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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, 2015
Table of Contents
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached hereto.
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Blackstone
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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, 2015
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Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
September 30, 2015 (Unaudited)
Geographic Breakdown | Percentage of Total Net Assets | ||||
United States | 69.1 | % | |||
Cayman Islands | 7.0 | ||||
Japan | 1.5 | ||||
United Kingdom | 1.2 | ||||
Netherlands | 0.9 | ||||
Germany | 0.7 | ||||
Switzerland | 0.6 | ||||
China | 0.5 | ||||
Finland | 0.4 | ||||
France | 0.4 | ||||
Ireland | 0.4 | ||||
Singapore | 0.4 | ||||
Bermuda | 0.4 | ||||
Spain | 0.3 | ||||
Canada | 0.2 | ||||
Israel | 0.2 | ||||
Belgium | 0.1 | ||||
Brazil | 0.1 | ||||
Ecuador | 0.1 | ||||
Greece | 0.1 | ||||
Hong Kong | 0.1 | ||||
India | 0.1 | ||||
Italy | 0.1 | ||||
Luxembourg | 0.1 | ||||
Poland | 0.1 | ||||
Sweden | 0.1 | ||||
Venezuela | 0.1 | ||||
Bahamas | 0.0 | 1 | |||
Chile | 0.0 | 1 | |||
Cyprus | 0.0 | 1 | |||
Norway | 0.0 | 1 | |||
Peru | 0.0 | 1 | |||
Puerto Rico | 0.0 | 1 | |||
Republic of Korea | 0.0 | 1 | |||
South Africa | 0.0 | 1 | |||
Taiwan | 0.0 | 1 | |||
Thailand | 0.0 | 1 | |||
United Arab Emirates | 0.0 | 1 | |||
Other2 | 10.8 | ||||
Securities Sold Short | (25.9 | ) | |||
Other Assets and Liabilities3 | 29.8 | ||||
|
| ||||
Total | 100.0 | % | |||
|
|
1 | Represents less than 0.1%. |
2 | Includes Sovereign Debt, Exchange-Traded Funds, Money Market Fund 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, 2015 (Unaudited)
Portfolio Composition | Percentage of Total Net Assets | ||||
Common Stock | 41.2 | % | |||
Mortgage-Backed Securities | 24.4 | ||||
Asset-Backed Securities | 10.2 | ||||
Short Term Investment—Money Market Fund | 6.1 | ||||
Corporate Bonds & Notes | 5.7 | ||||
Sovereign Debt | 3.1 | ||||
U.S. Government Sponsored Agency Securities | 1.9 | ||||
Bank Loans | 1.1 | ||||
Convertible Bonds | 0.8 | ||||
Exchange-Traded Funds | 0.7 | ||||
Other1 | 0.9 | ||||
Securities Sold Short | (25.9 | ) | |||
Other Assets and Liabilities2 | 29.8 | ||||
|
| ||||
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 | 2.4 | % | |||
AA/Aa | 0.8 | ||||
A | 1.3 | ||||
BBB/Baa | 5.6 | ||||
BB/Ba | 7.5 | ||||
B | 7.9 | ||||
CCC/Caa | 5.1 | ||||
CC/Ca | 0.2 | ||||
D | 0.5 | ||||
Not Rated | 17.8 | ||||
Other5 | 50.9 | ||||
|
| ||||
Total Investments in Securities | 100.0 | % | |||
|
|
3 | Using the higher of 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, Exchange-Traded Funds, Money Market Fund and Purchased Options. |
Industry | Percentage of Total Net Assets | ||||
Biotechnology & Pharmaceuticals | 6.8 | % | |||
Media | 3.8 | ||||
Banking | 3.0 | ||||
Real Estate | 2.7 | ||||
Health Care Facilities/Services | 2.4 | ||||
Insurance | 2.3 | ||||
Oil, Gas & Coal | 2.2 | ||||
Medical Equipment/Devices | 2.1 | ||||
Retail Discretionary | 2.0 | ||||
Semiconductors | 1.8 | ||||
Asset Management | 1.6 | ||||
Financial Services | 1.3 | ||||
Software | 1.1 | ||||
Electrical Equipment | 1.0 | ||||
Chemicals | 0.9 | ||||
Consumer Products | 0.9 | ||||
Publishing & Broadcasting | 0.9 | ||||
Retail—Consumer Discretionary | 0.7 | ||||
Gaming, Lodging & Restaurants | 0.6 |
See Notes to Consolidated Financial Statements.
2
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2015 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Technology Services | 0.6 | ||||
Wireless Telecommunication Services | 0.6 | ||||
Commercial Services | 0.5 | ||||
Hardware | 0.5 | ||||
Retail—Consumer Staples | 0.5 | ||||
Telecommunications | 0.5 | ||||
Apparel & Textile Products | 0.4 | ||||
Banks | 0.4 | ||||
Casinos & Gaming | 0.4 | ||||
Communications Equipment | 0.4 | ||||
Specialty Finance | 0.4 | ||||
Waste & Environmental Service Equipment & Facility | 0.4 | ||||
Automotive | 0.3 | ||||
Consumer Services | 0.3 | ||||
Engineering & Construction Services | 0.3 | ||||
Machinery | 0.3 | ||||
Transportation & Logistics | 0.3 | ||||
Renewable Energy | 0.3 | ||||
Aerospace & Defense | 0.2 | ||||
Cable & Satellite | 0.2 | ||||
Industrial Services | 0.2 | ||||
Institutional Financial Service | 0.2 | ||||
Integrated Oils | 0.2 | ||||
Pipeline | 0.2 | ||||
Property & Casualty Insurance | 0.2 | ||||
Wireline Telecommunication Services | 0.2 | ||||
Automobiles Manufacturing | 0.1 | ||||
Commercial Finance | 0.1 | ||||
Consumer Finance | 0.1 | ||||
Construction Materials | 0.1 | ||||
Containers & Packaging | 0.1 | ||||
Design Manufacturing & Distribution | 0.1 | ||||
Entertainment Contents | 0.1 | ||||
Exploration & Production | 0.1 | ||||
Food & Beverage | 0.1 | ||||
Forest & Paper Products Manufacturing | 0.1 | ||||
Home & Office Products | 0.1 | ||||
Iron & Steel | 0.1 | ||||
Passenger Transportation | 0.1 | ||||
Power Generation | 0.1 | ||||
Recreation Facilities & Services | 0.1 | ||||
Refining & Marketing | 0.1 | ||||
Software & Services | 0.1 | ||||
Transportation Equipment | 0.1 | ||||
Construction Materials Manufacturing | 0.0 | 1 | |||
Distributors—Consumer Staples | 0.0 | 1 | |||
Distributors—Discretionary | 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, 2015 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Electrical Equipment Manufacturing | 0.0 | 1 | |||
Entertainment Resources | 0.0 | 1 | |||
Forest & Paper Products | 0.0 | 1 | |||
Home Improvement | 0.0 | 1 | |||
Industrial Other | 0.0 | 1 | |||
Leisure Products | 0.0 | 1 | |||
Manufactured Goods | 0.0 | 1 | |||
Metals & Mining | 0.0 | 1 | |||
Utilities | 0.0 | 1 | |||
Other2 | 47.2 | ||||
Securities Sold Short | (25.9 | ) | |||
Other Assets and Liabilities3 | 29.8 | ||||
|
| ||||
Total Investments | 100.0 | % | |||
|
|
1 | Represents less than 0.1%. |
2 | Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, Exchange-Traded Funds, Money Market Fund 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
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information
September 30, 2015 (Unaudited)
Geographic Breakdown | Percentage of Total Net Assets | ||||
United States | 54.6 | % | |||
Cayman Islands | 7.1 | ||||
Japan | 1.4 | ||||
United Kingdom | 1.3 | ||||
Netherlands | 0.7 | ||||
Ireland | 0.5 | ||||
Switzerland | 0.5 | ||||
China | 0.4 | ||||
Canada | 0.3 | ||||
Finland | 0.3 | ||||
France | 0.3 | ||||
Germany | 0.3 | ||||
Israel | 0.3 | ||||
Singapore | 0.3 | ||||
Bermuda | 0.2 | ||||
Belgium | 0.1 | ||||
Brazil | 0.1 | ||||
Greece | 0.1 | ||||
India | 0.1 | ||||
Italy | 0.1 | ||||
Luxembourg | 0.1 | ||||
Poland | 0.1 | ||||
Spain | 0.1 | ||||
Venezuela | 0.1 | ||||
Chile | 0.0 | 1 | |||
Cyprus | 0.0 | 1 | |||
Ecuador | 0.0 | 1 | |||
Hong Kong | 0.0 | 1 | |||
Norway | 0.0 | 1 | |||
Peru | 0.0 | 1 | |||
Puerto Rico | 0.0 | 1 | |||
Republic of Korea | 0.0 | 1 | |||
South Africa | 0.0 | 1 | |||
Sweden | 0.0 | 1 | |||
Taiwan | 0.0 | 1 | |||
Thailand | 0.0 | 1 | |||
United Arab Emirates | 0.0 | 1 | |||
Other 2 | 15.1 | ||||
Securities Sold Short | (22.8 | ) | |||
Other Assets and Liabilities3 | 38.3 | ||||
|
| ||||
Total | 100.0 | % | |||
|
|
1 | Represents less than 0.1%. |
2 | Includes Sovereign Debt, Exchange-Traded Funds, Money Market Fund 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, 2015 (Unaudited)
Portfolio Composition | Percentage of Total Net Assets | ||||
Common Stock | 36.7 | % | |||
Mortgage-Backed Securities | 18.3 | ||||
Short Term Investment—Money Market Fund | 11.0 | ||||
Asset-Backed Securities | 10.2 | ||||
Corporate Bonds & Notes | 3.2 | ||||
Sovereign Debt | 2.8 | ||||
Convertible Bonds | 0.5 | ||||
Exchange-Traded Funds | 0.5 | ||||
U.S. Government Sponsored Agency Securities | 0.4 | ||||
Bank Loans | 0.1 | ||||
Other1 | 0.8 | ||||
Securities Sold Short | (22.8 | ) | |||
Other Assets and Liabilities2 | 38.3 | ||||
|
| ||||
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 | 0.6 | % | |||
AA/Aa | 0.8 | ||||
A | 0.8 | ||||
BBB/Baa | 6.7 | ||||
BB/Ba | 7.4 | ||||
B | 6.1 | ||||
CCC/Caa | 3.8 | ||||
CC/Ca | 0.3 | ||||
D | 0.5 | ||||
Not Rated | 15.0 | ||||
Other5 | 58.0 | ||||
|
| ||||
Total Investments in Securities | 100.0 | % | |||
|
|
3 | Using the higher of 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, Exchange-Traded Funds, Money Market Fund and Purchased Options. |
Industry | Percentage of Total Net Assets | ||||
Biotechnology & Pharmaceuticals | 6.1 | % | |||
Media | 3.6 | ||||
Banking | 2.6 | ||||
Real Estate | 2.3 | ||||
Health Care Facilities/Services | 1.9 | ||||
Medical Equipment/Devices | 1.9 | ||||
Oil, Gas & Coal | 1.9 | ||||
Retail Discretionary | 1.9 | ||||
Insurance | 1.7 | ||||
Semiconductors | 1.5 | ||||
Asset Management | 1.4 | ||||
Software | 1.1 | ||||
Consumer Products | 1.0 | ||||
Electrical Equipment | 0.9 | ||||
Chemicals | 0.7 | ||||
Publishing & Broadcasting | 0.6 | ||||
Transportation & Logistics | 0.6 | ||||
Gaming, Lodging & Restaurants | 0.5 |
See Notes to Consolidated Financial Statements.
6
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2015 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Retail—Consumer Staples | 0.5 | ||||
Telecommunications | 0.5 | ||||
Apparel & Textile Products | 0.4 | ||||
Hardware | 0.4 | ||||
Technology Services | 0.4 | ||||
Waste & Environmental Service Equipment & Facility | 0.4 | ||||
Automotive | 0.3 | ||||
Commercial Services | 0.3 | ||||
Communications Equipment | 0.3 | ||||
Machinery | 0.3 | ||||
Renewable Energy | 0.3 | ||||
Retail—Consumer Discretionary | 0.3 | ||||
Specialty Finance | 0.3 | ||||
Wireless Telecommunication Services | 0.3 | ||||
Aerospace & Defense | 0.2 | ||||
Casinos & Gaming | 0.2 | ||||
Engineering & Construction Services | 0.2 | ||||
Integrated Oils | 0.2 | ||||
Pipeline | 0.2 | ||||
Property & Casualty Insurance | 0.2 | ||||
Wireline Telecommunication Services | 0.2 | ||||
Automobiles Manufacturing | 0.1 | ||||
Banks | 0.1 | ||||
Cable & Satellite | 0.1 | ||||
Construction Materials | 0.1 | ||||
Consumer Finance | 0.1 | ||||
Consumer Services | 0.1 | ||||
Containers & Packaging | 0.1 | ||||
Design Manufacturing & Distribution | 0.1 | ||||
Entertainment Contents | 0.1 | ||||
Financial Services | 0.1 | ||||
Food & Beverage | 0.1 | ||||
Home & Office Products | 0.1 | ||||
Industrial Services | 0.1 | ||||
Institutional Financial Service | 0.1 | ||||
Iron & Steel | 0.1 | ||||
Passenger Transportation | 0.1 | ||||
Recreation Facilities & Services | 0.1 | ||||
Software & Services | 0.1 | ||||
Transportation Equipment | 0.1 | ||||
Coal Operations | 0.0 | 1 | |||
Commercial Finance | 0.0 | 1 | |||
Construction Materials Manufacturing | 0.0 | 1 | |||
Distributors—Consumer Staples | 0.0 | 1 | |||
Distributors—Discretionary | 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, 2015 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Electrical Equipment Manufacturing | 0.0 | 1 | |||
Entertainment Resources | 0.0 | 1 | |||
Exploration & Production | 0.0 | 1 | |||
Forest & Paper Products | 0.0 | 1 | |||
Forest & Paper Products Manufacturing | 0.0 | 1 | |||
Home Improvement | 0.0 | 1 | |||
Industrial Other | 0.0 | 1 | |||
Leisure Products | 0.0 | 1 | |||
Manufactured Goods | 0.0 | 1 | |||
Metals & Mining | 0.0 | 1 | |||
Power Generation | 0.0 | 1 | |||
Refining & Marketing | 0.0 | 1 | |||
Utilities | 0.0 | 1 | |||
Other2 | 44.0 | ||||
Securities Sold Short | (22.8 | ) | |||
Other Assets and Liabilities3 | 38.3 | ||||
|
| ||||
Total Investments | 100.0 | % | |||
|
|
1 | Represents less than 0.1%. |
2 | Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, Exchange-Traded Funds, Money Market Fund 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, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
INVESTMENTS IN SECURITIES — 96.1% | ||||||||||
COMMON STOCK — 41.2% | ||||||||||
Bahamas — 0.0% | ||||||||||
Transportation & Logistics — 0.0% | ||||||||||
Ultrapetrol Bahamas Ltd. (a) | 1,300 | $ | 533 | |||||||
|
| |||||||||
Total Bahamas | 533 | |||||||||
|
| |||||||||
Belgium — 0.1% | ||||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
Galapagos NV (a),(b),(c) | 2,411 | 99,018 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Ageas | 31,635 | 1,300,084 | ||||||||
|
| |||||||||
Total Belgium | 1,399,102 | |||||||||
|
| |||||||||
Bermuda — 0.4% | ||||||||||
Insurance — 0.3% | ||||||||||
PartnerRe Ltd. (a) | 23,800 | 3,305,344 | ||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Global Sources Ltd. (a) | 1,485 | 12,341 | ||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Marvell Technology Group Ltd. | 58,700 | 531,235 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.1% | ||||||||||
Golar LNG Ltd. (c) | 22,781 | 635,134 | ||||||||
|
| |||||||||
Total Bermuda | 4,484,054 | |||||||||
|
| |||||||||
Brazil — 0.0% | ||||||||||
Retail—Consumer Staples — 0.0% | ||||||||||
Cia Brasileira de Distribuicao ADR | 1,100 | 13,794 | ||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
Cia Energetica de Minas Gerais ADR (d) | 35,900 | 63,902 | ||||||||
|
| |||||||||
Total Brazil | 77,696 | |||||||||
|
| |||||||||
Canada — 0.1% | ||||||||||
Asset Management — 0.0% | ||||||||||
Fairfax India Holdings Corp. (a),(e) | 38,400 | 426,240 | ||||||||
|
| |||||||||
Banking — 0.1% | ||||||||||
Canadian Imperial Bank of Commerce | 13,400 | 962,751 | ||||||||
National Bank of Canada | 20,200 | 644,826 | ||||||||
|
| |||||||||
1,607,577 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
9
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
Aeterna Zentaris, Inc. (a) | 25,000 | $ | 2,182 | |||||||
QLT, Inc. (a) | 9,400 | 25,004 | ||||||||
|
| |||||||||
27,186 | ||||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Mercer International, Inc. (d) | 6,600 | 66,198 | ||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Points International Ltd. (a) | 200 | 2,172 | ||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Dominion Diamond Corp. (d) | 1,300 | 13,884 | ||||||||
Fortuna Silver Mines, Inc. (a) | 3,500 | 7,630 | ||||||||
Kinross Gold Corp. (a),(d) | 4,300 | 7,396 | ||||||||
MFC Industrial Ltd. (d) | 800 | 2,288 | ||||||||
Nevsun Resources Ltd. | 10,800 | 31,320 | ||||||||
Taseko Mines Ltd. (a) | 1,200 | 486 | ||||||||
|
| |||||||||
63,004 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Advantage Oil & Gas Ltd. (a),(d) | 5,400 | 28,134 | ||||||||
CHC Group Ltd. (a) | 2,600 | 1,560 | ||||||||
Gran Tierra Energy, Inc. (a),(d) | 32,100 | 68,373 | ||||||||
TransGlobe Energy Corp. (d) | 2,100 | 5,544 | ||||||||
|
| |||||||||
103,611 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
Student Transportation, Inc. | 700 | 2,832 | ||||||||
|
| |||||||||
Renewable Energy — 0.0% | ||||||||||
Canadian Solar, Inc. (a),(c),(d) | 27,967 | 464,812 | ||||||||
|
| |||||||||
Total Canada |
| 2,763,632 | ||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
Chemicals — 0.0% | ||||||||||
Sociedad Quimica y Minera de Chile SA ADR | 4,500 | 65,430 | ||||||||
|
| |||||||||
Total Chile |
| 65,430 | ||||||||
|
| |||||||||
China — 0.5% | ||||||||||
Asset Management — 0.0% | ||||||||||
Noah Holdings Ltd. ADR (a) | 1,500 | 35,235 | ||||||||
|
| |||||||||
Automotive — 0.0% | ||||||||||
China Automotive Systems, Inc. (a),(d) | 2,600 | 13,832 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
10
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
China Biologic Products, Inc. (a) | 1,600 | $ | 143,712 | |||||||
Sinovac Biotech Ltd. (a) | 1,900 | 9,652 | ||||||||
|
| |||||||||
153,364 | ||||||||||
|
| |||||||||
Consumer Services — 0.1% | ||||||||||
New Oriental Education & Technology Group, Inc. ADR (d) | 33,000 | 666,930 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
China Life Insurance Co. Ltd. ADR | 13,500 | 234,630 | ||||||||
CNinsure, Inc. ADR (a),(d) | 4,200 | 32,130 | ||||||||
|
| |||||||||
266,760 | ||||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
Hollysys Automation Technologies Ltd. | 4,800 | 83,904 | ||||||||
|
| |||||||||
Media — 0.2% | ||||||||||
Baidu, Inc. ADR (a) | 14,632 | 2,010,583 | ||||||||
Sohu.com, Inc. (a),(d) | 16,300 | 673,190 | ||||||||
Xunlei Ltd. ADR (a) | 400 | 2,920 | ||||||||
Zhaopin Ltd. ADR (a),(d) | 40 | 516 | ||||||||
|
| |||||||||
2,687,209 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
China Southern Airlines Co. Ltd. ADR | 5,600 | 204,736 | ||||||||
Guangshen Railway Co. Ltd. ADR | 200 | 3,996 | ||||||||
|
| |||||||||
208,732 | ||||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
Xinyuan Real Estate Co. Ltd. ADR (d) | 9,900 | 28,017 | ||||||||
|
| |||||||||
Retail Discretionary — 0.2% | ||||||||||
Vipshop Holdings Ltd. ADR (a),(c) | 138,357 | 2,324,398 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
Changyou.com Ltd. ADR (a) | 300 | 5,340 | ||||||||
NetEase, Inc. ADR | 2,500 | 300,300 | ||||||||
|
| |||||||||
305,640 | ||||||||||
|
| |||||||||
Telecommunications — 0.0% | ||||||||||
China Telecom Corp. Ltd. ADR | 100 | 4,856 | ||||||||
|
| |||||||||
Total China | 6,778,877 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
11
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Cyprus — 0.0% | ||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Ocean Rig UDW, Inc. | 400 | $ | 852 | |||||||
|
| |||||||||
Total Cyprus | 852 | |||||||||
|
| |||||||||
France — 0.2% | ||||||||||
Asset Management — 0.1% | ||||||||||
Eurazeo SA | 11,366 | 757,025 | ||||||||
|
| |||||||||
Banking — 0.1% | ||||||||||
BNP Paribas SA | 10,455 | 615,528 | ||||||||
Credit Agricole SA | 46,827 | 539,106 | ||||||||
|
| |||||||||
1,154,634 | ||||||||||
|
| |||||||||
Total France | 1,911,659 | |||||||||
|
| |||||||||
Germany — 0.3% | ||||||||||
Health Care Facilities/Services — 0.3% | ||||||||||
Fresenius SE & Co. KGaA | 42,015 | 2,820,374 | ||||||||
|
| |||||||||
Total Germany | 2,820,374 | |||||||||
|
| |||||||||
Greece — 0.1% | ||||||||||
Banking — 0.0% | ||||||||||
Piraeus Bank SA (a) | 1,244,029 | 108,900 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Grivalia Properties REIC (a) | 61,750 | 549,338 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
Aegean Marine Petroleum Network, Inc. | 6,300 | 42,462 | ||||||||
Costamare, Inc. | 6,700 | 82,209 | ||||||||
Paragon Shipping, Inc. A Shares (a) | 400 | 132 | ||||||||
StealthGas, Inc. (a) | 2,100 | 9,429 | ||||||||
Tsakos Energy Navigation Ltd. | 14,500 | 117,885 | ||||||||
|
| |||||||||
252,117 | ||||||||||
|
| |||||||||
Total Greece | 910,355 | |||||||||
|
| |||||||||
Hong Kong — 0.1% | ||||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
China Cord Blood Corp. (a) | 1,000 | 6,020 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
AIA Group Ltd. | 114,000 | 592,885 | ||||||||
|
| |||||||||
Total Hong Kong | 598,905 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
12
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
India — 0.1% | ||||||||||
Automotive — 0.0% | ||||||||||
Tata Motors Ltd. ADR (a) | 3,500 | $ | 78,750 | |||||||
|
| |||||||||
Banking — 0.1% | ||||||||||
ICICI Bank Ltd. ADR | 131,183 | 1,099,313 | ||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Vedanta Ltd. ADR (d) | 20 | 104 | ||||||||
|
| |||||||||
Total India | 1,178,167 | |||||||||
|
| |||||||||
Ireland — 0.3% | ||||||||||
Biotechnology & Pharmaceuticals — 0.2% | ||||||||||
Prothena Corp. PLC (a) | 3,100 | 140,554 | ||||||||
Shire PLC ADR | 16,318 | 3,348,943 | ||||||||
|
| |||||||||
3,489,497 | ||||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
XL Group PLC | 20,064 | 728,725 | ||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Trinity Biotech PLC ADR | 1,700 | 19,448 | ||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Fly Leasing Ltd. ADR | 2,600 | 34,320 | ||||||||
|
| |||||||||
Total Ireland | 4,271,990 | |||||||||
|
| |||||||||
Israel — 0.2% | ||||||||||
Biotechnology & Pharmaceuticals — 0.2% | ||||||||||
Teva Pharmaceutical Industries Ltd. ADR | 43,283 | 2,443,758 | ||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
Orbotech Ltd. (a) | 12,300 | 190,035 | ||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
AudioCodes Ltd. (a) | 1,000 | 3,250 | ||||||||
Ceragon Networks Ltd. (a) | 100 | 156 | ||||||||
Radware Ltd. (a) | 1,400 | 22,764 | ||||||||
|
| |||||||||
26,170 | ||||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Syneron Medical Ltd. (a) | 8,000 | 57,200 | ||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
EZchip Semiconductor Ltd. (a) | 400 | 10,064 | ||||||||
Nova Measuring Instruments Ltd. (a) | 2,800 | 26,936 | ||||||||
|
| |||||||||
37,000 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
13
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Software — 0.0% | ||||||||||
Attunity Ltd. (a) | 400 | $ | 5,468 | |||||||
Check Point Software Technologies Ltd. (a),(b),(c) | 5,070 | 402,203 | ||||||||
Mind CTI Ltd. | 100 | 275 | ||||||||
Sapiens International Corp. NV | 800 | 9,216 | ||||||||
|
| |||||||||
417,162 | ||||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Magic Software Enterprises Ltd. | 1,200 | 6,516 | ||||||||
|
| |||||||||
Telecommunications — 0.0% | ||||||||||
Allot Communications Ltd. (a) | 300 | 1,473 | ||||||||
|
| |||||||||
Total Israel | 3,179,314 | |||||||||
|
| |||||||||
Italy — 0.1% | ||||||||||
Asset Management — 0.1% | ||||||||||
Anima Holding SpA (e) | 97,586 | 853,790 | ||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Cerved Information Solutions SpA | 93,734 | 692,536 | ||||||||
|
| |||||||||
Total Italy | 1,546,326 | |||||||||
|
| |||||||||
Japan — 1.5% | ||||||||||
Automotive — 0.1% | ||||||||||
Mazda Motor Corp. (c) | 66,300 | 1,047,626 | ||||||||
|
| |||||||||
Banking — 0.3% | ||||||||||
Mitsubishi UFJ Financial Group, Inc. (c) | 595,800 | 3,599,965 | ||||||||
|
| |||||||||
Chemicals — 0.1% | ||||||||||
Nitto Denko Corp. (c) | 34,300 | 2,054,320 | ||||||||
|
| |||||||||
Consumer Products — 0.1% | ||||||||||
Ajinomoto Co., Inc. | 55,000 | 1,159,840 | ||||||||
|
| |||||||||
Electrical Equipment — 0.2% | ||||||||||
Daikin Industries Ltd. (c) | 20,400 | 1,144,154 | ||||||||
SMC Corp. | 6,800 | 1,488,917 | ||||||||
|
| |||||||||
2,633,071 | ||||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Panasonic Corp. (c) | 2,100 | 21,252 | ||||||||
|
| |||||||||
Machinery — 0.2% | ||||||||||
Kubota Corp. (c) | 228,000 | 3,137,830 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
14
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — 0.3% | ||||||||||
Mitsubishi Estate Co. Ltd. (c) | 120,000 | $ | 2,451,300 | |||||||
Mitsui Fudosan Co. Ltd. | 52,000 | 1,425,392 | ||||||||
|
| |||||||||
3,876,692 | ||||||||||
|
| |||||||||
Semiconductors — 0.1% | ||||||||||
Tokyo Electron Ltd. (c) | 18,800 | 887,646 | ||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Orix Corp. ADR | 200 | 12,986 | ||||||||
|
| |||||||||
Telecommunications — 0.1% | ||||||||||
KDDI Corp. | 54,400 | 1,217,641 | ||||||||
|
| |||||||||
Total Japan | 19,648,869 | |||||||||
|
| |||||||||
Luxembourg — 0.0% | ||||||||||
Iron & Steel — 0.0% | ||||||||||
Ternium SA ADR (d) | 6,900 | 84,801 | ||||||||
|
| |||||||||
Total Luxembourg | 84,801 | |||||||||
|
| |||||||||
Netherlands — 0.8% | ||||||||||
Banking — 0.1% | ||||||||||
ING Groep NV CVA | 58,667 | 829,264 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
Aegon NV | 387 | 2,225 | ||||||||
|
| |||||||||
Media — 0.3% | ||||||||||
Altice NV (a) | 198,786 | 4,177,108 | ||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Royal Dutch Shell PLC ADR | 1,900 | 90,041 | ||||||||
|
| |||||||||
Semiconductors — 0.2% | ||||||||||
NXP Semiconductor NV (a),(b),(c) | 32,725 | 2,849,366 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
InterXion Holding NV (a) | 2,500 | 67,700 | ||||||||
|
| |||||||||
Specialty Finance — 0.2% | ||||||||||
AerCap Holdings NV (a) | 71,614 | 2,738,520 | ||||||||
|
| |||||||||
Total Netherlands | 10,754,224 | |||||||||
|
| |||||||||
Norway — 0.0% | ||||||||||
Transportation & Logistics — 0.0% | ||||||||||
Ship Finance International Ltd. | 6,800 | 110,500 | ||||||||
|
| |||||||||
Total Norway | 110,500 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
15
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Peru — 0.0% | ||||||||||
Banking — 0.0% | ||||||||||
Credicorp Ltd. | 100 | $ | 10,636 | |||||||
|
| |||||||||
Total Peru | 10,636 | |||||||||
|
| |||||||||
Poland — 0.0% | ||||||||||
Banking — 0.0% | ||||||||||
Alior Bank SA (a) | 27,126 | 566,115 | ||||||||
|
| |||||||||
Total Poland | 566,115 | |||||||||
|
| |||||||||
Puerto Rico — 0.0% | ||||||||||
Banking — 0.0% | ||||||||||
First BanCorp (a) | 14,700 | 52,332 | ||||||||
|
| |||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
Triple-S Management Corp. B Shares (a) | 2,700 | 48,087 | ||||||||
|
| |||||||||
Total Puerto Rico | 100,419 | |||||||||
|
| |||||||||
Republic of Korea — 0.0% | ||||||||||
Hardware — 0.0% | ||||||||||
LG Display Co. Ltd. ADR | 11,700 | 111,150 | ||||||||
|
| |||||||||
Total Republic of Korea | 111,150 | |||||||||
|
| |||||||||
Singapore — 0.4% | ||||||||||
Machinery — 0.0% | ||||||||||
China Yuchai International Ltd. | 3,102 | 38,372 | ||||||||
|
| |||||||||
Semiconductors — 0.4% | ||||||||||
Avago Technologies Ltd. (c) | 38,051 | 4,756,755 | ||||||||
Kulicke & Soffa Industries, Inc. (a),(d) | 12,400 | 113,832 | ||||||||
|
| |||||||||
4,870,587 | ||||||||||
|
| |||||||||
Total Singapore | 4,908,959 | |||||||||
|
| |||||||||
South Africa — 0.0% | ||||||||||
Metals & Mining — 0.0% | ||||||||||
Gold Fields Ltd. ADR (d) | 8,800 | 23,408 | ||||||||
Harmony Gold Mining Co. Ltd. ADR (d) | 12,200 | 7,357 | ||||||||
|
| |||||||||
30,765 | ||||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Net 1 UEPS Technologies, Inc. (a),(d) | 15,800 | 264,492 | ||||||||
|
| |||||||||
Total South Africa | 295,257 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
16
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Switzerland — 0.6% | ||||||||||
Asset Management — 0.4% | ||||||||||
Julius Baer Group Ltd. | 21,684 | $ | 984,713 | |||||||
UBS Group AG | 247,341 | 4,572,869 | ||||||||
|
| |||||||||
5,557,582 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.2% | ||||||||||
TE Connectivity Ltd. | 28,400 | 1,700,876 | ||||||||
|
| |||||||||
Total Switzerland | 7,258,458 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
Semiconductors — 0.0% | ||||||||||
Advanced Semiconductor Engineering, Inc. ADR | 200 | 1,098 | ||||||||
ChipMOS Technologies Bermuda Ltd. | 2,100 | 34,482 | ||||||||
Siliconware Precision Industries Co. Ltd. ADR | 3,257 | 20,470 | ||||||||
United Microelectronics Corp. ADR | 20,194 | 32,715 | ||||||||
|
| |||||||||
Total Taiwan | 88,765 | |||||||||
|
| |||||||||
Thailand — 0.0% | ||||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Fabrinet (a) | 3,100 | 56,823 | ||||||||
|
| |||||||||
Total Thailand | 56,823 | |||||||||
|
| |||||||||
United Arab Emirates — 0.0% | ||||||||||
Consumer Products — 0.0% | ||||||||||
Amira Nature Foods Ltd. (a) | 100 | 552 | ||||||||
|
| |||||||||
Total United Arab Emirates | 552 | |||||||||
|
| |||||||||
United Kingdom — 1.1% | ||||||||||
Asset Management — 0.1% | ||||||||||
Henderson Group PLC | 187,116 | 737,484 | ||||||||
Jupiter Fund Management PLC | 92,268 | 606,093 | ||||||||
|
| |||||||||
1,343,577 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
InterContinental Hotels Group PLC ADR | 9,200 | 318,596 | ||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Aviva PLC ADR | 124,707 | 852,941 | ||||||||
Prudential PLC ADR | 48 | 2,023 | ||||||||
|
| |||||||||
854,964 | ||||||||||
|
| |||||||||
Media — 0.8% | ||||||||||
Liberty Global PLC (a),(c) | 241,006 | 9,807,391 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
17
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Smith & Nephew PLC ADR | 400 | $ | 14,000 | |||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
BP PLC ADR | 2,800 | 85,568 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Kennedy Wilson Europe Real Estate PLC | 105,161 | 1,810,356 | ||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
Manchester United PLC Class A | 200 | 3,434 | ||||||||
|
| |||||||||
Total United Kingdom | 14,237,886 | |||||||||
|
| |||||||||
United States — 34.3% | ||||||||||
Aerospace & Defense — 0.2% | ||||||||||
Aerojet Rocketdyne Holdings (a),(d) | 3,200 | 51,776 | ||||||||
Boeing Co. | 100 | 13,095 | ||||||||
Ducommun, Inc. (a) | 200 | 4,014 | ||||||||
Esterline Technologies Corp. (a) | 100 | 7,189 | ||||||||
General Dynamics Corp. | 400 | 55,180 | ||||||||
Harris Corp. | 396 | 28,967 | ||||||||
HEICO Corp. | 100 | 4,888 | ||||||||
Huntington Ingalls Industries, Inc. (d) | 2,400 | 257,160 | ||||||||
Moog, Inc. Class A (a) | 300 | 16,221 | ||||||||
Orbital ATK, Inc. (d) | 1 | 72 | ||||||||
Smith & Wesson Holding Corp. (a) | 2,400 | 40,488 | ||||||||
Textron, Inc. | 2,300 | 86,572 | ||||||||
TransDigm Group, Inc. (a),(d) | 6,600 | 1,401,906 | ||||||||
United Technologies Corp. | 300 | 26,697 | ||||||||
|
| |||||||||
1,994,225 | ||||||||||
|
| |||||||||
Apparel & Textile Products — 0.4% | ||||||||||
Culp, Inc. | 3,200 | 102,624 | ||||||||
Deckers Outdoor Corp. (a),(b) | 2,000 | 116,120 | ||||||||
Fossil Group, Inc. (a) | 6,500 | 363,220 | ||||||||
Michael Kors Holdings Ltd. (a) | 3,000 | 126,720 | ||||||||
Movado Group, Inc. | 300 | 7,749 | ||||||||
NIKE, Inc. Class B | 27,200 | 3,344,784 | ||||||||
Perry Ellis International, Inc. (a),(d) | 4,500 | 98,820 | ||||||||
Ralph Lauren Corp. (b) | 200 | 23,632 | ||||||||
Skechers U.S.A., Inc. Class A (a) | 8,000 | 1,072,640 | ||||||||
Tumi Holdings, Inc. (a),(b) | 200 | 3,524 | ||||||||
Vince Holding Corp. (a),(d) | 11,700 | 40,131 | ||||||||
|
| |||||||||
5,299,964 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
18
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Asset Management — 0.9% | ||||||||||
Affiliated Managers Group, Inc. (a) | 100 | $ | 17,099 | |||||||
American Capital Ltd. (a) | 49,042 | 596,351 | ||||||||
Ameriprise Financial, Inc. | 1,600 | 174,608 | ||||||||
Apollo Investment Corp. | 4,600 | 25,208 | ||||||||
Ares Capital Corp. | 18,000 | 260,640 | ||||||||
BlackRock Kelso Capital Corp. | 27,600 | 244,536 | ||||||||
BlackRock, Inc. | 100 | 29,747 | ||||||||
Calamos Asset Management, Inc. Class A (d) | 5,300 | 50,244 | ||||||||
Capitala Finance Corp. | 5,900 | 76,523 | ||||||||
Charles Schwab Corp. (b),(c),(d) | 212,320 | 6,063,859 | ||||||||
Fidus Investment Corp. | 3,500 | 48,230 | ||||||||
Fifth Street Finance Corp. | 3,700 | 22,829 | ||||||||
Financial Engines, Inc. | 16,632 | 490,145 | ||||||||
Firsthand Technology Value Fund, Inc. | 600 | 5,106 | ||||||||
Franklin Resources, Inc. (b) | 2,800 | 104,328 | ||||||||
FS Investment Corp. | 300 | 2,796 | ||||||||
Garrison Capital, Inc. (d) | 3,500 | 47,915 | ||||||||
Gladstone Capital Corp. (d) | 5,600 | 45,528 | ||||||||
Gladstone Investment Corp. (d) | 12,400 | 87,296 | ||||||||
Golub Capital BDC, Inc. | 200 | 3,196 | ||||||||
Hercules Technology Growth Capital, Inc. | 3,000 | 30,330 | ||||||||
Horizon Technology Finance Corp. (d) | 5,800 | 52,490 | ||||||||
Invesco Ltd. | 41,352 | 1,291,423 | ||||||||
KCAP Financial, Inc. (d) | 12,900 | 58,179 | ||||||||
Legg Mason, Inc. | 16,500 | 686,565 | ||||||||
Manning & Napier, Inc. | 500 | 3,680 | ||||||||
Medallion Financial Corp. (d) | 11,200 | 84,896 | ||||||||
Monroe Capital Corp. | 200 | 2,780 | ||||||||
MVC Capital, Inc. | 2,100 | 17,241 | ||||||||
OHA Investment Corp. (d) | 3,200 | 13,536 | ||||||||
Oppenheimer Holdings, Inc. Class A | 400 | 8,004 | ||||||||
PennantPark Floating Rate Capital Ltd. | 7,646 | 91,293 | ||||||||
PennantPark Investment Corp. (d) | 29,400 | 190,218 | ||||||||
Prospect Capital Corp. | 2,400 | 17,112 | ||||||||
Solar Capital Ltd. (d) | 10,700 | 169,274 | ||||||||
Solar Senior Capital Ltd. (d) | 1,600 | 22,752 | ||||||||
Stellus Capital Investment Corp. (d) | 3,600 | 36,252 | ||||||||
THL Credit, Inc. | 8,000 | 87,360 | ||||||||
TICC Capital Corp. (d) | 24,300 | 163,053 | ||||||||
TPG Specialty Lending, Inc. | 1,300 | 21,359 | ||||||||
TriplePoint Venture Growth BDC Corp. | 4,800 | 48,672 | ||||||||
WhiteHorse Finance, Inc. | 2,353 | 27,389 | ||||||||
|
| |||||||||
11,520,042 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
19
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Automotive — 0.2% | ||||||||||
Goodyear Tire & Rubber Co. (d) | 36,000 | $ | 1,055,880 | |||||||
Johnson Controls, Inc. | 13,200 | 545,952 | ||||||||
Methode Electronics, Inc. | 2,700 | 86,130 | ||||||||
Modine Manufacturing Co. (a) | 900 | 7,083 | ||||||||
Remy International, Inc. | 6 | 175 | ||||||||
Superior Industries International, Inc. | 100 | 1,868 | ||||||||
Tenneco, Inc. (a),(d) | 3,300 | 147,741 | ||||||||
Tower International, Inc. (a),(d) | 4,200 | 99,792 | ||||||||
TriMas Corp. (a) | 100 | 1,635 | ||||||||
Visteon Corp. (a) | 200 | 20,248 | ||||||||
|
| |||||||||
1,966,504 | ||||||||||
|
| |||||||||
Banking — 2.3% | ||||||||||
Arrow Financial Corp. | 716 | 19,117 | ||||||||
Bancorp, Inc. (a) | 1,000 | 7,620 | ||||||||
Bank Mutual Corp. (d) | 4,200 | 32,256 | ||||||||
BankUnited, Inc. | 35,877 | 1,282,603 | ||||||||
BB&T Corp. | 1 | 36 | ||||||||
Beneficial Bancorp, Inc. (a),(d) | 1,562 | 20,712 | ||||||||
BNC Bancorp | 2,200 | 48,906 | ||||||||
Bridge Bancorp, Inc. | 100 | 2,671 | ||||||||
Bryn Mawr Bank Corp. | 200 | 6,214 | ||||||||
Cathay General Bancorp | 600 | 17,976 | ||||||||
Central Pacific Financial Corp. | 7,600 | 159,372 | ||||||||
Charter Financial Corp. | 900 | 11,412 | ||||||||
Chemical Financial Corp. (d) | 2,400 | 77,640 | ||||||||
Citigroup, Inc. (d) | 36,183 | 1,795,039 | ||||||||
Citizens Financial Group, Inc. (c) | 294,618 | 7,029,585 | ||||||||
City Holding Co. | 700 | 34,510 | ||||||||
CoBiz Financial, Inc. | 300 | 3,903 | ||||||||
Comerica, Inc. (d) | 43,433 | 1,785,096 | ||||||||
CU Bancorp (a) | 200 | 4,492 | ||||||||
Dime Community Bancshares, Inc. | 1,500 | 25,350 | ||||||||
East West Bancorp, Inc. | 6,300 | 242,046 | ||||||||
Enterprise Financial Services Corp. | 100 | 2,517 | ||||||||
EverBank Financial Corp. | 43,318 | 836,037 | ||||||||
Farmers Capital Bank Corp. (a) | 100 | 2,485 | ||||||||
FCB Financial Holdings, Inc. Class A (a) | 900 | 29,358 | ||||||||
Fidelity Southern Corp. | 2,700 | 57,078 | ||||||||
First Bancorp/Southern Pines | 700 | 11,900 | ||||||||
First Busey Corp. | 500 | 9,935 | ||||||||
First Business Financial Services, Inc. | 400 | 9,408 | ||||||||
First Citizens BancShares, Inc. Class A (d) | 3,635 | 821,510 | ||||||||
First Community Bancshares, Inc. | 1,400 | 25,060 | ||||||||
First Connecticut Bancorp, Inc./Farmington | 100 | 1,612 |
See Notes to Consolidated Financial Statements.
20
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
First Defiance Financial Corp. | 400 | $ | 14,624 | |||||||
First Financial Corp. | 100 | 3,235 | ||||||||
First Financial Northwest, Inc. | 1,300 | 15,717 | ||||||||
First Interstate BancSystem, Inc. Class A | 5,100 | 141,984 | ||||||||
First Niagara Financial Group, Inc. | 135,900 | 1,387,539 | ||||||||
First Republic Bank (d) | 15,087 | 947,011 | ||||||||
FirstMerit Corp. | 2,300 | 40,641 | ||||||||
Glacier Bancorp, Inc. | 100 | 2,639 | ||||||||
Great Western Bancorp, Inc. | 9,000 | 228,330 | ||||||||
Guaranty Bancorp | 400 | 6,588 | ||||||||
Heartland Financial USA, Inc. | 200 | 7,258 | ||||||||
Heritage Commerce Corp. | 1,000 | 11,340 | ||||||||
Independent Bank Corp. (d) | 3,800 | 56,088 | ||||||||
Independent Bank Group, Inc. | 400 | 15,372 | ||||||||
Investors Bancorp, Inc. | 10 | 123 | ||||||||
KeyCorp | 1,500 | 19,515 | ||||||||
Lakeland Bancorp, Inc. | 100 | 1,111 | ||||||||
Macatawa Bank Corp. | 100 | 518 | ||||||||
Mercantile Bank Corp. | 1,200 | 24,936 | ||||||||
National Bankshares, Inc. | 100 | 3,111 | ||||||||
NewBridge Bancorp | 200 | 1,706 | ||||||||
Northrim BanCorp, Inc. | 800 | 23,144 | ||||||||
Oritani Financial Corp. (d) | 100 | 1,562 | ||||||||
Pacific Continental Corp. | 100 | 1,331 | ||||||||
Pacific Premier Bancorp, Inc. (a) | 3,800 | 77,216 | ||||||||
PacWest Bancorp | 43 | 1,841 | ||||||||
Park Sterling Corp. | 600 | 4,080 | ||||||||
Peoples Bancorp, Inc. | 100 | 2,079 | ||||||||
PNC Financial Services Group, Inc. (d) | 30,875 | 2,754,050 | ||||||||
Preferred Bank | 700 | 22,120 | ||||||||
PrivateBancorp, Inc. | 300 | 11,499 | ||||||||
S&T Bancorp, Inc. | 400 | 13,048 | ||||||||
Southwest Bancorp, Inc. | 2,300 | 37,743 | ||||||||
Square 1 Financial, Inc. (a) | 700 | 17,973 | ||||||||
Stonegate Bank | 300 | 9,543 | ||||||||
SunTrust Banks, Inc. | 6,300 | 240,912 | ||||||||
SVB Financial Group (a) | 600 | 69,324 | ||||||||
Talmer Bancorp, Inc. Class A (d) | 51,032 | 849,683 | ||||||||
Territorial Bancorp, Inc. (d) | 1,000 | 26,040 | ||||||||
Towne Bank | 40 | 754 | ||||||||
Trico Bancshares | 1,100 | 27,027 | ||||||||
TriState Capital Holdings, Inc. (a),(d) | 2,900 | 36,163 | ||||||||
Triumph Bancorp, Inc. (a) | 1,000 | 16,800 | ||||||||
TrustCo Bank Corp. | 700 | 4,088 | ||||||||
Umpqua Holdings Corp. | 35 | 571 | ||||||||
Union Bankshares Corp. (d) | 38 | 912 |
See Notes to Consolidated Financial Statements.
21
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
United Community Financial Corp. | 200 | $ | 1,000 | |||||||
United Financial Bancorp, Inc. | 20 | 261 | ||||||||
Univest Corp. of Pennsylvania | 1,100 | 21,142 | ||||||||
US Bancorp | 2,200 | 90,222 | ||||||||
Valley National Bancorp | 12 | 118 | ||||||||
Wells Fargo & Co. | 155,950 | 8,008,032 | ||||||||
WesBanco, Inc. | 1,000 | 31,450 | ||||||||
Western Alliance Bancorp (a) | 100 | 3,071 | ||||||||
Wilshire Bancorp, Inc. | 2,500 | 26,275 | ||||||||
WSFS Financial Corp. | 100 | 2,881 | ||||||||
|
| |||||||||
29,776,797 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 6.4% | ||||||||||
AbbVie, Inc. | 71,900 | 3,912,079 | ||||||||
Aceto Corp. | 500 | 13,725 | ||||||||
Adamas Pharmaceuticals, Inc. (a) | 400 | 6,696 | ||||||||
Albany Molecular Research, Inc. (a) | 600 | 10,452 | ||||||||
Alexion Pharmaceuticals, Inc. (a),(b) | 36,619 | 5,726,846 | ||||||||
Allergan PLC (a),(b) | 51,019 | 13,867,474 | ||||||||
Amgen, Inc. (d) | 5,300 | 733,096 | ||||||||
Amphastar Pharmaceuticals, Inc. (a) | 3,900 | 45,591 | ||||||||
Anacor Pharmaceuticals, Inc. (a) | 5,700 | 670,947 | ||||||||
Anika Therapeutics, Inc. (a) | 500 | 15,915 | ||||||||
ArQule, Inc. (a) | 3,000 | 5,610 | ||||||||
Array BioPharma, Inc. (a) | 14,000 | 63,840 | ||||||||
Avalanche Biotechnologies, Inc. (a) | 700 | 5,768 | ||||||||
Baxalta, Inc. (b),(c),(d) | 100,238 | 3,158,499 | ||||||||
Biogen Idec, Inc. (a),(b) | 915 | 267,006 | ||||||||
BioMarin Pharmaceutical, Inc. (a) | 4,000 | 421,280 | ||||||||
BioSpecifics Technologies Corp. (a) | 400 | 17,416 | ||||||||
Cambrex Corp. (a),(d) | 7,500 | 297,600 | ||||||||
Cara Therapeutics, Inc. (a) | 300 | 4,287 | ||||||||
Celgene Corp. (a),(b) | 1,400 | 151,438 | ||||||||
Celladon Corp. (a) | 6,400 | 6,720 | ||||||||
Corcept Therapeutics, Inc. (a) | 11,900 | 44,744 | ||||||||
Cytokinetics, Inc. (a) | 300 | 2,007 | ||||||||
Depomed, Inc. (a),(d) | 1,700 | 32,045 | ||||||||
Dyax Corp. (a),(d) | 20,400 | 389,436 | ||||||||
Eagle Pharmaceuticals, Inc. (a) | 800 | 59,224 | ||||||||
Eli Lilly & Co. (b),(c),(d) | 55,900 | 4,678,271 | ||||||||
Emergent Biosolutions, Inc. (a) | 1,900 | 54,131 | ||||||||
Endo International PLC (a),(b),(c) | 49,638 | 3,438,921 | ||||||||
Exelixis, Inc. (a) | 15,300 | 85,833 | ||||||||
Gilead Sciences, Inc. (b),(c),(d) | 45,795 | 4,496,611 | ||||||||
Halozyme Therapeutics, Inc. (a) | 700 | 9,401 | ||||||||
Incyte Corp. (a),(d) | 38,100 | 4,203,573 |
See Notes to Consolidated Financial Statements.
22
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Inotek Pharmaceuticals Corp. (a) | 1,500 | $ | 14,100 | |||||||
Insys Therapeutics, Inc. (a) | 600 | 17,076 | ||||||||
Isis Pharmaceuticals, Inc. (a),(b) | 13,600 | 549,712 | ||||||||
Mallinckrodt PLC (a),(c) | 92,001 | 5,882,544 | ||||||||
Medivation, Inc. (a),(b),(c),(d) | 111,400 | 4,734,500 | ||||||||
Merck & Co., Inc. | 9,900 | 488,961 | ||||||||
Merrimack Pharmaceuticals, Inc. (a) | 4,500 | 38,295 | ||||||||
Momenta Pharmaceuticals, Inc. (a) | 2,700 | 44,307 | ||||||||
Neurocrine Biosciences, Inc. (a) | 600 | 23,874 | ||||||||
Novavax, Inc. (a) | 700 | 4,949 | ||||||||
Omega Protein Corp. (a),(d) | 1,400 | 23,758 | ||||||||
PDL BioPharma, Inc. | 17,900 | 90,037 | ||||||||
Perrigo Co. PLC | 44 | 6,920 | ||||||||
Pfizer, Inc. (b),(c) | 186,700 | 5,864,247 | ||||||||
Phibro Animal Health Corp. Class A | 6,500 | 205,595 | ||||||||
Pozen, Inc. (a),(d) | 4,800 | 28,008 | ||||||||
Radius Health, Inc. (a) | 4,100 | 284,171 | ||||||||
Regeneron Pharmaceuticals, Inc. (a),(b) | 6,400 | 2,976,896 | ||||||||
Repligen Corp. (a) | 100 | 2,785 | ||||||||
Retrophin, Inc. (a) | 10,200 | 206,652 | ||||||||
Rigel Pharmaceuticals, Inc. (a),(d) | 9,500 | 23,465 | ||||||||
SciClone Pharmaceuticals, Inc. (a),(d) | 5,200 | 36,088 | ||||||||
Sucampo Pharmaceuticals, Inc. Class A (a) | 4,000 | 79,480 | ||||||||
Tetraphase Pharmaceuticals, Inc. (a) | 4,700 | 35,062 | ||||||||
Trevena, Inc. (a) | 2,100 | 21,735 | ||||||||
Ultragenyx Pharmaceutical, Inc. (a) | 5,400 | 520,074 | ||||||||
USANA Health Sciences, Inc. (a) | 900 | 120,627 | ||||||||
Valeant Pharmaceuticals International, Inc. (a),(b) | 45,761 | 8,162,847 | ||||||||
Vertex Pharmaceuticals, Inc. (a),(b),(d) | 50,800 | 5,290,312 | ||||||||
Vical, Inc. (a) | 4,800 | 2,208 | ||||||||
Vital Therapies, Inc. (a) | 800 | 3,232 | ||||||||
Xencor, Inc. (a) | 800 | 9,784 | ||||||||
XOMA Corp. (a),(d) | 83,700 | 62,917 | ||||||||
|
| |||||||||
82,751,700 | ||||||||||
|
| |||||||||
Chemicals — 0.7% | ||||||||||
Air Products & Chemicals, Inc. (d) | 9,300 | 1,186,494 | ||||||||
Axiall Corp. | 300 | 4,707 | ||||||||
Celanese Corp. | 800 | 47,336 | ||||||||
Chemours Co. (The) | 4,700 | 30,409 | ||||||||
Dow Chemical Co. | 17,800 | 754,720 | ||||||||
EI du Pont de Nemours & Co. (d) | 63,400 | 3,055,880 | ||||||||
FutureFuel Corp. | 800 | 7,904 | ||||||||
Innophos Holdings, Inc. | 300 | 11,892 | ||||||||
Intrepid Potash, Inc. (a),(d) | 4,400 | 24,376 | ||||||||
KMG Chemicals, Inc. | 2,400 | 46,296 |
See Notes to Consolidated Financial Statements.
23
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Lydall, Inc. (a) | 500 | $ | 14,245 | |||||||
LyondellBasell Industries NV Class A | 10,600 | 883,616 | ||||||||
Monsanto Co. | 900 | 76,806 | ||||||||
OMNOVA Solutions, Inc. (a),(d) | 1,700 | 9,418 | ||||||||
Orion Engineered Carbons SA | 1,500 | 21,675 | ||||||||
PPG Industries, Inc. (b) | 14,700 | 1,289,043 | ||||||||
Sherwin-Williams Co. | 4,000 | 891,120 | ||||||||
Stepan Co. | 2,000 | 83,220 | ||||||||
Trinseo SA (a) | 2,800 | 70,700 | ||||||||
|
| |||||||||
8,509,857 | ||||||||||
|
| |||||||||
Commercial Services — 0.5% | ||||||||||
AMN Healthcare Services, Inc. (a) | 19,500 | 585,195 | ||||||||
ARC Document Solutions, Inc. (a),(d) | 4,200 | 24,990 | ||||||||
CBIZ, Inc. (a) | 4,200 | 41,244 | ||||||||
CDI Corp. (d) | 700 | 5,985 | ||||||||
Collectors Universe, Inc. (d) | 1,200 | 18,096 | ||||||||
Computer Task Group, Inc. (d) | 3,200 | 19,808 | ||||||||
CorVel Corp. (a) | 200 | 6,460 | ||||||||
CRA International, Inc. (a) | 2,900 | 62,582 | ||||||||
Cross Country Healthcare, Inc. (a) | 800 | 10,888 | ||||||||
CTPartners Executive Search, Inc. (a),(f) | 300 | — | ||||||||
Ennis, Inc. | 1,400 | 24,304 | ||||||||
Franklin Covey Co. (a) | 200 | 3,212 | ||||||||
Hackett Group, Inc. (d) | 2,800 | 38,500 | ||||||||
Heidrick & Struggles International, Inc. | 500 | 9,725 | ||||||||
Hill International, Inc. (a) | 100 | 328 | ||||||||
Information Services Group, Inc. | 500 | 1,955 | ||||||||
Insperity, Inc. (d) | 4,300 | 188,899 | ||||||||
KAR Auction Services, Inc. | 1,500 | 53,250 | ||||||||
Kforce, Inc. | 500 | 13,140 | ||||||||
Manpowergroup, Inc. | 100 | 8,189 | ||||||||
Multi-Color Corp. | 100 | 7,649 | ||||||||
Navigant Consulting, Inc. (a),(d) | 11,200 | 178,192 | ||||||||
PRGX Global, Inc. (a),(d) | 7,100 | 26,767 | ||||||||
Quad/Graphics, Inc. | 8,600 | 104,060 | ||||||||
Resources Connection, Inc. | 300 | 4,521 | ||||||||
Robert Half International, Inc. | 700 | 35,812 | ||||||||
RPX Corp. (a),(d) | 8,200 | 112,504 | ||||||||
RR Donnelley & Sons Co. | 10,300 | 149,968 | ||||||||
ServiceMaster Global Holdings, Inc. (a),(d) | 40,900 | 1,372,195 | ||||||||
SP Plus Corp. (a) | 100 | 2,315 | ||||||||
Towers Watson & Co. Class A (a),(d) | 32,100 | 3,767,898 | ||||||||
|
| |||||||||
6,878,631 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
24
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Construction Materials — 0.1% | ||||||||||
Apogee Enterprises, Inc. | 3,400 | $ | 151,810 | |||||||
Continental Building Products, Inc. (a) | 8,200 | 168,428 | ||||||||
Eagle Materials, Inc. | 1,300 | 88,946 | ||||||||
Headwaters, Inc. (a),(d) | 10,800 | 203,040 | ||||||||
Patrick Industries, Inc. (a) | 4,800 | 189,552 | ||||||||
Universal Forest Products, Inc. | 800 | 46,144 | ||||||||
US Concrete, Inc. (a),(d) | 8,800 | 420,552 | ||||||||
|
| |||||||||
1,268,472 | ||||||||||
|
| |||||||||
Consumer Products — 0.8% | ||||||||||
Altria Group, Inc. | 5,100 | 277,440 | ||||||||
Archer-Daniels-Midland Co. | 1,600 | 66,320 | ||||||||
B&G Foods, Inc. | 100 | 3,645 | ||||||||
Boston Beer Co., Inc. Class A (a),(b) | 700 | 147,427 | ||||||||
Cal-Maine Foods, Inc. | 500 | 27,305 | ||||||||
Central Garden and Pet Co. Class A (a) | 2,000 | 32,220 | ||||||||
Colgate-Palmolive Co. | 3,000 | 190,380 | ||||||||
Constellation Brands, Inc. Class A | 4,900 | 613,529 | ||||||||
Coty, Inc. Class A (d) | 60,600 | 1,639,836 | ||||||||
Female Health Co. (a) | 1,000 | 1,580 | ||||||||
Herbalife Ltd. (a) | 300 | 16,350 | ||||||||
Inventure Foods, Inc. (a),(d) | 500 | 4,440 | ||||||||
JM Smucker Co. | 400 | 45,636 | ||||||||
John B. Sanfilippo & Son, Inc. | 1,700 | 87,142 | ||||||||
Kraft Heinz Co. (c),(d) | 51,350 | 3,624,283 | ||||||||
Mead Johnson Nutrition Co. (b),(d) | 31,440 | 2,213,376 | ||||||||
Nu Skin Enterprises, Inc. | 2,200 | 90,816 | ||||||||
Philip Morris International, Inc. | 7,100 | 563,243 | ||||||||
Pilgrim’s Pride Corp. | 1,600 | 33,248 | ||||||||
Post Holdings, Inc. (a) | 5,400 | 319,140 | ||||||||
Revlon, Inc. Class A (a) | 600 | 17,670 | ||||||||
Senomyx, Inc. (a) | 100 | 446 | ||||||||
Vector Group Ltd. (d) | 6,182 | 139,782 | ||||||||
|
| |||||||||
10,155,254 | ||||||||||
|
| |||||||||
Consumer Services — 0.1% | ||||||||||
American Public Education, Inc. (a) | 4,900 | 114,905 | ||||||||
Apollo Education Group, Inc. (a) | 60,000 | 663,600 | ||||||||
Bridgepoint Education, Inc. (a),(d) | 3,700 | 28,194 | ||||||||
Capella Education Co. | 3,600 | 178,272 | ||||||||
Career Education Corp. (a) | 600 | 2,256 | ||||||||
Carriage Services, Inc. (d) | 1,700 | 36,703 | ||||||||
DeVry Education Group, Inc. | 6,000 | 163,260 | ||||||||
K12, Inc. (a) | 1,200 | 14,928 |
See Notes to Consolidated Financial Statements.
25
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Medifast, Inc. (a) | 500 | $ | 13,430 | |||||||
Universal Technical Institute, Inc. | 2,300 | 8,073 | ||||||||
|
| |||||||||
1,223,621 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.1% | ||||||||||
3M Co. | 100 | 14,177 | ||||||||
Ball Corp. | 200 | 12,440 | ||||||||
Berry Plastics Group, Inc. (a),(d) | 57,600 | 1,732,032 | ||||||||
Greif, Inc. Class A | 200 | 6,382 | ||||||||
Myers Industries, Inc. | 100 | 1,340 | ||||||||
|
| |||||||||
1,766,371 | ||||||||||
|
| |||||||||
Design Manufacturing & Distribution — 0.1% | ||||||||||
Arrow Electronics, Inc. (a) | 1,600 | 88,448 | ||||||||
Avnet, Inc. | 1,400 | 59,752 | ||||||||
Benchmark Electronics, Inc. (a),(d) | 2,200 | 47,872 | ||||||||
Flextronics International Ltd. (a),(b) | 85,700 | 903,278 | ||||||||
Sanmina Corp. (a),(b),(d) | 6,700 | 143,179 | ||||||||
|
| |||||||||
1,242,529 | ||||||||||
|
| |||||||||
Distributors—Consumer Staples — 0.0% | ||||||||||
Andersons, Inc. | 900 | 30,654 | ||||||||
|
| |||||||||
Distributors—Discretionary — 0.0% | ||||||||||
Bassett Furniture Industries, Inc. | 800 | 22,280 | ||||||||
Ingram Micro, Inc. Class A | 2,800 | 76,272 | ||||||||
Insight Enterprises, Inc. (a),(d) | 3,500 | 90,475 | ||||||||
ScanSource, Inc. (a),(d) | 2,500 | 88,650 | ||||||||
Speed Commerce, Inc. (a) | 9,100 | 1,765 | ||||||||
SYNNEX Corp. | 200 | 17,012 | ||||||||
Tech Data Corp. (a) | 100 | 6,850 | ||||||||
|
| |||||||||
303,304 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.6% | ||||||||||
Acuity Brands, Inc. | 1,900 | 333,602 | ||||||||
Allegion PLC | 21,200 | 1,222,392 | ||||||||
American Science & Engineering, Inc. | 400 | 14,224 | ||||||||
AO Smith Corp. | 1,000 | 65,190 | ||||||||
Argan, Inc. (d) | 1,400 | 48,552 | ||||||||
Belden, Inc. (b),(c) | 4,445 | 207,537 | ||||||||
Checkpoint Systems, Inc. (d) | 5,900 | 42,775 | ||||||||
Eaton Corp. PLC (b) | 62,900 | 3,226,770 | ||||||||
Emerson Electric Co. | 3,800 | 167,846 | ||||||||
FARO Technologies, Inc. (a) | 500 | 17,500 | ||||||||
Global Power Equipment Group, Inc. | 400 | 1,468 | ||||||||
Houston Wire & Cable Co. | 7,200 | 45,648 |
See Notes to Consolidated Financial Statements.
26
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Hubbell, Inc. Class B | 800 | $ | 67,960 | |||||||
Ingersoll-Rand PLC | 36,134 | 1,834,523 | ||||||||
Keysight Technologies, Inc. (a) | 2,600 | 80,184 | ||||||||
Lennox International, Inc. (b),(c) | 4,530 | 513,385 | ||||||||
Littelfuse, Inc. (b),(c) | 3,615 | 329,507 | ||||||||
LSI Industries, Inc. | 1,900 | 16,036 | ||||||||
OSI Systems, Inc. (a) | 300 | 23,088 | ||||||||
Powell Industries, Inc. | 100 | 3,010 | ||||||||
Rockwell Automation, Inc. | 100 | 10,147 | ||||||||
|
| |||||||||
8,271,344 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.3% | ||||||||||
AECOM Technology Corp. (a),(d) | 32 | 880 | ||||||||
Comfort Systems USA, Inc. (d) | 11,600 | 316,216 | ||||||||
Dycom Industries, Inc. (a),(d) | 8,000 | 578,880 | ||||||||
Fluor Corp. (d) | 22,200 | 940,170 | ||||||||
Great Lakes Dredge & Dock Corp. (a) | 1,900 | 9,576 | ||||||||
Jacobs Engineering Group, Inc. (a),(d) | 18,200 | 681,226 | ||||||||
MasTec, Inc. (a) | 600 | 9,498 | ||||||||
Mistras Group, Inc. (a),(d) | 500 | 6,425 | ||||||||
MYR Group, Inc. (a) | 3,300 | 86,460 | ||||||||
Orion Marine Group, Inc. (a) | 7,000 | 41,860 | ||||||||
Quanta Services, Inc. (a),(d) | 37,800 | 915,138 | ||||||||
SBA Communications Corp. Class A (a),(b),(c),(d) | 4,555 | 477,091 | ||||||||
Team, Inc. (a) | 1,200 | 38,544 | ||||||||
TopBuild Corp. (a) | 1,500 | 46,455 | ||||||||
TRC Cos., Inc. (a) | 100 | 1,183 | ||||||||
Tutor Perini Corp. (a),(d) | 100 | 1,646 | ||||||||
|
| |||||||||
4,151,248 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.6% | ||||||||||
BJ’s Restaurants, Inc. (a) | 10,800 | 464,724 | ||||||||
Bravo Brio Restaurant Group, Inc. (a) | 5,000 | 56,350 | ||||||||
Caesars Acquisition Co. Class A (a) | 3,800 | 26,980 | ||||||||
Caesars Entertainment Corp. (a) | 5,100 | 30,039 | ||||||||
Carnival Corp. | 1,000 | 49,700 | ||||||||
Carrols Restaurant Group, Inc. (a) | 4,800 | 57,120 | ||||||||
Churchill Downs, Inc. | 3,200 | 428,192 | ||||||||
Chuy’s Holdings, Inc. (a) | 300 | 8,520 | ||||||||
Cracker Barrel Old Country Store, Inc. (d) | 1,100 | 162,008 | ||||||||
Dave & Buster’s Entertainment, Inc. (a) | 9,300 | 351,819 | ||||||||
Del Frisco’s Restaurant Group, Inc. (a) | 2,700 | 37,503 | ||||||||
Denny’s Corp. (a),(d) | 35,400 | 390,462 | ||||||||
Domino’s Pizza, Inc. (d) | 12,400 | 1,338,084 | ||||||||
Hyatt Hotels Corp. Class A (a),(d) | 2,600 | 122,460 | ||||||||
Isle of Capri Casinos, Inc. (a),(d) | 25,600 | 446,464 |
See Notes to Consolidated Financial Statements.
27
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
La Quinta Holdings, Inc. (a) | 10,200 | $ | 160,956 | |||||||
Marriott International, Inc. Class A | 5,300 | 361,460 | ||||||||
Monarch Casino & Resort, Inc. (a) | 1,400 | 25,158 | ||||||||
Nathan’s Famous, Inc. | 600 | 22,812 | ||||||||
Penn National Gaming, Inc. (a),(d) | 27,500 | 461,450 | ||||||||
Popeyes Louisiana Kitchen, Inc. (a) | 800 | 45,088 | ||||||||
Royal Caribbean Cruises Ltd. (b),(c) | 6,135 | 546,567 | ||||||||
Ruth’s Hospitality Group, Inc. (d) | 1,400 | 22,736 | ||||||||
Sonic Corp. (b),(c) | 12,000 | 275,400 | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 35,872 | 2,384,771 | ||||||||
|
| |||||||||
8,276,823 | ||||||||||
|
| |||||||||
Hardware — 0.3% | ||||||||||
Ciena Corp. (a),(b),(c) | 5,625 | 116,550 | ||||||||
Clearfield, Inc. (a) | 600 | 8,058 | ||||||||
CommScope Holding Co., Inc. (a),(d) | 17,400 | 522,522 | ||||||||
Comtech Telecommunications Corp. (d) | 3,100 | 63,891 | ||||||||
Cray, Inc. (a) | 1,500 | 29,715 | ||||||||
Daktronics, Inc. (d) | 1,300 | 11,271 | ||||||||
Datalink Corp. (a) | 3,700 | 22,089 | ||||||||
Dolby Laboratories, Inc. Class A (d) | 10,900 | 355,340 | ||||||||
Electronics For Imaging, Inc. (a),(b) | 4,300 | 186,104 | ||||||||
EMC Corp. | 8,000 | 193,280 | ||||||||
Emcore Corp. (a) | 19,300 | 131,240 | ||||||||
F5 Networks, Inc. (a) | 1,900 | 220,020 | ||||||||
Finisar Corp. (a) | 500 | 5,565 | ||||||||
Hewlett-Packard Co. (b) | 12,900 | 330,369 | ||||||||
Hutchinson Technology, Inc. (a) | 5,000 | 8,000 | ||||||||
Imation Corp. (a) | 1,700 | 3,621 | ||||||||
Immersion Corp. (a) | 4,200 | 47,166 | ||||||||
Imprivata, Inc. (a) | 4,500 | 79,965 | ||||||||
Infinera Corp. (a) | 400 | 7,824 | ||||||||
KVH Industries, Inc. (a) | 600 | 6,000 | ||||||||
Mercury Systems, Inc. (a),(d) | 5,700 | 90,687 | ||||||||
Multi-Fineline Electronix, Inc. (a) | 2,500 | 41,750 | ||||||||
NETGEAR, Inc. (a) | 1,700 | 49,589 | ||||||||
Rovi Corp. (a) | 21,200 | 222,388 | ||||||||
ShoreTel, Inc. (a),(d) | 11,000 | 82,170 | ||||||||
Skullcandy, Inc. (a),(d) | 1,700 | 9,401 | ||||||||
Super Micro Computer, Inc. (a) | 1,500 | 40,890 | ||||||||
Telenav, Inc. (a),(d) | 2,200 | 17,182 | ||||||||
TTM Technologies, Inc. (a) | 5,700 | 35,511 | ||||||||
Viavi Solutions, Inc. (a) | 1,800 | 9,666 | ||||||||
Vicor Corp. (a) | 700 | 7,140 | ||||||||
Vishay Precision Group, Inc. (a) | 2,300 | 26,657 | ||||||||
Vocera Communications, Inc. (a) | 500 | 5,705 |
See Notes to Consolidated Financial Statements.
28
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
VOXX International Corp. (a),(d) | 1,700 | $ | 12,614 | |||||||
Western Digital Corp. (d) | 10,700 | 850,008 | ||||||||
|
| |||||||||
3,849,948 | ||||||||||
|
| |||||||||
Health Care Facilities/Services — 1.8% | ||||||||||
Addus HomeCare Corp. (a) | 1,800 | 56,070 | ||||||||
Adeptus Health, Inc. Class A (a) | 500 | 40,380 | ||||||||
Aetna, Inc. (b),(c) | 32,620 | 3,568,954 | ||||||||
Alliance HealthCare Services, Inc. (a) | 1,100 | 10,736 | ||||||||
Almost Family, Inc. (a) | 1,200 | 48,060 | ||||||||
Amedisys, Inc. (a),(d) | 3,700 | 140,489 | ||||||||
Brookdale Senior Living, Inc. (a),(b),(c),(d) | 210,530 | 4,833,769 | ||||||||
Centene Corp. (a) | 4,600 | 249,458 | ||||||||
Digirad Corp. (d) | 2,000 | 7,480 | ||||||||
Envision Healthcare Holdings, Inc. (a) | 4,400 | 161,876 | ||||||||
Five Star Quality Care, Inc. (a),(d) | 3,100 | 9,579 | ||||||||
HCA Holdings, Inc. (a),(b),(d) | 29,840 | 2,308,422 | ||||||||
Health Net, Inc. (a),(d) | 10,200 | 614,244 | ||||||||
Healthways, Inc. (a) | 2,900 | 32,248 | ||||||||
Inc. Research Holdings, Inc. Class A (a) | 1,000 | 40,000 | ||||||||
Kindred Healthcare, Inc. (b) | 4,232 | 66,654 | ||||||||
Laboratory Corp. of America Holdings (a),(b),(c) | 31,340 | 3,399,450 | ||||||||
LHC Group, Inc. (a) | 100 | 4,477 | ||||||||
Magellan Health, Inc. (a) | 800 | 44,344 | ||||||||
McKesson Corp. (b),(c) | 21,900 | 4,052,157 | ||||||||
PharMerica Corp. (a) | 400 | 11,388 | ||||||||
Premier, Inc. Class A (a) | 2,300 | 79,051 | ||||||||
Quintiles Transnational Holdings, Inc. (a) | 5,500 | 382,635 | ||||||||
RadNet, Inc. (a),(d) | 4,400 | 24,420 | ||||||||
Surgical Care Affiliates, Inc. (a) | 1,300 | 42,497 | ||||||||
Universal American Corp. (d) | 4,900 | 33,516 | ||||||||
Universal Health Services, Inc. Class B (b),(d) | 19,160 | 2,391,360 | ||||||||
US Physical Therapy, Inc. | 300 | 13,467 | ||||||||
VCA Antech, Inc. (a),(d) | 900 | 47,385 | ||||||||
|
| |||||||||
22,714,566 | ||||||||||
|
| |||||||||
Home & Office Products — 0.1% | ||||||||||
American Woodmark Corp. (a),(d) | 4,700 | 304,889 | ||||||||
Armstrong World Industries, Inc. (a) | 2,300 | 109,802 | ||||||||
Blount International, Inc. (a) | 3,800 | 21,166 | ||||||||
Griffon Corp. | 1,800 | 28,386 | ||||||||
Hooker Furniture Corp. | 1,400 | 32,956 | ||||||||
Interface, Inc. | 600 | 13,464 | ||||||||
Kimball International, Inc. Class B (d) | 5,600 | 52,976 | ||||||||
LGI Homes, Inc. (a) | 100 | 2,719 | ||||||||
Libbey, Inc. (d) | 3,200 | 104,352 |
See Notes to Consolidated Financial Statements.
29
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Masco Corp. | 8,500 | $ | 214,030 | |||||||
Mohawk Industries, Inc. (a) | 200 | 36,358 | ||||||||
Newell Rubbermaid, Inc. | 100 | 3,971 | ||||||||
Ryland Group, Inc. | 4,416 | 180,305 | ||||||||
Scotts Miracle-Gro Co. Class A | 2,100 | 127,722 | ||||||||
|
| |||||||||
1,233,096 | ||||||||||
|
| |||||||||
Industrial Services — 0.2% | ||||||||||
Electro Rent Corp. | 2,500 | 25,950 | ||||||||
Furmanite Corp. (a),(d) | 2,900 | 17,632 | ||||||||
HD Supply Holdings, Inc. (a),(d) | 73,000 | 2,089,260 | ||||||||
WESCO International, Inc. (a),(d) | 2,600 | 120,822 | ||||||||
|
| |||||||||
2,253,664 | ||||||||||
|
| |||||||||
Institutional Financial Service — 0.2% | ||||||||||
BGC Partners, Inc. Class A | 5,100 | 41,922 | ||||||||
Evercore Partners, Inc. Class A | 10,826 | 543,898 | ||||||||
INTL. FCStone, Inc. (a) | 5,000 | 123,450 | ||||||||
KCG Holdings, Inc. Class A (a) | 4,800 | 52,656 | ||||||||
Moelis & Co. Class A (d) | 23,408 | 614,694 | ||||||||
Northern Trust Corp. (d) | 13,491 | 919,547 | ||||||||
|
| |||||||||
2,296,167 | ||||||||||
|
| |||||||||
Insurance — 1.6% | ||||||||||
American Equity Investment Life Holding Co. | 4,900 | 114,219 | ||||||||
American International Group, Inc. | 178,878 | 10,163,848 | ||||||||
AMERISAFE, Inc. | 200 | 9,946 | ||||||||
Assured Guaranty Ltd. | 110,334 | 2,758,350 | ||||||||
Axis Capital Holdings Ltd. | 49,900 | 2,680,628 | ||||||||
Citizens, Inc. (a) | 200 | 1,484 | ||||||||
Crawford & Co. Class B | 200 | 1,122 | ||||||||
Employers Holdings, Inc. | 7,000 | 156,030 | ||||||||
FBL Financial Group, Inc. Class A | 1,100 | 67,672 | ||||||||
Fidelity & Guaranty Life | 1,600 | 39,264 | ||||||||
Greenlight Capital Re Ltd. A Shares (a) | 600 | 13,368 | ||||||||
Hartford Financial Services Group, Inc. | 18,989 | 869,316 | ||||||||
Heritage Insurance Holdings, Inc. (a) | 700 | 13,811 | ||||||||
Lincoln National Corp. | 7,300 | 346,458 | ||||||||
Maiden Holdings Ltd. | 1,500 | 20,820 | ||||||||
NMI Holdings, Inc. Class A (a) | 2,000 | 15,200 | ||||||||
OneBeacon Insurance Group Ltd. Class A | 3,900 | 54,756 | ||||||||
Phoenix Cos., Inc. (a) | 100 | 3,299 | ||||||||
Principal Financial Group, Inc. (d) | 20,816 | 985,430 | ||||||||
Prudential Financial, Inc. | 6,677 | 508,854 | ||||||||
State Auto Financial Corp. | 64 | 1,460 | ||||||||
United Fire Group, Inc. | 100 | 3,505 |
See Notes to Consolidated Financial Statements.
30
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Universal Insurance Holdings, Inc. | 600 | $ | 17,724 | |||||||
Willis Group Holdings PLC | 57,400 | 2,351,678 | ||||||||
|
| |||||||||
21,198,242 | ||||||||||
|
| |||||||||
Iron & Steel — 0.1% | ||||||||||
Northwest Pipe Co. (a) | 100 | 1,306 | ||||||||
Nucor Corp. | 25,200 | 946,260 | ||||||||
Reliance Steel & Aluminum Co. | 3,900 | 210,639 | ||||||||
Ryerson Holding Corp. (a) | 800 | 4,200 | ||||||||
Shiloh Industries, Inc. (a) | 800 | 6,480 | ||||||||
Steel Dynamics, Inc. | 200 | 3,436 | ||||||||
SunCoke Energy, Inc. | 1,900 | 14,782 | ||||||||
Worthington Industries, Inc. (d) | 3,400 | 90,032 | ||||||||
|
| |||||||||
1,277,135 | ||||||||||
|
| |||||||||
Leisure Products — 0.0% | ||||||||||
JAKKS Pacific, Inc. (a) | 300 | 2,556 | ||||||||
Johnson Outdoors, Inc. Class A | 100 | 2,110 | ||||||||
LeapFrog Enterprises, Inc. (a) | 7,600 | 5,423 | ||||||||
Malibu Boats, Inc. (a) | 200 | 2,796 | ||||||||
Vista Outdoor, Inc. (a) | 22 | 977 | ||||||||
|
| |||||||||
13,862 | ||||||||||
|
| |||||||||
Machinery — 0.1% | ||||||||||
Alamo Group, Inc. | 300 | 14,025 | ||||||||
Columbus McKinnon Corp. | 800 | 14,528 | ||||||||
Douglas Dynamics, Inc. | 100 | 1,986 | ||||||||
Federal Signal Corp. | 5,700 | 78,147 | ||||||||
Graham Corp. | 900 | 15,885 | ||||||||
Hyster-Yale Materials Handling, Inc. | 300 | 17,349 | ||||||||
Illinois Tool Works, Inc. | 1,800 | 148,158 | ||||||||
Intevac, Inc. (a) | 1,000 | 4,600 | ||||||||
ITT Corp. | 200 | 6,686 | ||||||||
John Bean Technologies Corp. | 1,000 | 38,250 | ||||||||
Joy Global, Inc. | 86,700 | 1,294,431 | ||||||||
Kadant, Inc. | 1,400 | 54,614 | ||||||||
MSA Safety, Inc. | 200 | 7,994 | ||||||||
MTS Systems Corp. | 100 | 6,011 | ||||||||
Raven Industries, Inc. | 500 | 8,475 | ||||||||
Rofin-Sinar Technologies, Inc. (a),(d) | 3,100 | 80,383 | ||||||||
Xerium Technologies, Inc. (a) | 1,700 | 22,066 | ||||||||
|
| |||||||||
1,813,588 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.0% | ||||||||||
Aegion Corp. (a),(d) | 2,500 | 41,200 | ||||||||
Ampco-Pittsburgh Corp. (d) | 1,500 | 16,365 |
See Notes to Consolidated Financial Statements.
31
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Chart Industries, Inc. (a),(d) | 5,700 | $ | 109,497 | |||||||
Dynamic Materials Corp. (d) | 1,900 | 18,126 | ||||||||
Gibraltar Industries, Inc. (a) | 2,000 | 36,700 | ||||||||
Global Brass & Copper Holdings, Inc. | 3,600 | 73,836 | ||||||||
Insteel Industries, Inc. | 300 | 4,824 | ||||||||
LB Foster Co. Class A | 4,300 | 52,804 | ||||||||
Rogers Corp. (a) | 400 | 21,272 | ||||||||
|
| |||||||||
374,624 | ||||||||||
|
| |||||||||
Media — 2.5% | ||||||||||
A H Belo Corp. Class A | 1,600 | 7,888 | ||||||||
Alphabet, Inc. Class A (a) | 6,100 | 3,894,057 | ||||||||
Alphabet, Inc. Class C (a),(b) | 769 | 467,875 | ||||||||
Autobytel, Inc. (a) | 1,900 | 31,863 | ||||||||
Boingo Wireless, Inc. (a),(d) | 8,800 | 72,864 | ||||||||
CBS Corp. Class B | 44,000 | 1,755,600 | ||||||||
Charter Communications, Inc. Class A (a),(d) | 10,200 | 1,793,670 | ||||||||
Clear Channel Outdoor Holdings, Inc. Class A (a),(d) | 9,600 | 68,448 | ||||||||
Comcast Corp. Class A | 7,000 | 398,160 | ||||||||
Demand Media, Inc. (a) | 40 | 167 | ||||||||
DISH Network Corp. Class A (a),(d) | 38,500 | 2,246,090 | ||||||||
Entercom Communications Corp. Class A (a) | 200 | 2,032 | ||||||||
Eros International PLC (a) | 4,400 | 119,636 | ||||||||
Expedia, Inc. | 7,500 | 882,600 | ||||||||
Gray Television, Inc. (a) | 5,000 | 63,800 | ||||||||
Harte-Hanks, Inc. (d) | 13,200 | 46,596 | ||||||||
Interpublic Group of Cos., Inc. | 1,700 | 32,521 | ||||||||
Lee Enterprises, Inc. (a) | 200 | 416 | ||||||||
McClatchy Co. Class A (a) | 2,600 | 2,522 | ||||||||
MDC Partners, Inc. Class A | 50 | 922 | ||||||||
National CineMedia, Inc. (d) | 8,400 | 112,728 | ||||||||
News Corp. Class A (d) | 43,800 | 552,756 | ||||||||
Priceline Group, Inc. (The) (a),(b) | 220 | 272,109 | ||||||||
RetailMeNot, Inc. (a) | 2,100 | 17,304 | ||||||||
Starz (a) | 1 | 37 | ||||||||
TechTarget, Inc. (a),(d) | 5,000 | 42,600 | ||||||||
Time Warner Cable, Inc. (d) | 52,460 | 9,409,750 | ||||||||
Time Warner, Inc. | 100 | 6,875 | ||||||||
Twenty-First Century Fox, Inc. Class A (c) | 231,128 | 6,235,834 | ||||||||
VeriSign, Inc. (a),(d) | 11,300 | 797,328 | ||||||||
WebMD Health Corp. (a),(d) | 900 | 35,856 | ||||||||
XO Group, Inc. (a),(d) | 5,200 | 73,476 | ||||||||
Yahoo!, Inc. (a) | 117,843 | 3,406,841 | ||||||||
YuMe, Inc. (a) | 400 | 1,036 | ||||||||
|
| |||||||||
32,852,257 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
32
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Medical Equipment/Devices — 2.1% | ||||||||||
Abbott Laboratories (b),(d) | 142,800 | $ | 5,743,416 | |||||||
ABIOMED, Inc. (a) | 3,600 | 333,936 | ||||||||
Affymetrix, Inc. (a),(b) | 28,000 | 239,120 | ||||||||
Agilent Technologies, Inc. (b),(c),(d) | 186,640 | 6,407,351 | ||||||||
AngioDynamics, Inc. (a),(d) | 6,100 | 80,459 | ||||||||
Catalent, Inc. (a) | 400 | 9,720 | ||||||||
CR Bard, Inc. (b),(d) | 23,780 | 4,430,452 | ||||||||
CryoLife, Inc. | 3,800 | 36,974 | ||||||||
Cutera, Inc. (a) | 1,500 | 19,620 | ||||||||
DENTSPLY International, Inc. | 5,300 | 268,021 | ||||||||
Edwards Lifesciences Corp. (a),(b),(d) | 38,600 | 5,487,762 | ||||||||
Exactech, Inc. (a) | 1,100 | 19,173 | ||||||||
Genomic Health, Inc. (a) | 300 | 6,348 | ||||||||
Harvard Bioscience, Inc. (a) | 600 | 2,268 | ||||||||
HeartWare International, Inc. (a) | 2,700 | 141,237 | ||||||||
Hologic, Inc. (a) | 21,600 | 845,208 | ||||||||
ICU Medical, Inc. (a) | 700 | �� | 76,650 | |||||||
Inogen, Inc. (a) | 1,300 | 63,115 | ||||||||
Integra LifeSciences Holdings Corp. (a) | 300 | 17,865 | ||||||||
Luminex Corp. (a),(d) | 4,300 | 72,713 | ||||||||
Medtronic PLC (b),(c) | 8,950 | 599,113 | ||||||||
Merit Medical Systems, Inc. (a) | 9,800 | 234,318 | ||||||||
Myriad Genetics, Inc. (a) | 200 | 7,496 | ||||||||
OraSure Technologies, Inc. (a) | 5,800 | 25,752 | ||||||||
Orthofix International NV (a) | 3,900 | 131,625 | ||||||||
Quidel Corp. (a) | 300 | 5,664 | ||||||||
RTI Surgical, Inc. (a),(d) | 13,100 | 74,408 | ||||||||
Sientra, Inc. (a) | 200 | 2,030 | ||||||||
Sirona Dental Systems, Inc. (a),(b) | 8,900 | 830,726 | ||||||||
SurModics, Inc. (a) | 2,000 | 43,680 | ||||||||
T2 Biosystems, Inc. (a) | 200 | 1,752 | ||||||||
Varian Medical Systems, Inc. (a),(b) | 700 | 51,646 | ||||||||
Vascular Solutions, Inc. (a) | 800 | 25,928 | ||||||||
VWR Corp. (a),(b),(d) | 11,780 | 302,628 | ||||||||
Wright Medical Group NV (a) | 7,833 | 159,715 | ||||||||
Wright Medical Group, Inc. (a),(d) | 35,500 | 746,210 | ||||||||
Zeltiq Aesthetics, Inc. (a),(d) | 6,700 | 214,601 | ||||||||
Zimmer Holdings, Inc. (b),(d) | 1,400 | 131,502 | ||||||||
|
| |||||||||
27,890,202 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Alcoa, Inc. | 96 | 927 | ||||||||
Century Aluminum Co. (a) | 9,900 | 45,540 |
See Notes to Consolidated Financial Statements.
