,623,456 | ||||||||||||
Future contracts (b) | 340,256 | (40,153 | ) | — | 329,595 | — | 629,698 | |||||||||||||||||
Purchased options (c) | — | — | — | (193,166 | ) | 333,043 | 139,877 | |||||||||||||||||
Options written | — | — | — | 74,968 | (345,561 | ) | (270,593 | ) | ||||||||||||||||
Forward foreign currency exchange contracts | — | — | — | — | 1,264,909 | 1,264,909 | ||||||||||||||||||
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|
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| |||||||||||||
$ | 340,256 | $ | 42,448 | $ | 45,615 | $ | 1,706,637 | $ | 1,252,391 | $ | 3,387,347 | |||||||||||||
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(a) | Includes swap contracts premium paid/received and unrealized appreciation/depreciation on swap contracts. |
(b) | 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. |
(c) | 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 each Fund’s average volume for the period ended September 30, 2014:
Multi-Manager Fund
Derivative Description | Average Notional or Face Amount | |||
Swap contracts | $ | 342,502,151 | ||
Futures contracts | $ | 2,559,372,958 | ||
Purchased options | $ | 72,950,097 | ||
Options written | $ | 74,267,855 | ||
Forward foreign currency exchange contracts | $ | 588,455,520 |
Multi-Strategy Fund
Derivative Description | Average Notional or Face Amount(1) | |||
Swap contracts | $ | 82,185,892 | ||
Futures contracts | $ | 635,897,797 | ||
Purchased options | $ | 11,814,933 | ||
Options written | $ | 9,401,927 | ||
Forward foreign currency exchange contracts | $ | 150,727,117 |
(1) | Averages are based on activity levels during the period June 16, 2014 (commencement of operations) through September 30, 2014. |
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Blackstone Alternative Investment Funds and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Netting Arrangements
The Funds use master netting arrangements, which allow certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following 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, 2014.
Multi-Manager Fund
Description: | Assets | Liabilities | ||||||
Futures contracts | $ | 8,026,420 | $ | (6,817,001 | ) | |||
Forward foreign currency exchange contracts | 8,665,463 | (4,238,977 | ) | |||||
Purchased options* | 6,903,471 | — | ||||||
Swaps | 6,317,853 | (1,153,891 | ) | |||||
Options written | — | (3,553,639 | ) | |||||
Centrally cleared derivative financial instruments | 414,997 | (194,033 | ) | |||||
|
|
|
| |||||
Total gross amounts of derivative financial instrument assets and liabilities | $ | 30,328,204 | $ | (15,957,541 | ) | |||
Derivative financial instruments not subject to MNA | (11,053,266 | ) | 7,254,273 | |||||
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|
|
| |||||
Total gross amounts subject to MNA | $ | 19,274,938 | $ | (8,703,268 | ) | |||
|
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|
|
* | Value of options purchased as reported in the Consolidated Schedule of Investments; amount is classified as Investments in securities in the Consolidated Statement of Assets and Liabilities. |
The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of September 30, 2014:
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||
Gross Amount of Statement of and Liabilities | Derivative Financial Offset | Cash Collateral Received(4) | Non-Cash Collateral(6) | Net Amount(2) | ||||||||||||||||
By Counterparty (1) | ||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | $ | 3,529,418 | $ | (115,413 | ) | $ | — | $ | — | $ | 3,414,005 | |||||||||
JP Morgan Chase Bank N.A. | 3,140,521 | (1,690,736 | ) | — | — | 1,449,785 | ||||||||||||||
Morgan Stanley Capital Services LLC | 1,266,901 | (1,266,901 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co., LLC | 741,127 | (14,175 | ) | — | — | 726,952 | ||||||||||||||
Credit Suisse International | 300,440 | (131,005 | ) | — | (169,435 | ) | — | |||||||||||||
State Street Bank and Trust | 232,173 | — | — | — | 232,173 | |||||||||||||||
Morgan Stanley & Co International plc | 159,284 | — | — | — | 159,284 |
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||
Gross Amount of Statement of and Liabilities | Derivative Financial Offset | Cash Collateral Received(4) | Non-Cash Collateral(6) | Net Amount(2) | ||||||||||||||||
Cayman Subsidiary | ||||||||||||||||||||
State Street Bank and Trust | $ | 6,598,187 | $ | (3,576,877 | ) | $ | — | $ | (2,747,158 | ) | $ | 274,152 | ||||||||
Morgan Stanley Capital Services LLC | 753,867 | — | — | — | 753,867 | |||||||||||||||
Domestic Subsidiary III | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 573,691 | — | — | — | 573,691 | |||||||||||||||
Credit Suisse International | 380,063 | (111,360 | ) | — | — | 268,703 | ||||||||||||||
Morgan Stanley Capital Services LLC | 263,244 | (37,120 | ) | — | — | 226,124 | ||||||||||||||
State Street Bank and Trust | 144,282 | — | — | — | 144,282 | |||||||||||||||
Credit Suisse Securities (Europe) Limited | 21,298 | (2,353 | ) | — | — | 18,945 | ||||||||||||||
Domestic Subsidiary IV | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | 691,255 | (95,805 | ) | (595,450 | ) | — | — | |||||||||||||
State Street Bank and Trust | 386,528 | — | — | (297,765 | ) | 88,763 | ||||||||||||||
Morgan Stanley & Co., LLC | 92,659 | (487 | ) | — | — | 92,172 | ||||||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||
Total | $ | 19,274,938 | $ | (7,042,232 | ) | $ | (595,450 | ) | $ | (3,214,358 | ) | $ | 8,422,898 | |||||||
|
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|
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|
|
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||
Gross Amounts of Statement of | Derivative Financial Offset | Cash Collateral Pledged(5) | Non-Cash Collateral | Net Amount(3) | ||||||||||||||||
By Counterparty (1) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | $ | (1,690,736 | ) | $ | 1,690,736 | $ | — | $ | — | $ | — | |||||||||
Morgan Stanley Capital Services LLC | (2,927,937 | ) | 1,266,901 | 290,000 | — | (1,371,036 | ) | |||||||||||||
Credit Suisse International | (131,005 | ) | 131,005 | — | — | — | ||||||||||||||
Credit Suisse Securities (Europe) Limited | (115,413 | ) | 115,413 | — | — | — | ||||||||||||||
Morgan Stanley & Co., LLC | (14,175 | ) | 14,175 | — | — | — |
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||
Gross Amounts of Statement of | Derivative Financial Offset | Cash Collateral Pledged(5) | Non-Cash Collateral | Net Amount(3) | ||||||||||||||||
Cayman Subsidiary | ||||||||||||||||||||
State Street Bank and Trust | $ | (3,576,877 | ) | $ | 3,576,877 | $ | — | $ | — | $ | — | |||||||||
Domestic Subsidiary III | ||||||||||||||||||||
Credit Suisse International | (111,360 | ) | 111,360 | — | — | — | ||||||||||||||
Morgan Stanley Capital Services LLC | (37,120 | ) | 37,120 | — | — | — | ||||||||||||||
Credit Suisse Securities (Europe) Limited | (2,353 | ) | 2,353 | — | — | — | ||||||||||||||
Domestic Subsidiary IV | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | (95,805 | ) | 95,805 | — | — | — | ||||||||||||||
Morgan Stanley & Co., LLC | (487 | ) | 487 | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (8,703,268 | ) | $ | 7,042,232 | $ | 290,000 | $ | — | $ | (1,370,036 | ) | ||||||||
|
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|
|
|
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|
|
|
(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, 2014, the Fund received securities as collateral for derivative financial instruments. |
Multi-Strategy Fund
Description: | Assets | Liabilities | ||||||
Futures contracts | $ | 2,560,566 | $ | (1,930,868 | ) | |||
Forward foreign currency exchange contracts | 2,496,136 | (1,231,227 | ) | |||||
Purchased options* | 1,880,981 | — | ||||||
Swaps | 1,597,534 | (211,146 | ) | |||||
Options written | — | (708,149 | ) | |||||
Centrally cleared derivative financial instruments | 148,246 | (57,282 | ) | |||||
|
|
|
| |||||
Total gross amounts of derivative financial instrument assets and liabilities | $ | 8,683,463 | $ | (4,138,672 | ) | |||
Derivative financial instruments not subject to MNA | (3,665,356 | ) | 2,062,522 | |||||
|
|
|
| |||||
Total gross amounts subject to MNA | $ | 5,018,107 | $ | (2,076,150 | ) | |||
|
|
|
|
* | Value of options purchased as reported in the Consolidated Schedule of Investments; amount is classified as investments in securities in the Consolidated Statement of Assets and Liabilities. |
202
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of September 30, 2014:
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||
Gross Amount of Statement of | Derivative Financial Offset | Cash Collateral Received(4) | Non-Cash Collateral(6) | Net Amount(2) | ||||||||||||||||
By Counterparty (1) | ||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | $ | 1,075,112 | $ | (29,844 | ) | $ | — | $ | — | $ | 1,045,268 | |||||||||
Morgan Stanley Capital Services LLC. | 732,637 | (732,637 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co., LLC | 281,064 | (4,581 | ) | — | — | 276,483 | ||||||||||||||
Morgan Stanley & Co International plc | 123,425 | (123,425 | ) | — | — | — | ||||||||||||||
JP Morgan Chase Bank N.A. | 105,059 | (21,130 | ) | — | — | 83,929 | ||||||||||||||
Credit Suisse International | 97,884 | (5,487 | ) | — | — | 92,397 | ||||||||||||||
State Street Bank and Trust | 59,426 | — | — | — | 59,426 | |||||||||||||||
Cayman Subsidiary | ||||||||||||||||||||
State Street Bank and Trust | 1,922,315 | (1,026,734 | ) | — | (663,671 | ) | 231,910 | |||||||||||||
Morgan Stanley Capital Services LLC | 222,975 | — | — | — | 222,975 | |||||||||||||||
Domestic Subsidiary III | ||||||||||||||||||||
State Street Bank and Trust | 93,363 | — | — | — | 93,363 | |||||||||||||||
JP Morgan Chase Bank N.A. | 36,894 | — | — | — | 36,894 | |||||||||||||||
Credit Suisse Securities (Europe) Limited | 6,588 | (837 | ) | — | — | 5,751 | ||||||||||||||
Domestic Subsidiary IV | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | 225,397 | (1,052 | ) | — | — | 224,345 | ||||||||||||||
Morgan Stanley & Co., LLC | 35,968 | (290 | ) | (35,678 | ) | — | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 5,018,107 | $ | (1,946,017 | ) | $ | (35,678 | ) | $ | (663,671 | ) | $ | 2,372,741 | |||||||
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Blackstone Alternative Investment Funds and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||