33
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Encore Wire Corp. | 2,100 | $ | 68,607 | |||||||
Noranda Aluminum Holding Corp. | 3,271 | 5,365 | ||||||||
|
| |||||||||
120,439 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 2.2% | ||||||||||
Arch Coal, Inc. | 5,820 | 19,206 | ||||||||
Baker Hughes, Inc. (d) | 191,111 | 9,945,416 | ||||||||
Bristow Group, Inc. | 1,300 | 34,008 | ||||||||
Cameron International Corp. (a),(d) | 22,000 | 1,349,040 | ||||||||
Chevron Corp. (d) | 50,400 | 3,975,552 | ||||||||
Cimarex Energy Co. | 2,600 | 266,448 | ||||||||
Concho Resources, Inc. (a) | 15,400 | 1,513,820 | ||||||||
Dawson Geophysical Co. (a) | 1,776 | 6,767 | ||||||||
Dril-Quip, Inc. (a),(d) | 1,700 | 98,974 | ||||||||
Evolution Petroleum Corp. (d) | 900 | 4,995 | ||||||||
Exxon Mobil Corp. | 15,500 | 1,152,425 | ||||||||
FMC Technologies, Inc. (a),(d) | 29,900 | 926,900 | ||||||||
Forum Energy Technologies, Inc. (a) | 2,800 | 34,188 | ||||||||
Gulf Island Fabrication, Inc. | 3,200 | 33,696 | ||||||||
Gulfport Energy Corp. (a),(d) | 17,300 | 513,464 | ||||||||
Hallador Energy Co. | 300 | 2,085 | ||||||||
Halliburton Co. (d) | 113,300 | 4,005,155 | ||||||||
Helix Energy Solutions Group, Inc. (a) | 28,800 | 137,952 | ||||||||
Helmerich & Payne, Inc. | 400 | 18,904 | ||||||||
Kinder Morgan, Inc. | 16 | 443 | ||||||||
LinnCo LLC | 11,799 | 31,975 | ||||||||
Marathon Petroleum Corp. | 16,100 | 745,913 | ||||||||
Matrix Service Co. (a) | 4,900 | 110,103 | ||||||||
Mitcham Industries, Inc. (a) | 600 | 2,268 | ||||||||
Murphy USA, Inc. (a) | 1,000 | 54,950 | ||||||||
National Oilwell Varco, Inc. | 3,800 | 143,070 | ||||||||
Natural Gas Services Group, Inc. (a) | 1,100 | 21,230 | ||||||||
Newpark Resources, Inc. (a) | 11,700 | 59,904 | ||||||||
Noble Energy, Inc. | 6,016 | 181,563 | ||||||||
NOW, Inc. (a) | 6,400 | 94,720 | ||||||||
Oil States International, Inc. (a),(d) | 14,900 | 389,337 | ||||||||
Panhandle Oil and Gas, Inc. Class A | 100 | 1,616 | ||||||||
Peabody Energy Corp. (a) | 236,800 | 326,784 | ||||||||
Penn Virginia Corp. (a) | 63,700 | 33,761 | ||||||||
QEP Resources, Inc. | 12,400 | 155,372 | ||||||||
Schlumberger Ltd. | 12,200 | 841,434 | ||||||||
Southwestern Energy Co. (a),(d) | 91,300 | 1,158,597 | ||||||||
Stone Energy Corp. (a) | 3,200 | 15,872 | ||||||||
Swift Energy Co. (a) | 39,300 | 14,797 | ||||||||
Tesco Corp. (d) | 2,300 | 16,422 | ||||||||
TransAtlantic Petroleum Ltd. (a) | 100 | 254 |
See Notes to Consolidated Financial Statements.
34
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
VAALCO Energy, Inc. (a) | 3,600 | $ | 6,120 | |||||||
Valero Energy Corp. (b) | 2,200 | 132,220 | ||||||||
Warren Resources, Inc. (a),(d) | 4,700 | 2,300 | ||||||||
Weatherford International PLC (a) | 27,300 | 231,504 | ||||||||
|
| |||||||||
28,811,524 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.1% | ||||||||||
Delta Air Lines, Inc. | 2,400 | 107,688 | ||||||||
Era Group, Inc. (a) | 200 | 2,994 | ||||||||
Hawaiian Holdings, Inc. (a),(d) | 21,700 | 535,556 | ||||||||
JetBlue Airways Corp. (a) | 16,900 | 435,513 | ||||||||
Spirit Airlines, Inc. (a),(d) | 838 | 39,637 | ||||||||
Virgin America, Inc. (a),(d) | 20,200 | 691,446 | ||||||||
|
| |||||||||
1,812,834 | ||||||||||
|
| |||||||||
Real Estate — 2.1% | ||||||||||
Agree Realty Corp. | 1,200 | 35,820 | ||||||||
American Tower Corp. | 7,292 | 641,550 | ||||||||
Armada Hoffler Properties, Inc. (d) | 6,400 | 62,528 | ||||||||
Ashford Hospitality Prime, Inc. (d) | 7,672 | 107,638 | ||||||||
Ashford Hospitality Trust, Inc. (d) | 137,868 | 840,995 | ||||||||
CBRE Group, Inc. (a),(b),(c),(d) | 32,500 | 1,040,000 | ||||||||
Equinix, Inc. | 48 | 13,123 | ||||||||
FelCor Lodging Trust, Inc. (d) | 30,800 | 217,756 | ||||||||
Forest City Enterprises, Inc. Class A (a) | 51,860 | 1,043,942 | ||||||||
Gladstone Commercial Corp. (d) | 7,200 | 101,592 | ||||||||
Gramercy Property Trust, Inc. | 754 | 15,661 | ||||||||
InfraREIT, Inc. | 200 | 4,736 | ||||||||
Kennedy-Wilson Holdings, Inc. | 73,216 | 1,623,199 | ||||||||
Lamar Advertising Co. Class A (c) | 184,813 | 9,643,542 | ||||||||
Marcus & Millichap, Inc. (a) | 400 | 18,396 | ||||||||
New York REIT, Inc. | 288,552 | 2,902,833 | ||||||||
NorthStar Realty Finance Corp. | 185,713 | 2,293,556 | ||||||||
One Liberty Properties, Inc. | 200 | 4,266 | ||||||||
Realogy Holdings Corp. (a),(b),(c),(d) | 67,561 | 2,542,320 | ||||||||
Strategic Hotels & Resorts, Inc. (a) | 44 | 607 | ||||||||
Urstadt Biddle Properties, Inc. Class A | 500 | 9,370 | ||||||||
Ventas, Inc. (b),(c) | 28,610 | 1,603,877 | ||||||||
VEREIT, Inc. REIT (d) | 143,000 | 1,103,960 | ||||||||
Welltower, Inc. (b) | 23,920 | 1,619,862 | ||||||||
Weyerhaeuser Co. (d) | 1,600 | 43,744 | ||||||||
|
| |||||||||
27,534,873 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.1% | ||||||||||
International Speedway Corp. Class A | 600 | 19,032 | ||||||||
Intrawest Resorts Holdings, Inc. (a) | 2,800 | 24,248 |
See Notes to Consolidated Financial Statements.
35
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Marcus Corp. | 700 | $ | 13,538 | |||||||
RCI Hospitality Holdings, Inc. (a) | 100 | 1,042 | ||||||||
Regal Entertainment Group Class A (d) | 9,300 | 173,817 | ||||||||
SFX Entertainment, Inc. (a) | 901 | 459 | ||||||||
Six Flags Entertainment Corp. | 9,900 | 453,222 | ||||||||
Speedway Motorsports, Inc. | 1,600 | 28,880 | ||||||||
Town Sports International Holdings, Inc. (d) | 3,200 | 8,416 | ||||||||
|
| |||||||||
722,654 | ||||||||||
|
| |||||||||
Renewable Energy — 0.3% | ||||||||||
Ameresco, Inc. Class A (a) | 100 | 588 | ||||||||
Broadwind Energy, Inc. (a) | 1,000 | 2,070 | ||||||||
First Solar, Inc. (a) | 89,300 | 3,817,575 | ||||||||
Renewable Energy Group, Inc. (a) | 15,300 | 126,684 | ||||||||
|
| |||||||||
3,946,917 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.5% | ||||||||||
Dollar Tree, Inc. (a),(b),(c),(d) | 7,585 | 505,616 | ||||||||
Five Below, Inc. (a),(b),(c) | 11,860 | 398,259 | ||||||||
Kroger Co. | 100 | 3,607 | ||||||||
Rite Aid Corp. (a),(b),(c),(d) | 748,300 | 4,542,181 | ||||||||
Sprouts Farmers Market, Inc. (a),(b),(c) | 18,100 | 381,910 | ||||||||
SUPERVALU, Inc. (a),(d) | 109,900 | 789,082 | ||||||||
|
| |||||||||
6,620,655 | ||||||||||
|
| |||||||||
Retail Discretionary — 1.8% | ||||||||||
Amazon.com, Inc. (a),(b),(c),(d) | 8,918 | 4,565,035 | ||||||||
Bed Bath & Beyond, Inc. (a) | 10,100 | 575,902 | ||||||||
Big 5 Sporting Goods Corp. (d) | 6,700 | 69,546 | ||||||||
Builders FirstSource, Inc. (a) | 100 | 1,268 | ||||||||
Citi Trends, Inc. (d) | 5,500 | 128,590 | ||||||||
Destination XL Group, Inc. (a) | 300 | 1,743 | ||||||||
Dick’s Sporting Goods, Inc. | 3,100 | 153,791 | ||||||||
EVINE Live, Inc. (a) | 1,100 | 2,882 | ||||||||
GNC Holdings, Inc. Class A | 7,100 | 286,982 | ||||||||
Hertz Global Holdings, Inc. (a),(c) | 199,202 | 3,332,649 | ||||||||
Home Depot, Inc. | 29,600 | 3,418,504 | ||||||||
JC Penney Co., Inc. (a) | 10,600 | 98,474 | ||||||||
Kirkland’s, Inc. | 4,600 | 99,084 | ||||||||
Kohl’s Corp. (b) | 2,100 | 97,251 | ||||||||
L Brands, Inc. (d) | 24,600 | 2,217,198 | ||||||||
Lands’ End, Inc. (a) | 1,400 | 37,814 | ||||||||
Liberty Interactive Corp. Class A (a) | 100 | 2,623 | ||||||||
Liquidity Services, Inc. (a) | 1,800 | 13,302 | ||||||||
Michaels Cos., Inc. (a) | 2,100 | 48,510 | ||||||||
Netflix, Inc. (a) | 38,100 | 3,934,206 |
See Notes to Consolidated Financial Statements.
36
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
New York & Co., Inc. (a) | 300 | $ | 744 | |||||||
Nordstrom, Inc. | 700 | 50,197 | ||||||||
Pep Boys-Manny Moe & Jack (a) | 8,300 | 101,177 | ||||||||
Restoration Hardware Holdings, Inc. (a),(b),(c) | 4,205 | 392,369 | ||||||||
Sears Hometown and Outlet Stores, Inc. (a) | 300 | 2,403 | ||||||||
Signet Jewelers Ltd. | 1,100 | 149,743 | ||||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 700 | 8,624 | ||||||||
Stein Mart, Inc. | 7,200 | 69,696 | ||||||||
Tiffany & Co. (b) | 200 | 15,444 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a),(d) | 18,800 | 3,070,980 | ||||||||
United Online, Inc. (a),(d) | 3,442 | 34,420 | ||||||||
Vera Bradley, Inc. (a) | 100 | 1,261 | ||||||||
|
| |||||||||
22,982,412 | ||||||||||
|
| |||||||||
Semiconductors — 1.1% | ||||||||||
Alpha & Omega Semiconductor Ltd. (a) | 1,900 | 14,801 | ||||||||
Amkor Technology, Inc. (a) | 17,200 | 77,228 | ||||||||
Analog Devices, Inc. | 5,300 | 298,973 | ||||||||
Applied Materials, Inc. (d) | 215,000 | 3,158,350 | ||||||||
Axcelis Technologies, Inc. (a),(d) | 9,700 | 25,899 | ||||||||
Broadcom Corp. Class A | 100 | 5,143 | ||||||||
Cascade Microtech, Inc. (a) | 600 | 8,484 | ||||||||
CEVA, Inc. (a) | 800 | 14,856 | ||||||||
Cirrus Logic, Inc. (a) | 8,500 | 267,835 | ||||||||
Cohu, Inc. | 5,900 | 58,174 | ||||||||
Cree, Inc. (a),(d) | 22,200 | 537,906 | ||||||||
DSP Group, Inc. (a) | 2,700 | 24,597 | ||||||||
Electro Scientific Industries, Inc. | 3,600 | 16,704 | ||||||||
FormFactor, Inc. (a),(d) | 15,000 | 101,700 | ||||||||
Freescale Semiconductor Ltd. (a) | 48,800 | 1,785,104 | ||||||||
GSI Technology, Inc. (a) | 518 | 2,103 | ||||||||
II-VI, Inc. (a) | 1,200 | 19,296 | ||||||||
Integrated Device Technology, Inc. (a),(b) | 27,800 | 564,340 | ||||||||
Intel Corp. (b) | 5,600 | 168,784 | ||||||||
IPG Photonics Corp. (a),(b) | 500 | 37,985 | ||||||||
IXYS Corp. | 6,900 | 77,004 | ||||||||
Kemet Corp. (a),(d) | 1,800 | 3,312 | ||||||||
KLA-Tencor Corp. (d) | 65,400 | 3,270,000 | ||||||||
Lattice Semiconductor Corp. (a),(d) | 14,400 | 55,440 | ||||||||
M/A-COM Technology Solutions Holdings, Inc. (a) | 100 | 2,899 | ||||||||
Maxim Integrated Products, Inc. (b) | 2,100 | 70,140 | ||||||||
MaxLinear, Inc. Class A (a) | 48 | 597 | ||||||||
Micron Technology, Inc. (a),(d) | 173,200 | 2,594,536 | ||||||||
Newport Corp. (a),(d) | 2,000 | 27,500 | ||||||||
NVE Corp. | 200 | 9,708 | ||||||||
ON Semiconductor Corp. (a) | 1,400 | 13,160 |
See Notes to Consolidated Financial Statements.
37
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Park Electrochemical Corp. | 1,300 | $ | 22,867 | |||||||
Pericom Semiconductor Corp. | 3,500 | 63,875 | ||||||||
Photronics, Inc. (a),(d) | 7,000 | 63,420 | ||||||||
Qualcomm, Inc. | 16,300 | 875,799 | ||||||||
Rudolph Technologies, Inc. (a),(d) | 4,200 | 52,290 | ||||||||
Ultra Clean Holdings, Inc. (a),(d) | 5,100 | 29,274 | ||||||||
Ultratech, Inc. (a),(d) | 2,300 | 36,846 | ||||||||
Vishay Intertechnology, Inc. (d) | 800 | 7,752 | ||||||||
|
| |||||||||
14,464,681 | ||||||||||
|
| |||||||||
Software — 1.0% | ||||||||||
Agilysys, Inc. (a) | 700 | 7,784 | ||||||||
American Software, Inc. Class A | 300 | 2,826 | ||||||||
Autodesk, Inc. (a),(d) | 35,600 | 1,571,384 | ||||||||
Calix, Inc. (a) | 5,300 | 41,287 | ||||||||
Carbonite, Inc. (a) | 8,900 | 99,057 | ||||||||
Cerner Corp. (a),(b),(c),(d) | 7,430 | 445,503 | ||||||||
Citrix Systems, Inc. (a) | 7,400 | 512,672 | ||||||||
CommVault Systems, Inc. (a) | 2,600 | 88,296 | ||||||||
Cvent, Inc. (a) | 1,800 | 60,588 | ||||||||
Digi International, Inc. (a) | 3,300 | 38,907 | ||||||||
Ebix, Inc. | 200 | 4,992 | ||||||||
Electronic Arts, Inc. (a),(b),(c),(d) | 20,660 | 1,399,715 | ||||||||
Intralinks Holdings, Inc. (a) | 7,100 | 58,859 | ||||||||
Limelight Networks, Inc. (a) | 14,700 | 28,077 | ||||||||
Lionbridge Technologies, Inc. (a),(d) | 3,100 | 15,314 | ||||||||
LogMeIn, Inc. (a) | 200 | 13,632 | ||||||||
Microsoft Corp. | 14,200 | 628,492 | ||||||||
MicroStrategy, Inc. Class A (a) | 1,600 | 314,352 | ||||||||
Model N, Inc. (a) | 1,600 | 16,016 | ||||||||
Monotype Imaging Holdings, Inc. | 500 | 10,910 | ||||||||
Oracle Corp. (b) | 29,500 | 1,065,540 | ||||||||
Paycom Software, Inc. (a),(b),(d) | 10,680 | 383,519 | ||||||||
PDF Solutions, Inc. (a) | 1,900 | 19,000 | ||||||||
QAD, Inc. Class A | 2,900 | 74,240 | ||||||||
Rackspace Hosting, Inc. (a) | 27,500 | 678,700 | ||||||||
RealNetworks, Inc. (a),(d) | 1,300 | 5,317 | ||||||||
Red Hat, Inc. (a),(b),(c),(d) | 5,775 | 415,107 | ||||||||
salesforce.com, Inc. (a),(b),(c) | 16,055 | 1,114,699 | ||||||||
SciQuest, Inc. (a) | 100 | 1,000 | ||||||||
SS&C Technologies Holdings, Inc. (b),(c),(d) | 25,139 | 1,760,735 | ||||||||
Support.com, Inc. (a) | 2,500 | 2,800 | ||||||||
Symantec Corp. | 12,000 | 233,640 | ||||||||
VMware, Inc. Class A (a),(d) | 28,500 | 2,245,515 | ||||||||
Web.com Group, Inc. (a),(d) | 4,400 | 92,752 | ||||||||
|
| |||||||||
13,451,227 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
38
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Specialty Finance — 0.2% | ||||||||||
Alliance Data Systems Corp. (a) | 41 | $ | 10,618 | |||||||
American Capital Agency Corp. | 35 | 655 | ||||||||
American Capital Mortgage Investment Corp. (d) | 400 | 5,896 | ||||||||
Arbor Realty Trust, Inc. (d) | 9,400 | 59,784 | ||||||||
Cherry Hill Mortgage Investment Corp. (d) | 600 | 9,138 | ||||||||
Consumer Portfolio Services, Inc. (a),(d) | 1,400 | 6,972 | ||||||||
CoreLogic, Inc. (a),(d) | 17,000 | 632,910 | ||||||||
Dynex Capital, Inc. | 6,900 | 45,264 | ||||||||
Ellington Residential Mortgage REIT (d) | 3,300 | 40,095 | ||||||||
Flagstar Bancorp, Inc. (a) | 700 | 14,392 | ||||||||
Global Payments, Inc. | 400 | 45,892 | ||||||||
HFF, Inc. Class A | 100 | 3,376 | ||||||||
Higher One Holdings, Inc. (a) | 100 | 197 | ||||||||
McGrath RentCorp | 100 | 2,669 | ||||||||
Meta Financial Group, Inc. | 1,700 | 71,009 | ||||||||
MFA Financial, Inc. | 17,000 | 115,770 | ||||||||
Nicholas Financial, Inc. (a) | 400 | 5,192 | ||||||||
Regional Management Corp. (a) | 400 | 6,200 | ||||||||
Springleaf Holdings, Inc. (a) | 31,013 | 1,355,888 | ||||||||
Vantiv, Inc. Class A (a) | 1,200 | 53,904 | ||||||||
Walker & Dunlop, Inc. (a) | 1,000 | 26,080 | ||||||||
ZAIS Financial Corp. (d) | 1,300 | 17,420 | ||||||||
|
| |||||||||
2,529,321 | ||||||||||
|
| |||||||||
Technology Services — 0.6% | ||||||||||
Black Box Corp. | 3,600 | 53,064 | ||||||||
Broadridge Financial Solutions, Inc. | 400 | 22,140 | ||||||||
CDW Corp. | 3,200 | 130,752 | ||||||||
Ciber, Inc. (a),(d) | 6,000 | 19,080 | ||||||||
Cognizant Technology Solutions Corp. Class A (a),(b) | 6,655 | 416,670 | ||||||||
CSG Systems International, Inc. | 3,300 | 101,640 | ||||||||
Cubic Corp. | 1,600 | 67,104 | ||||||||
ExlService Holdings, Inc. (a),(d) | 800 | 29,544 | ||||||||
Globant SA (a) | 1,000 | 30,590 | ||||||||
Leidos Holdings, Inc. | 10,100 | 417,231 | ||||||||
Luxoft Holding, Inc. (a) | 500 | 31,645 | ||||||||
Markit Ltd. (a) | 31,690 | 919,010 | ||||||||
MSCI, Inc. | 21,045 | 1,251,336 | ||||||||
Perficient, Inc. (a),(d) | 2,200 | 33,946 | ||||||||
Sabre Corp. | 99,700 | 2,709,846 | ||||||||
TransUnion (a),(b),(d) | 13,120 | 329,574 | ||||||||
Xerox Corp. (d) | 57,300 | 557,529 | ||||||||
|
| |||||||||
7,120,701 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
39
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Telecommunications — 0.4% | ||||||||||
Alaska Communications Systems Group, Inc. (a) | 7,500 | $ | 16,425 | |||||||
AT&T, Inc. | 24,889 | 810,884 | ||||||||
EarthLink Holdings Corp. | 18,000 | 140,040 | ||||||||
FairPoint Communications, Inc. (a),(d) | 3,100 | 47,771 | ||||||||
General Communication, Inc. Class A (a),(d) | 9,800 | 169,148 | ||||||||
Hawaiian Telcom Holdco, Inc. (a) | 1,300 | 27,014 | ||||||||
IDT Corp. Class B | 1,300 | 18,590 | ||||||||
Inteliquent, Inc. | 8,800 | 196,504 | ||||||||
Internap Network Services Corp. (a) | 5,800 | 35,554 | ||||||||
j2 Global, Inc. (b),(c) | 5,450 | 386,132 | ||||||||
Level 3 Communications, Inc. (a) | 50 | 2,185 | ||||||||
Lumos Networks Corp. | 3,400 | 41,344 | ||||||||
Premiere Global Services, Inc. (a),(d) | 900 | 12,366 | ||||||||
RingCentral, Inc. Class A (a) | 9,300 | 168,795 | ||||||||
Shenandoah Telecommunications Co. | 200 | 8,562 | ||||||||
Spok Holdings, Inc. (d) | 2,000 | 32,920 | ||||||||
TeleCommunication Systems, Inc. Class A (a) | 3,300 | 11,352 | ||||||||
Telephone & Data Systems, Inc. | 2,300 | 57,408 | ||||||||
Verizon Communications, Inc. (b),(d) | 45,100 | 1,962,301 | ||||||||
West Corp. (d) | 21,000 | 470,400 | ||||||||
Zix Corp. (a),(d) | 19,300 | 81,253 | ||||||||
|
| |||||||||
4,696,948 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.1% | ||||||||||
Air Transport Services Group, Inc. (a),(d) | 15,000 | 128,250 | ||||||||
ArcBest Corp. | 1,000 | 25,770 | ||||||||
Celadon Group, Inc. | 300 | 4,806 | ||||||||
CSX Corp. | 6,000 | 161,400 | ||||||||
FedEx Corp. | 300 | 43,194 | ||||||||
Hub Group, Inc. Class A (a) | 900 | 32,769 | ||||||||
JB Hunt Transport Services, Inc. | 9,600 | 685,440 | ||||||||
Marten Transport Ltd. | 500 | 8,085 | ||||||||
ModusLink Global Solutions, Inc. (a) | 1,600 | 4,576 | ||||||||
Navios Maritime Acquisition Corp. | 6,100 | 21,472 | ||||||||
Norfolk Southern Corp. | 1,300 | 99,320 | ||||||||
Saia, Inc. (a) | 2,900 | 89,755 | ||||||||
Stamps.com, Inc. (a) | 3,200 | 236,832 | ||||||||
Swift Transportation Co. (a) | 100 | 1,502 | ||||||||
Union Pacific Corp. | 1,800 | 159,138 | ||||||||
USA Truck, Inc. (a) | 800 | 13,784 | ||||||||
|
| |||||||||
1,716,093 | ||||||||||
|
| |||||||||
Transportation Equipment — 0.1% | ||||||||||
Accuride Corp. (a) | 100 | 277 | ||||||||
American Railcar Industries, Inc. | 600 | 21,696 |
See Notes to Consolidated Financial Statements.
40
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
PACCAR, Inc. | 9,500 | $ | 495,615 | |||||||
Spartan Motors, Inc. | 200 | 826 | ||||||||
WABCO Holdings, Inc. (a),(b),(c) | 2,850 | 298,765 | ||||||||
|
| |||||||||
817,179 | ||||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
California Water Service Group | 1,500 | 33,180 | ||||||||
Middlesex Water Co. | 400 | 9,536 | ||||||||
Pinnacle West Capital Corp. | 34 | 2,181 | ||||||||
Talen Energy Corp. (a) | 100 | 1,010 | ||||||||
Unitil Corp. | 200 | 7,376 | ||||||||
WEC Energy Group, Inc. | 38 | 1,984 | ||||||||
|
| |||||||||
55,267 | ||||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — 0.4% | ||||||||||
Casella Waste Systems, Inc. Class A (a),(d) | 12,100 | 70,180 | ||||||||
Ceco Environmental Corp. (d) | 42 | 344 | ||||||||
Fuel Tech, Inc. (a) | 100 | 191 | ||||||||
Stericycle, Inc. (a),(b),(c),(d) | 39,200 | 5,460,952 | ||||||||
|
| |||||||||
5,531,667 | ||||||||||
|
| |||||||||
Total United States | 446,090,083 | |||||||||
|
| |||||||||
TOTAL COMMON STOCK | 536,310,763 | |||||||||
|
| |||||||||
Security Description | Principal Amount | Value | ||||||||
ASSET-BACKED SECURITIES — 10.2% | ||||||||||
Cayman Islands — 5.4% | ||||||||||
ABCLO Ltd., Series 2007-1A, Class C, 2.14%, 04/15/21 (b),(e),(g) | $ | 1,000,000 | 990,100 | |||||||
ALESCO Preferred Funding VII Ltd., Series 7A, Class A1B, 0.73%, 07/23/35 (b),(e),(g) | 1,952,342 | 1,639,968 | ||||||||
ALESCO Preferred Funding XIIII Ltd., Series 13A, Class A2, 0.73%, 09/23/37 (b),(e),(g) | 2,067,000 | 1,178,190 | ||||||||
AMMC CDO, Series 2015-16A, Class E, 5.87%, 04/14/27 (b),(e),(g) | 600,000 | 539,160 | ||||||||
Atlas Senior Loan Fund II Ltd., Series 2012-2A, Class D, 4.55%, 01/30/24 (b),(e),(g) | 500,000 | 492,500 | ||||||||
Attentus CDO III Ltd., Series 2007-3A, Class A1B, 0.55%, 10/11/42 (b),(e),(f),(g) | 182,323 | 165,914 | ||||||||
Babson CLO Ltd., Series 2013-IA, Class D, 3.79%, 04/20/25 (b),(e),(g) | 300,000 | 288,480 | ||||||||
BlueMountain CLO Ltd., Series 2014-1A, Class D, 3.75%, 04/30/26 (b),(e),(g) | 797,000 | 756,911 |
See Notes to Consolidated Financial Statements.
41
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Bridgeport CLO Ltd., Series 2006-1A, Class C, 1.79%, 07/21/20 (b),(e),(g) | $ | 2,000,000 | $ | 1,911,000 | ||||||
Carlyle Global Market Strategies CLO Ltd., Series 2014-2A, Class D, 3.77%, 05/15/25 (b),(e),(g) | 900,000 | 864,990 | ||||||||
Catamaran CLO Ltd., | ||||||||||
Series 2015-1A, Class D, 3.95%, 04/22/27 (b),(e),(g) | 700,000 | 650,930 | ||||||||
Series 2015-1A, Class E, 5.45%, 04/22/27 (b),(e),(g) | 700,000 | 588,630 | ||||||||
Cedar Funding III CLO Ltd., Series 2014-3A, Class E, 5.23%, 05/20/26 (b),(e),(g) | 1,700,000 | 1,439,900 | ||||||||
CIFC Funding 2013-II Ltd., Series 2013-2A, Class A3L, 2.94%, 04/21/25 (b),(e),(g) | 600,000 | 575,940 | ||||||||
CIFC Funding Ltd., | ||||||||||
Series 2013-1A, Class D, 5.53%, 04/16/25 (b),(e),(g) | 327,000 | 303,750 | ||||||||
Series 2015-2A, Class E, 5.72%, 04/15/27 (b),(e),(g) | 700,000 | 613,200 | ||||||||
ColumbusNova CLO IV Ltd., Series 2007-2A, Class D, 4.79%, 10/15/21 (b),(e),(g) | 850,000 | 858,755 | ||||||||
ColumbusNova CLO Ltd., Series 2007-1A, Class E, 3.92%, 05/16/19 (b),(e),(g) | 539,000 | 526,387 | ||||||||
Crown Point CLO Ltd., Series 2012-1A, Class B1L, 5.28%, 11/21/22 (b),(e),(g) | 500,000 | 500,400 | ||||||||
Cutwater Ltd., | ||||||||||
Series 2014-1A, Class C, 3.99%, 07/15/26 (b),(e),(g) | 2,203,000 | 2,009,356 | ||||||||
Series 2015-1A, Class D1, 4.18%, 07/15/27 (b),(e),(g) | 1,294,000 | 1,187,633 | ||||||||
Diamond Head Aviation, Series 2015-1, Class B, 5.92%, 07/14/28 (b),(e) | 2,191,473 | 2,196,075 | ||||||||
Duane Street CLO, Series 2007-5X, Class B, REG S, 8.04%, 10/14/21 (b),(g) | 1,533,000 | 1,536,066 | ||||||||
Eaton Vance CDO VIII Ltd., Series 2006-8A, Class D, 3.74%, 08/15/22 (b),(e),(g) | 400,000 | 385,320 | ||||||||
Flagship CLO VIII Ltd., Series 2014-8A, Class D, 3.99%, 01/16/26 (b),(e),(g) | 515,000 | 482,710 | ||||||||
Galaxy XIV CLO Ltd., Series 2012-14A, Class D, 4.72%, 11/15/24 (b),(e),(g) | 2,600,000 | 2,600,000 | ||||||||
Golub Capital Partners CLO Ltd., | ||||||||||
Series 2011-10AR, Class DR, 4.14%, 10/20/21 (b),(e),(g) | 750,000 | 736,875 | ||||||||
Series 2015-22A, Class C, 4.42%, 02/20/27 (b),(e),(g) | 800,000 | 744,640 |
See Notes to Consolidated Financial Statements.
42
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Harbourview CDO III Ltd., Series 3A, Class A, 0.78%, 09/15/31 (b),(e),(f),(g) | $ | 2,116,399 | $ | 1,968,252 | ||||||
ING IM CLO Ltd., | ||||||||||
Series 2013-1A, Class C, 3.79%, 04/15/24 (b),(e),(g) | 300,000 | 288,780 | ||||||||
Series 2013-2A, Class C, 3.80%, 04/25/25 (b),(e),(g) | 429,000 | 412,741 | ||||||||
Series 2013-2A, Class D, 5.30%, 04/25/25 (b),(e),(g) | 450,000 | 401,355 | ||||||||
JFIN CLO Ltd., Series 2007-1A, Class D, 3.09%, 07/20/21 (b),(e),(g) | 1,500,000 | 1,416,900 | ||||||||
Katonah Ltd., Series 2007-10A, Class E, 4.33%, 04/17/20 (b),(e),(g) | 1,805,000 | 1,756,084 | ||||||||
Kingsland IV Ltd., Series 2007-4A, Class E, 3.64%, 04/16/21 (b),(e),(g) | 628,000 | 587,306 | ||||||||
KKR Financial CLO Ltd., | ||||||||||
Series 10, Class D, | 1,200,000 | 1,093,680 | ||||||||
Series 2012-1A, Class C, 4.79%, 12/15/24 (b),(e),(g) | 500,000 | 485,200 | ||||||||
LightPoint CLO V Ltd., Series 2006-5A, Class D, 3.96%, 08/05/19 (b),(e),(g) | 670,000 | 666,650 | ||||||||
Madison Park Funding X Ltd., Series 2012-10A, Class E, 5.54%, 01/20/25 (b),(e),(g) | 1,700,000 | 1,575,730 | ||||||||
Madison Park Funding XVI Ltd., Series 2015-16A, Class C, 4.00%, 04/20/26 (b),(e),(g) | 350,000 | 338,625 | ||||||||
MidOcean Credit CLO III, | ||||||||||
Series 2014-3A, Class D, 4.04%, 07/21/26 (b),(e),(g) | 3,268,000 | 3,003,292 | ||||||||
Series 2014-3A, Class E, 5.54%, 07/21/26 (b),(e),(g) | 2,594,000 | 2,214,757 | ||||||||
MMCAPS Funding XIX Ltd. / MMCAPS Funding XIX Corp., | 64,307 | — | ||||||||
MSIM Peconic Bay Ltd., Series 2007-1A, Class E, 5.79%, 07/20/19 (b),(e),(g) | 184,256 | 184,256 | ||||||||
Ocean Trails CLO V, | ||||||||||
Series 2014-5A, Class D, 4.25%, 10/13/26 (b),(e),(g) | 800,000 | 745,360 | ||||||||
Series 2014-5A, Class E, 5.64%, 10/13/26 (b),(e),(g) | 800,000 | 680,240 | ||||||||
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, | 350,000 | 347,305 | ||||||||
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class E, | 600,000 | 521,820 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Octagon Investment Partners XX Ltd., Series 2014-1A, Class E, | $ | 1,525,000 | $ | 1,347,490 | ||||||
OZLM Funding IV Ltd., Series 2013-4A, Class D, 4.95%, 07/22/25 (b),(e),(g) | 400,000 | 354,240 | ||||||||
OZLM Funding V Ltd., | ||||||||||
Series 2013-5A, Class C, 3.79%, 01/17/26 (b),(e),(g) | 2,050,000 | 1,933,765 | ||||||||
Series 2013-5A, Class D, 5.04%, 01/17/26 (b),(e),(g) | 1,400,000 | 1,219,120 | ||||||||
OZLM VII Ltd., Series 2014-7A, Class C, 3.89%, 07/17/26 (b),(e),(g) | 1,300,000 | 1,233,830 | ||||||||
Preferred Term Securities X Ltd. / Preferred Term Securities X, Inc., | 539,225 | 469,125 | ||||||||
Preferred Term Securities XXIV Ltd. / Preferred Term Securities XXIV, Inc., 0.64%, 03/22/37 (b),(e),(g) | 3,544,348 | 2,587,374 | ||||||||
Red River CLO Ltd., Series 1A, Class D, 1.95%, 07/27/18 (b),(e),(g) | 5,500,000 | 5,422,450 | ||||||||
Sound Point CLO I Ltd., Series 2012-1A, Class E, 6.29%, 10/20/23 (b),(e),(g) | 300,000 | 284,610 | ||||||||
Sound Point CLO IX Ltd., Series 2015-2A, Class D, 4.02%, 07/20/27 (b),(e),(g) | 500,000 | 462,700 | ||||||||
Stone Tower CLO VI Ltd., Series 2007-6A, Class D, 3.89%, 04/17/21 (b),(e),(g) | 1,085,000 | 1,036,934 | ||||||||
Symphony CLO IX Ltd., Series 2012-9A, Class E, 5.29%, 04/16/22 (b),(e),(g) | 1,000,000 | 966,800 | ||||||||
Symphony CLO XI Ltd., Series 2013-11A, Class D, 4.29%, 01/17/25 (b),(e),(g) | 500,000 | 496,150 | ||||||||
Symphony CLO XII Ltd., Series 2013-12A, Class D, 3.79%, 10/15/25 (b),(e),(g) | 500,000 | 486,050 | ||||||||
Venture CDO Ltd., | ||||||||||
Series 2007-13A, Class A3, 0.74%, 11/09/42 (b),(e),(g) | 863,000 | 483,280 | ||||||||
Series 2013-15A, Class C, 3.39%, 07/15/25 (b),(e),(g) | 1,300,000 | 1,274,780 | ||||||||
Venture X CLO Ltd., Series 2012-10A, Class D, 4.49%, 07/20/22 (b),(e),(g) | 500,000 | 495,350 | ||||||||
Venture XIX CLO Ltd., Series 2014-19A, Class D, 4.29%, 01/15/27 (b),(e),(g) | 2,500,000 | 2,427,500 | ||||||||
Vibrant CLO Ltd., Series 2015-3A, Class C, 3.94%, 04/20/26 (b),(e),(g) | 483,000 | 455,276 | ||||||||
WhiteHorse Ltd., Series 2014-1A, Class D, 3.84%, 05/01/26 (b),(e),(g) | 497,800 | 450,808 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
WhiteHorse VI Ltd., | ||||||||||
Series 2012-1A, Class B2L, 5.55%, 02/03/25 (b),(e),(g) | $ | 396,000 | $ | 339,372 | ||||||
Series 2013-1A, Class B2L, 5.08%, 11/24/25 (b),(e),(g) | 417,000 | 341,732 | ||||||||
|
| |||||||||
Total Cayman Islands | 70,020,849 | |||||||||
|
| |||||||||
United States — 4.8% | ||||||||||
Ares IIIR/IVR CLO Ltd., Series 2007-3RA, Class E, 3.79%, 04/16/21 (b),(e),(g) | 436,000 | 408,968 | ||||||||
Ascentium Equipment Receivable, Series 2015-1A, Class E, 5.92%, 06/12/23 (b),(e),(f) | 410,000 | 412,132 | ||||||||
Bear Stearns Asset Backed Securities Trust, Series 2007-2, Class A2, | 591,227 | 557,764 | ||||||||
Carlyle Global Market Strategies CLO Ltd., | ||||||||||
Series 2014-1A, Class D, | 1,000,000 | 949,300 | ||||||||
Series 2015-2A, Class D, | 700,000 | 611,870 | ||||||||
Countrywide Home Equity Loan Trust, | ||||||||||
Series 2004-P, Class 2A, | 6,026 | 5,179 | ||||||||
Series 2006-G, Class 2A, | 43,853 | 37,495 | ||||||||
CPS Auto Receivables Trust, | ||||||||||
Series 2014-B, Class D, | 433,000 | 422,175 | ||||||||
Series 2014-C, Class D, | 881,000 | 856,684 | ||||||||
Credit Suisse Mortgage Trust, | ||||||||||
Series 2015-RPL2, Class A1A, | 4,083,335 | 4,067,819 | ||||||||
Series 2015-RPL3, Class A1, | 4,508,508 | 4,463,422 | ||||||||
Drive Auto Receivables Trust, Series 2015-AA, Class D, 4.12%, 06/15/22 (b),(e) | 200,000 | 201,900 | ||||||||
Drive Auto Receivables Trust 2015-C, Series 2015-CA, Class D, | 1,700,000 | 1,704,420 | ||||||||
DT Auto Owner Trust, Series 2014-3A, Class D, | 1,300,000 | 1,314,300 | ||||||||
Education Funding LLC, Series 2006-1A, | 3,940,110 | 3,620,173 | ||||||||
Exeter Automobile Receivables Trust, | ||||||||||
Series 2013-1A, Class D, | 2,800,000 | 2,836,680 |
See Notes to Consolidated Financial Statements.
45
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2013-2A, Class D, | $ | 2,200,000 | $ | 2,288,000 | ||||||
Series 2014-2A, Class D, | 400,000 | 398,080 | ||||||||
FFCA Secured Lending Corp., Series 1999-2, Class WA1C, 7.85%, 05/18/26 (b),(e),(f) | 214,633 | 221,072 | ||||||||
Fraser Sullivan CLO II Ltd., Series 2006-2A, Class E, 3.85%, 12/20/20 (b),(e),(g) | 2,284,000 | 2,256,135 | ||||||||
Harch CLO III Ltd., Series 2007-1A, Class E, 4.04%, 04/17/20 (b),(e),(g) | 2,451,000 | 2,426,490 | ||||||||
HOA Funding LLC, Series 2015-1A, Class A2, 5.50%, 08/20/44 (b),(e),(f) | 536,000 | 500,822 | ||||||||
InCaps Funding II Ltd. / InCaps Funding II Corp., 1.49%, 01/15/34 (b),(e),(f),(g) | 1,168,706 | 1,086,896 | ||||||||
LEAF Receivables Funding 9 LLC, Series 2013-1, Class E2, 6.00%, 09/15/21 (b),(e),(f) | 241,000 | 241,771 | ||||||||
Morgan Stanley ABS Capital I, Inc. Trust, | ||||||||||
Series 2006-HE3, Class A2C, 0.35%, 04/25/36 (b),(g) | 743,706 | 723,254 | ||||||||
Series 2006-NC4, Class A2C, 0.34%, 06/25/36 (b),(g) | 1,158,580 | 1,071,107 | ||||||||
Nationstar HECM Loan Trust, Series 2015-1A, Class A, 3.84%, 05/25/18 (b),(e),(h) | 3,032,147 | 3,035,483 | ||||||||
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV2, 0.32%, 06/25/37 (b),(g) | 2,820,510 | 2,739,562 | ||||||||
Preferred Term Securities XVII Ltd. / Preferred Term Securities XVII, Inc., 0.84%, 06/23/35 (b),(e),(g) | 945,000 | 576,450 | ||||||||
RMAT LLC, Series 2015-RPL1, Class A1, 3.97%, 05/26/20 (b),(e),(g),(h) | 1,505,659 | 1,501,894 | ||||||||
SLM Private Credit Student Loan Trust, Series 2004-A, Class C, 1.29%, 06/15/33 (b),(g) | 743,650 | 699,552 | ||||||||
Soundview Home Loan Trust, Series 2007-OPT3, Class 2A2, 0.32%, 08/25/37 (b),(g) | 2,094,182 | 2,034,916 | ||||||||
Stone Tower CLO Ltd., Series 2006-5A, Class D, 4.04%, 07/16/20 (b),(e),(g) | 1,950,000 | 1,891,695 | ||||||||
Symphony CLO XVI Ltd., Series 2015-16A, Class D, 3.93%, 07/15/28 (b),(e),(g) | 1,200,000 | 1,148,400 | ||||||||
Venture IX CDO Ltd., Series 2007-9A, Class D, 4.43%, 10/12/21 (b),(e),(g) | 1,500,000 | 1,480,200 | ||||||||
Vericrest Opportunity Loan Trust, | ||||||||||
Series 2015-NPL4, Class A1, 3.50%, 02/25/55 (b),(e),(g) | 68,604 | 68,282 | ||||||||
Series 2015-NPL9, Class A1, 3.50%, 06/26/45 (b),(e),(g),(h) | 5,315,548 | 5,280,997 |
See Notes to Consolidated Financial Statements.
46
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Vericrest Opportunity Loan XXXI LLC, Series 2015-NPL2, Class A1, 3.38%, 02/25/55 (b),(e),(g) | $ | 1,796,469 | $ | 1,782,995 | ||||||
VOLT XXXVI LLC, Series 2015-NP10, Class A1, 3.63%, 07/25/45 (b),(e),(g),(h) | 4,068,479 | 4,053,426 | ||||||||
Westgate Resorts LLC, | ||||||||||
Series 2012-2A, Class C, 9.00%, 01/20/25 (b),(e) | 200,990 | 201,493 | ||||||||
Series 2014-1A, Class C, 5.50%, 12/20/26 (b),(e) | 2,068,644 | 2,076,505 | ||||||||
|
| |||||||||
Total United States | 62,255,758 | |||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES (COST $133,838,576) | 132,276,607 | |||||||||
|
| |||||||||
CONVERTIBLE BONDS — 0.8% | ||||||||||
Finland — 0.4% | ||||||||||
Communications Equipment — 0.4% | ||||||||||
Nokia Oyj, 5.00%, 10/26/17 (b) | 1,600,000 | EUR | 4,563,102 | |||||||
|
| |||||||||
Total Finland | 4,563,102 | |||||||||
|
| |||||||||
Germany — 0.1% | ||||||||||
Automobiles Manufacturing — 0.1% | ||||||||||
Volkswagen International Finance NV Co. REG S, 5.50%, 11/09/15 (b),(d) | 2,400,000 | EUR | 1,784,174 | |||||||
|
| |||||||||
Total Germany | 1,784,174 | |||||||||
|
| |||||||||
Spain — 0.3% | ||||||||||
Wireless Telecommunication Services — 0.3% | ||||||||||
Telefonica Participacion Co. REG S, 4.90%, 09/25/17 (b) | 3,600,000 | EUR | 3,827,943 | |||||||
|
| |||||||||
Total Spain | 3,827,943 | |||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS | 10,175,219 | |||||||||
|
| |||||||||
BANK LOANS — 1.1% | ||||||||||
Netherlands — 0.1% | ||||||||||
Exploration & Production — 0.1% | ||||||||||
Endeavour International Holding BV, 11.00%, 01/02/17 (b),(f),(g) | $ | 2,619,844 | 1,732,372 | |||||||
|
| |||||||||
Total Netherlands | 1,732,372 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
47
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
United Kingdom — 0.0% | ||||||||||
Transportation & Logistics — 0.0% | ||||||||||
Ceva Logistics U.S. Holdings, 6.50%, 03/19/21 (b),(f),(g) | $ | 151,387 | $ | 135,220 | ||||||
Ceva Logistics Canada, 6.50%, 03/19/21 (b),(f),(g) | 18,923 | 16,903 | ||||||||
Ceva Intercompany BV, 6.50%, 03/19/21 (b),(f),(g) | 109,756 | 98,035 | ||||||||
Ceva Group PLC, 6.50%, 03/19/21 (b),(f),(g) | 105,663 | 94,380 | ||||||||
|
| |||||||||
Total United Kingdom | 344,538 | |||||||||
|
| |||||||||
United States — 1.0% | ||||||||||
Casinos & Gaming — 0.1% | ||||||||||
Caesars Entertainment Resort Properties LLC, 10/11/20 (b),(f),(g),(i) | 994,937 | 925,291 | ||||||||
|
| |||||||||
Financial Services — 0.7% | ||||||||||
MF Global Finance USA, Inc., 06/15/16 (b),(f),(g),(i) | 26,532,183 | 9,816,908 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.1% | ||||||||||
Clear Channel Communications, 6.93%, 01/30/19 (b),(f),(g) | 314,582 | 260,317 | ||||||||
LBI Media, Inc., 6.56%, 03/31/18 (b),(f),(g) | 837,278 | 837,278 | ||||||||
|
| |||||||||
1,097,595 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
New Lightsquared LLC, 1.00%, 06/15/20 (b),(f),(g) | 1,072,010 | 1,042,529 | ||||||||
|
| |||||||||
Total United States | 12,882,323 | |||||||||
|
| |||||||||
TOTAL BANK LOANS | 14,959,233 | |||||||||
|
| |||||||||
CORPORATE BONDS & NOTES — 5.7% | ||||||||||
Brazil — 0.1% | ||||||||||
Integrated Oils — 0.1% | ||||||||||
Petrobras Global Finance BV, 6.85%, 06/05/2115 | 2,288,000 | 1,441,440 | ||||||||
|
| |||||||||
Total Brazil | 1,441,440 | |||||||||
|
| |||||||||
Canada — 0.1% | ||||||||||
Electrical Equipment Manufacturing — 0.0% | ||||||||||
NCSG Crane & Heavy Haul Services, Inc., 9.50%, 08/15/19 (b),(e) | 40,000 | 23,200 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
48
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Publishing & Broadcasting — 0.1% | ||||||||||
Postmedia Network, Inc., 12.50%, 07/15/18 (b),(d) | $ | 1,314,000 | $ | 1,300,860 | ||||||
|
| |||||||||
Total Canada | 1,324,060 | |||||||||
|
| |||||||||
Ecuador — 0.1% | ||||||||||
Refining & Marketing — 0.1% | ||||||||||
EP PetroEcuador via Noble Sovereign Funding I Ltd. REG S, 5.96%, 09/24/19 (g) | 979,368 | 756,562 | ||||||||
|
| |||||||||
Total Ecuador | 756,562 | |||||||||
|
| |||||||||
France — 0.2% | ||||||||||
Property & Casualty Insurance — 0.2% | ||||||||||
Groupama SA REG S, 6.38%, (b),(g),(j) | 2,600,000 | EUR | 2,772,679 | |||||||
|
| |||||||||
Publishing & Broadcasting — 0.0% | ||||||||||
PagesJaunes Finance & Co. SCA REG S, 8.88%, 06/01/18 (b) | 300,000 | EUR | 254,780 | |||||||
|
| |||||||||
Total France | 3,027,459 | |||||||||
|
| |||||||||
Germany — 0.3% | ||||||||||
Banks — 0.3% | ||||||||||
HSH Nordbank AG REG S, | ||||||||||
MTN, 0.78%, 02/14/17 (b),(g) | 2,257,000 | EUR | 2,030,186 | |||||||
MTN, 0.82%, 02/14/17 (b),(g) | 1,922,000 | EUR | 1,718,114 | |||||||
|
| |||||||||
Total Germany | 3,748,300 | |||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
Banks — 0.1% | ||||||||||
UT2 Funding PLC, 5.32%, 06/30/16 (b) | 1,350,000 | EUR | 1,525,611 | |||||||
|
| |||||||||
Total Ireland | 1,525,611 | |||||||||
|
| |||||||||
Luxembourg — 0.1% | ||||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Intelsat Jackson Holdings SA, 7.25%, 04/01/19 (b),(c),(d) | $ | 1,230,000 | 1,153,125 | |||||||
|
| |||||||||
Total Luxembourg | 1,153,125 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
Food & Beverage — 0.1% | ||||||||||
CEDC Finance Corp. International, Inc., 10.00%, 04/30/18 (b),(g),(k) | 1,419,858 | 1,221,078 | ||||||||
|
| |||||||||
Total Poland | 1,221,078 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
49
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Sweden — 0.1% | ||||||||||
Chemicals — 0.1% | ||||||||||
Perstorp Holding AB, | ||||||||||
8.75%, 05/15/17 (b),(e) | $ | 598,000 | $ | 612,950 | ||||||
11.00%, 08/15/17 (b),(e) | 241,000 | 248,230 | ||||||||
|
| |||||||||
Total Sweden | 861,180 | |||||||||
|
| |||||||||
United Kingdom — 0.1% | ||||||||||
Transportation & Logistics — 0.1% | ||||||||||
Algeco Scotsman Global Finance PLC, | ||||||||||
8.50%, 10/15/18 (b),(e) | 287,000 | 251,182 | ||||||||
9.00%, 10/15/18 (b) | 100,000 | EUR | 97,893 | |||||||
CEVA Group PLC, | $ | 1,528,180 | 1,348,619 | |||||||
|
| |||||||||
Total United Kingdom | 1,697,694 | |||||||||
|
| |||||||||
United States — 4.3% | ||||||||||
Cable & Satellite — 0.2% | ||||||||||
WideOpenWest Finance LLC / WideOpenWest Capital Corp., 10.25%, 07/15/19 (b),(d) | 2,475,000 | 2,493,563 | ||||||||
|
| |||||||||
Casinos & Gaming — 0.3% | ||||||||||
Caesars Entertainment Operating Co., Inc., | ||||||||||
02/01/16 (a),(b),(i) | 15,000 | 3,900 | ||||||||
12/15/18 (a),(b),(i) | 1,989,692 | 606,856 | ||||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma, | 1,821,000 | 1,898,392 | ||||||||
Golden Nugget Escrow, Inc., 8.50%, 12/01/21 (b),(d),(e) | 665,000 | 668,325 | ||||||||
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 03/15/19 (b),(e) | 545,000 | 558,625 | ||||||||
International Game Technology plc, 6.50%, 02/15/25 (b),(c),(e) | 464,000 | 417,600 | ||||||||
|
| |||||||||
4,153,698 | ||||||||||
|
| |||||||||
Commercial Finance — 0.1% | ||||||||||
NewStar Financial, Inc., | 947,000 | 942,265 | ||||||||
|
| |||||||||
Communications Equipment — 0.0% | ||||||||||
Plantronics, Inc., 5.50%, 05/31/23 (b),(e) | 422,000 | 423,055 | ||||||||
|
| |||||||||
Construction Materials Manufacturing — 0.0% | ||||||||||
NWH Escrow Corp., 7.50%, 08/01/21 (b),(d),(e),(f) | 420,000 | 382,200 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
50
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Consumer Finance — 0.1% | ||||||||||
DFC Finance Corp., 10.50%, 06/15/20 (b),(e) | $ | 1,700,000 | $ | 998,750 | ||||||
|
| |||||||||
Consumer Services — 0.1% | ||||||||||
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 05/15/20 (b),(d),(e) | 150,000 | 136,500 | ||||||||
Sotheby’s, 5.25%, 10/01/22 (b),(d),(e) | 560,000 | 518,000 | ||||||||
|
| |||||||||
654,500 | ||||||||||
|
| |||||||||
Entertainment Contents — 0.1% | ||||||||||
DreamWorks Animation SKG, Inc., 6.88%, 08/15/20 (b),(d),(e) | 360,000 | 349,200 | ||||||||
Production Resource Group, Inc., 8.88%, 05/01/19 (b) | 1,500,000 | 1,200,000 | ||||||||
|
| |||||||||
1,549,200 | ||||||||||
|
| |||||||||
Entertainment Resources — 0.0% | ||||||||||
Mohegan Tribal Gaming Authority, | 398,000 | 404,965 | ||||||||
|
| |||||||||
Financial Services — 0.6% | ||||||||||
MF Global Holdings Ltd., | ||||||||||
02/01/16 (a),(b),(f),(i) | 18,472,000 | 3,694,400 | ||||||||
08/01/18 (a),(b),(f),(i) | 6,000,000 | 1,200,000 | ||||||||
08/08/16 (a),(b),(f),(i) | 4,000,000 | 800,000 | ||||||||
Opal Acquisition, Inc., 8.88%, 12/15/21 (b),(e) | 274,000 | 257,903 | ||||||||
ROC Finance LLC / ROC Finance 1 Corp., 12.13%, 09/01/18 (b),(d),(e) | 2,131,000 | 2,245,541 | ||||||||
|
| |||||||||
8,197,844 | ||||||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Post Holdings, Inc., | ||||||||||
7.38%, 02/15/22 (b),(c) | 112,000 | 113,960 | ||||||||
8.00%, 07/15/25 (b),(e) | 45,000 | 46,322 | ||||||||
|
| |||||||||
160,282 | ||||||||||
|
| |||||||||
Forest & Paper Products Manufacturing — 0.1% | ||||||||||
Resolute Forest Products, Inc., 5.88%, 05/15/23 (b),(d) | 778,000 | 579,610 | ||||||||
|
| |||||||||
Hardware — 0.2% | ||||||||||
Global Cash Access, Inc., | 1,213,000 | 1,128,090 | ||||||||
Real Alloy Holding, Inc., | 1,057,000 | 1,083,425 | ||||||||
|
| |||||||||
2,211,515 | ||||||||||
|
|
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, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Health Care Facilities/Services — 0.3% | ||||||||||
inVentiv Health, Inc., 10.00%, 08/15/18 (b),(c),(d) | $ | 1,307,000 | $ | 1,277,592 | ||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, | 605,000 | 588,363 | ||||||||
Universal Hospital Services, Inc., 7.63%, 08/15/20 (b),(d) | 1,446,000 | 1,355,625 | ||||||||
|
| |||||||||
3,221,580 | ||||||||||
|
| |||||||||
Home Improvement — 0.0% | ||||||||||
Empire Today LLC / Empire Today Finance Corp., 11.38%, 02/01/17 (b),(d),(e) | 570,000 | 524,400 | ||||||||
|
| |||||||||
Industrial Other — 0.0% | ||||||||||
Kratos Defense & Security Solutions, Inc., 7.00%, 05/15/19 (b),(c) | 187,000 | 151,470 | ||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
AK Steel Corp. ,7.625%, 05/15/20—10/01/21 (b) | 559,000 | 301,138 | ||||||||
|
| |||||||||
Pipeline — 0.2% | ||||||||||
Energy Transfer Equity LP, 5.50%, 06/01/27 (b) | 1,362,000 | 1,130,460 | ||||||||
Sabine Pass Liquefaction LLC, 5.63%, 02/01/21 (b) | 2,001,000 | 1,855,927 | ||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | 177,000 | 169,035 | ||||||||
|
| |||||||||
3,155,422 | ||||||||||
|
| |||||||||
Power Generation — 0.1% | ||||||||||
NRG Energy, Inc., | ||||||||||
6.25%, 07/15/22—05/01/24 (b) | 445,000 | 398,818 | ||||||||
6.63%, 03/15/23 (b),(d) | 372,000 | 342,240 | ||||||||
|
| |||||||||
741,058 | ||||||||||
|
| |||||||||
Publishing & Broadcasting — 0.7% | ||||||||||
American Media, Inc., 11.50%, 12/15/17 (b),(d) | 2,890,000 | 2,962,250 | ||||||||
LBI Media, Inc., | ||||||||||
10.00%, 04/15/19 (b),(e) | 1,985,000 | 2,014,775 | ||||||||
13.50%, 04/15/20 (b),(e) | 615,672 | 615,672 | ||||||||
Lee Enterprises, Inc., | 1,868,000 | 1,737,240 | ||||||||
Time, Inc., 5.75%, 04/15/22 (b),(e) | 1,358,000 | 1,273,125 | ||||||||
|
| |||||||||
8,603,062 | ||||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.25%, 10/15/23 (b),(d) | 1,050,000 | 897,750 | ||||||||
|
|
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, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Retail—Consumer Discretionary — 0.7% | ||||||||||
Claire’s Stores, Inc., 9.00%, 03/15/19 (b),(e) | $ | 3,270,000 | $ | 2,607,825 | ||||||
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.00%, 06/01/21 (b),(e) | 6,150,000 | 5,565,750 | ||||||||
Ferrellgas LP / Ferrellgas Finance Corp., | 464,000 | 422,240 | ||||||||
Toys R Us Property Co. II LLC, | 795,000 | 761,212 | ||||||||
|
| |||||||||
9,357,027 | ||||||||||
|
| |||||||||
Software & Services — 0.1% | ||||||||||
iPayment, Inc., 9.50%, 12/15/19 (b),(c),(e) | 1,558,509 | 1,542,924 | ||||||||
|
| |||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Sprint Communications, Inc., | 1,034,000 | 863,390 | ||||||||
|
| |||||||||
Wireline Telecommunication Services — 0.2% | ||||||||||
Frontier Communications Corp., | 2,903,000 | 2,394,975 | ||||||||
Windstream Corp., 7.75%, 10/01/21 (b),(d) | 363,000 | 281,325 | ||||||||
|
| |||||||||
2,676,300 | ||||||||||
|
| |||||||||
Total United States | 55,186,968 | |||||||||
|
| |||||||||
Venezuela — 0.1% | ||||||||||
Integrated Oils — 0.1% | ||||||||||
Petroleos de Venezuela SA REG S, 6.00%, 11/15/26 | 5,520,000 | 1,766,124 | ||||||||
|
| |||||||||
Total Venezuela | 1,766,124 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | 73,709,601 | |||||||||
|
| |||||||||
SOVEREIGN DEBT — 3.1% | ||||||||||
Argentina Boden Bonds, 7.00%, 10/03/15 (d) | 4,434,000 | 4,562,586 | ||||||||
Argentine Republic Government International Bond, | ||||||||||
12/31/33 (a),(i) | 2,644,871 | EUR | 2,662,796 | |||||||
12/31/33 (a),(h),(i) | $ | 4,147,229 | 4,219,805 | |||||||
06/02/17 (a),(i) | 1,974,873 | 1,984,747 | ||||||||
Ecuador Government International Bond REG S, 10.50%, 03/24/20 | 2,353,000 | 1,764,750 | ||||||||
Hellenic Republic Government Bond REG S, | ||||||||||
3.00%, 02/24/23—02/24/42 (d),(g),(k) | 6,903,000 | 4,827,622 | ||||||||
3.38%, 07/17/17 (e) | 848,000 | EUR | 840,784 | |||||||
4.75%, 04/17/19 (e) | 1,118,000 | EUR | 1,087,423 |
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, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Kazakhstan Government International Bond, | ||||||||||
MTN, 5.13%, 07/21/25 | $ | 2,401,000 | $ | 2,311,443 | ||||||
MTN, 6.50%, 07/21/45 | 200,000 | 187,830 | ||||||||
Pakistan Government International Bond REG S, 6.75%, 12/03/19 (d) | 1,455,000 | 1,485,818 | ||||||||
Perusahaan Penerbit SBSN Indonesia III REG S, 4.33%, 05/28/25 | 1,064,000 | 980,263 | ||||||||
Portugal Obrigacoes do Tesouro OT REG S, 4.10%, 02/15/45 (e) | 1,266,000 | EUR | 1,594,438 | |||||||
Republic of Cyprus REG S, 3.88%, 05/06/22 | 3,511,000 | EUR | 3,965,090 | |||||||
Republic of Iraq REG S, 5.80%, 01/15/28 | $ | 3,130,000 | 2,154,867 | |||||||
Republic of Venezuela REG S, 5.75%, 02/26/16 | 1,217,000 | 1,025,323 | ||||||||
Russian Federation REG S, 5.63%, 04/04/42 | 4,600,000 | 4,301,920 | ||||||||
|
| |||||||||
TOTAL SOVEREIGN DEBT | 39,957,505 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES — 24.4% | ||||||||||
Cayman Islands — 1.6% | ||||||||||
Collateralized Debt Obligation (Commercial) — 1.2% | ||||||||||
Cobalt Commercial Mortgage, Series 2005-1A, Class B, 0.77%, 05/25/45 (b),(e),(g) | 721,207 | 702,276 | ||||||||
Gramercy Real Estate CDO Ltd., Series 2007-1A, Class A1, 0.60%, 08/15/56 (b),(e),(g) | 1,450,875 | 1,346,412 | ||||||||
Marathon Real Estate CDO Ltd., Series 2006-1A, Class B, 0.62%, 05/25/46 (b),(e),(g) | 273,000 | 263,445 | ||||||||
N-Star REL CDO VI Ltd., Series 2006-6A, Class B, 0.78%, 06/16/41 (b),(e),(g) | 1,936,000 | 1,641,147 | ||||||||
NorthStar Real Estate CDO Ltd., Series 2013-1A, Class B, 5.20%, 08/25/29 (b),(e),(g) | 1,000,000 | 1,001,300 | ||||||||
RAIT CRE CDO I Ltd., Series 2006-1A, Class A2, 0.57%, 11/20/46 (b),(e),(g) | 474,000 | 419,490 | ||||||||
Resource Capital Corp. Ltd., | ||||||||||
Series 2014-CRE2, Class B, 2.71%, 04/15/32 (b),(e),(g) | 1,329,000 | 1,321,557 | ||||||||
Series 2015-CRE3, Class D, 4.20%, 03/15/32 (b),(e),(g) | 2,100,000 | 2,099,370 | ||||||||
SRERS Funding Ltd., Series 2011-RS, Class A1B1, 0.44%, 05/09/46 (b),(e),(g) | 6,284,721 | 6,120,061 | ||||||||
|
| |||||||||
14,915,058 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 0.4% | ||||||||||
PFP III Ltd., Series 2014-1, Class D, | 5,300,000 | 5,277,210 | ||||||||
|
| |||||||||
Total Cayman Islands | 20,192,268 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
54
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
United States — 22.8% | ||||||||||
Collateralized Mortgage Obligation (Residential) — 11.5% | ||||||||||
Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1, 2.79%, 05/25/35 (b),(g) | $ | 1,733,320 | $ | 1,717,720 | ||||||
Banc of America Alternative Loan Trust, Series 2005-6, Class 2CB2, 6.00%, 07/25/35 (b) | 641,001 | 608,438 | ||||||||
Banc of America Funding Corp., | ||||||||||
Series 2006-A, Class 3A2, | 1,067,413 | 880,616 | ||||||||
Series 2006-H, Class 2A3, | 5,187,200 | 4,419,494 | ||||||||
Series 2006-I, Class 6A1, | 693,962 | 548,230 | ||||||||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 4.49%, 07/25/25 (b),(e),(g) | 362,000 | 362,905 | ||||||||
Chase Mortgage Finance Trust, Series 2007-A2, Class 3A2, 2.63%, 07/25/37 (b),(g) | 427,350 | 404,059 | ||||||||
Citicorp Mortgage Securities Trust, | ||||||||||
Series 2006-3, Class 1A10, | 2,996,370 | 3,058,694 | ||||||||
Series 2007-1, Class 1A3, 5.75%, 01/25/37 (b) | 541,007 | 547,067 | ||||||||
Connecticut Avenue Securities, | ||||||||||
Series 2014-C01, Class M2, | 390,000 | 393,666 | ||||||||
Series 2014-C02, Class 1M2, | 7,651,567 | 6,747,917 | ||||||||
Series 2014-C02, Class 2M2, | 176,000 | 158,224 | ||||||||
Series 2014-C03, Class 2M2, | 23,987,452 | 21,682,257 | ||||||||
Series 2014-C03, Class 1M2, | 10,739,817 | 9,716,312 | ||||||||
Series 2014-C04, Class 1M2, | 371,000 | 371,594 | ||||||||
Series 2014-C04, Class 2M2, | 1,365,420 | 1,375,661 | ||||||||
Series 2015-C01, Class 1M2, | 11,277,682 | 10,996,868 | ||||||||
Series 2015-C01, Class 2M2, | 16,108,671 | 16,000,743 | ||||||||
Series 2015-C02, Class 1M2, | 7,513,650 | 7,153,746 | ||||||||
Series 2015-C02, Class 2M2, | 3,001,000 | 2,869,556 |
See Notes to Consolidated Financial Statements.
55
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Countrywide Alternative Loan Trust, | ||||||||||
Series 2005-21CB, Class A17, | $ | 778,826 | $ | 780,461 | ||||||
Series 2005-J2, Class 1A5, | 869,295 | 757,591 | ||||||||
Countrywide Asset-Backed Certificates, Series 2006-BC4, Class 2A2, | 2,071,796 | 1,953,289 | ||||||||
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-19, Class 1A1, | 198,932 | 185,007 | ||||||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 3A2, 2.73%, 09/25/35 (b),(g) | 398,009 | 384,317 | ||||||||
JP Morgan Alternative Loan Trust, | ||||||||||
Series 2005-A2, Class 1A1, | 115,327 | 108,026 | ||||||||
Series 2006-S4, Class A6, | 332,058 | 318,908 | ||||||||
Series 2006-S4, Class A3A, | 542,181 | 512,470 | ||||||||
JP Morgan Mortgage Acquisition Trust, Series 2007-CH1, Class AF3 SEQ, | 456,066 | 464,594 | ||||||||
JP Morgan Mortgage Trust, Series 2007-A1, Class 5A6, 2.62%, 07/25/35 (b),(g) | 262,654 | 254,118 | ||||||||
Morgan Stanley Mortgage Loan Trust, Series 2005-11AR, Class A1, | 1,016,919 | 766,655 | ||||||||
RALI Trust, Series 2005-QA13, Class 2A1, | 1,367,161 | 1,170,017 | ||||||||
Structured Agency Credit Risk, | ||||||||||
Series 2013-DN2, Class M2, | 17,722,350 | 17,713,489 | ||||||||
Series 2014-DN1, Class M3, | 3,346,943 | 3,353,637 | ||||||||
Series 2014-DN4, Class M3, | 3,299,885 | 3,286,025 | ||||||||
Series 2014-HQ2, Class M3, | 3,909,266 | 3,670,801 | ||||||||
Series 2015-DN1, Class M3, | 4,179,285 | 4,169,255 | ||||||||
Series 2015-DNA1, Class M3, | 277,415 | 262,629 | ||||||||
Series 2015-HQ1, Class M3, | 1,834,334 | 1,777,836 |
See Notes to Consolidated Financial Statements.
56
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-HQA1, Class B, | $ | 2,600,000 | $ | 2,600,000 | ||||||
Structured Asset Securities Corp. Trust, Series 2005-4XS, Class 1A3, | 183,625 | 184,856 | ||||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||||
Series 2006-AR11, Class 3A1A, | 6,563,435 | 5,303,255 | ||||||||
Series 2006-AR9, Class 1A, | 7,620,229 | 6,705,801 | ||||||||
Series 2007-OA6, Class 1A, | 1,576,804 | 1,308,748 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||||
Series 2005-9, Class 1A12, 5.50%, 10/25/35 (b) | 118,437 | 119,965 | ||||||||
Series 2006-13, Class A5, 6.00%, 10/25/36 (b) | 410,506 | 421,303 | ||||||||
Series 2007-12, Class A6, 5.50%, 09/25/37 (b) | 251,565 | 257,653 | ||||||||
Series 2007-14, Class 1A1, 6.00%, 10/25/37 (b) | 971,057 | 971,931 | ||||||||
Series 2007-16, Class 1A7, 6.00%, 12/28/37 (b) | 285,851 | 290,596 | ||||||||
|
| |||||||||
150,067,000 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 9.4% | ||||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||
Series 2013-DSNY, Class F, | 900,000 | 900,000 | ||||||||
Series 2014-ICTS, Class E, | 900,000 | 897,210 | ||||||||
Series 2014-INLD, Class D, | 2,400,000 | 2,392,080 | ||||||||
BAMLL Mezzanine Securities Trust, Series 2015-ASMB, Class MZB, | 11,925,000 | 11,948,850 | ||||||||
BBCMS Trust, Series 2015-RRMZ, Class M1, | 2,900,000 | 2,900,000 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||||
Series 2005-PW10, Class AJ, | 6,346,987 | 6,325,407 | ||||||||
Series 2006-PW14, Class B, | 320,000 | 300,800 | ||||||||
Series 2006-T24, Class AJ, | 2,796,822 | 2,822,273 | ||||||||
Series 2007-PW15, Class AM, | 2,643,321 | 2,714,162 | ||||||||
Series 2007-PW15, Class AMFX, | 925,774 | 953,362 | ||||||||
Boca Hotel Portfolio Trust, Series 2013-BOCA, Class E, 3.96%, 08/15/26 (b),(e),(g) | 1,000,000 | 997,100 |
See Notes to Consolidated Financial Statements.
57
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
CD Commercial Mortgage Trust, Series 2007-CD4, Class AJ, 5.40%, 12/11/49 (b),(g) | $ | 3,517,000 | $ | 3,059,790 | ||||||
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class DPB, | 3,450,000 | 3,445,860 | ||||||||
CGBAM Commercial Mortgage Trust, Series 2014-HD, Class E, | 1,590,000 | 1,582,686 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2006-C5, Class AJ, | 1,757,343 | 1,752,598 | ||||||||
Series 2015-GC29, Class D, | 1,695,000 | 1,256,334 | ||||||||
Citigroup Mortgage Loan Trust, Inc., Series 2015-SHP2, Class E, | 500,000 | 501,450 | ||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2006-C1, Class AM SEQ, | 1,608,382 | 1,643,284 | ||||||||
COMM Mortgage Trust, Series 2015-CR23, Class D, 4.40%, 05/10/48 (b),(g) | 294,000 | 243,344 | ||||||||
Commercial Mortgage Loan Trust, Series 2008-LS1, Class AM, 6.23%, 12/10/49 (g),(h) | 2,647,992 | 2,540,748 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2000-C1, Class G, | 373,097 | 381,007 | ||||||||
Series 2006-C7, Class AJ, | 2,509,089 | 2,453,889 | ||||||||
Series 2007-C9, Class G, | 1,100,000 | 1,079,210 | ||||||||
Series 2014-TWC, Class E, | 2,000,000 | 1,985,400 | ||||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||||
Series 2006-C5, Class AJ, | 1,160,347 | 1,132,499 | ||||||||
Series 2007-C1, Class AMFX, | 2,248,287 | 2,314,162 | ||||||||
Series 2007-C1, Class AM, | 1,614,733 | 1,657,685 | ||||||||
Series 2007-C5, Class AM, | 1,126,578 | 1,155,531 | ||||||||
Series 2007-C5, Class A1AM, | 1,076,886 | 1,103,270 | ||||||||
Series 2015-SAND, Class F, | 2,441,000 | 2,441,000 |
See Notes to Consolidated Financial Statements.
58
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Credit Suisse Mortgage Trust, | ||||||||||
Series 2006-C4, Class AJ, | $ | 4,795,100 | $ | 4,811,403 | ||||||
Series 2007-C1, Class AMFL, | 39,000 | 35,829 | ||||||||
Series 2015-DEAL, Class E, | 2,500,000 | 2,490,250 | ||||||||
GE Capital Commercial Mortgage Corp., Series 2005-C3, Class G, | 287,654 | 289,265 | ||||||||
GS Mortgage Securities Corp. III, Series 2005-GG4, Class D, 4.94%, 07/10/39 (b),(g) | 72,000 | 70,466 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2006-GG6, Class D, | 1,009,000 | 999,213 | ||||||||
Series 2007-GG10, Class AM, | 3,765,975 | 3,797,609 | ||||||||
Hilton Mortgage Trust, Series 2014-ORL, Class F, | 1,410,840 | 1,387,984 | ||||||||
Hilton USA Trust, | ||||||||||
Series 2013-HLF, Class EFL, | 1,409,215 | 1,408,510 | ||||||||
Series 2013-HLT, Class EFX, | 2,277,577 | 2,301,036 | ||||||||
Series 2014-ORL, Class E, | 810,000 | 802,953 | ||||||||
Irvine Core Office Trust, Series 2013-IRV, Class F, | 370,175 | 308,208 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||
Series 2005-CB13, Class AJ, | 1,957,000 | 1,927,058 | ||||||||
Series 2006-CB14, Class AJ, | 901,005 | 886,364 | ||||||||
Series 2006-CB15, Class AM, | 780,871 | 790,241 | ||||||||
Series 2007-LD11, Class AM, | 3,646,870 | 3,781,075 | ||||||||
Series 2014-BXH, Class E, | 600,000 | 598,740 | ||||||||
Series 2014-C20, Class D, | 225,000 | 195,345 | ||||||||
Series 2014-CBM, Class E, | 900,000 | 889,470 |
See Notes to Consolidated Financial Statements.