Gross Amounts of Statement of | Derivative Financial Offset | Cash Collateral Pledged(5) | Non-Cash Collateral | Net Amount(3) | ||||||||||||||||
By Counterparty (1) | ||||||||||||||||||||
Morgan Stanley Capital Services LLC. | $ | (833,329 | ) | $ | 732,637 | $ | 100,692 | $ | — | $ | — | |||||||||
Morgan Stanley & Co International plc | (152,866 | ) | 123,425 | 29,441 | — | — | ||||||||||||||
Credit Suisse Securities (Europe) Limited | (29,844 | ) | 29,844 | — | — | — | ||||||||||||||
JP Morgan Chase Bank N.A. | (21,130 | ) | 21,130 | — | — | — | ||||||||||||||
Credit Suisse International | (5,487 | ) | 5,487 | — | — | — | ||||||||||||||
Morgan Stanley & Co., LLC | (4,581 | ) | 4,581 | — | — | — | ||||||||||||||
Cayman Subsidiary | ||||||||||||||||||||
State Street Bank and Trust | (1,026,734 | ) | 1,026,734 | — | — | — | ||||||||||||||
Domestic Subsidiary III | ||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | (837 | ) | 837 | — | — | — | ||||||||||||||
Domestic Subsidiary IV | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | (1,052 | ) | 1,052 | — | — | — | ||||||||||||||
Morgan Stanley & Co., LLC | (290 | ) | 290 | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (2,076,150 | ) | $ | 1,946,017 | $ | 130,133 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|
(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, 2014, the Fund received securities as collateral for derivative financial instruments. |
204
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
5. Fair Value Measurements
The following table presents information about the classification of the each Fund’s investments measured at fair value within the fair value hierarchy as of September 30, 2014:
Multi-Manager Fund
Asset Description: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stock | $ | 523,192,387 | $ | 26,394 | $ | — | $ | 523,218,781 | ||||||||
Preferred Stock | — | 678,355 | — | 678,355 | ||||||||||||
Asset-Backed Securities | — | 99,608,078 | — | 99,608,078 | ||||||||||||
Convertible Bonds | — | 3,930,825 | — | 3,930,825 | ||||||||||||
Bank Loans | — | 23,582,625 | — | 23,582,625 | ||||||||||||
Corporate Bonds & Notes | — | 84,421,538 | 11,968,240 | 96,389,778 | ||||||||||||
Foreign Government | — | 36,571,323 | — | 36,571,323 | ||||||||||||
Mortgage-Backed Securities | — | 213,282,585 | — | 213,282,585 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 32,321,167 | — | 32,321,167 | ||||||||||||
Exchange-Traded Funds | 2,904,122 | — | — | 2,904,122 | ||||||||||||
Purchased Options | 2,438,335 | 4,465,136 | — | 6,903,471 | ||||||||||||
Total Investment in Securities: | $ | 528,534,844 | $ | 498,888,026 | $ | 11,968,240 | $ | 1,039,391,110 | ||||||||
Forward Foreign Currency Exchange Contracts | — | 8,665,463 | — | 8,665,463 | ||||||||||||
Futures Contracts | 8,026,420 | — | — | 8,026,420 | ||||||||||||
OTC Credit Default Swaps | — | 1,233,021 | — | 1,233,021 | ||||||||||||
OTC Total Return Swaps | — | 5,084,832 | — | 5,084,832 | ||||||||||||
Interest Rate Swaps | — | 414,997 | — | 414,997 | ||||||||||||
Total Assets | $ | 536,561,264 | $ | 514,286,339 | $ | 11,968,240 | $ | 1,062,815,843 | ||||||||
| ||||||||||||||||
Liability Description: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Securities Sold Short | $ | 243,942,446 | $ | 8,977,947 | $ | — | $ | 252,920,393 | ||||||||
Options Written | 243,239 | 3,310,400 | — | 3,553,639 | ||||||||||||
Reverse Repurchase Agreements | — | 83,651,720 | — | 83,651,720 | ||||||||||||
Securities Lending Collateral | — | 58,063,249 | — | 58,063,249 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | 4,238,977 | — | 4,238,977 | ||||||||||||
Futures Contracts | 6,817,001 | — | — | 6,817,001 | ||||||||||||
OTC Credit Default Swaps | — | 757,532 | — | 757,532 | ||||||||||||
OTC Total Return Swaps | — | 342,145 | — | 342,145 | ||||||||||||
Interest Rate Swaps | — | 248,247 | — | 248,247 | ||||||||||||
Total Liabilities | $ | 251,002,686 | $ | 159,590,217 | $ | — | $ | 410,592,903 | ||||||||
|
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Blackstone Alternative Investment Funds and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
The changes in investments measured at fair value for which the Multi-Manager Fund used Level 3 inputs to determine fair value are as follows:
Asset Description: Investment in Securities | Investment in Investee Fund | Corporate Bonds & Notes | Total | |||||||||
Balance as of April 1, 2014 | $ | 27,801,750 | $ | — | $ | 27,801,750 | ||||||
Transfers In | — | 13,326,000 | 13,326,000 | |||||||||
Transfers Out | (27,801,750 | ) | — | (27,801,750 | ) | |||||||
Purchases | — | 937,500 | 937,500 | |||||||||
Sales | — | — | — | |||||||||
Net realized gain (loss) | — | — | — | |||||||||
Net change in unrealized appreciation | — | (2,295,260 | ) | (2,295,260 | ) | |||||||
|
|
|
|
|
| |||||||
Balance as of September 30, 2014 | $ | — | $ | 11,968,240 | $ | 11,968,240 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation related to investments still held as of September 30, 2014 | $ | — | $ | (2,295,260 | ) | $ | (2,295,260 | ) | ||||
|
|
|
|
|
|
The following table summarizes the quantitative inputs and assumptions used for investments in securities classified within Level 3 of the fair value hierarchy as of September 30, 2014.