59
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-CSMO, Class E, | $ | 2,600,000 | $ | 2,585,180 | ||||||
Series 2015-CSMO, Class D, | 800,000 | 792,720 | ||||||||
JP Morgan Chase Commercial Mortgage Trust, Series 2014-INN, Class E, | 1,500,000 | 1,497,450 | ||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class D, | 300,000 | 236,490 | ||||||||
JPMCC Commercial Mortgage Securities Trust, Series 2014-FRR1, Class B707, | 316,000 | 276,626 | ||||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class D, | 435,000 | 345,869 | ||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class AM, 6.03%, 06/12/50 (g),(h) | 3,570,611 | 3,713,078 | ||||||||
ML-CFC Commercial Mortgage Trust, | ||||||||||
Series 2007-7, Class AM, | 3,565,411 | 3,699,471 | ||||||||
Series 2007-8, Class AMA, | 3,604,266 | 3,729,334 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2014-C19, Class D, | 352,000 | 278,714 | ||||||||
Series 2015-C21, Class D, | 2,819,000 | 2,367,678 | ||||||||
Series 2015-C23, Class D, | 310,000 | 259,346 | ||||||||
Morgan Stanley Capital I Trust, | ||||||||||
Series 2007-IQ14, Class AM, | 2,111,336 | 2,188,189 | ||||||||
Series 2007-IQ14, Class AMFX, | 689,781 | 715,441 | ||||||||
Series 2007-T25, Class AJ, | 4,400,000 | 4,476,120 | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
Series 2005-C22, Class B, | 270,000 | 269,379 | ||||||||
Series 2006-C29, Class B, | 555,000 | 534,687 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2015-C27, Class D, | 190,000 | 151,050 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-LC20, Class D, | $ | 2,125,000 | $ | 1,782,875 | ||||||
|
| |||||||||
122,551,707 | ||||||||||
|
| |||||||||
Interest Only Commercial Mortgage-Backed Securities — 1.9% | ||||||||||
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class XA, | 13,220,199 | 1,015,311 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2014-CR18, Class XA, | 43,597,155 | 3,077,959 | ||||||||
Series 2014-LC17, Class XA, | 5,220,034 | 285,536 | ||||||||
Series 2014-UBS4, Class XA, | 70,857,931 | 5,257,658 | ||||||||
Series 2014-UBS5, Class XA, | 10,910,721 | 671,009 | ||||||||
Series 2015-CR23, Class XA, | 7,633,366 | 493,116 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C1, Class XA, | 6,742,139 | 436,216 | ||||||||
Series 2015-C2, Class XA, | 25,405,789 | 1,529,429 | ||||||||
Series 2015-C3, Class XA, | 6,485,339 | 372,907 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2014-GC24, Class XA, | 23,642,652 | 1,293,253 | ||||||||
Series 2015-GC32, Class XA, | 5,452,815 | 330,986 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2014-C22, Class XA, | 8,157,316 | 511,464 | ||||||||
Series 2015-C30, Class XA, | 12,004,725 | 534,210 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2014-C17, Class XA, | 11,778,431 | 836,269 | ||||||||
Series 2014-C19, Class XA, | 21,433,419 | 1,448,899 | ||||||||
Series 2015-C22, Class XA, | 25,985,047 | 1,993,053 | ||||||||
Series 2015-C23, Class XA, | 26,845,404 | 1,280,526 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2015-C28, Class XA, | $ | 16,898,671 | $ | 900,699 | ||||||
Series 2015-C29, Class XA, | 30,854,906 | 1,629,139 | ||||||||
WFRBS Commercial Mortgage Trust, Series 2014-C22, Class XA, | 5,385,203 | 323,651 | ||||||||
|
| |||||||||
24,221,290 | ||||||||||
|
| |||||||||
Total United States | 296,839,997 | |||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 317,032,265 | |||||||||
|
| |||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 1.9% | ||||||||||
United States — 1.9% | ||||||||||
Interest Only Collateralized Mortgage Obligations — 1.4% | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 4029, Class MI, 4.00%, 04/15/41 (b) | 13,707,868 | 2,372,832 | ||||||||
Series 4123, Class IP, 4.50%, 07/15/42 (b) | 4,508,997 | 993,783 | ||||||||
Series 4141, Class HI, 3.50%, 10/15/42 (b) | 11,196,692 | 1,919,113 | ||||||||
Series 4172, Class PI, 3.00%, 07/15/40 (b) | 18,331,416 | 1,710,321 | ||||||||
Series 4194, Class GI, 4.00%, 04/15/43 (b) | 11,936,309 | 2,265,511 | ||||||||
Series 4257, Class IK, 4.00%, 12/15/42 (b) | 12,017,321 | 2,366,211 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2012-12, Class PI, 4.50%, 08/25/40 (b) | 11,408,581 | 1,901,811 | ||||||||
Series 2012-148, Class CI, 3.00%, 11/25/42 (b) | 15,974,545 | 1,712,471 | ||||||||
Series 2013-54, Class IN, 3.50%, 03/25/43 (b) | 13,336,370 | 2,095,144 | ||||||||
Series 2013-83, Class PI, 3.00%, 10/25/41 (b) | 8,331,709 | 810,675 | ||||||||
|
| |||||||||
18,147,872 | ||||||||||
|
| |||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.5% | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 4094, Class SK, 5.84%, 08/15/42 (b),(g) | 1,372,296 | 332,644 | ||||||||
Series 4132, Class ES, 5.94%, 11/15/42 (b),(g) | 4,767,248 | 1,068,340 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2012-111, Class ES, | 9,009,514 | 1,779,379 | ||||||||
Series 2013-84, Class PS, | 12,261,451 | 2,355,425 | ||||||||
Government National Mortgage Association, | ||||||||||
Series 2009-101, Class SB, | 2,809,582 | 493,363 | ||||||||
Series 2010-61, Class SJ, | 3,043,229 | 528,000 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2011-56, Class SI, | $ | 2,475,742 | $ | 480,789 | ||||||
|
| |||||||||
7,037,940 | ||||||||||
|
| |||||||||
Total United States | 25,185,812 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES | 25,185,812 | |||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — 0.7% | ||||||||||
iShares Russell 2000 ETF | 12,829 | 1,400,927 | ||||||||
Powershares QQQ Trust Series 1 (d) | 17,732 | 1,804,408 | ||||||||
SPDR S&P 500 ETF Trust (b) | 31,222 | 5,983,072 | ||||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUND | 9,188,407 | |||||||||
|
| |||||||||
Security Description | Contracts | Value | ||||||||
PURCHASED OPTIONS — 0.9% | ||||||||||
Exchange-Traded Call Options — 0.0% | ||||||||||
Apple, Inc. Strike Price 120.00 USD | 651 | 10,416 | ||||||||
Atos Strike Price 72.00 EUR | 61 | 13,462 | ||||||||
Comcast Corp. Strike Price 60.00 USD | 913 | 90,387 | ||||||||
Comerica, Inc. Strike Price 50.00 USD | 314 | 26,690 | ||||||||
iShares Russell 2000 ETF Strike Price 110.50 USD | 589 | 22,971 | ||||||||
iShares US Real Estate Strike Price 74.00 USD | 1,167 | 4,668 | ||||||||
Liberty Global PLC Strike Price 62.50 USD | 369 | 14,760 | ||||||||
Liberty Global PLC Strike Price 60.00 USD | 634 | 12,680 | ||||||||
Liberty Global PLC Strike Price 52.50 USD | 56 | 4,340 | ||||||||
Liberty Global PLC Strike Price 55.00 USD | 143 | 5,363 | ||||||||
Liberty Global PLC Strike Price 57.50 USD | 158 | 4,740 | ||||||||
Nokia Oyj Strike Price 7.00 EUR | 608 | 2,038 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Contracts | Value | ||||||||
Nokia Oyj Strike Price 6.80 EUR | 608 | $ | 2,378 | |||||||
Nokia Oyj Strike Price 6.60 EUR | 608 | 4,076 | ||||||||
Nokia Oyj Strike Price 6.20 EUR | 605 | 31,097 | ||||||||
Nokia Oyj Strike Price 6.20 EUR | 605 | 25,351 | ||||||||
Nokia Oyj Strike Price 6.40 EUR | 603 | 19,877 | ||||||||
Nokia Oyj Strike Price 6.40 EUR | 603 | 6,064 | ||||||||
S&P 500 Index Strike Price 2,000.00 USD | 23 | 8,510 | ||||||||
S&P 500 Index Strike Price 1,930.00 USD | 57 | 49,590 | ||||||||
S&P 500 Index Strike Price 1,930.00 USD | 28 | 103,320 | ||||||||
SAP SE Strike Price 62.00 EUR | 62 | 797 | ||||||||
SAP SE Strike Price 60.00 EUR | 61 | 10,838 | ||||||||
SAP SE Strike Price 62.00 EUR | 61 | 5,760 | ||||||||
SAP SE Strike Price 64.00 EUR | 62 | 346 | ||||||||
Smith & Nephew PLC Strike Price 12.00 GBP | 49 | 32,244 | ||||||||
Vodafone Group PLC Strike Price 2.50 GBP | 1,105 | 4,179 | ||||||||
Vodafone Group PLC Strike Price 2.40 GBP | 442 | 18,387 | ||||||||
|
| |||||||||
535,329 | ||||||||||
|
| |||||||||
Exchange-Traded Put Options — 0.8% | ||||||||||
ABB Ltd. Strike Price 17.50 CHF | 208 | 11,311 | ||||||||
Allergan PLC Strike Price 240.00 USD | 41 | 9,020 | ||||||||
Dax Index Strike Price 10,200.00 EUR | 24 | 73,748 | ||||||||
Euro Stoxx 50 Index Strike Price 3,600.00 EUR | 32 | 179,356 | ||||||||
Euro Stoxx 50 Index Strike Price 3,100.00 EUR | 62 | 54,592 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Contracts | Value | ||||||||
Euro Stoxx 50 Index Strike Price 2,925.00 EUR | 30 | $ | 22,359 | |||||||
Euro Stoxx 50 Index Strike Price 3,050.00 EUR | 30 | 37,042 | ||||||||
Euro Stoxx 50 Index Strike Price 3,175.00 EUR | 18 | 33,408 | ||||||||
Financial Select Sector SPDR Strike Price 21.50 USD | 2,610 | 73,080 | ||||||||
Financial Select Sector SPDR Strike Price 22.00 USD | 1,957 | 78,280 | ||||||||
FTSE 100 Index Strike Price 5,900.00 GBP | 29 | 30,490 | ||||||||
FTSE 100 Index Strike Price 6,200.00 GBP | 20 | 90,765 | ||||||||
Heineken NV Strike Price 72.00 EUR | 60 | 23,499 | ||||||||
iShares Russell 2000 ETF Strike Price 112.00 USD | 475 | 339,625 | ||||||||
iShares Russell 2000 ETF Strike Price 110.00 USD | 261 | 66,033 | ||||||||
iShares Russell 2000 ETF Strike Price 105.00 USD | 634 | 55,792 | ||||||||
Powershares QQQ Trust Series 1 Strike Price 106.50 USD Expires 10/02/15 | 472 | 230,336 | ||||||||
S&P 500 Index Strike Price 1,900.00 USD | 374 | 1,153,790 | ||||||||
S&P 500 Index Strike Price 2,025.00 USD | 469 | 5,081,730 | ||||||||
S&P 500 Index Strike Price 1,800.00 USD | 252 | 182,700 | ||||||||
S&P 500 Index Strike Price 1,820.00 USD | 31 | 34,410 | ||||||||
S&P 500 Index Strike Price 1,840.00 USD | 84 | 108,360 | ||||||||
S&P 500 Index Strike Price 1,850.00 USD | 90 | 154,800 | ||||||||
S&P 500 Index Strike Price 1,910.00 USD | 326 | 1,506,120 | ||||||||
Shire PLC Strike Price 230.00 USD | 54 | 136,620 | ||||||||
SPDR S&P 500 ETF Trust Strike Price 180.00 USD | 771 | 212,796 | ||||||||
SPDR S&P 500 ETF Trust Strike Price 180.00 USD | 1,729 | 3,458 | ||||||||
SPDR S&P 500 ETF Trust Strike Price 188.00 USD | 634 | 114,754 |
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, 2015 (Unaudited)
Security Description | Contracts | Value | ||||||||
SPDR S&P 500 ETF Trust Strike Price 192.00 USD | 315 | $ | 127,575 | |||||||
|
| |||||||||
10,225,849 | ||||||||||
|
| |||||||||
OTC Call Options — 0.0% | ||||||||||
Mallinckrodt PLC Strike Price 80.00 USD | 37,100 | 55,343 | ||||||||
|
| |||||||||
55,343 | ||||||||||
|
| |||||||||
OTC Put Options — 0.1% | ||||||||||
Financial Select Sector SPDR Fund Strike Price 22.50 USD Expires 01/13/16 Counterparty Morgan Stanley & Co. International plc | 363,400 | 364,540 | ||||||||
iShares NASDAQ Biotechnology ETF (U.S.) Strike Price 285.00 USD Expires 10/16/15 Counterparty Morgan Stanley & Co. International plc | 23,200 | 121,178 | ||||||||
iShares PHLX Semiconductor ETF (U.S.) Strike Price 87.00 USD Expires 01/20/17 Counterparty Morgan Stanley & Co. International plc | 14,800 | 194,692 | ||||||||
iShares PHLX Semiconductor ETF (U.S.) Strike Price 87.00 USD Expires 01/20/17 Counterparty Credit Suisse International | 12,800 | 168,382 | ||||||||
KOSPI 200 Index Strike Price 171.29 KRW | 10,426,543 | 28,075 | ||||||||
SX5E Index Strike Price 2,428.69 EUR | 159 | 22,788 | ||||||||
SX5E Index Strike Price 2,399.39 EUR | 163 | 22,195 | ||||||||
|
| |||||||||
921,850 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS |
| 11,738,371 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
66
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
SHORT TERM INVESTMENT — MONEY MARKET FUND — 6.1% | ||||||||||
State Street Institutional Liquid Reserves Fund, 0.13%, 12/31/49 (b),(l) | 79,747,976 | $ | 79,747,976 | |||||||
|
| |||||||||
TOTAL SHORT TERM INVESTMENT — MONEY MARKET FUND | 79,747,976 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES — 96.1% |
| 1,250,281,759 | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (25.9)% |
| (337,064,692 | ) | |||||||
|
| |||||||||
Other Assets (n) — 29.8% |
| 388,279,957 | ||||||||
|
| |||||||||
Net Assets — 100.0% |
| $ | 1,301,497,024 | |||||||
|
|
* | As of September 30, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows. |
Tax Cost | $ | 1,320,862,267 | ||||||
|
| |||||||
Gross unrealized appreciation | $ | 18,082,185 | ||||||
Gross unrealized depreciation | (88,662,693 | ) | ||||||
|
| |||||||
Net unrealized depreciation | $ | (70,580,508 | ) | |||||
|
|
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, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
SECURITIES SOLD SHORT — (25.9)% | ||||||||||
COMMON STOCK — (20.5)% | ||||||||||
Argentina — (0.0)% | ||||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Arcos Dorados Holdings, Inc. A Shares | 7,200 | $ | (19,584 | ) | ||||||
|
| |||||||||
Total Argentina |
| (19,584 | ) | |||||||
|
| |||||||||
Bahamas — (0.0)% | ||||||||||
Recreation Facilities & Services — (0.0)% | ||||||||||
Steiner Leisure Ltd. | 300 | (18,954 | ) | |||||||
|
| |||||||||
Total Bahamas | (18,954 | ) | ||||||||
|
| |||||||||
Belgium — (0.0)% | ||||||||||
Software — (0.0)% | ||||||||||
Materialise NV ADR | 1,400 | (10,766 | ) | |||||||
|
| |||||||||
Total Belgium | (10,766 | ) | ||||||||
|
| |||||||||
Bermuda — (0.1)% | ||||||||||
Insurance — (0.0)% | ||||||||||
RenaissanceRe Holdings Ltd. | 3,900 | (414,648 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Golar LNG Ltd. | 27,500 | (766,700 | ) | |||||||
Teekay Corp. | 1,700 | (50,388 | ) | |||||||
Teekay Tankers Ltd. Class A | 2,000 | (13,800 | ) | |||||||
|
| |||||||||
(830,888 | ) | |||||||||
|
| |||||||||
Total Bermuda | (1,245,536 | ) | ||||||||
|
| |||||||||
Brazil — (0.1)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Bradesco SA ADR | 12,900 | (69,144 | ) | |||||||
Itau Unibanco Holding SA ADR | 1,200 | (7,944 | ) | |||||||
|
| |||||||||
(77,088 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Braskem SA ADR | 2,300 | (19,389 | ) | |||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
AMBEV SA ADR | 200 | (980 | ) | |||||||
BRF SA ADR | 8,100 | (144,099 | ) | |||||||
|
| |||||||||
(145,079 | ) | |||||||||
|
| |||||||||
Forest & Paper Products — (0.0)% | ||||||||||
Fibria Celulose SA ADR | 1,500 | (20,340 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
68
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Home & Office Products — (0.0)% | ||||||||||
Gafisa SA ADR | 600 | $ | (580 | ) | ||||||
|
| |||||||||
Iron & Steel — (0.1)% | ||||||||||
Cia Siderurgica Nacional SA ADR | 97,500 | (93,434 | ) | |||||||
Gerdau SA ADR | 3,600 | (4,932 | ) | |||||||
Vale SA ADR | 227,600 | (955,920 | ) | |||||||
|
| |||||||||
(1,054,286 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Cosan Ltd. A Shares | 100 | (289 | ) | |||||||
Petroleo Brasileiro SA ADR | 19,000 | (82,650 | ) | |||||||
|
| |||||||||
(82,939 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Gol Linhas Aereas Inteligentes SA ADR | 59,400 | (57,873 | ) | |||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
Oi SA ADR | 138,170 | (93,403 | ) | |||||||
Tim Participacoes SA ADR | 500 | (4,725 | ) | |||||||
|
| |||||||||
(98,128 | ) | |||||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Centrais Eletricas Brasileiras SA ADR | 800 | (1,032 | ) | |||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 1,500 | (5,820 | ) | |||||||
Cia Paranaense de Energia ADR | 1,500 | (12,315 | ) | |||||||
|
| |||||||||
(19,167 | ) | |||||||||
|
| |||||||||
Total Brazil | (1,574,869 | ) | ||||||||
|
| |||||||||
Canada — (1.0)% | ||||||||||
Apparel & Textile Products — (0.1)% | ||||||||||
Gildan Activewear, Inc. | 17,800 | (536,848 | ) | |||||||
|
| |||||||||
Automotive — (0.0)% | ||||||||||
Westport Innovations, Inc. | 12,700 | (31,623 | ) | |||||||
|
| |||||||||
Banking — (0.2)% | ||||||||||
Canadian Imperial Bank of Commerce | 4,900 | (352,604 | ) | |||||||
Royal Bank of Canada | 8,500 | (469,625 | ) | |||||||
Toronto-Dominion Bank | 25,700 | (1,013,094 | ) | |||||||
|
| |||||||||
(1,835,323 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Arbutus Biopharma Corp. | 25,800 | (157,122 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
69
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Chemicals — (0.0)% | ||||||||||
Agrium, Inc. | 600 | $ | (53,700 | ) | ||||||
BioAmber, Inc. | 200 | (1,070 | ) | |||||||
Methanex Corp. | 100 | (3,316 | ) | |||||||
|
| |||||||||
(58,086 | ) | |||||||||
|
| |||||||||
Design Manufacturing & Distribution — (0.0)% | ||||||||||
Celestica, Inc. | 100 | (1,289 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Restaurant Brands International, Inc. | 97 | (3,484 | ) | |||||||
|
| |||||||||
Hardware — (0.1)% | ||||||||||
Blackberry Ltd. (b) | 152,900 | (937,277 | ) | |||||||
Sierra Wireless, Inc. | 1,200 | (25,392 | ) | |||||||
|
| |||||||||
(962,669 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
Ritchie Bros Auctioneers, Inc. | 14,600 | (377,848 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Sun Life Financial, Inc. | 3,600 | (116,136 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
Alpha Pro Tech Ltd. | 100 | (199 | ) | |||||||
Novadaq Technologies, Inc. | 1,200 | (12,516 | ) | |||||||
|
| |||||||||
(12,715 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.3)% | ||||||||||
Agnico Eagle Mines Ltd. | 29,600 | (749,472 | ) | |||||||
B2GOLD Corp. | 1,700 | (1,785 | ) | |||||||
Barrick Gold Corp. | 70,200 | (446,472 | ) | |||||||
Cameco Corp. | 100 | (1,217 | ) | |||||||
Eldorado Gold Corp. | 2,100 | (6,762 | ) | |||||||
Endeavour Silver Corp. | 11,900 | (18,445 | ) | |||||||
First Majestic Silver Corp. | 19,300 | (61,760 | ) | |||||||
Franco-Nevada Corp. | 3,700 | (162,874 | ) | |||||||
Goldcorp, Inc. | 148,400 | (1,857,968 | ) | |||||||
IAMGOLD Corp. | 5,600 | (9,128 | ) | |||||||
New Gold, Inc. | 3,400 | (7,718 | ) | |||||||
NOVAGOLD Resources, Inc. | 29,900 | (107,939 | ) | |||||||
Pan American Silver Corp. | 61,000 | (387,350 | ) | |||||||
Pretium Resources, Inc. | 1,200 | (7,260 | ) | |||||||
Primero Mining Corp. | 8,883 | (20,698 | ) | |||||||
Rubicon Minerals Corp. | 500 | (375 | ) | |||||||
Sandstorm Gold Ltd. | 200 | (534 | ) | |||||||
Seabridge Gold, Inc. | 27,700 | (160,660 | ) |
See Notes to Consolidated Financial Statements.
70
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Silver Wheaton Corp. | 200 | $ | (2,402 | ) | ||||||
Tanzanian Royalty Exploration Corp. | 1,700 | (510 | ) | |||||||
Turquoise Hill Resources Ltd. | 65,700 | (167,535 | ) | |||||||
Yamana Gold, Inc. | 33,100 | (56,270 | ) | |||||||
|
| |||||||||
(4,235,134 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.1)% | ||||||||||
Baytex Energy Corp. | 26,500 | (84,800 | ) | |||||||
Bellatrix Exploration Ltd. | 1,300 | (1,976 | ) | |||||||
Cenovus Energy, Inc. | 14,800 | (224,368 | ) | |||||||
Crescent Point Energy Corp. | 3,600 | (41,148 | ) | |||||||
Encana Corp. | 42,900 | (276,276 | ) | |||||||
Enerplus Corp. | 35,400 | (172,044 | ) | |||||||
Imperial Oil Ltd. | 1,100 | (34,771 | ) | |||||||
Pembina Pipeline Corp. | 8,400 | (201,684 | ) | |||||||
Pengrowth Energy Corp. | 32,500 | (27,950 | ) | |||||||
Penn West Petroleum Ltd. | 7,600 | (3,421 | ) | |||||||
Precision Drilling Corp. | 22,800 | (84,816 | ) | |||||||
TransCanada Corp. | 4,000 | (126,320 | ) | |||||||
Vermilion Energy, Inc. | 1,400 | (45,010 | ) | |||||||
|
| |||||||||
(1,324,584 | ) | |||||||||
|
| |||||||||
Real Estate — (0.0)% | ||||||||||
Brookfield Asset Management, Inc. Class A | 600 | (18,864 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Ballard Power Systems, Inc. | 21,500 | (25,800 | ) | |||||||
Hydrogenics Corp. | 100 | (806 | ) | |||||||
|
| |||||||||
(26,606 | ) | |||||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
Open Text Corp. | 5,700 | (255,075 | ) | |||||||
Sphere 3D Corp. | 100 | (211 | ) | |||||||
|
| |||||||||
(255,286 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
CGI Group, Inc. Class A | 4,000 | (144,840 | ) | |||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
Rogers Communications, Inc. B Shares | 21,700 | (748,216 | ) | |||||||
TELUS Corp. | 4,100 | (129,314 | ) | |||||||
|
| |||||||||
(877,530 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Canadian National Railway Co. | 29,200 | (1,657,392 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
71
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Utilities — (0.0)% | ||||||||||
Just Energy Group, Inc. | 500 | $ | (3,080 | ) | ||||||
TransAlta Corp. | 1,200 | (5,580 | ) | |||||||
|
| |||||||||
(8,660 | ) | |||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — (0.0)% | ||||||||||
Progressive Waste Solutions Ltd. | 1,700 | (44,914 | ) | |||||||
|
| |||||||||
Total Canada |
| (12,686,953 | ) | |||||||
|
| |||||||||
Cayman Islands — (0.0)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Theravance Biopharma, Inc. | 3,200 | (35,168 | ) | |||||||
|
| |||||||||
Total Cayman Islands |
| (35,168 | ) | |||||||
|
| |||||||||
Chile — (0.0)% | ||||||||||
Passenger Transportation — (0.0)% | ||||||||||
Latam Airlines Group SA ADR | 51,462 | (251,135 | ) | |||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||
Cencosud SA ADR | 500 | (2,920 | ) | |||||||
|
| |||||||||
Total Chile |
| (254,055 | ) | |||||||
|
| |||||||||
China — (0.6)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Kandi Technologies Group, Inc. | 19,100 | (100,275 | ) | |||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Tarena International, Inc. ADR | 300 | (2,844 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
500.com Ltd. Class A ADR | 15,600 | (253,032 | ) | |||||||
|
| |||||||||
Health Care Facilities/Services — (0.0)% | ||||||||||
iKang Healthcare Group, Inc. ADR | 1,400 | (20,720 | ) | |||||||
|
| |||||||||
Media — (0.4)% | ||||||||||
58.com, Inc. ADR | 1,900 | (89,395 | ) | |||||||
Ctrip.com International Ltd. ADR (b) | 600 | (37,908 | ) | |||||||
Leju Holdings Ltd. ADR | 495 | (2,767 | ) | |||||||
Qihoo 360 Technology Co. Ltd. ADR | 38,200 | (1,827,106 | ) | |||||||
Qunar Cayman Islands Ltd. ADR | 8,900 | (267,623 | ) | |||||||
Renren, Inc. ADR | 200 | (620 | ) | |||||||
SouFun Holdings Ltd. ADR | 166,200 | (1,096,920 | ) | |||||||
Weibo Corp. ADR | 7,600 | (88,844 | ) | |||||||
Youku Tudou, Inc. ADR | 86,500 | (1,524,995 | ) | |||||||
|
| |||||||||
(4,936,178 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
72
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
Mindray Medical International Ltd. ADR | 200 | $ | (4,374 | ) | ||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
PetroChina Co. Ltd. ADR | 600 | (41,820 | ) | |||||||
Yanzhou Coal Mining Co. Ltd. ADR | 1,900 | (8,398 | ) | |||||||
|
| |||||||||
(50,218 | ) | |||||||||
|
| |||||||||
Real Estate — (0.0)% | ||||||||||
E-House China Holdings Ltd. ADR | 6,500 | (38,610 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
JA Solar Holdings Co. Ltd. ADR | 3,100 | (24,180 | ) | |||||||
JinkoSolar Holding Co. Ltd. ADR | 16,600 | (364,204 | ) | |||||||
ReneSola Ltd. ADR | 17,800 | (17,302 | ) | |||||||
Yingli Green Energy Holding Co. Ltd. ADR | 58,600 | (23,926 | ) | |||||||
|
| |||||||||
(429,612 | ) | |||||||||
|
| |||||||||
Retail Discretionary — (0.2)% | ||||||||||
Alibaba Group Holding Ltd. ADR | 8,900 | (524,833 | ) | |||||||
E-Commerce China Dangdang, Inc. A Shares ADR | 9,800 | (58,506 | ) | |||||||
JD.com, Inc. ADR | 46,900 | (1,222,214 | ) | |||||||
Jumei International Holding Ltd. ADR | 600 | (5,922 | ) | |||||||
LightInTheBox Holding Co. Ltd. ADR | 1,400 | (3,892 | ) | |||||||
|
| |||||||||
(1,815,367 | ) | |||||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
iDreamsky Technology Ltd. ADR | 1,400 | (14,140 | ) | |||||||
Momo, Inc. ADR | 1,200 | (15,000 | ) | |||||||
NQ Mobile, Inc. ADR | 40,700 | (134,717 | ) | |||||||
|
| |||||||||
(163,857 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
21Vianet Group, Inc. ADR | 24,500 | (447,860 | ) | |||||||
China Mobile Ltd. ADR | 100 | (5,950 | ) | |||||||
|
| |||||||||
(453,810 | ) | |||||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Huaneng Power International, Inc. ADR | 200 | (8,460 | ) | |||||||
|
| |||||||||
Total China |
| (8,277,357 | ) | |||||||
|
| |||||||||
Colombia — (0.1)% | ||||||||||
Asset Management — (0.0)% | ||||||||||
Grupo Aval Acciones y Valores SA ADR | 2,700 | (20,682 | ) | |||||||
|
| |||||||||
Banking — (0.1)% | ||||||||||
Bancolombia SA ADR | 20,700 | (666,540 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
73
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Ecopetrol SA ADR | 400 | $ | (3,440 | ) | ||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Avianca Holdings SA ADR | 10,900 | (51,666 | ) | |||||||
|
| |||||||||
Total Colombia |
| (742,328 | ) | |||||||
|
| |||||||||
Denmark — (0.1)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.1)% | ||||||||||
Novo Nordisk A/S ADR | 100 | (5,424 | ) | |||||||
Novo Nordisk A/S B Shares (b) | 25,090 | (1,353,971 | ) | |||||||
|
| |||||||||
Total Denmark |
| (1,359,395 | ) | |||||||
|
| |||||||||
Finland — (0.0)% | ||||||||||
Hardware — (0.0)% | ||||||||||
Nokia Oyj ADR | 1,200 | (8,136 | ) | |||||||
|
| |||||||||
Total Finland |
| (8,136 | ) | |||||||
|
| |||||||||
Germany — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
Deutsche Bank AG | 46,400 | (1,250,944 | ) | |||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
voxeljet AG ADR | 6,400 | (28,928 | ) | |||||||
|
| |||||||||
Total Germany |
| (1,279,872 | ) | |||||||
|
| |||||||||
Greece — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
DryShips, Inc. | 1,800 | (304 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Diana Containerships, Inc. | 1,100 | (1,364 | ) | |||||||
Star Bulk Carriers Corp. | 7,500 | (15,375 | ) | |||||||
|
| |||||||||
(16,739 | ) | |||||||||
|
| |||||||||
Total Greece |
| (17,043 | ) | |||||||
|
| |||||||||
Hong Kong — (0.1)% | ||||||||||
Gaming, Lodging & Restaurants — (0.1)% | ||||||||||
Melco Crown Entertainment Ltd. ADR | 94,200 | (1,296,192 | ) | |||||||
|
| |||||||||
Total Hong Kong |
| (1,296,192 | ) | |||||||
|
| |||||||||
India — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
HDFC Bank Ltd. ADR | 8,500 | (519,265 | ) | |||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
MakeMyTrip Ltd. | 2,100 | (28,875 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
74
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Technology Services — (0.0)% | ||||||||||
Infosys Ltd. ADR | 1,900 | $ | (36,271 | ) | ||||||
Wipro Ltd. ADR | 1,400 | (17,206 | ) | |||||||
|
| |||||||||
(53,477 | ) | |||||||||
|
| |||||||||
Total India |
| (601,617 | ) | |||||||
|
| |||||||||
Ireland — (0.0)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Amarin Corp. PLC ADR | 54,200 | (104,606 | ) | |||||||
|
| |||||||||
Total Ireland |
| (104,606 | ) | |||||||
|
| |||||||||
Israel — (0.0)% | ||||||||||
Aerospace & Defense — (0.0)% | ||||||||||
RADA Electronic Industries Ltd. | 3,100 | (2,279 | ) | |||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Alcobra Ltd. | 2,400 | (14,496 | ) | |||||||
Oramed Pharmaceuticals, Inc. | 400 | (2,188 | ) | |||||||
|
| |||||||||
(16,684 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Israel Chemicals Ltd. | 400 | (2,048 | ) | |||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
SodaStream International Ltd. (b) | 9,040 | (124,390 | ) | |||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
SuperCom Ltd. | 100 | (800 | ) | |||||||
|
| |||||||||
Home & Office Products — (0.0)% | ||||||||||
Caesarstone Sdot-Yam Ltd. | 300 | (9,120 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
ReWalk Robotics Ltd. | 400 | (3,048 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
On Track Innovations Ltd. | 100 | (80 | ) | |||||||
Tower Semiconductor Ltd. | 2,000 | (25,740 | ) | |||||||
|
| |||||||||
(25,820 | ) | |||||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
CyberArk Software Ltd. (b) | 755 | (37,856 | ) | |||||||
|
| |||||||||
Total Israel |
| (222,045 | ) | |||||||
|
| |||||||||
Japan — (0.0)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Honda Motor Co. Ltd. ADR | 100 | (2,990 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
75
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Hardware — (0.0)% | ||||||||||
Canon, Inc. ADR | 200 | $ | (5,794 | ) | ||||||
Nidec Corp. ADR | 100 | (1,733 | ) | |||||||
Sony Corp. ADR | 5,900 | (144,550 | ) | |||||||
|
| |||||||||
(152,077 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
NTT Docomo, Inc. ADR | 3,600 | (60,768 | ) | |||||||
|
| |||||||||
Total Japan |
| (215,835 | ) | |||||||
|
| |||||||||
Jersey — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
Randgold Resources Ltd. ADR | 800 | (47,272 | ) | |||||||
|
| |||||||||
Total Jersey |
| (47,272 | ) | |||||||
|
| |||||||||
Monaco — (0.1)% | ||||||||||
Transportation & Logistics — (0.1)% | ||||||||||
GasLog Ltd. | 47,000 | (452,140 | ) | |||||||
Navios Maritime Holdings, Inc. | 10,400 | (25,896 | ) | |||||||
Scorpio Tankers, Inc. | 50,500 | (463,085 | ) | |||||||
|
| |||||||||
Total Monaco |
| (941,121 | ) | |||||||
|
| |||||||||
Netherlands — (0.3)% | ||||||||||
Commercial Services — (0.0)% | ||||||||||
Cimpress NV | 300 | (22,833 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Constellium NV Class A | 4,700 | (28,482 | ) | |||||||
|
| |||||||||
Retail Discretionary — (0.0)% | ||||||||||
Cnova NV | 3,300 | (9,966 | ) | |||||||
|
| |||||||||
Specialty Finance — (0.3)% | ||||||||||
AerCap Holdings NV | 104,700 | (4,003,728 | ) | |||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
VimpelCom Ltd. ADR | 57,600 | (237,024 | ) | |||||||
|
| |||||||||
Total Netherlands |
| (4,302,033 | ) | |||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
North Atlantic Drilling Ltd. | 5,900 | (4,543 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Frontline Ltd. | 48,800 | (131,272 | ) | |||||||
Golden Ocean Group Ltd. | 8,300 | (20,418 | ) |
See Notes to Consolidated Financial Statements.
76
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Nordic American Offshore Ltd. | 1,200 | $ | (7,200 | ) | ||||||
|
| |||||||||
(158,890 | ) | |||||||||
|
| |||||||||
Total Norway |
| (163,433 | ) | |||||||
|
| |||||||||
Panama — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Latinoamericano de Comercio Exterior SA E Shares | 1,000 | (23,150 | ) | |||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Copa Holdings SA Class A | 5,200 | (218,036 | ) | |||||||
|
| |||||||||
Total Panama |
| (241,186 | ) | |||||||
|
| |||||||||
Peru — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
Southern Copper Corp. | 5,600 | (149,632 | ) | |||||||
|
| |||||||||
Total Peru |
| (149,632 | ) | |||||||
|
| |||||||||
Puerto Rico — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
OFG Bancorp | 100 | (873 | ) | |||||||
|
| |||||||||
Total Puerto Rico |
| (873 | ) | |||||||
|
| |||||||||
Republic of Korea — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
KB Financial Group, Inc. ADR | 500 | (14,695 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
POSCO ADR | 300 | (10,506 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
Magnachip Semiconductor Corp. | 100 | (659 | ) | |||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
KT Corp. ADR | 6,600 | (86,262 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Korea Electric Power Corp. ADR | 6,700 | (137,283 | ) | |||||||
|
| |||||||||
Total Republic of Korea |
| (249,405 | ) | |||||||
|
| |||||||||
South Africa — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
AngloGold Ashanti Ltd. ADR | 4,900 | (40,131 | ) | |||||||
|
| |||||||||
Total South Africa |
| (40,131 | ) | |||||||
|
| |||||||||
Spain — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Bilbao Vizcaya Argentaria SA ADR | 3 | (25 | ) |
See Notes to Consolidated Financial Statements.
77
Table of Contents
Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Banco Santander SA ADR | 3,901 | $ | (20,597 | ) | ||||||
|
| |||||||||
(20,622 | ) | |||||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Abengoa Yield PLC | 19,100 | (316,105 | ) | |||||||
|
| |||||||||
Total Spain | (336,727 | ) | ||||||||
|
| |||||||||
Switzerland — (0.2)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.1)% | ||||||||||
Novartis AG (b) | 8,100 | (744,486 | ) | |||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
Logitech International SA | 100 | (1,311 | ) | |||||||
|
| |||||||||
Institutional Financial Service — (0.1)% | ||||||||||
Credit Suisse Group AG ADR | 35,342 | (849,268 | ) | |||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||
Galenica AG (b) | 400 | (509,662 | ) | |||||||
|
| |||||||||
Total Switzerland | (2,104,727 | ) | ||||||||
|
| |||||||||
Taiwan — (0.0)% | ||||||||||
Semiconductors — (0.0)% | ||||||||||
Himax Technologies, Inc. ADR | 3,900 | (31,083 | ) | |||||||
|
| |||||||||
Total Taiwan | (31,083 | ) | ||||||||
|
| |||||||||
United Kingdom — (0.1)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Fiat Chrysler Automobiles NV | 200 | (2,642 | ) | |||||||
|
| |||||||||
Banking — (0.0)% | ||||||||||
Barclays PLC ADR | 17,828 | (263,498 | ) | |||||||
Royal Bank of Scotland Group PLC ADR | 4,100 | (39,114 | ) | |||||||
|
| |||||||||
(302,612 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
AstraZeneca PLC ADR (b) | 5,445 | (173,260 | ) | |||||||
|
| |||||||||
(173,260 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
Unilever NV | 23 | (925 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Aviva PLC ADR | 31 | (425 | ) | |||||||
|
| |||||||||
Machinery — (0.1)% | ||||||||||
CNH Industrial NV | 435 | (2,836 | ) | |||||||
Pentair PLC | 8,400 | (428,736 | ) | |||||||
|
| |||||||||
(431,572 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
78
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Semiconductors — (0.0)% | ||||||||||
ARM Holdings PLC ADR | 5,500 | $ | (237,875 | ) | ||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Navigator Holdings Ltd. | 500 | (6,675 | ) | |||||||
|
| |||||||||
Total United Kingdom | (1,155,986 | ) | ||||||||
|
| |||||||||
United States — (17.5)% | ||||||||||
Aerospace & Defense — (0.1)% | ||||||||||
AAR Corp. | 700 | (13,279 | ) | |||||||
Aerovironment, Inc. | 1,200 | (24,048 | ) | |||||||
Sturm Ruger & Co., Inc. | 1,800 | (105,642 | ) | |||||||
Taser International, Inc. | 67,100 | (1,477,878 | ) | |||||||
|
| |||||||||
(1,620,847 | ) | |||||||||
|
| |||||||||
Apparel & Textile Products — (0.1)% | ||||||||||
Columbia Sportswear Co. | 100 | (5,879 | ) | |||||||
Crocs, Inc. | 2,700 | (34,897 | ) | |||||||
Deckers Outdoor Corp. (b) | 500 | (29,030 | ) | |||||||
Iconix Brand Group, Inc. | 25,500 | (344,760 | ) | |||||||
Lakeland Industries, Inc. | 300 | (4,167 | ) | |||||||
Ralph Lauren Corp. (b) | 660 | (77,986 | ) | |||||||
Steven Madden Ltd. | 700 | (25,634 | ) | |||||||
Tumi Holdings, Inc. (b) | 9,860 | (173,733 | ) | |||||||
Under Armour, Inc. Class A | 2,600 | (251,628 | ) | |||||||
|
| |||||||||
(947,714 | ) | |||||||||
|
| |||||||||
Asset Management — (0.3)% | ||||||||||
Acacia Research Corp. | 7,900 | (71,732 | ) | |||||||
Artisan Partners Asset Management, Inc. Class A | 13,300 | (468,559 | ) | |||||||
Eaton Vance Corp. | 100 | (3,342 | ) | |||||||
Fifth Street Senior Floating Rate Corp. | 600 | (5,238 | ) | |||||||
Financial Engines, Inc. | 300 | (8,841 | ) | |||||||
Franklin Resources, Inc. (b) | 4,010 | (149,413 | ) | |||||||
Full Circle Capital Corp. | 3,600 | (11,052 | ) | |||||||
Janus Capital Group, Inc. | 22,900 | (311,440 | ) | |||||||
Leucadia National Corp. | 95,200 | (1,928,752 | ) | |||||||
Medley Capital Corp. | 23,300 | (173,352 | ) | |||||||
NorthStar Asset Management Group, Inc. | 1,200 | (17,232 | ) | |||||||
Waddell & Reed Financial, Inc. Class A (b) | 3,680 | (127,953 | ) | |||||||
WisdomTree Investments, Inc. | 1,600 | (25,808 | ) | |||||||
|
| |||||||||
(3,302,714 | ) | |||||||||
|
| |||||||||
Automotive — (0.4)% | ||||||||||
American Axle & Manufacturing Holdings, Inc. | 1,200 | (23,928 | ) | |||||||
Dana Holding Corp. | 15,100 | (239,788 | ) |
See Notes to Consolidated Financial Statements.
79
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Dorman Products, Inc. | 400 | $ | (20,356 | ) | ||||||
Federal-Mogul Holdings Corp. | 711 | (4,856 | ) | |||||||
General Motors Co. (b) | 5,690 | (170,814 | ) | |||||||
Gentherm, Inc. | 400 | (17,968 | ) | |||||||
Harley-Davidson, Inc. (b) | 5,290 | (290,421 | ) | |||||||
Harman International Industries, Inc. (b) | 1,725 | (165,583 | ) | |||||||
Mobileye NV | 500 | (22,740 | ) | |||||||
Quantum Fuel Systems Technologies Worldwide, Inc. | 10,600 | (11,660 | ) | |||||||
Tesla Motors, Inc. | 16,200 | (4,024,080 | ) | |||||||
|
| |||||||||
(4,992,194 | ) | |||||||||
|
| |||||||||
Banking — (0.3)% | ||||||||||
Ameris Bancorp | 100 | (2,875 | ) | |||||||
Banc of California, Inc. | 8,600 | (105,522 | ) | |||||||
Bank of America Corp. | 171,900 | (2,678,202 | ) | |||||||
Bank of the Ozarks, Inc. | 10 | (438 | ) | |||||||
BankUnited, Inc. | 200 | (7,150 | ) | |||||||
BofI Holding, Inc. | 100 | (12,883 | ) | |||||||
BOK Financial Corp. | 200 | (12,942 | ) | |||||||
Centerstate Banks, Inc. | 25 | (367 | ) | |||||||
Citigroup, Inc. | 1,500 | (74,415 | ) | |||||||
ConnectOne Bancorp, Inc. | 23 | (444 | ) | |||||||
Customers Bancorp, Inc. | 600 | (15,420 | ) | |||||||
EverBank Financial Corp. | 6,900 | (133,170 | ) | |||||||
First Niagara Financial Group, Inc. | 100 | (1,021 | ) | |||||||
Heritage Financial Corp. | 9 | (169 | ) | |||||||
Kearny Financial Corp. | 600 | (6,882 | ) | |||||||
MB Financial, Inc. | 22 | (718 | ) | |||||||
National Bank Holdings Corp. Class A | 100 | (2,053 | ) | |||||||
Sterling Bancorp | 61 | (907 | ) | |||||||
TFS Financial Corp. | 11,100 | (191,475 | ) | |||||||
United Bankshares, Inc. | 46 | (1,748 | ) | |||||||
Washington Federal, Inc. | 200 | (4,550 | ) | |||||||
Wintrust Financial Corp. | 100 | (5,343 | ) | |||||||
|
| |||||||||
(3,258,694 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (1.9)% | ||||||||||
ACADIA Pharmaceuticals, Inc. | 10,900 | (360,463 | ) | |||||||
AcelRx Pharmaceuticals, Inc. | 3,800 | (11,590 | ) | |||||||
Achillion Pharmaceuticals, Inc. | 47,300 | (326,843 | ) | |||||||
Actinium Pharmaceuticals, Inc. | 24,725 | (43,763 | ) | |||||||
Aduro Biotech, Inc. | 100 | (1,937 | ) | |||||||
Advaxis, Inc. | 1,200 | (12,276 | ) | |||||||
Aegerion Pharmaceuticals, Inc. | 29,100 | (395,760 | ) | |||||||
Aerie Pharmaceuticals, Inc. | 11,800 | (209,332 | ) | |||||||
Agenus, Inc. | 3,000 | (13,800 | ) |
See Notes to Consolidated Financial Statements.
80
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Akebia Therapeutics, Inc. | 8,100 | $ | (78,246 | ) | ||||||
Alexion Pharmaceuticals, Inc. | 4,619 | (722,365 | ) | |||||||
Alkermes PLC (b) | 11,880 | (697,000 | ) | |||||||
Allergan PLC | 14,266 | (3,877,641 | ) | |||||||
Alnylam Pharmaceuticals, Inc. (b) | 7,200 | (578,592 | ) | |||||||
AMAG Pharmaceuticals, Inc. | 1,301 | (51,689 | ) | |||||||
Amgen, Inc. (b) | 7,760 | (1,073,363 | ) | |||||||
Amicus Therapeutics, Inc. | 9,600 | (134,304 | ) | |||||||
Ampio Pharmaceuticals, Inc. | 23,800 | (68,782 | ) | |||||||
Antares Pharma, Inc. | 7,300 | (12,410 | ) | |||||||
Anthera Pharmaceuticals, Inc. | 6,200 | (37,758 | ) | |||||||
Apricus Biosciences, Inc. | 100 | (146 | ) | |||||||
Aratana Therapeutics, Inc. | 5,100 | (43,146 | ) | |||||||
Arena Pharmaceuticals, Inc. | 42,000 | (80,220 | ) | |||||||
Arrowhead Research Corp. | 48,500 | (279,360 | ) | |||||||
AVEO Pharmaceuticals, Inc. | 4,100 | (4,961 | ) | |||||||
Axovant Sciences Ltd. | 200 | (2,584 | ) | |||||||
Bellicum Pharmaceuticals, Inc. | 100 | (1,453 | ) | |||||||
BIND Therapeutics, Inc. | 800 | (3,568 | ) | |||||||
Biocept, Inc. | 200 | (460 | ) | |||||||
BioCryst Pharmaceuticals, Inc. | 3,800 | (43,320 | ) | |||||||
BioDelivery Sciences International, Inc. | 40,100 | (222,956 | ) | |||||||
BioTime, Inc. | 200 | (600 | ) | |||||||
Bluebird Bio, Inc. | 1,500 | (128,325 | ) | |||||||
Brainstorm Cell Therapeutics, Inc. | 2,100 | (4,809 | ) | |||||||
Caladrius Biosciences, Inc. | 16,700 | (24,883 | ) | |||||||
Calithera Biosciences, Inc. | 700 | (3,801 | ) | |||||||
Catalyst Pharmaceutical Partners, Inc. | 1,700 | (5,100 | ) | |||||||
Celgene Corp. (b) | 22,100 | (2,390,557 | ) | |||||||
Celldex Therapeutics, Inc. | 27,800 | (293,012 | ) | |||||||
Chimerix, Inc. | 100 | (3,820 | ) | |||||||
Coherus Biosciences, Inc. | 600 | (12,024 | ) | |||||||
Conatus Pharmaceuticals, Inc. | 6,000 | (26,700 | ) | |||||||
CorMedix, Inc. | 600 | (1,194 | ) | |||||||
CTI BioPharma Corp. | 21,300 | (31,098 | ) | |||||||
CytRx Corp. | 52,400 | (124,188 | ) | |||||||
Dicerna Pharmaceuticals, Inc. | 2,000 | (16,420 | ) | |||||||
Discovery Laboratories, Inc. | 900 | (270 | ) | |||||||
Dynavax Technologies Corp. | 10 | (245 | ) | |||||||
Eleven Biotherapeutics, Inc. | 200 | (482 | ) | |||||||
Enanta Pharmaceuticals, Inc. | 9,500 | (343,330 | ) | |||||||
Endo International PLC (b) | 61,990 | (4,294,667 | ) | |||||||
Endocyte, Inc. | 12,500 | (57,250 | ) | |||||||
EPIRUS Biopharmaceuticals, Inc. | 200 | (884 | ) | |||||||
Epizyme, Inc. | 4,900 | (63,014 | ) | |||||||
Esperion Therapeutics, Inc. | 600 | (14,154 | ) |
See Notes to Consolidated Financial Statements.
81
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Five Prime Therapeutics, Inc. | 800 | $ | (12,312 | ) | ||||||
Fortress Biotech, Inc. | 5,200 | (13,520 | ) | |||||||
Galectin Therapeutics, Inc. | 2,100 | (4,914 | ) | |||||||
Galena Biopharma, Inc. | 75,600 | (119,448 | ) | |||||||
Geron Corp. | 5,700 | (15,732 | ) | |||||||
Heron Therapeutics, Inc. | 15,800 | (385,520 | ) | |||||||
Idera Pharmaceuticals, Inc. | 15,600 | (52,260 | ) | |||||||
IGI Laboratories, Inc. | 12,100 | (79,134 | ) | |||||||
Infinity Pharmaceuticals, Inc. | 2,700 | (22,815 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 54,500 | (315,010 | ) | |||||||
Intrexon Corp. | 4,200 | (133,560 | ) | |||||||
Ironwood Pharmaceuticals, Inc. | 500 | (5,210 | ) | |||||||
Isis Pharmaceuticals, Inc. (b) | 25,686 | (1,038,228 | ) | |||||||
Johnson & Johnson (b) | 7,890 | (736,532 | ) | |||||||
Juno Therapeutics, Inc. | 9,200 | (374,348 | ) | |||||||
KaloBios Pharmaceuticals, Inc. | 800 | (1,528 | ) | |||||||
Karyopharm Therapeutics, Inc. | 9,600 | (101,088 | ) | |||||||
Keryx Biopharmaceuticals, Inc. | 99,700 | (350,944 | ) | |||||||
Kite Pharma, Inc. | 6,500 | (361,920 | ) | |||||||
La Jolla Pharmaceutical Co. | 400 | (11,116 | ) | |||||||
Lexicon Pharmaceuticals, Inc. | 6,685 | (71,797 | ) | |||||||
Lion Biotechnologies, Inc. | 300 | (1,728 | ) | |||||||
MannKind Corp. | 69,200 | (222,132 | ) | |||||||
Mast Therapeutics, Inc. | 8,000 | (4,640 | ) | |||||||
MEI Pharma, Inc. | 2,100 | (3,297 | ) | |||||||
NanoViricides, Inc. | 600 | (714 | ) | |||||||
Nektar Therapeutics | 4,700 | (51,512 | ) | |||||||
Neuralstem, Inc. | 9,200 | (11,224 | ) | |||||||
Northwest Biotherapeutics, Inc. | 4,000 | (25,000 | ) | |||||||
Ocata Therapeutics, Inc. | 1,300 | (5,434 | ) | |||||||
Ohr Pharmaceutical, Inc. | 6,600 | (18,216 | ) | |||||||
Omeros Corp. | 1,900 | (20,824 | ) | |||||||
OncoGenex Pharmaceuticals, Inc. | 500 | (1,115 | ) | |||||||
Oncothyreon, Inc. | 5,400 | (14,796 | ) | |||||||
Ophthotech Corp. | 300 | (12,156 | ) | |||||||
OPKO Health, Inc. (b) | 11,200 | (94,192 | ) | |||||||
Orexigen Therapeutics, Inc. | 22,900 | (48,319 | ) | |||||||
Organovo Holdings, Inc. | 78,200 | (209,576 | ) | |||||||
Otonomy, Inc. | 100 | (1,781 | ) | |||||||
OXiGENE, Inc. | 13,200 | (12,276 | ) | |||||||
Pacira Pharmaceuticals, Inc. | 1,000 | (41,100 | ) | |||||||
Peregrine Pharmaceuticals, Inc. | 10,700 | (10,914 | ) | |||||||
Pernix Therapeutics Holdings, Inc. | 31,700 | (100,172 | ) | |||||||
Pluristem Therapeutics, Inc. | 400 | (728 | ) | |||||||
Progenics Pharmaceuticals, Inc. | 200 | (1,144 | ) | |||||||
Provectus Biopharmaceuticals, Inc. Class A | 2,100 | (1,208 | ) |
See Notes to Consolidated Financial Statements.
82
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Puma Biotechnology, Inc. | 500 | $ | (37,680 | ) | ||||||
Regeneron Pharmaceuticals, Inc. (b) | 330 | (153,496 | ) | |||||||
Regulus Therapeutics, Inc. | 800 | (5,232 | ) | |||||||
Relypsa, Inc. | 4,400 | (81,444 | ) | |||||||
Repros Therapeutics, Inc. | 15,200 | (112,936 | ) | |||||||
Rexahn Pharmaceuticals, Inc. | 27,300 | (14,196 | ) | |||||||
RXI Pharmaceuticals | 3,300 | (1,238 | ) | |||||||
Sagent Pharmaceuticals, Inc. | 1,000 | (15,330 | ) | |||||||
Sangamo BioSciences, Inc. | 300 | (1,692 | ) | |||||||
Spectrum Pharmaceuticals, Inc. | 500 | (2,990 | ) | |||||||
StemCells, Inc. | 9,300 | (3,903 | ) | |||||||
Sunesis Pharmaceuticals, Inc. | 600 | (486 | ) | |||||||
Synergy Pharmaceuticals, Inc. | 26,900 | (142,570 | ) | |||||||
Synta Pharmaceuticals Corp. | 28,300 | (49,242 | ) | |||||||
Synthetic Biologics, Inc. | 18,000 | (40,860 | ) | |||||||
Tenax Therapeutics, Inc. | 2,300 | (6,969 | ) | |||||||
TG Therapeutics, Inc. | 3,800 | (38,304 | ) | |||||||
TherapeuticsMD, Inc. | 14,200 | (83,212 | ) | |||||||
Theravance, Inc. | 16,400 | (117,752 | ) | |||||||
Tonix Pharmaceuticals Holding Corp. | 5,000 | (26,450 | ) | |||||||
Valeant Pharmaceuticals International, Inc. (b) | 8,760 | (1,562,609 | ) | |||||||
Venaxis, Inc. | 100 | (32 | ) | |||||||
Verastem, Inc. | 800 | (1,432 | ) | |||||||
Versartis, Inc. | 100 | (1,153 | ) | |||||||
VIVUS, Inc. | 43,900 | (71,996 | ) | |||||||
XenoPort, Inc. | 200 | (694 | ) | |||||||
ZIOPHARM Oncology, Inc. | 5,864 | (52,835 | ) | |||||||
Zogenix, Inc. | 2,212 | (29,862 | ) | |||||||
ZS Pharma, Inc. | 1,200 | (78,792 | ) | |||||||
|
| |||||||||
(25,087,436 | ) | |||||||||
|
| |||||||||
Chemicals — (0.2)% | ||||||||||
Albemarle Corp. | 6,074 | (267,863 | ) | |||||||
Avery Dennison Corp. (b) | 500 | (28,285 | ) | |||||||
Balchem Corp. | 3,800 | (230,926 | ) | |||||||
Cytec Industries, Inc. | 1,800 | (132,930 | ) | |||||||
Eastman Chemical Co. (b) | 400 | (25,888 | ) | |||||||
iBio, Inc. | 8,200 | (5,576 | ) | |||||||
Koppers Holdings, Inc. | 700 | (14,119 | ) | |||||||
Kraton Performance Polymers, Inc. | 100 | (1,790 | ) | |||||||
Kronos Worldwide, Inc. | 400 | (2,484 | ) | |||||||
Marrone Bio Innovations, Inc. | 100 | (211 | ) | |||||||
Platform Specialty Products Corp. | 122,400 | (1,548,360 | ) | |||||||
PPG Industries, Inc. (b) | 300 | (26,307 | ) | |||||||
Rayonier Advanced Materials, Inc. | 32,500 | (198,900 | ) | |||||||
Rentech, Inc. | 2,080 | (11,648 | ) |
See Notes to Consolidated Financial Statements.
83
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Tronox Ltd. Class A | 31,500 | $ | (137,655 | ) | ||||||
Westlake Chemical Corp. (b) | 500 | (25,945 | ) | |||||||
|
| |||||||||
(2,658,887 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.2)% | ||||||||||
ADT Corp. | 91,200 | (2,726,880 | ) | |||||||
Advisory Board Co. (The) | 1,500 | (68,310 | ) | |||||||
Ascent Capital Group, Inc. Class A | 900 | (24,642 | ) | |||||||
Care.com, Inc. | 2,000 | (10,280 | ) | |||||||
CEB, Inc. | 500 | (34,170 | ) | |||||||
Healthcare Services Group, Inc. | 300 | (10,110 | ) | |||||||
HMS Holdings Corp. | 300 | (2,631 | ) | |||||||
InterCloud Systems, Inc. | 22,600 | (40,228 | ) | |||||||
TriNet Group, Inc. | 8,300 | (139,440 | ) | |||||||
|
| |||||||||
(3,056,691 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
Louisiana-Pacific Corp. | 14,300 | (203,632 | ) | |||||||
Martin Marietta Materials, Inc. | 1,330 | (202,094 | ) | |||||||
MDU Resources Group, Inc. | 4,300 | (73,960 | ) | |||||||
|
| |||||||||
(479,686 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.5)% | ||||||||||
22nd Century Group, Inc. | 2,000 | (1,680 | ) | |||||||
Alliance One International, Inc. | 40 | (815 | ) | |||||||
Avon Products, Inc. | 142,700 | (463,775 | ) | |||||||
Axion Power International | 100 | (180 | ) | |||||||
Boston Beer Co., Inc. (The) Class A (b) | 1,005 | (211,663 | ) | |||||||
Boulder Brands, Inc. | 700 | (5,733 | ) | |||||||
Church & Dwight Co., Inc. | 1,100 | (92,290 | ) | |||||||
Darling Ingredients, Inc. | 13,000 | (146,120 | ) | |||||||
Elizabeth Arden, Inc. | 500 | (5,845 | ) | |||||||
Energizer Holdings, Inc. | 800 | (30,968 | ) | |||||||
Hain Celestial Group, Inc. (b) | 680 | (35,088 | ) | |||||||
Hershey Co. (The) | 1,600 | (147,008 | ) | |||||||
Hormel Foods Corp. | 3,200 | (202,592 | ) | |||||||
HRG Group, Inc. | 14,500 | (170,085 | ) | |||||||
Ingredion, Inc. | 300 | (26,193 | ) | |||||||
Kellogg Co. | 27,500 | (1,830,125 | ) | |||||||
Keurig Green Mountain, Inc. | 20,500 | (1,068,870 | ) | |||||||
Kraft Heinz Co. (The) | 10,300 | (726,974 | ) | |||||||
McCormick & Co., Inc. | 300 | (24,654 | ) | |||||||
Reynolds American, Inc. | 1,100 | (48,697 | ) | |||||||
Snyder’s-Lance, Inc. | 2,300 | (77,579 | ) | |||||||
TreeHouse Foods, Inc. | 2,800 | (217,812 | ) | |||||||
Tyson Foods, Inc. Class A | 33,400 | (1,439,540 | ) |
See Notes to Consolidated Financial Statements.
84
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Universal Corp. | 400 | $ | (19,828 | ) | ||||||
|
| |||||||||
(6,994,114 | ) | |||||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
ITT Educational Services, Inc. | 200 | (686 | ) | |||||||
Regis Corp. | 1,300 | (17,030 | ) | |||||||
Weight Watchers International, Inc. | 34,100 | (217,558 | ) | |||||||
|
| |||||||||
(235,274 | ) | |||||||||
|
| |||||||||
Design Manufacturing & Distribution — (0.0)% | ||||||||||
Arrow Electronics, Inc. (b) | 915 | (50,581 | ) | |||||||
Avnet, Inc. (b) | 1,235 | (52,710 | ) | |||||||
Flextronics International Ltd. (b) | 4,610 | (48,589 | ) | |||||||
Sanmina Corp. (b) | 8,610 | (183,996 | ) | |||||||
|
| |||||||||
(335,876 | ) | |||||||||
|
| |||||||||
Distributors—Consumer Staples — (0.0)% | ||||||||||
Calavo Growers, Inc. | 100 | (4,464 | ) | |||||||
Core-Mark Holding Co., Inc. | 7,200 | (471,240 | ) | |||||||
|
| |||||||||
(475,704 | ) | |||||||||
|
| |||||||||
Distributors—Discretionary — (0.0)% | ||||||||||
FTD Cos., Inc. | 300 | (8,940 | ) | |||||||
|
| |||||||||
Electrical Equipment — (0.0)% | ||||||||||
Capstone Turbine Corp. | 62,400 | (21,216 | ) | |||||||
Cognex Corp. | 700 | (24,059 | ) | |||||||
Eaton Corp. PLC (b) | 500 | (25,650 | ) | |||||||
Energous Corp. | 5,100 | (35,190 | ) | |||||||
General Cable Corp. | 19,200 | (228,480 | ) | |||||||
Itron, Inc. | 100 | (3,191 | ) | |||||||
Revolution Lighting Technologies, Inc. | 8,400 | (7,980 | ) | |||||||
|
| |||||||||
(345,766 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
EnerNOC, Inc. | 100 | (790 | ) | |||||||
KBR, Inc. | 6,400 | (106,624 | ) | |||||||
Kratos Defense & Security Solutions, Inc. | 3,400 | (14,348 | ) | |||||||
Layne Christensen Co. | 300 | (1,950 | ) | |||||||
Willbros Group, Inc. | 500 | (630 | ) | |||||||
|
| |||||||||
(124,342 | ) | |||||||||
|
| |||||||||
Forest & Paper Products — (0.0)% | ||||||||||
Resolute Forest Products, Inc. | 100 | (831 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Gaming, Lodging & Restaurants — (0.4)% | ||||||||||
Bojangles’, Inc. | 100 | $ | (1,690 | ) | ||||||
Brinker International, Inc. | 100 | (5,267 | ) | |||||||
Diamond Resorts International, Inc. (b) | 1,400 | (32,746 | ) | |||||||
Dunkin’ Brands Group, Inc. | 500 | (24,500 | ) | |||||||
El Pollo Loco Holdings, Inc. | 2,300 | (24,794 | ) | |||||||
Fogo De Chao, Inc. | 200 | (3,120 | ) | |||||||
International Game Technology plc | 200 | (3,066 | ) | |||||||
J Alexanaer’s Holdings | 46 | (458 | ) | |||||||
Jack in the Box, Inc. (b) | 300 | (23,112 | ) | |||||||
Jamba, Inc. | 4,300 | (61,275 | ) | |||||||
Las Vegas Sands Corp. | 21,500 | (816,355 | ) | |||||||
Morgans Hotel Group Co. | 400 | (1,328 | ) | |||||||
Papa Murphy’s Holdings, Inc. | 200 | (2,936 | ) | |||||||
Pinnacle Entertainment, Inc. | 1,100 | (37,224 | ) | |||||||
Rave Restaurant Group, Inc. | 300 | (2,559 | ) | |||||||
Red Robin Gourmet Burgers, Inc. | 100 | (7,574 | ) | |||||||
Scientific Games Corp. Class A | 8,700 | (90,915 | ) | |||||||
Texas Roadhouse, Inc. | 300 | (11,160 | ) | |||||||
Wendy’s Co. | 100 | (865 | ) | |||||||
Wynn Resorts Ltd. | 69,500 | (3,691,840 | ) | |||||||
Zoe’s Kitchen, Inc. | 3,400 | (134,266 | ) | |||||||
|
| |||||||||
(4,977,050 | ) | |||||||||
|
| |||||||||
Hardware — (0.4)% | ||||||||||
3D Systems Corp. | 46,300 | (534,765 | ) | |||||||
Aerohive Networks, Inc. | 3,400 | (20,332 | ) | |||||||
ARRIS Group, Inc. | 22,600 | (586,922 | ) | |||||||
Control4 Corp. | 300 | (2,448 | ) | |||||||
Diebold, Inc. | 1,400 | (41,678 | ) | |||||||
Digital Ally, Inc. | 7,600 | (47,348 | ) | |||||||
Dot Hill Systems Corp. | 1,700 | (16,541 | ) | |||||||
ExOne Co. | 9,500 | (63,745 | ) | |||||||
FEI Co. | 10,300 | (752,312 | ) | |||||||
Garmin Ltd. (b) | 4,375 | (156,975 | ) | |||||||
Gigamon, Inc. | 400 | (8,004 | ) | |||||||
GoPro, Inc. Class A | 600 | (18,732 | ) | |||||||
Hewlett-Packard Co. (b) | 1,545 | (39,567 | ) | |||||||
Identiv, Inc. | 1,200 | (4,188 | ) | |||||||
Knowles Corp. | 600 | (11,058 | ) | |||||||
MicroVision, Inc. | 16,800 | (53,592 | ) | |||||||
Mitel Networks Corp. | 4,500 | (29,025 | ) | |||||||
Neonode, Inc. | 8,100 | (19,764 | ) | |||||||
NetApp, Inc. | 2,100 | (62,160 | ) | |||||||
Nimble Storage, Inc. | 10,100 | (243,612 | ) | |||||||
Novatel Wireless, Inc. | 5,300 | (11,713 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Quantum Corp. | 100 | $ | (70 | ) | ||||||
Ruckus Wireless, Inc. | 4,200 | (49,896 | ) | |||||||
Seagate Technology plc (b) | 31,620 | (1,416,576 | ) | |||||||
Silicon Graphics International Corp. | 1,100 | (4,323 | ) | |||||||
Stratasys Ltd. | 10,800 | (286,092 | ) | |||||||
Turtle Beach Corp. | 2,300 | (5,589 | ) | |||||||
Ubiquiti Networks, Inc. | 16,700 | (565,963 | ) | |||||||
Uni-Pixel, Inc. | 2,200 | (2,332 | ) | |||||||
VeriFone Systems, Inc. | 1 | (28 | ) | |||||||
ViaSat, Inc. | 900 | (57,861 | ) | |||||||
Violin Memory, Inc. | 2,600 | (3,588 | ) | |||||||
Zebra Technologies Corp. Class A | 300 | (22,965 | ) | |||||||
|
| |||||||||
(5,139,764 | ) | |||||||||
|
| |||||||||
Health Care Facilities/Services — (0.8)% | ||||||||||
AAC Holdings, Inc. | 100 | (2,225 | ) | |||||||
AmerisourceBergen Corp. (b) | 17,605 | (1,672,299 | ) | |||||||
BioScrip, Inc. | 26,700 | (49,929 | ) | |||||||
Brookdale Senior Living, Inc. | 47,606 | (1,093,034 | ) | |||||||
Cardinal Health, Inc. (b) | 13,730 | (1,054,739 | ) | |||||||
Charles River Laboratories International, Inc. (b) | 1,300 | (82,576 | ) | |||||||
Cigna Corp. (b) | 12,100 | (1,633,742 | ) | |||||||
DaVita HealthCare Partners, Inc. (b) | 15,380 | (1,112,435 | ) | |||||||
Diplomat Pharmacy, Inc. | 1,000 | (28,730 | ) | |||||||
Enzo Biochem, Inc. | 200 | (634 | ) | |||||||
ExamWorks Group, Inc. | 3,900 | (114,036 | ) | |||||||
Genesis Healthcare, Inc. | 500 | (3,065 | ) | |||||||
HealthSouth Corp. | 300 | (11,511 | ) | |||||||
IPC Healthcare, Inc. | 200 | (15,538 | ) | |||||||
Kindred Healthcare, Inc. | 2,297 | (36,178 | ) | |||||||
OvaScience, Inc. | 3,600 | (30,564 | ) | |||||||
PAREXEL International Corp. | 100 | (6,192 | ) | |||||||
Patterson Cos., Inc. (b) | 35,000 | (1,513,750 | ) | |||||||
Tenet Healthcare Corp. (b) | 33,900 | (1,251,588 | ) | |||||||
|
| |||||||||
(9,712,765 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.5)% | ||||||||||
Beazer Homes USA, Inc. | 27,800 | (370,574 | ) | |||||||
Century Communities, Inc. | 1,400 | (27,790 | ) | |||||||
Cenveo, Inc. | 200 | (376 | ) | |||||||
Fortune Brands Home & Security, Inc. | 400 | (18,988 | ) | |||||||
Green Brick Partners, Inc. | 3,500 | (37,905 | ) | |||||||
Hovnanian Enterprises, Inc. Class A | 154,200 | (272,934 | ) | |||||||
KB Home | 56,300 | (762,865 | ) | |||||||
M/I Homes, Inc. | 1,900 | (44,802 | ) | |||||||
MDC Holdings, Inc. | 20,200 | (528,836 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Meritage Homes Corp. | 400 | $ | (14,608 | ) | ||||||
Snap-on, Inc. | 11,500 | (1,735,810 | ) | |||||||
St Joe Co. (The) | 5,800 | (110,954 | ) | |||||||
Taylor Morrison Home Corp. Class A | 12,700 | (236,982 | ) | |||||||
TRI Pointe Homes, Inc. | 122,500 | (1,603,525 | ) | |||||||
Whirlpool Corp. (b) | 3,140 | (462,396 | ) | |||||||
William Lyon Homes Class A | 7,400 | (152,440 | ) | |||||||
|
| |||||||||
(6,381,785 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
DXP Enterprises, Inc. | 900 | (24,552 | ) | |||||||
H&E Equipment Services, Inc. | 100 | (1,672 | ) | |||||||
MSC Industrial Direct Co., Inc. Class A | 300 | (18,309 | ) | |||||||
TAL International Group, Inc. | 2,200 | (30,074 | ) | |||||||
United Rentals, Inc. (b) | 610 | (36,631 | ) | |||||||
Wesco Aircraft Holdings, Inc. | 2,400 | (29,280 | ) | |||||||
WW Grainger, Inc. | 100 | (21,501 | ) | |||||||
|
| |||||||||
(162,019 | ) | |||||||||
|
| |||||||||
Institutional Financial Service — (0.2)% | ||||||||||
CBOE Holdings, Inc. | 12,200 | (818,376 | ) | |||||||
Evercore Partners, Inc. Class A | 300 | (15,072 | ) | |||||||
FXCM, Inc. Class A | 14,000 | (12,180 | ) | |||||||
Goldman Sachs Group, Inc. | 9,200 | (1,598,592 | ) | |||||||
Intercontinental Exchange, Inc. | 31 | (7,285 | ) | |||||||
Moelis & Co. Class A | 300 | (7,878 | ) | |||||||
RCS Capital Corp. Class A | 54,300 | (43,983 | ) | |||||||
|
| |||||||||
(2,503,366 | ) | |||||||||
|
| |||||||||
Insurance — (0.1)% | ||||||||||
Ambac Financial Group, Inc. | 3,900 | (56,433 | ) | |||||||
American International Group, Inc. | 700 | (39,774 | ) | |||||||
Amtrust Financial Services, Inc. | 970 | (61,090 | ) | |||||||
Arch Capital Group Ltd. | 4,700 | (345,309 | ) | |||||||
Berkshire Hathaway, Inc. Class B | 6,900 | (899,760 | ) | |||||||
HCC Insurance Holdings, Inc. | 1,200 | (92,964 | ) | |||||||
HCI Group, Inc. | 1,200 | (46,524 | ) | |||||||
Horace Mann Educators Corp. | 100 | (3,322 | ) | |||||||
Markel Corp. | 100 | (80,186 | ) | |||||||
MBIA, Inc. | 6,500 | (39,520 | ) | |||||||
ProAssurance Corp. | 1,000 | (49,070 | ) | |||||||
Symetra Financial Corp. | 500 | (15,820 | ) | |||||||
Torchmark Corp. | 2,349 | (132,484 | ) | |||||||
|
| |||||||||
(1,862,256 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
88
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Iron & Steel — (0.1)% | ||||||||||
AK Steel Holding Corp. | 120,100 | $ | (289,441 | ) | ||||||
Allegheny Technologies, Inc. | 10,700 | (151,726 | ) | |||||||
AM Castle & Co. | 1,300 | (2,886 | ) | |||||||
Cliffs Natural Resources, Inc. | 156,800 | (382,592 | ) | |||||||
Schnitzer Steel Industries, Inc. Class A | 1,900 | (25,726 | ) | |||||||
TimkenSteel Corp. | 4,900 | (49,588 | ) | |||||||
United States Steel Corp. | 48,100 | (501,202 | ) | |||||||
|
| |||||||||
(1,403,161 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.0)% | ||||||||||
Black Diamond, Inc. | 100 | (628 | ) | |||||||
Callaway Golf Co. | 700 | (5,845 | ) | |||||||
Mattel, Inc. | 500 | (10,530 | ) | |||||||
Performance Sports Group Ltd. | 2,200 | (29,524 | ) | |||||||
Winnebago Industries, Inc. | 4,600 | (88,090 | ) | |||||||
|
| |||||||||
(134,617 | ) | |||||||||
|
| |||||||||
Machinery — (0.1)% | ||||||||||
Adept Technology, Inc. | 2,000 | (25,920 | ) | |||||||
Arotech Corp. | 700 | (931 | ) | |||||||
Briggs & Stratton Corp. (b) | 6,960 | (134,398 | ) | |||||||
Caterpillar, Inc. (b) | 2,620 | (171,243 | ) | |||||||
Colfax Corp. (b) | 5,480 | (163,907 | ) | |||||||
Flowserve Corp. (b) | 700 | (28,798 | ) | |||||||
Manitowoc Co., Inc. | 7,900 | (118,500 | ) | |||||||
Parker-Hannifin Corp. (b) | 300 | (29,190 | ) | |||||||
Power Solutions International, Inc. | 1,300 | (29,523 | ) | |||||||
Titan International, Inc. | 1,900 | (12,559 | ) | |||||||
|
| |||||||||
(714,969 | ) | |||||||||
|
| |||||||||
Manufactured Goods — (0.1)% | ||||||||||
EnPro Industries, Inc. | 7,000 | (274,190 | ) | |||||||
NN, Inc. | 3,600 | (66,600 | ) | |||||||
Proto Labs, Inc. | 5,100 | (341,700 | ) | |||||||
|
| |||||||||
(682,490 | ) | |||||||||
|
| |||||||||
Media — (1.3)% | ||||||||||
Angie’s List, Inc. | 43,700 | (220,248 | ) | |||||||
Blucora, Inc. | 300 | (4,131 | ) | |||||||
Cablevision Systems Corp. Class A | 43,300 | (1,405,951 | ) | |||||||
Coupons.com, Inc. | 6,200 | (55,800 | ) | |||||||
Covisint Corp. | 122 | (262 | ) | |||||||
Cumulus Media, Inc. Class A | 70,200 | (49,407 | ) | |||||||
Dex Media, Inc. | 3,400 | (459 | ) | |||||||
DreamWorks Animation SKG, Inc. Class A | 14,900 | (260,005 | ) |
See Notes to Consolidated Financial Statements.
89
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
EW Scripps Co. Class A | 4,056 | $ | (71,669 | ) | ||||||
GrubHub, Inc. (b) | 6,200 | (150,908 | ) | |||||||
Houghton Mifflin Harcourt Co. | 500 | (10,155 | ) | |||||||
Liberty Broadband Corp. Class C | 1,000 | (51,170 | ) | |||||||
Liberty Media Corp. | 533 | (19,039 | ) | |||||||
Liberty TripAdvisor Holdings, Inc. Class A | 900 | (19,953 | ) | |||||||
Lions Gate Entertainment Corp. | 100 | (3,680 | ) | |||||||
LiveDeal, Inc. | 4,300 | (7,224 | ) | |||||||
Marin Software, Inc. | 2,500 | (7,825 | ) | |||||||
Media General, Inc. | 15,300 | (214,047 | ) | |||||||
MeetMe, Inc. | 5,600 | (8,848 | ) | |||||||
Millennial Media, Inc. | 43,300 | (75,775 | ) | |||||||
Monster Worldwide, Inc. | 700 | (4,494 | ) | |||||||
New Media Investment Group, Inc. | 200 | (3,092 | ) | |||||||
Nielsen Holdings PLC | 500 | (22,235 | ) | |||||||
Pandora Media, Inc. | 188,900 | (4,031,126 | ) | |||||||
RealD, Inc. | 500 | (4,805 | ) | |||||||
Rocket Fuel, Inc. | 26,300 | (122,821 | ) | |||||||
Shutterfly, Inc. | 100 | (3,575 | ) | |||||||
Shutterstock, Inc. | 300 | (9,072 | ) | |||||||
Sinclair Broadcast Group, Inc. Class A | 1,400 | (35,448 | ) | |||||||
Time, Inc. | 1,600 | (30,480 | ) | |||||||
Travelzoo, Inc. | 100 | (827 | ) | |||||||
Tribune Media Co. | 1,300 | (46,280 | ) | |||||||
TrueCar, Inc. | 9,300 | (48,453 | ) | |||||||
Twitter, Inc. | 156,900 | (4,226,886 | ) | |||||||
Viacom, Inc. Class B | 500 | (21,575 | ) | |||||||
Viggle, Inc. | 6,200 | (5,084 | ) | |||||||
World Wrestling Entertainment, Inc. Class A | 600 | (10,140 | ) | |||||||
Yahoo!, Inc. | 117,843 | (3,406,841 | ) | |||||||
Yelp, Inc. | 52,200 | (1,130,652 | ) | |||||||
YOU On Demand Holdings, Inc. | 1,100 | (2,123 | ) | |||||||
Zillow Group, Inc. Class A | 30,145 | (866,066 | ) | |||||||
|
| |||||||||
(16,668,631 | ) | |||||||||
|
| |||||||||
Medical Equipment/Devices — (1.0)% | ||||||||||
Abaxis, Inc. | 4,400 | (193,556 | ) | |||||||
Accelerate Diagnostics, Inc. | 2,500 | (40,450 | ) | |||||||
Accuray, Inc. | 10,200 | (50,949 | ) | |||||||
Affymetrix, Inc. (b) | 2,510 | (21,435 | ) | |||||||
Atossa Genetics, Inc. | 1,700 | (1,309 | ) | |||||||
Biolase, Inc. | 3,646 | (3,281 | ) | |||||||
Cepheid | 26,000 | (1,175,200 | ) | |||||||
Cerus Corp. | 11,500 | (52,210 | ) | |||||||
ConforMIS, Inc. | 200 | (3,612 | ) | |||||||
Cooper Cos., Inc. | 700 | (104,202 | ) |
See Notes to Consolidated Financial Statements.
90
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Cytori Therapeutics, Inc. | 22,235 | $ | (7,560 | ) | ||||||
Danaher Corp. (b) | 35,100 | (2,990,871 | ) | |||||||
Endologix, Inc. | 500 | (6,130 | ) | |||||||
EnteroMedics, Inc. | 700 | (182 | ) | |||||||
Exact Sciences Corp. | 14,200 | (255,458 | ) | |||||||
Fluidigm Corp. | 800 | (6,488 | ) | |||||||
Foundation Medicine, Inc. | 14,235 | (262,636 | ) | |||||||
Illumina, Inc. (b) | 215 | (37,801 | ) | |||||||
ImmunoCellular Therapeutics Ltd. | 7,900 | (3,318 | ) | |||||||
Invacare Corp. | 300 | (4,341 | ) | |||||||
IsoRay, Inc. | 26,700 | (37,380 | ) | |||||||
Medtronic PLC (b) | 7,439 | (497,967 | ) | |||||||
Nanosphere, Inc. | 260 | (424 | ) | |||||||
Navidea Biopharmaceuticals, Inc. | 8,500 | (19,380 | ) | |||||||
NxStage Medical, Inc. | 100 | (1,577 | ) | |||||||
Ocular Therapeutix, Inc. | 400 | (5,624 | ) | |||||||
Pacific Biosciences of California, Inc. | 1,600 | (5,856 | ) | |||||||
PerkinElmer, Inc. (b) | 23,820 | (1,094,767 | ) | |||||||
Qiagen NV | 3 | (78 | ) | |||||||
Rockwell Medical, Inc. | 15,700 | (121,047 | ) | |||||||
Rosetta Genomics Ltd. | 2,400 | (5,928 | ) | |||||||
Second Sight Medical Products, Inc. | 8,500 | (50,405 | ) | |||||||
Sequenom, Inc. | 300 | (525 | ) | |||||||
Sirona Dental Systems, Inc. (b) | 16,900 | (1,577,446 | ) | |||||||
Spectranetics Corp. | 3,600 | (42,444 | ) | |||||||
Stereotaxis, Inc. | 1,500 | (1,392 | ) | |||||||
STERIS Corp. | 3,500 | (227,395 | ) | |||||||
Sunshine Heart, Inc. | 300 | (660 | ) | |||||||
Tandem Diabetes Care, Inc. | 100 | (881 | ) | |||||||
TearLab Corp. | 5,500 | (11,055 | ) | |||||||
Thoratec Corp. | 6,900 | (436,494 | ) | |||||||
TransEnterix, Inc. | 10,600 | (23,956 | ) | |||||||
Trovagene, Inc. | 500 | (2,845 | ) | |||||||
Unilife Corp. | 9,200 | (9,015 | ) | |||||||
Varian Medical Systems, Inc. (b) | 6,492 | (478,980 | ) | |||||||
Waters Corp. (b) | 14,800 | (1,749,508 | ) | |||||||
Zimmer Holdings, Inc. (b) | 7,400 | (695,082 | ) | |||||||
|
| |||||||||
(12,319,100 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.1)% | ||||||||||
Coeur Mining, Inc. | 4,730 | (13,338 | ) | |||||||
Compass Minerals International, Inc. | 500 | (39,185 | ) | |||||||
Freeport-McMoRan Copper & Gold, Inc. | 13,900 | (134,691 | ) | |||||||
Gold Resource Corp. | 4,600 | (11,638 | ) | |||||||
Golden Star Resources Ltd. | 13,500 | (2,700 | ) | |||||||
Harsco Corp. | 4,500 | (40,815 | ) |
See Notes to Consolidated Financial Statements.