Asset Description: Investments in Securities: | Fair Value at | Valuation Technique | Unobservable Inputs | Range of Inputs (Weighted | ||||||||||
Corporate Bonds & Notes | $ | 11,968,240 | Broker-dealer Quotations | Bid Price | NA |
Multi-Strategy Fund
Asset Description: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stock | $ | 191,616,584 | $ | — | $ | — | $ | 191,616,584 | ||||||||
Preferred Stock | 186,859 | — | — | 186,859 | ||||||||||||
Asset-Backed Securities | — | 22,565,982 | — | 22,565,982 | ||||||||||||
Convertible Bonds | — | 624,809 | — | 624,809 | ||||||||||||
Bank Loans | — | 1,148,912 | — | 1,148,912 | ||||||||||||
Corporate Bonds & Notes | — | 20,014,211 | — | 20,014,211 | ||||||||||||
Foreign Government | — | 11,545,867 | — | 11,545,867 | ||||||||||||
Mortgage-Backed Securities | — | 66,698,538 | — | 66,698,538 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 10,814,261 | — | 10,814,261 | ||||||||||||
Exchange-Traded Funds | 777,311 | — | — | 777,311 | ||||||||||||
Purchased Options | 893,448 | 987,533 | — | 1,880,981 | ||||||||||||
Total Investment in Securities: | $ | 193,474,202 | $ | 134,400,113 | $ | — | $ | 327,874,315 |
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For the Period Ended September 30, 2014 (Unaudited)
Asset Description: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 2,496,136 | $ | — | $ | 2,496,136 | ||||||||
Futures Contracts | 2,560,566 | — | — | 2,560,566 | ||||||||||||
OTC Credit Default Swaps | — | 31,378 | — | 31,378 | ||||||||||||
OTC Total Return Swaps | — | 1,566,156 | — | 1,566,156 | ||||||||||||
Interest Rate Swaps | — | 148,246 | — | 148,246 | ||||||||||||
Total Assets | $ | 196,034,768 | $ | 138,642,029 | $ | — | $ | 334,676,797 | ||||||||
| ||||||||||||||||
Liability Description: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Securities Sold Short | $ | 89,566,775 | $ | 1,449,662 | $ | — | $ | 91,016,437 | ||||||||
Options Written | 74,373 | 633,776 | — | 708,149 | ||||||||||||
Reverse Repurchase Agreements | — | 20,351,314 | — | 20,351,314 | ||||||||||||
Securities Lending Collateral | — | 24,712,541 | — | 24,712,541 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | 1,231,227 | — | 1,231,227 | ||||||||||||
Futures Contracts | 1,930,868 | — | — | 1,930,868 | ||||||||||||
OTC Credit Default Swaps | — | 158,529 | — | 158,529 | ||||||||||||
OTC Total Return Swaps | — | 34,022 | — | 34,022 | ||||||||||||
Interest Rate Swaps | — | 75,877 | — | 75,877 | ||||||||||||
Total Liabilities | $ | 91,572,016 | $ | 48,646,948 | $ | — | $ | 140,218,964 | ||||||||
|
The Funds recognize transfers within the fair value hierarchy as of the beginning of the period. For the Multi-Manager Fund, transfers out of Level 3 related to its Investment in Investee Fund is primarily due to the expiration of liquidity restrictions. There were no transfers for the Multi-Strategy Fund for the period ended September 30, 2014.
Realized gains and unrealized depreciation recorded for Level 3 investments are reported as net realized gain from investments in securities and net unrealized appreciation from investments in securities in the Consolidated Statement of Operations.
6. Purchase and Sale of Fund Shares
The Multi-Manager Fund currently offers Class I Shares and the Multi-Strategy Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares, of which only Class I Shares are outstanding as of the period ended September 30, 2014.
Multi-Manager Fund 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 shares. Multi-Manager Fund Class I Shares may also be offered for investment by personnel of the Investment Adviser, and as otherwise determined by the Board. Class I Shares of Multi-Manager Fund are held exclusively by a single financial advisor who holds shares on behalf of its clients.
Multi-Strategy Fund Class I Shares are offered to institutional investors and investors who are clients of investment advisors, broker-dealers, financial institutions 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 shares. Multi-Strategy Fund Class I Shares may also be offered to institutional investors and individuals who meet the minimum investment requirements and purchase directly from the Multi-Strategy Fund, including purchases by individuals through individual retirement accounts.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
Shares of the Funds 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 Funds, each Fund will pay the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on each Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of each Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee shall be 1.95% (annualized) and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee shall be 1.80% (annualized).
Sub-Advisory Fees
Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Funds 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 “Multi-Manager Fund Agreement”) with the Multi-Manager Fund to limit the amount of Specified Expenses (as defined below) of the Fund’s to 0.45% per annum of the Fund’s net assets (the “Multi-Manager Fund Total Expense Cap”). Specified Expenses includes all expenses incurred by the Multi-Manager 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 “Multi-Manager Fund Excluded Expenses”).
The Investment Adviser has also entered into an Expense Limitation and Reimbursement Agreement (the “Multi-Strategy Fund Agreement”) with the Multi-Strategy Fund to limit the amount of Specified Expenses (as defined below) of the Fund’s to 2.40% per annum of the Fund’s Class I Shares (the “Multi-Strategy Total Expense Cap”). Specified Expenses includes all expenses incurred by the Multi-Strategy Fund with the exception of (i) the distribution or service fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (as determined in the sole discretion of BAIA) (together, the “Multi-Strategy 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 Funds for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the agreements at any time in its sole discretion after May 31, 2016. The Funds have agreed to repay the amounts borne by the Investment Adviser under their respective agreements 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
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
total expense cap. As of September 30, 2014, the repayments that potentially may be made by the Multi-Manager Fund to the Investment Adviser total $2,424,934. Of this amount, repayments of $437,240 have an expiration date of May 8, 2016 and repayments of $1,987,694 have a maximum expiration date of March 31, 2017. The repayments that potentially may be made by the Multi-Strategy Fund to the Investment Adviser total $589,895. Of this amount, repayments of $589,895 have a maximum expiration date of March 31, 2018.
8. Other Agreements
State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Funds. Blackstone Advisory Partners L.P., an affiliate of the Investment Adviser, serves as the Funds’ distributor.
9. Financial Instruments and Off-Balance Sheet Risk
Market Risk: In the normal course of business, the Funds invest 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 Funds may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; 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 Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have 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 Funds to credit and counterparty risk consist principally of cash due from counterparties and investments. The Funds manage 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 Funds’ 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 collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non- standard settlement trades, the Funds restrict exposure to credit and counterparty losses by entering into master netting agreements with counterparties (approved brokers) with whom they undertake 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 each 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 and may permit net amounts owed under each transaction to be netted 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 a Fund under derivative financial instrument contracts, if any, will be reported separately in the Consolidated Statement of
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
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 Funds 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 Funds. Foreign investments may also subject the Funds 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 Funds may be difficult to sell, or illiquid, particularly during times of market turmoil. Illiquid securities may also be difficult to value. If a 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: Each Fund is classified as a “non-diversified” investment company, which means that the percentage of its assets that may be invested in the securities of a single issuer is not limited by the 1940 Act. As a result, the Funds’ investment portfolios may be subject to greater risk and volatility than 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. Each Fund’s Prospectus includes a discussion of the principal risks of investing in the Fund.