91
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Hecla Mining Co. | 45,100 | $ | (88,847 | ) | ||||||
McEwen Mining, Inc. | 8,300 | (7,260 | ) | |||||||
Tahoe Resources, Inc. | 31,100 | (240,714 | ) | |||||||
Thompson Creek Metals Co., Inc. | 30,700 | (13,413 | ) | |||||||
Ur-Energy, Inc. | 800 | (456 | ) | |||||||
Uranium Energy Corp. | 47,400 | (47,400 | ) | |||||||
US Silica Holdings, Inc. | 27,400 | (386,066 | ) | |||||||
|
| |||||||||
(1,026,523 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (1.1)% | ||||||||||
Abraxas Petroleum Corp. | 600 | (768 | ) | |||||||
Alon USA Energy, Inc. | 13,800 | (249,366 | ) | |||||||
Antero Resources Corp. | 12,400 | (262,384 | ) | |||||||
Approach Resources, Inc. | 6,000 | (11,220 | ) | |||||||
Basic Energy Services, Inc. | 18,600 | (61,380 | ) | |||||||
Bill Barrett Corp. | 4,100 | (13,530 | ) | |||||||
Bonanza Creek Energy, Inc. | 2,100 | (8,547 | ) | |||||||
C&J Energy Services Ltd. | 3,200 | (11,264 | ) | |||||||
California Resources Corp. | 46,600 | (121,160 | ) | |||||||
CARBO Ceramics, Inc. | 2,500 | (47,475 | ) | |||||||
Carrizo Oil & Gas, Inc. | 200 | (6,108 | ) | |||||||
Cheniere Energy, Inc. | 29,800 | (1,439,340 | ) | |||||||
Chesapeake Energy Corp. | 11,900 | (87,227 | ) | |||||||
Clayton Williams Energy, Inc. | 400 | (15,524 | ) | |||||||
Clean Energy Fuels Corp. | 20,600 | (92,700 | ) | |||||||
Cloud Peak Energy, Inc. | 600 | (1,578 | ) | |||||||
Cobalt International Energy, Inc. | 167,500 | (1,185,900 | ) | |||||||
Comstock Resources, Inc. | 9,600 | (18,336 | ) | |||||||
CONSOL Energy, Inc. | 4,200 | (41,160 | ) | |||||||
Delek US Holdings, Inc. | 1,000 | (27,700 | ) | |||||||
Denbury Resources, Inc. | 15,100 | (36,844 | ) | |||||||
Diamond Offshore Drilling, Inc. | 1,000 | (17,300 | ) | |||||||
Diamondback Energy, Inc. | 1,100 | (71,060 | ) | |||||||
Eclipse Resources Corp. | 12,800 | (24,960 | ) | |||||||
Emerald Oil, Inc. | 2,860 | (5,234 | ) | |||||||
Enbridge Energy Management LLC | 701 | (16,670 | ) | |||||||
Energy XXI Ltd. | 111,989 | (117,588 | ) | |||||||
EnLink Midstream LLC | 1,100 | (20,108 | ) | |||||||
Ensco PLC Class A | 12,000 | (168,960 | ) | |||||||
EP Energy Corp. Class A | 100 | (515 | ) | |||||||
Erin Energy Corp. | 400 | (1,568 | ) | |||||||
EXCO Resources, Inc. | 170,800 | (128,100 | ) | |||||||
Fairmount Santrol Holdings, Inc. | 12,800 | (34,560 | ) | |||||||
Flotek Industries, Inc. | 36,200 | (604,540 | ) | |||||||
FX Energy, Inc. | 5,100 | (4,845 | ) | |||||||
Gastar Exploration, Inc. | 6,500 | (7,475 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Geospace Technologies Corp. | 200 | $ | (2,762 | ) | ||||||
Goodrich Petroleum Corp. | 55,000 | (31,900 | ) | |||||||
Gulfmark Offshore, Inc. Class A | 7,600 | (46,436 | ) | |||||||
Halcon Resources Corp. | 100,700 | (53,371 | ) | |||||||
Halliburton Co. | 125,468 | (4,435,294 | ) | |||||||
Harvest Natural Resources, Inc. | 2,100 | (2,919 | ) | |||||||
ION Geophysical Corp. | 2,000 | (780 | ) | |||||||
Jones Energy, Inc. | 11,000 | (52,690 | ) | |||||||
Key Energy Services, Inc. | 34,300 | (16,121 | ) | |||||||
Kosmos Energy Ltd. | 24,700 | (137,826 | ) | |||||||
Laredo Petroleum, Inc. | 4,400 | (41,492 | ) | |||||||
Magnum Hunter Resources Corp. | 295,466 | (100,458 | ) | |||||||
Marathon Oil Corp. | 300 | (4,620 | ) | |||||||
Matador Resources Co. | 1,400 | (29,036 | ) | |||||||
McDermott International, Inc. | 2,900 | (12,470 | ) | |||||||
Midstates Petroleum Co., Inc. | 1,470 | (9,041 | ) | |||||||
Nabors Industries Ltd. | 4,900 | (46,305 | ) | |||||||
Noble Corp. plc | 3,700 | (40,367 | ) | |||||||
Northern Oil and Gas, Inc. | 39,200 | (173,264 | ) | |||||||
Nuverra Environmental Solutions, Inc. | 10,970 | (14,919 | ) | |||||||
Oasis Petroleum, Inc. | 16,800 | (145,824 | ) | |||||||
ONEOK, Inc. | 500 | (16,100 | ) | |||||||
Pacific Drilling SA | 19,300 | (24,125 | ) | |||||||
Patterson-UTI Energy, Inc. | 100 | (1,314 | ) | |||||||
PBF Energy, Inc. Class A | 900 | (25,407 | ) | |||||||
PetroQuest Energy, Inc. | 5,800 | (6,786 | ) | |||||||
Pioneer Energy Services Corp. | 500 | (1,050 | ) | |||||||
Resolute Energy Corp. | 2,100 | (815 | ) | |||||||
Rex Energy Corp. | 9,500 | (19,665 | ) | |||||||
Rice Energy, Inc. | 50,100 | (809,616 | ) | |||||||
Ring Energy, Inc. | 100 | (987 | ) | |||||||
RPC, Inc. | 1,700 | (15,045 | ) | |||||||
Sanchez Energy Corp. | 90,600 | (557,190 | ) | |||||||
SandRidge Energy, Inc. | 17,800 | (4,806 | ) | |||||||
SemGroup Corp. Class A | 1,000 | (43,240 | ) | |||||||
Seventy Seven Energy, Inc. | 23,500 | (32,430 | ) | |||||||
Synergy Resources Corp. | 25,800 | (252,840 | ) | |||||||
Targa Resources Corp. | 3,900 | (200,928 | ) | |||||||
Tesoro Corp. (b) | 900 | (87,516 | ) | |||||||
TETRA Technologies, Inc. | 300 | (1,773 | ) | |||||||
Tidewater, Inc. | 28,300 | (371,862 | ) | |||||||
Transocean Ltd. | 82,100 | (1,060,732 | ) | |||||||
Triangle Petroleum Corp. | 38,000 | (53,960 | ) | |||||||
Ultra Petroleum Corp. | 15,200 | (97,128 | ) | |||||||
Valero Energy Corp. (b) | 500 | (30,050 | ) | |||||||
W&T Offshore, Inc. | 71,100 | (213,300 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Western Refining, Inc. | 100 | $ | (4,412 | ) | ||||||
Westmoreland Coal Co. | 16,200 | (228,258 | ) | |||||||
Whiting Petroleum Corp. | 151 | (2,306 | ) | |||||||
ZaZa Energy Corp. | 520 | (179 | ) | |||||||
|
| |||||||||
(14,524,709 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.1)% | ||||||||||
American Airlines Group, Inc. | 39,900 | (1,549,317 | ) | |||||||
Republic Airways Holdings, Inc. | 30,700 | (177,446 | ) | |||||||
SkyWest, Inc. | 100 | (1,668 | ) | |||||||
|
| |||||||||
(1,728,431 | ) | |||||||||
|
| |||||||||
Real Estate — (2.4)% | ||||||||||
Alexandria Real Estate Equities, Inc. | 4,500 | (381,015 | ) | |||||||
American Campus Communities, Inc. | 1,900 | (68,856 | ) | |||||||
American Homes 4 Rent | 54,000 | (868,320 | ) | |||||||
American Residential Properties, Inc. | 2,600 | (44,902 | ) | |||||||
Ashford Hospitality Trust, Inc. | 25,000 | (152,500 | ) | |||||||
AvalonBay Communities, Inc. | 8,200 | (1,433,524 | ) | |||||||
BioMed Realty Trust, Inc. | 18,700 | (373,626 | ) | |||||||
Bluerock Residential Growth REIT, Inc. | 6,800 | (81,464 | ) | |||||||
Brandywine Realty Trust | 5,900 | (72,688 | ) | |||||||
Camden Property Trust | 23,000 | (1,699,700 | ) | |||||||
Campus Crest Communities, Inc. | 31,400 | (167,048 | ) | |||||||
CBL & Associates Properties, Inc. | 1,800 | (24,750 | ) | |||||||
Cedar Realty Trust, Inc. | 200 | (1,242 | ) | |||||||
Chatham Lodging Trust | 2,300 | (49,404 | ) | |||||||
Chesapeake Lodging Trust | 1,800 | (46,908 | ) | |||||||
Columbia Property Trust, Inc. | 2,200 | (51,040 | ) | |||||||
Communications Sales & Leasing, Inc. | 7,700 | (137,830 | ) | |||||||
CorEnergy Infrastructure Trust, Inc. | 200 | (884 | ) | |||||||
Corporate Office Properties Trust | 5,900 | (124,077 | ) | |||||||
Corrections Corp. of America | 1,300 | (38,402 | ) | |||||||
Cousins Properties, Inc. | 4,400 | (40,568 | ) | |||||||
CubeSmart | 100 | (2,721 | ) | |||||||
CyrusOne, Inc. | 8,200 | (267,812 | ) | |||||||
DCT Industrial Trust, Inc. | 25,500 | (858,330 | ) | |||||||
DDR Corp. | 44,100 | (678,258 | ) | |||||||
Douglas Emmett, Inc. | 19,300 | (554,296 | ) | |||||||
Duke Realty Corp. | 7,300 | (139,065 | ) | |||||||
DuPont Fabros Technology, Inc. | 800 | (20,704 | ) | |||||||
Easterly Government Properties, Inc. | 1,100 | (17,545 | ) | |||||||
Education Realty Trust, Inc. | 21,000 | (691,950 | ) | |||||||
Empire State Realty Trust, Inc. Class A | 800 | (13,624 | ) | |||||||
Equity Residential | 300 | (22,536 | ) | |||||||
Essex Property Trust, Inc. | 1,700 | (379,814 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Farmland Partners, Inc. | 2,000 | $ | (21,000 | ) | ||||||
Federal Realty Investment Trust | 3,300 | (450,285 | ) | |||||||
First Industrial Realty Trust, Inc. | 300 | (6,285 | ) | |||||||
Gaming and Leisure Properties, Inc. | 832 | (24,710 | ) | |||||||
Government Properties Income Trust | 25,800 | (412,800 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 200 | (3,444 | ) | |||||||
HCP, Inc. | 500 | (18,625 | ) | |||||||
Healthcare Realty Trust, Inc. | 18,800 | (467,180 | ) | |||||||
Healthcare Trust of America, Inc. Class A | 7,100 | (174,021 | ) | |||||||
Hersha Hospitality Trust | 2,500 | (56,650 | ) | |||||||
Highwoods Properties, Inc. | 2,800 | (108,500 | ) | |||||||
Host Hotels & Resorts, Inc. | 31,800 | (502,758 | ) | |||||||
Hudson Pacific Properties, Inc. | 1,700 | (48,943 | ) | |||||||
Independence Realty Trust, Inc. | 500 | (3,605 | ) | |||||||
Inland Real Estate Corp. | 200 | (1,620 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 900 | (19,953 | ) | |||||||
Kimco Realty Corp. | 17,600 | (429,968 | ) | |||||||
Kite Realty Group Trust | 9,950 | (236,910 | ) | |||||||
LaSalle Hotel Properties | 9,200 | (261,188 | ) | |||||||
Lexington Realty Trust | 400 | (3,240 | ) | |||||||
Liberty Property Trust | 300 | (9,453 | ) | |||||||
LTC Properties, Inc. | 1,500 | (64,005 | ) | |||||||
Macerich Co. | 3,800 | (291,916 | ) | |||||||
Mack-Cali Realty Corp. | 8,600 | (162,368 | ) | |||||||
Medical Properties Trust, Inc. | 18,800 | (207,928 | ) | |||||||
Mid-America Apartment Communities, Inc. | 76 | (6,222 | ) | |||||||
Monogram Residential Trust, Inc. | 23,600 | (219,716 | ) | |||||||
National Retail Properties, Inc. | 2,800 | (101,556 | ) | |||||||
New Senior Investment Group, Inc. | 58,400 | (610,864 | ) | |||||||
New York REIT, Inc. | 54,100 | (544,246 | ) | |||||||
NorthStar Realty Finance Corp. | 305,200 | (3,769,220 | ) | |||||||
Omega Healthcare Investors, Inc. | 10,620 | (373,293 | ) | |||||||
Paramount Group, Inc. | 3,400 | (57,120 | ) | |||||||
Parkway Properties Inc/Md | 5,262 | (81,877 | ) | |||||||
Pebblebrook Hotel Trust | 8,300 | (294,235 | ) | |||||||
Pennsylvania REIT | 12,400 | (245,892 | ) | |||||||
Physicians Realty Trust | 24,500 | (369,705 | ) | |||||||
Piedmont Office Realty Trust, Inc. Class A | 16,300 | (291,607 | ) | |||||||
Plum Creek Timber Co., Inc. | 2,500 | (98,775 | ) | |||||||
Post Properties, Inc. | 1,300 | (75,777 | ) | |||||||
Preferred Apartment Communities, Inc. Class A | 1,500 | (16,320 | ) | |||||||
Public Storage | 9,100 | (1,925,833 | ) | |||||||
Ramco-Gershenson Properties Trust | 2,000 | (30,020 | ) | |||||||
Rayonier, Inc. | 2,500 | (55,175 | ) | |||||||
Realty Income Corp. | 26,300 | (1,246,357 | ) | |||||||
Regency Centers Corp. | 8,600 | (534,490 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Retail Properties of America, Inc. | 4,800 | $ | (67,632 | ) | ||||||
Rexford Industrial Realty, Inc. | 3,100 | (42,749 | ) | |||||||
Ryman Hospitality Properties, Inc. | 1,400 | (68,922 | ) | |||||||
Sabra Health Care REIT, Inc. | 1,300 | (30,134 | ) | |||||||
Senior Housing Properties Trust | 3,800 | (61,560 | ) | |||||||
Silver Bay Realty Trust Corp. | 200 | (3,202 | ) | |||||||
SL Green Realty Corp. | 6,800 | (735,488 | ) | |||||||
Spirit Realty Capital, Inc. | 42,100 | (384,794 | ) | |||||||
STAG Industrial, Inc. | 13,800 | (251,298 | ) | |||||||
Starwood Waypoint Residential Trust | 8,300 | (197,789 | ) | |||||||
STORE Capital Corp. | 7,300 | (150,818 | ) | |||||||
Summit Hotel Properties, Inc. | 800 | (9,336 | ) | |||||||
Sunstone Hotel Investors, Inc. | 16,881 | (223,336 | ) | |||||||
Tanger Factory Outlet Centers, Inc. | 900 | (29,673 | ) | |||||||
UDR, Inc. | 29,200 | (1,006,816 | ) | |||||||
Urban Edge Properties | 200 | (4,318 | ) | |||||||
Ventas, Inc. | 2,900 | (162,574 | ) | |||||||
VEREIT, Inc. REIT | 258,960 | (1,999,171 | ) | |||||||
Vornado Realty Trust | 500 | (45,210 | ) | |||||||
Washington Real Estate Investment Trust | 600 | (14,958 | ) | |||||||
Welltower, Inc. | 19,800 | (1,340,856 | ) | |||||||
WP Carey, Inc. | 100 | (5,781 | ) | |||||||
WP Glimcher, Inc. | 8,100 | (94,446 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 5,500 | (96,030 | ) | |||||||
|
| |||||||||
(31,467,949 | ) | |||||||||
|
| |||||||||
Recreation Facilities & Services — (0.0)% | ||||||||||
Carmike Cinemas, Inc. | 200 | (4,018 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.5)% | ||||||||||
American Superconductor Corp. | 10 | (43 | ) | |||||||
Ascent Solar Technologies, Inc. | 22,441 | (4,255 | ) | |||||||
Enphase Energy, Inc. | 9,100 | (33,670 | ) | |||||||
FuelCell Energy, Inc. | 131,300 | (96,479 | ) | |||||||
Gevo, Inc. | 25,060 | (43,103 | ) | |||||||
Green Plains, Inc. | 3,700 | (72,002 | ) | |||||||
Pacific Ethanol, Inc. | 21,100 | (136,939 | ) | |||||||
Plug Power, Inc. | 177,900 | (325,557 | ) | |||||||
Silver Spring Networks, Inc. | 2,400 | (30,912 | ) | |||||||
Solar3D, Inc. | 1,384 | (3,820 | ) | |||||||
SolarCity Corp. | 82,800 | (3,536,388 | ) | |||||||
Solazyme, Inc. | 14,900 | (38,740 | ) | |||||||
SunEdison, Inc. | 232,500 | (1,669,350 | ) | |||||||
SunPower Corp. | 2,800 | (56,112 | ) | |||||||
Vivint Solar, Inc. | 13,300 | (139,384 | ) | |||||||
|
| |||||||||
(6,186,754 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Retail—Consumer Discretionary — (0.1)% | ||||||||||
Ezcorp, Inc. Class A | 100 | $ | (617 | ) | ||||||
Lululemon Athletica, Inc. | 35,400 | (1,793,010 | ) | |||||||
|
| |||||||||
(1,793,627 | ) | |||||||||
|
| |||||||||
Retail—Consumer Staples — (0.4)% | ||||||||||
Casey’s General Stores, Inc. | 300 | (30,876 | ) | |||||||
CVS Health Corp. (b) | 24,720 | (2,384,985 | ) | |||||||
Dollar General Corp. | 1,900 | (137,636 | ) | |||||||
Dollar Tree, Inc. | 17,600 | (1,173,216 | ) | |||||||
Fairway Group Holdings Corp. | 3,500 | (3,675 | ) | |||||||
Five Below, Inc. | 4,300 | (144,394 | ) | |||||||
Fresh Market, Inc. | 400 | (9,036 | ) | |||||||
PriceSmart, Inc. | 200 | (15,468 | ) | |||||||
Rite Aid Corp. | 13,700 | (83,159 | ) | |||||||
Roundy’s, Inc. | 8,900 | (20,648 | ) | |||||||
TravelCenters of America LLC | 1,000 | (10,330 | ) | |||||||
Wal-Mart Stores, Inc. (b) | 2,600 | (168,584 | ) | |||||||
Walgreens Boots Alliance, Inc. (b) | 13,400 | (1,113,540 | ) | |||||||
Whole Foods Market, Inc. (b) | 1,455 | (46,051 | ) | |||||||
|
| |||||||||
(5,341,598 | ) | |||||||||
|
| |||||||||
Retail Discretionary — (1.0)% | ||||||||||
Abercrombie & Fitch Co. Class A | 105,700 | (2,239,783 | ) | |||||||
Aeropostale, Inc. | 20,200 | (12,524 | ) | |||||||
American Apparel, Inc. | 34,500 | (3,830 | ) | |||||||
American Eagle Outfitters, Inc. | 4,400 | (68,772 | ) | |||||||
Avis Budget Group, Inc. | 25,764 | (1,125,372 | ) | |||||||
Barnes & Noble, Inc. | 600 | (7,266 | ) | |||||||
bebe stores, Inc. | 3,800 | (3,572 | ) | |||||||
Blyth, Inc. | 300 | (1,791 | ) | |||||||
Bon-Ton Stores, Inc. | 12,300 | (38,622 | ) | |||||||
Boot Barn Holdings, Inc. | 2,400 | (44,232 | ) | |||||||
Buckle, Inc. | 5,500 | (203,335 | ) | |||||||
Build-A-Bear Workshop, Inc. | 300 | (5,667 | ) | |||||||
Burlington Stores, Inc. | 4,100 | (209,264 | ) | |||||||
Cabela’s, Inc. | 4,000 | (182,400 | ) | |||||||
Cato Corp. Class A | 200 | (6,806 | ) | |||||||
Chegg, Inc. | 5,500 | (39,655 | ) | |||||||
Chico’s FAS, Inc. | 14,200 | (223,366 | ) | |||||||
Children’s Place, Inc. | 5,800 | (334,486 | ) | |||||||
Conn’s, Inc. | 400 | (9,616 | ) | |||||||
Container Store Group, Inc. | 6,100 | (85,888 | ) | |||||||
DSW, Inc. Class A | 21,000 | (531,510 | ) | |||||||
Etsy, Inc. | 11,000 | (150,590 | ) | |||||||
Finish Line, Inc. Class A | 5,500 | (106,150 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Francesca’s Holdings Corp. | 19,700 | $ | (240,931 | ) | ||||||
Freshpet, Inc. | 300 | (3,150 | ) | |||||||
Gap, Inc. | 45,700 | (1,302,450 | ) | |||||||
Guess?, Inc. | 31,600 | (674,976 | ) | |||||||
Hertz Global Holdings, Inc. | 57,700 | (965,321 | ) | |||||||
Hibbett Sports, Inc. (b) | 4,135 | (144,766 | ) | |||||||
Kohl’s Corp. (b) | 3,585 | (166,021 | ) | |||||||
Lumber Liquidators Holdings, Inc. (b) | 3,800 | (49,932 | ) | |||||||
Men’s Wearhouse, Inc. | 26,900 | (1,143,788 | ) | |||||||
Monro Muffler Brake, Inc. | 700 | (47,285 | ) | |||||||
Net Element International, Inc. | 3,700 | (592 | ) | |||||||
Office Depot, Inc. | 3 | (19 | ) | |||||||
Outerwall, Inc. | 1,800 | (102,474 | ) | |||||||
Pacific Sunwear of California, Inc. | 1,000 | (320 | ) | |||||||
Party City Holdco, Inc. | 700 | (11,179 | ) | |||||||
Pier 1 Imports, Inc. | 71,600 | (494,040 | ) | |||||||
Restoration Hardware Holdings, Inc. | 300 | (27,993 | ) | |||||||
Ross Stores, Inc. | 4,800 | (232,656 | ) | |||||||
Sears Holdings Corp. | 45,600 | (1,030,560 | ) | |||||||
Sonic Automotive, Inc. Class A (b) | 5,665 | (115,679 | ) | |||||||
Tiffany & Co. (b) | 1,180 | (91,120 | ) | |||||||
TJX Cos., Inc. | 6,800 | (485,656 | ) | |||||||
Tuesday Morning Corp. | 1,500 | (8,115 | ) | |||||||
Urban Outfitters, Inc. | 2,100 | (61,698 | ) | |||||||
Vitamin Shoppe, Inc. (b) | 3,790 | (123,706 | ) | |||||||
|
| |||||||||
(13,158,924 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.2)% | ||||||||||
Advanced Micro Devices, Inc. | 360,600 | (620,232 | ) | |||||||
Anadigics, Inc. | 200 | (44 | ) | |||||||
Applied Micro Circuits Corp. | 7,900 | (41,949 | ) | |||||||
Applied Optoelectronics, Inc. | 2,100 | (39,438 | ) | |||||||
Cavium, Inc. | 200 | (12,274 | ) | |||||||
Cypress Semiconductor Corp. | 104,530 | (890,596 | ) | |||||||
Integrated Device Technology, Inc. (b) | 2,640 | (53,592 | ) | |||||||
Integrated Silicon Solution, Inc. | 300 | (6,447 | ) | |||||||
Intel Corp. (b) | 1,625 | (48,977 | ) | |||||||
InvenSense, Inc. | 300 | (2,787 | ) | |||||||
IPG Photonics Corp. (b) | 2,040 | (154,979 | ) | |||||||
Lam Research Corp. (b) | 2,435 | (159,078 | ) | |||||||
Linear Technology Corp. (b) | 1,190 | (48,016 | ) | |||||||
Maxim Integrated Products, Inc. (b) | 2,115 | (70,641 | ) | |||||||
Monolithic Power Systems, Inc. | 100 | (5,120 | ) | |||||||
NeoPhotonics Corp. | 4,300 | (29,283 | ) | |||||||
ParkerVision, Inc. | 2,500 | (469 | ) | |||||||
Pixelworks, Inc. | 14,600 | (52,706 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Qorvo, Inc. | 13 | $ | (586 | ) | ||||||
QuickLogic Corp. | 8,000 | (12,720 | ) | |||||||
Rubicon Technology, Inc. | 3,400 | (3,502 | ) | |||||||
Sigma Designs, Inc. | 100 | (689 | ) | |||||||
Skyworks Solutions, Inc. | 100 | (8,421 | ) | |||||||
SunEdison Semiconductor Ltd. | 200 | (2,108 | ) | |||||||
Texas Instruments, Inc. (b) | 1,000 | (49,520 | ) | |||||||
Universal Display Corp. | 100 | (3,390 | ) | |||||||
Xilinx, Inc. (b) | 2,715 | (115,116 | ) | |||||||
|
| |||||||||
(2,432,680 | ) | |||||||||
|
| |||||||||
Software — (0.5)% | ||||||||||
Amber Road, Inc. | 1,500 | (6,330 | ) | |||||||
athenahealth, Inc. (b) | 3,900 | (520,065 | ) | |||||||
Avid Technology, Inc. | 1,700 | (13,532 | ) | |||||||
Barracuda Networks, Inc. | 100 | (1,558 | ) | |||||||
Bazaarvoice, Inc. | 200 | (902 | ) | |||||||
Benefitfocus, Inc. | 2,900 | (90,625 | ) | |||||||
Box, Inc. Class A | 2,700 | (33,966 | ) | |||||||
Brightcove, Inc. | 800 | (3,936 | ) | |||||||
CA, Inc. (b) | 7,345 | (200,518 | ) | |||||||
Castlight Health, Inc. Class B | 10,800 | (45,360 | ) | |||||||
Cerner Corp. (b) | 48,400 | (2,902,064 | ) | |||||||
ChannelAdvisor Corp. | 4,000 | (39,760 | ) | |||||||
Cornerstone OnDemand, Inc. | 100 | (3,300 | ) | |||||||
Datawatch Corp. | 1,200 | (7,056 | ) | |||||||
Demandware, Inc. | 3,600 | (186,048 | ) | |||||||
Digital Turbine, Inc. | 2,192 | (3,968 | ) | |||||||
Envestnet, Inc. | 3,800 | (113,886 | ) | |||||||
FireEye, Inc. (b) | 15,695 | (499,415 | ) | |||||||
FleetMatics Group plc | 100 | (4,909 | ) | |||||||
Glu Mobile, Inc. | 72,800 | (318,136 | ) | |||||||
Guidewire Software, Inc. | 300 | (15,774 | ) | |||||||
Hortonworks, Inc. | 3,000 | (65,670 | ) | |||||||
inContact, Inc. | 5,400 | (40,554 | ) | |||||||
Inovalon Holdings, Inc. | 2,300 | (47,909 | ) | |||||||
Jack Henry & Associates, Inc. | 2,600 | (180,986 | ) | |||||||
Jive Software, Inc. | 700 | (3,269 | ) | |||||||
KEYW Holding Corp. | 3,200 | (19,680 | ) | |||||||
LivePerson, Inc. | 100 | (756 | ) | |||||||
MedAssets, Inc. (b) | 8,255 | (165,595 | ) | |||||||
Merge Healthcare, Inc. | 200 | (1,420 | ) | |||||||
Mitek Systems, Inc. | 4,000 | (12,760 | ) | |||||||
MobileIron, Inc. | 2,400 | (7,440 | ) | |||||||
NeuStar, Inc. Class A | 1,100 | (29,931 | ) | |||||||
OPOWER, Inc. | 2,800 | (24,948 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Oracle Corp. (b) | 3,700 | $ | (133,644 | ) | ||||||
Paylocity Holding Corp. | 800 | (23,992 | ) | |||||||
PROS Holdings, Inc. (b) | 11,155 | (246,972 | ) | |||||||
Rosetta Stone, Inc. | 1,100 | (7,370 | ) | |||||||
Seachange International, Inc. | 100 | (630 | ) | |||||||
ServiceNow, Inc. (b) | 700 | (48,615 | ) | |||||||
Solera Holdings, Inc. | 7,100 | (383,400 | ) | |||||||
SPS Commerce, Inc. | 100 | (6,789 | ) | |||||||
Tangoe, Inc. | 900 | (6,480 | ) | |||||||
TubeMogul, Inc. | 4,800 | (50,496 | ) | |||||||
Varonis Systems, Inc. | 2,200 | (34,276 | ) | |||||||
Veeva Systems, Inc. Class A | 200 | (4,682 | ) | |||||||
VirnetX Holding Corp. | 16,200 | (57,672 | ) | |||||||
Vringo, Inc. | 46,500 | (26,040 | ) | |||||||
Workday, Inc. Class A | 200 | (13,772 | ) | |||||||
Xura, Inc. | 700 | (15,666 | ) | |||||||
|
| |||||||||
(6,672,522 | ) | |||||||||
|
| |||||||||
Specialty Finance — (1.0)% | ||||||||||
Ally Financial, Inc. | 144,800 | (2,951,024 | ) | |||||||
Altisource Portfolio Solutions SA | 10,100 | (240,784 | ) | |||||||
Apollo Residential Mortgage, Inc. | 14,400 | (182,304 | ) | |||||||
Arlington Asset Investment Corp. Class A | 4,000 | (56,200 | ) | |||||||
ARMOUR Residential REIT, Inc. | 35,916 | (719,757 | ) | |||||||
Blackstone Mortgage Trust, Inc. Class A | 5,600 | (153,664 | ) | |||||||
Chimera Investment Corp. | 3 | (40 | ) | |||||||
CIT Group, Inc. (b) | 1,245 | (49,837 | ) | |||||||
Colony Financial, Inc. | 13,300 | (260,148 | ) | |||||||
Credit Acceptance Corp. | 200 | (39,374 | ) | |||||||
CYS Investments, Inc. | 3,100 | (22,506 | ) | |||||||
Discover Financial Services (b) | 725 | (37,693 | ) | |||||||
Encore Capital Group, Inc. | 5,600 | (207,200 | ) | |||||||
Enova International, Inc. | 100 | (1,022 | ) | |||||||
Everi Holdings, Inc. | 1,600 | (8,208 | ) | |||||||
First American Financial Corp. | 1,800 | (70,326 | ) | |||||||
FNFV Group | 266 | (3,118 | ) | |||||||
Green Dot Corp. Class A | 4,400 | (77,440 | ) | |||||||
Hatteras Financial Corp. | 900 | (13,635 | ) | |||||||
Invesco Mortgage Capital, Inc. | 96,296 | (1,178,663 | ) | |||||||
JAVELIN Mortgage Investment Corp. | 3,810 | (22,974 | ) | |||||||
JG Wentworth Co. Class A | 3,200 | (15,776 | ) | |||||||
Ladder Capital Corp. | 100 | (1,432 | ) | |||||||
LendingClub Corp. | 101,900 | (1,348,137 | ) | |||||||
Nationstar Mortgage Holdings, Inc. | 78,000 | (1,081,860 | ) | |||||||
New Residential Investment Corp. | 250 | (3,275 | ) | |||||||
New York Mortgage Trust, Inc. | 6,500 | (35,685 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Newcastle Investment Corp. | 17 | $ | (75 | ) | ||||||
Ocwen Financial Corp. | 117,200 | (786,412 | ) | |||||||
On Deck Capital, Inc. | 1,900 | (18,810 | ) | |||||||
Orchid Island Capital, Inc. | 18,300 | (169,275 | ) | |||||||
PHH Corp. | 17,100 | (241,452 | ) | |||||||
PRA Group, Inc. | 45 | (2,381 | ) | |||||||
RAIT Financial Trust | 41,100 | (203,856 | ) | |||||||
Redwood Trust, Inc. | 700 | (9,688 | ) | |||||||
Resource Capital Corp. REIT | 6,000 | (67,020 | ) | |||||||
Santander Consumer USA Holdings, Inc. | 5,400 | (110,268 | ) | |||||||
SLM Corp. | 106,100 | (785,140 | ) | |||||||
Stewart Information Services Corp. | 100 | (4,091 | ) | |||||||
Stonegate Mortgage Corp. | 1,200 | (8,532 | ) | |||||||
Textainer Group Holdings Ltd. | 1,800 | (29,682 | ) | |||||||
Visa, Inc. A Shares | 6,000 | (417,960 | ) | |||||||
Walter Investment Management Corp. | 10,900 | (177,125 | ) | |||||||
Western Asset Mortgage Capital Corp. | 44,435 | (560,325 | ) | |||||||
WEX, Inc. (b) | 1,800 | (156,312 | ) | |||||||
Xoom Corp. | 7,100 | (176,648 | ) | |||||||
|
| |||||||||
(12,707,134 | ) | |||||||||
|
| |||||||||
Technology Services — (0.1)% | ||||||||||
CoStar Group, Inc. | 100 | (17,306 | ) | |||||||
FICO STRIPS—PRINCIPAL | 800 | (67,600 | ) | |||||||
IMS Health Holdings, Inc. (b) | 8,400 | (244,440 | ) | |||||||
International Business Machines Corp. (b) | 1,465 | (212,381 | ) | |||||||
MarketAxess Holdings, Inc. | 500 | (46,440 | ) | |||||||
MAXIMUS, Inc. | 1,100 | (65,516 | ) | |||||||
Rentrak Corp. | 4,900 | (264,943 | ) | |||||||
ServiceSource International, Inc. | 1,500 | (6,000 | ) | |||||||
Spherix, Inc. | 800 | (272 | ) | |||||||
Thomson Reuters Corp. | 12,900 | (519,354 | ) | |||||||
Travelport Worldwide Ltd. | 700 | (9,254 | ) | |||||||
Unisys Corp. | 2,100 | (24,990 | ) | |||||||
|
| |||||||||
(1,478,496 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
CenturyLink, Inc. (b) | 1,075 | (27,004 | ) | |||||||
Cincinnati Bell, Inc. | 800 | (2,496 | ) | |||||||
Cogent Communications Holdings, Inc. | 6,600 | (179,256 | ) | |||||||
DigitalGlobe, Inc. | 500 | (9,510 | ) | |||||||
Frontier Communications Corp. | 1,900 | (9,025 | ) | |||||||
Global Eagle Entertainment, Inc. | 3,100 | (35,588 | ) | |||||||
Globalstar, Inc. | 106,100 | (166,577 | ) | |||||||
Gogo, Inc. | 29,600 | (452,288 | ) | |||||||
HC2 Holdings, Inc. | 400 | (2,804 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Intelsat SA | 6,000 | $ | (38,580 | ) | ||||||
Iridium Communications, Inc. | 9,400 | (57,810 | ) | |||||||
Sprint Corp. | 66,800 | (256,512 | ) | |||||||
Straight Path Communications, Inc. | 2,400 | (96,984 | ) | |||||||
Verizon Communications, Inc. (b) | 745 | (32,415 | ) | |||||||
Voltari Corp. | 600 | (4,260 | ) | |||||||
WidePoint Corp. | 488 | (429 | ) | |||||||
Windstream Holdings, Inc. | 29,000 | (178,060 | ) | |||||||
Zayo Group Holdings, Inc. | 200 | (5,072 | ) | |||||||
|
| |||||||||
(1,554,670 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.2)% | ||||||||||
CH Robinson Worldwide, Inc. | 1,200 | (81,336 | ) | |||||||
Con-way, Inc. | 4,800 | (227,760 | ) | |||||||
DHT Holdings, Inc. | 12,500 | (92,750 | ) | |||||||
Dorian LPG Ltd. | 2,700 | (27,837 | ) | |||||||
Eagle Bulk Shipping, Inc. | 900 | (5,337 | ) | |||||||
Echo Global Logistics, Inc. | 1,000 | (19,600 | ) | |||||||
Heartland Express, Inc. | 200 | (3,988 | ) | |||||||
Hornbeck Offshore Services, Inc. | 1,900 | (25,707 | ) | |||||||
Macquarie Infrastructure Co. LLC | 10,800 | (806,328 | ) | |||||||
Nordic American Tankers Ltd. | 50,600 | (769,120 | ) | |||||||
Odyssey Marine Exploration, Inc. | 1,500 | (540 | ) | |||||||
Scorpio Bulkers, Inc. | 3,400 | (4,964 | ) | |||||||
XPO Logistics, Inc. | 16,700 | (397,961 | ) | |||||||
|
| |||||||||
(2,463,228 | ) | |||||||||
|
| |||||||||
Transportation Equipment — (0.1)% | ||||||||||
Clean Diesel Technologies, Inc. | 10,300 | (15,759 | ) | |||||||
Cummins, Inc. (b) | 300 | (32,574 | ) | |||||||
Meritor, Inc. | 2,300 | (24,449 | ) | |||||||
Navistar International Corp. | 65,700 | (835,704 | ) | |||||||
Wabash National Corp. | 1,100 | (11,649 | ) | |||||||
Wabtec Corp. | 100 | (8,805 | ) | |||||||
|
| |||||||||
(928,940 | ) | |||||||||
|
| |||||||||
Utilities — (0.6)% | ||||||||||
ALLETE, Inc. | 800 | (40,392 | ) | |||||||
American States Water Co., Inc. | 1,200 | (49,680 | ) | |||||||
American Water Works Co., Inc. | 900 | (49,572 | ) | |||||||
Aqua America, Inc. | 4,700 | (124,409 | ) | |||||||
Atlantic Power Corp. | 50,200 | (93,372 | ) | |||||||
CMS Energy Corp. | 1,800 | (63,576 | ) | |||||||
Consolidated Edison, Inc. | 1,200 | (80,220 | ) | |||||||
Dynegy, Inc. | 36,600 | (756,522 | ) | |||||||
Edison International | 300 | (18,921 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Genie Energy Ltd. Class B | 1,300 | $ | (10,699 | ) | ||||||
Great Plains Energy, Inc. | 11,800 | (318,836 | ) | |||||||
Laclede Group, Inc. | 7,700 | (419,881 | ) | |||||||
NextEra Energy, Inc. | 200 | (19,510 | ) | |||||||
NorthWestern Corp. | 6,000 | (322,980 | ) | |||||||
NRG Energy, Inc. | 103,600 | (1,538,460 | ) | |||||||
NRG Yield, Inc. Class C | 1,000 | (11,610 | ) | |||||||
OGE Energy Corp. | 100 | (2,736 | ) | |||||||
ONE Gas, Inc. | 100 | (4,533 | ) | |||||||
Pattern Energy Group, Inc. | 36,600 | (698,694 | ) | |||||||
Pepco Holdings, Inc. | 25,700 | (622,454 | ) | |||||||
Piedmont Natural Gas Co., Inc. | 100 | (4,007 | ) | |||||||
PNM Resources, Inc. | 200 | (5,610 | ) | |||||||
Portland General Electric Co. | 5,800 | (214,426 | ) | |||||||
Public Service Enterprise Group, Inc. | 400 | (16,864 | ) | |||||||
Questar Corp. | 200 | (3,882 | ) | |||||||
SCANA Corp. | 2,700 | (151,902 | ) | |||||||
South Jersey Industries, Inc. | 500 | (12,625 | ) | |||||||
Southern Co. | 18,700 | (835,890 | ) | |||||||
TECO Energy, Inc. | 14,200 | (372,892 | ) | |||||||
TerraForm Power, Inc. | 8,200 | (116,604 | ) | |||||||
UGI Corp. | 2,400 | (83,568 | ) | |||||||
Vectren Corp. | 200 | (8,402 | ) | |||||||
Westar Energy, Inc. | 4,600 | (176,824 | ) | |||||||
|
| |||||||||
(7,250,553 | ) | |||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — (0.0)% |
| |||||||||
Covanta Holding Corp. | 4,700 | (82,015 | ) | |||||||
MagneGas Corp. | 2,900 | (2,900 | ) | |||||||
US Ecology, Inc. | 200 | (8,730 | ) | |||||||
Vertex Energy, Inc. | 700 | (1,498 | ) | |||||||
|
| |||||||||
(95,143 | ) | |||||||||
|
| |||||||||
Total United States | (227,403,582 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCK | (267,137,502 | ) | ||||||||
|
| |||||||||
Security Description | Principal Amount | Value | ||||||||
CORPORATE BONDS & NOTES — (0.8)% | ||||||||||
Australia — (0.1)% | ||||||||||
Metals & Mining — (0.1)% | ||||||||||
PT FMG Resources August 2006 Pty Ltd., | $ | 1,149,000 | (1,075,751 | ) | ||||||
|
| |||||||||
Total Australia | (1,075,751 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Netherlands — (0.0)% | ||||||||||
Cable & Satellite — (0.0)% | ||||||||||
Neptune Finco Corp., 10.88%, 10/15/25 (b),(e) | $ | 181,000 | $ | (183,715 | ) | |||||
|
| |||||||||
Total Netherlands | (183,715 | ) | ||||||||
|
| |||||||||
United States — (0.7)% | ||||||||||
Cable & Satellite — (0.1)% | ||||||||||
Cablevision Systems Corp., 5.88%, 09/15/22 (b) | 30,000 | (22,875 | ) | |||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.13%, 12/15/21 (b),(e) | 929,000 | (824,487 | ) | |||||||
CSC Holdings LLC, 5.25%, 06/01/24 (b) | 120,000 | (95,250 | ) | |||||||
|
| |||||||||
(942,612 | ) | |||||||||
|
| |||||||||
Consumer Finance — (0.0)% | ||||||||||
First Data Corp., 5.38%, 08/15/23 (b),(e) | 300,000 | (298,500 | ) | |||||||
|
| |||||||||
Consumer Products — (0.1)% | ||||||||||
American Achievement Corp., 10.88%, 04/15/16 (b),(e) | 790,000 | (786,050 | ) | |||||||
|
| |||||||||
Entertainment Resources — (0.0)% | ||||||||||
LTF Merger Sub, Inc., 8.50%, 06/15/23 (b),(e) | 416,000 | (397,280 | ) | |||||||
|
| |||||||||
Exploration & Production — (0.2)% | ||||||||||
Clayton Williams Energy, Inc., 7.75%, 04/01/19 (b) | 179,000 | (153,269 | ) | |||||||
Oasis Petroleum, Inc., 6.88%, 03/15/22 (b) | 2,096,000 | (1,666,320 | ) | |||||||
Oasis Petroleum, Inc., 7.25%, 02/01/19 (b) | 669,000 | (597,082 | ) | |||||||
|
| |||||||||
(2,416,671 | ) | |||||||||
|
| |||||||||
Financial Services — (0.1)% | ||||||||||
Harland Clarke Holdings Corp., 9.25%, 03/01/21 (b),(e) | 1,337,000 | (1,119,738 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.63%, 10/15/23 (b),(e) | 60,000 | (54,900 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
Alere, Inc., 6.38%, 07/01/23 (b),(e) | 425,000 | (433,500 | ) | |||||||
|
| |||||||||
Pharmaceuticals — (0.1)% | ||||||||||
Valeant Pharmaceuticals International, Inc., | 1,206,000 | (1,161,257 | ) | |||||||
|
| |||||||||
Publishing & Broadcasting — (0.1)% | ||||||||||
Sinclair Television Group, Inc., 5.38%, 04/01/21 (b) | 180,000 | (177,300 | ) | |||||||
Sinclair Television Group, Inc., 5.63%, 08/01/24 (b),(e) | 551,000 | (504,854 | ) | |||||||
|
| |||||||||
(682,154 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
104
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Software & Services — (0.0)% | ||||||||||
Italics Merger Sub, Inc., 7.13%, 07/15/23 (b),(e) | $ | 392,000 | $ | (376,320 | ) | |||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Navistar International Corp., 8.25%, 11/01/21 (b) | 300,000 | (240,375 | ) | |||||||
|
| |||||||||
Wireless Telecommunication Services — (0.0)% | ||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 (b) | 240,000 | (175,200 | ) | |||||||
Sprint Corp., 7.63%, 02/15/25 (b) | 362,000 | (282,134 | ) | |||||||
|
| |||||||||
(457,334 | ) | |||||||||
|
| |||||||||
Total United States |
| (9,366,691 | ) | |||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES |
| (10,626,157 | ) | |||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — (4.6)% | ||||||||||
Alerian MLP ETF | 12,686 | (158,321 | ) | |||||||
Consumer Staples Select Sector SPDR Fund | 129,049 | (6,089,822 | ) | |||||||
Financial Select Sector SPDR Fund | 171,537 | (3,887,028 | ) | |||||||
Health Care Select Sector SPDR Fund (b) | 52,805 | (3,497,275 | ) | |||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 20,228 | (2,348,269 | ) | |||||||
iShares Nasdaq Biotechnology ETF (b) | 10,618 | (3,220,758 | ) | |||||||
iShares Russell 2000 ETF | 34,350 | (3,751,020 | ) | |||||||
iShares U.S. Healthcare ETF (b) | 15,040 | (2,104,397 | ) | |||||||
iShares U.S. Healthcare Providers ETF (b) | 16,470 | (2,040,304 | ) | |||||||
Powershares QQQ Trust Series 1 | 75,100 | (7,642,176 | ) | |||||||
SPDR S&P 500 ETF Trust (b) | 65,062 | (12,467,831 | ) | |||||||
SPDR S&P Biotech ETF (b) | 26,100 | (1,624,725 | ) | |||||||
SPDR S&P Regional Banking ETF | 116,158 | (4,783,386 | ) | |||||||
Vanguard FTSE Developed Markets ETF | 159,532 | (5,685,721 | ) | |||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS | (59,301,033 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT— (25.9)% | $ | (337,064,692 | ) | |||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Manager Fund. |
(c) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. In addition “Other Assets” may include pending sales that are also on loan. |
(d) | All or a portion of this security is pledged as collateral for derivative financial instruments. |
See Notes to Consolidated Financial Statements.
105
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Blackstone Alternative Multi-Manager Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
(e) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(f) | Security considered illiquid. |
(g) | Variable/floating interest rate security. Rate presented is as of September 30, 2015. |
(h) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
(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, 2015. Maturity date presented is the ultimate maturity. |
(l) | Rate disclosed, the 7 day net yield, is as of September 30, 2015. |
(m) | Approximates cost for federal tax purposes. |
(n) | Assets, other than investments in securities, less liabilities other than securities sold short. |
Options Written Contracts Outstanding at September 30, 2015
Strike | Expiration | Contracts | Premium | Market | Unrealized | |||||||||||||||
Exchange-Traded Call Options Written | ||||||||||||||||||||
Alstom SA | 30.00 EUR | 10/16/15 | 548 | $ | (48,313 | ) | $ | (9,797 | ) | $ | 38,516 | |||||||||
Alstom SA | 29.00 EUR | 10/16/15 | 122 | (5,943 | ) | (2,113 | ) | 3,830 | ||||||||||||
Atos | 70.00 EUR | 11/20/15 | 121 | (23,589 | ) | (28,258 | ) | (4,669 | ) | |||||||||||
Comcast Corp. | 62.50 USD | 11/20/15 | 1,826 | (96,700 | ) | (69,388 | ) | 27,312 | ||||||||||||
Imperial Tobacco Group PLC | 33.00 GBP | 12/18/15 | 18 | (24,998 | ) | (63,377 | ) | (38,379 | ) | |||||||||||
S&P 500 Index | 1,940.00 USD | 10/16/15 | 31 | (51,056 | ) | (74,400 | ) | (23,344 | ) | |||||||||||
S&P 500 Index | 1,950.00 USD | 10/16/15 | 84 | (141,705 | ) | (150,360 | ) | (8,655 | ) | |||||||||||
SabMiller PLC | 37.00 GBP | 11/20/15 | 12 | (32,916 | ) | (45,292 | ) | (12,376 | ) | |||||||||||
Shire PLC | 285.00 USD | 01/15/16 | 108 | (66,198 | ) | (8,910 | ) | 57,288 | ||||||||||||
Shire PLC | 265.00 USD | 10/16/15 | 108 | (55,158 | ) | (3,456 | ) | 51,702 | ||||||||||||
Vodafone Group PLC | 2.70 GBP | 10/16/15 | 2,209 | (68,797 | ) | (8,354 | ) | 60,443 | ||||||||||||
Vodafone Group PLC | 2.60 GBP | 11/20/15 | 884 | (28,208 | ) | (3,343 | ) | 24,865 | ||||||||||||
$ | (643,581 | ) | $ | (467,048 | ) | $ | 176,533 | |||||||||||||
Exchange-Traded Put Options Written | ||||||||||||||||||||
Alstom SA | 28.00 EUR | 10/16/15 | 516 | $ | (39,906 | ) | $ | (41,225 | ) | $ | (1,319 | ) | ||||||||
Alstom SA | 29.00 EUR | 10/16/15 | 394 | (45,272 | ) | (77,485 | ) | (32,213 | ) | |||||||||||
Apple, Inc. | 107.00 USD | 10/02/15 | 1,168 | (71,765 | ) | (35,040 | ) | 36,725 | ||||||||||||
Atos | 66.00 EUR | 11/20/15 | 121 | (22,921 | ) | (22,715 | ) | 206 | ||||||||||||
iShares Russell 2000 ETF | 94.00 USD | 01/15/16 | 475 | (73,625 | ) | (81,225 | ) | (7,600 | ) | |||||||||||
iShares Russell 2000 ETF | 93.00 USD | 10/16/15 | 634 | (8,374 | ) | (4,755 | ) | 3,619 | ||||||||||||
S&P 500 Index | 1,800.00 USD | 10/16/15 | 220 | (142,331 | ) | (159,500 | ) | (17,169 | ) | |||||||||||
S&P 500 Index | 1,775.00 USD | 10/16/15 | 23 | (43,700 | ) | (13,800 | ) | 29,900 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Strike | Expiration | Contracts | Premium | Market | Unrealized | |||||||||||||||
SPDR S&P 500 ETF Trust | 178.00 USD | 10/02/15 | 1,167 | $ | (27,959 | ) | $ | (2,334 | ) | $ | 25,625 | |||||||||
SPDR S&P 500 ETF Trust | 180.00 USD | 10/09/15 | 634 | (41,887 | ) | (24,726 | ) | 17,161 | ||||||||||||
SPDR S&P 500 ETF Trust | 182.00 USD | 10/16/15 | 315 | (28,966 | ) | (36,855 | ) | (7,889 | ) | |||||||||||
$ | (546,706 | ) | $ | (499,660 | ) | $ | 47,046 | |||||||||||||
Counterparty | Strike | Expiration | Contracts | Premium | Market | Unrealized | ||||||||||||||||||||
OTC Put Options Written |
| |||||||||||||||||||||||||
Financial Select Sector SPDR Fund | Morgan Stanley & Co. International plc | 18.75 USD | 01/13/16 | 363,400 | $ | (37,102 | ) | $ | (89,149 | ) | $ | (52,047 | ) | |||||||||||||
$ | (37,102 | ) | $ | (89,149 | ) | $ | (52,047 | ) | ||||||||||||||||||
Total Options Written Outstanding |
| $ | (1,227,389 | ) | $ | (1,055,857 | ) | $ | 171,532 | |||||||||||||||||
Reverse Repurchase Agreements Outstanding at September 30, 2015
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
Credit Suisse Securities (USA) LLC | 1.70% | 08/04/15 | 11/04/15 | $ | 4,578,000 | $ | 4,590,539 | |||||||||
Credit Suisse Securities (USA) LLC | 1.70% | 08/04/15 | 11/04/15 | 2,657,000 | 2,664,278 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.85% | 07/21/15 | 10/19/15 | 3,317,000 | 3,329,240 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.92% | 08/27/15 | 11/16/15 | 3,605,000 | 3,611,745 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.93% | 09/25/15 | 12/18/15 | 1,208,000 | 1,208,388 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.93% | 09/28/15 | 12/17/15 | 4,229,000 | 4,229,679 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.96% | 09/14/15 | 10/14/15 | 158,000 | 158,146 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.98% | 09/22/15 | 12/14/15 | 3,257,000 | 3,258,609 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.99% | 09/14/15 | 12/15/15 | 1,200,000 | 1,201,125 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.05% | 09/17/15 | 12/16/15 | 2,478,000 | 2,479,971 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 750,000 | 753,173 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,961,000 | 1,969,296 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,982,000 | 1,990,385 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,789,000 | 1,796,568 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 346,000 | 347,464 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 927,000 | 930,922 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 2,150,000 | 2,159,095 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,329,000 | 1,334,622 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 2,308,000 | 2,317,764 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 361,000 | 362,527 | |||||||||||
JPMorgan Chase Bank, N.A. | N/A | 09/07/15 | N/A | 1,312,308 | 1,312,308 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
JPMorgan Chase Bank, N.A. | N/A | 09/07/15 | N/A | $ | 1,785,044 | $ | 1,785,044 | |||||||||
JPMorgan Chase Bank, N.A. | N/A | 09/07/15 | N/A | 2,072,882 | 2,072,882 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.69% | 09/28/15 | 10/28/15 | 1,886,000 | 1,886,266 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.69% | 09/28/15 | 10/28/15 | 5,082,000 | 5,082,716 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.69% | 09/28/15 | 10/28/15 | 12,040,000 | 12,041,696 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.69% | 09/28/15 | 10/28/15 | 8,191,000 | 8,192,154 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.70% | 09/24/15 | 10/26/15 | 2,726,000 | 2,726,901 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.70% | 09/10/15 | 10/13/15 | 3,948,000 | 3,951,915 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.70% | 09/24/15 | 10/26/15 | 4,209,000 | 4,210,391 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.70% | 09/24/15 | 10/26/15 | 2,526,000 | 2,526,835 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.70% | 09/24/15 | 10/26/15 | 2,640,000 | 2,640,873 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.71% | 09/17/15 | 10/19/15 | 377,000 | 377,251 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.74% | 09/18/15 | 12/18/15 | 829,000 | 829,521 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.80% | 09/03/15 | 10/05/15 | 280,000 | 280,392 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.80% | 09/24/15 | 10/26/15 | 562,000 | 562,197 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.80% | 09/03/15 | 10/05/15 | 606,000 | 606,848 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.84% | 07/29/15 | 10/29/15 | 5,076,000 | 5,092,604 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.87% | 07/17/15 | 10/16/15 | 2,978,000 | 2,989,756 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.89% | 09/30/15 | 10/13/15 | 2,310,000 | 2,310,000 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.90% | 07/30/15 | 10/30/15 | 4,071,000 | 4,084,536 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.91% | 09/14/15 | 10/14/15 | 210,000 | 210,189 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.91% | 09/14/15 | 10/14/15 | 715,000 | 715,645 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.91% | 09/17/15 | 10/19/15 | 42,000 | 42,031 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.91% | 09/17/15 | 10/19/15 | 185,000 | 185,137 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.93% | 09/04/15 | 12/04/15 | 967,000 | 968,400 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.93% | 09/17/15 | 12/17/15 | 790,000 | 790,593 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 08/06/15 | 11/06/15 | 4,366,000 | 4,379,243 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 08/05/15 | 11/05/15 | 1,847,000 | 1,852,703 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 08/06/15 | 11/06/15 | 4,983,000 | 4,998,115 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 08/06/15 | 11/06/15 | 7,593,000 | 7,616,032 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 09/24/15 | 10/23/15 | 137,000 | 137,044 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 09/03/15 | 10/05/15 | 743,000 | 744,127 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 09/24/15 | 10/23/15 | 1,550,000 | 1,550,588 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.03% | 09/25/15 | 12/15/15 | 1,345,000 | 1,345,455 | |||||||||||
Royal Bank of Canada | 0.02% | 09/24/15 | 12/21/15 | 3,176,000 | 3,177,078 | |||||||||||
Royal Bank of Canada | 1.32% | 08/18/15 | 11/18/15 | 1,078,000 | 1,079,745 | |||||||||||
Royal Bank of Canada | 1.43% | 09/30/15 | 01/04/16 | 1,282,000 | 1,282,000 | |||||||||||
Royal Bank of Canada | 1.50% | 04/16/15 | 10/20/15 | 881,000 | 887,031 | |||||||||||
Royal Bank of Canada | 1.51% | 09/10/15 | 01/11/16 | 844,000 | 844,742 | |||||||||||
Royal Bank of Canada | 1.51% | 09/10/15 | 01/11/16 | 1,032,000 | 1,032,907 | |||||||||||
Royal Bank of Canada | 1.51% | 09/10/15 | 01/11/16 | 736,000 | 736,647 | |||||||||||
Royal Bank of Canada | 1.51% | 07/23/15 | 11/12/15 | 1,434,000 | 1,438,210 | |||||||||||
Royal Bank of Canada | 1.51% | 07/23/15 | 11/12/15 | 708,000 | 710,079 | |||||||||||
Royal Bank of Canada | 1.56% | 07/23/15 | 11/12/15 | 1,683,000 | 1,688,105 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
Royal Bank of Canada | 1.62% | 08/17/15 | 02/17/16 | $ | 2,998,000 | $ | 3,004,066 | |||||||||
Royal Bank of Canada | 1.73% | 09/28/15 | 03/28/16 | 1,274,000 | 1,274,184 | |||||||||||
Royal Bank of Canada | 1.73% | 09/28/15 | 03/28/16 | 730,000 | 730,105 | |||||||||||
Royal Bank of Canada | 1.73% | 08/26/15 | 11/16/15 | 1,422,000 | 1,424,462 | |||||||||||
Royal Bank of Canada | 1.82% | 08/18/15 | 11/18/15 | 984,000 | 986,194 | |||||||||||
Royal Bank of Canada | 1.86% | 09/10/15 | 01/11/16 | 976,000 | 977,058 | |||||||||||
Royal Bank of Canada | 1.86% | 09/10/15 | 01/11/16 | 1,344,000 | 1,345,457 | |||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 154,152,234 | $ | 154,409,994 | |||||||||||
Futures Contracts Outstanding at September 30, 2015
Description | Contracts | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
Long Futures | ||||||||||||||||||||
Australian 10-Year Bond | 242 | SFE | 30,917,576 AUD | 12/15/15 | $ | 280,965 | ||||||||||||||
CAC40 10 Euro | 110 | Euronext | 5,009,750 EUR | 10/16/15 | (126,378 | ) | ||||||||||||||
Canada 10-Year Bond | 78 | CDE | 11,172,818 CAD | 12/18/15 | (84,824 | ) | ||||||||||||||
CBOE Volatility Index | 24 | CFE | 487,263 USD | 11/18/15 | 43,737 | |||||||||||||||
CHF Currency | 35 | CME | 4,492,106 USD | 12/14/15 | 6,269 | |||||||||||||||
Cocoa | 131 | ICE | 4,187,826 USD | 12/15/15 | (108,486 | ) | ||||||||||||||
Coffee | 72 | ICE | 3,312,742 USD | 03/18/16 | 46,058 | |||||||||||||||
Corn | 94 | CBOT | 1,925,949 USD | 07/14/16 | 4,576 | |||||||||||||||
Corn | 133 | CBOT | 2,521,464 USD | 12/14/15 | 57,074 | |||||||||||||||
Cotton No. 2 | 290 | ICE | 9,453,931 USD | 12/08/15 | (690,131 | ) | ||||||||||||||
DAX Index | 12 | Eurex | 3,026,418 EUR | 12/18/15 | (143,662 | ) | ||||||||||||||
Euro FX | 59 | CME | 8,248,709 USD | 12/14/15 | (4,196 | ) | ||||||||||||||
Euro-BTP | 226 | Eurex | 30,189,351 EUR | 12/08/15 | 684,060 | |||||||||||||||
Gasoline RBOB | 73 | NYMEX | 4,279,730 USD | 10/30/15 | (89,428 | ) | ||||||||||||||
Gold 100 Oz | 53 | COMEX | 5,803,859 USD | 12/29/15 | 106,701 | |||||||||||||||
Hang Seng Index | 59 | HKFE | 62,253,054 HKD | 10/29/15 | (118,277 | ) | ||||||||||||||
IBEX 35 Index | 81 | MEFF | 7,844,640 EUR | 10/16/15 | (130,732 | ) | ||||||||||||||
Japanese YEN Currency | 123 | CME | 12,739,908 USD | 12/14/15 | 87,455 | |||||||||||||||
Live Cattle | 69 | CME | 3,873,562 USD | 02/29/16 | (195,172 | ) | ||||||||||||||
Long Gilt | 130 | ICE | 15,305,700 GBP | 12/29/15 | 260,345 | |||||||||||||||
Mex Bolsa Index | 117 | MexDer | 50,275,759 MXN | 12/18/15 | (22,960 | ) | ||||||||||||||
Nasdaq 100 E-Mini | 37 | CME | 3,202,386 USD | 12/18/15 | (121,766 | ) | ||||||||||||||
Nikkei 225 | 49 | OSE | 876,348,870 JPY | 12/10/15 | (202,049 | ) | ||||||||||||||
NY Harbor ULSD | 27 | NYMEX | 1,760,075 USD | 10/30/15 | (16,664 | ) | ||||||||||||||
OMXS30 Index | 474 | Nasdaq OMX | 69,893,184 SEK | 10/16/15 | (334,349 | ) | ||||||||||||||
S&P 500 E-Mini | 1,131 | CME | 108,213,268 USD | 12/18/15 | (276,283 | ) | ||||||||||||||
S&P/TSX 60 Index | 17 | CDE | 2,651,365 CAD | 12/17/15 | 476 | |||||||||||||||
Soybean Meal | 230 | CBOT | 7,095,584 USD | 12/14/15 | 11,416 | |||||||||||||||
SPI 200 | 149 | SFE | 18,932,643 AUD | 12/17/15 | (197,633 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Description | Contracts | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
Sugar 11 | 176 | ICE | 2,387,320 USD | 02/29/16 | $ | 151,585 | ||||||||||||||
Swiss Market Index | 17 | Eurex | 1,477,810 CHF | 12/18/15 | (35,584 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 363 | CBOT | 46,160,714 USD | 12/21/15 | 569,864 | |||||||||||||||
Wheat | 67 | CBOT | 1,629,139 USD | 03/14/16 | 111,186 | |||||||||||||||
Wheat | 42 | CBOT | 1,024,577 USD | 12/14/15 | 52,198 | |||||||||||||||
|
| |||||||||||||||||||
$ | (424,609 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Short Futures | ||||||||||||||||||||
90 Day Eurodollar | 17 | CME | 4,176,769 USD | 03/13/17 | $ | (27,756 | ) | |||||||||||||
90 Day Eurodollar | 14 | CME | 3,419,320 USD | 12/18/17 | (30,105 | ) | ||||||||||||||
90 Day Eurodollar | 21 | CME | 5,140,054 USD | 09/18/17 | (40,646 | ) | ||||||||||||||
90 Day Eurodollar | 11 | CME | 2,687,834 USD | 03/19/18 | (19,541 | ) | ||||||||||||||
90 Day Eurodollar | 7 | CME | 1,693,607 USD | 12/16/19 | (17,543 | ) | ||||||||||||||
90 Day Eurodollar | 13 | CME | 3,150,404 USD | 09/16/19 | (30,371 | ) | ||||||||||||||
90 Day Eurodollar | 19 | CME | 4,665,814 USD | 06/19/17 | (27,186 | ) | ||||||||||||||
90 Day Eurodollar | 8 | CME | 1,946,642 USD | 03/18/19 | (14,458 | ) | ||||||||||||||
90 Day Eurodollar | 12 | CME | 2,931,169 USD | 06/18/18 | (19,181 | ) | ||||||||||||||
90 Day Eurodollar | 12 | CME | 2,928,232 USD | 09/17/18 | (19,118 | ) | ||||||||||||||
90 Day Eurodollar | 7 | CME | 1,706,938 USD | 12/17/18 | (10,599 | ) | ||||||||||||||
90 Day Eurodollar | 6 | CME | 1,463,340 USD | 06/17/19 | (6,060 | ) | ||||||||||||||
90 Day Eurodollar | 7 | CME | 1,699,995 USD | 03/16/20 | (9,668 | ) | ||||||||||||||
90 Day Eurodollar | 6 | CME | 1,455,580 USD | 06/15/20 | (8,645 | ) | ||||||||||||||
90 Day Eurodollar | 48 | CME | 11,931,071 USD | 12/14/15 | (19,129 | ) | ||||||||||||||
90 Day Eurodollar | 38 | CME | 9,430,009 USD | 03/14/16 | (20,591 | ) | ||||||||||||||
90 Day Eurodollar | 36 | CME | 8,916,518 USD | 06/13/16 | (25,432 | ) | ||||||||||||||
90 Day Eurodollar | 35 | CME | 8,641,042 USD | 09/19/16 | (39,833 | ) | ||||||||||||||
90 Day Eurodollar | 19 | CME | 4,676,009 USD | 12/19/16 | (29,103 | ) | ||||||||||||||
90 Day Eurodollar | 1 | CME | 243,822 USD | 09/14/20 | (15 | ) | ||||||||||||||
AUD/USD Currency | 61 | CME | 4,271,846 USD | 12/14/15 | 9,166 | |||||||||||||||
Australian 10-Year Bond | 42 | SFE | 5,378,361 AUD | 12/15/15 | (39,988 | ) | ||||||||||||||
Brent Crude | 2 | ICE | 100,357 USD | 11/13/15 | 2,257 | |||||||||||||||
British Pond Currency | 98 | CME | 9,394,515 USD | 12/14/15 | 137,802 | |||||||||||||||
Canadian Currency | 91 | CME | 6,888,864 USD | 12/15/15 | 74,784 | |||||||||||||||
Coffee | 24 | ICE | 1,075,103 USD | 12/18/15 | (17,047 | ) | ||||||||||||||
Dax Index | 2 | Eurex | 504,347 EUR | 12/18/15 | 23,881 | |||||||||||||||
Euro Stoxx 50 | 2,228 | Eurex | 72,077,964 EUR | 12/18/15 | 3,587,394 | |||||||||||||||
Euro-BOBL | 2 | Eurex | 257,058 EUR | 12/08/15 | (1,097 | ) | ||||||||||||||
Euro-Bund | 283 | Eurex | 43,483,358 EUR | 12/08/15 | (802,754 | ) | ||||||||||||||
Euro-Oat | 94 | Eurex | 13,966,737 EUR | 12/08/15 | (319,065 | ) | ||||||||||||||
FTSE 100 Index | 123 | ICE | 7,426,764 GBP | 12/18/15 | 36,320 | |||||||||||||||
FTSE/JSE Top 40 | 388 | Safex | 172,056,170 ZAR | 12/17/15 | (266,149 | ) | ||||||||||||||
Gasoline RBOB | 24 | NYMEX | 1,607,593 USD | 03/31/16 | 2,857 | |||||||||||||||
Hang Seng Index | 5 | HKFE | 5,205,598 HKD | 10/29/15 | 980 | |||||||||||||||
Japan 10-Year Bond | 105 | OSE | 15,519,397,225 JPY | 12/14/15 | (311,781 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Description | Contracts | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
Lean Hogs | 140 | CME | 3,510,566 USD | 12/14/15 | $ | (226,034 | ) | |||||||||||||
Live Cattle | 101 | CME | 5,762,395 USD | 12/31/15 | 473,025 | |||||||||||||||
Low Sulphur Gasoil | 33 | ICE | 1,643,682 USD | 06/10/16 | 27,507 | |||||||||||||||
Low Sulphur Gasoil | 39 | ICE | 1,914,819 USD | 03/10/16 | 39,894 | |||||||||||||||
Low Sulphur Gasoil | 47 | ICE | 2,238,014 USD | 11/12/15 | 43,114 | |||||||||||||||
Nasdaq 100 E-Mini | 11 | CME | 940,499 USD | 12/18/15 | 24,639 | |||||||||||||||
Natural Gas | 117 | NYMEX | 3,404,534 USD | 10/28/15 | 451,454 | |||||||||||||||
Natural Gas | 55 | NYMEX | 1,608,819 USD | 11/25/15 | 123,269 | |||||||||||||||
NY Harbor ULSD | 25 | NYMEX | 1,695,102 USD | 01/29/16 | 26,232 | |||||||||||||||
NY Harbor ULSD | 22 | NYMEX | 1,462,549 USD | 12/31/15 | 6,140 | |||||||||||||||
Platinum | 77 | NYMEX | 3,720,099 USD | 01/27/16 | 220,064 | |||||||||||||||
S&P 500 | 6 | CME | 2,899,704 USD | 12/17/15 | 36,654 | |||||||||||||||
S&P 500 E-Mini | 176 | CME | 16,960,365 USD | 12/18/15 | 163,805 | |||||||||||||||
S&P/TSX 60 Index | 49 | CDE | 7,654,931 CAD | 12/17/15 | 8,191 | |||||||||||||||
SGX CNX Nifty | 297 | SGX | 4,769,276 USD | 10/29/15 | 31,532 | |||||||||||||||
Silver | 65 | COMEX | 4,929,776 USD | 12/29/15 | 211,426 | |||||||||||||||
Soybean Oil | 285 | CBOT | 4,623,409 USD | 12/14/15 | (51,731 | ) | ||||||||||||||
Swiss Market Index | 127 | Eurex | 11,042,454 CHF | 12/18/15 | 268,238 | |||||||||||||||
Topix Index | 217 | OSE | 3,200,902,506 JPY | 12/10/15 | 1,149,898 | |||||||||||||||
U.S. Treasury 10-Year Note | 27 | CBOT | 3,449,689 USD | 12/21/15 | (26,139 | ) | ||||||||||||||
U.S. Treasury 2-Year Note | 74 | CBOT | 16,189,812 USD | 12/31/15 | (18,501 | ) | ||||||||||||||
U.S. Treasury Long Bond | 22 | CBOT | 3,409,940 USD | 12/21/15 | (51,623 | ) | ||||||||||||||
WTI Crude | 31 | NYMEX | 1,540,278 USD | 03/21/16 | 55,068 | |||||||||||||||
WTI Crude | 19 | NYMEX | 881,549 USD | 10/20/15 | 24,839 | |||||||||||||||
|
| |||||||||||||||||||
$ | 4,713,541 | |||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts Outstanding |
| $ | 4,288,932 | |||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2015
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
AUD | 9,075,000 | USD | 6,487,990 | State Street Bank and Trust Company | 12/16/15 | $ | (143,484 | ) | ||||||||||||||
AUD | 6,698 | USD | 4,677 | Morgan Stanley & Co. LLC | 12/21/15 | 4 | ||||||||||||||||
BRL | 8,010,000 | USD | �� | 2,200,459 | State Street Bank and Trust Company | 12/02/15 | (223,340 | ) | ||||||||||||||
BRL | 20,925,000 | USD | 5,460,880 | State Street Bank and Trust Company | 12/02/15 | (295,935 | ) | |||||||||||||||
BRL | 2,952,559 | USD | 772,921 | Morgan Stanley Capital Services LLC | 10/02/15 | (28,172 | ) | |||||||||||||||
BRL | 477,000 | USD | 120,790 | State Street Bank and Trust Company | 12/02/15 | (3,052 | ) | |||||||||||||||
BRL | 2,735,398 | USD | 664,496 | Morgan Stanley Capital Services LLC | 10/02/15 | 25,477 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
BRL | 1,029,448 | USD | 243,225 | Morgan Stanley Capital Services LLC | 10/02/15 | $ | 16,442 | |||||||||||||||
BRL | 3,551,992 | USD | 839,218 | Morgan Stanley Capital Services LLC | 10/02/15 | 56,731 | ||||||||||||||||
BRL | 2,483,932 | USD | 602,457 | JPMorgan Chase Bank, N.A. | 10/02/15 | 24,086 | ||||||||||||||||
CAD | 265,117 | USD | 200,049 | Morgan Stanley & Co. LLC | 12/16/15 | (1,448 | ) | |||||||||||||||
CAD | 5,334,000 | USD | 4,025,205 | State Street Bank and Trust Company | 12/16/15 | (29,472 | ) | |||||||||||||||
CHF | 256,200 | USD | 265,388 | Morgan Stanley & Co. LLC | 12/21/15 | (1,734 | ) | |||||||||||||||
CHF | 315,000 | USD | 324,920 | State Street Bank and Trust Company | 12/16/15 | (827 | ) | |||||||||||||||
CHF | 254,810 | USD | 263,451 | Morgan Stanley & Co. LLC | 12/21/15 | (1,227 | ) | |||||||||||||||
CHF | 735,185 | USD | 757,017 | Morgan Stanley & Co. LLC | 12/21/15 | (440 | ) | |||||||||||||||
CHF | 4,525,000 | USD | 4,653,339 | Morgan Stanley & Co. LLC | 12/16/15 | 2,275 | ||||||||||||||||
CZK | 22,254,000 | USD | 921,300 | State Street Bank and Trust Company | 12/16/15 | (4,639 | ) | |||||||||||||||
DKK | 12,603,800 | USD | 1,911,321 | Morgan Stanley & Co. LLC | 12/21/15 | (20,079 | ) | |||||||||||||||
EUR | 350,890 | USD | 396,433 | State Street Bank and Trust Company | 12/16/15 | (3,850 | ) | |||||||||||||||
EUR | 107,819 | USD | 121,882 | Morgan Stanley & Co. LLC | 12/21/15 | (1,239 | ) | |||||||||||||||
EUR | 461,000 | USD | 520,146 | State Street Bank and Trust Company | 12/16/15 | (4,370 | ) | |||||||||||||||
EUR | 1,059,000 | USD | 1,201,089 | Morgan Stanley & Co. LLC | 12/16/15 | (16,257 | ) | |||||||||||||||
EUR | 990,000 | USD | 1,104,404 | Morgan Stanley & Co. LLC | 12/16/15 | 3,229 | ||||||||||||||||
EUR | 20,000 | USD | 22,431 | Morgan Stanley & Co. LLC | 12/16/15 | (55 | ) | |||||||||||||||
EUR | 1,180,538 | USD | 1,320,967 | State Street Bank and Trust Company | 12/16/15 | (155 | ) | |||||||||||||||
EUR | 345,000 | USD | 385,741 | Morgan Stanley & Co. LLC | 12/16/15 | 252 | ||||||||||||||||
GBP | 6,200,000 | USD | 9,521,960 | State Street Bank and Trust Company | 12/16/15 | (145,827 | ) | |||||||||||||||
GBP | 232,330 | USD | 359,841 | Morgan Stanley & Co. LLC | 12/21/15 | (8,493 | ) | |||||||||||||||
GBP | 2,299,453 | USD | 3,551,000 | Morgan Stanley & Co. LLC | 12/16/15 | (73,584 | ) | |||||||||||||||
GBP | 114,978 | USD | 175,285 | Morgan Stanley & Co. LLC | 12/21/15 | (1,407 | ) | |||||||||||||||
HUF | 3,443,787,000 | USD | 12,308,251 | State Street Bank and Trust Company | 12/16/15 | (35,520 | ) | |||||||||||||||
ILS | 2,002,000 | USD | 515,594 | State Street Bank and Trust Company | 12/16/15 | (4,736 | ) | |||||||||||||||
JPY | 2,265,201,000 | USD | 18,811,931 | State Street Bank and Trust Company | 12/16/15 | 94,074 | ||||||||||||||||
JPY | 176,405,000 | USD | 1,468,818 | State Street Bank and Trust Company | 12/16/15 | 3,508 | ||||||||||||||||
JPY | 18,000,000 | USD | 150,383 | Morgan Stanley & Co. LLC | 12/16/15 | (150 | ) | |||||||||||||||
JPY | 420,000,000 | USD | 3,501,751 | Morgan Stanley & Co. LLC | 12/16/15 | 3,687 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
JPY | 234,067,000 | USD | 1,949,329 | JPMorgan Chase Bank, N.A. | 10/30/15 | $ | 2,448 | |||||||||||||||
MXN | 61,340,500 | USD | 3,628,971 | State Street Bank and Trust Company | 12/16/15 | (21,905 | ) | |||||||||||||||
MXN | 125,170,000 | USD | 7,473,104 | State Street Bank and Trust Company | 12/16/15 | (112,608 | ) | |||||||||||||||
NOK | 1,307,000 | USD | 159,001 | State Street Bank and Trust Company | 12/16/15 | (5,655 | ) | |||||||||||||||
NZD | 1,443,000 | USD | 914,025 | State Street Bank and Trust Company | 12/16/15 | 3,586 | ||||||||||||||||
PLN | 10,732,000 | USD | 2,842,086 | State Street Bank and Trust Company | 12/16/15 | (24,063 | ) | |||||||||||||||
RUB | 323,037,000 | USD | 4,628,700 | State Street Bank and Trust Company | 12/16/15 | 184,594 | ||||||||||||||||
RUB | 3,053,000 | USD | 45,049 | State Street Bank and Trust Company | 12/16/15 | 441 | ||||||||||||||||
SEK | 3,723,000 | USD | 450,437 | State Street Bank and Trust Company | 12/16/15 | (4,838 | ) | |||||||||||||||
TRY | 27,988,000 | USD | 9,035,382 | State Street Bank and Trust Company | 12/16/15 | 3,408 | ||||||||||||||||
USD | 12,914,859 | AUD | 18,429,000 | State Street Bank and Trust Company | 12/16/15 | 30,793 | ||||||||||||||||
USD | 33,623 | AUD | 46,971 | Morgan Stanley & Co. LLC | 12/21/15 | 793 | ||||||||||||||||
USD | 816,233 | AUD | 1,160,000 | JPMorgan Chase Bank, N.A. | 10/30/15 | 3,267 | ||||||||||||||||
USD | 1,890,020 | BRL | 6,816,925 | Morgan Stanley Capital Services LLC | 10/02/15 | 170,529 | ||||||||||||||||
USD | 450,000 | BRL | 1,669,950 | State Street Bank and Trust Company | 10/02/15 | 28,774 | ||||||||||||||||
USD | 633,636 | BRL | 2,423,024 | Morgan Stanley Capital Services LLC | 10/02/15 | 22,456 | ||||||||||||||||
USD | 1,296,504 | BRL | 5,081,000 | State Street Bank and Trust Company | 12/02/15 | 42,354 | ||||||||||||||||
USD | 243,225 | BRL | 1,028,232 | Morgan Stanley Capital Services LLC | 10/02/15 | (16,135 | ) | |||||||||||||||
USD | 608,062 | BRL | 2,483,932 | JPMorgan Chase Bank, N.A. | 10/02/15 | (18,482 | ) | |||||||||||||||
USD | 595,424 | BRL | 2,483,932 | JPMorgan Chase Bank, N.A. | 11/04/15 | (24,252 | ) | |||||||||||||||
USD | 400,000 | BRL | 1,622,400 | State Street Bank and Trust Company | 11/02/15 | (5,029 | ) | |||||||||||||||
USD | 4,030,634 | CAD | 5,334,000 | State Street Bank and Trust Company | 12/16/15 | 34,901 | ||||||||||||||||
USD | 1,630,194 | CAD | 2,170,000 | JPMorgan Chase Bank, N.A. | 10/30/15 | 4,351 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 10,218,385 | CHF | 9,936,000 | State Street Bank and Trust Company | 12/16/15 | $ | (4,417 | ) | ||||||||||||||
USD | 7,474,915 | CHF | 7,237,960 | Morgan Stanley & Co. LLC | 12/16/15 | 28,031 | ||||||||||||||||
USD | 47,660 | CHF | 46,000 | Morgan Stanley & Co. LLC | 12/16/15 | 332 | ||||||||||||||||
USD | 400,123 | CHF | 390,000 | Morgan Stanley & Co. LLC | 12/16/15 | (1,134 | ) | |||||||||||||||
USD | 15,793 | CHF | 15,355 | Morgan Stanley & Co. LLC | 12/21/15 | (9 | ) | |||||||||||||||
USD | 1,925,453 | CHF | 1,870,000 | Morgan Stanley & Co. LLC | 12/16/15 | 1,476 | ||||||||||||||||
USD | 1,905,850 | CNH | 12,588,141 | Morgan Stanley Capital Services LLC | 08/22/16 | (19,603 | ) | |||||||||||||||
USD | 1,256,009 | CNH | 8,348,441 | Morgan Stanley Capital Services LLC | 08/22/16 | (20,949 | ) | |||||||||||||||
USD | 6,866,764 | CZK | 165,180,000 | State Street Bank and Trust Company | 12/16/15 | 62,859 | ||||||||||||||||
USD | 46,685 | DKK | 309,400 | Morgan Stanley & Co. LLC | 12/21/15 | 258 | ||||||||||||||||
USD | 441,689 | DKK | 2,940,848 | Morgan Stanley & Co. LLC | 12/21/15 | 405 | ||||||||||||||||
USD | 3,934,630 | EUR | 3,513,000 | State Street Bank and Trust Company | 12/16/15 | 4,210 | ||||||||||||||||
USD | 12,406,607 | EUR | 11,011,455 | Morgan Stanley & Co. LLC | 12/16/15 | 86,753 | ||||||||||||||||
USD | 12,854,312 | EUR | 11,343,825 | State Street Bank and Trust Company | 12/16/15 | 162,596 | ||||||||||||||||
USD | 3,833,245 | EUR | 3,400,000 | State Street Bank and Trust Company | 10/19/15 | 33,132 | ||||||||||||||||
USD | 1,202,213 | EUR | 1,064,119 | State Street Bank and Trust Company | 12/16/15 | 11,654 | ||||||||||||||||
USD | 173,363 | EUR | 154,095 | JPMorgan Chase Bank, N.A. | 12/16/15 | 959 | ||||||||||||||||
USD | 170,537 | EUR | 150,539 | Morgan Stanley Capital Services LLC | 12/16/15 | 2,111 | ||||||||||||||||
USD | 445,196 | EUR | 389,662 | State Street Bank and Trust Company | 12/16/15 | 9,234 | ||||||||||||||||
USD | 2,979,187 | EUR | 2,631,000 | Morgan Stanley & Co. LLC | 12/16/15 | 35,567 | ||||||||||||||||
USD | 364,395 | EUR | 324,712 | State Street Bank and Trust Company | 12/16/15 | 1,101 | ||||||||||||||||
USD | 805,024 | EUR | 721,018 | JPMorgan Chase Bank, N.A. | 12/16/15 | (1,666 | ) | |||||||||||||||
USD | 13,404,792 | EUR | 12,000,000 | State Street Bank and Trust Company | 10/29/15 | (9,423 | ) | |||||||||||||||
USD | 6,658,850 | EUR | 5,980,000 | JPMorgan Chase Bank, N.A. | 10/30/15 | (26,003 | ) | |||||||||||||||
USD | 812,213 | EUR | 726,741 | Morgan Stanley Capital Services LLC | 12/16/15 | (880 | ) | |||||||||||||||
USD | 21,539 | EUR | 19,273 | Morgan Stanley Capital Services LLC | 12/16/15 | (23 | ) | |||||||||||||||
USD | 172,452 | EUR | 153,000 | Morgan Stanley & Co. LLC | 12/16/15 | 1,273 | ||||||||||||||||
USD | 46,303 | EUR | 41,130 | Morgan Stanley & Co. LLC | 12/21/15 | 280 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 23,452 | EUR | 21,000 | Morgan Stanley & Co. LLC | 12/16/15 | $ | (43 | ) | ||||||||||||||
USD | 772,068 | GBP | 499,287 | Morgan Stanley & Co. LLC | 12/16/15 | 17,006 | ||||||||||||||||
USD | 564,276 | GBP | 368,000 | State Street Bank and Trust Company | 12/16/15 | 7,758 | ||||||||||||||||
USD | 3,000,000 | GBP | 1,941,740 | State Street Bank and Trust Company | 10/29/15 | 63,009 | ||||||||||||||||
USD | 3,553,576 | GBP | 2,330,000 | JPMorgan Chase Bank, N.A. | 10/30/15 | 29,336 | ||||||||||||||||
USD | 109,231 | GBP | 72,000 | Morgan Stanley & Co. LLC | 12/16/15 | 347 | ||||||||||||||||
USD | 6,690,783 | HUF | 1,855,601,758 | State Street Bank and Trust Company | 12/16/15 | 77,918 | ||||||||||||||||
USD | 14,439,983 | ILS | 55,921,000 | State Street Bank and Trust Company | 12/16/15 | 170,404 | ||||||||||||||||
USD | 66,382 | JPY | 8,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | (388 | ) | |||||||||||||||
USD | 17,680,737 | JPY | 2,129,786,248 | Morgan Stanley & Co. LLC | 12/16/15 | (95,058 | ) | |||||||||||||||
USD | 99,644 | JPY | 12,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | (511 | ) | |||||||||||||||
USD | 73,002 | JPY | 8,753,000 | Morgan Stanley & Co. LLC | 12/16/15 | (53 | ) | |||||||||||||||
USD | 282,532 | JPY | 33,842,000 | Morgan Stanley & Co. LLC | 12/16/15 | 77 | ||||||||||||||||
USD | 260,051 | JPY | 31,261,000 | Morgan Stanley & Co. LLC | 12/16/15 | (862 | ) | |||||||||||||||
USD | 684,703 | JPY | 82,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | 308 | ||||||||||||||||
USD | 350,093 | JPY | 42,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | (450 | ) | |||||||||||||||
USD | 9,899,424 | NOK | 81,695,000 | State Street Bank and Trust Company | 12/16/15 | 314,448 | ||||||||||||||||
USD | 16,998,733 | NZD | 26,864,000 | State Street Bank and Trust Company | 12/16/15 | (84,222 | ) | |||||||||||||||
USD | 2,861,371 | PLN | 10,732,000 | State Street Bank and Trust Company | 12/16/15 | 43,348 | ||||||||||||||||
USD | 1,214,175 | RUB | 81,750,376 | Morgan Stanley Capital Services LLC | 12/16/15 | (3,917 | ) | |||||||||||||||
USD | 3,816,085 | SEK | 32,099,000 | State Street Bank and Trust Company | 12/16/15 | (25,789 | ) | |||||||||||||||
USD | 8,390 | TRY | 26,000 | State Street Bank and Trust Company | 12/16/15 | (7 | ) | |||||||||||||||
USD | 1,223,116 | TRY | 3,780,530 | JPMorgan Chase Bank, N.A. | 12/16/15 | 2,185 | ||||||||||||||||
USD | 3,897 | ZAR | 54,000 | State Street Bank and Trust Company | 12/17/15 | 52 | ||||||||||||||||
USD | 2,899,310 | ZAR | 39,624,000 | State Street Bank and Trust Company | 12/17/15 | 77,862 | ||||||||||||||||
|
| |||||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding |
| $ | 430,883 | |||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Centrally Cleared Credit Default Swaps on Single-Name Issues (Sell Protection) — Outstanding at September 30, 2015
Reference | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Russia 09/20 | 1.00% | 09/22/20 | Credit Suisse Securities (USA) LLC | 1,738,856 USD | $ | (187,059) | $ | (213,113) | $ | 26,054 | ||||||||||||||||
Total Centrally Cleared Credit Default Swap on Single-Name Issues (Sell Protection) |
| $ | (187,059) | $ | (213,113) | $ | 26,054 | |||||||||||||||||||
Centrally Cleared Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at September 30, 2015
Reference | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Brazil 06/20 | (1.00%) | 06/23/20 | Credit Suisse Securities (USA) LLC | 4,027,000 USD | $ | 612,184 | $ | 279,926 | $ | 332,258 | ||||||||||||||||
Turkey 09/20 | (1.00%) | 09/22/20 | Credit Suisse Securities (USA) LLC | 1,894,000 USD | 174,913 | 151,172 | 23,741 | |||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issue (Buy Protection) |
| $ | 787,097 | $ | 431,098 | $ | 355,999 | |||||||||||||||||||
OTC Credit Default Swaps on Index (Buy Protection)—Outstanding at September 30, 2015
Reference Obligation | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||
CMBX.NA.AAA8 | (0.50%) | 10/26/57 | JPMorgan Chase Bank, N.A. | 24,323,002 USD | $ | 1,360,835 | $ | 1,343,805 | $ | 17,030 | ||||||||||||||
CMBX.NA.BB6 | (5.00%) | 05/11/63 | JPMorgan Chase Bank, N.A. | 822,454 USD | 29,118 | (4,291 | ) | 33,409 | ||||||||||||||||
CMBX.NA.BB6 | (5.00%) | 05/11/63 | Credit Suisse International | 2,192,552 USD | 77,625 | (15,250 | ) | 92,875 | ||||||||||||||||
CMBX.NA.BBB-.6 | (3.00%) | 05/11/63 | Morgan Stanley Capital Services LLC | 1,261,739 USD | 33,239 | (14,434 | ) | 47,673 | ||||||||||||||||
CMBX.NA.BBB-.6 | (3.00%) | 05/11/63 | Credit Suisse International | 1,143,706 USD | 30,130 | 18,318 | 11,812 | |||||||||||||||||
CMBX.NA.BBB-.7 | (3.00%) | 01/26/47 | Morgan Stanley Capital Services LLC | 1,416,281 USD | 79,778 | 14,332 | 65,446 | |||||||||||||||||
CMBX.NA.BBB-.7 | (3.00%) | 01/26/47 | Credit Suisse International | 707,638 USD | 39,860 | 25,882 | 13,978 | |||||||||||||||||
CMBX.NA.BBB-7 | (1.00%) | 01/26/47 | JPMorgan Chase Bank, N.A. | 456,736 USD | 25,727 | 20,331 | 5,396 | |||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | 1,676,312 | $ | 1,388,693 | $ | 287,619 | |||||||||||||||||
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2015
Reference | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||
CMBX.NA.AAA8 | 0.50% | 10/26/57 | Credit Suisse International | 997,681 USD | $ | (55,819) | $ | (55,433) | $ | (386) | ||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) |
| $ | (55,819) | $ | (55,433) | $ | (386) | |||||||||||||||||
OTC Credit Default Swaps on Single-Name Issues (Sell Protection) — Outstanding at September 30, 2015
Reference | Rating | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||||
Russia 09/20 | BB | 1.00% | 09/22/20 | Morgan Stanley Capital Services LLC | 2,060,827 USD | $ | (221,696) | $ | (241,983) | $ | 20,287 | |||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issues (Sell Protection) |
| $ | (221,696) | $ | (241,983) | $ | 20,287 | |||||||||||||||||||||
OTC Total Return Swaps Outstanding at September 30, 2015
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
Buys | ||||||||||||||
Adecco SA REG | 02/09/17 | Credit Suisse Securities (Europe) Limited | 1,896,925 CHF | $ | (86,157 | ) | ||||||||
Airbus Group | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,739,926 EUR | (63,770 | ) | |||||||||
Alcatel Lucent | 02/09/16 | Credit Suisse Securities (Europe) Limited | 5,784,005 EUR | 243,269 | ||||||||||
Alstom | 02/09/16 | Credit Suisse Securities (Europe) Limited | 2,926,703 EUR | (56,502 | ) | |||||||||
Altice NV | 05/24/17 | Morgan Stanley Capital Services LLC | 236,526 EUR | (30,608 | ) | |||||||||
Altice NV | 11/07/16 | Credit Suisse Securities (Europe) Limited | 4,326,678 EUR | (605,317 | ) | |||||||||
Altice NV | 11/07/16 | Credit Suisse Securities (Europe) Limited | 1,521,395 EUR | (196,879 | ) | |||||||||
Altice NV | 05/24/17 | Morgan Stanley Capital Services LLC | 1,116,442 EUR | (156,194 | ) | |||||||||
Amadeus IT Holding SA | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,792,419 EUR | 143,161 | ||||||||||
Amazon.com, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,547,267 USD | (57,667 | ) | |||||||||
Amazon.com, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 10,671,663 USD | (442,565 | ) | |||||||||
Anheuser Busch Inbev NV | 01/23/17 | Credit Suisse Securities (Europe) Limited | 64,195 EUR | 1,029 | ||||||||||
Astrazeneca PLC | 08/10/17 | Morgan Stanley Capital Services LLC | 4,687,903 GBP | (563,643 | ) | |||||||||
Atlantia SpA | 08/18/16 | Credit Suisse Securities (Europe) Limited | 2,473,679 EUR | 98,076 | ||||||||||
Atos | 02/09/16 | Credit Suisse Securities (Europe) Limited | 4,812,187 EUR | 19,460 | ||||||||||
Autozone, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 11,453,138 USD | (343,795 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
Banco Santander SA | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,462,517 EUR | $ | (99,328 | ) | ||||||||
Bayer AG | 02/08/16 | Credit Suisse Securities (Europe) Limited | 2,314,368 EUR | (110,322 | ) | |||||||||
Bayer AG REG | 08/09/17 | Morgan Stanley Capital Services LLC | 2,913,539 EUR | (211,892 | ) | |||||||||
Beazer Home USA, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,997,961 USD | (252,691 | ) | |||||||||
BG Group PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 4,241,535 GBP | (333,184 | ) | |||||||||
BG Group PLC | 12/28/16 | Credit Suisse Securities (Europe) Limited | 2,180,502 GBP | (464,679 | ) | |||||||||
BNP Paribas | 02/09/16 | Credit Suisse Securities (Europe) Limited | 2,417,737 EUR | (128,506 | ) | |||||||||
Burlington Stores, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 141,497 USD | (7,109 | ) | |||||||||
Burlington Stores, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,528,575 USD | (127,040 | ) | |||||||||
Cadence Design Systems, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,335,003 USD | (78,730 | ) | |||||||||
Cadence Design Systems, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,479,591 USD | (105,751 | ) | |||||||||
Cap Gemini | 02/09/16 | Credit Suisse Securities (Europe) Limited | 856,698 EUR | 10,869 | ||||||||||
Casino Guichard Perrachon | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,882,584 EUR | (25,335 | ) | |||||||||
Commerzbank AG | 02/08/16 | Credit Suisse Securities (Europe) Limited | 810,537 EUR | (62,884 | ) | |||||||||
Criteo SA | 10/14/15 | Credit Suisse Securities (Europe) Limited | 1,795,353 USD | (110,670 | ) | |||||||||
Croda International PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,053,999 GBP | 9,617 | ||||||||||
Dassault Aviation SA | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,692,679 EUR | (171,556 | ) | |||||||||
Delhaize Group | 01/23/17 | Credit Suisse Securities (Europe) Limited | 1,770,878 EUR | 1,252 | ||||||||||
Deutche Bank AG REG | 02/08/16 | Credit Suisse Securities (Europe) Limited | 2,524,515 EUR | (225,877 | ) | |||||||||
Dollar General Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,116,410 USD | 20,353 | ||||||||||
Dollar General Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,540,965 USD | 6,498 | ||||||||||
Dynergy, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 697,803 USD | 5,101 | ||||||||||
Dynergy, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,171,652 USD | 15,875 | ||||||||||
Electrolux AB | 02/09/16 | Credit Suisse Securities (Europe) Limited | 25,580,868 SEK | (91,426 | ) | |||||||||
Endesa SA | 02/09/16 | Credit Suisse Securities (Europe) Limited | 2,028,022 EUR | (14,936 | ) | |||||||||
Enel SpA | 08/18/16 | Credit Suisse Securities (Europe) Limited | 897,598 EUR | (7,984 | ) | |||||||||
ENI SpA Italia | 08/18/16 | Credit Suisse Securities (Europe) Limited | 926,040 EUR | (53,100 | ) | |||||||||
Faiveley Transport | 02/09/16 | Credit Suisse Securities (Europe) Limited | 390,159 EUR | (3,045 | ) | |||||||||
Ferrovial SA | 12/29/16 | Credit Suisse Securities (Europe) Limited | 1,806,786 EUR | 31,532 | ||||||||||
Fresenius Medical Care AG & Co. KgaA | 02/08/16 | Credit Suisse Securities (Europe) Limited | 2,801,915 EUR | (67,137 | ) | |||||||||
Google, Inc. CL A | 10/25/16 | Credit Suisse Securities (Europe) Limited | 602,617 USD | (9,572 | ) | |||||||||
Google, Inc. Class A | 05/24/17 | Morgan Stanley Capital Services LLC | 10,356,884 USD | (208,716 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
HCA Holdings, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,508,956 USD | $ | (364,317 | ) | ||||||||
HCA Holdings, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,947,851 USD | (399,779 | ) | |||||||||
Heineken NV | 02/09/16 | Credit Suisse Securities (Europe) Limited | 243,630 EUR | 2,461 | ||||||||||
Home Depot, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,345,231 USD | (19,581 | ) | |||||||||
Home Depot, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 6,827,258 USD | (43,953 | ) | |||||||||
HSBC Holdings PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,403,403 GBP | (42,143 | ) | |||||||||
Impax Laboratories, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,810,425 USD | (483,713 | ) | |||||||||
Impax Laboratories, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 592,230 USD | (101,931 | ) | |||||||||
Imperial Tobaco Group PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 3,221,872 GBP | 207,501 | ||||||||||
Italcementi SpA | 08/18/16 | Credit Suisse Securities (Europe) Limited | 456,219 EUR | (8,842 | ) | |||||||||
Koninklijke DSM NV | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,756,995 EUR | (181,671 | ) | |||||||||
Lafargeholcim Ltd. | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,513,304 EUR | (195,371 | ) | |||||||||
Linde AG | 02/08/16 | Credit Suisse Securities (Europe) Limited | 1,894,354 EUR | (59,607 | ) | |||||||||
Lloyds Banking Group PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,578,524 GBP | (13,270 | ) | |||||||||
Masonite International Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,272,635 USD | (162,331 | ) | |||||||||
Masonite International Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,803,298 USD | (200,236 | ) | |||||||||
Mead Johnson Nutrition Co. | 10/14/15 | Credit Suisse Securities (Europe) Limited | 1,178,833 USD | (72,778 | ) | |||||||||
Mohawk Industries, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,230,011 USD | (171,966 | ) | |||||||||
Mohawk Industries, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | �� | 869,864 USD | (67,079 | ) | ||||||||
Norwegian Cruise Line Holdings | 05/24/17 | Morgan Stanley Capital Services LLC | 2,966,256 USD | (233,676 | ) | |||||||||
Norwegian Cruise Line Holdings | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,884,411 USD | (148,450 | ) | |||||||||
Numericable SFR | 05/24/17 | Morgan Stanley Capital Services LLC | 2,197,414 EUR | (193,681 | ) | |||||||||
Numericable SFR | 11/07/16 | Credit Suisse Securities (Europe) Limited | 3,893,751 EUR | (343,196 | ) | |||||||||
Orange | 02/09/16 | Credit Suisse Securities (Europe) Limited | 2,077,621 EUR | (51,216 | ) | |||||||||
Pilgrim’s Pride Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 259,367 USD | 2,648 | ||||||||||
Pirelli & Co. | 08/18/16 | Credit Suisse Securities (Europe) Limited | 1,502,240 EUR | (7,813 | ) | |||||||||
Prudential PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,381,893 GBP | (37,566 | ) | |||||||||
Publicis Groupe | 02/09/16 | Credit Suisse Securities (Europe) Limited | 2,223,100 EUR | (24,204 | ) | |||||||||
PulteGroup, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,873,374 USD | (167,101 | ) | |||||||||
PulteGroup, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,433,606 USD | (152,022 | ) | |||||||||
Puma SE | 02/08/16 | Credit Suisse Securities (Europe) Limited | 1,172,467 EUR | 18,675 | ||||||||||
Renault SA | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,533,195 EUR | (235,506 | ) | |||||||||
Roche Holding AG Genusschein | 02/09/17 | Credit Suisse Securities (Europe) Limited | 2,265,113 CHF | (39,995 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
Royal Bank of Scotland Group | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,093,893 GBP | $ | (47,178 | ) | ||||||||
Royal Bank of Scotland Group | 12/28/16 | Credit Suisse Securities (Europe) Limited | 5,274,208 GBP | (1,009,265 | ) | |||||||||
RSA Insurance Group PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,947,817 GBP | (644,756 | ) | |||||||||
SabMiller PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 212,068 GBP | 10,016 | ||||||||||
Sanofi Aventis | 02/09/16 | Credit Suisse Securities (Europe) Limited | 2,825,183 EUR | (111,220 | ) | |||||||||
Shire PLC | 12/28/16 | Credit Suisse Securities (Europe) Limited | 6,663,276 GBP | (1,672,511 | ) | |||||||||
Six Flags Entertainment Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,829,611 USD | (28,149 | ) | |||||||||
Six Flags Entertainment Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 7,023,301 USD | (69,868 | ) | |||||||||
Skandinaviska Enskilda Banken AB | 02/09/16 | Credit Suisse Securities (Europe) Limited | 24,432,358 SEK | (192,264 | ) | |||||||||
Smith & Nephew PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 3,955,537 GBP | (9,834 | ) | |||||||||
Starbucks Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,768,372 USD | (45,509 | ) | |||||||||
Starbucks Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,718,266 USD | (61,124 | ) | |||||||||
Tim Participacs ADR | 10/14/15 | Credit Suisse Securities (Europe) Limited | 1,450,915 USD | (206,709 | ) | |||||||||
TripAdvisor, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 6,991,255 USD | (284,163 | ) | |||||||||
TUI AG DI | 02/08/16 | Credit Suisse Securities (Europe) Limited | 1,732,506 EUR | (7,156 | ) | |||||||||
UBM PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,531,320 GBP | (477 | ) | |||||||||
Union Pacific Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,351,630 USD | 106,792 | ||||||||||
Union Pacific Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,160,516 USD | 69,190 | ||||||||||
United Rentals, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,520,479 USD | (129,409 | ) | |||||||||
United Rentals, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,681,227 USD | (186,978 | ) | |||||||||
Visa, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 8,178,903 USD | (148,707 | ) | |||||||||
Visa, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,557,679 USD | (26,483 | ) | |||||||||
Vodafone Group PLC | 12/28/16 | Credit Suisse Securities (Europe) Limited | 5,479,095 GBP | (819,098 | ) | |||||||||
Vodafone Group PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 2,176,165 GBP | (147,927 | ) | |||||||||
|
| |||||||||||||
Total Buys | $ | (14,622,971 | ) | |||||||||||
|
| |||||||||||||
Sells |
| |||||||||||||
ABB Ltd. REG | 02/09/17 | Credit Suisse Securities (Europe) Limited | 2,193,217 CHF | $ | 18,632 | |||||||||
ADT Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,599,689 USD | 41,649 | ||||||||||
ADT Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,169,051 USD | 36,667 | ||||||||||
AGCO Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,320,022 USD | (92,615 | ) | |||||||||
AGCO Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,292,153 USD | (131,422 | ) | |||||||||
Allianz SE REG | 02/08/16 | Credit Suisse Securities (Europe) Limited | 838,643 EUR | 7,621 | ||||||||||
America Movil ADR | 07/25/16 | Credit Suisse Securities (Europe) Limited | 409,351 USD | 31,084 | ||||||||||
Avon Products, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,606,171 USD | 122,284 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
Avon Products, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,238,669 USD | $ | 58,119 | |||||||||
AXA SA | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,887,715 EUR | 72,037 | ||||||||||
Blackberry Ltd. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,503,226 USD | 508,139 | ||||||||||
Blackberry Ltd. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,770,517 USD | 401,860 | ||||||||||
Bovespa Index | 10/14/15 | Morgan Stanley Capital Services LLC | 32,566,587 BRL | 623,881 | ||||||||||
British American Tobacco PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 191,856 GBP | (14,250 | ) | |||||||||
Chesapeake Energy Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 1,235,805 USD | 40,759 | ||||||||||
Chesapeake Energy Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,613,380 USD | 53,212 | ||||||||||
CSL LTD | 03/02/17 | Morgan Stanley Capital Services LLC | 3,648,128 AUD | 93,807 | ||||||||||
Deere & Co. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,396,194 USD | 187,000 | ||||||||||
Deere & Co. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 7,699,312 USD | 365,690 | ||||||||||
Distribuidora Internacional | 02/09/16 | Credit Suisse Securities (Europe) Limited | 602,505 EUR | (15,292 | ) | |||||||||
Elekta AB | 02/09/16 | Credit Suisse Securities (Europe) Limited | 9,705,892 SEK | 1,041 | ||||||||||
Ericsson LM | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,366,417 SEK | (3,967 | ) | |||||||||
Fresenius Medical Care AG & Co KGaA | 08/09/17 | Morgan Stanley Capital Services LLC | 305,801 EUR | (7,034 | ) | |||||||||
Groupon, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,416,915 USD | 430,550 | ||||||||||
Groupon, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,537,101 USD | 319,688 | ||||||||||
Guess?, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,506,098 USD | 172,453 | ||||||||||
iBoxx Liquid High Yield Index | 12/21/15 | Morgan Stanley Capital Services LLC | 900,000 USD | 14,194 | ||||||||||
Infineon Technologies AG | 02/08/16 | Credit Suisse Securities (Europe) Limited | 1,736,338 EUR | 6,730 | ||||||||||
iShares MSCI Brazil Capped ETF | 10/14/15 | Credit Suisse Securities (Europe) Limited | 369,561 USD | 25,692 | ||||||||||
J.C. Penney Co., Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,840,066 USD | 24,248 | ||||||||||
J.C. Penney Co., Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,030,614 USD | 25,875 | ||||||||||
K S AG REG | 05/24/17 | Morgan Stanley Capital Services LLC | 832,561 EUR | 9,081 | ||||||||||
K S AG REG | 11/07/16 | Credit Suisse Securities (Europe) Limited | 2,680,574 EUR | 29,239 | ||||||||||
Keurig Green Mountain, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 6,240,367 USD | 332,019 | ||||||||||
Keurig Green Mountain, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,907,641 USD | 154,701 | ||||||||||
KOSPI 200 Index | 12/10/15 | Morgan Stanley Capital Services LLC | 18,165,816,000 KRW | (629,532 | ) | |||||||||
L’Oreal | 02/09/16 | Credit Suisse Securities (Europe) Limited | 118,281 EUR | (7,475 | ) | |||||||||
Las Vegas Sands Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,124,787 USD | 375,250 | ||||||||||
Las Vegas Sands Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,732,828 USD | 157,643 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
Mattel, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,047,776 USD | $ | 149,617 | |||||||||
Mattel, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,689,637 USD | 269,577 | ||||||||||
Merck KgaA | 08/09/17 | Morgan Stanley Capital Services LLC | 2,684,058 EUR | 153,485 | ||||||||||
Nestle SA REG | 02/09/17 | Credit Suisse Securities (Europe) Limited | 116,130 CHF | (572 | ) | |||||||||
Nokia OYJ | 10/17/16 | Credit Suisse Securities (Europe) Limited | 3,786,814 EUR | (146,798 | ) | |||||||||
Philip Morris International | 10/14/15 | Credit Suisse Securities (Europe) Limited | 376,090 USD | 6,888 | ||||||||||
Pilgrims Pride Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,180,821 USD | (32,473 | ) | |||||||||
Potash Corp. of Saskatchewan | 05/24/17 | Morgan Stanley Capital Services LLC | 3,947,397 USD | 80,853 | ||||||||||
Potash Corp. of Saskatchewan | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,830,367 USD | 17,179 | ||||||||||
Royal Dutch Shell PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 1,559,776 GBP | 90,835 | ||||||||||
Royal Dutch Shell PLC | 12/28/16 | Credit Suisse Securities (Europe) Limited | 1,676,554 GBP | 461,752 | ||||||||||
RR Donnelley & Sons Co. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,517,405 USD | 77,955 | ||||||||||
RR Donnelley & Sons Co. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,288,873 USD | 72,890 | ||||||||||
Safran SA | 02/09/16 | Credit Suisse Securities (Europe) Limited | 154,466 EUR | 5,654 | ||||||||||
Sainsbury (J) PLC | 02/09/16 | Credit Suisse Securities (Europe) Limited | 400,146 GBP | (85,793 | ) | |||||||||
SAP SE | 02/08/16 | Credit Suisse Securities (Europe) Limited | 719,000 EUR | 3,448 | ||||||||||
Siemens AG REG | 02/08/16 | Credit Suisse Securities (Europe) Limited | 887,431 EUR | 59,688 | ||||||||||
Sprint Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,626,569 USD | 417,808 | ||||||||||
Sprint Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,336,699 USD | 269,205 | ||||||||||
Stora Enso OYJ | 05/24/17 | Morgan Stanley Capital Services LLC | 1,846,219 EUR | 43,352 | ||||||||||
Stora Enso OYJ | 11/07/16 | Credit Suisse Securities (Europe) Limited | 2,485,070 EUR | 58,353 | ||||||||||
Telefonica Brasil | 10/14/15 | Credit Suisse Securities (Europe) Limited | 598,859 USD | 75,144 | ||||||||||
Telefonica SA | 02/09/16 | Credit Suisse Securities (Europe) Limited | 2,411,929 EUR | 173,464 | ||||||||||
Tesla Motors, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 119,304 USD | 5,786 | ||||||||||
Tesla Motors, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,212,256 USD | 154,949 | ||||||||||
Twitter, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,616,238 USD | (25,847 | ) | |||||||||
Twitter, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,164,469 USD | (28,916 | ) | |||||||||
Unilever DR | 02/09/16 | Credit Suisse Securities (Europe) Limited | 749,173 EUR | (32,719 | ) | |||||||||
United States Steel Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 782,024 USD | 56,406 | ||||||||||
United States Steel Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,079,046 USD | 77,830 | ||||||||||
UPM Kymmene OYJ | 05/24/17 | Morgan Stanley Capital Services LLC | 1,863,766 EUR | 48,573 | ||||||||||
UPM Kymmene OYJ | 11/07/16 | Credit Suisse Securities (Europe) Limited | 2,659,855 EUR | 69,321 | ||||||||||
Valeant Pharmaceuticals International | 05/24/17 | Morgan Stanley Capital Services LLC | 3,009,855 USD | (182,255 | ) | |||||||||
Volkswagen AG | 02/08/16 | Credit Suisse Securities (Europe) Limited | 1,863,969 EUR | 736,918 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | ||||||||||
Wal-Mart Stores, Inc | 05/24/17 | Morgan Stanley Capital Services LLC | 1,791,169 USD | $ | (31,483 | ) | ||||||||
Wal-Mart Stores, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 6,102,522 USD | (103,444 | ) | |||||||||
Whole Foods Market, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,991,632 USD | (60,170 | ) | |||||||||
Whole Foods Market, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,516,136 USD | (35,957 | ) | |||||||||
Wynn Resorts Ltd. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,071,879 USD | 363,077 | ||||||||||
Wynn Resorts Ltd. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 559,509 USD | 66,131 | ||||||||||
Yelp, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 6,183,180 USD | 272,621 | ||||||||||
Yelp, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 844,282 USD | 52,631 | ||||||||||
|
| |||||||||||||
Total Sells |
| $ | 7,464,221 | |||||||||||
|
| |||||||||||||
Total OTC Total Return Swaps Outstanding | $ | (7,158,750 | ) | |||||||||||
|
|
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2015
The Fund Rate | Floating | Fixed | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
Pays | Three-Month Libor | 2.000% | 12/16/25 | Credit Suisse Securities (USA) LLC | 16,177,000 USD | $ | 631,977 | $ | 401,233 | $ | 230,744 | |||||||||||||||
Pays | Three-Month Libor | 2.500% | 12/18/45 | Credit Suisse Securities (USA) LLC | 5,616,000 USD | 224,563 | 29,413 | 195,150 | ||||||||||||||||||
Receives | Three-Month Libor | 1.297% | 08/13/18 | Morgan Stanley & Co. LLC | 320,000 USD | (2,985 | ) | — | (2,985 | ) | ||||||||||||||||
Receives | Three-Month Libor | 1.500% | 12/16/20 | Credit Suisse Securities (USA) LLC | 2,937,000 USD | (72,965 | ) | (35,075 | ) | (37,890 | ) | |||||||||||||||
Receives | Three-Month Libor | 1.919% | 09/30/19 | Morgan Stanley & Co. LLC | 6,923,000 USD | (192,673 | ) | — | (192,673 | ) | ||||||||||||||||
Receives | Three-Month Libor | 2.304% | 01/27/25 | Morgan Stanley & Co. LLC | 2,430,000 USD | (74,644 | ) | — | (74,644 | ) | ||||||||||||||||
Receives | Three-Month Libor | 2.534% | 09/25/24 | Morgan Stanley & Co. LLC | 6,600,000 USD | (340,648 | ) | — | (340,648 | ) | ||||||||||||||||
Receives | Three-Month Libor | 2.750% | 12/18/17 | Credit Suisse Securities (USA) LLC | 42,309,000 USD | (535,789 | ) | (406,523 | ) | (129,266 | ) | |||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding | $ | (363,164 | ) | $ | (10,952 | ) | $ | (352,212 | ) | |||||||||||||||||
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Abbreviation Legend: | ||||
ADR | American Depository Receipt | |||
CBOT | Chicago Board of Trade | |||
CDE | Montreal Exchange | |||
CFE | CBOE Futures Exchange | |||
CME | Chicago Mercantile Exchange | |||
COMEX | Commodities Exchange Center | |||
Eurex | Eurex Exchange | |||
Euronext | Euronext Paris | |||
HKFE | Hong Kong Futures Exchange Ltd. | |||
ICE | Ice Futures Europe | |||
LIBOR | London Interbank Offered Rate | |||
MEFF | MEFF Renta Variable | |||
MexDer | Mexican Derivatives Exchange | |||
MTN | Medium Term Note | |||
NYMEX | New York Mercantile Exchange | |||
OSE | Osaka Exchange | |||
OTC | Over the Counter | |||
REG S | Regulation-S | |||
REIC | Real Estate Investment Company | |||
REIT | Real Estate Investment Trust | |||
Safex | South African Futures Exchange | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
Currency Legend: | ||||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CNH | Chinese Renminbi | |||
CZK | Czech Koruna | |||
DKK | Danish Krone | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
HUF | Hungarian Forint | |||
ILS | Israeli Shekel | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korea Won | |||
MXN | Mexican Peso | |||
NGN | Nigerian Naira | |||
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
PLN | Polish Zloty | |||
RUB | Russian Ruble | |||
SEK | Swedish Krona | |||
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, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
INVESTMENTS IN SECURITIES — 84.5% | ||||||||||
COMMON STOCK — 36.7% | ||||||||||
Belgium — 0.1% | ||||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
Galapagos NV (a),(b),(c) | 5,384 | $ | 221,117 | |||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Ageas | 59,489 | 2,444,783 | ||||||||
|
| |||||||||
Total Belgium | 2,665,900 | |||||||||
|
| |||||||||
Bermuda — 0.2% | ||||||||||
Insurance — 0.1% | ||||||||||
PartnerRe Ltd. (a) | 23,700 | 3,291,456 | ||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Global Sources Ltd. (a) | 1,900 | 15,789 | ||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Marvell Technology Group Ltd. | 115,400 | 1,044,370 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.1% | ||||||||||
Golar LNG Ltd. (c) | 46,219 | 1,288,586 | ||||||||
|
| |||||||||
Total Bermuda | 5,640,201 | |||||||||
|
| |||||||||
Brazil — 0.0% | ||||||||||
Retail—Consumer Staples — 0.0% | ||||||||||
Cia Brasileira de Distribuicao ADR | 1,500 | 18,810 | ||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
Cia Energetica de Minas Gerais ADR | 35,100 | 62,478 | ||||||||
|
| |||||||||
Total Brazil | 81,288 | |||||||||
|
| |||||||||
Canada — 0.2% | ||||||||||
Asset Management — 0.0% | ||||||||||
Fairfax India Holdings Corp. (a),(e) | 72,600 | 805,860 | ||||||||
|
| |||||||||
Banking — 0.1% | ||||||||||
Canadian Imperial Bank of Commerce | 25,100 | 1,803,363 | ||||||||
National Bank of Canada | 36,400 | 1,161,963 | ||||||||
|
| |||||||||
2,965,326 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
Aeterna Zentaris, Inc. (a) | 26,800 | 2,340 | ||||||||
Pronai Therapeutics, Inc. (a) | 100 | 2,052 | ||||||||
QLT, Inc. (a) | 11,700 | 31,122 | ||||||||
|
| |||||||||
35,514 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
125
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Forest & Paper Products — 0.0% | ||||||||||
Mercer International, Inc. (d) | 9,300 | $ | 93,279 | |||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Points International Ltd. (a) | 100 | 1,086 | ||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Dominion Diamond Corp. (d) | 1,900 | 20,292 | ||||||||
Fortuna Silver Mines, Inc. (a) | 4,400 | 9,592 | ||||||||
Kinross Gold Corp. (a),(d) | 200 | 344 | ||||||||
MFC Industrial Ltd. | 400 | 1,144 | ||||||||
Nevsun Resources Ltd. | 7,200 | 20,880 | ||||||||
Taseko Mines Ltd. (a) | 200 | 81 | ||||||||
|
| |||||||||
52,333 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Advantage Oil & Gas Ltd. (a),(d) | 5,300 | 27,613 | ||||||||
CHC Group Ltd. (a) | 2,600 | 1,560 | ||||||||
Gran Tierra Energy, Inc. (a),(d) | 21,500 | 45,795 | ||||||||
TransGlobe Energy Corp. (d) | 1,500 | 3,960 | ||||||||
|
| |||||||||
78,928 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
Student Transportation, Inc. | 2,400 | 9,708 | ||||||||
|
| |||||||||
Renewable Energy — 0.1% | ||||||||||
Canadian Solar, Inc. (a),(c) | 49,363 | 820,413 | ||||||||
|
| |||||||||
Total Canada | 4,862,447 | |||||||||
|
| |||||||||
Chile — 0.0% | ||||||||||
Chemicals — 0.0% | ||||||||||
Sociedad Quimica y Minera de Chile SA ADR | 9,700 | 141,038 | ||||||||
|
| |||||||||
Total Chile | 141,038 | |||||||||
|
| |||||||||
China — 0.4% | ||||||||||
Asset Management — 0.0% | ||||||||||
Noah Holdings Ltd. ADR (a) | 1,600 | 37,584 | ||||||||
|
| |||||||||
Automotive — 0.0% | ||||||||||
China Automotive Systems, Inc. (a) | 1,900 | 10,108 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
China Biologic Products, Inc. (a) | 2,300 | 206,586 | ||||||||
Sinovac Biotech Ltd. (a) | 700 | 3,556 | ||||||||
|
| |||||||||
210,142 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
126
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Services — 0.0% | ||||||||||
New Oriental Education & Technology Group, Inc. ADR | 48,600 | $ | 982,206 | |||||||
|
| |||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
WuXi PharmaTech Cayman, Inc. ADR (a) | 3,300 | 142,593 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
China Life Insurance Co. Ltd. ADR | 18,000 | 312,840 | ||||||||
CNinsure, Inc. ADR (a) | 4,400 | 33,660 | ||||||||
|
| |||||||||
346,500 | ||||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
Hollysys Automation Technologies Ltd. | 7,200 | 125,856 | ||||||||
|
| |||||||||
Media — 0.2% | ||||||||||
Baidu, Inc. ADR (a) | 29,674 | 4,077,505 | ||||||||
Sohu.com, Inc. (a) | 21,900 | 904,470 | ||||||||
Xunlei Ltd. ADR (a) | 500 | 3,650 | ||||||||
Zhaopin Ltd. ADR (a) | 440 | 5,676 | ||||||||
|
| |||||||||
4,991,301 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Aluminum Corp. of China Ltd. ADR (a) | 300 | 2,328 | ||||||||
|
| |||||||||
Passenger Transportation — 0.0% | ||||||||||
China Southern Airlines Co. Ltd. ADR | 5,900 | 215,704 | ||||||||
Guangshen Railway Co. Ltd. ADR | 200 | 3,996 | ||||||||
|
| |||||||||
219,700 | ||||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
Xinyuan Real Estate Co. Ltd. ADR | 2,600 | 7,358 | ||||||||
|
| |||||||||
Retail Discretionary — 0.2% | ||||||||||
Vipshop Holdings Ltd. ADR (a),(c) | 280,699 | 4,715,743 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
Changyou.com Ltd. ADR (a) | 1,500 | 26,700 | ||||||||
NetEase, Inc. ADR | 3,700 | 444,444 | ||||||||
|
| |||||||||
471,144 | ||||||||||
|
| |||||||||
Telecommunications — 0.0% | ||||||||||
China Telecom Corp. Ltd. ADR | 400 | 19,424 | ||||||||
China Unicom Hong Kong Ltd. ADR | 900 | 11,493 | ||||||||
|
| |||||||||
30,917 | ||||||||||
|
| |||||||||
Total China | 12,293,480 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
127
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Cyprus — 0.0% | ||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Ocean Rig UDW, Inc. | 200 | $ | 426 | |||||||
|
| |||||||||
Total Cyprus | 426 | |||||||||
|
| |||||||||
France — 0.1% | ||||||||||
Asset Management — 0.0% | ||||||||||
Eurazeo SA | 21,338 | 1,421,204 | ||||||||
|
| |||||||||
Banking — 0.1% | ||||||||||
BNP Paribas SA | 19,631 | 1,155,757 | ||||||||
Credit Agricole SA | 89,853 | 1,034,451 | ||||||||
|
| |||||||||
2,190,208 | ||||||||||
|
| |||||||||
Total France | 3,611,412 | |||||||||
|
| |||||||||
Germany — 0.2% | ||||||||||
Health Care Facilities/Services — 0.2% | ||||||||||
Fresenius SE & Co. KGaA | 87,220 | 5,854,885 | ||||||||
|
| |||||||||
Total Germany | 5,854,885 | |||||||||
|
| |||||||||
Greece — 0.1% | ||||||||||
Banking — 0.0% | ||||||||||
Piraeus Bank SA (a) | 1,491,269 | 130,543 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Grivalia Properties REIC (a) | 115,180 | 1,024,660 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
Aegean Marine Petroleum Network, Inc. | 7,200 | 48,528 | ||||||||
Costamare, Inc. | 4,400 | 53,988 | ||||||||
StealthGas, Inc. (a) | 1,500 | 6,735 | ||||||||
Tsakos Energy Navigation Ltd. | 18,800 | 152,844 | ||||||||
|
| |||||||||
262,095 | ||||||||||
|
| |||||||||
Total Greece | 1,417,298 | |||||||||
|
| |||||||||
Hong Kong — 0.0% | ||||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
China Cord Blood Corp. (a) | 1,700 | 10,234 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
AIA Group Ltd. | 214,600 | 1,116,080 | ||||||||
|
| |||||||||
Total Hong Kong | 1,126,314 | |||||||||
|
| |||||||||
India — 0.1% | ||||||||||
Automotive — 0.0% | ||||||||||
Tata Motors Ltd. ADR (a) | 8,400 | 189,000 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
128
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Banking — 0.1% | ||||||||||
ICICI Bank Ltd. ADR | 246,101 | $ | 2,062,326 | |||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
WNS Holdings Ltd. ADR (a) | 1,100 | 30,745 | ||||||||
|
| |||||||||
Total India | 2,282,071 | |||||||||
|
| |||||||||
Ireland — 0.3% | ||||||||||
Biotechnology & Pharmaceuticals — 0.2% | ||||||||||
Prothena Corp. PLC (a) | 2,900 | 131,486 | ||||||||
Shire PLC ADR | 33,453 | 6,865,559 | ||||||||
|
| |||||||||
6,997,045 | ||||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
XL Group PLC | 37,599 | 1,365,596 | ||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Trinity Biotech PLC ADR | 2,100 | 24,024 | ||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Fly Leasing Ltd. ADR | 5,300 | 69,960 | ||||||||
|
| |||||||||
Total Ireland | 8,456,625 | |||||||||
|
| |||||||||
Israel — 0.3% | ||||||||||
Biotechnology & Pharmaceuticals — 0.2% | ||||||||||
Teva Pharmaceutical Industries Ltd. ADR | 87,812 | 4,957,865 | ||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
Magal Security Systems Ltd. (a) | 100 | 419 | ||||||||
Orbotech Ltd. (a) | 14,700 | 227,115 | ||||||||
|
| |||||||||
227,534 | ||||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
AudioCodes Ltd. (a) | 100 | 325 | ||||||||
Ceragon Networks Ltd. (a) | 300 | 468 | ||||||||
Radware Ltd. (a) | 2,600 | 42,276 | ||||||||
|
| |||||||||
43,069 | ||||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Syneron Medical Ltd. (a) | 7,500 | 53,625 | ||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
EZchip Semiconductor Ltd. (a) | 800 | 20,128 | ||||||||
Mellanox Technologies Ltd. (a) | 800 | 30,232 | ||||||||
Nova Measuring Instruments Ltd. (a) | 2,900 | 27,898 | ||||||||
|
| |||||||||
78,258 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
129
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Software — 0.1% | ||||||||||
Attunity Ltd. (a) | 500 | $ | 6,835 | |||||||
Check Point Software Technologies Ltd. (a),(b),(c) | 22,320 | 1,770,646 | ||||||||
Mind CTI Ltd. | 200 | 550 | ||||||||
Sapiens International Corp. NV | 1,400 | 16,128 | ||||||||
|
| |||||||||
1,794,159 | ||||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Magic Software Enterprises Ltd. | 600 | 3,258 | ||||||||
|
| |||||||||
Telecommunications — 0.0% | ||||||||||
Allot Communications Ltd. (a) | 700 | 3,437 | ||||||||
magicJack VocalTec Ltd. (a) | 100 | 891 | ||||||||
|
| |||||||||
4,328 | ||||||||||
|
| |||||||||
Total Israel | 7,162,096 | |||||||||
|
| |||||||||
Italy — 0.1% | ||||||||||
Asset Management — 0.1% | ||||||||||
Anima Holding SpA (e) | 181,965 | 1,592,032 | ||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
Cerved Information Solutions SpA | 168,218 | 1,242,846 | ||||||||
|
| |||||||||
Total Italy | 2,834,878 | |||||||||
|
| |||||||||
Japan — 1.4% | ||||||||||
Automotive — 0.1% | ||||||||||
Mazda Motor Corp. | 134,300 | 2,122,114 | ||||||||
|
| |||||||||
Banking — 0.2% | ||||||||||
Mitsubishi UFJ Financial Group, Inc. (c) | 1,208,600 | 7,302,649 | ||||||||
|
| |||||||||
Chemicals — 0.1% | ||||||||||
Nitto Denko Corp. | 69,400 | 4,156,554 | ||||||||
|
| |||||||||
Consumer Products — 0.1% | ||||||||||
Ajinomoto Co., Inc. | 111,000 | 2,340,767 | ||||||||
|
| |||||||||
Electrical Equipment — 0.2% | ||||||||||
Daikin Industries Ltd. (c) | 41,400 | 2,321,959 | ||||||||
SMC Corp. | 13,800 | 3,021,626 | ||||||||
|
| |||||||||
5,343,585 | ||||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Panasonic Corp. (c) | 2,900 | 29,348 | ||||||||
|
| |||||||||
Machinery — 0.2% | ||||||||||
Kubota Corp. | 463,000 | 6,371,997 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
130
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — 0.3% | ||||||||||
Mitsubishi Estate Co. Ltd. | 243,000 | $ | 4,963,883 | |||||||
Mitsui Fudosan Co. Ltd. | 106,000 | 2,905,606 | ||||||||
|
| |||||||||
7,869,489 | ||||||||||
|
| |||||||||
Semiconductors — 0.1% | ||||||||||
Tokyo Electron Ltd. (c) | 38,300 | 1,808,342 | ||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Orix Corp. ADR | 300 | 19,479 | ||||||||
|
| |||||||||
Telecommunications — 0.1% | ||||||||||
KDDI Corp. | 110,400 | 2,471,095 | ||||||||
|
| |||||||||
Total Japan | 39,835,419 | |||||||||
|
| |||||||||
Luxembourg — 0.0% | ||||||||||
Iron & Steel — 0.0% | ||||||||||
Ternium SA ADR | 8,700 | 106,923 | ||||||||
|
| |||||||||
Total Luxembourg | 106,923 | |||||||||
|
| |||||||||
Netherlands — 0.7% | ||||||||||
Banking — 0.1% | ||||||||||
ING Groep NV CVA | 110,342 | 1,559,696 | ||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
Aegon NV | 369 | 2,122 | ||||||||
|
| |||||||||
Media — 0.3% | ||||||||||
Altice NV (a) | 403,303 | 8,474,640 | ||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Royal Dutch Shell PLC ADR | 20,700 | 980,973 | ||||||||
|
| |||||||||
Semiconductors — 0.2% | ||||||||||
NXP Semiconductor NV (a),(b),(c) | 60,605 | 5,276,877 | ||||||||
|
| |||||||||
Software — 0.0% | ||||||||||
InterXion Holding NV (a) | 10,000 | 270,800 | ||||||||
|
| |||||||||
Specialty Finance — 0.1% | ||||||||||
AerCap Holdings NV (a) | 136,252 | 5,210,277 | ||||||||
|
| |||||||||
Total Netherlands | 21,775,385 | |||||||||
|
| |||||||||
Norway — 0.0% | ||||||||||
Transportation & Logistics — 0.0% | ||||||||||
Ship Finance International Ltd. | 9,800 | 159,250 | ||||||||
|
| |||||||||
Total Norway | 159,250 | |||||||||
|
|
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, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Peru — 0.0% | ||||||||||
Banking — 0.0% | ||||||||||
Credicorp Ltd. | 1,100 | $ | 116,996 | |||||||
|
| |||||||||
Total Peru | 116,996 | |||||||||
|
| |||||||||
Poland — 0.0% | ||||||||||
Banking — 0.0% | ||||||||||
Alior Bank SA (a),(d) | 51,086 | 1,066,156 | ||||||||
|
| |||||||||
Total Poland | 1,066,156 | |||||||||
|
| |||||||||
Puerto Rico — 0.0% | ||||||||||
Banking — 0.0% | ||||||||||
First BanCorp (a) | 17,900 | 63,724 | ||||||||
|
| |||||||||
Health Care Facilities/Services — 0.0% | ||||||||||
Triple-S Management Corp. B Shares (a) | 3,400 | 60,554 | ||||||||
|
| |||||||||
Total Puerto Rico | 124,278 | |||||||||
|
| |||||||||
Republic of Korea — 0.0% | ||||||||||
Hardware — 0.0% | ||||||||||
LG Display Co. Ltd. ADR | 21,900 | 208,050 | ||||||||
|
| |||||||||
Total Republic of Korea | 208,050 | |||||||||
|
| |||||||||
Singapore — 0.3% | ||||||||||
Machinery — 0.0% | ||||||||||
China Yuchai International Ltd. | 3,202 | 39,609 | ||||||||
|
| |||||||||
Semiconductors — 0.3% | ||||||||||
Avago Technologies Ltd. (c) | 77,904 | 9,738,779 | ||||||||
Kulicke & Soffa Industries, Inc. (a) | 13,200 | 121,176 | ||||||||
|
| |||||||||
9,859,955 | ||||||||||
|
| |||||||||
Total Singapore | 9,899,564 | |||||||||
|
| |||||||||
South Africa — 0.0% | ||||||||||
Metals & Mining — 0.0% | ||||||||||
Gold Fields Ltd. ADR | 6,700 | 17,822 | ||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
Sasol Ltd. ADR | 100 | 2,782 | ||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
Net 1 UEPS Technologies, Inc. (a) | 19,500 | 326,430 | ||||||||
|
| |||||||||
Total South Africa | 347,034 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
132
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Switzerland — 0.5% | ||||||||||
Asset Management — 0.4% | ||||||||||
Julius Baer Group Ltd. (d) | 40,813 | $ | 1,853,399 | |||||||
UBS Group AG | 501,956 | 9,280,221 | ||||||||
|
| |||||||||
11,133,620 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.1% | ||||||||||
TE Connectivity Ltd. | 77,100 | 4,617,519 | ||||||||
|
| |||||||||
Total Switzerland | 15,751,139 | |||||||||
|
| |||||||||
Taiwan — 0.0% | ||||||||||
Hardware — 0.0% | ||||||||||
AU Optronics Corp. ADR | 300 | 888 | ||||||||
|
| |||||||||
Semiconductors — 0.0% | ||||||||||
Advanced Semiconductor Engineering, Inc. ADR | 4,000 | 21,960 | ||||||||
ChipMOS Technologies Bermuda Ltd. | 1,800 | 29,556 | ||||||||
Siliconware Precision Industries Co. Ltd. ADR | 4,820 | 30,294 | ||||||||
United Microelectronics Corp. ADR | 27,300 | 44,226 | ||||||||
|
| |||||||||
126,036 | ||||||||||
|
| |||||||||
Total Taiwan | 126,924 | |||||||||
|
| |||||||||
Thailand — 0.0% | ||||||||||
Design Manufacturing & Distribution — 0.0% | ||||||||||
Fabrinet (a) | 3,900 | 71,487 | ||||||||
|
| |||||||||
Total Thailand | 71,487 | |||||||||
|
| |||||||||
United Arab Emirates — 0.0% | ||||||||||
Consumer Products — 0.0% | ||||||||||
Amira Nature Foods Ltd. (a) | 100 | 552 | ||||||||
|
| |||||||||
Total United Arab Emirates | 552 | |||||||||
|
| |||||||||
United Kingdom — 1.0% | ||||||||||
Asset Management — 0.1% | ||||||||||
Henderson Group PLC | 351,379 | 1,384,896 | ||||||||
Jupiter Fund Management PLC | 169,141 | 1,111,060 | ||||||||
|
| |||||||||
2,495,956 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
GlaxoSmithKline PLC ADR | 900 | 34,605 | ||||||||
|
| |||||||||
Consumer Products — 0.0% | ||||||||||
Unilever NV | 24 | 965 | ||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
Belmond Ltd. Class A (a) | 200 | 2,022 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
InterContinental Hotels Group PLC ADR | 11,700 | $ | 405,171 | |||||||
|
| |||||||||
407,193 | ||||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Aviva PLC ADR | 233,859 | 1,599,493 | ||||||||
Prudential PLC ADR | 37 | 1,559 | ||||||||
|
| |||||||||
1,601,052 | ||||||||||
|
| |||||||||
Media — 0.7% | ||||||||||
Liberty Global PLC (a),(c) | 516,048 | 21,070,223 | ||||||||
|
| |||||||||
Medical Equipment/Devices — 0.0% | ||||||||||
Smith & Nephew PLC ADR | 6,600 | 231,000 | ||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
BP PLC ADR | 7,600 | 232,256 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Kennedy Wilson Europe Real Estate PLC | 198,762 | 3,421,705 | ||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
Manchester United PLC Class A | 900 | 15,453 | ||||||||
|
| |||||||||
Total United Kingdom | 29,510,408 | |||||||||
|
| |||||||||
United States — 30.7% | ||||||||||
Aerospace & Defense — 0.2% | ||||||||||
Aerojet Rocketdyne Holdings (a) | 7,900 | 127,822 | ||||||||
B/E Aerospace, Inc. | 1,500 | 65,850 | ||||||||
Boeing Co. | 2,400 | 314,280 | ||||||||
Ducommun, Inc. (a) | 600 | 12,042 | ||||||||
Esterline Technologies Corp. (a) | 100 | 7,189 | ||||||||
General Dynamics Corp. | 2,000 | 275,900 | ||||||||
Harris Corp. | 1,182 | 86,463 | ||||||||
HEICO Corp. | 700 | 34,216 | ||||||||
Huntington Ingalls Industries, Inc. (d) | 5,600 | 600,040 | ||||||||
LMI Aerospace, Inc. (a) | 200 | 2,056 | ||||||||
Moog, Inc. Class A (a) | 200 | 10,814 | ||||||||
Orbital ATK, Inc. (d) | 8 | 575 | ||||||||
Smith & Wesson Holding Corp. (a) | 4,400 | 74,228 | ||||||||
Spirit AeroSystems Holdings, Inc. Class A (a),(d) | 9,600 | 464,064 | ||||||||
Textron, Inc. | 3,400 | 127,976 | ||||||||
TransDigm Group, Inc. (a),(d) | 11,400 | 2,421,474 | ||||||||
United Technologies Corp. | 8,100 | 720,819 | ||||||||
|
| |||||||||
5,345,808 | ||||||||||
|
| |||||||||
Apparel & Textile Products — 0.4% | ||||||||||
Culp, Inc. | 3,400 | 109,038 | ||||||||
Deckers Outdoor Corp. (a),(b) | 2,800 | 162,568 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Fossil Group, Inc. (a) | 15,900 | $ | 888,492 | |||||||
Michael Kors Holdings Ltd. (a) | 31,600 | 1,334,784 | ||||||||
Movado Group, Inc. | 900 | 23,247 | ||||||||
NIKE, Inc. Class B (d) | 63,900 | 7,857,783 | ||||||||
Perry Ellis International, Inc. (a),(d) | 4,000 | 87,840 | ||||||||
Ralph Lauren Corp. (b) | 500 | 59,080 | ||||||||
Skechers U.S.A., Inc. Class A (a) | 14,300 | 1,917,344 | ||||||||
Tumi Holdings, Inc. (a),(b) | 3,500 | 61,670 | ||||||||
Vince Holding Corp. (a),(d) | 13,700 | 46,991 | ||||||||
|
| |||||||||
12,548,837 | ||||||||||
|
| |||||||||
Asset Management — 0.8% | ||||||||||
Affiliated Managers Group, Inc. (a) | 600 | 102,594 | ||||||||
American Capital Ltd. (a) | 91,888 | 1,117,358 | ||||||||
Ameriprise Financial, Inc. | 3,700 | 403,781 | ||||||||
Apollo Investment Corp. | 12,500 | 68,500 | ||||||||
Ares Capital Corp. | 53,100 | 768,888 | ||||||||
BlackRock Kelso Capital Corp. (d) | 23,800 | 210,868 | ||||||||
BlackRock, Inc. | 1,100 | 327,217 | ||||||||
Calamos Asset Management, Inc. Class A | 2,000 | 18,960 | ||||||||
Capitala Finance Corp. | 6,600 | 85,602 | ||||||||
Charles Schwab Corp. (b),(c),(d) | 433,542 | 12,381,960 | ||||||||
Cohen & Steers, Inc. | 300 | 8,235 | ||||||||
Fidus Investment Corp. | 2,700 | 37,206 | ||||||||
Fifth Street Finance Corp. | 7,600 | 46,892 | ||||||||
Financial Engines, Inc. | 31,264 | 921,350 | ||||||||
Firsthand Technology Value Fund, Inc. | 900 | 7,659 | ||||||||
Franklin Resources, Inc. (b) | 19,800 | 737,748 | ||||||||
FS Investment Corp. | 3,600 | 33,552 | ||||||||
Garrison Capital, Inc. (d) | 3,600 | 49,284 | ||||||||
Gladstone Capital Corp. (d) | 5,100 | 41,463 | ||||||||
Gladstone Investment Corp. | 14,900 | 104,896 | ||||||||
Golub Capital BDC, Inc. | 4,400 | 70,312 | ||||||||
Hercules Technology Growth Capital, Inc. | 5,200 | 52,572 | ||||||||
Horizon Technology Finance Corp. | 6,800 | 61,540 | ||||||||
Invesco Ltd. | 88,631 | 2,767,946 | ||||||||
KCAP Financial, Inc. | 10,600 | 47,806 | ||||||||
Legg Mason, Inc. (d) | 37,500 | 1,560,375 | ||||||||
Manning & Napier, Inc. | 1,000 | 7,360 | ||||||||
Medallion Financial Corp. (d) | 8,700 | 65,946 | ||||||||
Monroe Capital Corp. | 500 | 6,950 | ||||||||
MVC Capital, Inc. | 2,200 | 18,062 | ||||||||
OHA Investment Corp. (d) | 2,700 | 11,421 | ||||||||
Oppenheimer Holdings, Inc. Class A | 700 | 14,007 | ||||||||
PennantPark Floating Rate Capital Ltd. | 8,762 | 104,618 | ||||||||
PennantPark Investment Corp. (d) | 26,700 | 172,749 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Prospect Capital Corp. | 4,900 | $ | 34,937 | |||||||
Solar Capital Ltd. | 12,600 | 199,332 | ||||||||
Solar Senior Capital Ltd. | 1,900 | 27,018 | ||||||||
Stellus Capital Investment Corp. | 4,900 | 49,343 | ||||||||
THL Credit, Inc. | 8,100 | 88,452 | ||||||||
TICC Capital Corp. (d) | 18,300 | 122,793 | ||||||||
TPG Specialty Lending, Inc. | 3,100 | 50,933 | ||||||||
Triangle Capital Corp. | 100 | 1,648 | ||||||||
TriplePoint Venture Growth BDC Corp. | 6,200 | 62,868 | ||||||||
WhiteHorse Finance, Inc. (d) | 2,300 | 26,772 | ||||||||
|
| |||||||||
23,099,773 | ||||||||||
|
| |||||||||
Automotive — 0.2% | ||||||||||
Cooper-Standard Holding, Inc. (a) | 300 | 17,400 | ||||||||
General Motors Co. (b) | 3,800 | 114,076 | ||||||||
Goodyear Tire & Rubber Co. (d) | 83,400 | 2,446,122 | ||||||||
Johnson Controls, Inc. | 33,700 | 1,393,832 | ||||||||
Lear Corp. | 3,200 | 348,096 | ||||||||
Methode Electronics, Inc. | 3,300 | 105,270 | ||||||||
Modine Manufacturing Co. (a) | 500 | 3,935 | ||||||||
Superior Industries International, Inc. | 300 | 5,604 | ||||||||
Tenneco, Inc. (a),(d) | 8,200 | 367,114 | ||||||||
Tower International, Inc. (a),(d) | 3,000 | 71,280 | ||||||||
TriMas Corp. (a) | 800 | 13,080 | ||||||||
Visteon Corp. (a) | 900 | 91,116 | ||||||||
|
| |||||||||
4,976,925 | ||||||||||
|
| |||||||||
Banking — 2.0% | ||||||||||
Arrow Financial Corp. (d) | 716 | 19,117 | ||||||||
Bancorp, Inc. (a) | 1,300 | 9,906 | ||||||||
Bank Mutual Corp. | 3,300 | 25,344 | ||||||||
BankUnited, Inc. (d) | 67,466 | 2,411,910 | ||||||||
BB&T Corp. | 400 | 14,240 | ||||||||
Beneficial Bancorp, Inc. (a) | 15,982 | 211,921 | ||||||||
BNC Bancorp | 3,400 | 75,582 | ||||||||
Bridge Bancorp, Inc. | 400 | 10,684 | ||||||||
Brookline Bancorp, Inc. | 500 | 5,070 | ||||||||
Bryn Mawr Bank Corp. | 900 | 27,963 | ||||||||
Capital Bank Financial Corp. Class A (a) | 100 | 3,023 | ||||||||
Cathay General Bancorp | 3,400 | 101,864 | ||||||||
Centerstate Banks, Inc. | 29 | 426 | ||||||||
Central Pacific Financial Corp. | 12,800 | 268,416 | ||||||||
Charter Financial Corp. | 800 | 10,144 | ||||||||
Chemical Financial Corp. (d) | 2,400 | 77,640 | ||||||||
Citigroup, Inc. (d) | 68,053 | 3,376,109 | ||||||||
Citizens Financial Group, Inc. | 603,973 | 14,410,796 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
City Holding Co. | 700 | $ | 34,510 | |||||||
Clifton Bancorp, Inc. | 1,000 | 13,880 | ||||||||
CoBiz Financial, Inc. | 800 | 10,408 | ||||||||
Comerica, Inc. (d) | 80,970 | 3,327,867 | ||||||||
Community Trust Bancorp, Inc. | 100 | 3,551 | ||||||||
CU Bancorp (a) | 300 | 6,738 | ||||||||
Dime Community Bancshares, Inc. | 2,400 | 40,560 | ||||||||
East West Bancorp, Inc. | 9,500 | 364,990 | ||||||||
Enterprise Financial Services Corp. | 300 | 7,551 | ||||||||
EverBank Financial Corp. (d) | 81,670 | 1,576,231 | ||||||||
Farmers Capital Bank Corp. (a) | 100 | 2,485 | ||||||||
FCB Financial Holdings, Inc. Class A (a) | 2,209 | 72,058 | ||||||||
Fidelity Southern Corp. | 4,700 | 99,358 | ||||||||
Financial Institutions, Inc. | 200 | 4,956 | ||||||||
First Bancorp/Southern Pines | 1,000 | 17,000 | ||||||||
First Busey Corp. | 366 | 7,272 | ||||||||
First Business Financial Services, Inc. | 600 | 14,112 | ||||||||
First Citizens BancShares, Inc. Class A (d) | 6,873 | 1,553,298 | ||||||||
First Community Bancshares, Inc. | 1,200 | 21,480 | ||||||||
First Defiance Financial Corp. | 1,100 | 40,216 | ||||||||
First Financial Corp. | 400 | 12,940 | ||||||||
First Financial Northwest, Inc. | 1,800 | 21,762 | ||||||||
First Interstate BancSystem, Inc. Class A | 4,000 | 111,360 | ||||||||
First Niagara Financial Group, Inc. | 255,509 | 2,608,747 | ||||||||
First Republic Bank (d) | 28,362 | 1,780,283 | ||||||||
FirstMerit Corp. | 5,800 | 102,486 | ||||||||
Flushing Financial Corp. | 300 | 6,006 | ||||||||
FNB Corp. | 2,000 | 25,900 | ||||||||
Glacier Bancorp, Inc. | 1,000 | 26,390 | ||||||||
Great Western Bancorp, Inc. | 16,500 | 418,605 | ||||||||
Guaranty Bancorp | 800 | 13,176 | ||||||||
Heartland Financial USA, Inc. | 400 | 14,516 | ||||||||
HomeTrust Bancshares, Inc. (a) | 500 | 9,275 | ||||||||
Independent Bank Corp. | 4,800 | 70,848 | ||||||||
Independent Bank Group, Inc. | 400 | 15,372 | ||||||||
KeyCorp | 2,700 | 35,127 | ||||||||
Lakeland Bancorp, Inc. | 500 | 5,555 | ||||||||
Mercantile Bank Corp. | 1,800 | 37,404 | ||||||||
Meridian Bancorp, Inc. (d) | 200 | 2,734 | ||||||||
Metro Bancorp, Inc. | 100 | 2,939 | ||||||||
National Bankshares, Inc. | 200 | 6,222 | ||||||||
NewBridge Bancorp | 700 | 5,971 | ||||||||
Northrim BanCorp, Inc. | 1,000 | 28,930 | ||||||||
Oritani Financial Corp. | 2,700 | 42,174 | ||||||||
Pacific Premier Bancorp, Inc. (a) | 5,500 | 111,760 | ||||||||
Park Sterling Corp. | 800 | 5,440 | ||||||||
Peoples Bancorp, Inc. | 800 | 16,632 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
PNC Financial Services Group, Inc. (d) | 58,067 | $ | 5,179,576 | |||||||
Preferred Bank | 800 | 25,280 | ||||||||
PrivateBancorp, Inc. | 700 | 26,831 | ||||||||
Regions Financial Corp. (d) | 105,800 | 953,258 | ||||||||
S&T Bancorp, Inc. | 700 | 22,834 | ||||||||
Signature Bank (a) | 200 | 27,512 | ||||||||
Southwest Bancorp, Inc. | 2,000 | 32,820 | ||||||||
Square 1 Financial, Inc. (a) | 1,000 | 25,675 | ||||||||
Stock Yards Bancorp, Inc. | 100 | 3,635 | ||||||||
Stonegate Bank | 900 | 28,629 | ||||||||
Sun Bancorp, Inc. (a) | 20 | 384 | ||||||||
SunTrust Banks, Inc. | 12,200 | 466,528 | ||||||||
SVB Financial Group (a) | 1,200 | 138,648 | ||||||||
Talmer Bancorp, Inc. Class A (d) | 90,619 | 1,508,806 | ||||||||
Trico Bancshares | 1,600 | 39,312 | ||||||||
TriState Capital Holdings, Inc. (a),(d) | 2,900 | 36,163 | ||||||||
Triumph Bancorp, Inc. (a) | 2,200 | 36,960 | ||||||||
TrustCo Bank Corp. | 1,600 | 9,344 | ||||||||
United Community Financial Corp. | 100 | 500 | ||||||||
Univest Corp. of Pennsylvania | 1,000 | 19,220 | ||||||||
US Bancorp | 11,800 | 483,918 | ||||||||
Wells Fargo & Co. (c),(d) | 316,640 | 16,259,464 | ||||||||
WesBanco, Inc. | 1,200 | 37,740 | ||||||||
Western Alliance Bancorp (a),(d) | 1,181 | 36,269 | ||||||||
Wilshire Bancorp, Inc. | 4,300 | 45,193 | ||||||||
WSFS Financial Corp. | 400 | 11,524 | ||||||||
|
| |||||||||
59,273,253 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 5.7% | ||||||||||
AbbVie, Inc. | 130,800 | 7,116,828 | ||||||||
Aceto Corp. | 500 | 13,725 | ||||||||
Adamas Pharmaceuticals, Inc. (a) | 600 | �� | 10,044 | |||||||
Albany Molecular Research, Inc. (a) | 1,600 | 27,872 | ||||||||
Alexion Pharmaceuticals, Inc. (a),(b) | 72,429 | 11,327,171 | ||||||||
Allergan PLC (a),(b),(c) | 104,611 | 28,434,316 | ||||||||
Amgen, Inc. | 21,800 | 3,015,376 | ||||||||
Amphastar Pharmaceuticals, Inc. (a) | 5,800 | 67,802 | ||||||||
Anacor Pharmaceuticals, Inc. (a) | 8,500 | 1,000,535 | ||||||||
Anika Therapeutics, Inc. (a) | 1,000 | 31,830 | ||||||||
ArQule, Inc. (a) | 2,100 | 3,927 | ||||||||
Array BioPharma, Inc. (a) | 17,200 | 78,432 | ||||||||
Avalanche Biotechnologies, Inc. (a) | 700 | 5,768 | ||||||||
Baxalta, Inc. (b),(c),(d) | 206,641 | 6,511,258 | ||||||||
Biogen Idec, Inc. (a),(b),(c),(d) | 2,015 | 587,997 | ||||||||
BioMarin Pharmaceutical, Inc. (a) | 9,200 | 968,944 | ||||||||
BioSpecifics Technologies Corp. (a) | 200 | 8,708 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Cambrex Corp. (a) | 8,500 | $ | 337,280 | |||||||
Cara Therapeutics, Inc. (a) | 600 | 8,574 | ||||||||
Celgene Corp. (a),(b) | 3,200 | 346,144 | ||||||||
Celladon Corp. (a) | 9,300 | 9,765 | ||||||||
Corcept Therapeutics, Inc. (a) | 15,100 | 56,776 | ||||||||
Cytokinetics, Inc. (a) | 400 | 2,676 | ||||||||
Depomed, Inc. (a),(d) | 5,500 | 103,675 | ||||||||
Dyax Corp. (a),(d) | 15,600 | 297,804 | ||||||||
Eagle Pharmaceuticals, Inc. (a) | 1,000 | 74,030 | ||||||||
Eleven Biotherapeutics, Inc. (a) | 100 | 241 | ||||||||
Eli Lilly & Co. (b),(c) | 114,120 | 9,550,703 | ||||||||
Emergent Biosolutions, Inc. (a) | 3,400 | 96,866 | ||||||||
Endo International PLC (a),(b),(c) | 100,705 | 6,976,842 | ||||||||
Enzon Pharmaceuticals, Inc. | 100 | 97 | ||||||||
Exelixis, Inc. (a) | 16,100 | 90,321 | ||||||||
Gilead Sciences, Inc. (b),(d) | 102,020 | 10,017,344 | ||||||||
Halozyme Therapeutics, Inc. (a) | 1,400 | 18,802 | ||||||||
Ignyta, Inc. (a) | 200 | 1,756 | ||||||||
Incyte Corp. (a),(d) | 82,400 | 9,091,192 | ||||||||
Inotek Pharmaceuticals Corp. (a) | 1,900 | 17,860 | ||||||||
Insys Therapeutics, Inc. (a) | 2,300 | 65,458 | ||||||||
Isis Pharmaceuticals, Inc. (a),(b) | 18,300 | 739,686 | ||||||||
Johnson & Johnson (b) | 1,100 | 102,685 | ||||||||
Lannett Co., Inc. (a) | 100 | 4,152 | ||||||||
Mallinckrodt PLC (a),(c) | 186,638 | 11,933,634 | ||||||||
Medivation, Inc. (a),(b),(c),(d) | 227,430 | 9,665,775 | ||||||||
Merck & Co., Inc. | 19,900 | 982,861 | ||||||||
Merrimack Pharmaceuticals, Inc. (a),(d) | 7,700 | 65,527 | ||||||||
Momenta Pharmaceuticals, Inc. (a) | 5,300 | 86,973 | ||||||||
Neurocrine Biosciences, Inc. (a) | 1,100 | 43,769 | ||||||||
Novavax, Inc. (a) | 600 | 4,242 | ||||||||
Omega Protein Corp. (a) | 2,700 | 45,819 | ||||||||
PDL BioPharma, Inc. | 31,200 | 156,936 | ||||||||
Pfizer, Inc. (b) | 384,050 | 12,063,010 | ||||||||
Phibro Animal Health Corp. Class A (d) | 7,100 | 224,573 | ||||||||
Pozen, Inc. (a) | 6,600 | 38,511 | ||||||||
Radius Health, Inc. (a) | 6,300 | 436,653 | ||||||||
Regeneron Pharmaceuticals, Inc. (a),(b) | 11,400 | 5,302,596 | ||||||||
Repligen Corp. (a) | 300 | 8,355 | ||||||||
Retrophin, Inc. (a) | 14,000 | 283,640 | ||||||||
Rigel Pharmaceuticals, Inc. (a),(d) | 7,400 | 18,278 | ||||||||
SciClone Pharmaceuticals, Inc. (a),(d) | 6,500 | 45,110 | ||||||||
Sucampo Pharmaceuticals, Inc. Class A (a) | 5,600 | 111,272 | ||||||||
Tetraphase Pharmaceuticals, Inc. (a) | 5,700 | 42,522 | ||||||||
Threshold Pharmaceuticals, Inc. (a) | 100 | 407 | ||||||||
Trevena, Inc. (a) | 2,200 | 22,770 | ||||||||
Ultragenyx Pharmaceutical, Inc. (a) | 6,800 | 654,908 |
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, 2015 (Unaudited)
Security Description | Shares | �� | Value | |||||||
USANA Health Sciences, Inc. (a) | 900 | $ | 120,627 | |||||||
Valeant Pharmaceuticals International, Inc. (a),(b) | 93,861 | 16,742,925 | ||||||||
Vertex Pharmaceuticals, Inc. (a),(b),(d) | 101,250 | 10,544,175 | ||||||||
Vical, Inc. (a) | 5,000 | 2,300 | ||||||||
Vital Therapies, Inc. (a) | 900 | 3,636 | ||||||||
Xencor, Inc. (a) | 1,000 | 12,230 | ||||||||
XOMA Corp. (a),(d) | 90,300 | 67,879 | ||||||||
Zoetis, Inc. | 300 | 12,354 | ||||||||
|
| |||||||||
166,965,529 | ||||||||||
|
| |||||||||
Chemicals — 0.6% | ||||||||||
Air Products & Chemicals, Inc. (d) | 29,000 | 3,699,820 | ||||||||
Axiall Corp. | 300 | 4,707 | ||||||||
Cabot Corp. | 2,200 | 69,432 | ||||||||
Celanese Corp. | 1,300 | 76,921 | ||||||||
Chemours Co. (The) | 6,000 | 38,820 | ||||||||
Dow Chemical Co. | 30,400 | 1,288,960 | ||||||||
EI du Pont de Nemours & Co. | 151,300 | 7,292,660 | ||||||||
FutureFuel Corp. | 1,100 | 10,868 | ||||||||
Innophos Holdings, Inc. | 700 | 27,748 | ||||||||
Intrepid Potash, Inc. (a),(d) | 8,800 | 48,752 | ||||||||
KMG Chemicals, Inc. | 3,000 | 57,870 | ||||||||
Landec Corp. (a) | 300 | 3,501 | ||||||||
LyondellBasell Industries NV Class A | 27,200 | 2,267,392 | ||||||||
Monsanto Co. | 3,400 | 290,156 | ||||||||
OMNOVA Solutions, Inc. (a) | 100 | 554 | ||||||||
Orion Engineered Carbons SA | 2,200 | 31,790 | ||||||||
PPG Industries, Inc. (b) | 29,000 | 2,543,010 | ||||||||
Sherwin-Williams Co. | 6,400 | 1,425,792 | ||||||||
Stepan Co. | 1,700 | 70,737 | ||||||||
Trinseo SA (a) | 4,200 | 106,050 | ||||||||
|
| |||||||||
19,355,540 | ||||||||||
|
| |||||||||
Commercial Services — 0.3% | ||||||||||
AMN Healthcare Services, Inc. (a) | 30,000 | 900,300 | ||||||||
ARC Document Solutions, Inc. (a) | 2,600 | 15,470 | ||||||||
CBIZ, Inc. (a) | 6,500 | 63,830 | ||||||||
CDI Corp. | 300 | 2,565 | ||||||||
Collectors Universe, Inc. | 700 | 10,556 | ||||||||
Computer Task Group, Inc. (d) | 2,900 | 17,951 | ||||||||
CorVel Corp. (a) | 400 | 12,920 | ||||||||
CRA International, Inc. (a),(d) | 1,700 | 36,686 | ||||||||
Cross Country Healthcare, Inc. (a) | 1,700 | 23,137 | ||||||||
CTPartners Executive Search, Inc. (a),(f) | 200 | — | ||||||||
Ennis, Inc. | 1,800 | 31,248 | ||||||||
GP Strategies Corp. (a) | 100 | 2,282 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Hackett Group, Inc. | 1,300 | $ | 17,875 | |||||||
Heidrick & Struggles International, Inc. | 200 | 3,890 | ||||||||
Hill International, Inc. (a) | 200 | 656 | ||||||||
Information Services Group, Inc. | 1,500 | 5,865 | ||||||||
Insperity, Inc. (d) | 5,300 | 232,829 | ||||||||
KAR Auction Services, Inc. | 19,100 | 678,050 | ||||||||
Kforce, Inc. | 700 | 18,396 | ||||||||
Korn/Ferry International | 200 | 6,614 | ||||||||
Manpowergroup, Inc. | 200 | 16,378 | ||||||||
Multi-Color Corp. | 300 | 22,947 | ||||||||
Navigant Consulting, Inc. (a) | 9,400 | 149,554 | ||||||||
PRGX Global, Inc. (a) | 5,300 | 19,981 | ||||||||
Quad/Graphics, Inc. | 10,900 | 131,890 | ||||||||
Resources Connection, Inc. | 100 | 1,507 | ||||||||
Robert Half International, Inc. | 1,800 | 92,088 | ||||||||
RPX Corp. (a) | 11,900 | 163,268 | ||||||||
RR Donnelley & Sons Co. | 20,500 | 298,480 | ||||||||
ServiceMaster Global Holdings, Inc. (a),(d) | 60,900 | 2,043,195 | ||||||||
SP Plus Corp. (a) | 400 | 9,260 | ||||||||
Towers Watson & Co. Class A (a),(d) | 43,841 | 5,146,057 | ||||||||
Viad Corp. | 100 | 2,899 | ||||||||
|
| |||||||||
10,178,624 | ||||||||||
|
| |||||||||
Construction Materials — 0.1% | ||||||||||
Apogee Enterprises, Inc. | 4,900 | 218,785 | ||||||||
Continental Building Products, Inc. (a),(d) | 10,800 | 221,832 | ||||||||
Eagle Materials, Inc. | 4,100 | 280,522 | ||||||||
Headwaters, Inc. (a),(d) | 15,200 | 285,760 | ||||||||
Patrick Industries, Inc. (a) | 3,150 | 124,393 | ||||||||
Universal Forest Products, Inc. | 1,600 | 92,288 | ||||||||
US Concrete, Inc. (a),(d) | 7,900 | 377,541 | ||||||||
Vulcan Materials Co. (d) | 3,100 | 276,520 | ||||||||
|
| |||||||||
1,877,641 | ||||||||||
|
| |||||||||
Consumer Products — 0.9% | ||||||||||
Altria Group, Inc. | 28,300 | 1,539,520 | ||||||||
Archer-Daniels-Midland Co. | 4,600 | 190,670 | ||||||||
B&G Foods, Inc. | 400 | 14,580 | ||||||||
Boston Beer Co., Inc. Class A (a),(b) | 2,900 | 610,769 | ||||||||
Cal-Maine Foods, Inc. | 1,400 | 76,454 | ||||||||
Central Garden and Pet Co. Class A (a) | 3,100 | 49,941 | ||||||||
Clearwater Paper Corp. (a) | 200 | 9,448 | ||||||||
Colgate-Palmolive Co. | 24,400 | 1,548,424 | ||||||||
Constellation Brands, Inc. Class A (d) | 23,500 | 2,942,435 | ||||||||
Coty, Inc. Class A (d) | 82,600 | 2,235,156 | ||||||||
Female Health Co. (a) | 900 | 1,422 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Herbalife Ltd. (a) | 2,200 | $ | 119,900 | |||||||
Inventure Foods, Inc. (a),(d) | 700 | 6,216 | ||||||||
JM Smucker Co. | 1,600 | 182,544 | ||||||||
John B. Sanfilippo & Son, Inc. | 2,200 | 112,772 | ||||||||
Kraft Heinz Co. (c) | 104,179 | 7,352,954 | ||||||||
Mead Johnson Nutrition Co. (d) | 68,600 | 4,829,440 | ||||||||
Nu Skin Enterprises, Inc. | 4,600 | 189,888 | ||||||||
Orchids Paper Products Co. | 300 | 7,830 | ||||||||
Philip Morris International, Inc. | 28,000 | 2,221,240 | ||||||||
Pilgrim’s Pride Corp. (d) | 11,300 | 234,814 | ||||||||
Post Holdings, Inc. (a) | 10,600 | 626,460 | ||||||||
Revlon, Inc. Class A (a) | 100 | 2,945 | ||||||||
Senomyx, Inc. (a) | 100 | 446 | ||||||||
Vector Group Ltd. (d) | 20,048 | 453,274 | ||||||||
|
| |||||||||
25,559,542 | ||||||||||
|
| |||||||||
Consumer Services — 0.1% | ||||||||||
Aaron’s, Inc. | 5,300 | 191,383 | ||||||||
American Public Education, Inc. (a),(d) | 3,300 | 77,385 | ||||||||
Apollo Education Group, Inc. (a) | 77,500 | 857,150 | ||||||||
Bridgepoint Education, Inc. (a) | 3,500 | 26,670 | ||||||||
Capella Education Co. | 5,300 | 262,456 | ||||||||
Career Education Corp. (a) | 1,300 | 4,888 | ||||||||
Carriage Services, Inc. | 3,100 | 66,929 | ||||||||
DeVry Education Group, Inc. | 10,000 | 272,100 | ||||||||
K12, Inc. (a) | 1,500 | 18,660 | ||||||||
Medifast, Inc. (a) | 900 | 24,174 | ||||||||
Rent-A-Center, Inc. | 5,000 | 121,250 | ||||||||
Universal Technical Institute, Inc. | 3,200 | 11,232 | ||||||||
|
| |||||||||
1,934,277 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.1% | ||||||||||
3M Co. | 3,900 | 552,903 | ||||||||
Ball Corp. | 800 | 49,760 | ||||||||
Berry Plastics Group, Inc. (a),(d) | 66,100 | 1,987,627 | ||||||||
Greif, Inc. Class A | 200 | 6,382 | ||||||||
Myers Industries, Inc. | 300 | 4,020 | ||||||||
Owens-Illinois, Inc. (a),(d) | 3,600 | 74,592 | ||||||||
|
| |||||||||
2,675,284 | ||||||||||
|
| |||||||||
Design Manufacturing & Distribution — 0.1% | ||||||||||
Arrow Electronics, Inc. (a) | 3,600 | 199,008 | ||||||||
Avnet, Inc. | 4,900 | 209,132 | ||||||||
Benchmark Electronics, Inc. (a) | 6,500 | 141,440 | ||||||||
Flextronics International Ltd. (a),(b) | 126,200 | 1,330,148 | ||||||||
Sanmina Corp. (a),(b),(d) | 10,700 | 228,659 | ||||||||
|
| |||||||||
2,108,387 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Distributors—Consumer Staples — 0.0% | ||||||||||
Andersons, Inc. | 2,300 | $ | 78,338 | |||||||
|
| |||||||||
Distributors—Discretionary — 0.0% | ||||||||||
Bassett Furniture Industries, Inc. | 1,300 | 36,205 | ||||||||
ePlus, Inc. (a) | 100 | 7,907 | ||||||||
Ingram Micro, Inc. Class A | 9,800 | 266,952 | ||||||||
Insight Enterprises, Inc. (a) | 1,600 | 41,360 | ||||||||
ScanSource, Inc. (a) | 800 | 28,368 | ||||||||
Speed Commerce, Inc. (a) | 9,300 | 1,804 | ||||||||
SYNNEX Corp. | 500 | 42,530 | ||||||||
Tech Data Corp. (a) | 500 | 34,250 | ||||||||
|
| |||||||||
459,376 | ||||||||||
|
| |||||||||
Electrical Equipment — 0.6% | ||||||||||
Acuity Brands, Inc. | 3,300 | 579,414 | ||||||||
Allegion PLC | 30,500 | 1,758,630 | ||||||||
Amphenol Corp. Class A | 400 | 20,384 | ||||||||
AO Smith Corp. | 4,400 | 286,836 | ||||||||
Argan, Inc. | 600 | 20,808 | ||||||||
Belden, Inc. (b),(c) | 9,930 | 463,632 | ||||||||
BWX Technologies, Inc. | 6,600 | 173,976 | ||||||||
Checkpoint Systems, Inc. | 7,000 | 50,750 | ||||||||
Eaton Corp. PLC (b) | 127,600 | 6,545,880 | ||||||||
Emerson Electric Co. (d) | 45,300 | 2,000,901 | ||||||||
General Electric Co. | 15,700 | 395,954 | ||||||||
Global Power Equipment Group, Inc. | 200 | 734 | ||||||||
Houston Wire & Cable Co. | 7,800 | 49,452 | ||||||||
Hubbell, Inc. Class B | 2,100 | 178,395 | ||||||||
Ingersoll-Rand PLC | 73,924 | 3,753,121 | ||||||||
Keysight Technologies, Inc. (a) | 6,500 | 200,460 | ||||||||
Lennox International, Inc. (b),(c) | 10,725 | 1,215,464 | ||||||||
Littelfuse, Inc. (b),(c) | 8,005 | 729,656 | ||||||||
LSI Industries, Inc. | 3,000 | 25,320 | ||||||||
OSI Systems, Inc. (a) | 100 | 7,696 | ||||||||
Powell Industries, Inc. | 500 | 15,050 | ||||||||
Rockwell Automation, Inc. | 500 | 50,735 | ||||||||
Stoneridge, Inc. (a) | 200 | 2,468 | ||||||||
|
| |||||||||
18,525,716 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.2% | ||||||||||
AECOM Technology Corp. (a) | 20 | 550 | ||||||||
Comfort Systems USA, Inc. | 16,600 | 452,516 | ||||||||
Dycom Industries, Inc. (a) | 10,900 | 788,724 | ||||||||
Fluor Corp. (d) | 34,200 | 1,448,370 | ||||||||
Great Lakes Dredge & Dock Corp. (a) | 100 | 504 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Jacobs Engineering Group, Inc. (a),(d) | 36,500 | $ | 1,366,195 | |||||||
MasTec, Inc. (a) | 2,900 | 45,907 | ||||||||
Mistras Group, Inc. (a) | 100 | 1,285 | ||||||||
MYR Group, Inc. (a) | 4,200 | 110,040 | ||||||||
Orion Marine Group, Inc. (a),(d) | 4,900 | 29,302 | ||||||||
Quanta Services, Inc. (a),(d) | 64,200 | 1,554,282 | ||||||||
SBA Communications Corp. Class A (a),(b) | 10,010 | 1,048,448 | ||||||||
Sterling Construction Co., Inc. (a) | 100 | 411 | ||||||||
Team, Inc. (a) | 1,200 | 38,544 | ||||||||
TopBuild Corp. (a) | 3,000 | 92,910 | ||||||||
TRC Cos., Inc. (a) | 200 | 2,366 | ||||||||
Tutor Perini Corp. (a) | 400 | 6,584 | ||||||||
|
| |||||||||
6,986,938 | ||||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Domtar Corp. | 700 | 25,025 | ||||||||
PH Glatfelter Co. | 100 | 1,722 | ||||||||
Schweitzer-Mauduit International, Inc. | 100 | 3,438 | ||||||||
|
| |||||||||
30,185 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.5% | ||||||||||
BJ’s Restaurants, Inc. (a) | 20,100 | 864,903 | ||||||||
Bloomin’ Brands, Inc. (d) | 7,600 | 138,168 | ||||||||
Bravo Brio Restaurant Group, Inc. (a),(d) | 6,000 | 67,620 | ||||||||
Caesars Acquisition Co. Class A (a) | 700 | 4,970 | ||||||||
Caesars Entertainment Corp. (a) | 6,700 | 39,463 | ||||||||
Carnival Corp. | 11,500 | 571,550 | ||||||||
Carrols Restaurant Group, Inc. (a) | 6,800 | 80,920 | ||||||||
Churchill Downs, Inc. (d) | 3,600 | 481,716 | ||||||||
Chuy’s Holdings, Inc. (a) | 900 | 25,560 | ||||||||
Cracker Barrel Old Country Store, Inc. | 3,800 | 559,664 | ||||||||
Dave & Buster’s Entertainment, Inc. (a) | 14,400 | 544,752 | ||||||||
Del Frisco’s Restaurant Group, Inc. (a) | 6,200 | 86,118 | ||||||||
Denny’s Corp. (a),(d) | 33,000 | 363,990 | ||||||||
Domino’s Pizza, Inc. (d) | 18,100 | 1,953,171 | ||||||||
Famous Dave’s of America, Inc. (a) | 400 | 5,164 | ||||||||
Hyatt Hotels Corp. Class A (a),(d) | 5,600 | 263,760 | ||||||||
Isle of Capri Casinos, Inc. (a),(d) | 29,200 | 509,248 | ||||||||
La Quinta Holdings, Inc. (a) | 26,900 | 424,482 | ||||||||
Marriott International, Inc. Class A | 19,400 | 1,323,080 | ||||||||
Nathan’s Famous, Inc. | 1,100 | 41,822 | ||||||||
Noodles & Co. (a) | 100 | 1,416 | ||||||||
Panera Bread Co. Class A (a) | 100 | 19,341 | ||||||||
Papa John’s International, Inc. | 200 | 13,696 | ||||||||
Penn National Gaming, Inc. (a),(d) | 28,400 | 476,552 | ||||||||
Popeyes Louisiana Kitchen, Inc. (a) | 3,600 | 202,896 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Royal Caribbean Cruises Ltd. (b),(c) | 13,705 | $ | 1,220,978 | |||||||
Ruth’s Hospitality Group, Inc. (d) | 1,800 | 29,232 | ||||||||
Shake Shack, Inc. Class A (a) | 100 | 4,740 | ||||||||
Sonic Corp. (b),(c) | 27,520 | 631,584 | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 53,406 | 3,550,431 | ||||||||
|
| |||||||||
14,500,987 | ||||||||||
|
| |||||||||
Hardware — 0.3% | ||||||||||
Brocade Communications Systems, Inc. | 4,400 | 45,672 | ||||||||
Ciena Corp. (a),(b),(c) | 12,545 | 259,932 | ||||||||
Clearfield, Inc. (a) | 100 | 1,343 | ||||||||
CommScope Holding Co., Inc. (a),(d) | 32,100 | 963,963 | ||||||||
Comtech Telecommunications Corp. (d) | 1,500 | 30,915 | ||||||||
Cray, Inc. (a) | 2,200 | 43,582 | ||||||||
Daktronics, Inc. | 1,700 | 14,739 | ||||||||
Datalink Corp. (a) | 4,200 | 25,074 | ||||||||
Dolby Laboratories, Inc. Class A (d) | 16,400 | 534,640 | ||||||||
Dot Hill Systems Corp. (a) | 600 | 5,838 | ||||||||
DTS, Inc. (a) | 200 | 5,340 | ||||||||
Electronics For Imaging, Inc. (a),(b) | 9,500 | 411,160 | ||||||||
EMC Corp. | 20,400 | 492,864 | ||||||||
Emcore Corp. (a) | 23,000 | 156,400 | ||||||||
F5 Networks, Inc. (a),(d) | 11,600 | 1,343,280 | ||||||||
Finisar Corp. (a) | 1,200 | 13,356 | ||||||||
Hewlett-Packard Co. (b) | 31,400 | 804,154 | ||||||||
Hutchinson Technology, Inc. (a) | 5,100 | 8,160 | ||||||||
Imation Corp. (a) | 900 | 1,917 | ||||||||