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, 2014 were as follows:
Multi-Manager Fund | Multi-Strategy Fund | |||||||
Purchases | $ | 1,380,238,385 | $ | 477,411,172 | ||||
Sales | $ | 1,194,616,913 | $ | 160,196,968 |
11. Income Tax Information
The Funds intend to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Funds have adopted a tax year-end of October 31, therefore unless otherwise indicated, all applicable tax disclosures reflect tax adjusted balances as of October 31, 2013. The Funds intend to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Funds make no provision for U.S. federal income or excise taxes.
Each Fund’s policy is to declare and pay distributions from net investment income and from net realized short- term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Funds on the ex-dividend date.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2014 (Unaudited)
12. Borrowings Under Credit Facility
Each Fund has a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) for $30,000,000 (the “Aggregate Commitment Amount”). Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the Funds. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Funds to the Bank. Outstanding borrowings bear interest at a rate equal to 0.85% plus the Overnight LIBOR Rate per annum (0.93% at September 30, 2014). A commitment fee is charged in the amount of 0.20% per annum for each day during which the aggregate outstanding principal balance is less than 50% of the sum of the Aggregate Commitment Amount, and 0.10% per annum at all other times. Outstanding borrowings and accrued interest are due no later than February 2, 2015 and July 1, 2015 for the Multi-Manager Fund and Multi-Strategy Fund, respectively, the termination dates of each Fund’s Facility, at which time the Funds and the Bank can agree to extend the existing agreement. At September 30, 2014, the Funds had no outstanding borrowings under the Facility.
13. Subsequent Events
The Investment Adviser 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.
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Shareholder Fee Example (Unaudited)
As a shareholder of the Multi-Manager 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 beginning of the period and held for the entire period from April 1, 2014 through September 30, 2014. 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. 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 4/1/2014 | Ending Account Value 9/30/2014 | Expenses Paid During Period1 | ||||
Actual | $1,000.00 | 1,021.00 | $15.40 | |||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | 1,009.83 | $15.32 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 3.04%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half-year period). |
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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, 2014.
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, 2014.
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 6/16/2014 | Ending Account Value 9/30/2014 | Expenses Paid During Period1 | ||||
Actual | $1,000.00 | $1,013.00 | $ 9.09 | |||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,009.48 | $15.67 |
1 | “Actual” expense information for the Fund is for the period from June 16, 2014 (commencement of operations) to September 30, 2014. Actual expenses are equal to the Fund’s annualized net expense ratio of 3.11%, multiplied by 106/365 (to reflect the period from commencement of operations to September 30, 2014). “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). |
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September 30, 2014 (Unaudited)
Management of the Fund
The Funds’ 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 Funds’ 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 Funds.
Sub-Advisers
During the period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Funds or to one or more Subsidiaries.
• | AlphaParity, LLC |
• | Bayview Asset Management, LLC |
• | Boussard & Gavaudan Investment Management, LLP (and its predecessor, Boussard & Gavaudan Asset Management, LP) |
• | BTG Pactual Asset Management US, LLC |
• | Caspian Capital LP |
• | Cerberus Sub-Advisory I, LLC |
• | Chatham Asset Management, LLC |
• | Credit Suisse Hedging-Griffo Servicos Internacionais S.A. |
• | EMSO Partners Limited |
• | Good Hill Partners LP |
• | GS Investment Strategies, LLC |
• | HealthCor Management, L.P. |
• | Nephila Capital, Ltd. (Multi-Manager Fund only) |
• | Rail-Splitter Capital Management, LLC |
• | Two Sigma Advisers, LLC |
• | Union Point Advisors, LLC |
• | Waterfall Asset Management, LLC |
• | Wellington Management Company, LLP |
Compensation for Trustees
The Trust pays no compensation to any of its officers or to Trustees who are not Independent Trustees. Each Independent Trustee is paid $45,000 per fiscal year for his or her services to the Trust, and the Chairpersons of the Board and the Audit Committee are each paid an additional $3,000 per fiscal year from the Trust. Trustees are reimbursed by the Trust for their travel expenses related to Board meetings, continuing education and conferences.
Form N-Q Filings
The Funds file complete schedules 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 Funds’ Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ 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
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September 30, 2014 (Unaudited)
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 Funds’ portfolio securities and information regarding how the Funds voted proxies relating to their portfolio securities from 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.
Board Approval of the Sub-Advisory Agreements—Multi-Manager Fund
At meetings of the Board held in person on May 21-22, 2014 and July 8, 2014, the Board, including all of the Independent Trustees, considered and unanimously approved the subadvisory agreements for Multi-Manager Fund (“Multi-Manager Sub-Advisory Agreements”) between BAIA and each of the following Sub-Advisers:
• | Waterfall Asset Management, LLC (at May meeting) |
• | Boussard & Gavaudan Investment Management, LLP (at May meeting) |
• | Rail-Splitter Capital Management, LLC (at July meeting). |
At the Board’s May meeting, the Board, including all of the Independent Trustees, also considered and unanimously approved amended and restated subadvisory agreements for Multi-Manager Fund (“Amended and Restated Multi-Manager Sub-Advisory Agreements”) between BAIA and each of the following Sub-Advisers:
• | AlphaParity, LLC |
• | Boussard & Gavaudan Asset Management, LP |
• | BTG Pactual Asset Management US, LLC |
• | Caspian Capital LP |
• | Cerberus Sub-Advisory I, LLC |
• | Chatham Asset Management, LLC |
• | Credit Suisse Hedging-Griffo Servicos Internacionais S.A. |
• | EMSO Partners Limited |
• | Good Hill Partners LP |
• | GS Investment Strategies, LLC |
• | HealthCor Management, L.P. |
• | Two Sigma Advisers, LLC |
• | Union Point Advisors, LLC |
• | Wellington Management Company, LLP. |
The Independent Trustees were assisted in their review of the Multi-Manager Sub-Advisory Agreements and Amended and Restated Multi-Manager 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 Multi-Manager Sub-Advisory Agreements and Amended and Restated Multi-Manager Sub-Advisory Agreements. The Board noted that BAIA and the Multi-Manager Fund would rely on an exemptive order from the SEC that permitted the Fund to add or replace sub-advisers 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.
Before the meetings, with respect to the Multi-Manager Sub-Advisory Agreements for Waterfall Asset Management, LLC and Rail-Splitter Capital Management, LLC, the Board received, among other things, (a) materials prepared by independent legal counsel regarding the relevant factors to consider in evaluating
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Supplemental Information (Continued)
September 30, 2014 (Unaudited)
the Multi-Manager 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 Multi-Manager 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, 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 Multi-Manager 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. With respect to the Multi-Manager Sub-Advisory Agreement for Boussard & Gavaudan Investment Management, LLP, the Board received, among other things, information about Boussard & Gavaudan Asset Management, LP’s (“BGAM”) plans to form a successor organization, Boussard & Gavaudan Investment Management, LLP, which would have the same resources and support as BGAM and which would perform the same services for the Multi-Manager Fund as BGAM. With respect to the Amended and Restated Multi-Manager Sub-Advisory Agreements, the Board received, among other things, information about the changes from the original sub-advisory agreements, as well as copies of the information reviewed in connection with the approvals of those Sub-Advisers’ original subadvisory agreements.
At the meetings, there was discussion regarding the materials that had been provided to the Board, the terms of the Multi-Manager Sub-Advisory Agreements and the Amended and Restated Multi-Manager Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) met in executive session with their independent legal counsel to consider the information provided. In evaluating the Multi-Manager Sub-Advisory Agreements and the Amended and Restated Multi-Manager 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 it receives from the Multi-Manager Fund and would not increase the fees or expenses otherwise incurred by the Multi-Manager Fund or its shareholders. In the case of the Amended and Restated Multi-Manager Sub-Advisory Agreements, the Board also took into account its recent consideration and approval of the original subadvisory agreements with those Sub-Advisers, and the fact that the proposed changes to the original subadvisory agreements were, with the exception of changes in subadvisory fees for four sub-advisers, not substantive, and were not expected to result in any change in the nature, extent and quality of the services provided to the Multi-Manager Fund. Following this discussion, the Board, including all of the Independent Trustees, determined to approve each of the Multi-Manager Sub-Advisory Agreements for an initial term of up to two years, and to approve each of the Amended and Restated Multi-Manager Sub-Advisory Agreements, 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) potential investment return on the assets that potentially would be managed by the Sub-Adviser; (4) where applicable, the Sub-Adviser’s experience and performance in managing hedge funds and the extent to which the Sub-Adviser’s strategy for the Multi-Manager Fund would overlap with its hedge fund strategy; and (5) the experience and depth of the Sub-Adviser’s portfolio management team. Where applicable, the Board also considered information about the experience of BAIA’s affiliates in investing in hedge funds managed by the Sub-Adviser. The Board concluded that the nature,
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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 Multi-Manager 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 Multi-Manager Fund assets, including any breakpoints, the Sub-Adviser’s resources devoted to the Multi-Manager Fund, and (where available) the information provided by each Sub-Adviser regarding the anticipated profitability to the Sub-Adviser from providing sub-advisory services to the Multi-Manager Fund. Where applicable, the Board reviewed the 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 noted that the compensation paid to the Sub-Adviser was paid by BAIA, not the Multi-Manager Fund, and, accordingly, that the retention of the Sub-Adviser did not increase the fees or expenses otherwise incurred by the Multi-Manager Fund’s shareholders. The Board also considered information about the anticipated average sub-advisory fees that BAIA would pay in light of expected portfolio allocations and the resulting division of fees as between BAIA and the Sub-Advisers. 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 Multi-Manager Sub-Advisory Agreements and Amended and Restated Multi-Manager 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. The Board also noted that certain Multi-Manager Fund expenses would be subject to an expense cap. The Board noted that it would have the opportunity to periodically re-examine whether the Multi-Manager 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 Waterfall Asset Management, LLC and Rail-Splitter Capital Management, LLC had not previously sub-advised any of the Multi-Manager Fund’s assets, the Trustees were unable to consider the performance of those Sub-Advisers on behalf of the Multi-Manager Fund. The Trustees considered the performance of BGAM and the Sub-Advisers for whom Amended and Restated Multi-Manager Sub-Advisory Agreements were being proposed, but noted that, since the Multi-Manager Fund was relatively new, it was generally not possible to draw definitive conclusions as to the quality of those Sub-Advisers’ investment programs. The Trustees reviewed historical investment performance generated by each Sub-Adviser for other funds managed by the Sub-Adviser, but noted that the Multi-Manager Fund was different in structure from certain of those other funds 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 Multi-Manager Fund, including the ability to leverage the infrastructure designed to service the Multi-Manager 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 Multi-Manager Fund shareholders. The Board noted
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that none of the Sub-Advisers indicated that it expected to receive significant ancillary benefits as a result of its relationship with BAIA, its affiliates, or the Multi-Manager Fund. The Board concluded that other benefits derived by each Sub-Adviser from its relationship with BAIA, BAAM, or the Multi-Manager Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Multi-Manager Fund and investors therein, and were consistent with industry practice and the best interests of the Multi-Manager Fund and its shareholders.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under each of the Multi-Manager Sub-Advisory Agreements and Amended and Restated Multi-Manager Sub-Advisory Agreements were fair and reasonable with respect to the services that the relevant Sub-Adviser would provide to the Multi-Manager 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 Multi-Manager Sub-Advisory Agreements and Amended and Restated Multi-Manager Sub-Advisory Agreements, the Board concluded that the terms of each Multi-Manager Sub-Advisory Agreement and Amended and Restated Multi-Manager Sub-Advisory Agreement were reasonable and fair and noted that they would have the opportunity to periodically re-examine the terms of the Multi-Manager Sub-Advisory Agreements and Amended and Restated Multi-Manager 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.