Immersion Corp. (a) | 5,200 | 58,396 | ||||||||
Imprivata, Inc. (a) | 7,000 | 124,390 | ||||||||
Infinera Corp. (a) | 7,100 | 138,876 | ||||||||
Ixia (a) | 800 | 11,592 | ||||||||
Juniper Networks, Inc. | 1,800 | 46,278 | ||||||||
KVH Industries, Inc. (a) | 600 | 6,000 | ||||||||
Mercury Systems, Inc. (a) | 4,600 | 73,186 | ||||||||
Multi-Fineline Electronix, Inc. (a) | 3,300 | 55,110 | ||||||||
NETGEAR, Inc. (a) | 4,200 | 122,514 | ||||||||
Rovi Corp. (a) | 27,500 | 288,475 | ||||||||
ShoreTel, Inc. (a) | 14,600 | 109,062 | ||||||||
Skullcandy, Inc. (a) | 400 | 2,212 | ||||||||
Super Micro Computer, Inc. (a) | 2,000 | 54,520 | ||||||||
Telenav, Inc. (a),(d) | 2,600 | 20,306 | ||||||||
TTM Technologies, Inc. (a) | 15,800 | 98,434 | ||||||||
Viavi Solutions, Inc. (a),(d) | 5,800 | 31,146 | ||||||||
Vicor Corp. (a) | 500 | 5,100 | ||||||||
Vishay Precision Group, Inc. (a) | 2,300 | 26,657 | ||||||||
Vocera Communications, Inc. (a) | 700 | 7,987 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
VOXX International Corp. (a),(d) | 1,800 | $ | 13,356 | |||||||
Western Digital Corp. (d) | 29,100 | 2,311,704 | ||||||||
|
| |||||||||
8,767,630 | ||||||||||
|
| |||||||||
Health Care Facilities/Services — 1.6% | ||||||||||
Addus HomeCare Corp. (a) | 1,900 | 59,185 | ||||||||
Adeptus Health, Inc. Class A (a) | 1,400 | 113,064 | ||||||||
Aetna, Inc. (b),(d) | 66,590 | 7,285,612 | ||||||||
Almost Family, Inc. (a) | 2,100 | 84,105 | ||||||||
Amedisys, Inc. (a),(d) | 5,400 | 205,038 | ||||||||
Brookdale Senior Living, Inc. (a),(b),(c),(d) | 429,800 | 9,868,208 | ||||||||
Capital Senior Living Corp. (a) | 100 | 2,005 | ||||||||
Centene Corp. (a) | 11,600 | 629,068 | ||||||||
Digirad Corp. (d) | 1,900 | 7,106 | ||||||||
Envision Healthcare Holdings, Inc. (a),(d) | 19,900 | 732,121 | ||||||||
Five Star Quality Care, Inc. (a) | 3,500 | 10,815 | ||||||||
HCA Holdings, Inc. (a),(b) | 62,780 | 4,856,661 | ||||||||
Health Net, Inc. (a) | 20,700 | 1,246,554 | ||||||||
Healthways, Inc. (a) | 9,300 | 103,416 | ||||||||
Inc. Research Holdings, Inc. Class A (a) | 2,400 | 96,000 | ||||||||
Kindred Healthcare, Inc. (b) | 9,436 | 148,617 | ||||||||
Laboratory Corp. of America Holdings (a),(b),(c),(d) | 63,980 | 6,939,911 | ||||||||
LHC Group, Inc. (a) | 600 | 26,862 | ||||||||
Magellan Health, Inc. (a) | 1,500 | 83,145 | ||||||||
McKesson Corp. (b) | 49,350 | 9,131,230 | ||||||||
PharMerica Corp. (a) | 1,400 | 39,858 | ||||||||
Premier, Inc. Class A (a) | 4,300 | 147,791 | ||||||||
Quintiles Transnational Holdings, Inc. (a) | 18,800 | 1,307,916 | ||||||||
RadNet, Inc. (a),(d) | 5,500 | 30,525 | ||||||||
Surgical Care Affiliates, Inc. (a) | 2,700 | 88,263 | ||||||||
Universal American Corp. | 8,200 | 56,088 | ||||||||
Universal Health Services, Inc. Class B (b) | 39,610 | 4,943,724 | ||||||||
US Physical Therapy, Inc. | 400 | 17,956 | ||||||||
VCA Antech, Inc. (a) | 4,900 | 257,985 | ||||||||
WellCare Health Plans, Inc. (a),(d) | 400 | 34,472 | ||||||||
|
| |||||||||
48,553,301 | ||||||||||
|
| |||||||||
Home & Office Products — 0.1% | ||||||||||
American Woodmark Corp. (a),(d) | 6,000 | 389,220 | ||||||||
Armstrong World Industries, Inc. (a) | 9,500 | 453,530 | ||||||||
Blount International, Inc. (a) | 6,400 | 35,648 | ||||||||
Griffon Corp. | 3,200 | 50,464 | ||||||||
Hooker Furniture Corp. | 1,400 | 32,956 | ||||||||
Interface, Inc. | 2,700 | 60,588 | ||||||||
Kimball International, Inc. Class B | 6,500 | 61,490 | ||||||||
Knoll, Inc. | 1,200 | 26,376 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
LGI Homes, Inc. (a) | 100 | $ | 2,719 | |||||||
Libbey, Inc. | 3,300 | 107,613 | ||||||||
Masco Corp. | 25,800 | 649,644 | ||||||||
Mohawk Industries, Inc. (a) | 600 | 109,074 | ||||||||
NACCO Industries, Inc. Class A | 100 | 4,755 | ||||||||
Newell Rubbermaid, Inc. | 300 | 11,913 | ||||||||
Ryland Group, Inc. | 7,537 | 307,736 | ||||||||
Scotts Miracle-Gro Co. Class A | 5,400 | 328,428 | ||||||||
|
| |||||||||
2,632,154 | ||||||||||
|
| |||||||||
Industrial Services — 0.1% | ||||||||||
Electro Rent Corp. | 2,900 | 30,102 | ||||||||
Furmanite Corp. (a),(d) | 2,300 | 13,984 | ||||||||
HD Supply Holdings, Inc. (a),(d) | 102,300 | 2,927,826 | ||||||||
Titan Machinery, Inc. (a) | 500 | 5,740 | ||||||||
WESCO International, Inc. (a),(d) | 6,600 | 306,702 | ||||||||
|
| |||||||||
3,284,354 | ||||||||||
|
| |||||||||
Institutional Financial Service — 0.1% | ||||||||||
Bank of New York Mellon Corp. | 500 | 19,575 | ||||||||
BGC Partners, Inc. Class A | 9,900 | 81,378 | ||||||||
Cowen Group, Inc. Class A (a) | 10,800 | 49,248 | ||||||||
Evercore Partners, Inc. Class A | 20,284 | 1,019,068 | ||||||||
FBR & Co. | 100 | 2,042 | ||||||||
Gain Capital Holdings, Inc. | 1,000 | 7,280 | ||||||||
Interactive Brokers Group, Inc. Class A | 100 | 3,947 | ||||||||
INTL. FCStone, Inc. (a) | 5,000 | 123,450 | ||||||||
Investment Technology Group, Inc. | 300 | 4,002 | ||||||||
KCG Holdings, Inc. Class A (a) | 14,200 | 155,774 | ||||||||
Moelis & Co. Class A | 44,286 | 1,162,950 | ||||||||
Morgan Stanley | 200 | 6,300 | ||||||||
Northern Trust Corp. (d) | 25,409 | 1,731,878 | ||||||||
Raymond James Financial, Inc. | 100 | 4,963 | ||||||||
State Street Corp. | 400 | 26,884 | ||||||||
|
| |||||||||
4,398,739 | ||||||||||
|
| |||||||||
Insurance — 1.3% | ||||||||||
Aflac, Inc. | 1,100 | 63,943 | ||||||||
Allstate Corp. | 1,300 | 75,712 | ||||||||
American Equity Investment Life Holding Co. | 8,100 | 188,811 | ||||||||
American International Group, Inc. (d) | 354,539 | 20,144,906 | ||||||||
AMERISAFE, Inc. | 100 | 4,973 | ||||||||
Arthur J Gallagher & Co. | 700 | 28,896 | ||||||||
Assured Guaranty Ltd. | 187,652 | 4,691,300 | ||||||||
Atlas Financial Holdings, Inc. (a) | 100 | 1,850 | ||||||||
Axis Capital Holdings Ltd. | 51,300 | 2,755,836 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Chubb Corp. | 1,000 | $ | 122,650 | |||||||
Citizens, Inc. (a) | 200 | 1,484 | ||||||||
eHealth, Inc. (a) | 100 | 1,281 | ||||||||
Employers Holdings, Inc. (d) | 7,000 | 156,030 | ||||||||
Fidelity & Guaranty Life | 2,600 | 63,804 | ||||||||
Greenlight Capital Re Ltd. A Shares (a) | 1,200 | 26,736 | ||||||||
Hartford Financial Services Group, Inc. (d) | 35,602 | 1,629,860 | ||||||||
Heritage Insurance Holdings, Inc. (a) | 3,600 | 71,028 | ||||||||
Lincoln National Corp. | 16,600 | 787,836 | ||||||||
Maiden Holdings Ltd. | 3,400 | 47,192 | ||||||||
MetLife, Inc. | 900 | 42,435 | ||||||||
NMI Holdings, Inc. Class A (a) | 4,000 | 30,400 | ||||||||
Old Republic International Corp. | 2,600 | 40,664 | ||||||||
OneBeacon Insurance Group Ltd. Class A | 6,600 | 92,664 | ||||||||
Primerica, Inc. | 1,200 | 54,084 | ||||||||
Principal Financial Group, Inc. (d) | 39,494 | 1,869,646 | ||||||||
Prudential Financial, Inc. (d) | 12,612 | 961,160 | ||||||||
State Auto Financial Corp. | 82 | 1,870 | ||||||||
Universal Insurance Holdings, Inc. | 1,900 | 56,126 | ||||||||
Willis Group Holdings PLC | 77,000 | 3,154,690 | ||||||||
|
| |||||||||
37,167,867 | ||||||||||
|
| |||||||||
Iron & Steel — 0.1% | ||||||||||
Nucor Corp. | 50,900 | 1,911,295 | ||||||||
Reliance Steel & Aluminum Co. | 11,400 | 615,714 | ||||||||
Ryerson Holding Corp. (a) | 1,100 | 5,775 | ||||||||
Steel Dynamics, Inc. | 6,600 | 113,388 | ||||||||
SunCoke Energy, Inc. | 3,600 | 28,008 | ||||||||
Worthington Industries, Inc. (d) | 4,900 | 129,752 | ||||||||
|
| |||||||||
2,803,932 | ||||||||||
|
| |||||||||
Leisure Products — 0.0% | ||||||||||
JAKKS Pacific, Inc. (a) | 2,600 | 22,152 | ||||||||
LeapFrog Enterprises, Inc. (a) | 11,300 | 8,063 | ||||||||
Malibu Boats, Inc. (a) | 500 | 6,990 | ||||||||
Nautilus, Inc. (a) | 1,000 | 15,000 | ||||||||
|
| |||||||||
52,205 | ||||||||||
|
| |||||||||
Machinery — 0.1% | ||||||||||
Alamo Group, Inc. | 100 | 4,675 | ||||||||
Columbus McKinnon Corp. | 1,400 | 25,424 | ||||||||
Douglas Dynamics, Inc. | 100 | 1,986 | ||||||||
Federal Signal Corp. | 10,200 | 139,842 | ||||||||
Graham Corp. | 1,700 | 30,005 | ||||||||
Hyster-Yale Materials Handling, Inc. | 400 | 23,132 | ||||||||
Illinois Tool Works, Inc. | 12,400 | 1,020,644 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Intevac, Inc. (a),(d) | 1,100 | $ | 5,060 | |||||||
ITT Corp. | 1,000 | 33,430 | ||||||||
John Bean Technologies Corp. | 1,600 | 61,200 | ||||||||
Joy Global, Inc. | 107,200 | 1,600,496 | ||||||||
Kadant, Inc. | 1,900 | 74,119 | ||||||||
MSA Safety, Inc. | 300 | 11,991 | ||||||||
Raven Industries, Inc. | 900 | 15,255 | ||||||||
Rofin-Sinar Technologies, Inc. (a),(d) | 3,100 | 80,383 | ||||||||
Xerium Technologies, Inc. (a) | 1,700 | 22,066 | ||||||||
|
| |||||||||
3,149,708 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.0% | ||||||||||
Aegion Corp. (a),(d) | 3,800 | 62,624 | ||||||||
AZZ, Inc. | 200 | 9,738 | ||||||||
Chart Industries, Inc. (a),(d) | 6,400 | 122,944 | ||||||||
Dynamic Materials Corp. | 2,000 | 19,080 | ||||||||
Gibraltar Industries, Inc. (a) | 3,000 | 55,050 | ||||||||
Global Brass & Copper Holdings, Inc. | 6,000 | 123,060 | ||||||||
LB Foster Co. Class A | 6,100 | 74,908 | ||||||||
Rogers Corp. (a) | 200 | 10,636 | ||||||||
|
| |||||||||
478,040 | ||||||||||
|
| |||||||||
Media — 2.4% | ||||||||||
A H Belo Corp. Class A | 2,100 | 10,353 | ||||||||
Alphabet, Inc. Class A (a) | 14,300 | 9,128,691 | ||||||||
Alphabet, Inc. Class C (a),(b),(c) | 1,717 | 1,044,657 | ||||||||
Autobytel, Inc. (a) | 2,400 | 40,248 | ||||||||
Boingo Wireless, Inc. (a) | 9,100 | 75,348 | ||||||||
CBS Corp. Class B | 95,700 | 3,818,430 | ||||||||
Charter Communications, Inc. Class A (a),(d) | 25,400 | 4,466,590 | ||||||||
Clear Channel Outdoor Holdings, Inc. Class A (a) | 10,200 | 72,726 | ||||||||
Comcast Corp. Class A | 20,200 | 1,148,976 | ||||||||
DISH Network Corp. Class A (a),(d) | 68,700 | 4,007,958 | ||||||||
Entercom Communications Corp. Class A (a) | 300 | 3,048 | ||||||||
Eros International PLC (a) | 5,900 | 160,421 | ||||||||
Expedia, Inc. | 15,700 | 1,847,576 | ||||||||
Gray Television, Inc. (a) | 6,300 | 80,388 | ||||||||
Harte-Hanks, Inc. (d) | 17,000 | 60,010 | ||||||||
HomeAway, Inc. (a) | 700 | 18,578 | ||||||||
IAC/InterActiveCorp (d) | 2,900 | 189,283 | ||||||||
Interpublic Group of Cos., Inc. | 9,800 | 187,474 | ||||||||
John Wiley & Sons, Inc. Class A (d) | 100 | 5,003 | ||||||||
Lee Enterprises, Inc. (a) | 500 | 1,040 | ||||||||
McClatchy Co. Class A (a) | 2,000 | 1,940 | ||||||||
MSG Networks, Inc. (a) | 2,600 | 187,564 | ||||||||
National CineMedia, Inc. | 9,000 | 120,780 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
News Corp. Class A | 73,800 | $ | 931,356 | |||||||
Priceline Group, Inc. (The) (a),(b) | 489 | 604,824 | ||||||||
RetailMeNot, Inc. (a) | 4,600 | 37,904 | ||||||||
TechTarget, Inc. (a),(d) | 4,800 | 40,896 | ||||||||
Time Warner Cable, Inc. (c),(d) | 128,899 | 23,120,614 | ||||||||
Time Warner, Inc. | 1,000 | 68,750 | ||||||||
Townsquare Media, Inc. Class A (a) | 100 | 977 | ||||||||
Twenty-First Century Fox, Inc. Class A (c) | 468,914 | 12,651,300 | ||||||||
VeriSign, Inc. (a),(d) | 29,000 | 2,046,240 | ||||||||
Walt Disney Co. | 100 | 10,220 | ||||||||
WebMD Health Corp. (a),(d) | 2,700 | 107,568 | ||||||||
XO Group, Inc. (a),(d) | 6,700 | 94,671 | ||||||||
Yahoo!, Inc. (a) | 134,982 | 3,902,330 | ||||||||
YuMe, Inc. (a) | 500 | 1,295 | ||||||||
|
| |||||||||
70,296,027 | ||||||||||
|
| |||||||||
Medical Equipment/Devices — 1.9% | ||||||||||
Abbott Laboratories (b),(d) | 283,450 | 11,400,359 | ||||||||
ABIOMED, Inc. (a) | 6,500 | 602,940 | ||||||||
Affymetrix, Inc. (a),(b) | 32,500 | 277,550 | ||||||||
Agilent Technologies, Inc. (b),(c),(d) | 341,360 | 11,718,889 | ||||||||
AngioDynamics, Inc. (a) | 5,100 | 67,269 | ||||||||
AtriCure, Inc. (a) | 100 | 2,191 | ||||||||
Baxter International, Inc. | 2,600 | 85,410 | ||||||||
Bio-Rad Laboratories, Inc. Class A (a),(d) | 1,600 | 214,896 | ||||||||
Catalent, Inc. (a) | 5,400 | 131,220 | ||||||||
CONMED Corp. | 300 | 14,322 | ||||||||
CR Bard, Inc. (b),(d) | 48,550 | 9,045,350 | ||||||||
CryoLife, Inc. | 3,700 | 36,001 | ||||||||
Cutera, Inc. (a) | 1,800 | 23,544 | ||||||||
Cyberonics, Inc. (a),(d) | 2,200 | 133,716 | ||||||||
Danaher Corp. (b) | 1,200 | 102,252 | ||||||||
DENTSPLY International, Inc. | 9,200 | 465,244 | ||||||||
DexCom, Inc. (a) | 100 | 8,586 | ||||||||
Edwards Lifesciences Corp. (a),(b),(d) | 78,700 | 11,188,779 | ||||||||
Exactech, Inc. (a) | 900 | 15,687 | ||||||||
Genomic Health, Inc. (a),(d) | 300 | 6,348 | ||||||||
Harvard Bioscience, Inc. (a) | 300 | 1,134 | ||||||||
HeartWare International, Inc. (a) | 4,000 | 209,240 | ||||||||
Hologic, Inc. (a) | 57,500 | 2,249,975 | ||||||||
ICU Medical, Inc. (a) | 1,200 | 131,400 | ||||||||
Inogen, Inc. (a) | 1,900 | 92,245 | ||||||||
Integra LifeSciences Holdings Corp. (a) | 3,600 | 214,380 | ||||||||
Luminex Corp. (a),(d) | 6,800 | 114,988 | ||||||||
Medtronic PLC (b),(c) | 19,865 | 1,329,763 | ||||||||
Merit Medical Systems, Inc. (a) | 15,100 | 361,041 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Myriad Genetics, Inc. (a) | 900 | $ | 33,732 | |||||||
Neogen Corp. (a) | 100 | 4,499 | ||||||||
NuVasive, Inc. (a) | 5,200 | 250,744 | ||||||||
NxStage Medical, Inc. (a) | 2,900 | 45,733 | ||||||||
OraSure Technologies, Inc. (a) | 7,200 | 31,968 | ||||||||
Orthofix International NV (a) | 4,700 | 158,625 | ||||||||
Quidel Corp. (a) | 1,300 | 24,544 | ||||||||
ResMed, Inc. | 200 | 10,192 | ||||||||
RTI Surgical, Inc. (a) | 14,800 | 84,064 | ||||||||
Sientra, Inc. (a) | 300 | 3,045 | ||||||||
Sirona Dental Systems, Inc. (a),(b) | 13,600 | 1,269,424 | ||||||||
St Jude Medical, Inc. | 200 | 12,618 | ||||||||
SurModics, Inc. (a) | 2,800 | 61,152 | ||||||||
T2 Biosystems, Inc. (a) | 100 | 876 | ||||||||
Varian Medical Systems, Inc. (a),(b) | 1,000 | 73,780 | ||||||||
Vascular Solutions, Inc. (a) | 300 | 9,723 | ||||||||
VWR Corp. (a),(b),(d) | 26,124 | 671,126 | ||||||||
Wright Medical Group NV (a) | 7,933 | 161,754 | ||||||||
Wright Medical Group, Inc. (a),(d) | 36,700 | 771,434 | ||||||||
Zeltiq Aesthetics, Inc. (a),(d) | 8,100 | 259,443 | ||||||||
Zimmer Holdings, Inc. (b),(d) | 16,100 | 1,512,273 | ||||||||
|
| |||||||||
55,695,468 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Alcoa, Inc. | 7 | 68 | ||||||||
Century Aluminum Co. (a) | 11,600 | 53,360 | ||||||||
Encore Wire Corp. | 2,000 | 65,340 | ||||||||
Noranda Aluminum Holding Corp. | 3,542 | 5,809 | ||||||||
Stillwater Mining Co. (a) | 2,000 | 20,660 | ||||||||
|
| |||||||||
145,237 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 1.9% | ||||||||||
Arch Coal, Inc. | 7,660 | 25,278 | ||||||||
Baker Hughes, Inc. (d) | 391,301 | 20,363,304 | ||||||||
Bristow Group, Inc. | 2,000 | 52,320 | ||||||||
Cameron International Corp. (a),(d) | 33,700 | 2,066,484 | ||||||||
Chevron Corp. (d) | 107,700 | 8,495,376 | ||||||||
Cimarex Energy Co. | 5,000 | 512,400 | ||||||||
Concho Resources, Inc. (a) | 23,500 | 2,310,050 | ||||||||
Dawson Geophysical Co. (a) | 740 | 2,819 | ||||||||
Dril-Quip, Inc. (a),(d) | 4,000 | 232,880 | ||||||||
Energen Corp. | 200 | 9,972 | ||||||||
EOG Resources, Inc. (d) | 4,600 | 334,880 | ||||||||
Evolution Petroleum Corp. (d) | 1,200 | 6,660 | ||||||||
Exxon Mobil Corp. (d) | 42,400 | 3,152,440 | ||||||||
FMC Technologies, Inc. (a),(d) | 48,800 | 1,512,800 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Forum Energy Technologies, Inc. (a) | 2,600 | $ | 31,746 | |||||||
Gulf Island Fabrication, Inc. | 4,000 | 42,120 | ||||||||
Gulfport Energy Corp. (a),(d) | 26,200 | 777,616 | ||||||||
Hallador Energy Co. | 600 | 4,170 | ||||||||
Halliburton Co. (d) | 237,900 | 8,409,765 | ||||||||
Helix Energy Solutions Group, Inc. (a),(d) | 37,200 | 178,188 | ||||||||
LinnCo LLC | 700 | 1,897 | ||||||||
Marathon Petroleum Corp. | 33,800 | 1,565,954 | ||||||||
Matrix Service Co. (a) | 5,600 | 125,832 | ||||||||
Mitcham Industries, Inc. (a) | 200 | 756 | ||||||||
Murphy Oil Corp. (d) | 4,500 | 108,900 | ||||||||
Murphy USA, Inc. (a) | 3,800 | 208,810 | ||||||||
National Oilwell Varco, Inc. (d) | 18,300 | 688,995 | ||||||||
Natural Gas Services Group, Inc. (a) | 1,200 | 23,160 | ||||||||
Newpark Resources, Inc. (a) | 16,100 | 82,432 | ||||||||
Noble Energy, Inc. | 10,703 | 323,017 | ||||||||
NOW, Inc. (a) | 9,000 | 133,200 | ||||||||
Oceaneering International, Inc. | 3,800 | 149,264 | ||||||||
Oil States International, Inc. (a),(d) | 19,000 | 496,470 | ||||||||
Peabody Energy Corp. (a) | 259,200 | 357,696 | ||||||||
Penn Virginia Corp. (a) | 78,800 | 41,764 | ||||||||
QEP Resources, Inc. (d) | 17,900 | 224,287 | ||||||||
Schlumberger Ltd. | 30,300 | 2,089,791 | ||||||||
Southwestern Energy Co. (a),(d) | 115,200 | 1,461,888 | ||||||||
Stone Energy Corp. (a) | 1,800 | 8,928 | ||||||||
Swift Energy Co. (a) | 41,200 | 15,512 | ||||||||
Tesco Corp. | 1,500 | 10,710 | ||||||||
TransAtlantic Petroleum Ltd. (a) | 300 | 762 | ||||||||
VAALCO Energy, Inc. (a) | 4,000 | 6,800 | ||||||||
Valero Energy Corp. (b) | 6,300 | 378,630 | ||||||||
Weatherford International PLC (a) | 29,600 | 251,008 | ||||||||
|
| |||||||||
57,277,731 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.1% | ||||||||||
Alaska Air Group, Inc. | 2,500 | 198,625 | ||||||||
Delta Air Lines, Inc. | 12,300 | 551,901 | ||||||||
Era Group, Inc. (a) | 600 | 8,982 | ||||||||
Hawaiian Holdings, Inc. (a),(d) | 31,200 | 770,016 | ||||||||
JetBlue Airways Corp. (a) | 52,600 | 1,355,502 | ||||||||
Spirit Airlines, Inc. (a),(d) | 3,900 | 184,470 | ||||||||
Virgin America, Inc. (a),(d) | 28,400 | 972,132 | ||||||||
|
| |||||||||
4,041,628 | ||||||||||
|
| |||||||||
Real Estate — 1.8% | ||||||||||
Agree Realty Corp. | 1,800 | 53,730 | ||||||||
American Tower Corp. (d) | 13,861 | 1,219,491 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Armada Hoffler Properties, Inc. (d) | 7,900 | $ | 77,183 | |||||||
Ashford Hospitality Prime, Inc. (d) | 10,474 | 146,950 | ||||||||
Ashford Hospitality Trust, Inc. (d) | 187,668 | 1,144,775 | ||||||||
CBRE Group, Inc. (a),(b),(c),(d) | 79,930 | 2,557,760 | ||||||||
FelCor Lodging Trust, Inc. | 38,600 | 272,902 | ||||||||
Forest City Enterprises, Inc. Class A (a),(d) | 97,791 | 1,968,533 | ||||||||
Gladstone Commercial Corp. | 5,400 | 76,194 | ||||||||
Gramercy Property Trust, Inc. | 8,133 | 168,922 | ||||||||
InfraREIT, Inc. | 700 | 16,576 | ||||||||
iStar Financial, Inc. (a),(d) | 7,400 | 93,092 | ||||||||
Kennedy-Wilson Holdings, Inc. (d) | 137,550 | 3,049,483 | ||||||||
Lamar Advertising Co. Class A (c) | 383,451 | 20,008,473 | ||||||||
Marcus & Millichap, Inc. (a) | 1,200 | 55,188 | ||||||||
Monmouth Real Estate Investment Corp. Class A | 2,500 | 24,375 | ||||||||
New York REIT, Inc. | 430,161 | 4,327,420 | ||||||||
NorthStar Realty Finance Corp. | 276,638 | 3,416,479 | ||||||||
One Liberty Properties, Inc. | 600 | 12,798 | ||||||||
Realogy Holdings Corp. (a),(b),(c),(d) | 139,074 | 5,233,355 | ||||||||
Saul Centers, Inc. | 100 | 5,175 | ||||||||
Urstadt Biddle Properties, Inc. Class A | 1,500 | 28,110 | ||||||||
Ventas, Inc. (b),(d) | 58,410 | 3,274,465 | ||||||||
VEREIT, Inc. REIT | 213,178 | 1,645,734 | ||||||||
Welltower, Inc. (b) | 48,830 | 3,306,768 | ||||||||
Weyerhaeuser Co. (d) | 9,400 | 256,996 | ||||||||
Whitestone REIT | 900 | 10,377 | ||||||||
|
| |||||||||
52,451,304 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.1% | ||||||||||
International Speedway Corp. Class A | 1,500 | 47,580 | ||||||||
Intrawest Resorts Holdings, Inc. (a) | 5,200 | 45,032 | ||||||||
Marcus Corp. | 1,000 | 19,340 | ||||||||
RCI Hospitality Holdings, Inc. (a) | 200 | 2,084 | ||||||||
Regal Entertainment Group Class A | 24,800 | 463,512 | ||||||||
SFX Entertainment, Inc. (a) | 1,200 | 612 | ||||||||
Six Flags Entertainment Corp. | 26,500 | 1,213,170 | ||||||||
Speedway Motorsports, Inc. | 1,600 | 28,880 | ||||||||
Town Sports International Holdings, Inc. | 900 | 2,367 | ||||||||
|
| |||||||||
1,822,577 | ||||||||||
|
| |||||||||
Renewable Energy — 0.2% | ||||||||||
Ameresco, Inc. Class A (a) | 300 | 1,764 | ||||||||
Broadwind Energy, Inc. (a) | 200 | 414 | ||||||||
First Solar, Inc. (a),(d) | 110,900 | 4,740,975 | ||||||||
Renewable Energy Group, Inc. (a) | 18,700 | 154,836 | ||||||||
|
| |||||||||
4,897,989 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Retail—Consumer Staples — 0.5% | ||||||||||
Dollar Tree, Inc. (a),(b),(c),(d) | 17,005 | $ | 1,133,553 | |||||||
Five Below, Inc. (a),(b),(c) | 26,565 | 892,053 | ||||||||
Ingles Markets, Inc. Class A | 800 | 38,264 | ||||||||
Kroger Co. | 43,700 | 1,576,259 | ||||||||
Rite Aid Corp. (a),(b),(c),(d) | 1,529,500 | 9,284,065 | ||||||||
Smart & Final Stores, Inc. (a) | 700 | 10,997 | ||||||||
Sprouts Farmers Market, Inc. (a),(b),(c) | 51,860 | 1,094,246 | ||||||||
SUPERVALU, Inc. (a) | 116,500 | 836,470 | ||||||||
|
| |||||||||
14,865,907 | ||||||||||
|
| |||||||||
Retail Discretionary — 1.7% | ||||||||||
1-800-Flowers.com, Inc. Class A (a) | 500 | 4,550 | ||||||||
Amazon.com, Inc. (a),(b),(d) | 19,624 | 10,045,330 | ||||||||
Asbury Automotive Group, Inc. (a),(d) | 300 | 24,345 | ||||||||
Beacon Roofing Supply, Inc. (a) | 100 | 3,249 | ||||||||
Bed Bath & Beyond, Inc. (a) | 24,600 | 1,402,692 | ||||||||
Big 5 Sporting Goods Corp. | 6,400 | 66,432 | ||||||||
Builders FirstSource, Inc. (a) | 1,000 | 12,680 | ||||||||
Citi Trends, Inc. (d) | 4,900 | 114,562 | ||||||||
Destination XL Group, Inc. (a) | 500 | 2,905 | ||||||||
Dick’s Sporting Goods, Inc. | 7,100 | 352,231 | ||||||||
EVINE Live, Inc. (a) | 1,200 | 3,144 | ||||||||
Express, Inc. (a) | 1,000 | 17,870 | ||||||||
First Cash Financial Services, Inc. (a) | 100 | 4,006 | ||||||||
GNC Holdings, Inc. Class A | 15,400 | 622,468 | ||||||||
Hertz Global Holdings, Inc. (a),(c),(d) | 403,973 | 6,758,468 | ||||||||
Home Depot, Inc. (d) | 78,800 | 9,100,612 | ||||||||
JC Penney Co., Inc. (a) | 17,800 | 165,362 | ||||||||
Kirkland’s, Inc. | 6,000 | 129,240 | ||||||||
Kohl’s Corp. (b) | 4,400 | 203,764 | ||||||||
L Brands, Inc. | 59,700 | 5,380,761 | ||||||||
Lands’ End, Inc. (a) | 2,400 | 64,824 | ||||||||
Liberty Interactive Corp. Class A (a),(d) | 12,400 | 325,252 | ||||||||
Liquidity Services, Inc. (a) | 2,400 | 17,736 | ||||||||
MarineMax, Inc. (a) | 100 | 1,413 | ||||||||
Michaels Cos., Inc. (a) | 6,800 | 157,080 | ||||||||
Netflix, Inc. (a),(d) | 66,400 | 6,856,464 | ||||||||
New York & Co., Inc. (a) | 400 | 992 | ||||||||
Nordstrom, Inc. | 2,100 | 150,591 | ||||||||
Overstock.com, Inc. (a),(d) | 500 | 8,580 | ||||||||
Pep Boys-Manny Moe & Jack (a) | 10,900 | 132,871 | ||||||||
Restoration Hardware Holdings, Inc. (a),(b),(c) | 9,265 | 864,517 | ||||||||
Sally Beauty Holdings, Inc. (a) | 5,200 | 123,500 | ||||||||
Sears Hometown and Outlet Stores, Inc. (a) | 400 | 3,204 | ||||||||
Signet Jewelers Ltd. | 2,600 | 353,938 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 1,500 | $ | 18,480 | |||||||
Stein Mart, Inc. | 8,400 | 81,312 | ||||||||
Tiffany & Co. (b) | 500 | 38,610 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a),(d) | 33,800 | 5,521,230 | ||||||||
United Online, Inc. (a),(d) | 3,200 | 32,000 | ||||||||
Vera Bradley, Inc. (a) | 700 | 8,827 | ||||||||
|
| |||||||||
49,176,092 | ||||||||||
|
| |||||||||
Semiconductors — 0.9% | ||||||||||
Alpha & Omega Semiconductor Ltd. (a) | 1,200 | 9,348 | ||||||||
Amkor Technology, Inc. (a) | 19,300 | 86,657 | ||||||||
Analog Devices, Inc. | 9,400 | 530,254 | ||||||||
Applied Materials, Inc. | 385,300 | 5,660,057 | ||||||||
Axcelis Technologies, Inc. (a) | 12,500 | 33,375 | ||||||||
Broadcom Corp. Class A | 12,477 | 641,692 | ||||||||
Cabot Microelectronics Corp. (a) | 300 | 11,622 | ||||||||
Cascade Microtech, Inc. (a) | 400 | 5,656 | ||||||||
CEVA, Inc. (a),(d) | 1,300 | 24,141 | ||||||||
Cirrus Logic, Inc. (a) | 13,200 | 415,932 | ||||||||
Cohu, Inc. | 6,100 | 60,146 | ||||||||
Cree, Inc. (a),(d) | 40,700 | 986,161 | ||||||||
DSP Group, Inc. (a) | 2,900 | 26,419 | ||||||||
Electro Scientific Industries, Inc. | 4,800 | 22,272 | ||||||||
FormFactor, Inc. (a) | 14,100 | 95,598 | ||||||||
Freescale Semiconductor Ltd. (a) | 77,834 | 2,847,168 | ||||||||
GSI Technology, Inc. (a) | 418 | 1,697 | ||||||||
II-VI, Inc. (a) | 2,700 | 43,416 | ||||||||
Integrated Device Technology, Inc. (a),(b) | 44,600 | 905,380 | ||||||||
Intel Corp. (b) | 16,419 | 494,869 | ||||||||
IPG Photonics Corp. (a),(b) | 1,200 | 91,164 | ||||||||
IXYS Corp. | 8,800 | 98,208 | ||||||||
Kemet Corp. (a) | 2,400 | 4,416 | ||||||||
KLA-Tencor Corp. (d) | 90,500 | 4,525,000 | ||||||||
Lattice Semiconductor Corp. (a),(d) | 22,400 | 86,240 | ||||||||
M/A-COM Technology Solutions Holdings, Inc. (a) | 100 | 2,899 | ||||||||
Maxim Integrated Products, Inc. (b) | 15,900 | 531,060 | ||||||||
MaxLinear, Inc. Class A (a) | 4,360 | 54,238 | ||||||||
Micron Technology, Inc. (a),(d) | 257,500 | 3,857,350 | ||||||||
Oclaro, Inc. (a) | 600 | 1,380 | ||||||||
ON Semiconductor Corp. (a) | 5,600 | 52,640 | ||||||||
Park Electrochemical Corp. | 1,600 | 28,144 | ||||||||
Pericom Semiconductor Corp. (d) | 3,700 | 67,525 | ||||||||
Photronics, Inc. (a),(d) | 8,700 | 78,822 | ||||||||
PMC—Sierra, Inc. (a) | 100 | 677 | ||||||||
Power Integrations, Inc. | 100 | 4,217 | ||||||||
Qualcomm, Inc. | 49,900 | 2,681,127 | ||||||||
Rudolph Technologies, Inc. (a),(d) | 5,100 | 63,495 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Tessera Technologies, Inc. | 4,300 | $ | 139,363 | |||||||
Texas Instruments, Inc. (b) | 3,500 | 173,320 | ||||||||
Ultra Clean Holdings, Inc. (a) | 4,800 | 27,552 | ||||||||
Ultratech, Inc. (a),(d) | 3,100 | 49,662 | ||||||||
Vishay Intertechnology, Inc. (d) | 7,200 | 69,768 | ||||||||
|
| |||||||||
25,590,127 | ||||||||||
|
| |||||||||
Software — 1.0% | ||||||||||
Acxiom Corp. (a),(d) | 200 | 3,952 | ||||||||
Adobe Systems, Inc. (a) | 1,900 | 156,218 | ||||||||
Agilysys, Inc. (a) | 700 | 7,784 | ||||||||
Autodesk, Inc. (a),(d) | 77,200 | 3,407,608 | ||||||||
AVG Technologies NV (a) | 700 | 15,225 | ||||||||
Cadence Design Systems, Inc. (a) | 6,700 | 138,556 | ||||||||
Calix, Inc. (a) | 6,200 | 48,298 | ||||||||
Carbonite, Inc. (a) | 9,500 | 105,735 | ||||||||
Cerner Corp. (a),(b),(c),(d) | 16,540 | 991,738 | ||||||||
Citrix Systems, Inc. (a) | 18,700 | 1,295,536 | ||||||||
CommVault Systems, Inc. (a) | 7,200 | 244,512 | ||||||||
Cvent, Inc. (a) | 4,100 | 138,006 | ||||||||
Digi International, Inc. (a) | 3,500 | 41,265 | ||||||||
Ebix, Inc. (d) | 600 | 14,976 | ||||||||
Electronic Arts, Inc. (a),(b),(c),(d) | 65,120 | 4,411,880 | ||||||||
InnerWorkings, Inc. (a) | 100 | 625 | ||||||||
Intralinks Holdings, Inc. (a) | 7,700 | 63,833 | ||||||||
Limelight Networks, Inc. (a) | 14,600 | 27,886 | ||||||||
Lionbridge Technologies, Inc. (a) | 1,700 | 8,398 | ||||||||
LogMeIn, Inc. (a) | 2,000 | 136,320 | ||||||||
Mentor Graphics Corp. | 3,100 | 76,353 | ||||||||
Microsoft Corp. | 46,900 | 2,075,794 | ||||||||
MicroStrategy, Inc. Class A (a) | 2,600 | 510,822 | ||||||||
Model N, Inc. (a) | 1,800 | 18,018 | ||||||||
Monotype Imaging Holdings, Inc. | 800 | 17,456 | ||||||||
Oracle Corp. (b) | 78,000 | 2,817,360 | ||||||||
Palo Alto Networks, Inc. (a) | 1,400 | 240,800 | ||||||||
Paycom Software, Inc. (a),(b) | 23,780 | 853,940 | ||||||||
PDF Solutions, Inc. (a) | 800 | 8,000 | ||||||||
QAD, Inc. Class A | 2,900 | 74,240 | ||||||||
Rackspace Hosting, Inc. (a) | 52,100 | 1,285,828 | ||||||||
RealNetworks, Inc. (a) | 400 | 1,636 | ||||||||
Red Hat, Inc. (a),(b),(c) | 12,865 | 924,736 | ||||||||
salesforce.com, Inc. (a),(b),(d) | 43,485 | 3,019,164 | ||||||||
SciQuest, Inc. (a) | 400 | 4,000 | ||||||||
SS&C Technologies Holdings, Inc. (b),(c),(d) | 48,475 | 3,395,189 | ||||||||
Support.com, Inc. (a) | 1,400 | 1,568 | ||||||||
Symantec Corp. | 33,700 | 656,139 | ||||||||
VMware, Inc. Class A (a),(d) | 48,400 | 3,813,436 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Web.com Group, Inc. (a),(d) | 6,300 | $ | 132,804 | |||||||
|
| |||||||||
31,185,634 | ||||||||||
|
| |||||||||
Specialty Finance — 0.2% | ||||||||||
AG Mortgage Investment Trust, Inc. | 2,000 | 30,440 | ||||||||
Aircastle Ltd. | 300 | 6,183 | ||||||||
American Capital Agency Corp. (d) | 38 | 710 | ||||||||
American Capital Mortgage Investment Corp. (d) | 10,100 | 148,874 | ||||||||
Arbor Realty Trust, Inc. | 11,700 | 74,412 | ||||||||
Cherry Hill Mortgage Investment Corp. | 600 | 9,138 | ||||||||
Consumer Portfolio Services, Inc. (a) | 1,400 | 6,972 | ||||||||
CoreLogic, Inc. (a) | 31,100 | 1,157,853 | ||||||||
Dynex Capital, Inc. | 12,000 | 78,720 | ||||||||
Ellington Residential Mortgage REIT | 3,900 | 47,385 | ||||||||
Flagstar Bancorp, Inc. (a) | 1,900 | 39,064 | ||||||||
Global Payments, Inc. | 1,800 | 206,514 | ||||||||
HFF, Inc. Class A | 1,000 | 33,760 | ||||||||
Higher One Holdings, Inc. (a) | 100 | 197 | ||||||||
HomeStreet, Inc. (a) | 300 | 6,930 | ||||||||
LendingTree, Inc. (a) | 100 | 9,303 | ||||||||
MasterCard, Inc. Class A | 400 | 36,048 | ||||||||
McGrath RentCorp | 400 | 10,676 | ||||||||
Meta Financial Group, Inc. | 1,300 | 54,301 | ||||||||
MFA Financial, Inc. | 68,300 | 465,123 | ||||||||
Newcastle Investment Corp. | 633 | 2,779 | ||||||||
Nicholas Financial, Inc. (a) | 700 | 9,086 | ||||||||
Regional Management Corp. (a) | 700 | 10,850 | ||||||||
Springleaf Holdings, Inc. (a),(d) | 58,376 | 2,552,199 | ||||||||
Total System Services, Inc. | 200 | 9,086 | ||||||||
Two Harbors Investment Corp. | 8,300 | 73,206 | ||||||||
Vantiv, Inc. Class A (a) | 8,000 | 359,360 | ||||||||
Walker & Dunlop, Inc. (a) | 3,400 | 88,672 | ||||||||
ZAIS Financial Corp. | 700 | 9,380 | ||||||||
|
| |||||||||
5,537,221 | ||||||||||
|
| |||||||||
Technology Services — 0.4% | ||||||||||
Black Box Corp. | 4,000 | 58,960 | ||||||||
Broadridge Financial Solutions, Inc. | 1,100 | 60,885 | ||||||||
CDW Corp. | 10,300 | 420,858 | ||||||||
Ciber, Inc. (a) | 3,800 | 12,084 | ||||||||
Cognizant Technology Solutions Corp. Class A (a),(b),(c) | 14,930 | 934,767 | ||||||||
CSG Systems International, Inc. | 4,100 | 126,280 | ||||||||
Cubic Corp. | 1,900 | 79,686 | ||||||||
Forrester Research, Inc. | 100 | 3,144 | ||||||||
Globant SA (a) | 1,800 | 55,062 | ||||||||
ICF International, Inc. (a) | 200 | 6,078 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Leidos Holdings, Inc. (d) | 15,600 | $ | 644,436 | |||||||
Luxoft Holding, Inc. (a) | 1,000 | 63,290 | ||||||||
Markit Ltd. (a) | 59,710 | 1,731,590 | ||||||||
MSCI, Inc. (d) | 39,742 | 2,363,059 | ||||||||
NIC, Inc. | 900 | 15,939 | ||||||||
Perficient, Inc. (a) | 900 | 13,887 | ||||||||
Sabre Corp. (d) | 137,000 | 3,723,660 | ||||||||
Sykes Enterprises, Inc. (a) | 300 | 7,650 | ||||||||
Teradata Corp. (a) | 800 | 23,168 | ||||||||
TransUnion (a),(b) | 29,322 | 736,569 | ||||||||
Xerox Corp. (d) | 131,000 | 1,274,630 | ||||||||
|
| |||||||||
12,355,682 | ||||||||||
|
| |||||||||
Telecommunications — 0.4% | ||||||||||
Alaska Communications Systems Group, Inc. (a) | 8,300 | 18,177 | ||||||||
AT&T, Inc. | 87,781 | 2,859,905 | ||||||||
EarthLink Holdings Corp. | 26,900 | 209,282 | ||||||||
FairPoint Communications, Inc. (a),(d) | 2,100 | 32,361 | ||||||||
General Communication, Inc. Class A (a),(d) | 7,900 | 136,354 | ||||||||
Hawaiian Telcom Holdco, Inc. (a) | 1,600 | 33,248 | ||||||||
IDT Corp. Class B | 1,300 | 18,590 | ||||||||
Inteliquent, Inc. (d) | 8,200 | 183,106 | ||||||||
Internap Network Services Corp. (a) | 5,700 | 34,941 | ||||||||
j2 Global, Inc. (b),(c) | 12,270 | 869,329 | ||||||||
Level 3 Communications, Inc. (a) | 20 | 874 | ||||||||
Lumos Networks Corp. | 4,300 | 52,288 | ||||||||
NTELOS Holdings Corp. (a) | 100 | 903 | ||||||||
Pendrell Corp. (a) | 200 | 144 | ||||||||
Premiere Global Services, Inc. (a) | 3,600 | 49,464 | ||||||||
RingCentral, Inc. Class A (a) | 14,900 | 270,435 | ||||||||
Shenandoah Telecommunications Co. | 200 | 8,562 | ||||||||
Spok Holdings, Inc. | 2,700 | 44,442 | ||||||||
TeleCommunication Systems, Inc. Class A (a) | 4,100 | 14,104 | ||||||||
Telephone & Data Systems, Inc. (d) | 6,400 | 159,744 | ||||||||
Verizon Communications, Inc. (b),(d) | 143,100 | 6,226,281 | ||||||||
Vonage Holdings Corp. (a),(d) | 2,400 | 14,112 | ||||||||
West Corp. (d) | 25,800 | 577,920 | ||||||||
Zix Corp. (a),(d) | 23,100 | 97,251 | ||||||||
|
| |||||||||
11,911,817 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.2% | ||||||||||
Air Transport Services Group, Inc. (a) | 17,900 | 153,045 | ||||||||
ArcBest Corp. | 1,600 | 41,232 | ||||||||
Atlas Air Worldwide Holdings, Inc. (a) | 2,900 | 100,224 | ||||||||
Celadon Group, Inc. | 900 | 14,418 | ||||||||
Covenant Transportation Group, Inc. Class A (a) | 300 | 5,391 | ||||||||
CSX Corp. | 12,800 | 344,320 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
FedEx Corp. | 1,600 | $ | 230,368 | |||||||
Hub Group, Inc. Class A (a) | 2,500 | 91,025 | ||||||||
JB Hunt Transport Services, Inc. | 23,300 | 1,663,620 | ||||||||
Kansas City Southern (d) | 3,200 | 290,816 | ||||||||
Marten Transport Ltd. | 1,000 | 16,170 | ||||||||
ModusLink Global Solutions, Inc. (a) | 2,500 | 7,150 | ||||||||
Navios Maritime Acquisition Corp. | 8,000 | 28,160 | ||||||||
Norfolk Southern Corp. (d) | 13,100 | 1,000,840 | ||||||||
Ryder System, Inc. | 100 | 7,404 | ||||||||
Saia, Inc. (a) | 4,600 | 142,370 | ||||||||
Stamps.com, Inc. (a) | 4,100 | 303,441 | ||||||||
Swift Transportation Co. (a) | 6,300 | 94,626 | ||||||||
Union Pacific Corp. | 6,300 | 556,983 | ||||||||
United Parcel Service, Inc. Class B | 700 | 69,083 | ||||||||
USA Truck, Inc. (a) | 700 | 12,061 | ||||||||
|
| |||||||||
5,172,747 | ||||||||||
|
| |||||||||
Transportation Equipment — 0.1% | ||||||||||
Accuride Corp. (a) | 900 | 2,493 | ||||||||
Allison Transmission Holdings, Inc. (d) | 15,600 | 416,364 | ||||||||
American Railcar Industries, Inc. | 800 | 28,928 | ||||||||
Cummins, Inc. (b) | 11,400 | 1,237,812 | ||||||||
PACCAR, Inc. | 18,200 | 949,494 | ||||||||
Spartan Motors, Inc. (d) | 200 | 826 | ||||||||
WABCO Holdings, Inc. (a),(b),(c) | 6,370 | 667,767 | ||||||||
|
| |||||||||
3,303,684 | ||||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
California Water Service Group | 3,100 | 68,572 | ||||||||
Middlesex Water Co. | 500 | 11,920 | ||||||||
Otter Tail Corp. | 100 | 2,606 | ||||||||
Talen Energy Corp. (a) | 700 | 7,070 | ||||||||
Unitil Corp. | 200 | 7,376 | ||||||||
|
| |||||||||
97,544 | ||||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — 0.4% |
| |||||||||
Casella Waste Systems, Inc. Class A (a) | 13,800 | 80,040 | ||||||||
Stericycle, Inc. (a),(b),(c),(d) | 80,030 | 11,148,979 | ||||||||
Waste Management, Inc. | 1,500 | 74,715 | ||||||||
|
| |||||||||
11,303,734 | ||||||||||
|
| |||||||||
Total United States |
| 904,897,040 | ||||||||
|
| |||||||||
TOTAL COMMON STOCK |
| 1,082,426,964 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
ASSET-BACKED SECURITIES — 10.2% | ||||||||||
Cayman Islands — 5.7% | ||||||||||
ACIS CLO Ltd., Series 2015-6A, Class D, | $ | 2,300,000 | $ | 2,093,690 | ||||||
Adirondack Park CLO Ltd., Series 2013-1A, Class E, 4.94%, 04/15/24 (b),(e),(g) | 373,000 | 329,023 | ||||||||
ALESCO Preferred Funding VII Ltd., Series 7A, Class A1B, 0.73%, 07/23/35 (b),(e),(g) | 1,279,793 | 1,075,026 | ||||||||
ALESCO Preferred Funding XIIII Ltd., Series 13A, Class A2, 0.73%, 09/23/37 (b),(e),(g) | 996,000 | 567,720 | ||||||||
Allegro CLO I Ltd., Series 2013-1A, Class C, 3.75%, 01/30/26 (b),(e),(g) | 4,000,000 | 3,733,600 | ||||||||
AMMC CDO, Series 2015-16A, Class E, 5.87%, 04/14/27 (b),(e),(g) | 600,000 | 539,160 | ||||||||
APIDOS CLO, Series 2012-10A, Class E, 6.55%, 10/30/22 (b),(e),(g) | 1,000,000 | 958,000 | ||||||||
Apidos CLO XVI, Series 2013-16A, Class D, 4.79%, 01/19/25 (b),(e),(g) | 400,000 | 342,480 | ||||||||
Ares CLO Ltd., Series 2012-2A, Class E, 6.09%, 10/12/23 (b),(e),(g) | 3,621,000 | 3,400,119 | ||||||||
Ares XXVIII CLO Ltd., Series 2013-3A, Class D, 3.67%, 10/17/24 (b),(e),(g) | 650,000 | 616,330 | ||||||||
Atlas Senior Loan Fund II Ltd., Series 2012-2A, Class D, 4.55%, 01/30/24 (b),(e),(g) | 600,000 | 591,000 | ||||||||
Atlas Senior Loan Fund V Ltd., Series 2014-1A, Class C, 3.29%, 07/16/26 (b),(e),(g) | 1,100,000 | 1,074,370 | ||||||||
Attentus CDO III Ltd., Series 2007-3A, Class A1B, 0.55%, 10/11/42 (b),(e),(f),(g) | 1,340,376 | 1,219,742 | ||||||||
Babson CLO Ltd., |
| |||||||||
Series 2013-IA, Class D, | 3,200,000 | 3,077,120 | ||||||||
Series 2015-2A, Class E, | 650,000 | 584,025 | ||||||||
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class D, 4.79%, 07/15/24 (b),(e),(g) | 2,823,000 | 2,337,726 | ||||||||
BlueMountain CLO Ltd., Series 2014-1A, Class D, 3.75%, 04/30/26 (b),(e),(g) | 1,388,000 | 1,318,184 | ||||||||
Bridgeport CLO Ltd., Series 2006-1A, Class C, 1.79%, 07/21/20 (b),(e),(g) | 500,000 | 477,750 | ||||||||
Canyon Capital CLO Ltd., Series 2012-1A, Class D, 4.59%, 01/15/24 (b),(e),(g) | 400,000 | 393,360 | ||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2014-2A, Class D, | 1,900,000 | 1,826,090 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Catamaran CLO Ltd., |
| |||||||||
Series 2015-1A, Class D, | $ | 600,000 | $ | 557,940 | ||||||
Series 2015-1A, Class E, | 600,000 | 504,540 | ||||||||
Cedar Funding III CLO Ltd., Series 2014-3A, Class E, 5.23%, 05/20/26 (b),(e),(g) | 1,600,000 | 1,355,200 | ||||||||
Cent CLO 20 Ltd., Series 2013-20A, Class E, 4.90%, 01/25/26 (b),(e),(g) | 1,077,000 | 903,926 | ||||||||
CIFC Funding 2012-III Ltd., Series 2012-3A, Class A3L, 3.29%, 01/29/25 (b),(e),(g) | 1,000,000 | 985,000 | ||||||||
CIFC Funding 2013-II Ltd., Series 2013-2A, Class A3L, 2.94%, 04/21/25 (b),(e),(g) | 1,000,000 | 959,900 | ||||||||
CIFC Funding 2015-IV Ltd., Series 2015-4A, Class D, 5.81%, 10/20/27 (b),(e),(g) | 1,000,000 | 894,000 | ||||||||
CIFC Funding III Ltd., |
| |||||||||
Series 2014-3A, Class E, | 1,500,000 | 1,282,650 | ||||||||
Series 2015-3A, Class E, | 800,000 | 718,560 | ||||||||
CIFC Funding Ltd., |
| |||||||||
Series 2006-1BA, Class B2L, | 400,000 | 393,960 | ||||||||
Series 2012-2A, Class B2R, | 2,000,000 | 1,857,600 | ||||||||
Series 2013-1A, Class D, | 2,709,000 | 2,516,390 | ||||||||
Series 2014-4A, Class D, | 1,200,000 | 1,116,480 | ||||||||
Series 2015-1A, Class D, | 800,000 | 787,600 | ||||||||
Series 2015-2A, Class E, | 800,000 | 700,800 | ||||||||
ColumbusNova CLO IV Ltd., Series 2007-2A, Class D, 4.79%, 10/15/21 (b),(e),(g) | 250,000 | 252,575 | ||||||||
Crown Point CLO Ltd., Series 2012-1A, Class B1L, 5.28%, 11/21/22 (b),(e),(g) | 1,800,000 | 1,801,440 | ||||||||
Cutwater Ltd., | ||||||||||
Series 2014-1A, Class C, | 1,512,000 | 1,379,095 | ||||||||
Series 2015-1A, Class D1, | 4,500,000 | 4,130,100 | ||||||||
Series 2015-1A, Class E, | 733,000 | 636,757 | ||||||||
Diamond Head Aviation, Series 2015-1, Class B, 5.92%, 07/14/28 (b),(e) | 4,583,212 | 4,592,836 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Dryden 36 Senior Loan Fund, Series 2014-36A, Class D, 4.06%, 11/09/25 (b),(e),(g) | $ | 3,150,000 | $ | 3,042,900 | ||||||
Duane Street CLO, Series 2007-5X, Class B, REG S, | 467,000 | 467,934 | ||||||||
Eastland CLO Ltd., Series 2007-1A, Class C, 1.80%, 05/01/22 (b),(e),(g) | 400,000 | 355,440 | ||||||||
Flagship CLO VIII Ltd., Series 2014-8A, Class D, 3.99%, 01/16/26 (b),(e),(g) | 789,000 | 739,530 | ||||||||
Fore CLO Ltd., Series 2007-1A, Class D, | 1,341,445 | 1,323,067 | ||||||||
Galaxy XIV CLO Ltd., | ||||||||||
Series 2012-14A, Class D, | 1,400,000 | 1,400,000 | ||||||||
Series 2012-14X, Class E, REG S, | 4,057,000 | 3,813,986 | ||||||||
Golub Capital Partners CLO Ltd., | ||||||||||
Series 2011-10AR, Class DR, | 250,000 | 245,625 | ||||||||
Series 2015-22A, Class C, | 1,200,000 | 1,116,960 | ||||||||
Halcyon Loan Advisors Funding Ltd., Series 2014-2A, Class C, | 1,800,000 | 1,603,260 | ||||||||
Halcyon Loan Investors CLO I, Inc., | 500,000 | 489,400 | ||||||||
Harbourview CDO III Ltd., Series 3A, Class A, | 4,590,079 | 4,268,773 | ||||||||
ING IM CLO Ltd., | ||||||||||
Series 2013-1A, Class C, | 1,900,000 | 1,828,940 | ||||||||
Series 2013-2A, Class C, | 658,000 | 633,062 | ||||||||
Series 2013-2A, Class D, | 600,000 | 535,140 | ||||||||
Jamestown Ltd., | ||||||||||
Series 2015-7A, Class C, | 2,300,000 | 2,156,480 | ||||||||
Series 2015-7A, Class D, | 1,100,000 | 954,910 | ||||||||
Katonah Ltd., Series 2007-10A, Class E, | 681,000 | 662,545 | ||||||||
Kingsland VI Ltd., Series 2013-6A, Class D, | 900,000 | 824,220 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
KKR Financial CLO Ltd., | ||||||||||
Series 10, Class D, 4.09%, 01/15/26 (b),(e),(g) | $ | 500,000 | $ | 455,700 | ||||||
Series 2012-1A, Class C, | 3,500,000 | 3,396,400 | ||||||||
Kodiak CDO Ltd., | ||||||||||
Series 2006-1A, Class A1, | 5,683,845 | 5,428,072 | ||||||||
Series 2006-1A, Class A2, | 1,250,000 | 900,000 | ||||||||
LCM XI LP, Series 11A, Class D2, | 800,000 | 788,880 | ||||||||
Madison Park Funding X Ltd., Series 2012-10A, Class E, 5.54%, 01/20/25 (b),(e),(g) | 1,900,000 | 1,761,110 | ||||||||
Madison Park Funding XIV Ltd., Series 2014-14A, Class E, 5.04%, 07/20/26 (b),(e),(g) | 3,400,000 | 2,908,700 | ||||||||
Madison Park Funding XVI Ltd., | ||||||||||
Series 2015-16A, Class B, | 3,000,000 | 2,963,400 | ||||||||
Series 2015-16A, Class C, | 600,000 | 580,500 | ||||||||
MidOcean Credit CLO III, | ||||||||||
Series 2014-3A, Class D, | 982,000 | 902,458 | ||||||||
Series 2014-3A, Class E, | 581,000 | 496,058 | ||||||||
MMCAPS Funding XIX Ltd. / MMCAPS Funding XIX Corp., 0.61%, 01/12/38 (b),(e),(f),(g) | 168,708 | — | ||||||||
MSIM Peconic Bay Ltd., Series 2007-1A, Class E, | 292,335 | 292,335 | ||||||||
Nelder Grove CLO Ltd., Series 2014-1A, Class D1, | 1,800,000 | 1,737,180 | ||||||||
Ocean Trails CLO IV, Series 2013-4A, Class D, | 300,000 | 283,440 | ||||||||
Ocean Trails CLO V, | ||||||||||
Series 2014-5A, Class D, | 1,800,000 | 1,677,060 | ||||||||
Series 2014-5A, Class E, | 800,000 | 680,240 | ||||||||
Octagon Investment Partners XII Ltd., | 1,400,000 | 1,380,960 | ||||||||
Octagon Investment Partners XIV Ltd., | 250,000 | 248,075 | ||||||||
Octagon Investment Partners XVII Ltd., | 800,000 | 695,760 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Octagon Investment Partners XX Ltd., | $ | 600,000 | $ | 530,160 | ||||||
Octagon Investment Partners XXI Ltd., | 1,100,000 | 1,060,070 | ||||||||
OZLM Funding IV Ltd., | ||||||||||
Series 2013-4A, Class C, | 800,000 | 754,480 | ||||||||
Series 2013-4A, Class D, | 900,000 | 797,040 | ||||||||
OZLM Funding V Ltd., | ||||||||||
Series 2013-5A, Class C, | 1,200,000 | 1,131,960 | ||||||||
Series 2013-5A, Class D, | 2,050,000 | 1,785,140 | ||||||||
OZLM Ltd., Series 2015-13A, Class D, 5.73%, 07/30/27 (b),(e),(g) | 1,100,000 | 933,020 | ||||||||
OZLM VII Ltd., Series 2014-7A, Class C, 3.89%, 07/17/26 (b),(e),(g) | 1,500,000 | 1,423,650 | ||||||||
OZLM VIII Ltd., Series 2014-8A, Class B, 3.29%, 10/17/26 (b),(e),(g) | 3,000,000 | 2,922,300 | ||||||||
OZLM XI Ltd., Series 2015-11A, Class D, 5.70%, 01/30/27 (b),(e),(g) | 800,000 | 695,120 | ||||||||
Preferred Term Securities X Ltd. / Preferred Term Securities X, Inc., 1.05%, 07/03/33 (b),(e),(g) | 198,423 | 172,628 | ||||||||
Preferred Term Securities XIX Ltd/Preferred Term Securities XIX, Inc., 0.77%, 12/22/35 (b),(e),(g) | 586,576 | 340,214 | ||||||||
Preferred Term Securities XVIII Ltd. / Preferred Term Securities XVIII, Inc., | 198,952 | 124,345 | ||||||||
Preferred Term Securities XXIV Ltd. / Preferred Term Securities XXIV, Inc., | 952,660 | 695,442 | ||||||||
Preferred Term Securities XXIV Ltd/Preferred Term Securities XXIV, Inc., | 968,152 | 580,891 | ||||||||
Preferred Term Securities XXV Ltd/Preferred Term Securities XXV, Inc., 0.69%, 06/22/37 (b),(e),(g) | 277,951 | 168,161 | ||||||||
Preferred Term Securities XXVI Ltd/Preferred Term Securities XXVI, Inc., | 268,701 | 158,534 | ||||||||
Red River CLO Ltd., Series 1A, Class D, 1.95%, 07/27/18 (b),(e),(g) | 900,000 | 887,310 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Sound Point CLO I Ltd., | ||||||||||
Series 2012-1A, Class D, | $ | 900,000 | $ | 900,000 | ||||||
Series 2012-1A, Class E, | 300,000 | 284,610 | ||||||||
Sound Point CLO IX Ltd., | ||||||||||
Series 2015-2A, Class D, | 1,700,000 | 1,573,180 | ||||||||
Series 2015-2A, Class E, | 1,100,000 | 955,460 | ||||||||
Sound Point CLO V Ltd., Series 2014-1A, Class D, 3.68%, 04/18/26 (b),(e),(g) | 1,200,000 | 1,116,240 | ||||||||
Stone Tower CLO VI Ltd., Series 2007-6A, Class D, 3.89%, 04/17/21 (b),(e),(g) | 7,189,000 | 6,870,527 | ||||||||
Symphony CLO IV Ltd., Series 2007-4A, Class E, 5.79%, 07/18/21 (b),(e),(g) | 739,000 | 739,369 | ||||||||
Symphony CLO IX Ltd., Series 2012-9A, Class D, 4.54%, 04/16/22 (b),(e),(g) | 2,775,000 | 2,775,000 | ||||||||
Symphony CLO XI Ltd., Series 2013-11A, Class D, 4.29%, 01/17/25 (b),(e),(g) | 2,100,000 | 2,083,830 | ||||||||
Symphony CLO XII Ltd., Series 2013-12A, Class D, 3.79%, 10/15/25 (b),(e),(g) | 250,000 | 243,025 | ||||||||
TICP CLO Ltd., Series 2015-1A, Class E, | 700,000 | 608,230 | ||||||||
Trapeza CDO XIII Ltd., Series 2007-13A, Class A2A, 0.64%, 11/09/42 (b),(e),(g) | 431,000 | 241,360 | ||||||||
Venture CDO Ltd., | ||||||||||
Series 2007-13A, Class A3, | 270,000 | 151,200 | ||||||||
Series 2013-15A, Class C, | 5,700,000 | 5,589,420 | ||||||||
Series 2014-16A, Class B1L, | 5,800,000 | 5,477,520 | ||||||||
Venture X CLO Ltd., Series 2012-10A, Class D, 4.49%, 07/20/22 (b),(e),(g) | 500,000 | 495,350 | ||||||||
Venture XIII CLO Ltd., Series 2013-13A, Class D, 3.88%, 06/10/25 (b),(e),(g) | 5,000,000 | 4,812,500 | ||||||||
Venture XIV CLO Ltd., Series 2013-14A, Class D, 4.08%, 08/28/25 (b),(e),(g) | 1,775,000 | 1,712,520 | ||||||||
Venture XIX CLO Ltd., Series 2014-19A, Class D, 4.29%, 01/15/27 (b),(e),(g) | 2,500,000 | 2,427,500 | ||||||||
Vibrant CLO Ltd., Series 2015-3A, Class C, | 1,082,000 | 1,019,893 | ||||||||
Voya CLO 2 Ltd., Series 2014-2A, Class D, | 700,000 | 598,150 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
WhiteHorse Ltd., Series 2014-1A, Class D, | $ | 2,912,100 | $ | 2,637,198 | ||||||
WhiteHorse VIII Ltd., Series 2014-1A, Class E, VRN, 4.74%, 05/01/26 (b),(e),(g) | 420,000 | 330,330 | ||||||||
|
| |||||||||
Total Cayman Islands |
| 167,723,241 | ||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
Trade Maps Ltd., Series 2013-1A, Class D, 5.20%, 12/10/18 (b),(e),(g) | 2,000,000 | 1,985,400 | ||||||||
|
| |||||||||
Total Ireland |
| 1,985,400 | ||||||||
|
| |||||||||
United States — 4.4% | ||||||||||
Ascentium Equipment Receivable, Series 2015-1A, Class E, 5.92%, 06/12/23 (b),(e),(f) | 758,000 | 761,942 | ||||||||
Associates Manufactured Housing Pass Through Ctfs, Series 1997-2, Class B1, | 280,451 | 328,324 | ||||||||
Bear Stearns Asset Backed Securities Trust, Series 2007-2, Class A2, 0.51%, 01/25/47 (b),(g) | 1,379,531 | 1,301,449 | ||||||||
Carlyle Global Market Strategies CLO Ltd., | ||||||||||
Series 2014-1A, Class D, | 1,700,000 | 1,613,810 | ||||||||
Series 2015-2A, Class D, | 1,450,000 | 1,267,445 | ||||||||
Series 2015-3A, Class D, | 1,100,000 | 973,280 | ||||||||
Countrywide Home Equity Loan Trust, | ||||||||||
Series 2004-I, Class A, | 1,215,386 | 1,086,919 | ||||||||
Series 2004-P, Class 2A, | 27,011 | 23,216 | ||||||||
Series 2006-G, Class 2A, | 273,010 | 233,424 | ||||||||
CPS Auto Receivables Trust, |
| |||||||||
Series 2014-B, Class D, 4.62%, 05/15/20 (b),(e) | 156,000 | 152,100 | ||||||||
Series 2014-C, Class D, 4.83%, 08/17/20 (b),(e) | 391,000 | 380,209 | ||||||||
Credit Suisse Mortgage Trust, | ||||||||||
Series 2015-RPL2, Class A1A, | 6,887,284 | 6,861,112 | ||||||||
Series 2015-RPL3, Class A1, | 6,966,182 | 6,896,520 | ||||||||
Drive Auto Receivables Trust, | ||||||||||
Series 2015-AA, Class D, | 5,300,000 | 5,350,350 | ||||||||
Series 2015-DA, Class D, | 2,500,000 | 2,499,250 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
DT Auto Owner Trust, | ||||||||||
Series 2014-3A, Class D, | $ | 600,000 | $ | 606,600 | ||||||
Series 2015-1A, Class D, | 1,000,000 | 1,015,000 | ||||||||
Education Funding LLC, Series 2006-1A, Class A2, 0.55%, 10/25/29 (b),(e),(g) | 6,688,293 | 6,145,204 | ||||||||
Exeter Automobile Receivables Trust, | ||||||||||
Series 2013-1A, Class D, | 3,300,000 | 3,343,230 | ||||||||
Series 2013-2A, Class D, | 2,200,000 | 2,288,000 | ||||||||
Series 2014-1A, Class D, | 4,300,000 | 4,364,500 | ||||||||
Series 2014-2A, Class D, | 800,000 | 796,160 | ||||||||
Series 2014-3A, Class D, | 3,000,000 | 3,050,100 | ||||||||
Series 2014-3A, Class C, | 1,900,000 | 1,913,490 | ||||||||
FFCA Secured Lending Corp., Series 1999-2, Class WA1C, 7.85%, 05/18/26 (b),(e),(f) | 317,949 | 327,488 | ||||||||
Flagship Credit Auto Trust, Series 2015-2, Class C, | 1,800,000 | 1,805,940 | ||||||||
Fraser Sullivan CLO II Ltd., Series 2006-2A, Class E, 3.85%, 12/20/20 (b),(e),(g) | 716,000 | 707,265 | ||||||||
GE Business Loan Trust, Series 2005-1A, Class C, | 41,839 | 37,655 | ||||||||
Harch CLO III Ltd., Series 2007-1A, Class E, | 549,000 | 543,510 | ||||||||
HOA Funding LLC, Series 2015-1A, Class A2, | 1,418,000 | 1,324,937 | ||||||||
InCaps Funding II Ltd. / InCaps Funding II Corp., | 1,420,631 | 1,321,187 | ||||||||
Morgan Stanley ABS Capital I, Inc. Trust, | ||||||||||
Series 2006-HE3, Class A2C, | 664,226 | 645,960 | ||||||||
Series 2006-NC4, Class A2C, | 2,581,643 | 2,386,729 | ||||||||
Nationstar HECM Loan Trust, Series 2015-1A, | 6,524,099 | 6,531,275 | ||||||||
Nationstar Home Equity Loan Trust, Series 2007-C, | 1,294,116 | 1,256,975 | ||||||||
Preferred Term Securities XVII Ltd. / Preferred Term Securities XVII, Inc., | 211,000 | 128,710 | ||||||||
RMAT LLC, Series 2015-RPL1, Class A1, | 3,276,623 | 3,268,431 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
SLM Private Credit Student Loan Trust, | $ | 3,587,543 | $ | 3,374,801 | ||||||
Soundview Home Loan Trust, Series 2007-OPT3, | 1,227,140 | 1,192,412 | ||||||||
Stone Tower CLO Ltd., Series 2006-5A, Class D, | 1,000,000 | 970,100 | ||||||||
US Residential Opportunity Fund Trust, | 3,175,864 | 3,173,641 | ||||||||
Vericrest Opportunity Loan Trust, | ||||||||||
Series 2015-NP12, Class A1, | 5,700,000 | 5,685,750 | ||||||||
Series 2015-NPL4, Class A1, | 2,058,120 | 2,048,447 | ||||||||
Series 2015-NPL9, Class A1, | 11,333,115 | 11,259,450 | ||||||||
Vericrest Opportunity Loan XXXI LLC, | 1,706,645 | 1,693,846 | ||||||||
VOLT XXXVI LLC, Series 2015-NP10, Class A1, | 24,267,776 | 24,177,985 | ||||||||
Westgate Resorts LLC, | ||||||||||
Series 2012-2A, Class C, | 1,196,606 | 1,199,598 | ||||||||
Series 2014-1A, Class C, | 2,816,857 | 2,827,561 | ||||||||
|
| |||||||||
Total United States |
| 131,141,287 | ||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES |
| 300,849,928 | ||||||||
|
| |||||||||
BANK LOANS — 0.1% | ||||||||||
Netherlands — 0.0% | ||||||||||
Exploration & Production — 0.0% | ||||||||||
Endeavour International Holding BV, | 1,048,524 | 693,337 | ||||||||
|
| |||||||||
Total Netherlands |
| 693,337 | ||||||||
|
| |||||||||
United Kingdom — 0.0% | ||||||||||
Transportation & Logistics — 0.0% | ||||||||||
Ceva Group PLC, 6.50%, 03/19/21 (b),(f),(g) | 42,652 | 38,097 | ||||||||
Ceva Intercompany BV, 6.50%, 03/19/21 (b),(f),(g) | 44,303 | 39,572 | ||||||||
Ceva Logistics Canada, 6.50%, 03/19/21 (b),(f),(g) | 7,639 | 6,823 | ||||||||
Ceva Logistics U.S. Holdings, | 61,108 | 54,582 | ||||||||
|
| |||||||||
Total United Kingdom | 139,074 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
United States — 0.1% | ||||||||||
Casinos & Gaming — 0.1% | ||||||||||
Caesars Entertainment Resort Properties LLC, 10/11/20 (b),(f),(i) | $ | 994,937 | $ | 925,291 | ||||||
|
| |||||||||
Coal Operations — 0.0% | ||||||||||
Arch Coal, Inc., 6.25%, 05/16/18 (b),(f),(g) | 170,511 | 95,913 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.0% | ||||||||||
Clear Channel Communications, | 106,420 | 88,063 | ||||||||
LBI Media, Inc., 6.56%, 03/31/18 (b),(f),(g) | 98,280 | 98,280 | ||||||||
|
| |||||||||
186,343 | ||||||||||
|
| |||||||||
Wireless Telecommunication Services — 0.0% | ||||||||||
New Lightsquared LLC, | 511,303 | 497,242 | ||||||||
|
| |||||||||
Total United States | 1,704,789 | |||||||||
|
| |||||||||
TOTAL BANK LOANS | 2,537,200 | |||||||||
|
| |||||||||
CONVERTIBLE BONDS — 0.5% | ||||||||||
Finland — 0.3% | ||||||||||
Communications Equipment — 0.3% | ||||||||||
Nokia Oyj, 5.00%, 10/26/17 (b) | 3,700,000 | 10,552,174 | ||||||||
|
| |||||||||
Total Finland | 10,552,174 | |||||||||
|
| |||||||||
Germany — 0.1% | ||||||||||
Automobiles Manufacturing — 0.1% | ||||||||||
Volkswagen International Finance NV Co. REG S, | 2,700,000 | EUR | 2,007,196 | |||||||
|
| |||||||||
Total Germany | 2,007,196 | |||||||||
|
| |||||||||
Spain — 0.1% | ||||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Telefonica Participacion Co. REG S, | 1,400,000 | EUR | 1,488,645 | |||||||
|
| |||||||||
Total Spain | 1,488,645 | |||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS | 14,048,015 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
CORPORATE BONDS & NOTES — 3.2% | ||||||||||
Brazil — 0.1% | ||||||||||
Integrated Oils — 0.1% | ||||||||||
Petrobras Global Finance BV, 6.85%, 06/05/2115 | $ | 5,011,000 | $ | 3,156,930 | ||||||
|
| |||||||||
Total Brazil | 3,156,930 | |||||||||
|
| |||||||||
Canada — 0.1% | ||||||||||
Electrical Equipment Manufacturing — 0.0% | ||||||||||
NCSG Crane & Heavy Haul Services, Inc., 9.50%, 08/15/19 (b),(e) | 1,509,000 | 875,220 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.1% | ||||||||||
Postmedia Network, Inc., | 1,715,000 | 1,697,850 | ||||||||
|
| |||||||||
Total Canada | 2,573,070 | |||||||||
|
| |||||||||
Ecuador — 0.0% | ||||||||||
Refining & Marketing — 0.0% | ||||||||||
EP PetroEcuador via Noble Sovereign Funding I Ltd. REG S, 5.96%, 09/24/19 (g) | 1,785,263 | 1,379,115 | ||||||||
|
| |||||||||
Total Ecuador | 1,379,115 | |||||||||
|
| |||||||||
France — 0.2% | ||||||||||
Property & Casualty Insurance — 0.2% | ||||||||||
Groupama SA REG S, 6.38% (b),(g),(j) | 5,900,000 | 6,291,848 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.0% | ||||||||||
PagesJaunes Finance & Co. SCA REG S, | 300,000 | 254,780 | ||||||||
|
| |||||||||
Total France | 6,546,628 | |||||||||
|
| |||||||||
Germany — 0.0% | ||||||||||
Banks — 0.0% | ||||||||||
HSH Nordbank AG REG S, | ||||||||||
MTN, 0.78%, 02/14/17 (b),(g) | 702,000 | EUR | 631,454 | |||||||
MTN, 0.82%, 02/14/17 (b),(g) | 560,000 | EUR | 500,595 | |||||||
|
| |||||||||
Total Germany | 1,132,049 | |||||||||
|
| |||||||||
Ireland — 0.1% | ||||||||||
Banks — 0.1% | ||||||||||
UT2 Funding PLC, 5.32%, 06/30/16 (b) | $ | 2,550,000 | 2,881,709 | |||||||
|
| |||||||||
Total Ireland | 2,881,709 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Luxembourg — 0.1% | ||||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Intelsat Jackson Holdings SA, | $ | 1,785,000 | $ | 1,673,438 | ||||||
|
| |||||||||
Total Luxembourg | 1,673,438 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
Food & Beverage — 0.1% | ||||||||||
CEDC Finance Corp. International, Inc., | 1,825,745 | 1,570,141 | ||||||||
|
| |||||||||
Total Poland | 1,570,141 | |||||||||
|
| |||||||||
Sweden — 0.0% | ||||||||||
Chemicals — 0.0% | ||||||||||
Perstorp Holding AB, | ||||||||||
8.75%, 05/15/17 (b),(e) | 202,000 | 207,050 | ||||||||
11.00%, 08/15/17 (b),(e) | 200,000 | 206,000 | ||||||||
|
| |||||||||
Total Sweden | 413,050 | |||||||||
|
| |||||||||
United Kingdom — 0.3% | ||||||||||
Transportation & Logistics — 0.3% | ||||||||||
Algeco Scotsman Global Finance PLC, | ||||||||||
8.50%, 10/15/18 (b),(e) | 5,367,000 | 4,697,198 | ||||||||
9.00%, 10/15/18 (b) | 200,000 | EUR | 195,786 | |||||||
CEVA Group PLC, 4.00%, 05/01/18 (b),(e) | $ | 3,454,292 | 3,048,413 | |||||||
|
| |||||||||
Total United Kingdom | 7,941,397 | |||||||||
|
| |||||||||
United States — 2.1% | ||||||||||
Cable & Satellite — 0.1% | ||||||||||
WideOpenWest Finance LLC / WideOpenWest Capital Corp., 10.25%, 07/15/19 (b),(d) | 3,248,000 | 3,272,360 | ||||||||
|
| |||||||||
Casinos & Gaming — 0.1% | ||||||||||
Caesars Entertainment Operating Co., Inc., | ||||||||||
02/01/16 (a),(b),(i) | 7,000 | 1,820 | ||||||||
12/15/18 (a),(b),(i) | 1,982,698 | 604,723 | ||||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma, | 2,368,000 | 2,468,640 | ||||||||
Golden Nugget Escrow, Inc., | 461,000 | 463,305 | ||||||||
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 03/15/19 (b),(e) | 366,000 | 375,150 | ||||||||
International Game Technology plc, | 322,000 | 289,800 | ||||||||
|
| |||||||||
4,203,438 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Commercial Finance — 0.0% | ||||||||||
NewStar Financial, Inc., 7.25%, 05/01/20 (b),(d),(e) | $ | 659,000 | $ | 655,705 | ||||||
|
| |||||||||
Communications Equipment — 0.0% | ||||||||||
Plantronics, Inc., 5.50%, 05/31/23 (b),(e) | 292,000 | 292,730 | ||||||||
|
| |||||||||
Construction Materials Manufacturing — 0.0% | ||||||||||
NWH Escrow Corp., 7.50%, 08/01/21 (b),(e),(f) | 280,000 | 254,800 | ||||||||
|
| |||||||||
Consumer Finance — 0.1% | ||||||||||
DFC Finance Corp., 10.50%, 06/15/20 (b),(e) | 3,821,000 | 2,244,838 | ||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 05/15/20 (b),(d),(e) | 100,000 | 91,000 | ||||||||
Sotheby’s, 5.25%, 10/01/22 (b),(c),(e) | 400,000 | 370,000 | ||||||||
|
| |||||||||
461,000 | ||||||||||
|
| |||||||||
Entertainment Contents — 0.1% | ||||||||||
DreamWorks Animation SKG, Inc., | 249,000 | 241,530 | ||||||||
Production Resource Group, Inc., | 2,003,000 | 1,602,400 | ||||||||
|
| |||||||||
1,843,930 | ||||||||||
|
| |||||||||
Entertainment Resources — 0.0% | ||||||||||
Mohegan Tribal Gaming Authority, | 577,000 | 587,098 | ||||||||
|
| |||||||||
Financial Services — 0.1% | ||||||||||
Opal Acquisition, Inc., 8.88%, 12/15/21 (b),(e) | 363,000 | 341,674 | ||||||||
ROC Finance LLC / ROC Finance 1 Corp., | 3,091,000 | 3,257,141 | ||||||||
|
| |||||||||
3,598,815 | ||||||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Post Holdings, Inc., | ||||||||||
7.38%, 02/15/22 (b),(c) | 411,000 | 418,192 | ||||||||
8.00%, 07/15/25 (b),(e) | 60,000 | 61,763 | ||||||||
|
| |||||||||
479,955 | ||||||||||
|
| |||||||||
Forest & Paper Products Manufacturing — 0.0% | ||||||||||
Resolute Forest Products, Inc., 5.88%, 05/15/23 (b) | 934,000 | 695,830 | ||||||||
|
| |||||||||
Hardware — 0.1% | ||||||||||
Global Cash Access, Inc., | 1,606,000 | 1,493,580 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Real Alloy Holding, Inc., | $ | 732,000 | $ | 750,300 | ||||||
|
| |||||||||
2,243,880 | ||||||||||
|
| |||||||||
Health Care Facilities/Services — 0.1% | ||||||||||
inVentiv Health, Inc., 10.00%, 08/15/18 (b),(c) | 1,527,000 | 1,492,643 | ||||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC, 6.38%, 08/01/23 (b),(d),(e) | 440,000 | 427,900 | ||||||||
Universal Hospital Services, Inc., | 2,097,000 | 1,965,937 | ||||||||
|
| |||||||||
3,886,480 | ||||||||||
|
| |||||||||
Home Improvement — 0.0% | ||||||||||
Empire Today LLC / Empire Today Finance Corp., | 793,000 | 729,560 | ||||||||
|
| |||||||||
Industrial Other — 0.0% | ||||||||||
Kratos Defense & Security Solutions, Inc., | 129,000 | 104,490 | ||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
AK Steel Corp., | 786,000 | 423,450 | ||||||||
|
| |||||||||
Oil, Gas & Coal — 0.0% | ||||||||||
CONSOL Energy, Inc., 8.00%, 04/01/23 (b),(e) | 1,000,000 | 714,400 | ||||||||
|
| |||||||||
Pipeline — 0.2% | ||||||||||
Energy Transfer Equity LP, 5.50%, 06/01/27 (b),(d) | 1,975,000 | 1,639,250 | ||||||||
NGPL PipeCo LLC, 9.63%, 06/01/19 (b),(e) | 1,000,000 | 950,000 | ||||||||
Sabine Pass Liquefaction LLC, 5.63%, 02/01/21 (b) | 2,903,000 | 2,692,532 | ||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | 257,000 | 245,435 | ||||||||
|
| |||||||||
5,527,217 | ||||||||||
|
| |||||||||
Power Generation — 0.0% | ||||||||||
NRG Energy, Inc., | ||||||||||
6.25%, 07/15/22—05/01/24 (b) | 581,000 | 518,838 | ||||||||
6.63%, 03/15/23 (b) | 741,000 | 681,720 | ||||||||
|
| |||||||||
1,200,558 | ||||||||||
|
| |||||||||
Publishing & Broadcasting — 0.5% | ||||||||||
American Media, Inc., 11.50%, 12/15/17 (b),(d) | 3,964,000 | 4,063,100 | ||||||||
iHeartCommunications, Inc., 10.63%, 03/15/23 (b) | 199,000 | 168,155 | ||||||||
LBI Media, Inc., | ||||||||||
10.00%, 04/15/19 (b),(e) | 233,000 | 236,495 | ||||||||
13.50%, 04/15/20 (b),(e) | 3,269,281 | 3,269,281 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Lee Enterprises, Inc., | $ | 2,996,000 | $ | 2,786,280 | ||||||
Time, Inc., 5.75%, 04/15/22 (b),(e) | 3,571,000 | 3,347,812 | ||||||||
|
| |||||||||
13,871,123 | ||||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
Communications Sales & Leasing, Inc. / CSL Capital LLC, 8.25%, 10/15/23 (b) | 1,389,000 | 1,187,595 | ||||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.3% | ||||||||||
Claire’s Stores, Inc., 9.00%, 03/15/19 (b),(e) | 2,730,000 | 2,177,175 | ||||||||
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.00%, 06/01/21 (b),(e) | 4,656,000 | 4,213,680 | ||||||||
Ferrellgas LP / Ferrellgas Finance Corp., 6.75%, 06/15/23 (b),(d),(e) | 618,000 | 562,380 | ||||||||
Toys R Us Property Co. II LLC, | 1,153,000 | 1,103,997 | ||||||||
|
| |||||||||
8,057,232 | ||||||||||
|
| |||||||||
Software & Services — 0.1% | ||||||||||
iPayment, Inc., 9.50%, 12/15/19 (b),(c),(e) | 1,763,000 | 1,745,370 | ||||||||
|
| |||||||||
Wireless Telecommunication Services — 0.1% | ||||||||||
Sprint Communications, Inc., | 1,367,000 | 1,141,445 | ||||||||
|
| |||||||||
Wireline Telecommunication Services — 0.2% | ||||||||||
Frontier Communications Corp., | 4,206,000 | 3,469,950 | ||||||||
Windstream Corp., 7.75%, 10/01/21 (b),(c) | 645,000 | 499,875 | ||||||||
|
| |||||||||
3,969,825 | ||||||||||
|
| |||||||||
Total United States |
| 63,393,124 | ||||||||
|
| |||||||||
Venezuela — 0.1% | ||||||||||
Integrated Oils — 0.1% | ||||||||||
Petroleos de Venezuela SA REG S, | 8,721,000 | 2,790,284 | ||||||||
|
| |||||||||
Total Venezuela |
| 2,790,284 | ||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES |
| 95,450,935 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
MORTGAGE-BACKED SECURITIES — 18.3% | ||||||||||
Cayman Islands — 1.4% | ||||||||||
Collateralized Debt Obligation (Commercial) — 1.2% |
| |||||||||
Cobalt Commercial Mortgage, Series 2005-1A, Class B, 0.77%, 05/25/45 (b),(e),(g) | $ | 1,907,971 | $ | 1,857,886 | ||||||
Gramercy Real Estate CDO Ltd., | ||||||||||
Series 2005-1A, Class D, | 2,000,000 | 1,910,600 | ||||||||
Series 2006-1A, Class B, | 1,744,570 | 1,716,134 | ||||||||
Series 2006-1A, Class D, | 1,100,000 | 1,031,250 | ||||||||
Series 2007-1A, Class A1, | 2,007,968 | 1,863,394 | ||||||||
Marathon Real Estate CDO Ltd., Series 2006-1A, Class B, 0.62%, 05/25/46 (b),(e),(g) | 3,118,337 | 3,009,195 | ||||||||
N-Star REL CDO VI Ltd., Series 2006-6A, Class B, 0.78%, 06/16/41 (b),(e),(g) | 3,718,000 | 3,151,749 | ||||||||
NCT 2013-VI Funding Ltd., Series 2013-6A, Class IMM1, 0.45%, 04/25/40 (b),(e),(g) | 1,217,223 | 1,186,792 | ||||||||
RAIT Preferred Funding II Ltd., Series 2007-2A, Class A2, 0.64%, 06/25/45 (b),(e),(g) | 4,136,000 | 3,722,400 | ||||||||
Resource Capital Corp. Ltd., | ||||||||||
Series 2014-CRE2, Class B, | 300,000 | 298,320 | ||||||||
Series 2015-CRE3, Class D, | 1,500,000 | 1,499,550 | ||||||||
SRERS Funding Ltd., Series 2011-RS, Class A1B1, | 16,128,815 | 15,706,240 | ||||||||
|
| |||||||||
36,953,510 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 0.2% | ||||||||||
PFP III Ltd., | ||||||||||
Series 2014-1, Class D, | 1,000,000 | 995,700 | ||||||||
Series 2015-2, Class D, | 2,250,000 | 2,223,000 | ||||||||
Series 2015-2, Class E, | 2,400,000 | 2,400,000 | ||||||||
|
| |||||||||
5,618,700 | ||||||||||
|
| |||||||||
Total Cayman Islands |
| 42,572,210 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
United States — 16.9% | ||||||||||
Collateralized Mortgage Obligation (Residential) — 6.6% | ||||||||||
Banc of America Funding Corp., Series 2006-A, Class 3A2, 2.53%, 02/20/36 (b),(g) | $ | 2,951,255 | $ | 2,434,785 | ||||||
Banc of America Funding Trust, Series 2007-B, Class A1, 0.43%, 04/20/47 (b),(g) | 3,066,009 | 2,330,780 | ||||||||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 4.49%, 07/25/25 (b),(e),(g) | 6,214,000 | 6,229,535 | ||||||||
Chase Mortgage Finance Trust, Series 2007-A2, Class 3A2, 2.63%, 07/25/37 (b),(g) | 279,421 | 264,193 | ||||||||
CHL Mortgage Pass-Through Trust, Series 2005-HYB3, Class 3A2, 2.45%, 06/20/35 (b),(g) | 3,097,589 | 2,951,693 | ||||||||
Citicorp Mortgage Securities Trust, | ||||||||||
Series 2006-3, Class 1A10, 6.25%, 06/25/36 (b) | 691,470 | 705,853 | ||||||||
Series 2007-1, Class 1A3, 5.75%, 01/25/37 (b) | 147,620 | 149,274 | ||||||||
Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A2, 2.71%, 08/25/35 (b),(g) | 3,563,916 | 3,344,735 | ||||||||
Connecticut Avenue Securities, | ||||||||||
Series 2014-C01, Class M2, | 4,677,577 | 4,721,546 | ||||||||
Series 2014-C02, Class 1M2, | 2,302,501 | 2,030,576 | ||||||||
Series 2014-C02, Class 2M2, | 854,000 | 767,746 | ||||||||
Series 2014-C03, Class 2M2, | 9,722,522 | 8,788,188 | ||||||||
Series 2014-C03, Class 1M2, | 3,375,184 | 3,053,529 | ||||||||
Series 2014-C04, Class 1M2, | 2,205,000 | 2,208,528 | ||||||||
Series 2014-C04, Class 2M2, | 634,580 | 639,339 | ||||||||
Series 2015-C01, Class 1M2, | 9,518,910 | 9,281,889 | ||||||||
Series 2015-C01, Class 2M2, | 13,399,257 | 13,309,482 | ||||||||
Series 2015-C02, Class 1M2, | 27,242,250 | 25,937,511 | ||||||||
Series 2015-C02, Class 2M2, | 15,230,000 | 14,562,926 | ||||||||
Countrywide Alternative Loan Trust, | ||||||||||
Series 2005-21CB, Class A17, | 577,839 | 579,052 | ||||||||
Series 2005-J2, Class 1A5, | 548,325 | 477,865 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Countrywide Asset-Backed Certificates, | ||||||||||
Series 2005-15, Class 1AF6, | $ | 143,820 | $ | 146,495 | ||||||
Series 2006-BC4, Class 2A2, | 581,714 | 548,440 | ||||||||
Federal Home Loan Mortgage Corporation, | ||||||||||
Series 2015-HQA1, Class M2, | 4,897,000 | 4,897,000 | ||||||||
Series 2015-HQA1, Class M3, | 1,379,000 | 1,375,690 | ||||||||
Series 2015-HQA1, Class B, | 5,400,000 | 5,400,000 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2015-C03, Class 1M2, | 4,541,000 | 4,527,377 | ||||||||
Series 2015-C03, Class 2M2, | 7,283,000 | 7,274,260 | ||||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 3A1, | 3,750,029 | 3,138,025 | ||||||||
Invitation Homes Trust, Series 2015-SFR3, Class D, 2.96%, 08/17/32 (b),(e),(g) | 4,100,000 | 4,067,200 | ||||||||
JP Morgan Alternative Loan Trust, | ||||||||||
Series 2005-A2, Class 1A1, | 836,117 | 783,191 | ||||||||
Series 2006-S4, Class A3A, | 135,545 | 128,118 | ||||||||
Morgan Stanley Mortgage Loan Trust, | 2,807,255 | 2,116,390 | ||||||||
RALI Trust, Series 2005-QA13, Class 2A1, 3.57%, 12/25/35 (b),(g) | 6,449,005 | 5,519,059 | ||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 6A, 4.57%, 05/25/36 (b),(g) | 2,031,173 | 1,674,702 | ||||||||
Structured Agency Credit Risk, | ||||||||||
Series 2013-DN2, Class M2, | 4,897,650 | 4,895,201 | ||||||||
Series 2014-DN1, Class M3, | 2,013,142 | 2,017,168 | ||||||||
Series 2014-DN4, Class M3, | 1,533,624 | 1,527,183 | ||||||||
Series 2014-HQ2, Class M3, | 1,623,835 | 1,524,781 | ||||||||
Series 2015-DN1, Class M3, | 2,513,785 | 2,507,752 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-DNA1, Class M3, | $ | 8,641,869 | $ | 8,181,257 | ||||||
Series 2015-HQ1, Class M3, | 1,503,958 | 1,457,636 | ||||||||
Structured Agency Credit Risk, Series 2015-DNA2, Class M2, 2.79%, 12/25/27 (b),(g),(h) | 5,000,000 | 5,036,000 | ||||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR17, Class 1A, 1.00%, 12/25/46 (b),(g) | 5,827,475 | 4,599,626 | ||||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||||
Series 2006-AR12, Class 1A2, | 3,016,798 | 2,693,095 | ||||||||
Series 2006-AR18, Class 1A1, | 2,972,097 | 2,526,282 | ||||||||
Series 2007-HY6, Class 2A3, | 2,528,378 | 2,230,029 | ||||||||
Series 2007-OA6, Class 1A, | 7,438,951 | 6,174,330 | ||||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2007-10, Class 2A5, 6.25%, 07/25/37 (b) | 239,718 | 242,691 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust, | ||||||||||
Series 2005-9, Class 1A12, 5.50%, 10/25/35 (b) | 236,875 | 239,930 | ||||||||
Series 2007-14, Class 1A1, 6.00%, 10/25/37 (b) | 570,128 | 570,641 | ||||||||
|
| |||||||||
192,788,574 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 9.3% | ||||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||
Series 2013-DSNY, Class F, | 1,000,000 | 1,000,000 | ||||||||
Series 2014-ICTS, Class E, | 3,150,000 | 3,140,235 | ||||||||
Series 2014-INLD, Class D, | 1,500,000 | 1,495,050 | ||||||||