Board Approval of the Investment Management and Sub Fund Investment Management Agreements—Multi-Strategy Fund
At an organizational meeting of the Board held in person on February 25, 2014, the Board, including all of the Independent Trustees, considered and unanimously approved the following agreements:
1. | investment management agreement (“MS Investment Management Agreement”) between BAIA and the Trust, on behalf of the Multi-Strategy Fund; |
2. | investment management agreement (“MS Sub II Agreement”) between BAIA and Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (“MS Sub Fund II”); |
3. | investment management agreement (“MS Sub III Agreement”) between BAIA and Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (“MS Sub Fund III”); and |
4. | investment management agreement (“MS Sub IV Agreement”) between BAIA and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (“MS Sub Fund IV”). |
MS Sub Fund II, MS Sub Fund III, and MS Sub Fund IV are collectively referred to herein as the “MS Sub Funds” and each a “MS Sub Fund.” The MS Sub II Agreement, MS Sub III Agreement, and MS Sub IV Agreement are collectively referred to herein as the “MS Sub Fund Investment Management Agreements.” Because each MS Sub Fund is a wholly-owned subsidiary of the Multi-Strategy Fund, references to the Multi-Strategy Fund below should be understood to be references to the Multi-Strategy Fund and the MS Sub Funds.
The Independent Trustees were assisted in their review of the MS Investment Management Agreement and the MS 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 MS Investment Management Agreement and the MS Sub Fund Investment Management Agreements. Before the meeting, the Board received, among other things, (a) materials prepared by
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independent legal counsel regarding the relevant factors to consider in evaluating the MS Investment Management Agreement and the MS Sub Fund Investment Management Agreements; (b) materials prepared by BAIA relating to, among other things, BAIA’s experience and qualifications to serve as investment manager; analysis of the fees and expenses of the Multi-Strategy Fund (on a combined basis with the fees and expenses of the MS Sub Funds) as compared with a peer group of funds; analysis of BAIA’s expected profitability for providing services to the Multi-Strategy Fund and MS Sub Funds; and information regarding BAIA’s Code of Ethics and compliance program; and (c) materials prepared by an outside firm, unaffiliated with the Multi-Strategy Fund, the MS 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 Multi-Strategy Fund (on a combined basis with the fees and expenses of the MS Sub Funds) to those of a peer group of funds determined by the Service Provider.
At the meeting, there was discussion regarding the materials that had been provided to the Board, the terms of the MS Investment Management Agreement and the MS Sub Fund Investment Management Agreements, the expected operations of the Multi-Strategy 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 Multi-Strategy Fund and the MS Sub Funds, but does not receive a management fee from the Multi-Strategy Fund with respect to assets of the MS Sub Funds so that there is no duplicative payment of management fees. The Board also took into account that the MS Investment Management Agreement and MS Sub Fund Investment Management Agreements were substantially similar to arrangements approved in respect of the Multi-Manager Fund, and the expected similarities between the Multi-Manager Fund and the Multi-Strategy Fund. Following this discussion, the Board, including all of the Independent Trustees, determined to approve the MS Investment Management Agreement and each of the MS 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 Multi-Strategy Fund by BAIA in light of the Multi-Strategy Fund’s structure, investment objective, strategies, and other characteristics. The Board noted that the Multi-Strategy Fund would employ a “manager of managers” structure, whereby BAIA would be responsible for selecting sub-advisers (subject to Board approval), dynamically allocating the Multi-Strategy Fund’s assets among them, and overseeing their day-to-day management of the Multi-Strategy 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 MS Investment Management Agreement and MS Sub Fund Investment Management Agreements.
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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 Multi-Strategy Fund and the MS Sub Funds, and the information BAIA provided regarding the anticipated profitability to BAIA from providing advisory services to the Multi-Strategy Fund. The Board reviewed the Multi-Strategy 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 significant investment by, and cost to, BAIA regarding the service infrastructure needed to support the Multi-Strategy 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 also considered information about the anticipated average sub-advisory fees that BAIA would pay in light of expected portfolio allocations and the resulting division of fees as between BAIA and the Sub-Advisers. The Board, recognizing that there was not yet profitability data to evaluate for the Multi-Strategy Fund, considered the proposed profits estimated to be realized by BAIA and its affiliates from its relationship with the Multi-Strategy 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 Multi-Strategy Fund’s investment program, and the estimated costs associated with managing the Multi-Strategy 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 investment strategies. The Board noted that it would have the opportunity to periodically re-examine whether the Multi-Strategy 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 Multi-Strategy Fund, in the future.
Investment Performance of the Investment Adviser
Since the Multi-Strategy Fund had not yet commenced operations, the Trustees were unable to consider its performance. In light of the similarities between the Multi-Strategy Fund and the Multi-Manager Fund, the Trustees considered the performance of the Multi-Manager Fund, but noted that, since the Multi-Manager Fund was relatively new, it was generally not possible to draw definitive conclusions as to the quality of its investment program.