BAMLL Mezzanine Securities Trust, | 19,075,000 | 19,113,150 | ||||||||
Banc of America Commercial Mortgage Trust, Series 2006-6, Class B, 5.48%, 10/10/45 (b) | 3,935,000 | 3,929,491 | ||||||||
Barclays Commercial Mortgage, Series 2015-RRI, Class F, 4.66%, 05/15/32 (b),(e),(g) | 4,989,000 | 4,947,591 | ||||||||
BBCMS Trust, | ||||||||||
Series 2014-BXO, Class E, | 1,000,000 | 999,500 | ||||||||
Series 2015-RRMZ, Class M1, | 4,700,000 | 4,700,000 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||||
Series 2005-PW10, Class AJ, | $ | 7,680,188 | $ | 7,654,075 | ||||||
Series 2006-PW14, Class B, | 879,000 | 826,260 | ||||||||
Series 2006-T24, Class AJ, | 3,818,441 | 3,853,189 | ||||||||
Series 2007-PW15, Class AMFX, | 590,553 | 608,151 | ||||||||
Series 2007-PW15, Class AM, | 3,958,091 | 4,064,168 | ||||||||
Boca Hotel Portfolio Trust, Series 2013-BOCA, Class E, 3.96%, 08/15/26 (b),(e),(g) | 950,000 | 947,245 | ||||||||
CD Commercial Mortgage Trust, Series 2007-CD4, Class AJ, 5.40%, 12/11/49 (b),(g) | 1,795,000 | 1,561,650 | ||||||||
CDGJ Commercial Mortgage Trust, | ||||||||||
Series 2014-BXCH, Class DPB, | 3,000,000 | 2,996,400 | ||||||||
Series 2014-BXCH, Class EPA, | 2,800,000 | 2,799,720 | ||||||||
CGBAM Commercial Mortgage Trust, | 900,000 | 895,860 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2006-C5, Class AJ, 5.48%, 10/15/49 | 2,405,378 | 2,398,883 | ||||||||
Series 2015-GC29, Class D, | 1,395,000 | 1,033,974 | ||||||||
Series 2015-GC31, Class D, | 1,850,000 | 1,488,325 | ||||||||
Series 2015-P1, Class D, | 1,193,000 | 892,006 | ||||||||
Citigroup Mortgage Loan Trust, Inc., | 650,000 | 651,885 | ||||||||
COBALT CMBS Commercial Mortgage Trust, | ||||||||||
Series 2006-C1, Class AM SEQ, | 2,191,369 | 2,238,922 | ||||||||
Series 2007-C3, Class C, | 32,000 | 29,395 | ||||||||
COMM Mortgage Trust, Series 2015-CR23, Class D, 4.40%, 05/10/48 (b),(g) | 1,745,000 | 1,444,337 | ||||||||
Commercial Mortgage Loan Trust, Series 2008-LS1, Class AM, 6.23%, 12/10/49 (g),(h) | 1,689,146 | 1,620,736 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2006-C7, Class AJ, 5.98%, 06/10/46 (g) | $ | 3,415,380 | $ | 3,340,242 | ||||||
Series 2007-C9, Class G, | 2,400,000 | 2,354,640 | ||||||||
Series 2014-PAT, Class E, | 1,800,000 | 1,793,880 | ||||||||
Series 2014-TWC, Class E, | 2,300,000 | 2,283,210 | ||||||||
Credit Suisse Commercial Mortgage Trust, | ||||||||||
Series 2006-C5, Class AJ, 5.37%, 12/15/39 | 1,208,185 | 1,179,189 | ||||||||
Series 2007-C1, Class AM, | 10,790,947 | 11,077,986 | ||||||||
Series 2007-C1, Class AMFX, | 1,897,865 | 1,953,472 | ||||||||
Series 2007-C5, Class AM, | 718,641 | 737,110 | ||||||||
Series 2007-C5, Class A1AM, | 686,943 | 703,773 | ||||||||
Series 2015-SAND, Class E, | 2,400,000 | 2,400,000 | ||||||||
Series 2015-SAND, Class F, | 2,100,000 | 2,100,000 | ||||||||
Credit Suisse Mortgage Trust, | ||||||||||
Series 2006-C4, Class AJ, | 3,672,263 | 3,684,749 | ||||||||
Series 2007-C1, Class AMFL, | 32,000 | 29,398 | ||||||||
Series 2007-C2, Class C, | 878,000 | 852,977 | ||||||||
Series 2015-DEAL, Class E, | 2,900,000 | 2,888,690 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class D, | 1,282,000 | 1,072,265 | ||||||||
Series 2015-C3, Class D, | 732,000 | 577,109 | ||||||||
Great Wolf Trust, | ||||||||||
Series 2015-WOLF, Class D, | 3,758,000 | 3,711,777 | ||||||||
Series 2015-WOLF, Class E, | 1,889,000 | 1,860,098 | ||||||||
Series 2015-WOLF, Class F, | 3,141,000 | 3,086,033 | ||||||||
GS Mortgage Securities Corp. III, Series 2005-GG4, Class D, 4.94%, 07/10/39 (b),(g) | 197,000 | 192,804 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2006-GG6, Class D, | $ | 1,750,000 | $ | 1,733,025 | ||||||
Series 2007-GG10, Class AM, | 5,600,828 | 5,647,875 | ||||||||
Series 2015-GC32, Class C, | 1,205,000 | 1,183,431 | ||||||||
Hilton Mortgage Trust, Series 2014-ORL, Class F, 3.95%, 07/15/29 (e),(g) | 899,972 | 885,392 | ||||||||
Hilton USA Trust, | ||||||||||
Series 2013-HLF, Class EFL, | 2,020,203 | 2,019,193 | ||||||||
Series 2013-HLT, Class EFX, | 3,960,317 | 4,001,108 | ||||||||
Series 2014-ORL, Class E, | 280,000 | 277,564 | ||||||||
Hyatt Hotel Portfolio Trust, | ||||||||||
Series 2014-HYMZ, Class M, | 3,990,000 | 3,990,000 | ||||||||
Series 2015-HYT, Class F, | 649,000 | 630,439 | ||||||||
Irvine Core Office Trust, Series 2013-IRV, Class F, 3.28%, 05/15/48 (e),(g) | 236,133 | 196,604 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||
Series 2005-CB13, Class AJ, | 5,284,000 | 5,203,155 | ||||||||
Series 2006-CB14, Class AJ, | 1,339,991 | 1,318,216 | ||||||||
Series 2006-CB15, Class AM, | 1,161,326 | 1,175,262 | ||||||||
Series 2007-LD11, Class AM, | 5,054,156 | 5,240,149 | ||||||||
Series 2014-BXH, Class E, | 1,630,000 | 1,626,577 | ||||||||
Series 2014-C20, Class D, | 5,325,000 | 4,623,165 | ||||||||
Series 2014-CBM, Class E, | 7,100,000 | 7,016,930 | ||||||||
Series 2014-FL5, Class D, | 5,625,000 | 5,607,000 | ||||||||
Series 2014-INMZ, Class M, | 8,990,000 | 8,990,000 | ||||||||
Series 2015-C30, Class C, | 11,768,000 | 10,996,019 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-CSMO, Class E, | $ | 5,000,000 | $ | 4,971,500 | ||||||
Series 2015-CSMO, Class D, | 6,300,000 | 6,242,670 | ||||||||
JP Morgan Chase Commercial Mortgage Trust, Series 2014-INN, Class E, | 1,880,000 | 1,876,804 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2015-C28, Class D, | 5,074,000 | 3,999,834 | ||||||||
Series 2015-C30, Class D, | 2,259,000 | 1,774,896 | ||||||||
JPMCC Commercial Mortgage Securities Trust, Series 2014-FRR1, Class B707, | 5,447,000 | 4,768,304 | ||||||||
LSTAR Commercial Mortgage Trust, Series 2015-3, Class D, 3.50%, 04/20/48 (b),(e),(g) | 3,073,000 | 2,443,342 | ||||||||
Merrill Lynch Mortgage Trust, Series 2007-C1, Class AM, 6.03%, 06/12/50 (g),(h) | 4,865,083 | 5,059,200 | ||||||||
ML-CFC Commercial Mortgage Trust, | ||||||||||
Series 2006-4, Class B, | 3,823,000 | 3,774,066 | ||||||||
Series 2006-4, Class C, | 508,000 | 405,130 | ||||||||
Series 2007-7, Class AM, | 4,857,182 | 5,039,812 | ||||||||
Series 2007-8, Class AMA, | 4,910,938 | 5,081,348 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2014-C19, Class D, | 2,748,000 | 2,175,866 | ||||||||
Series 2015-C21, Class D, | 6,557,000 | 5,507,224 | ||||||||
Series 2015-C23, Class D, | 2,195,000 | 1,836,337 | ||||||||
Morgan Stanley Capital I Trust, | ||||||||||
Series 2007-IQ14, Class AM, | 2,629,679 | 2,725,399 | ||||||||
Series 2007-IQ14, Class AMFX, | 842,537 | 873,879 | ||||||||
Series 2007-T25, Class AJ, | 1,300,000 | 1,322,490 | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||
Series 2005-C22, Class B, | 422,753 | 421,781 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2006-C25, Class D, | $ | 2,564,000 | $ | 2,575,282 | ||||||
Series 2006-C29, Class B, | 1,663,000 | 1,602,134 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2015-C27, Class D, | 3,470,000 | 2,758,650 | ||||||||
Series 2015-LC20, Class D, | 1,740,000 | 1,459,860 | ||||||||
Series 2015-NXS2, Class C, | 9,532,000 | 9,019,178 | ||||||||
|
| |||||||||
275,285,690 | ||||||||||
|
| |||||||||
Interest Only Commercial Mortgage-Backed Securities — 1.0% | ||||||||||
Citigroup Commercial Mortgage Trust, | 14,468,330 | 1,111,168 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2014-CR18, Class XA, | 10,473,613 | 739,437 | ||||||||
Series 2014-LC17, Class XA, | 1,989,056 | 108,801 | ||||||||
Series 2014-UBS4, Class XA, | 21,108,408 | 1,566,244 | ||||||||
Series 2014-UBS5, Class XA, | 4,107,040 | 252,583 | ||||||||
Series 2015-CR23, Class XA, | 12,506,747 | 807,936 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C1, Class XA, | 5,530,349 | 357,813 | ||||||||
Series 2015-C2, Class XA, | 41,630,180 | 2,506,137 | ||||||||
Series 2015-C3, Class XA, | 35,040,220 | 2,014,813 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2014-GC24, Class XA, | 14,218,311 | 777,742 | ||||||||
Series 2015-GC32, Class XA, | 24,487,752 | 1,486,406 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2014-C22, Class XA, | 2,807,671 | 176,041 | ||||||||
Series 2015-C30, Class XA, | 53,640,622 | 2,387,008 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2014-C17, Class XA, | $ | 3,634,731 | $ | 258,066 | ||||||
Series 2014-C19, Class XA, | 12,891,908 | 871,493 | ||||||||
Series 2015-C22, Class XA, | 40,357,211 | 3,095,398 | ||||||||
Series 2015-C23, Class XA, | 57,835,996 | 2,758,777 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2015-C28, Class XA, | 26,442,415 | 1,409,381 | ||||||||
Series 2015-C29, Class XA, | 124,624,423 | 6,580,169 | ||||||||
WFRBS Commercial Mortgage Trust, | 1,871,172 | 112,457 | ||||||||
|
| |||||||||
29,377,870 | ||||||||||
|
| |||||||||
Total United States | 497,452,134 | |||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 540,024,344 | |||||||||
|
| |||||||||
SOVEREIGN DEBT — 2.8% | ||||||||||
Argentina Boden Bonds, 7.00%, 10/03/15 (d) | 9,116,000 | 9,380,364 | ||||||||
Argentine Republic Government International Bond, | ||||||||||
06/02/17 (a),(i) | 4,035,817 | 4,055,996 | ||||||||
12/31/33 (a),(i) | 7,623,614 | EUR | 7,675,280 | |||||||
12/31/33 (a),(i) | $ | 8,029,472 | 8,169,987 | |||||||
Ecuador Government International Bond REG S, 10.50%, 03/24/20 | 2,385,000 | 1,788,750 | ||||||||
Hellenic Republic Government Bond REG S, | ||||||||||
3.00%, 02/24/23-02/24/42 (d),(g),(k) | 13,529,000 | 9,422,957 | ||||||||
3.38%, 07/17/17 (e) | 2,057,000 | EUR | 2,039,497 | |||||||
4.75%, 04/17/19 (e) | 4,183,000 | EUR | 4,068,597 | |||||||
Kazakhstan Government International Bond, | ||||||||||
MTN, 5.13%, 07/21/25 | $ | 5,111,000 | 4,920,360 | |||||||
MTN, 6.50%, 07/21/45 | 536,000 | 503,384 | ||||||||
Pakistan Government International Bond REG S, 6.75%, 12/03/19 | 2,207,000 | 2,253,747 | ||||||||
Perusahaan Penerbit SBSN Indonesia III REG S, 4.33%, 05/28/25 | 1,249,000 | 1,150,704 | ||||||||
Portugal Obrigacoes do Tesouro OT REG S, 4.10%, 02/15/45 (e) | 2,794,000 | EUR | 3,518,847 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Republic of Cyprus REG S, 3.88%, 05/06/22 | 7,534,000 | EUR | $ | 8,508,398 | ||||||
Republic of Iraq REG S, 5.80%, 01/15/28 | $ | 6,605,000 | 4,547,252 | |||||||
Republic of Venezuela REG S, 5.75%, 02/26/16 | 2,435,000 | 2,051,488 | ||||||||
Russian Federation REG S, 5.63%, 04/04/42 | 10,800,000 | 10,100,160 | ||||||||
|
| |||||||||
TOTAL SOVEREIGN DEBT | 84,155,768 | |||||||||
|
| |||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 0.4% | ||||||||||
United States — 0.4% | ||||||||||
Interest Only Collateralized Mortgage Obligations — 0.2% | ||||||||||
Federal Home Loan Mortgage Corp., Series 4123, Class IP, 4.50%, 07/15/42 (b) | 15,819,895 | 3,486,705 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2012-12, Class PI, 4.50%, 08/25/40 (b) | 5,745,078 | 957,704 | ||||||||
Series 2012-144, Class SD, | 4,455,561 | 1,123,247 | ||||||||
|
| |||||||||
5,567,656 | ||||||||||
|
| |||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.2% | ||||||||||
Federal Home Loan Mortgage Corp., Series 4132, Class ES, 5.94%, 11/15/42 (b),(g) | 8,512,142 | 1,907,571 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2012-111, Class ES, | 9,107,718 | 1,798,774 | ||||||||
Series 2012-55, Class ID, | 6,587,590 | 1,439,389 | ||||||||
Government National Mortgage Association, | ||||||||||
Series 2009-101, Class SB, | 936,610 | 164,469 | ||||||||
Series 2011-56, Class SI, | 825,352 | 160,283 | ||||||||
|
| |||||||||
5,470,486 | ||||||||||
|
| |||||||||
Total United States | 11,038,142 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES | 11,038,142 | |||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — 0.5% | ||||||||||
iShares Russell 2000 ETF | 3,227 | 352,388 | ||||||||
Powershares QQQ Trust Series 1 (d) | 36,562 | 3,720,549 | ||||||||
SPDR S&P 500 ETF Trust (b) | 60,131 | 11,522,904 | ||||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUND | 15,595,841 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Contracts | Value | ||||||||
PURCHASED OPTIONS — 0.8% | ||||||||||
Exchange-Traded Call Options — 0.0% | ||||||||||
Apple, Inc. Strike Price 120.00 USD Expires 10/16/15 | 1,334 | $ | 21,344 | |||||||
Atos Strike Price 72.00 EUR Expires 12/18/15 | 154 | 33,986 | ||||||||
Comcast Corp. Strike Price 60.00 USD Expires 11/20/15 | 1,851 | 183,249 | ||||||||
Comerica, Inc. Strike Price 50.00 USD Expires 01/15/16 | 585 | 49,725 | ||||||||
iShares Russell 2000 ETF Strike Price 110.50 USD Expires 10/02/15 | 877 | 34,203 | ||||||||
iShares US Real Estate Strike Price 74.00 USD Expires 10/02/15 | 1,737 | 6,948 | ||||||||
Liberty Global PLC Strike Price 62.50 USD Expires 01/15/16 | 460 | 18,400 | ||||||||
Liberty Global PLC Strike Price 60.00 USD Expires 01/15/16 | 790 | 15,800 | ||||||||
Liberty Global PLC Strike Price 52.50 USD Expires 01/15/16 | 116 | 8,990 | ||||||||
Liberty Global PLC Strike Price 55.00 USD Expires 01/15/16 | 294 | 11,025 | ||||||||
Liberty Global PLC Strike Price 57.50 USD Expires 01/15/16 | 322 | 9,660 | ||||||||
Nokia Oyj Strike Price 7.00 EUR Expires 10/16/15 | 1,217 | 4,080 | ||||||||
Nokia Oyj Strike Price 6.80 EUR Expires 10/16/15 | 1,217 | 4,759 | ||||||||
Nokia Oyj Strike Price 6.60 EUR Expires 10/16/15 | 1,345 | 9,017 | ||||||||
Nokia Oyj Strike Price 6.20 EUR Expires 12/18/15 | 1,528 | 78,540 | ||||||||
Nokia Oyj Strike Price 6.20 EUR Expires 11/20/15 | 1,528 | 64,027 | ||||||||
Nokia Oyj Strike Price 6.40 EUR Expires 11/20/15 | 1,522 | 50,170 | ||||||||
Nokia Oyj Strike Price 6.40 EUR Expires 10/16/15 | 1,522 | 15,306 | ||||||||
S&P 500 Index Strike Price 2,000.00 USD Expires 10/16/15 | 40 | 14,800 | ||||||||
S&P 500 Index Strike Price 1,930.00 USD Expires 10/02/15 | 116 | 100,920 | ||||||||
S&P 500 Index Strike Price 1,930.00 USD Expires 10/30/15 | 57 | 210,330 | ||||||||
SAP SE Strike Price 62.00 EUR Expires 10/16/15 | 136 | 1,747 | ||||||||
SAP SE Strike Price 60.00 EUR Expires 11/20/15 | 154 | 27,361 | ||||||||
SAP SE Strike Price 62.00 EUR Expires 11/20/15 | 154 | 14,541 | ||||||||
SAP SE Strike Price 64.00 EUR Expires 10/16/15 | 136 | 760 | ||||||||
Smith & Nephew PLC Strike Price 12.00 GBP Expires 12/18/15 | 116 | 76,333 | ||||||||
Vodafone Group PLC Strike Price 2.50 GBP Expires 10/16/15 | 2,242 | 8,479 | ||||||||
Vodafone Group PLC Strike Price 2.40 GBP Expires 11/20/15 | 897 | 37,316 | ||||||||
|
| |||||||||
1,111,816 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Contracts | Value | ||||||||
Exchange-Traded Put Options — 0.7% | ||||||||||
ABB Ltd. Strike Price 17.50 CHF Expires 10/16/15 | 526 | $ | 28,605 | |||||||
Allergan PLC Strike Price 240.00 USD Expires 10/16/15 | 85 | 18,700 | ||||||||
Dax Index Strike Price 10,200.00 EUR Expires 10/16/15 | 52 | 159,788 | ||||||||
Euro Stoxx 50 Index Strike Price 3,600.00 EUR Expires 10/16/15 | 62 | 347,502 | ||||||||
Euro Stoxx 50 Index Strike Price 3,100.00 EUR Expires 10/16/15 | 147 | 129,435 | ||||||||
Euro Stoxx 50 Index Strike Price 2,925.00 EUR Expires 11/20/15 | 75 | 55,898 | ||||||||
Euro Stoxx 50 Index Strike Price 3,050.00 EUR Expires 11/20/15 | 75 | 92,604 | ||||||||
Euro Stoxx 50 Index Strike Price 3,175.00 EUR Expires 11/20/15 | 46 | 85,376 | ||||||||
Financial Select Sector SPDR Strike Price 21.50 USD Expires 10/30/15 | 5,362 | 150,136 | ||||||||
Financial Select Sector SPDR Strike Price 22.00 USD Expires 10/30/15 | 4,022 | 160,880 | ||||||||
FTSE 100 Index Strike Price 5,900.00 GBP Expires 10/16/15 | 63 | 66,236 | ||||||||
FTSE 100 Index Strike Price 6,200.00 GBP Expires 11/20/15 | 51 | 231,451 | ||||||||
Heineken NV Strike Price 72.00 EUR Expires 12/18/15 | 153 | 59,922 | ||||||||
iShares Russell 2000 ETF Strike Price 112.00 USD Expires 01/15/16 | 808 | 577,720 | ||||||||
iShares Russell 2000 ETF Strike Price 110.00 USD Expires 10/16/15 | 470 | 118,910 | ||||||||
iShares Russell 2000 ETF Strike Price 105.00 USD Expires 10/16/15 | 943 | 82,984 | ||||||||
Powershares QQQ Trust Series 1 Strike Price 106.50 USD Expires 10/02/15 | 954 | 465,552 | ||||||||
S&P 500 Index Strike Price 1,900.00 USD Expires 10/16/15 | 488 | 1,505,480 | ||||||||
S&P 500 Index Strike Price 2,025.00 USD Expires 10/02/15 | 948 | 10,271,740 | ||||||||
S&P 500 Index Strike Price 1,800.00 USD Expires 10/16/15 | 491 | 355,975 | ||||||||
S&P 500 Index Strike Price 1,820.00 USD Expires 10/16/15 | 64 | 71,040 | ||||||||
S&P 500 Index Strike Price 1,840.00 USD Expires 10/16/15 | 172 | 221,880 | ||||||||
S&P 500 Index Strike Price 1,850.00 USD Expires 10/16/15 | 130 | 223,600 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Contracts | Value | ||||||||
S&P 500 Index Strike Price 1,910.00 USD Expires 10/30/15 | 659 | $ | 3,044,580 | |||||||
Shire PLC Strike Price 230.00 USD Expires 10/16/15 | 110 | 278,300 | ||||||||
SPDR S&P 500 ETF Trust Strike Price 180.00 USD Expires 11/20/15 | 1,572 | 433,872 | ||||||||
SPDR S&P 500 ETF Trust Strike Price 180.00 USD Expires 10/02/15 | 2,883 | 5,766 | ||||||||
SPDR S&P 500 ETF Trust Strike Price 188.00 USD Expires 10/09/15 | 943 | 170,683 | ||||||||
SPDR S&P 500 ETF Trust Strike Price 192.00 USD Expires 10/16/15 | 468 | 189,540 | ||||||||
|
| |||||||||
19,604,155 | ||||||||||
|
| |||||||||
OTC Call Options — 0.0% | ||||||||||
Mallinckrodt PLC Strike Price 80.00 USD Expires 01/15/16 Counterparty Morgan Stanley & Co. International plc | 75,600 | 112,776 | ||||||||
|
| |||||||||
OTC Put Options — 0.1% | ||||||||||
Financial Select Sector SPDR Fund Strike Price 23 USD Expires 01/13/16 Counterparty Morgan Stanley & Co. International plc | 616,800 | 618,735 | ||||||||
iShares NASDAQ Biotechnology ETF (U.S.) Strike Price 285 USD Expires 10/16/15 Counterparty Morgan Stanley & Co. International plc | 47,600 | 248,625 | ||||||||
iShares PHLX Semiconductor ETF (U.S ) Strike Price 87 USD Expires 01/20/17 Counterparty Morgan Stanley & Co. International plc | 22,600 | 297,300 | ||||||||
iShares PHLX Semiconductor ETF (U.S ) Strike Price 87 USD Expires 01/20/17 Counterparty Credit Suisse International | 19,500 | 256,519 | ||||||||
KOSPI 200 Index 171 KRW Expires 01/12/17 Counterparty JPMorgan Chase Bank, N.A. | 19,093,472 | 51,412 | ||||||||
SX5E Index 2,429 EUR Expires 01/20/17 Counterparty Credit Suisse International | 286 | 40,990 | ||||||||
SX5E Index 2,399 EUR Expires 01/20/17 Counterparty JPMorgan Chase Bank, N.A. | 293 | 39,896 | ||||||||
|
| |||||||||
1,553,477 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS |
| 22,382,224 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
SHORT TERM INVESTMENT — MONEY MARKET FUND — 11.0% | ||||||||||
State Street Institutional Liquid Reserves Fund, 0.13%, 12/31/49 (b),(l) | 325,027,869 | $ | 325,027,869 | |||||||
|
| |||||||||
TOTAL SHORT TERM INVESTMENT — MONEY MARKET FUND | 325,027,869 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES — 84.5% |
| 2,493,537,230 | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (22.8)% | (672,221,250 | ) | ||||||||
|
| |||||||||
Other Assets (n) — 38.3% | 1,128,205,557 | |||||||||
|
| |||||||||
Net Assets — 100.0% | $ | 2,949,521,537 | ||||||||
|
|
* | As of September 30, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows: |
Tax Cost | $ | 2,623,466,810 | ||||||
|
| |||||||
Gross unrealized appreciation | $ | 22,543,085 | ||||||
Gross unrealized depreciation | (152,472,665 | ) | ||||||
|
| |||||||
Net unrealized depreciation | $ | (129,929,580 | ) | |||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments
September 30, 2015 (Unaudited) (Continued)
Security Description | Shares | Value | ||||||||
SECURITIES SOLD SHORT — (22.8)% | ||||||||||
COMMON STOCK — (18.5)% | ||||||||||
Argentina — (0.0)% | ||||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Arcos Dorados Holdings, Inc. A Shares | 8,500 | $ | (23,120 | ) | ||||||
|
| |||||||||
Total Argentina | (23,120 | ) | ||||||||
|
| |||||||||
Bahamas — (0.0)% | ||||||||||
Recreation Facilities & Services — (0.0)% | ||||||||||
Steiner Leisure Ltd. | 400 | (25,272 | ) | |||||||
|
| |||||||||
Total Bahamas | (25,272 | ) | ||||||||
|
| |||||||||
Belgium — (0.0)% | ||||||||||
Software — (0.0)% | ||||||||||
Materialise NV ADR | 1,800 | (13,842 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Euronav SA | 100 | (1,390 | ) | |||||||
|
| |||||||||
Total Belgium | (15,232 | ) | ||||||||
|
| |||||||||
Bermuda — (0.1)% | ||||||||||
Insurance — (0.0)% | ||||||||||
RenaissanceRe Holdings Ltd. | 9,200 | (978,144 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Golar LNG Ltd. | 47,500 | (1,324,300 | ) | |||||||
Teekay Corp. | 4,400 | (130,416 | ) | |||||||
Teekay Tankers Ltd. Class A | 7,100 | (48,990 | ) | |||||||
|
| |||||||||
(1,503,706 | ) | |||||||||
|
| |||||||||
Total Bermuda | (2,481,850 | ) | ||||||||
|
| |||||||||
Brazil — (0.1)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Bradesco SA ADR | 42,500 | (227,800 | ) | |||||||
Banco Santander Brasil SA ADR | 2,200 | (6,930 | ) | |||||||
Itau Unibanco Holding SA ADR | 2,700 | (17,874 | ) | |||||||
|
| |||||||||
(252,604 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Braskem SA ADR | 4,900 | (41,307 | ) | |||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
AMBEV SA ADR | 600 | (2,940 | ) | |||||||
BRF SA ADR | 25,200 | (448,308 | ) | |||||||
|
| |||||||||
(451,248 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Forest & Paper Products — (0.0)% | ||||||||||
Fibria Celulose SA ADR | 3,100 | $ | (42,036 | ) | ||||||
|
| |||||||||
Home & Office Products — (0.0)% | ||||||||||
Gafisa SA ADR | 1,200 | (1,160 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.1)% | ||||||||||
Cia Siderurgica Nacional SA ADR | 95,100 | (91,134 | ) | |||||||
Gerdau SA ADR | 7,800 | (10,686 | ) | |||||||
Vale SA ADR | 432,500 | (1,816,500 | ) | |||||||
|
| |||||||||
(1,918,320 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Cosan Ltd. A Shares | 2,000 | (5,780 | ) | |||||||
Petroleo Brasileiro SA ADR | 147,600 | (642,060 | ) | |||||||
|
| |||||||||
(647,840 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Gol Linhas Aereas Inteligentes SA ADR | 74,200 | (72,293 | ) | |||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
Oi SA ADR | 145,140 | (98,115 | ) | |||||||
Tim Participacoes SA ADR | 2,700 | (25,515 | ) | |||||||
|
| |||||||||
(123,630 | ) | |||||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Centrais Eletricas Brasileiras SA ADR | 1,300 | (1,677 | ) | |||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR | 3,100 | (12,028 | ) | |||||||
Cia Paranaense de Energia ADR | 3,000 | (24,630 | ) | |||||||
CPFL Energia SA ADR | 600 | (4,500 | ) | |||||||
|
| |||||||||
(42,835 | ) | |||||||||
|
| |||||||||
Total Brazil |
| (3,593,273 | ) | |||||||
|
| |||||||||
Canada — (0.9)% | ||||||||||
Apparel & Textile Products — (0.0)% | ||||||||||
Gildan Activewear, Inc. | 23,100 | (696,696 | ) | |||||||
|
| |||||||||
Automotive — (0.0)% | ||||||||||
Westport Innovations, Inc. | 12,200 | (30,378 | ) | |||||||
|
| |||||||||
Banking — (0.2)% | ||||||||||
Bank of Montreal | 200 | (10,910 | ) | |||||||
Bank of Nova Scotia | 14,700 | (647,976 | ) | |||||||
Canadian Imperial Bank of Commerce | 12,100 | (870,716 | ) | |||||||
Royal Bank of Canada | 34,000 | (1,878,500 | ) | |||||||
Toronto-Dominion Bank | 62,100 | (2,447,982 | ) | |||||||
|
| |||||||||
(5,856,084 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
191
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Arbutus Biopharma Corp. | 33,800 | $ | (205,842 | ) | ||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Agrium, Inc. | 2,000 | (179,000 | ) | |||||||
BioAmber, Inc. | 500 | (2,675 | ) | |||||||
Methanex Corp. | 4,200 | (139,272 | ) | |||||||
|
| |||||||||
(320,947 | ) | |||||||||
|
| |||||||||
Design Manufacturing & Distribution — (0.0)% | ||||||||||
Celestica, Inc. | 400 | (5,156 | ) | |||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
Stantec, Inc. | 100 | (2,190 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Restaurant Brands International, Inc. | 1,079 | (38,758 | ) | |||||||
|
| |||||||||
Hardware — (0.1)% | ||||||||||
Blackberry Ltd. (b) | 271,700 | (1,665,521 | ) | |||||||
Sierra Wireless, Inc. | 4,200 | (88,872 | ) | |||||||
|
| |||||||||
(1,754,393 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
Ritchie Bros Auctioneers, Inc. | 19,700 | (509,836 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Manulife Financial Corp. | 11,500 | (178,020 | ) | |||||||
Sun Life Financial, Inc. | 10,300 | (332,278 | ) | |||||||
|
| |||||||||
(510,298 | ) | |||||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Shaw Communications, Inc. B Shares | 200 | (3,880 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
Alpha Pro Tech Ltd. | 200 | (398 | ) | |||||||
Novadaq Technologies, Inc. | 2,200 | (22,946 | ) | |||||||
|
| |||||||||
(23,344 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.3)% | ||||||||||
Agnico Eagle Mines Ltd. | 49,200 | (1,245,744 | ) | |||||||
B2GOLD Corp. | 2,700 | (2,835 | ) | |||||||
Barrick Gold Corp. | 134,300 | (854,148 | ) | |||||||
Cameco Corp. | 2,100 | (25,557 | ) | |||||||
Eldorado Gold Corp. | 5,400 | (17,388 | ) | |||||||
Endeavour Silver Corp. | 9,700 | (15,035 | ) | |||||||
First Majestic Silver Corp. | 22,400 | (71,680 | ) | |||||||
Franco-Nevada Corp. | 7,500 | (330,150 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Goldcorp, Inc. | 249,600 | $ | (3,124,992 | ) | ||||||
IAMGOLD Corp. | 10,300 | (16,789 | ) | |||||||
New Gold, Inc. | 7,300 | (16,571 | ) | |||||||
NOVAGOLD Resources, Inc. | 29,400 | (106,134 | ) | |||||||
Pan American Silver Corp. | 92,600 | (588,010 | ) | |||||||
Pretium Resources, Inc. | 1,700 | (10,285 | ) | |||||||
Primero Mining Corp. | 8,900 | (20,737 | ) | |||||||
Rubicon Minerals Corp. | 1,100 | (825 | ) | |||||||
Sandstorm Gold Ltd. | 500 | (1,335 | ) | |||||||
Seabridge Gold, Inc. | 22,800 | (132,240 | ) | |||||||
Silver Wheaton Corp. | 3,600 | (43,236 | ) | |||||||
Teck Resources Ltd. | 1,300 | (6,240 | ) | |||||||
Turquoise Hill Resources Ltd. | 19,400 | (49,470 | ) | |||||||
Yamana Gold, Inc. | 59,700 | (101,490 | ) | |||||||
|
| |||||||||
(6,780,891 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.1)% | ||||||||||
Baytex Energy Corp. | 41,400 | (132,480 | ) | |||||||
Bellatrix Exploration Ltd. | 3,100 | (4,712 | ) | |||||||
Cenovus Energy, Inc. | 35,800 | (542,728 | ) | |||||||
Crescent Point Energy Corp. | 8,900 | (101,727 | ) | |||||||
Encana Corp. | 105,000 | (676,200 | ) | |||||||
Enerplus Corp. | 57,500 | (279,450 | ) | |||||||
Imperial Oil Ltd. | 4,300 | (135,923 | ) | |||||||
Pembina Pipeline Corp. | 15,000 | (360,150 | ) | |||||||
Pengrowth Energy Corp. | 44,500 | (38,270 | ) | |||||||
Penn West Petroleum Ltd. | 19,700 | (8,869 | ) | |||||||
Precision Drilling Corp. | 50,600 | (188,232 | ) | |||||||
Suncor Energy, Inc. | 3,600 | (96,192 | ) | |||||||
TransCanada Corp. | 14,900 | (470,542 | ) | |||||||
Vermilion Energy, Inc. | 2,600 | (83,590 | ) | |||||||
|
| |||||||||
(3,119,065 | ) | |||||||||
|
| |||||||||
Real Estate — (0.0)% | ||||||||||
Brookfield Asset Management, Inc. Class A | 17,750 | (558,060 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Ballard Power Systems, Inc. | 24,000 | (28,800 | ) | |||||||
Hydrogenics Corp. | 200 | (1,612 | ) | |||||||
|
| |||||||||
(30,412 | ) | |||||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
Open Text Corp. | 10,200 | (456,450 | ) | |||||||
Sphere 3D Corp. | 100 | (211 | ) | |||||||
|
| |||||||||
(456,661 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
193
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Technology Services — (0.0)% | ||||||||||
CGI Group, Inc. Class A | 8,200 | $ | (296,922 | ) | ||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
BCE, Inc. | 800 | (32,768 | ) | |||||||
Rogers Communications, Inc. B Shares | 30,800 | (1,061,984 | ) | |||||||
TELUS Corp. | 7,400 | (233,396 | ) | |||||||
|
| |||||||||
(1,328,148 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Canadian National Railway Co. | 65,600 | (3,723,456 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Just Energy Group, Inc. | 1,200 | (7,392 | ) | |||||||
TransAlta Corp. | 2,000 | (9,300 | ) | |||||||
|
| |||||||||
(16,692 | ) | |||||||||
|
| |||||||||
Waste & Environmental Service Equipment & Facility — (0.0)% | ||||||||||
Denison Mines Corp. | 300 | (117 | ) | |||||||
Progressive Waste Solutions Ltd. | 2,700 | (71,334 | ) | |||||||
|
| |||||||||
(71,451 | ) | |||||||||
|
| |||||||||
Total Canada | (26,339,560 | ) | ||||||||
|
| |||||||||
Cayman Islands — (0.0)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Theravance Biopharma, Inc. | 4,700 | (51,653 | ) | |||||||
|
| |||||||||
Total Cayman Islands | (51,653 | ) | ||||||||
|
| |||||||||
Chile — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Santander Chile ADR | 1,800 | (32,796 | ) | |||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Latam Airlines Group SA ADR | 58,200 | (284,016 | ) | |||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||
Cencosud SA ADR | 300 | (1,752 | ) | |||||||
|
| |||||||||
Total Chile | (318,564 | ) | ||||||||
|
| |||||||||
China — (0.7)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Kandi Technologies Group, Inc. | 20,600 | (108,150 | ) | |||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Tarena International, Inc. ADR | 600 | (5,688 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
194
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
500.com Ltd. Class A ADR | 22,200 | $ | (360,084 | ) | ||||||
|
| |||||||||
Health Care Facilities/Services — (0.0)% | ||||||||||
iKang Healthcare Group, Inc. ADR | 2,700 | (39,960 | ) | |||||||
|
| |||||||||
Media — (0.3)% | ||||||||||
58.com, Inc. ADR | 6,500 | (305,825 | ) | |||||||
Autohome, Inc. ADR | 300 | (9,759 | ) | |||||||
Baidu, Inc. ADR | 3,400 | (467,194 | ) | |||||||
Ctrip.com International Ltd. ADR (b) | 1,470 | (92,875 | ) | |||||||
Leju Holdings Ltd. ADR | 2,300 | (12,857 | ) | |||||||
Qihoo 360 Technology Co. Ltd. ADR | 74,200 | (3,548,986 | ) | |||||||
Qunar Cayman Islands Ltd. ADR | 15,800 | (475,106 | ) | |||||||
Renren, Inc. ADR | 700 | (2,170 | ) | |||||||
SINA Corp. | 300 | (12,036 | ) | |||||||
SouFun Holdings Ltd. ADR | 244,900 | (1,616,340 | ) | |||||||
Weibo Corp. ADR | 11,500 | (134,435 | ) | |||||||
Youku Tudou, Inc. ADR | 86,700 | (1,528,521 | ) | |||||||
|
| |||||||||
(8,206,104 | ) | |||||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
Mindray Medical International Ltd. ADR | 600 | (13,122 | ) | |||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
China Petroleum & Chemical Corp. ADR | 300 | (18,462 | ) | |||||||
PetroChina Co. Ltd. ADR | 1,400 | (97,580 | ) | |||||||
Yanzhou Coal Mining Co. Ltd. ADR | 600 | (2,652 | ) | |||||||
|
| |||||||||
(118,694 | ) | |||||||||
|
| |||||||||
Real Estate — (0.0)% | ||||||||||
E-House China Holdings Ltd. ADR | 9,800 | (58,212 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
JA Solar Holdings Co. Ltd. ADR | 6,200 | (48,360 | ) | |||||||
JinkoSolar Holding Co. Ltd. ADR | 27,900 | (612,126 | ) | |||||||
ReneSola Ltd. ADR | 12,900 | (12,539 | ) | |||||||
Trina Solar Ltd. ADR | 300 | (2,691 | ) | |||||||
Yingli Green Energy Holding Co. Ltd. ADR | 66,800 | (27,274 | ) | |||||||
|
| |||||||||
(702,990 | ) | |||||||||
|
| |||||||||
Retail Discretionary — (0.3)% | ||||||||||
Alibaba Group Holding Ltd. ADR | 100,300 | (5,914,691 | ) | |||||||
E-Commerce China Dangdang, Inc. A Shares ADR | 20,600 | (122,982 | ) | |||||||
JD.com, Inc. ADR | 107,700 | (2,806,662 | ) |
See Notes to Consolidated Financial Statements.
195
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Jumei International Holding Ltd. ADR | 1,700 | $ | (16,779 | ) | ||||||
LightInTheBox Holding Co. Ltd. ADR | 1,000 | (2,780 | ) | |||||||
|
| |||||||||
(8,863,894 | ) | |||||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
iDreamsky Technology Ltd. ADR | 2,400 | (24,240 | ) | |||||||
Momo, Inc. ADR | 3,200 | (40,000 | ) | |||||||
NQ Mobile, Inc. ADR | 56,800 | (188,008 | ) | |||||||
|
| |||||||||
(252,248 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
21Vianet Group, Inc. ADR | 37,300 | (681,844 | ) | |||||||
China Mobile Ltd. ADR | 400 | (23,800 | ) | |||||||
|
| |||||||||
(705,644 | ) | |||||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Huaneng Power International, Inc. ADR | 300 | (12,690 | ) | |||||||
|
| |||||||||
Total China |
| (19,447,480 | ) | |||||||
|
| |||||||||
Colombia — (0.0)% | ||||||||||
Asset Management — (0.0)% | ||||||||||
Grupo Aval Acciones y Valores SA ADR | 5,000 | (38,300 | ) | |||||||
|
| |||||||||
Banking — (0.0)% | ||||||||||
Bancolombia SA ADR | 25,800 | (830,760 | ) | |||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Ecopetrol SA ADR | 1,300 | (11,180 | ) | |||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Avianca Holdings SA ADR | 12,800 | (60,672 | ) | |||||||
|
| |||||||||
Total Colombia |
| (940,912 | ) | |||||||
|
| |||||||||
Denmark — (0.1)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.1)% | ||||||||||
Novo Nordisk A/S ADR | 400 | (21,696 | ) | |||||||
Novo Nordisk A/S B Shares (b) | 51,210 | (2,763,525 | ) | |||||||
|
| |||||||||
Total Denmark |
| (2,785,221 | ) | |||||||
|
| |||||||||
Finland — (0.0)% | ||||||||||
Hardware — (0.0)% | ||||||||||
Nokia Oyj ADR | 7,400 | (50,172 | ) | |||||||
|
| |||||||||
Total Finland | (50,172 | ) | ||||||||
|
| |||||||||
Germany — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
Deutsche Bank AG | 103,900 | (2,801,144 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
196
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Hardware — (0.0)% | ||||||||||
voxeljet AG ADR | 7,300 | $ | (32,996 | ) | ||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
Aixtron SE ADR | 100 | (606 | ) | |||||||
|
| |||||||||
Total Germany | (2,834,746 | ) | ||||||||
|
| |||||||||
Greece — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
National Bank of Greece SA ADR | 100 | (46 | ) | |||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
DryShips, Inc. | 14,600 | (2,464 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Diana Containerships, Inc. | 200 | (248 | ) | |||||||
Star Bulk Carriers Corp. | 10,300 | (21,115 | ) | |||||||
|
| |||||||||
(21,363 | ) | |||||||||
|
| |||||||||
Total Greece | (23,873 | ) | ||||||||
|
| |||||||||
Hong Kong — ((0.1))% | ||||||||||
Gaming, Lodging & Restaurants — (0.1)% | ||||||||||
Melco Crown Entertainment Ltd. ADR | 170,400 | (2,344,704 | ) | |||||||
|
| |||||||||
Total Hong Kong | (2,344,704 | ) | ||||||||
|
| |||||||||
India — (0.1)% | ||||||||||
Banking — (0.1)% | ||||||||||
HDFC Bank Ltd. ADR | 17,900 | (1,093,511 | ) | |||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Dr Reddy’s Laboratories Ltd. ADR | 1,200 | (76,692 | ) | |||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
MakeMyTrip Ltd. | 4,000 | (55,000 | ) | |||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Infosys Ltd. ADR | 8,500 | (162,265 | ) | |||||||
Wipro Ltd. ADR | 4,600 | (56,534 | ) | |||||||
|
| |||||||||
(218,799 | ) | |||||||||
|
| |||||||||
Total India | (1,444,002 | ) | ||||||||
|
| |||||||||
Ireland — (0.0)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Amarin Corp. PLC ADR | 18,800 | (36,284 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
197
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Ardmore Shipping Corp. | 100 | $ | (1,208 | ) | ||||||
|
| |||||||||
Total Ireland | (37,492 | ) | ||||||||
|
| |||||||||
Israel — (0.0)% | ||||||||||
Aerospace & Defense — (0.0)% | ||||||||||
RADA Electronic Industries Ltd. | 4,100 | (3,013 | ) | |||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Alcobra Ltd. | 3,700 | (22,348 | ) | |||||||
Foamix Pharmaceuticals Ltd. | 500 | (3,665 | ) | |||||||
Oramed Pharmaceuticals, Inc. | 900 | (4,923 | ) | |||||||
|
| |||||||||
(30,936 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Israel Chemicals Ltd. | 1,200 | (6,144 | ) | |||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
SodaStream International Ltd. (b) | 19,530 | (268,733 | ) | |||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
SuperCom Ltd. | 200 | (1,600 | ) | |||||||
|
| |||||||||
Home & Office Products — (0.0)% | ||||||||||
Caesarstone Sdot-Yam Ltd. | 600 | (18,240 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
ReWalk Robotics Ltd. | 400 | (3,048 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
Tower Semiconductor Ltd. | 3,600 | (46,332 | ) | |||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
CyberArk Software Ltd. (b) | 1,685 | (84,486 | ) | |||||||
|
| |||||||||
Total Israel | (462,532 | ) | ||||||||
|
| |||||||||
Japan — (0.0)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Honda Motor Co. Ltd. ADR | 300 | (8,970 | ) | |||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
Canon, Inc. ADR | 3,500 | (101,395 | ) | |||||||
Sony Corp. ADR | 15,600 | (382,200 | ) | |||||||
|
| |||||||||
(483,595 | ) | |||||||||
|
| |||||||||
Institutional Financial Service — (0.0)% | ||||||||||
Nomura Holdings, Inc. ADR | 200 | (1,164 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
198
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Telecommunications — (0.0)% | ||||||||||
NTT Docomo, Inc. ADR | 5,900 | $ | (99,592 | ) | ||||||
|
| |||||||||
Total Japan | (593,321 | ) | ||||||||
|
| |||||||||
Jersey — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
Randgold Resources Ltd. ADR | 1,800 | (106,362 | ) | |||||||
|
| |||||||||
Total Jersey | (106,362 | ) | ||||||||
|
| |||||||||
Monaco — (0.1)% | ||||||||||
Transportation & Logistics — (0.1)% | ||||||||||
GasLog Ltd. | 62,700 | (603,174 | ) | |||||||
Navios Maritime Holdings, Inc. | 15,400 | (38,346 | ) | |||||||
Scorpio Tankers, Inc. | 85,500 | (784,035 | ) | |||||||
|
| |||||||||
(1,425,555 | ) | |||||||||
|
| |||||||||
Total Monaco | (1,425,555 | ) | ||||||||
|
| |||||||||
Netherlands — (0.3)% | ||||||||||
Banking — (0.0)% | ||||||||||
ING Groep NV ADR | 12,200 | (172,386 | ) | |||||||
|
| |||||||||
Commercial Services — (0.0)% | ||||||||||
Cimpress NV | 900 | (68,499 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Constellium NV Class A | 7,500 | (45,450 | ) | |||||||
|
| |||||||||
Retail Discretionary — (0.0)% | ||||||||||
Cnova NV | 3,700 | (11,174 | ) | |||||||
|
| |||||||||
Specialty Finance — (0.3)% | ||||||||||
AerCap Holdings NV | 195,700 | (7,483,568 | ) | |||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
VimpelCom Ltd. ADR | 77,400 | (318,501 | ) | |||||||
|
| |||||||||
Total Netherlands | (8,099,578 | ) | ||||||||
|
| |||||||||
Norway — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
North Atlantic Drilling Ltd. | 8,900 | (6,853 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Frontline Ltd. | 60,500 | (162,745 | ) | |||||||
Golden Ocean Group Ltd. | 12,800 | (31,488 | ) | |||||||
Nordic American Offshore Ltd. | 2,000 | (12,000 | ) | |||||||
|
| |||||||||
(206,233 | ) | |||||||||
|
| |||||||||
Total Norway | (213,086 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Panama — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Latinoamericano de Comercio Exterior SA E Shares | 1,500 | $ | (34,725 | ) | ||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Copa Holdings SA Class A | 9,500 | (398,335 | ) | |||||||
|
| |||||||||
(433,060 | ) | |||||||||
|
| |||||||||
Peru — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
Southern Copper Corp. | 24,100 | (643,952 | ) | |||||||
|
| |||||||||
Total Peru | (643,952 | ) | ||||||||
|
| |||||||||
Philippines — (0.0)% | ||||||||||
Telecommunications — (0.0)% | ||||||||||
Philippine Long Distance Telephone Co. ADR | 500 | (23,080 | ) | |||||||
|
| |||||||||
Total Philippines | (23,080 | ) | ||||||||
|
| |||||||||
Republic of Korea — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
KB Financial Group, Inc. ADR | 1,300 | (38,207 | ) | |||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
POSCO ADR | 900 | (31,518 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
Magnachip Semiconductor Corp. | 500 | (3,295 | ) | |||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
KT Corp. ADR | 11,200 | (146,384 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Korea Electric Power Corp. ADR | 9,900 | (202,851 | ) | |||||||
|
| |||||||||
Total Republic of Korea | (422,255 | ) | ||||||||
|
| |||||||||
Singapore — (0.0)% | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
InterOil Corp. | 400 | (13,484 | ) | |||||||
|
| |||||||||
Total Singapore | (13,484 | ) | ||||||||
|
| |||||||||
South Africa — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
AngloGold Ashanti Ltd. ADR | 9,600 | (78,624 | ) | |||||||
|
| |||||||||
Total South Africa | (78,624 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Spain — (0.0)% | ||||||||||
Banking — (0.0)% | ||||||||||
Banco Bilbao Vizcaya Argentaria SA ADR | 1,800 | $ | (15,066 | ) | ||||||
Banco Santander SA ADR | 17,068 | (90,119 | ) | |||||||
|
| |||||||||
(105,185 | ) | |||||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Abengoa Yield PLC | 29,000 | (479,950 | ) | |||||||
|
| |||||||||
Total Spain | (585,135 | ) | ||||||||
|
| |||||||||
Sweden — (0.0)% | ||||||||||
Hardware — (0.0)% | ||||||||||
Telefonaktiebolaget LM Ericsson ADR | 400 | (3,912 | ) | |||||||
|
| |||||||||
Total Sweden | (3,912 | ) | ||||||||
|
| |||||||||
Switzerland — (0.1)% | ||||||||||
Biotechnology & Pharmaceuticals — (0.1)% | ||||||||||
Novartis AG (b) | 16,540 | (1,520,222 | ) | |||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Syngenta AG ADR | 700 | (44,646 | ) | |||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
Logitech International SA | 100 | (1,311 | ) | |||||||
|
| |||||||||
Institutional Financial Service — (0.0)% | ||||||||||
Credit Suisse Group AG ADR | 59,583 | (1,431,780 | ) | |||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||
Galenica AG (b) | 820 | (1,044,807 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
STMicroelectronics NV | 100 | (682 | ) | |||||||
|
| |||||||||
Total Switzerland | (4,043,448 | ) | ||||||||
|
| |||||||||
Taiwan — (0.0)% | ||||||||||
Semiconductors — (0.0)% | ||||||||||
Himax Technologies, Inc. ADR | 6,200 | (49,414 | ) | |||||||
|
| |||||||||
Total Taiwan |
| (49,414 | ) | |||||||
|
| |||||||||
Turkey — (0.0)% | ||||||||||
Telecommunications — (0.0)% | ||||||||||
Turkcell Iletisim Hizmetleri AS ADR | 200 | (1,736 | ) | |||||||
|
| |||||||||
Total Turkey | (1,736 | ) | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
United Kingdom — (0.1)% | ||||||||||
Automotive — (0.0)% | ||||||||||
Fiat Chrysler Automobiles NV | 1,600 | $ | (21,136 | ) | ||||||
|
| |||||||||
Banking — (0.0)% | ||||||||||
Barclays PLC ADR | 48,904 | (722,801 | ) | |||||||
HSBC Holdings PLC ADR | 1,200 | (45,456 | ) | |||||||
Royal Bank of Scotland Group PLC ADR | 10,000 | (95,400 | ) | |||||||
|
| |||||||||
(863,657 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
AstraZeneca PLC ADR (b) | 12,165 | (387,090 | ) | |||||||
|
| |||||||||
Machinery — (0.1)% | ||||||||||
CNH Industrial NV | 1,800 | (11,736 | ) | |||||||
Pentair PLC | 23,000 | (1,173,920 | ) | |||||||
|
| |||||||||
(1,185,656 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Seadrill Ltd. | 10,900 | (64,310 | ) | |||||||
|
| |||||||||
Semiconductors — (0.0)% | ||||||||||
ARM Holdings PLC ADR | 11,400 | (493,050 | ) | |||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
RELX NV ADR | 200 | (3,292 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Navigator Holdings Ltd. | 1,100 | (14,685 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
National Grid PLC ADR | 601 | (41,848 | ) | |||||||
|
| |||||||||
Total United Kingdom | (3,074,724 | ) | ||||||||
|
| |||||||||
United States — (15.7)% | ||||||||||
Aerospace & Defense — (0.1)% | ||||||||||
AAR Corp. | 1,300 | (24,661 | ) | |||||||
Aerovironment, Inc. | 2,300 | (46,092 | ) | |||||||
Astronics Corp. | 100 | (4,043 | ) | |||||||
Hexcel Corp. | 600 | (26,916 | ) | |||||||
Sturm Ruger & Co., Inc. | 3,100 | (181,939 | ) | |||||||
Taser International, Inc. | 101,200 | (2,228,930 | ) | |||||||
Triumph Group, Inc. | 600 | (25,248 | ) | |||||||
|
| |||||||||
(2,537,829 | ) | |||||||||
|
| |||||||||
Apparel & Textile Products — (0.1)% | ||||||||||
Columbia Sportswear Co. | 200 | (11,758 | ) | |||||||
Crocs, Inc. | 6,000 | (77,550 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Deckers Outdoor Corp. (b) | 1,095 | $ | (63,576 | ) | ||||||
Hanesbrands, Inc. | 1,600 | (46,304 | ) | |||||||
Iconix Brand Group, Inc. | 28,900 | (390,728 | ) | |||||||
Lakeland Industries, Inc. | 600 | (8,334 | ) | |||||||
PVH Corp. | 1,300 | (132,522 | ) | |||||||
Ralph Lauren Corp. (b) | 1,430 | (168,969 | ) | |||||||
Steven Madden Ltd. | 1,600 | (58,592 | ) | |||||||
Tumi Holdings, Inc. (b) | 22,030 | (388,168 | ) | |||||||
Under Armour, Inc. Class A | 5,800 | (561,324 | ) | |||||||
|
| |||||||||
(1,907,825 | ) | |||||||||
|
| |||||||||
Asset Management — (0.1)% | ||||||||||
Acacia Research Corp. | 11,900 | (108,052 | ) | |||||||
Artisan Partners Asset Management, Inc. Class A | 13,900 | (489,697 | ) | |||||||
Eaton Vance Corp. | 600 | (20,052 | ) | |||||||
Fifth Street Senior Floating Rate Corp. | 1,300 | (11,349 | ) | |||||||
Financial Engines, Inc. | 1,000 | (29,470 | ) | |||||||
Franklin Resources, Inc. (b) | 8,865 | (330,310 | ) | |||||||
Full Circle Capital Corp. | 4,400 | (13,508 | ) | |||||||
Janus Capital Group, Inc. | 36,600 | (497,760 | ) | |||||||
Ladenburg Thalmann Financial Services, Inc. | 100 | (211 | ) | |||||||
Leucadia National Corp. | 95,700 | (1,938,882 | ) | |||||||
Medley Capital Corp. | 21,700 | (161,448 | ) | |||||||
NorthStar Asset Management Group, Inc. | 13,500 | (193,860 | ) | |||||||
Waddell & Reed Financial, Inc. Class A (b) | 8,280 | (287,896 | ) | |||||||
WisdomTree Investments, Inc. | 7,900 | (127,427 | ) | |||||||
|
| |||||||||
(4,209,922 | ) | |||||||||
|
| |||||||||
Automotive — (0.4)% | ||||||||||
American Axle & Manufacturing Holdings, Inc. | 3,800 | (75,772 | ) | |||||||
Cooper Tire & Rubber Co. | 300 | (11,853 | ) | |||||||
Dana Holding Corp. | 43,300 | (687,604 | ) | |||||||
Dorman Products, Inc. | 1,300 | (66,157 | ) | |||||||
Federal-Mogul Holdings Corp. | 1,109 | (7,575 | ) | |||||||
General Motors Co. (b) | 12,720 | (381,854 | ) | |||||||
Gentherm, Inc. | 3,200 | (143,744 | ) | |||||||
Harley-Davidson, Inc. (b) | 21,260 | (1,167,174 | ) | |||||||
Harman International Industries, Inc. (b) | 3,995 | (383,480 | ) | |||||||
Mobileye NV | 1,600 | (72,768 | ) | |||||||
Quantum Fuel Systems Technologies Worldwide, Inc. | 6,100 | (6,710 | ) | |||||||
Remy International, Inc. | 5 | (146 | ) | |||||||
Tesla Motors, Inc. | 36,400 | (9,041,760 | ) | |||||||
|
| |||||||||
(12,046,597 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Banking — (0.4)% | ||||||||||
Ameris Bancorp | 400 | $ | (11,500 | ) | ||||||
Associated Banc-Corp | 600 | (10,782 | ) | |||||||
Astoria Financial Corp. | 100 | (1,610 | ) | |||||||
Banc of California, Inc. | 11,100 | (136,197 | ) | |||||||
Bank of America Corp. | 499,400 | (7,780,652 | ) | |||||||
BankUnited, Inc. | 400 | (14,300 | ) | |||||||
BBCN Bancorp, Inc. | 100 | (1,502 | ) | |||||||
BofI Holding, Inc. | 100 | (12,883 | ) | |||||||
BOK Financial Corp. | 1,000 | (64,710 | ) | |||||||
Citigroup, Inc. | 75,700 | (3,755,477 | ) | |||||||
Commerce Bancshares, Inc. | 200 | (9,112 | ) | |||||||
ConnectOne Bancorp, Inc. | 23 | (444 | ) | |||||||
Customers Bancorp, Inc. | 1,200 | (30,840 | ) | |||||||
EverBank Financial Corp. | 13,600 | (262,480 | ) | |||||||
First Niagara Financial Group, Inc. | 2,400 | (24,504 | ) | |||||||
IBERIABANK Corp. | 200 | (11,642 | ) | |||||||
Kearny Financial Corp. | 1,500 | (17,205 | ) | |||||||
MB Financial, Inc. | 136 | (4,439 | ) | |||||||
National Bank Holdings Corp. Class A | 300 | (6,159 | ) | |||||||
Old National Bancorp | 1,400 | (19,502 | ) | |||||||
Sterling Bancorp | 108 | (1,606 | ) | |||||||
TFS Financial Corp. | 14,852 | (256,197 | ) | |||||||
Towne Bank | 40 | (754 | ) | |||||||
Valley National Bancorp | 400 | (3,936 | ) | |||||||
Washington Federal, Inc. | 1,300 | (29,575 | ) | |||||||
Wintrust Financial Corp. | 100 | (5,343 | ) | |||||||
|
| |||||||||
(12,473,351 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (1.6)% | ||||||||||
ACADIA Pharmaceuticals, Inc. | 13,900 | (459,673 | ) | |||||||
AcelRx Pharmaceuticals, Inc. | 3,700 | (11,285 | ) | |||||||
Achillion Pharmaceuticals, Inc. | 84,900 | (586,659 | ) | |||||||
Actinium Pharmaceuticals, Inc. | 29,856 | (52,845 | ) | |||||||
Aduro Biotech, Inc. | 300 | (5,811 | ) | |||||||
Advaxis, Inc. | 2,900 | (29,667 | ) | |||||||
Aegerion Pharmaceuticals, Inc. | 36,100 | (490,960 | ) | |||||||
Aerie Pharmaceuticals, Inc. | 15,500 | (274,970 | ) | |||||||
Agenus, Inc. | 6,900 | (31,740 | ) | |||||||
Akebia Therapeutics, Inc. | 12,500 | (120,750 | ) | |||||||
Alexion Pharmaceuticals, Inc. | 6,419 | (1,003,867 | ) | |||||||
Alkermes PLC (b) | 24,260 | (1,423,334 | ) | |||||||
Allergan PLC | 33,970 | (9,233,386 | ) | |||||||
Alnylam Pharmaceuticals, Inc. (b) | 14,700 | (1,181,292 | ) | |||||||
AMAG Pharmaceuticals, Inc. | 2,804 | (111,403 | ) | |||||||
Amgen, Inc. (b) | 15,840 | (2,190,989 | ) |
See Notes to Consolidated Financial Statements.
204
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Amicus Therapeutics, Inc. | 15,900 | $ | (222,441 | ) | ||||||
Ampio Pharmaceuticals, Inc. | 18,100 | (52,309 | ) | |||||||
ANI Pharmaceuticals, Inc. | 300 | (11,853 | ) | |||||||
Antares Pharma, Inc. | 7,300 | (12,410 | ) | |||||||
Anthera Pharmaceuticals, Inc. | 9,500 | (57,855 | ) | |||||||
Aratana Therapeutics, Inc. | 7,300 | (61,758 | ) | |||||||
Arena Pharmaceuticals, Inc. | 27,200 | (51,952 | ) | |||||||
ARIAD Pharmaceuticals, Inc. | 200 | (1,168 | ) | |||||||
Arrowhead Research Corp. | 63,500 | (365,760 | ) | |||||||
AVEO Pharmaceuticals, Inc. | 6,200 | (7,502 | ) | |||||||
Axovant Sciences Ltd. | 400 | (5,168 | ) | |||||||
Bellicum Pharmaceuticals, Inc. | 300 | (4,359 | ) | |||||||
BIND Therapeutics, Inc. | 1,500 | (6,690 | ) | |||||||
Biocept, Inc. | 200 | (460 | ) | |||||||
BioCryst Pharmaceuticals, Inc. | 7,600 | (86,640 | ) | |||||||
BioDelivery Sciences International, Inc. | 63,000 | (350,280 | ) | |||||||
BioTime, Inc. | 200 | (600 | ) | |||||||
Bluebird Bio, Inc. | 2,900 | (248,095 | ) | |||||||
Brainstorm Cell Therapeutics, Inc. | 3,200 | (7,328 | ) | |||||||
Caladrius Biosciences, Inc. | 11,700 | (17,433 | ) | |||||||
Calithera Biosciences, Inc. | 1,000 | (5,430 | ) | |||||||
Catalyst Pharmaceutical Partners, Inc. | 2,200 | (6,600 | ) | |||||||
Celgene Corp. (b) | 45,000 | (4,867,650 | ) | |||||||
Celldex Therapeutics, Inc. | 42,100 | (443,734 | ) | |||||||
Cellular Biomedicine Group, Inc. | 100 | (1,693 | ) | |||||||
Cempra, Inc. | 400 | (11,136 | ) | |||||||
Chimerix, Inc. | 200 | (7,640 | ) | |||||||
Coherus Biosciences, Inc. | 1,300 | (26,052 | ) | |||||||
Conatus Pharmaceuticals, Inc. | 8,100 | (36,045 | ) | |||||||
CorMedix, Inc. | 900 | (1,791 | ) | |||||||
CTI BioPharma Corp. | 17,700 | (25,842 | ) | |||||||
CytRx Corp. | 49,900 | (118,263 | ) | |||||||
Dicerna Pharmaceuticals, Inc. | 2,800 | (22,988 | ) | |||||||
Discovery Laboratories, Inc. | 400 | (120 | ) | |||||||
Dynavax Technologies Corp. | 30 | (736 | ) | |||||||
Enanta Pharmaceuticals, Inc. | 13,300 | (480,662 | ) | |||||||
Endo International PLC (b) | 127,650 | (8,843,592 | ) | |||||||
Endocyte, Inc. | 14,000 | (64,120 | ) | |||||||
EPIRUS Biopharmaceuticals, Inc. | 700 | (3,094 | ) | |||||||
Epizyme, Inc. | 7,300 | (93,878 | ) | |||||||
Esperion Therapeutics, Inc. | 3,000 | (70,770 | ) | |||||||
FibroGen, Inc. | 700 | (15,344 | ) | |||||||
Five Prime Therapeutics, Inc. | 1,900 | (29,241 | ) | |||||||
Fortress Biotech, Inc. | 100 | (260 | ) | |||||||
Galectin Therapeutics, Inc. | 1,800 | (4,212 | ) | |||||||
Galena Biopharma, Inc. | 82,800 | (130,824 | ) |
See Notes to Consolidated Financial Statements.
205
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Geron Corp. | 13,000 | $ | (35,880 | ) | ||||||
Heron Therapeutics, Inc. | 23,300 | (568,520 | ) | |||||||
Horizon Pharma PLC | 400 | (7,928 | ) | |||||||
Idera Pharmaceuticals, Inc. | 16,100 | (53,935 | ) | |||||||
IGI Laboratories, Inc. | 16,600 | (108,564 | ) | |||||||
Infinity Pharmaceuticals, Inc. | 4,300 | (36,335 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 67,100 | (387,838 | ) | |||||||
Intercept Pharmaceuticals, Inc. | 2,000 | (331,720 | ) | |||||||
Intrexon Corp. | 9,200 | (292,560 | ) | |||||||
Ironwood Pharmaceuticals, Inc. | 2,000 | (20,840 | ) | |||||||
Isis Pharmaceuticals, Inc. (b) | 52,603 | (2,126,213 | ) | |||||||
Johnson & Johnson (b) | 16,575 | (1,547,276 | ) | |||||||
Juno Therapeutics, Inc. | 13,400 | (545,246 | ) | |||||||
KaloBios Pharmaceuticals, Inc. | 800 | (1,528 | ) | |||||||
Karyopharm Therapeutics, Inc. | 14,000 | (147,420 | ) | |||||||
Keryx Biopharmaceuticals, Inc. | 108,600 | (382,272 | ) | |||||||
Kite Pharma, Inc. | 11,300 | (629,184 | ) | |||||||
KYTHERA Biopharmaceuticals, Inc. | 100 | (7,498 | ) | |||||||
La Jolla Pharmaceutical Co. | 400 | (11,116 | ) | |||||||
Lexicon Pharmaceuticals, Inc. | 9,685 | (104,017 | ) | |||||||
Lion Biotechnologies, Inc. | 1,500 | (8,640 | ) | |||||||
MannKind Corp. | 91,200 | (292,752 | ) | |||||||
Mast Therapeutics, Inc. | 8,800 | (5,104 | ) | |||||||
MEI Pharma, Inc. | 3,400 | (5,338 | ) | |||||||
NanoViricides, Inc. | 400 | (476 | ) | |||||||
Nektar Therapeutics | 10,500 | (115,080 | ) | |||||||
Neuralstem, Inc. | 10,500 | (12,810 | ) | |||||||
Northwest Biotherapeutics, Inc. | 5,900 | (36,875 | ) | |||||||
Ocata Therapeutics, Inc. | 1,800 | (7,524 | ) | |||||||
Ohr Pharmaceutical, Inc. | 10,300 | (28,428 | ) | |||||||
Omeros Corp. | 2,700 | (29,592 | ) | |||||||
OncoGenex Pharmaceuticals, Inc. | 1,000 | (2,230 | ) | |||||||
OncoMed Pharmaceuticals, Inc. | 200 | (3,318 | ) | |||||||
Oncothyreon, Inc. | 9,800 | (26,852 | ) | |||||||
Ophthotech Corp. | 900 | (36,468 | ) | |||||||
OPKO Health, Inc. (b) | 19,205 | (161,514 | ) | |||||||
Orexigen Therapeutics, Inc. | 25,400 | (53,594 | ) | |||||||
Organovo Holdings, Inc. | 90,500 | (242,540 | ) | |||||||
Otonomy, Inc. | 200 | (3,562 | ) | |||||||
OXiGENE, Inc. | 9,700 | (9,021 | ) | |||||||
Pacira Pharmaceuticals, Inc. | 2,500 | (102,750 | ) | |||||||
Peregrine Pharmaceuticals, Inc. | 2,700 | (2,754 | ) | |||||||
Pernix Therapeutics Holdings, Inc. | 43,100 | (136,196 | ) | |||||||
Pluristem Therapeutics, Inc. | 1,000 | (1,820 | ) | |||||||
Progenics Pharmaceuticals, Inc. | 800 | (4,576 | ) | |||||||
Provectus Biopharmaceuticals, Inc. Class A | 1,400 | (805 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
PTC Therapeutics, Inc. | 200 | $ | (5,340 | ) | ||||||
Puma Biotechnology, Inc. | 1,200 | (90,432 | ) | |||||||
Raptor Pharmaceutical Corp. | 100 | (605 | ) | |||||||
Regeneron Pharmaceuticals, Inc. (b) | 735 | (341,878 | ) | |||||||
Regulus Therapeutics, Inc. | 2,900 | (18,966 | ) | |||||||
Relypsa, Inc. | 8,100 | (149,931 | ) | |||||||
Repros Therapeutics, Inc. | 17,500 | (130,025 | ) | |||||||
Rexahn Pharmaceuticals, Inc. | 26,600 | (13,832 | ) | |||||||
RXI Pharmaceuticals | 4,900 | (1,838 | ) | |||||||
Sagent Pharmaceuticals, Inc. | 1,600 | (24,528 | ) | |||||||
Sangamo BioSciences, Inc. | 1,000 | (5,640 | ) | |||||||
Sarepta Therapeutics, Inc. | 8,300 | (266,513 | ) | |||||||
Spectrum Pharmaceuticals, Inc. | 900 | (5,382 | ) | |||||||
StemCells, Inc. | 10,200 | (4,281 | ) | |||||||
Sunesis Pharmaceuticals, Inc. | 1,400 | (1,134 | ) | |||||||
Supernus Pharmaceuticals, Inc. | 3,400 | (47,702 | ) | |||||||
Synergy Pharmaceuticals, Inc. | 36,000 | (190,800 | ) | |||||||
Synta Pharmaceuticals Corp. | 28,900 | (50,286 | ) | |||||||
Synthetic Biologics, Inc. | 23,400 | (53,118 | ) | |||||||
Tenax Therapeutics, Inc. | 1,700 | (5,151 | ) | |||||||
TESARO, Inc. | 100 | (4,010 | ) | |||||||
TG Therapeutics, Inc. | 7,200 | (72,576 | ) | |||||||
TherapeuticsMD, Inc. | 21,700 | (127,162 | ) | |||||||
Theravance, Inc. | 16,400 | (117,752 | ) | |||||||
Tonix Pharmaceuticals Holding Corp. | 6,100 | (32,269 | ) | |||||||
Valeant Pharmaceuticals International, Inc. (b) | 18,090 | (3,226,894 | ) | |||||||
Vanda Pharmaceuticals, Inc. | 200 | (2,256 | ) | |||||||
Verastem, Inc. | 1,500 | (2,685 | ) | |||||||
Versartis, Inc. | 100 | (1,153 | ) | |||||||
Vitae Pharmaceuticals, Inc. | 300 | (3,303 | ) | |||||||
VIVUS, Inc. | 40,400 | (66,256 | ) | |||||||
XenoPort, Inc. | 400 | (1,388 | ) | |||||||
ZIOPHARM Oncology, Inc. | 11,897 | (107,192 | ) | |||||||
Zogenix, Inc. | 3,725 | (50,288 | ) | |||||||
ZS Pharma, Inc. | 2,200 | (144,452 | ) | |||||||
|
| |||||||||
(48,135,936 | ) | |||||||||
|
| |||||||||
Chemicals — (0.3)% | ||||||||||
Albemarle Corp. | 18,275 | (805,928 | ) | |||||||
American Vanguard Corp. | 200 | (2,312 | ) | |||||||
Amyris, Inc. | 100 | (201 | ) | |||||||
Avery Dennison Corp. (b) | 1,100 | (62,227 | ) | |||||||
Balchem Corp. | 5,000 | (303,850 | ) | |||||||
Cytec Industries, Inc. | 2,604 | (192,305 | ) | |||||||
Eastman Chemical Co. (b) | 970 | (62,778 | ) | |||||||
iBio, Inc. | 10,800 | (7,344 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Koppers Holdings, Inc. | 1,900 | $ | (38,323 | ) | ||||||
Kraton Performance Polymers, Inc. | 100 | (1,790 | ) | |||||||
Kronos Worldwide, Inc. | 1,100 | (6,831 | ) | |||||||
Marrone Bio Innovations, Inc. | 100 | (211 | ) | |||||||
Olin Corp. | 100 | (1,681 | ) | |||||||
OM Group, Inc. | 100 | (3,289 | ) | |||||||
Platform Specialty Products Corp. | 171,200 | (2,165,680 | ) | |||||||
PPG Industries, Inc. (b) | 730 | (64,014 | ) | |||||||
Rayonier Advanced Materials, Inc. | 45,200 | (276,624 | ) | |||||||
Rentech, Inc. | 3,190 | (17,864 | ) | |||||||
Sigma-Aldrich Corp. | 36,400 | (5,056,688 | ) | |||||||
Tronox Ltd. Class A | 46,600 | (203,642 | ) | |||||||
Westlake Chemical Corp. (b) | 1,215 | (63,046 | ) | |||||||
|
| |||||||||
(9,336,628 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.2)% | ||||||||||
ADT Corp. | 130,800 | (3,910,920 | ) | |||||||
Advisory Board Co. (The) | 2,800 | (127,512 | ) | |||||||
Ascent Capital Group, Inc. Class A | 1,300 | (35,594 | ) | |||||||
Barrett Business Services, Inc. | 200 | (8,586 | ) | |||||||
Brady Corp. Class A | 600 | (11,796 | ) | |||||||
Brink’s Co. | 300 | (8,103 | ) | |||||||
Care.com, Inc. | 2,200 | (11,308 | ) | |||||||
CEB, Inc. | 1,900 | (129,846 | ) | |||||||
FTI Consulting, Inc. | 500 | (20,755 | ) | |||||||
Healthcare Services Group, Inc. | 700 | (23,590 | ) | |||||||
HMS Holdings Corp. | 300 | (2,631 | ) | |||||||
InterCloud Systems, Inc. | 27,840 | (49,555 | ) | |||||||
On Assignment, Inc. | 400 | (14,760 | ) | |||||||
Rollins, Inc. | 50 | (1,344 | ) | |||||||
Sotheby’s | 100 | (3,198 | ) | |||||||
TriNet Group, Inc. | 12,300 | (206,640 | ) | |||||||
TrueBlue, Inc. | 300 | (6,741 | ) | |||||||
|
| |||||||||
(4,572,879 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
Louisiana-Pacific Corp. | 24,600 | (350,304 | ) | |||||||
Martin Marietta Materials, Inc. | 4,830 | (733,918 | ) | |||||||
MDU Resources Group, Inc. | 10,800 | (185,760 | ) | |||||||
Ply Gem Holdings, Inc. | 100 | (1,170 | ) | |||||||
Summit Materials, Inc. Class A | 300 | (5,631 | ) | |||||||
|
| |||||||||
(1,276,783 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.5)% | ||||||||||
22nd Century Group, Inc. | 1,000 | (840 | ) | |||||||
Avon Products, Inc. | 226,600 | (736,450 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Axion Power International | 100 | $ | (180 | ) | ||||||
Boston Beer Co., Inc. (The) Class A (b) | 2,240 | (471,766 | ) | |||||||
Boulder Brands, Inc. | 1,100 | (9,009 | ) | |||||||
Campbell Soup Co. | 8,400 | (425,712 | ) | |||||||
Church & Dwight Co., Inc. | 4,600 | (385,940 | ) | |||||||
Coca-Cola Enterprises, Inc. | 100 | (4,835 | ) | |||||||
Darling Ingredients, Inc. | 33,900 | (381,036 | ) | |||||||
Edgewell Personal Care Co. | 200 | (16,320 | ) | |||||||
Elizabeth Arden, Inc. | 800 | (9,352 | ) | |||||||
Energizer Holdings, Inc. | 1,600 | (61,936 | ) | |||||||
Hain Celestial Group, Inc. (b) | 1,415 | (73,014 | ) | |||||||
Hershey Co. (The) | 4,600 | (422,648 | ) | |||||||
Hormel Foods Corp. | 8,900 | (563,459 | ) | |||||||
HRG Group, Inc. | 23,900 | (280,347 | ) | |||||||
Ingredion, Inc. | 3,200 | (279,392 | ) | |||||||
Kellogg Co. | 57,600 | (3,833,280 | ) | |||||||
Keurig Green Mountain, Inc. | 34,600 | (1,804,044 | ) | |||||||
Kraft Heinz Co. (The) | 27,800 | (1,962,124 | ) | |||||||
McCormick & Co., Inc. | 5,000 | (410,900 | ) | |||||||
Monster Beverage Corp. | 200 | (27,028 | ) | |||||||
Reynolds American, Inc. | 3,000 | (132,810 | ) | |||||||
Snyder’s-Lance, Inc. | 2,800 | (94,444 | ) | |||||||
Spectrum Brands Holdings, Inc. | 100 | (9,151 | ) | |||||||
TreeHouse Foods, Inc. | 6,100 | (474,519 | ) | |||||||
Tyson Foods, Inc. Class A | 69,400 | (2,991,140 | ) | |||||||
Universal Corp. | 900 | (44,613 | ) | |||||||
|
| |||||||||
(15,906,289 | ) | |||||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
ITT Educational Services, Inc. | 200 | (686 | ) | |||||||
Regis Corp. | 2,200 | (28,820 | ) | |||||||
Weight Watchers International, Inc. | 43,200 | (275,616 | ) | |||||||
|
| |||||||||
(305,122 | ) | |||||||||
|
| |||||||||
Containers & Packaging — (0.0)% | ||||||||||
KapStone Paper and Packaging Corp. | 700 | (11,557 | ) | |||||||
Packaging Corp. of America | 900 | (54,144 | ) | |||||||
|
| |||||||||
(65,701 | ) | |||||||||
|
| |||||||||
Design Manufacturing & Distribution — (0.0)% | ||||||||||
Arrow Electronics, Inc. (b) | 2,040 | (112,771 | ) | |||||||
Avnet, Inc. (b) | 2,765 | (118,010 | ) | |||||||
Flextronics International Ltd. (b) | 10,300 | (108,562 | ) | |||||||
Sanmina Corp. (b) | 19,240 | (411,159 | ) | |||||||
|
| |||||||||
(750,502 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Distributors—Consumer Staples — (0.0)% | ||||||||||
Bunge Ltd. | 300 | $ | (21,990 | ) | ||||||
Calavo Growers, Inc. | 100 | (4,464 | ) | |||||||
Core-Mark Holding Co., Inc. | 10,800 | (706,860 | ) | |||||||
|
| |||||||||
(733,314 | ) | |||||||||
|
| |||||||||
Distributors—Discretionary — (0.0)% | ||||||||||
FTD Cos., Inc. | 800 | (23,840 | ) | |||||||
Pool Corp. | 100 | (7,230 | ) | |||||||
|
| |||||||||
(31,070 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.0)% | ||||||||||
AAON, Inc. | 100 | (1,938 | ) | |||||||
Capstone Turbine Corp. | 54,600 | (18,564 | ) | |||||||
Cognex Corp. | 2,000 | (68,740 | ) | |||||||
Eaton Corp. PLC (b) | 1,215 | (62,329 | ) | |||||||
Energous Corp. | 6,100 | (42,090 | ) | |||||||
General Cable Corp. | 28,000 | (333,200 | ) | |||||||
Itron, Inc. | 500 | (15,955 | ) | |||||||
Revolution Lighting Technologies, Inc. | 8,600 | (8,170 | ) | |||||||
|
| |||||||||
(550,986 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
EnerNOC, Inc. | 200 | (1,580 | ) | |||||||
KBR, Inc. | 17,700 | (294,882 | ) | |||||||
Kratos Defense & Security Solutions, Inc. | 5,500 | (23,210 | ) | |||||||
Layne Christensen Co. | 300 | (1,950 | ) | |||||||
Willbros Group, Inc. | 800 | (1,008 | ) | |||||||
|
| |||||||||
(322,630 | ) | |||||||||
|
| |||||||||
Forest & Paper Products — (0.0)% | ||||||||||
Resolute Forest Products, Inc. | 500 | (4,155 | ) | |||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.4)% | ||||||||||
Bojangles’, Inc. | 100 | (1,690 | ) | |||||||
Brinker International, Inc. | 400 | (21,068 | ) | |||||||
Cheesecake Factory, Inc. | 300 | (16,188 | ) | |||||||
Diamond Resorts International, Inc. (b) | 3,040 | (71,106 | ) | |||||||
Dunkin’ Brands Group, Inc. | 1,000 | (49,000 | ) | |||||||
El Pollo Loco Holdings, Inc. | 6,200 | (66,836 | ) | |||||||
Fogo De Chao, Inc. | 200 | (3,120 | ) | |||||||
International Game Technology plc | 1,000 | (15,330 | ) | |||||||
J Alexanaer’s Holdings | 23 | (229 | ) | |||||||
Jack in the Box, Inc. (b) | 800 | (61,632 | ) | |||||||
Jamba, Inc. | 6,500 | (92,625 | ) | |||||||
Las Vegas Sands Corp. | 84,500 | (3,208,465 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Morgans Hotel Group Co. | 900 | $ | (2,988 | ) | ||||||
Papa Murphy’s Holdings, Inc. | 400 | (5,872 | ) | |||||||
Pinnacle Entertainment, Inc. | 2,600 | (87,984 | ) | |||||||
Potbelly Corp. | 100 | (1,101 | ) | |||||||
Rave Restaurant Group, Inc. | 400 | (3,412 | ) | |||||||
Red Robin Gourmet Burgers, Inc. | 500 | (37,870 | ) | |||||||
Scientific Games Corp. Class A | 14,000 | (146,300 | ) | |||||||
Texas Roadhouse, Inc. | 4,200 | (156,240 | ) | |||||||
Wendy’s Co. | 1,600 | (13,840 | ) | |||||||
Wynn Resorts Ltd. | 157,500 | (8,366,400 | ) | |||||||
Zoe’s Kitchen, Inc. | 6,800 | (268,532 | ) | |||||||
|
| |||||||||
(12,697,828 | ) | |||||||||
|
| |||||||||
Hardware — (0.4)% | ||||||||||
3D Systems Corp. | 79,000 | (912,450 | ) | |||||||
ADTRAN, Inc. | 100 | (1,460 | ) | |||||||
Aerohive Networks, Inc. | 4,800 | (28,704 | ) | |||||||
ARRIS Group, Inc. | 45,300 | (1,176,441 | ) | |||||||
Control4 Corp. | 400 | (3,264 | ) | |||||||
Diebold, Inc. | 4,700 | (139,919 | ) | |||||||
Digital Ally, Inc. | 9,500 | (59,185 | ) | |||||||
ExOne Co. | 7,000 | (46,970 | ) | |||||||
Extreme Networks, Inc. | 400 | (1,344 | ) | |||||||
FEI Co. | 14,000 | (1,022,560 | ) | |||||||
Garmin Ltd. (b) | 9,780 | (350,906 | ) | |||||||
Gigamon, Inc. | 700 | (14,007 | ) | |||||||
GoPro, Inc. Class A | 32,800 | (1,024,016 | ) | |||||||
Harmonic, Inc. | 100 | (580 | ) | |||||||
Hewlett-Packard Co. (b) | 3,450 | (88,355 | ) | |||||||
Identiv, Inc. | 1,700 | (5,933 | ) | |||||||
InterDigital, Inc. | 200 | (10,120 | ) | |||||||
Knowles Corp. | 2,487 | (45,836 | ) | |||||||
Lexmark International, Inc. Class A | 3,100 | (89,838 | ) | |||||||
MicroVision, Inc. | 18,600 | (59,334 | ) | |||||||
Mitel Networks Corp. | 6,978 | (45,008 | ) | |||||||
Neonode, Inc. | 6,100 | (14,884 | ) | |||||||
NetApp, Inc. | 5,700 | (168,720 | ) | |||||||
Nimble Storage, Inc. | 19,800 | (477,576 | ) | |||||||
Novatel Wireless, Inc. | 7,000 | (15,470 | ) | |||||||
NXT-ID, Inc. | 100 | (94 | ) | |||||||
Quantum Corp. | 300 | (209 | ) | |||||||
Ruckus Wireless, Inc. | 11,700 | (138,996 | ) | |||||||
Seagate Technology plc (b) | 72,955 | (3,268,384 | ) | |||||||
Silicon Graphics International Corp. | 1,900 | (7,467 | ) | |||||||
Stratasys Ltd. | 20,200 | (535,098 | ) | |||||||
Turtle Beach Corp. | 1,600 | (3,888 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Ubiquiti Networks, Inc. | 24,500 | $ | (830,305 | ) | ||||||
ViaSat, Inc. | 1,800 | (115,722 | ) | |||||||
Violin Memory, Inc. | 4,500 | (6,210 | ) | |||||||
Zebra Technologies Corp. Class A | 1,100 | (84,205 | ) | |||||||
|
| |||||||||
(10,793,458 | ) | |||||||||
|
| |||||||||
Health Care Facilities/Services — (0.7)% | ||||||||||
AAC Holdings, Inc. | 100 | (2,225 | ) | |||||||
Acadia Healthcare Co., Inc. | 400 | (26,508 | ) | |||||||
AmerisourceBergen Corp. (b) | 36,290 | (3,447,187 | ) | |||||||
Amsurg Corp. | 2,200 | (170,962 | ) | |||||||
BioScrip, Inc. | 30,000 | (56,100 | ) | |||||||
Brookdale Senior Living, Inc. | 100,091 | (2,298,089 | ) | |||||||
Cardinal Health, Inc. (b) | 28,000 | (2,150,960 | ) | |||||||
Charles River Laboratories International, Inc. (b) | 2,915 | (185,161 | ) | |||||||
Cigna Corp. (b) | 24,700 | (3,334,994 | ) | |||||||
DaVita HealthCare Partners, Inc. (b) | 31,675 | (2,291,053 | ) | |||||||
Diplomat Pharmacy, Inc. | 2,600 | (74,698 | ) | |||||||
Enzo Biochem, Inc. | 200 | (634 | ) | |||||||
ExamWorks Group, Inc. | 6,900 | (201,756 | ) | |||||||
Genesis Healthcare, Inc. | 700 | (4,291 | ) | |||||||
HealthEquity, Inc. | 800 | (23,640 | ) | |||||||
HealthSouth Corp. | 1,100 | (42,207 | ) | |||||||
IPC Healthcare, Inc. | 400 | (31,076 | ) | |||||||
Kindred Healthcare, Inc. | 4,849 | (76,372 | ) | |||||||
MEDNAX, Inc. | 500 | (38,395 | ) | |||||||
OvaScience, Inc. | 6,100 | (51,789 | ) | |||||||
PAREXEL International Corp. | 700 | (43,344 | ) | |||||||
Patterson Cos., Inc. (b) | 72,050 | (3,116,162 | ) | |||||||
Quest Diagnostics, Inc. | 200 | (12,294 | ) | |||||||
Signal Genetics, Inc. | 100 | (93 | ) | |||||||
Tenet Healthcare Corp. (b) | 64,910 | (2,396,477 | ) | |||||||
|
| |||||||||
(20,076,467 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.3)% | ||||||||||
ACCO Brands Corp. | 200 | (1,414 | ) | |||||||
Beazer Homes USA, Inc. | 31,700 | (422,561 | ) | |||||||
Century Communities, Inc. | 2,100 | (41,685 | ) | |||||||
Cenveo, Inc. | 500 | (940 | ) | |||||||
Fortune Brands Home & Security, Inc. | 2,500 | (118,675 | ) | |||||||
Green Brick Partners, Inc. | 2,300 | (24,909 | ) | |||||||
Hovnanian Enterprises, Inc. Class A | 172,800 | (305,856 | ) | |||||||
KB Home | 91,200 | (1,235,760 | ) | |||||||
Lennar Corp. Class A | 7,600 | (365,788 | ) | |||||||
M/I Homes, Inc. | 2,500 | (58,950 | ) | |||||||
MDC Holdings, Inc. | 26,900 | (704,242 | ) |
See Notes to Consolidated Financial Statements.