Other Benefits
The Board discussed other benefits that BAIA may receive from the Multi-Strategy Fund, including the ability to leverage the infrastructure designed to service the Multi-Strategy 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 Multi-Strategy 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 Multi-Strategy Fund and that BAIA would not realize significant “fall out” benefits from its relationship with the Multi-
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Strategy Fund. The Board concluded that other benefits derived by BAIA from its relationship with the Multi-Strategy Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Multi-Strategy Fund and investors therein, and were consistent with industry practice and the best interests of the Multi-Strategy Fund and its shareholders.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under the MS Investment Management Agreement and each of the MS Sub Fund Investment Management Agreements were fair and reasonable with respect to the services that BAIA would provide to the Multi-Strategy 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 MS Investment Management Agreement and MS 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 MS Investment Management Agreement and MS 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—Multi-Strategy Fund
At meetings of the Board held in person on May 21-22, 2014 and July 8, 2014, the Board, including all of the Independent Trustees, considered and unanimously approved the sub-advisory agreements for Multi-Strategy Fund (“Multi-Strategy Sub-Advisory Agreements”) between BAIA and each of the following Sub-Advisers:
• | AlphaParity, LLC (at May meeting) |
• | Bayview Asset Management, LLC (at May meeting) |
• | Boussard & Gavaudan Asset Management, LP, and its successor, Boussard & Gavaudan Investment Management, LLP (both at the May meeting) |
• | BTG Pactual Asset Management US, LLC (at May meeting) |
• | Caspian Capital LP (at May meeting) |
• | Cerberus Sub-Advisory I, LLC (at May meeting) |
• | Chatham Asset Management, LLC (at May meeting) |
• | Credit Suisse Hedging-Griffo Servicos Internacionais S.A. (at May meeting) |
• | EMSO Partners Limited (at May meeting) |
• | Good Hill Partners LP (at May meeting) |
• | GS Investment Strategies, LLC (at May meeting) |
• | HealthCor Management, L.P. (at May meeting) |
• | Rail-Splitter Capital Management, LLC (at July meeting) |
• | Two Sigma Advisers, LLC (at May meeting) |
• | Union Point Advisors, LLC (at May meeting) |
• | Waterfall Asset Management, LLC (at May meeting) |
• | Wellington Management Company, LLP (at May meeting) |
The Independent Trustees were assisted in their review of the Multi-Strategy 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 Multi-Strategy Sub-Advisory Agreements. The Board noted that BAIA and the Multi-Strategy Fund would rely on an exemptive order from the SEC that permitted the Fund to add or replace sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approves the new sub-advisers and certain other
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conditions are met. Before the meetings, the Board received, among other things, (a) materials prepared by independent legal counsel regarding the relevant factors to consider in evaluating the Multi-Strategy 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 Multi-Strategy 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, 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 Multi-Strategy 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 Multi-Strategy Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) met in executive session with their independent legal counsel to consider the information provided. In evaluating the Multi-Strategy 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 it received from the Multi-Strategy Fund and would not increase the fees or expenses otherwise incurred by the Multi-Strategy Fund or its shareholders. The Board also took into account that the Multi-Strategy Sub-Advisory Agreements were substantially identical to the Multi-Manager Sub-Advisory Agreements and/or Amended and Restated Multi-Manager Sub-Advisory Agreements (as applicable). Following this discussion, the Board, including all of the Independent Trustees, determined to approve each of the Multi-Strategy 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) potential investment return on the assets that potentially would be managed by the Sub-Adviser; (4) where applicable, the Sub-Adviser’s experience and performance in managing hedge funds and the extent to which the Sub-Adviser’s strategy for the Multi-Strategy Fund would overlap with its hedge fund strategy; and (5) the experience and depth of the Sub-Adviser’s portfolio management team. Where applicable, the Board also considered information about the experience of BAIA’s affiliates in investing in hedge funds managed by the Sub-Adviser and information about the Sub-Adviser’s service to the Multi-Manager Fund. 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 Multi-Strategy 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 Multi-Strategy Fund assets, including any breakpoints, the Sub-Adviser’s resources devoted to the Multi-Strategy Fund, and (where applicable) the information provided by each Sub-Adviser regarding the anticipated profitability to the Sub-Adviser from providing sub-advisory services to the Multi-Strategy Fund. Where applicable, the Board reviewed the
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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 noted that the compensation paid to the Sub-Adviser was paid by BAIA, not the Multi-Strategy Fund, and, accordingly, that the retention of the Sub-Adviser did not increase the fees or expenses otherwise incurred by the Multi-Strategy Fund’s shareholders. The Board also considered information about the anticipated average sub-advisory fees that BAIA would pay in light of expected portfolio allocations and the resulting division of fees as between BAIA and the Sub-Advisers. 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 Multi-Strategy 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 where 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 Multi-Strategy Fund expenses would be subject to an expense cap and determined that because the Multi-Strategy 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 Multi-Strategy 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 Sub-Advisers had not previously sub-advised any of the Multi-Strategy Fund’s assets, the Trustees were unable to consider the performance of the Multi-Strategy Fund. In light of the similarities between the Multi-Strategy Fund and the Multi-Manager Fund, the Trustees considered the performance (where applicable) of the Sub-Advisers with respect to the Multi-Manager Fund, but noted that, since the Multi-Manager Fund was relatively new, it was generally not possible to draw definitive conclusions as to the quality of those Sub-Advisers’ investment programs. The Trustees reviewed historical investment performance generated by each Sub-Adviser for other funds managed by the Sub-Adviser, but noted that the Multi-Strategy Fund was different in structure from certain of those other funds and, as a result, its investment program and performance would differ from those of the other funds. In the case of AlphaParity, LLC and Union Point Advisors, LLC, the Trustees considered that the firms were relatively new and had relatively short track records.
Other Benefits
The Board discussed other potential benefits that each Sub-Adviser might receive from the Multi-Strategy Fund, including the ability to leverage the infrastructure designed to service the Multi-Strategy 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 Multi-Strategy 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, its affiliates, or the Multi-Strategy Fund. The Board concluded that other benefits derived by each Sub-Adviser from its relationship with BAIA, BAAM, or the Multi-Strategy Fund, to the
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extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Multi-Strategy Fund and investors therein, and were consistent with industry practice and the best interests of the Multi-Strategy Fund and its shareholders.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under each of the Multi-Strategy Sub-Advisory Agreements were fair and reasonable with respect to the services that the relevant Sub-Adviser would provide to the Multi-Strategy 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 Multi-Strategy Sub-Advisory Agreements, the Board concluded that the terms of each Multi-Strategy Sub-Advisory Agreement were reasonable and fair and noted that they would have the opportunity to periodically re-examine the terms of the Multi-Strategy 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 and Statement of Additional Information include additional information about the Trustees. The registration statement and Statement of Additional Information are available upon request, without charge, by calling 1-855-890-7725.
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Blackstone Alternative Multi-Strategy Fund
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
Hayley Stein, Chief Compliance Officer
Scott Sherman, Chief Legal Officer
Stephen Buehler, Secretary
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
30 Rockefeller Plaza
New York, New York 10112
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 and Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Funds or any securities mentioned in this report.
You can find each Fund’s prospectus and other information about the Funds, including each Fund’s statements of additional information, on the Funds’ website at www.blackstone.com/blackstone-alternative-investment-funds. You can also get this information at no cost by calling the Funds at 1-855-890-7725.
Table of Contents
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 Shareholders 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. |
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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) | Certifications pursuant to Rule 30a-2(b) are attached hereto. |
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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 3, 2014 |
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 3, 2014 |
By (Signature and Title) | /s/ Arthur Liao | |
Arthur Liao, Treasurer (Principal Financial and Accounting Officer) |
Date | December 3, 2014 |