212
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Meritage Homes Corp. | 1,700 | $ | (62,084 | ) | ||||||
PGT, Inc. | 100 | (1,228 | ) | |||||||
Snap-on, Inc. | 16,500 | (2,490,510 | ) | |||||||
St Joe Co. (The) | 8,500 | (162,605 | ) | |||||||
Taylor Morrison Home Corp. Class A | 16,300 | (304,158 | ) | |||||||
TRI Pointe Homes, Inc. | 150,100 | (1,964,809 | ) | |||||||
Whirlpool Corp. (b) | 10,080 | (1,484,381 | ) | |||||||
William Lyon Homes Class A | 12,200 | (251,320 | ) | |||||||
|
| |||||||||
(10,001,875 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
Applied Industrial Technologies, Inc. | 100 | (3,815 | ) | |||||||
DXP Enterprises, Inc. | 2,100 | (57,288 | ) | |||||||
H&E Equipment Services, Inc. | 500 | (8,360 | ) | |||||||
MSC Industrial Direct Co., Inc. Class A | 1,900 | (115,957 | ) | |||||||
TAL International Group, Inc. | 3,900 | (53,313 | ) | |||||||
United Rentals, Inc. (b) | 1,360 | (81,668 | ) | |||||||
Wesco Aircraft Holdings, Inc. | 4,500 | (54,900 | ) | |||||||
WW Grainger, Inc. | 200 | (43,002 | ) | |||||||
|
| |||||||||
(418,303 | ) | |||||||||
|
| |||||||||
Institutional Financial Service — (0.3)% | ||||||||||
CBOE Holdings, Inc. | 21,000 | (1,408,680 | ) | |||||||
Evercore Partners, Inc. Class A | 2,800 | (140,672 | ) | |||||||
FXCM, Inc. Class A | 9,500 | (8,265 | ) | |||||||
Goldman Sachs Group, Inc. | 35,600 | (6,185,856 | ) | |||||||
Moelis & Co. Class A | 600 | (15,756 | ) | |||||||
RCS Capital Corp. Class A | 59,500 | (48,195 | ) | |||||||
Stifel Financial Corp. | 1,000 | (42,100 | ) | |||||||
|
| |||||||||
(7,849,524 | ) | |||||||||
|
| |||||||||
Insurance — (0.4)% | ||||||||||
Ambac Financial Group, Inc. | 5,200 | (75,244 | ) | |||||||
American International Group, Inc. | 67,000 | (3,806,940 | ) | |||||||
Amtrust Financial Services, Inc. | 1,500 | (94,470 | ) | |||||||
Arch Capital Group Ltd. | 8,900 | (653,883 | ) | |||||||
Berkshire Hathaway, Inc. Class B | 42,600 | (5,555,040 | ) | |||||||
CNO Financial Group, Inc. | 1,000 | (18,810 | ) | |||||||
Endurance Specialty Holdings Ltd. | 25 | (1,526 | ) | |||||||
HCC Insurance Holdings, Inc. | 2,300 | (178,181 | ) | |||||||
HCI Group, Inc. | 1,400 | (54,278 | ) | |||||||
Horace Mann Educators Corp. | 200 | (6,644 | ) | |||||||
MBIA, Inc. | 14,000 | (85,120 | ) | |||||||
ProAssurance Corp. | 1,700 | (83,419 | ) | |||||||
Radian Group, Inc. | 100 | (1,591 | ) | |||||||
RLI Corp. | 100 | (5,353 | ) |
See Notes to Consolidated Financial Statements.
213
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Symetra Financial Corp. | 400 | $ | (12,656 | ) | ||||||
Torchmark Corp. | 9,049 | (510,363 | ) | |||||||
Voya Financial, Inc. | 1,900 | (73,663 | ) | |||||||
|
| |||||||||
(11,217,181 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.1)% | ||||||||||
AK Steel Holding Corp. | 194,900 | (469,709 | ) | |||||||
Allegheny Technologies, Inc. | 25,200 | (357,336 | ) | |||||||
AM Castle & Co. | 1,400 | (3,108 | ) | |||||||
Cliffs Natural Resources, Inc. | 203,800 | (497,272 | ) | |||||||
Commercial Metals Co. | 1,400 | (18,970 | ) | |||||||
Olympic Steel, Inc. | 100 | (995 | ) | |||||||
Schnitzer Steel Industries, Inc. Class A | 3,200 | (43,328 | ) | |||||||
TimkenSteel Corp. | 8,100 | (81,972 | ) | |||||||
United States Steel Corp. | 114,300 | (1,191,006 | ) | |||||||
|
| |||||||||
(2,663,696 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.0)% | ||||||||||
Black Diamond, Inc. | 300 | (1,884 | ) | |||||||
Brunswick Corp. | 100 | (4,789 | ) | |||||||
Callaway Golf Co. | 1,500 | (12,525 | ) | |||||||
Mattel, Inc. | 23,600 | (497,016 | ) | |||||||
Performance Sports Group Ltd. | 3,800 | (50,996 | ) | |||||||
Polaris Industries, Inc. | 5,100 | (611,337 | ) | |||||||
Winnebago Industries, Inc. | 8,600 | (164,690 | ) | |||||||
|
| |||||||||
(1,343,237 | ) | |||||||||
|
| |||||||||
Machinery — (0.1)% | ||||||||||
Adept Technology, Inc. | 1,100 | (14,256 | ) | |||||||
Arotech Corp. | 200 | (266 | ) | |||||||
Briggs & Stratton Corp. (b) | 15,485 | (299,016 | ) | |||||||
Caterpillar, Inc. (b) | 5,850 | (382,356 | ) | |||||||
Colfax Corp. (b) | 13,720 | (410,365 | ) | |||||||
Flowserve Corp. (b) | 1,580 | (65,001 | ) | |||||||
Graco, Inc. | 700 | (46,921 | ) | |||||||
Kennametal, Inc. | 900 | (22,401 | ) | |||||||
Manitowoc Co., Inc. | 20,400 | (306,000 | ) | |||||||
Oshkosh Corp. | 200 | (7,266 | ) | |||||||
Parker-Hannifin Corp. (b) | 610 | (59,353 | ) | |||||||
Power Solutions International, Inc. | 1,500 | (34,065 | ) | |||||||
Titan International, Inc. | 4,400 | (29,084 | ) | |||||||
|
| |||||||||
(1,676,350 | ) | |||||||||
|
| |||||||||
Manufactured Goods — (0.0)% | ||||||||||
EnPro Industries, Inc. | 9,900 | (387,783 | ) | |||||||
NN, Inc. | 6,100 | (112,850 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Proto Labs, Inc. | 7,400 | $ | (495,800 | ) | ||||||
Simpson Manufacturing Co., Inc. | 200 | (6,698 | ) | |||||||
|
| |||||||||
(1,003,131 | ) | |||||||||
|
| |||||||||
Media — (1.0)% | ||||||||||
Angie’s List, Inc. | 53,200 | (268,128 | ) | |||||||
Blucora, Inc. | 500 | (6,885 | ) | |||||||
Cablevision Systems Corp. Class A | 46,600 | (1,513,102 | ) | |||||||
Coupons.com, Inc. | 9,100 | (81,900 | ) | |||||||
Covisint Corp. | 35 | (75 | ) | |||||||
Cumulus Media, Inc. Class A | 51,400 | (36,175 | ) | |||||||
Demand Media, Inc. | 100 | (417 | ) | |||||||
Dex Media, Inc. | 2,100 | (284 | ) | |||||||
Discovery Communications, Inc. Class A | 800 | (20,824 | ) | |||||||
DreamWorks Animation SKG, Inc. Class A | 25,000 | (436,250 | ) | |||||||
EW Scripps Co. Class A | 7,136 | (126,093 | ) | |||||||
Facebook, Inc. Class A | 100 | (8,990 | ) | |||||||
Groupon, Inc. | 500 | (1,630 | ) | |||||||
GrubHub, Inc. (b) | 14,765 | (359,380 | ) | |||||||
Houghton Mifflin Harcourt Co. | 1,100 | (22,341 | ) | |||||||
Liberty Broadband Corp. Class C | 2,900 | (148,393 | ) | |||||||
Liberty Media Corp. | 1,367 | (48,829 | ) | |||||||
Liberty TripAdvisor Holdings, Inc. Class A | 2,400 | (53,208 | ) | |||||||
LinkedIn Corp. | 5,900 | (1,121,767 | ) | |||||||
Lions Gate Entertainment Corp. | 800 | (29,440 | ) | |||||||
LiveDeal, Inc. | 4,500 | (7,560 | ) | |||||||
Marin Software, Inc. | 1,700 | (5,321 | ) | |||||||
Media General, Inc. | 24,700 | (345,553 | ) | |||||||
MeetMe, Inc. | 2,700 | (4,266 | ) | |||||||
Meredith Corp. | 100 | (4,258 | ) | |||||||
Millennial Media, Inc. | 11,300 | (19,775 | ) | |||||||
Monster Worldwide, Inc. | 2,000 | (12,840 | ) | |||||||
New Media Investment Group, Inc. | 600 | (9,276 | ) | |||||||
New York Times Co. Class A | 100 | (1,181 | ) | |||||||
Nielsen Holdings PLC | 4,200 | (186,774 | ) | |||||||
Pandora Media, Inc. | 268,400 | (5,727,656 | ) | |||||||
RealD, Inc. | 800 | (7,688 | ) | |||||||
Rocket Fuel, Inc. | 29,400 | (137,298 | ) | |||||||
Rubicon Project, Inc. (The) | 200 | (2,906 | ) | |||||||
Shutterfly, Inc. | 500 | (17,875 | ) | |||||||
Shutterstock, Inc. | 1,000 | (30,240 | ) | |||||||
Sinclair Broadcast Group, Inc. Class A | 4,500 | (113,940 | ) | |||||||
Sirius XM Holdings, Inc. | 300 | (1,122 | ) | |||||||
Starz | 100 | (3,734 | ) | |||||||
Time, Inc. | 5,700 | (108,585 | ) | |||||||
Travelzoo, Inc. | 100 | (827 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Tribune Media Co. | 3,700 | $ | (131,720 | ) | ||||||
TripAdvisor, Inc. | 2,400 | (151,248 | ) | |||||||
TrueCar, Inc. | 16,200 | (84,402 | ) | |||||||
Twitter, Inc. | 353,200 | (9,515,208 | ) | |||||||
Viacom, Inc. Class B | 3,600 | (155,340 | ) | |||||||
Viggle, Inc. | 9,000 | (7,380 | ) | |||||||
World Wrestling Entertainment, Inc. Class A | 1,900 | (32,110 | ) | |||||||
Yahoo!, Inc. | 134,982 | (3,902,330 | ) | |||||||
Yelp, Inc. | 87,000 | (1,884,420 | ) | |||||||
YOU On Demand Holdings, Inc. | 1,200 | (2,316 | ) | |||||||
Zillow Group, Inc. Class A | 42,923 | (1,233,178 | ) | |||||||
|
| |||||||||
(28,132,438 | ) | |||||||||
|
| |||||||||
Medical Equipment/Devices — (0.9)% | ||||||||||
Abaxis, Inc. | 3,700 | (162,763 | ) | |||||||
Accelerate Diagnostics, Inc. | 4,000 | (64,720 | ) | |||||||
Accuray, Inc. | 15,400 | (76,923 | ) | |||||||
Affymetrix, Inc. (b) | 5,615 | (47,952 | ) | |||||||
Alere, Inc. | 100 | (4,815 | ) | |||||||
Analogic Corp. | 100 | (8,204 | ) | |||||||
Atossa Genetics, Inc. | 2,300 | (1,771 | ) | |||||||
Becton Dickinson and Co. | 5,300 | (703,098 | ) | |||||||
Cepheid | 41,900 | (1,893,880 | ) | |||||||
Cerus Corp. | 7,600 | (34,504 | ) | |||||||
ConforMIS, Inc. | 900 | (16,254 | ) | |||||||
Cooper Cos., Inc. | 2,300 | (342,378 | ) | |||||||
Cytori Therapeutics, Inc. | 27,031 | (9,190 | ) | |||||||
Danaher Corp. (b) | 71,660 | (6,106,149 | ) | |||||||
Endologix, Inc. | 1,000 | (12,260 | ) | |||||||
EnteroMedics, Inc. | 900 | (234 | ) | |||||||
Exact Sciences Corp. | 27,400 | (492,926 | ) | |||||||
Fluidigm Corp. | 1,300 | (10,543 | ) | |||||||
Foundation Medicine, Inc. | 20,800 | (383,760 | ) | |||||||
Globus Medical, Inc. | 300 | (6,198 | ) | |||||||
Illumina, Inc. (b) | 5,885 | (1,034,701 | ) | |||||||
ImmunoCellular Therapeutics Ltd. | 2,500 | (1,050 | ) | |||||||
Invacare Corp. | 300 | (4,341 | ) | |||||||
IsoRay, Inc. | 27,700 | (38,780 | ) | |||||||
Medtronic PLC (b) | 26,763 | (1,791,515 | ) | |||||||
Meridian Bioscience, Inc. | 200 | (3,420 | ) | |||||||
Nanosphere, Inc. | 590 | (962 | ) | |||||||
Navidea Biopharmaceuticals, Inc. | 400 | (912 | ) | |||||||
Ocular Therapeutix, Inc. | 1,000 | (14,060 | ) | |||||||
Pacific Biosciences of California, Inc. | 3,200 | (11,712 | ) | |||||||
PerkinElmer, Inc. (b) | 48,630 | (2,235,035 | ) | |||||||
Qiagen NV | 17 | (439 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Rockwell Medical, Inc. | 18,700 | $ | (144,177 | ) | ||||||
Rosetta Genomics Ltd. | 2,900 | (7,163 | ) | |||||||
Second Sight Medical Products, Inc. | 10,200 | (60,486 | ) | |||||||
Sequenom, Inc. | 600 | (1,050 | ) | |||||||
Sirona Dental Systems, Inc. (b) | 34,500 | (3,220,230 | ) | |||||||
Spectranetics Corp. | 7,000 | (82,530 | ) | |||||||
Stereotaxis, Inc. | 100 | (93 | ) | |||||||
STERIS Corp. | 6,300 | (409,311 | ) | |||||||
Sunshine Heart, Inc. | 300 | (660 | ) | |||||||
Tandem Diabetes Care, Inc. | 200 | (1,762 | ) | |||||||
TearLab Corp. | 700 | (1,407 | ) | |||||||
Thoratec Corp. | 9,800 | (619,948 | ) | |||||||
TransEnterix, Inc. | 14,700 | (33,222 | ) | |||||||
Trovagene, Inc. | 1,100 | (6,259 | ) | |||||||
Unilife Corp. | 5,800 | (5,683 | ) | |||||||
Varian Medical Systems, Inc. (b) | 13,254 | (977,880 | ) | |||||||
Waters Corp. (b) | 30,230 | (3,573,488 | ) | |||||||
West Pharmaceutical Services, Inc. | 100 | (5,412 | ) | |||||||
Zimmer Holdings, Inc. (b) | 15,110 | (1,419,282 | ) | |||||||
|
| |||||||||
(26,085,492 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.1)% | ||||||||||
Coeur Mining, Inc. | 11,864 | (33,456 | ) | |||||||
Compass Minerals International, Inc. | 1,400 | (109,718 | ) | |||||||
Freeport-McMoRan Copper & Gold, Inc. | 55,600 | (538,764 | ) | |||||||
Gold Resource Corp. | 2,900 | (7,337 | ) | |||||||
Harsco Corp. | 10,300 | (93,421 | ) | |||||||
Hecla Mining Co. | 29,700 | (58,509 | ) | |||||||
Horsehead Holding Corp. | 700 | (2,128 | ) | |||||||
McEwen Mining, Inc. | 6,600 | (5,773 | ) | |||||||
Tahoe Resources, Inc. | 45,600 | (352,944 | ) | |||||||
Thompson Creek Metals Co., Inc. | 24,600 | (10,748 | ) | |||||||
Ur-Energy, Inc. | 900 | (513 | ) | |||||||
Uranium Energy Corp. | 51,300 | (51,300 | ) | |||||||
US Silica Holdings, Inc. | 54,500 | (767,905 | ) | |||||||
|
| |||||||||
(2,032,516 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (1.0)% | ||||||||||
Abraxas Petroleum Corp. | 1,400 | (1,792 | ) | |||||||
Alon USA Energy, Inc. | 25,400 | (458,978 | ) | |||||||
Antero Resources Corp. | 34,200 | (723,672 | ) | |||||||
Apache Corp. | 200 | (7,832 | ) | |||||||
Approach Resources, Inc. | 12,800 | (23,936 | ) | |||||||
Atwood Oceanics, Inc. | 500 | (7,405 | ) | |||||||
Basic Energy Services, Inc. | 35,800 | (118,140 | ) | |||||||
Bill Barrett Corp. | 16,900 | (55,770 | ) |
See Notes to Consolidated Financial Statements.
217
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Bonanza Creek Energy, Inc. | 7,500 | $ | (30,525 | ) | ||||||
C&J Energy Services Ltd. | 27,800 | (97,856 | ) | |||||||
California Resources Corp. | 84,600 | (219,960 | ) | |||||||
CARBO Ceramics, Inc. | 6,400 | (121,536 | ) | |||||||
Carrizo Oil & Gas, Inc. | 3,200 | (97,728 | ) | |||||||
Cheniere Energy Partners LP Holdings LLC | 100 | (1,901 | ) | |||||||
Cheniere Energy, Inc. | 65,200 | (3,149,160 | ) | |||||||
Chesapeake Energy Corp. | 118,500 | (868,605 | ) | |||||||
Civeo Corp. | 800 | (1,184 | ) | |||||||
Clayton Williams Energy, Inc. | 1,500 | (58,215 | ) | |||||||
Clean Energy Fuels Corp. | 31,600 | (142,200 | ) | |||||||
Cloud Peak Energy, Inc. | 4,100 | (10,783 | ) | |||||||
Cobalt International Energy, Inc. | 152,300 | (1,078,284 | ) | |||||||
Comstock Resources, Inc. | 10,200 | (19,482 | ) | |||||||
CONSOL Energy, Inc. | 11,600 | (113,680 | ) | |||||||
Core Laboratories NV | 1,700 | (169,660 | ) | |||||||
Delek US Holdings, Inc. | 3,100 | (85,870 | ) | |||||||
Denbury Resources, Inc. | 35,200 | (85,888 | ) | |||||||
Diamond Offshore Drilling, Inc. | 3,000 | (51,900 | ) | |||||||
Diamondback Energy, Inc. | 4,000 | (258,400 | ) | |||||||
Eclipse Resources Corp. | 18,300 | (35,685 | ) | |||||||
Emerald Oil, Inc. | 985 | (1,803 | ) | |||||||
Enbridge Energy Management LLC | 1,600 | �� | (38,048 | ) | ||||||
Energy XXI Ltd. | 84,200 | (88,410 | ) | |||||||
EnLink Midstream LLC | 2,700 | (49,356 | ) | |||||||
Ensco PLC Class A | 43,400 | (611,072 | ) | |||||||
EP Energy Corp. Class A | 1,600 | (8,240 | ) | |||||||
Erin Energy Corp. | 700 | (2,744 | ) | |||||||
EXCO Resources, Inc. | 125,700 | (94,275 | ) | |||||||
Fairmount Santrol Holdings, Inc. | 19,200 | (51,840 | ) | |||||||
Flotek Industries, Inc. | 55,800 | (931,860 | ) | |||||||
FX Energy, Inc. | 2,900 | (2,755 | ) | |||||||
Gastar Exploration, Inc. | 11,100 | (12,765 | ) | |||||||
Geospace Technologies Corp. | 900 | (12,429 | ) | |||||||
Goodrich Petroleum Corp. | 71,200 | (41,296 | ) | |||||||
Gulfmark Offshore, Inc. Class A | 11,600 | (70,876 | ) | |||||||
Halcon Resources Corp. | 132,300 | (70,119 | ) | |||||||
Halliburton Co. | 257,411 | (9,099,479 | ) | |||||||
Harvest Natural Resources, Inc. | 2,500 | (3,475 | ) | |||||||
ION Geophysical Corp. | 1,300 | (507 | ) | |||||||
Jones Energy, Inc. | 15,200 | (72,808 | ) | |||||||
Key Energy Services, Inc. | 53,400 | (25,098 | ) | |||||||
Kinder Morgan, Inc. | 32 | (886 | ) | |||||||
Kosmos Energy Ltd. | 37,600 | (209,808 | ) | |||||||
Laredo Petroleum, Inc. | 15,700 | (148,051 | ) | |||||||
Magnum Hunter Resources Corp. | 348,900 | (118,626 | ) |
See Notes to Consolidated Financial Statements.
218
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Marathon Oil Corp. | 2,700 | $ | (41,580 | ) | ||||||
Matador Resources Co. | 6,700 | (138,958 | ) | |||||||
McDermott International, Inc. | 14,600 | (62,780 | ) | |||||||
Midstates Petroleum Co., Inc. | 170 | (1,045 | ) | |||||||
MRC Global, Inc. | 3,500 | (39,025 | ) | |||||||
Nabors Industries Ltd. | 25,200 | (238,140 | ) | |||||||
Newfield Exploration Co. | 700 | (23,030 | ) | |||||||
Noble Corp. plc | 11,000 | (120,010 | ) | |||||||
Northern Oil and Gas, Inc. | 62,200 | (274,924 | ) | |||||||
Nuverra Environmental Solutions, Inc. | 10,500 | (14,280 | ) | |||||||
Oasis Petroleum, Inc. | 70,900 | (615,412 | ) | |||||||
ONEOK, Inc. | 5,700 | (183,540 | ) | |||||||
Pacific Drilling SA | 22,500 | (28,125 | ) | |||||||
Parker Drilling Co. | 600 | (1,578 | ) | |||||||
Parsley Energy, Inc. Class A | 100 | (1,507 | ) | |||||||
Patterson-UTI Energy, Inc. | 4,300 | (56,502 | ) | |||||||
PBF Energy, Inc. Class A | 3,700 | (104,451 | ) | |||||||
PetroQuest Energy, Inc. | 6,800 | (7,956 | ) | |||||||
Pioneer Energy Services Corp. | 1,800 | (3,780 | ) | |||||||
Resolute Energy Corp. | 600 | (233 | ) | |||||||
Rex Energy Corp. | 18,400 | (38,088 | ) | |||||||
Rice Energy, Inc. | 73,300 | (1,184,528 | ) | |||||||
Ring Energy, Inc. | 400 | (3,948 | ) | |||||||
RPC, Inc. | 10,200 | (90,270 | ) | |||||||
RSP Permian, Inc. | 100 | (2,025 | ) | |||||||
Sanchez Energy Corp. | 98,900 | (608,235 | ) | |||||||
SandRidge Energy, Inc. | 40,000 | (10,800 | ) | |||||||
SemGroup Corp. Class A | 3,800 | (164,312 | ) | |||||||
Seventy Seven Energy, Inc. | 35,200 | (48,576 | ) | |||||||
SM Energy Co. | 200 | (6,408 | ) | |||||||
Superior Energy Services, Inc. | 300 | (3,789 | ) | |||||||
Synergy Resources Corp. | 45,100 | (441,980 | ) | |||||||
Targa Resources Corp. | 11,500 | (592,480 | ) | |||||||
Tesoro Corp. (b) | 2,910 | (282,968 | ) | |||||||
TETRA Technologies, Inc. | 600 | (3,546 | ) | |||||||
Tidewater, Inc. | 45,100 | (592,614 | ) | |||||||
Transocean Ltd. | 174,900 | (2,259,708 | ) | |||||||
Triangle Petroleum Corp. | 51,600 | (73,272 | ) | |||||||
Ultra Petroleum Corp. | 24,400 | (155,916 | ) | |||||||
Unit Corp. | 700 | (7,882 | ) | |||||||
Valero Energy Corp. (b) | 1,095 | (65,809 | ) | |||||||
W&T Offshore, Inc. | 86,100 | (258,300 | ) | |||||||
Warren Resources, Inc. | 500 | (245 | ) | |||||||
Western Refining, Inc. | 500 | (22,060 | ) | |||||||
Westmoreland Coal Co. | 23,000 | (324,070 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Whiting Petroleum Corp. | 2,647 | $ | (40,420 | ) | ||||||
ZaZa Energy Corp. | 500 | (172 | ) | |||||||
|
| |||||||||
(29,101,930 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.2)% | ||||||||||
American Airlines Group, Inc. | 114,500 | (4,446,035 | ) | |||||||
Republic Airways Holdings, Inc. | 43,200 | (249,696 | ) | |||||||
SkyWest, Inc. | 600 | (10,008 | ) | |||||||
United Continental Holdings, Inc. | 900 | (47,745 | ) | |||||||
|
| |||||||||
(4,753,484 | ) | |||||||||
|
| |||||||||
Real Estate — (2.0)% | ||||||||||
Acadia Realty Trust | 300 | (9,021 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 7,400 | (626,558 | ) | |||||||
American Campus Communities, Inc. | 5,400 | (195,696 | ) | |||||||
American Homes 4 Rent | 99,400 | (1,598,352 | ) | |||||||
American Residential Properties, Inc. | 4,300 | (74,261 | ) | |||||||
Apartment Investment & Management Co. Class A | 400 | (14,808 | ) | |||||||
Apple Hospitality REIT, Inc. | 400 | (7,428 | ) | |||||||
Ashford Hospitality Trust, Inc. | 39,300 | (239,730 | ) | |||||||
AvalonBay Communities, Inc. | 19,400 | (3,391,508 | ) | |||||||
BioMed Realty Trust, Inc. | 35,700 | (713,286 | ) | |||||||
Bluerock Residential Growth REIT, Inc. | 8,900 | (106,622 | ) | |||||||
Brandywine Realty Trust | 12,300 | (151,536 | ) | |||||||
Brixmor Property Group, Inc. | 1,000 | (23,480 | ) | |||||||
Camden Property Trust | 24,300 | (1,795,770 | ) | |||||||
Campus Crest Communities, Inc. | 32,000 | (170,240 | ) | |||||||
CareTrust REIT, Inc. | 500 | (5,675 | ) | |||||||
CBL & Associates Properties, Inc. | 5,800 | (79,750 | ) | |||||||
Cedar Realty Trust, Inc. | 500 | (3,105 | ) | |||||||
Chatham Lodging Trust | 4,600 | (98,808 | ) | |||||||
Chesapeake Lodging Trust | 4,000 | (104,240 | ) | |||||||
Columbia Property Trust, Inc. | 4,800 | (111,360 | ) | |||||||
Communications Sales & Leasing, Inc. | 15,000 | (268,500 | ) | |||||||
CorEnergy Infrastructure Trust, Inc. | 600 | (2,652 | ) | |||||||
CoreSite Realty Corp. | 100 | (5,144 | ) | |||||||
Corporate Office Properties Trust | 14,300 | (300,729 | ) | |||||||
Corrections Corp. of America | 3,300 | (97,482 | ) | |||||||
Cousins Properties, Inc. | 12,000 | (110,640 | ) | |||||||
CubeSmart | 1,000 | (27,210 | ) | |||||||
CyrusOne, Inc. | 16,800 | (548,688 | ) | |||||||
DCT Industrial Trust, Inc. | 44,600 | (1,501,236 | ) | |||||||
DDR Corp. | 92,400 | (1,421,112 | ) | |||||||
Digital Realty Trust, Inc. | 200 | (13,064 | ) | |||||||
Douglas Emmett, Inc. | 38,900 | (1,117,208 | ) | |||||||
Duke Realty Corp. | 18,900 | (360,045 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
DuPont Fabros Technology, Inc. | 2,000 | $ | (51,760 | ) | ||||||
Easterly Government Properties, Inc. | 1,600 | (25,520 | ) | |||||||
Education Realty Trust, Inc. | 23,966 | (789,679 | ) | |||||||
Empire State Realty Trust, Inc. Class A | 2,500 | (42,575 | ) | |||||||
Equinix, Inc. | 27 | (7,382 | ) | |||||||
Equity One, Inc. | 500 | (12,170 | ) | |||||||
Equity Residential | 3,200 | (240,384 | ) | |||||||
Essex Property Trust, Inc. | 2,700 | (603,234 | ) | |||||||
Farmland Partners, Inc. | 2,700 | (28,350 | ) | |||||||
Federal Realty Investment Trust | 5,700 | (777,765 | ) | |||||||
First Industrial Realty Trust, Inc. | 1,900 | (39,805 | ) | |||||||
First Potomac Realty Trust | 100 | (1,100 | ) | |||||||
Gaming and Leisure Properties, Inc. | 1,700 | (50,490 | ) | |||||||
GEO Group, Inc. (The) | 600 | (17,844 | ) | |||||||
Government Properties Income Trust | 43,800 | (700,800 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 400 | (6,888 | ) | |||||||
HCP, Inc. | 5,400 | (201,150 | ) | |||||||
Healthcare Realty Trust, Inc. | 33,600 | (834,960 | ) | |||||||
Healthcare Trust of America, Inc. Class A | 15,000 | (367,650 | ) | |||||||
Hersha Hospitality Trust | 6,500 | (147,290 | ) | |||||||
Highwoods Properties, Inc. | 8,400 | (325,500 | ) | |||||||
Host Hotels & Resorts, Inc. | 82,400 | (1,302,744 | ) | |||||||
Hudson Pacific Properties, Inc. | 3,800 | (109,402 | ) | |||||||
Independence Realty Trust, Inc. | 1,000 | (7,210 | ) | |||||||
Inland Real Estate Corp. | 600 | (4,860 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 2,800 | (62,076 | ) | |||||||
Kimco Realty Corp. | 35,800 | (874,594 | ) | |||||||
Kite Realty Group Trust | 17,800 | (423,818 | ) | |||||||
LaSalle Hotel Properties | 21,000 | (596,190 | ) | |||||||
Lexington Realty Trust | 1,900 | (15,390 | ) | |||||||
Liberty Property Trust | 1,800 | (56,718 | ) | |||||||
LTC Properties, Inc. | 2,700 | (115,209 | ) | |||||||
Macerich Co. | 12,100 | (929,522 | ) | |||||||
Mack-Cali Realty Corp. | 13,500 | (254,880 | ) | |||||||
Medical Properties Trust, Inc. | 35,900 | (397,054 | ) | |||||||
Mid-America Apartment Communities, Inc. | 400 | (32,748 | ) | |||||||
Monogram Residential Trust, Inc. | 37,900 | (352,849 | ) | |||||||
National Retail Properties, Inc. | 6,700 | (243,009 | ) | |||||||
National Storage Affiliates Trust | 100 | (1,355 | ) | |||||||
New Senior Investment Group, Inc. | 69,300 | (724,878 | ) | |||||||
New York REIT, Inc. | 67,900 | (683,074 | ) | |||||||
NorthStar Realty Finance Corp. | 459,600 | (5,676,060 | ) | |||||||
Omega Healthcare Investors, Inc. | 19,540 | (686,831 | ) | |||||||
Paramount Group, Inc. | 7,900 | (132,720 | ) | |||||||
Parkway Properties Inc/Md | 10,200 | (158,712 | ) | |||||||
Pebblebrook Hotel Trust | 15,800 | (560,110 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Pennsylvania REIT | 21,400 | $ | (424,362 | ) | ||||||
Physicians Realty Trust | 30,400 | (458,736 | ) | |||||||
Piedmont Office Realty Trust, Inc. Class A | 30,500 | (545,645 | ) | |||||||
Plum Creek Timber Co., Inc. | 5,600 | (221,256 | ) | |||||||
Post Properties, Inc. | 2,300 | (134,067 | ) | |||||||
Potlatch Corp. | 100 | (2,879 | ) | |||||||
Preferred Apartment Communities, Inc. Class A | 2,400 | (26,112 | ) | |||||||
Prologis, Inc. | 200 | (7,780 | ) | |||||||
Public Storage | 17,800 | (3,767,014 | ) | |||||||
Ramco-Gershenson Properties Trust | 3,400 | (51,034 | ) | |||||||
Rayonier, Inc. | 6,600 | (145,662 | ) | |||||||
Realty Income Corp. | 49,200 | (2,331,588 | ) | |||||||
Regency Centers Corp. | 16,900 | (1,050,335 | ) | |||||||
Retail Properties of America, Inc. | 9,000 | (126,810 | ) | |||||||
Rexford Industrial Realty, Inc. | 5,700 | (78,603 | ) | |||||||
Ryman Hospitality Properties, Inc. | 2,900 | (142,767 | ) | |||||||
Sabra Health Care REIT, Inc. | 2,900 | (67,222 | ) | |||||||
Select Income REIT | 200 | (3,802 | ) | |||||||
Senior Housing Properties Trust | 9,100 | (147,420 | ) | |||||||
Seritage Growth Properties | 100 | (3,725 | ) | |||||||
Silver Bay Realty Trust Corp. | 500 | (8,005 | ) | |||||||
SL Green Realty Corp. | 15,500 | (1,676,480 | ) | |||||||
Spirit Realty Capital, Inc. | 76,500 | (699,210 | ) | |||||||
STAG Industrial, Inc. | 24,200 | (440,682 | ) | |||||||
Starwood Waypoint Residential Trust | 11,300 | (269,279 | ) | |||||||
STORE Capital Corp. | 11,600 | (239,656 | ) | |||||||
Summit Hotel Properties, Inc. | 1,900 | (22,173 | ) | |||||||
Sunstone Hotel Investors, Inc. | 32,977 | (436,286 | ) | |||||||
Tanger Factory Outlet Centers, Inc. | 3,800 | (125,286 | ) | |||||||
UDR, Inc. | 48,300 | (1,665,384 | ) | |||||||
Urban Edge Properties | 1,400 | (30,226 | ) | |||||||
Ventas, Inc. | 7,400 | (414,844 | ) | |||||||
VEREIT, Inc. REIT | 359,400 | (2,774,568 | ) | |||||||
Vornado Realty Trust | 3,000 | (271,260 | ) | |||||||
Washington Real Estate Investment Trust | 1,600 | (39,888 | ) | |||||||
Welltower, Inc. | 49,400 | (3,326,102 | ) | |||||||
WP Carey, Inc. | 500 | (28,905 | ) | |||||||
WP Glimcher, Inc. | 16,600 | (193,556 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 11,100 | (193,806 | ) | |||||||
|
| |||||||||
(57,561,668 | ) | |||||||||
|
| |||||||||
Recreation Facilities & Services — (0.0)% | ||||||||||
AMC Entertainment Holdings, Inc. Class A | 200 | (5,038 | ) | |||||||
Carmike Cinemas, Inc. | 500 | (10,045 | ) | |||||||
SeaWorld Entertainment, Inc. | 400 | (7,124 | ) | |||||||
|
| |||||||||
(22,207 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Renewable Energy — (0.4)% | ||||||||||
Ascent Solar Technologies, Inc. | 26,002 | $ | (4,930 | ) | ||||||
Enphase Energy, Inc. | 13,300 | (49,210 | ) | |||||||
FuelCell Energy, Inc. | 137,700 | (101,182 | ) | |||||||
Gevo, Inc. | 31,006 | (53,330 | ) | |||||||
Green Plains, Inc. | 10,400 | (202,384 | ) | |||||||
Pacific Ethanol, Inc. | 24,600 | (159,654 | ) | |||||||
Plug Power, Inc. | 211,900 | (387,777 | ) | |||||||
Real Goods Solar, Inc. Class A | 100 | (118 | ) | |||||||
REX American Resources Corp. | 700 | (35,434 | ) | |||||||
Silver Spring Networks, Inc. | 2,900 | (37,352 | ) | |||||||
Solar3D, Inc. | 2,092 | (5,774 | ) | |||||||
SolarCity Corp. | 128,700 | (5,496,777 | ) | |||||||
Solazyme, Inc. | 8,000 | (20,800 | ) | |||||||
SunEdison, Inc. | 456,700 | (3,279,106 | ) | |||||||
SunPower Corp. | 16,600 | (332,664 | ) | |||||||
Vivint Solar, Inc. | 19,500 | (204,360 | ) | |||||||
|
| |||||||||
(10,370,852 | ) | |||||||||
|
| |||||||||
Retail—Consumer Discretionary — (0.1)% | ||||||||||
Lululemon Athletica, Inc. | 60,600 | (3,069,390 | ) | |||||||
|
| |||||||||
Retail—Consumer Staples — (0.5)% | ||||||||||
Casey’s General Stores, Inc. | 1,000 | (102,920 | ) | |||||||
CVS Health Corp. (b) | 50,470 | (4,869,346 | ) | |||||||
Dollar General Corp. | 7,400 | (536,056 | ) | |||||||
Dollar Tree, Inc. | 42,300 | (2,819,718 | ) | |||||||
Fairway Group Holdings Corp. | 3,900 | (4,095 | ) | |||||||
Five Below, Inc. | 8,000 | (268,640 | ) | |||||||
Fresh Market, Inc. | 900 | (20,331 | ) | |||||||
PriceSmart, Inc. | 300 | (23,202 | ) | |||||||
Rite Aid Corp. | 37,200 | (225,804 | ) | |||||||
Roundy’s, Inc. | 3,700 | (8,584 | ) | |||||||
TravelCenters of America LLC | 800 | (8,264 | ) | |||||||
Wal-Mart Stores, Inc. (b) | 60,035 | (3,892,669 | ) | |||||||
Walgreens Boots Alliance, Inc. (b) | 27,310 | (2,269,461 | ) | |||||||
Whole Foods Market, Inc. (b) | 3,325 | (105,236 | ) | |||||||
|
| |||||||||
(15,154,326 | ) | |||||||||
|
| |||||||||
Retail Discretionary — (0.8)% | ||||||||||
Abercrombie & Fitch Co. Class A | 130,700 | (2,769,533 | ) | |||||||
Aeropostale, Inc. | 9,100 | (5,642 | ) | |||||||
American Apparel, Inc. | 34,400 | (3,818 | ) | |||||||
American Eagle Outfitters, Inc. | 9,200 | (143,796 | ) | |||||||
Ascena Retail Group, Inc. | 800 | (11,128 | ) | |||||||
Avis Budget Group, Inc. | 40,707 | (1,778,082 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Barnes & Noble, Inc. | 1,500 | $ | (18,165 | ) | ||||||
bebe stores, Inc. | 4,700 | (4,418 | ) | |||||||
Bon-Ton Stores, Inc. | 8,400 | (26,376 | ) | |||||||
Boot Barn Holdings, Inc. | 4,000 | (73,720 | ) | |||||||
Buckle, Inc. | 8,000 | (295,760 | ) | |||||||
Build-A-Bear Workshop, Inc. | 600 | (11,334 | ) | |||||||
Burlington Stores, Inc. | 5,500 | (280,720 | ) | |||||||
Cabela’s, Inc. | 11,000 | (501,600 | ) | |||||||
Cato Corp. Class A | 700 | (23,821 | ) | |||||||
Chegg, Inc. | 9,200 | (66,332 | ) | |||||||
Chico’s FAS, Inc. | 39,900 | (627,627 | ) | |||||||
Children’s Place, Inc. | 10,800 | (622,836 | ) | |||||||
Conn’s, Inc. | 1,200 | (28,848 | ) | |||||||
Container Store Group, Inc. | 5,000 | (70,400 | ) | |||||||
Copart, Inc. | 200 | (6,580 | ) | |||||||
DSW, Inc. Class A | 38,800 | (982,028 | ) | |||||||
Etsy, Inc. | 15,900 | (217,671 | ) | |||||||
Finish Line, Inc. Class A | 12,600 | (243,180 | ) | |||||||
Francesca’s Holdings Corp. | 27,500 | (336,325 | ) | |||||||
Freshpet, Inc. | 900 | (9,450 | ) | |||||||
Gap, Inc. | 124,500 | (3,548,250 | ) | |||||||
Guess?, Inc. | 50,100 | (1,070,136 | ) | |||||||
Hertz Global Holdings, Inc. | 114,700 | (1,918,931 | ) | |||||||
Hibbett Sports, Inc. (b) | 9,280 | (324,893 | ) | |||||||
Kohl’s Corp. (b) | 8,010 | (370,943 | ) | |||||||
Lithia Motors, Inc. Class A | 100 | (10,811 | ) | |||||||
Lumber Liquidators Holdings, Inc. (b) | 7,600 | (99,864 | ) | |||||||
Mattress Firm Holding Corp. | 200 | (8,352 | ) | |||||||
Men’s Wearhouse, Inc. | 49,000 | (2,083,480 | ) | |||||||
Monro Muffler Brake, Inc. | 1,900 | (128,345 | ) | |||||||
Net Element International, Inc. | 4,500 | (720 | ) | |||||||
Outerwall, Inc. | 3,100 | (176,483 | ) | |||||||
Pacific Sunwear of California, Inc. | 900 | (288 | ) | |||||||
Party City Holdco, Inc. | 1,500 | (23,955 | ) | |||||||
Pier 1 Imports, Inc. | 113,300 | (781,770 | ) | |||||||
Restoration Hardware Holdings, Inc. | 1,600 | (149,296 | ) | |||||||
Ross Stores, Inc. | 12,000 | (581,640 | ) | |||||||
Rush Enterprises, Inc. Class A | 100 | (2,420 | ) | |||||||
Sears Holdings Corp. | 56,300 | (1,272,380 | ) | |||||||
Sonic Automotive, Inc. Class A (b) | 12,650 | (258,313 | ) | |||||||
Stage Stores, Inc. | 2,800 | (27,552 | ) | |||||||
Tiffany & Co. (b) | 2,690 | (207,722 | ) | |||||||
Tilly’s, Inc. Class A | 100 | (736 | ) | |||||||
TJX Cos., Inc. | 26,600 | (1,899,772 | ) | |||||||
Tuesday Morning Corp. | 1,700 | (9,197 | ) | |||||||
Urban Outfitters, Inc. | 6,600 | (193,908 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Vitamin Shoppe, Inc. (b) | 8,765 | $ | (286,089 | ) | ||||||
zulily, Inc. Class A | 1,600 | (27,840 | ) | |||||||
|
| |||||||||
(24,623,276 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.2)% | ||||||||||
Advanced Micro Devices, Inc. | 467,300 | (803,756 | ) | |||||||
Altera Corp. | 14 | (701 | ) | |||||||
Applied Micro Circuits Corp. | 12,100 | (64,251 | ) | |||||||
Applied Optoelectronics, Inc. | 3,800 | (71,364 | ) | |||||||
Atmel Corp. | 3,400 | (27,438 | ) | |||||||
Cavium, Inc. | 3,500 | (214,795 | ) | |||||||
Cypress Semiconductor Corp. | 190,335 | (1,621,654 | ) | |||||||
Entegris, Inc. | 300 | (3,957 | ) | |||||||
Fairchild Semiconductor International, Inc. | 400 | (5,616 | ) | |||||||
Integrated Device Technology, Inc. (b) | 5,895 | (119,669 | ) | |||||||
Integrated Silicon Solution, Inc. | 500 | (10,745 | ) | |||||||
Intel Corp. (b) | 3,630 | (109,408 | ) | |||||||
InvenSense, Inc. | 1,000 | (9,290 | ) | |||||||
IPG Photonics Corp. (b) | 4,490 | (341,106 | ) | |||||||
Lam Research Corp. (b) | 5,440 | (355,395 | ) | |||||||
Linear Technology Corp. (b) | 3,755 | (151,514 | ) | |||||||
Maxim Integrated Products, Inc. (b) | 4,730 | (157,982 | ) | |||||||
Maxwell Technologies, Inc. | 200 | (1,084 | ) | |||||||
Monolithic Power Systems, Inc. | 300 | (15,360 | ) | |||||||
NeoPhotonics Corp. | 6,300 | (42,903 | ) | |||||||
NVIDIA Corp. | 700 | (17,255 | ) | |||||||
Pixelworks, Inc. | 10,600 | (38,266 | ) | |||||||
Qorvo, Inc. | 23 | (1,036 | ) | |||||||
QuickLogic Corp. | 5,000 | (7,950 | ) | |||||||
Rubicon Technology, Inc. | 1,000 | (1,030 | ) | |||||||
Sigma Designs, Inc. | 300 | (2,067 | ) | |||||||
Skyworks Solutions, Inc. | 5,700 | (479,997 | ) | |||||||
SunEdison Semiconductor Ltd. | 600 | (6,324 | ) | |||||||
Texas Instruments, Inc. (b) | 2,190 | (108,449 | ) | |||||||
Universal Display Corp. | 400 | (13,560 | ) | |||||||
Xilinx, Inc. (b) | 6,065 | (257,156 | ) | |||||||
|
| |||||||||
(5,061,078 | ) | |||||||||
|
| |||||||||
Software — (0.5)% | ||||||||||
ACI Worldwide, Inc. | 100 | (2,112 | ) | |||||||
Actua Corp. | 100 | (1,176 | ) | |||||||
Amber Road, Inc. | 2,000 | (8,440 | ) | |||||||
ANSYS, Inc. | 700 | (61,698 | ) | |||||||
athenahealth, Inc. (b) | 8,060 | (1,074,801 | ) | |||||||
Avid Technology, Inc. | 3,100 | (24,676 | ) | |||||||
Barracuda Networks, Inc. | 800 | (12,464 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Bazaarvoice, Inc. | 500 | $ | (2,255 | ) | ||||||
Benefitfocus, Inc. | 3,100 | (96,875 | ) | |||||||
Box, Inc. Class A | 5,200 | (65,416 | ) | |||||||
Brightcove, Inc. | 500 | (2,460 | ) | |||||||
BroadSoft, Inc. | 100 | (2,996 | ) | |||||||
CA, Inc. (b) | 16,410 | (447,993 | ) | |||||||
Callidus Software, Inc. | 500 | (8,495 | ) | |||||||
Castlight Health, Inc. Class B | 17,500 | (73,500 | ) | |||||||
CDK Global, Inc. | 400 | (19,112 | ) | |||||||
Cerner Corp. (b) | 112,010 | (6,716,120 | ) | |||||||
ChannelAdvisor Corp. | 3,200 | (31,808 | ) | |||||||
Cornerstone OnDemand, Inc. | 2,600 | (85,800 | ) | |||||||
Datawatch Corp. | 800 | (4,704 | ) | |||||||
Demandware, Inc. | 6,300 | (325,584 | ) | |||||||
Digital Turbine, Inc. | 3,100 | (5,611 | ) | |||||||
Envestnet, Inc. | 6,100 | (182,817 | ) | |||||||
FireEye, Inc. (b) | 38,925 | (1,238,594 | ) | |||||||
FleetMatics Group plc | 200 | (9,818 | ) | |||||||
Glu Mobile, Inc. | 94,500 | (412,965 | ) | |||||||
Guidewire Software, Inc. | 1,100 | (57,838 | ) | |||||||
Hortonworks, Inc. | 4,800 | (105,072 | ) | |||||||
inContact, Inc. | 7,700 | (57,827 | ) | |||||||
Inovalon Holdings, Inc. | 3,200 | (66,656 | ) | |||||||
Jack Henry & Associates, Inc. | 6,500 | (452,465 | ) | |||||||
Jive Software, Inc. | 1,500 | (7,005 | ) | |||||||
KEYW Holding Corp. | 2,400 | (14,760 | ) | |||||||
LivePerson, Inc. | 100 | (756 | ) | |||||||
MedAssets, Inc. (b) | 18,520 | (371,511 | ) | |||||||
Merge Healthcare, Inc. | 300 | (2,130 | ) | |||||||
Mitek Systems, Inc. | 700 | (2,233 | ) | |||||||
MobileIron, Inc. | 4,400 | (13,640 | ) | |||||||
NeuStar, Inc. Class A | 2,000 | (54,420 | ) | |||||||
OPOWER, Inc. | 5,000 | (44,550 | ) | |||||||
Oracle Corp. (b) | 8,145 | (294,197 | ) | |||||||
Paylocity Holding Corp. | 2,100 | (62,979 | ) | |||||||
PROS Holdings, Inc. (b) | 19,525 | (432,283 | ) | |||||||
Quality Systems, Inc. | 200 | (2,496 | ) | |||||||
Rosetta Stone, Inc. | 1,500 | (10,050 | ) | |||||||
Seachange International, Inc. | 300 | (1,890 | ) | |||||||
ServiceNow, Inc. (b) | 1,460 | (101,397 | ) | |||||||
Solera Holdings, Inc. | 14,000 | (756,000 | ) | |||||||
Splunk, Inc. | 100 | (5,535 | ) | |||||||
SPS Commerce, Inc. | 300 | (20,367 | ) | |||||||
Tableau Software, Inc. Class A | 4,200 | (335,076 | ) | |||||||
TubeMogul, Inc. | 7,600 | (79,952 | ) | |||||||
Ultimate Software Group, Inc. | 200 | (35,802 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Varonis Systems, Inc. | 3,100 | $ | (48,298 | ) | ||||||
Veeva Systems, Inc. Class A | 700 | (16,387 | ) | |||||||
VirnetX Holding Corp. | 18,300 | (65,148 | ) | |||||||
Vringo, Inc. | 30,400 | (17,024 | ) | |||||||
Workday, Inc. Class A | 1,600 | (110,176 | ) | |||||||
Xura, Inc. | 1,300 | �� | (29,094 | ) | ||||||
Zendesk, Inc. | 100 | (1,971 | ) | |||||||
Zynga, Inc. Class A | 200 | (456 | ) | |||||||
|
| |||||||||
(14,595,731 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.7)% | ||||||||||
Alliance Data Systems Corp. | 45 | (11,654 | ) | |||||||
Ally Financial, Inc. | 210,600 | (4,292,028 | ) | |||||||
Altisource Portfolio Solutions SA | 15,800 | (376,672 | ) | |||||||
Altisource Residential Corp. | 100 | (1,392 | ) | |||||||
Apollo Residential Mortgage, Inc. | 17,800 | (225,348 | ) | |||||||
Arlington Asset Investment Corp. Class A | 6,700 | (94,135 | ) | |||||||
ARMOUR Residential REIT, Inc. | 44,162 | (885,006 | ) | |||||||
Blackstone Mortgage Trust, Inc. Class A | 8,600 | (235,984 | ) | |||||||
CAI International, Inc. | 100 | (1,008 | ) | |||||||
Chimera Investment Corp. | 42 | (562 | ) | |||||||
CIT Group, Inc. (b) | 2,785 | (111,484 | ) | |||||||
Colony Financial, Inc. | 22,500 | (440,100 | ) | |||||||
CYS Investments, Inc. | 7,200 | (52,272 | ) | |||||||
Discover Financial Services (b) | 1,625 | (84,484 | ) | |||||||
Encore Capital Group, Inc. | 8,800 | (325,600 | ) | |||||||
Enova International, Inc. | 800 | (8,176 | ) | |||||||
Everi Holdings, Inc. | 2,900 | (14,877 | ) | |||||||
Fidelity National Information Services, Inc. | 1,500 | (100,620 | ) | |||||||
First American Financial Corp. | 4,000 | (156,280 | ) | |||||||
FNFV Group | 133 | (1,559 | ) | |||||||
GATX Corp. | 100 | (4,415 | ) | |||||||
Green Dot Corp. Class A | 5,900 | (103,840 | ) | |||||||
Hatteras Financial Corp. | 2,300 | (34,845 | ) | |||||||
Impac Mortgage Holdings, Inc. | 100 | (1,635 | ) | |||||||
Invesco Mortgage Capital, Inc. | 121,867 | (1,491,652 | ) | |||||||
JAVELIN Mortgage Investment Corp. | 4,500 | (27,135 | ) | |||||||
JG Wentworth Co. Class A | 4,300 | (21,199 | ) | |||||||
Ladder Capital Corp. | 300 | (4,296 | ) | |||||||
LendingClub Corp. | 171,400 | (2,267,622 | ) | |||||||
MGIC Investment Corp. | 11,600 | (107,416 | ) | |||||||
Nationstar Mortgage Holdings, Inc. | 95,100 | (1,319,037 | ) | |||||||
New Residential Investment Corp. | 1,300 | (17,030 | ) | |||||||
New York Mortgage Trust, Inc. | 11,500 | (63,135 | ) | |||||||
Ocwen Financial Corp. | 150,200 | (1,007,842 | ) | |||||||
On Deck Capital, Inc. | 2,600 | (25,740 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Orchid Island Capital, Inc. | 23,000 | $ | (212,750 | ) | ||||||
PennyMac Mortgage Investment Trust | 200 | (3,094 | ) | |||||||
PHH Corp. | 24,800 | (350,176 | ) | |||||||
RAIT Financial Trust | 50,400 | (249,984 | ) | |||||||
Redwood Trust, Inc. | 2,400 | (33,216 | ) | |||||||
Resource Capital Corp. REIT | 8,000 | (89,360 | ) | |||||||
Santander Consumer USA Holdings, Inc. | 10,800 | (220,536 | ) | |||||||
SLM Corp. | 175,600 | (1,299,440 | ) | |||||||
Springleaf Holdings, Inc. | 300 | (13,116 | ) | |||||||
Starwood Property Trust, Inc. | 5,700 | (116,964 | ) | |||||||
Stewart Information Services Corp. | 300 | (12,273 | ) | |||||||
Stonegate Mortgage Corp. | 1,300 | (9,243 | ) | |||||||
Textainer Group Holdings Ltd. | 2,500 | (41,225 | ) | |||||||
Visa, Inc. A Shares | 35,200 | (2,452,032 | ) | |||||||
Walter Investment Management Corp. | 10,500 | (170,625 | ) | |||||||
Western Asset Mortgage Capital Corp. | 54,800 | (691,028 | ) | |||||||
WEX, Inc. (b) | 4,010 | (348,228 | ) | |||||||
Xoom Corp. | 10,100 | (251,288 | ) | |||||||
|
| |||||||||
(20,480,658 | ) | |||||||||
|
| |||||||||
Technology Services — (0.1)% | ||||||||||
Booz Allen Hamilton Holding Corp. | 800 | (20,968 | ) | |||||||
Endurance International Group Holdings, Inc. | 100 | (1,336 | ) | |||||||
Engility Holdings, Inc. | 100 | (2,578 | ) | |||||||
EPAM Systems, Inc. | 100 | (7,452 | ) | |||||||
FactSet Research Systems, Inc. | 100 | (15,981 | ) | |||||||
FICO STRIPS—PRINCIPAL | 2,300 | (194,350 | ) | |||||||
Gartner, Inc. | 100 | (8,393 | ) | |||||||
IHS, Inc. Class A | 500 | (58,000 | ) | |||||||
IMS Health Holdings, Inc. (b) | 17,000 | (494,700 | ) | |||||||
International Business Machines Corp. (b) | 3,275 | (474,777 | ) | |||||||
MarketAxess Holdings, Inc. | 1,000 | (92,880 | ) | |||||||
MAXIMUS, Inc. | 3,100 | (184,636 | ) | |||||||
Morningstar, Inc. | 100 | (8,026 | ) | |||||||
MSCI, Inc. | 400 | (23,784 | ) | |||||||
Rentrak Corp. | 7,500 | (405,525 | ) | |||||||
ServiceSource International, Inc. | 2,700 | (10,800 | ) | |||||||
Spherix, Inc. | 500 | (170 | ) | |||||||
Thomson Reuters Corp. | 28,700 | (1,155,462 | ) | |||||||
Travelport Worldwide Ltd. | 1,300 | (17,186 | ) | |||||||
Unisys Corp. | 4,100 | (48,790 | ) | |||||||
WageWorks, Inc. | 200 | (9,016 | ) | |||||||
|
| |||||||||
(3,234,810 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Telecommunications — (0.1)% | ||||||||||
CenturyLink, Inc. (b) | 2,395 | $ | (60,163 | ) | ||||||
Cincinnati Bell, Inc. | 1,000 | (3,120 | ) | |||||||
Cogent Communications Holdings, Inc. | 11,400 | (309,624 | ) | |||||||
DigitalGlobe, Inc. | 1,200 | (22,824 | ) | |||||||
Frontier Communications Corp. | 11,600 | (55,100 | ) | |||||||
Global Eagle Entertainment, Inc. | 4,200 | (48,216 | ) | |||||||
Globalstar, Inc. | 142,700 | (224,039 | ) | |||||||
Gogo, Inc. | 32,300 | (493,544 | ) | |||||||
HC2 Holdings, Inc. | 600 | (4,206 | ) | |||||||
Intelsat SA | 8,500 | (54,655 | ) | |||||||
Iridium Communications, Inc. | 16,200 | (99,630 | ) | |||||||
Sprint Corp. | 141,700 | (544,128 | ) | |||||||
Straight Path Communications, Inc. | 3,800 | (153,558 | ) | |||||||
Verizon Communications, Inc. (b) | 1,665 | (72,444 | ) | |||||||
Voltari Corp. | 600 | (4,260 | ) | |||||||
WidePoint Corp. | 1,200 | (1,056 | ) | |||||||
Windstream Holdings, Inc. | 40,200 | (246,828 | ) | |||||||
Zayo Group Holdings, Inc. | 1,100 | (27,896 | ) | |||||||
|
| |||||||||
(2,425,291 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
CH Robinson Worldwide, Inc. | 5,700 | (386,346 | ) | |||||||
Con-way, Inc. | 6,700 | (317,915 | ) | |||||||
DHT Holdings, Inc. | 23,600 | (175,112 | ) | |||||||
Dorian LPG Ltd. | 4,700 | (48,457 | ) | |||||||
Eagle Bulk Shipping, Inc. | 1,200 | (7,116 | ) | |||||||
Echo Global Logistics, Inc. | 2,400 | (47,040 | ) | |||||||
Heartland Express, Inc. | 900 | (17,946 | ) | |||||||
Hornbeck Offshore Services, Inc. | 4,300 | (58,179 | ) | |||||||
Macquarie Infrastructure Co. LLC | 21,900 | (1,635,054 | ) | |||||||
Nordic American Tankers Ltd. | 63,100 | (959,120 | ) | |||||||
Odyssey Marine Exploration, Inc. | 800 | (288 | ) | |||||||
Scorpio Bulkers, Inc. | 6,300 | (9,198 | ) | |||||||
UTi Worldwide, Inc. | 900 | (4,131 | ) | |||||||
XPO Logistics, Inc. | 30,600 | (729,198 | ) | |||||||
|
| |||||||||
(4,395,100 | ) | |||||||||
|
| |||||||||
Transportation Equipment — (0.1)% | ||||||||||
Clean Diesel Technologies, Inc. | 13,100 | (20,043 | ) | |||||||
Cummins, Inc. (b) | 610 | (66,234 | ) | |||||||
Greenbrier Cos., Inc. | 2,000 | (64,220 | ) | |||||||
Meritor, Inc. | 5,100 | (54,213 | ) | |||||||
Navistar International Corp. | 106,100 | (1,349,592 | ) | |||||||
Wabash National Corp. | 2,800 | (29,652 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
WABCO Holdings, Inc. | 100 | $ | (10,483 | ) | ||||||
Wabtec Corp. | 2,300 | (202,515 | ) | |||||||
|
| |||||||||
(1,796,952 | ) | |||||||||
|
| |||||||||
Utilities — (0.5)% | ||||||||||
ALLETE, Inc. | 1,700 | (85,833 | ) | |||||||
American States Water Co., Inc. | 1,800 | (74,520 | ) | |||||||
American Water Works Co., Inc. | 2,600 | (143,208 | ) | |||||||
Aqua America, Inc. | 8,000 | (211,760 | ) | |||||||
Atlantic Power Corp. | 39,500 | (73,470 | ) | |||||||
Calpine Corp. | 5,300 | (77,380 | ) | |||||||
Cleco Corp. | 900 | (47,916 | ) | |||||||
CMS Energy Corp. | 5,400 | (190,728 | ) | |||||||
Consolidated Edison, Inc. | 8,300 | (554,855 | ) | |||||||
Duke Energy Corp. | 1,600 | (115,104 | ) | |||||||
Dynegy, Inc. | 67,500 | (1,395,225 | ) | |||||||
Edison International | 1,600 | (100,912 | ) | |||||||
FirstEnergy Corp. | 100 | (3,131 | ) | |||||||
Genie Energy Ltd. Class B | 2,000 | (16,460 | ) | |||||||
Great Plains Energy, Inc. | 23,200 | (626,864 | ) | |||||||
Laclede Group, Inc. | 11,700 | (638,001 | ) | |||||||
NextEra Energy, Inc. | 700 | (68,285 | ) | |||||||
NorthWestern Corp. | 10,600 | (570,598 | ) | |||||||
NRG Energy, Inc. | 185,300 | (2,751,705 | ) | |||||||
NRG Yield, Inc. Class C | 2,600 | (30,186 | ) | |||||||
OGE Energy Corp. | 400 | (10,944 | ) | |||||||
ONE Gas, Inc. | 400 | (18,132 | ) | |||||||
Ormat Technologies, Inc. | 100 | (3,403 | ) | |||||||
Pattern Energy Group, Inc. | 60,300 | (1,151,127 | ) | |||||||
Pepco Holdings, Inc. | 32,200 | (779,884 | ) | |||||||
Piedmont Natural Gas Co., Inc. | 600 | (24,042 | ) | |||||||
PNM Resources, Inc. | 800 | (22,440 | ) | |||||||
Portland General Electric Co. | 10,700 | (395,579 | ) | |||||||
Public Service Enterprise Group, Inc. | 800 | (33,728 | ) | |||||||
Questar Corp. | 900 | (17,469 | ) | |||||||
SCANA Corp. | 5,500 | (309,430 | ) | |||||||
South Jersey Industries, Inc. | 1,400 | (35,350 | ) | |||||||
Southern Co. | 52,800 | (2,360,160 | ) | |||||||
TECO Energy, Inc. | 18,900 | (496,314 | ) | |||||||
TerraForm Power, Inc. | 14,900 | (211,878 | ) | |||||||
UGI Corp. | 7,800 | (271,596 | ) | |||||||
Vectren Corp. | 600 | (25,206 | ) | |||||||
WEC Energy Group, Inc. | 1,471 | (76,816 | ) | |||||||
Westar Energy, Inc. | 11,100 | (426,684 | ) | |||||||
WGL Holdings, Inc. | 100 | (5,767 | ) | |||||||
|
| |||||||||
(14,452,090 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
Waste & Environmental Service Equipment & Facility — (0.0)% | ||||||||||
Covanta Holding Corp. | 9,400 | $ | (164,030 | ) | ||||||
MagneGas Corp. | 3,800 | (3,800 | ) | |||||||
Tetra Tech, Inc. | 200 | (4,862 | ) | |||||||
US Ecology, Inc. | 500 | (21,825 | ) | |||||||
Vertex Energy, Inc. | 600 | (1,284 | ) | |||||||
|
| |||||||||
(195,801 | ) | |||||||||
|
| |||||||||
Total United States | (462,453,659 | ) | ||||||||
|
| |||||||||
TOTAL COMMON STOCK | (545,484,043 | ) | ||||||||
|
| |||||||||
Security Description | Principal Amount | Value | ||||||||
CORPORATE BONDS & NOTES — (0.4)% | ||||||||||
Australia — (0.0)% | ||||||||||
Metals & Mining — (0.0)% | ||||||||||
PT FMG Resources August 2006 Pty Ltd., 9.75%, 03/01/22 (b),(e) | $ | 865,000 | (809,856 | ) | ||||||
|
| |||||||||
Total Australia | (809,856 | ) | ||||||||
|
| |||||||||
Netherlands — (0.0)% | ||||||||||
Cable & Satellite — (0.0)% | ||||||||||
Neptune Finco Corp., 10.88%, 10/15/25 (b),(e) | 266,000 | (269,990 | ) | |||||||
|
| |||||||||
Total Netherlands | (269,990 | ) | ||||||||
|
| |||||||||
United States — (0.4)% | ||||||||||
Cable & Satellite — (0.1)% | ||||||||||
Cablevision Systems Corp., 5.88%, 09/15/22 (b) | 43,000 | (32,787 | ) | |||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp., 5.13%, 12/15/21 (b),(e) | 1,346,000 | (1,194,575 | ) | |||||||
CSC Holdings LLC, 5.25%, 06/01/24 (b) | 174,000 | (138,113 | ) | |||||||
|
| |||||||||
(1,365,475 | ) | |||||||||
|
| |||||||||
Consumer Finance — (0.0)% | ||||||||||
First Data Corp., 5.38%, 08/15/23 (b),(e) | 450,000 | (447,750 | ) | |||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
American Achievement Corp., 10.88%, 04/15/16 (b),(e) | 378,000 | (376,110 | ) | |||||||
|
| |||||||||
Entertainment Resources — (0.0)% | ||||||||||
LTF Merger Sub, Inc., 8.50%, 06/15/23 (b),(e) | 619,000 | (591,145 | ) | |||||||
|
| |||||||||
Exploration & Production — (0.1)% | ||||||||||
Clayton Williams Energy, Inc., 7.75%, 04/01/19 (b) | 264,000 | (226,050 | ) | |||||||
Oasis Petroleum, Inc., 6.88%, 03/15/22 (b) | 3,036,000 | (2,413,620 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Oasis Petroleum, Inc., 7.25%, 02/01/19 (b) | $ | 1,164,000 | $ | (1,038,870 | ) | |||||
|
| |||||||||
(3,678,540 | ) | |||||||||
|
| |||||||||
Financial Services — (0.1)% | ||||||||||
Harland Clarke Holdings Corp., 9.25%, 03/01/21 (b),(e) | 927,000 | (776,363 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 5.63%, 10/15/23 (b),(e) | 90,000 | (82,350 | ) | |||||||
|
| |||||||||
Medical Equipment/Devices — (0.0)% | ||||||||||
Alere, Inc., 6.38%, 07/01/23 (b),(e) | 300,000 | (306,000 | ) | |||||||
|
| |||||||||
Pharmaceuticals — (0.1)% | ||||||||||
Valeant Pharmaceuticals International, Inc., 6.13%, 04/15/25 (b),(e) | 1,849,000 | (1,780,402 | ) | |||||||
|
| |||||||||
Publishing & Broadcasting — (0.0)% | ||||||||||
Sinclair Television Group, Inc., 5.38%, 04/01/21 (b) | 270,000 | (265,950 | ) | |||||||
Sinclair Television Group, Inc., 5.63%, 08/01/24 (b),(e) | 532,000 | (487,445 | ) | |||||||
|
| |||||||||
(753,395 | ) | |||||||||
|
| |||||||||
Software & Services — (0.0)% | ||||||||||
Italics Merger Sub, Inc., 7.13%, 07/15/23 (b),(e) | 568,000 | (545,280 | ) | |||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Navistar International Corp., 8.25%, 11/01/21 (b) | 425,000 | (340,531 | ) | |||||||
|
| |||||||||
Wireless Telecommunication Services — (0.0)% | ||||||||||
Sprint Capital Corp., 6.88%, 11/15/28 (b) | 360,000 | (262,800 | ) | |||||||
Sprint Corp., 7.63%, 02/15/25 (b) | 524,000 | (408,393 | ) | |||||||
|
| |||||||||
(671,193 | ) | |||||||||
|
| |||||||||
Total United States | (11,714,534 | ) | ||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | (12,794,380 | ) | ||||||||
|
| |||||||||
Security Description | Shares | Value | ||||||||
EXCHANGE-TRADED FUNDS — (3.9)% | ||||||||||
Alerian MLP ETF | 23,752 | (296,425 | ) | |||||||
Consumer Staples Select Sector SPDR Fund | 264,246 | (12,469,769 | ) | |||||||
Financial Select Sector SPDR Fund | 325,907 | (7,385,053 | ) | |||||||
Health Care Select Sector SPDR Fund (b) | 108,165 | (7,163,768 | ) | |||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 37,968 | (4,407,705 | ) | |||||||
iShares Nasdaq Biotechnology ETF (b) | 21,804 | (6,613,807 | ) | |||||||
iShares Russell 2000 ETF | 46,703 | (5,099,968 | ) |
See Notes to Consolidated Financial Statements.
232
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||||
iShares U.S. Healthcare ETF (b) | 30,700 | $ | (4,295,544 | ) | ||||||
iShares U.S. Healthcare Providers ETF (b) | 33,620 | (4,164,845 | ) | |||||||
Powershares QQQ Trust Series 1 | 151,700 | (15,436,992 | ) | |||||||
SPDR S&P 500 ETF Trust (b) | 123,256 | (23,619,547 | ) | |||||||
SPDR S&P Biotech ETF (b) | 53,280 | (3,316,680 | ) | |||||||
SPDR S&P Regional Banking ETF | 218,616 | (9,002,607 | ) | |||||||
Vanguard FTSE Developed Markets ETF | 299,386 | (10,670,117 | ) | |||||||
|
| |||||||||
TOTAL EXCHANGE-TRADED FUNDS | (113,942,827 | ) | ||||||||
|
| |||||||||
TOTAL SECURITIES SOLD SHORT — (22.8)% | $ | (672,221,250 | ) | |||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(c) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. In addition “Other Assets” may include pending sales that are also on loan. |
(d) | All or a portion of this security is pledged as collateral for derivative financial instruments. |
(e) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(f) | Security considered illiquid. |
(g) | Variable/floating interest rate security. Rate presented is as of September 30, 2015. |
(h) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
(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, 2015. Maturity date presented is the ultimate maturity. |
(l) | Rate disclosed, the 7 day net yield, is as of September 30, 2015. |
(m) | Approximates cost for federal tax purposes. |
(n) | Assets, other than investments in securities, less liabilities other than securities sold short. |
See Notes to Consolidated Financial Statements.
233
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Options Written Contracts Outstanding at September 30, 2015
Strike | Expiration | Contracts | Premium | Market | Unrealized | |||||||||||||||
Exchange-Traded Call Options Written | ||||||||||||||||||||
Alstom SA | 30.00 EUR | 10/16/15 | 1,206 | $ | (108,701 | ) | $ | (21,561 | ) | $ | 87,140 | |||||||||
Alstom SA | 29.00 EUR | 10/16/15 | 288 | (14,030 | ) | (4,988 | ) | 9,042 | ||||||||||||
Atos | 70.00 EUR | 11/20/15 | 306 | (59,655 | ) | (71,462 | ) | (11,807 | ) | |||||||||||
Comcast Corp. | 62.50 USD | 11/20/15 | 3,702 | (196,048 | ) | (140,676 | ) | 55,372 | ||||||||||||
Imperial Tobacco Group PLC | 33.00 GBP | 12/18/15 | 43 | (59,719 | ) | (151,400 | ) | (91,681 | ) | |||||||||||
S&P 500 Index | 1,940.00 USD | 10/16/15 | 64 | (105,405 | ) | (153,600 | ) | (48,195 | ) | |||||||||||
S&P 500 Index | 1,950.00 USD | 10/16/15 | 172 | (290,157 | ) | (307,880 | ) | (17,723 | ) | |||||||||||
SabMiller PLC | 37.00 GBP | 11/20/15 | 31 | (85,032 | ) | (117,004 | ) | (31,972 | ) | |||||||||||
Shire PLC | 285.00 USD | 01/15/16 | 221 | (128,883 | ) | (18,232 | ) | 110,651 | ||||||||||||
Shire PLC | 265.00 USD | 10/16/15 | 221 | (105,777 | ) | (7,072 | ) | 98,705 | ||||||||||||
Vodafone Group PLC | 2.70 GBP | 10/16/15 | 4,291 | (136,039 | ) | (16,228 | ) | 119,811 | ||||||||||||
Vodafone Group PLC | 2.60 GBP | 11/20/15 | 1,793 | (51,203 | ) | (6,781 | ) | 44,422 | ||||||||||||
$ | (1,340,649 | ) | $ | (1,016,884 | ) | $ | 323,765 | |||||||||||||
Exchange-Traded Put Options Written | ||||||||||||||||||||
Alstom SA | 28.00 EUR | 10/16/15 | 1,221 | $ | (94,456 | ) | $ | (97,551 | ) | $ | (3,095 | ) | ||||||||
Alstom SA | 29.00 EUR | 10/16/15 | 933 | (107,204 | ) | (183,486 | ) | (76,282 | ) | |||||||||||
Apple, Inc. | 107.00 USD | 10/02/15 | 2,384 | (146,480 | ) | (71,520 | ) | 74,960 | ||||||||||||
Atos | 66.00 EUR | 11/20/15 | 306 | (57,964 | ) | (57,443 | ) | 521 | ||||||||||||
iShares Russell 2000 ETF | 94.00 USD | 01/15/16 | 808 | (108,463 | ) | (138,168 | ) | (29,705 | ) | |||||||||||
iShares Russell 2000 ETF | 93.00 USD | 10/16/15 | 943 | (12,455 | ) | (7,073 | ) | 5,382 | ||||||||||||
S&P 500 Index | 1,800.00 USD | 10/16/15 | 183 | (118,393 | ) | (132,675 | ) | (14,282 | ) | |||||||||||
S&P 500 Index | 1,775.00 USD | 10/16/15 | 40 | (75,878 | ) | (24,000 | ) | 51,878 | ||||||||||||
SPDR S&P 500 ETF Trust | 178.00 USD | 10/02/15 | 1,737 | (41,615 | ) | (3,474 | ) | 38,141 | ||||||||||||
SPDR S&P 500 ETF Trust | 180.00 USD | 10/09/15 | 943 | (62,302 | ) | (36,777 | ) | 25,525 | ||||||||||||
SPDR S&P 500 ETF Trust | 182.00 USD | 10/16/15 | 468 | (43,036 | ) | (54,756 | ) | (11,720 | ) | |||||||||||
$ | (868,246 | ) | $ | (806,923 | ) | $ | 61,323 | |||||||||||||
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Counterparty | Strike | Expiration | Contracts | Premium | Market | Unrealized | ||||||||||||||||||||
OTC Put Options Written |
| |||||||||||||||||||||||||
Financial Select Sector SPDR Fund | Morgan Stanley & Co. International plc | 18.75 USD | 01/13/16 | 616,800 | $ | (59,380 | ) | $ | (151,314 | ) | $ | (91,934 | ) | |||||||||||||
$ | (59,380 | ) | $ | (151,314 | ) | $ | (91,934 | ) | ||||||||||||||||||
Total Options Written Outstanding |
| $ | (2,268,275 | ) | $ | (1,975,121 | ) | $ | 293,154 | |||||||||||||||||
Reverse Repurchase Agreements Outstanding at September 30, 2015
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
BNP Paribas Securities Corp. | 1.33% | 09/28/15 | 01/04/16 | $ | 4,210,000 | $ | 4,210,467 | |||||||||
BNP Paribas Securities Corp. | 1.83% | 09/28/15 | 01/04/16 | 997,000 | 997,152 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.70% | 08/04/15 | 11/04/15 | 1,364,000 | 1,367,736 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.70% | 08/04/15 | 11/04/15 | 638,000 | 639,748 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.85% | 07/21/15 | 10/19/15 | 14,034,000 | 14,085,786 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.92% | 08/27/15 | 11/16/15 | 5,570,000 | 5,580,421 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.93% | 09/28/15 | 12/17/15 | 9,015,000 | 9,016,447 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.96% | 09/14/15 | 10/14/15 | 474,000 | 474,438 | |||||||||||
Credit Suisse Securities (USA) LLC | 1.99% | 09/14/15 | 12/15/15 | 2,611,000 | 2,613,448 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.08% | 08/17/15 | 11/16/15 | 4,989,000 | 5,001,989 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,264,000 | 1,269,347 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,251,000 | 1,256,292 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/22/15 | 2,725,000 | 2,736,528 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 357,000 | 358,510 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 591,000 | 593,500 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 750,000 | 753,173 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,372,000 | 1,377,804 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 221,000 | 221,935 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,473,000 | 1,479,231 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 848,000 | 851,587 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/22/15 | 4,178,000 | 4,195,675 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.15% | 07/22/15 | 10/20/15 | 1,497,000 | 1,503,333 | |||||||||||
Credit Suisse Securities (USA) LLC | 2.19% | 09/14/15 | 12/15/15 | 585,000 | 585,604 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.69% | 09/28/15 | 10/28/15 | 5,569,000 | 5,569,784 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.69% | 09/28/15 | 10/28/15 | 18,095,000 | 18,097,548 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.69% | 09/28/15 | 10/28/15 | 8,063,000 | 8,064,136 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.71% | 09/17/15 | 10/19/15 | 2,945,000 | 2,946,958 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.71% | 09/14/15 | 10/14/15 | 930,000 | 930,751 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.79% | 09/30/15 | 10/13/15 | 2,225,000 | 2,225,000 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.80% | 09/03/15 | 10/05/15 | 1,119,000 | 1,120,567 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.80% | 09/03/15 | 10/05/15 | 2,287,000 | 2,290,202 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.80% | 09/24/15 | 10/23/15 | $ | 1,103,000 | $ | 1,103,386 | |||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.80% | 09/11/15 | 10/13/15 | 458,000 | 458,458 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.84% | 07/29/15 | 10/29/15 | 1,516,000 | 1,520,959 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.89% | 07/24/15 | 10/26/15 | 1,441,000 | 1,446,220 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.89% | 07/24/15 | 10/26/15 | 1,791,000 | 1,797,488 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.90% | 07/30/15 | 10/30/15 | 1,212,000 | 1,216,030 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.91% | 09/14/15 | 10/14/15 | 456,000 | 456,411 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.91% | 09/14/15 | 10/14/15 | 1,489,000 | 1,490,343 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.91% | 09/17/15 | 10/19/15 | 296,000 | 296,220 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.93% | 08/21/15 | 11/23/15 | 7,647,000 | 7,663,808 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 09/03/15 | 10/05/15 | 1,015,000 | 1,016,539 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 08/05/15 | 11/05/15 | 541,000 | 542,670 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 08/06/15 | 11/06/15 | 1,466,000 | 1,470,447 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 08/06/15 | 11/06/15 | 1,294,000 | 1,297,925 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 08/06/15 | 11/06/15 | 1,986,000 | 1,992,024 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 09/24/15 | 10/23/15 | 1,550,000 | 1,550,588 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1.95% | 09/24/15 | 10/23/15 | 203,000 | 203,066 | |||||||||||
Royal Bank of Canada | 0.02% | 09/24/15 | 12/21/15 | 7,684,000 | 7,686,608 | |||||||||||
Royal Bank of Canada | 1.30% | 07/27/15 | 10/27/15 | 2,601,000 | 2,607,176 | |||||||||||
Royal Bank of Canada | 1.40% | 08/05/15 | 11/05/15 | 1,226,000 | 1,228,725 | |||||||||||
Royal Bank of Canada | 1.43% | 09/30/15 | 01/04/16 | 5,180,000 | 5,180,000 | |||||||||||
Royal Bank of Canada | 1.50% | 04/16/15 | 10/20/15 | 714,000 | 718,888 | |||||||||||
Royal Bank of Canada | 1.51% | 09/10/15 | 01/11/16 | 923,000 | 923,812 | |||||||||||
Royal Bank of Canada | 1.51% | 09/10/15 | 01/11/16 | 1,152,000 | 1,153,013 | |||||||||||
Royal Bank of Canada | 1.51% | 09/10/15 | 01/11/16 | 2,223,000 | 2,224,955 | |||||||||||
Royal Bank of Canada | 1.51% | 05/11/15 | 11/12/15 | 697,000 | 701,163 | |||||||||||
Royal Bank of Canada | 1.52% | 05/21/15 | 11/23/15 | 484,000 | 486,692 | |||||||||||
Royal Bank of Canada | 1.52% | 05/22/15 | 11/23/15 | 2,822,000 | 2,837,697 | |||||||||||
Royal Bank of Canada | 1.52% | 05/22/15 | 11/23/15 | 3,065,000 | 3,082,049 | |||||||||||
Royal Bank of Canada | 1.62% | 08/17/15 | 02/17/16 | 1,912,000 | 1,915,869 | |||||||||||
Royal Bank of Canada | 1.69% | 08/05/15 | 02/05/16 | 951,000 | 953,541 | |||||||||||
Royal Bank of Canada | 1.82% | 07/28/15 | 01/27/16 | 9,014,000 | 9,043,616 | |||||||||||
Royal Bank of Canada | 1.84% | 08/06/15 | 02/08/16 | 518,000 | 519,479 | |||||||||||
Royal Bank of Canada | 1.86% | 09/10/15 | 01/11/16 | 803,000 | 803,870 | |||||||||||
Royal Bank of Canada | 1.86% | 09/10/15 | 01/11/16 | 1,100,000 | 1,101,192 | |||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 170,780,000 | $ | 171,106,024 | |||||||||||
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Futures Contracts Outstanding at September 30, 2015
Description | Contracts | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
Long Futures | ||||||||||||||||||||
Australian 10-Year Bond | 599 | SFE | 76,539,941 AUD | 12/15/15 | $ | 686,637 | ||||||||||||||
CAC40 10 Euro | 253 | Euronext | 11,522,474 EUR | 10/16/15 | (290,723 | ) | ||||||||||||||
Canada 10-Year Bond | 192 | CDE | 27,506,851 CAD | 12/18/15 | (212,192 | ) | ||||||||||||||
CBOE Volatility Index | 59 | CFE | 1,213,766 USD | 11/18/15 | 91,609 | |||||||||||||||
CHF Currency | 76 | CME | 9,754,287 USD | 12/14/15 | 13,613 | |||||||||||||||
Cocoa | 326 | ICE | 10,379,476 USD | 12/15/15 | (227,836 | ) | ||||||||||||||
Coffee | 180 | ICE | 8,281,856 USD | 03/18/16 | 115,144 | |||||||||||||||
Corn | 233 | CBOT | 4,773,895 USD | 07/14/16 | 11,342 | |||||||||||||||
Corn | 331 | CBOT | 6,269,825 USD | 12/14/15 | 147,438 | |||||||||||||||
Cotton No. 2 | 719 | ICE | 23,373,746 USD | 12/08/15 | (1,645,566 | ) | ||||||||||||||
DAX Index | 28 | Eurex | 7,089,926 EUR | 12/18/15 | (366,816 | ) | ||||||||||||||
Euro FX | 128 | CME | 17,895,504 USD | 12/14/15 | (9,104 | ) | ||||||||||||||
Euro-BTP | 559 | Eurex | 74,640,911 EUR | 12/08/15 | 1,726,605 | |||||||||||||||
FTSE 100 Index | 2 | ICE | 118,341 GBP | 12/18/15 | 3,069 | |||||||||||||||
Gasoline RBOB | 181 | NYMEX | 10,610,503 USD | 10/30/15 | (220,850 | ) | ||||||||||||||
Gold 100 Oz | 132 | COMEX | 14,465,832 USD | 12/29/15 | 254,808 | |||||||||||||||
Hang Seng Index | 145 | HKFE | 153,047,743 HKD | 10/29/15 | (297,513 | ) | ||||||||||||||
IBEX 35 Index | 203 | MEFF | 19,705,528 EUR | 10/16/15 | (378,484 | ) | ||||||||||||||
Japanese YEN Currency | 264 | CME | 27,344,064 USD | 12/14/15 | 187,836 | |||||||||||||||
Live Cattle | 170 | CME | 9,543,559 USD | 02/29/16 | (480,859 | ) | ||||||||||||||
Long Gilt | 320 | ICE | 37,688,047 GBP | 12/29/15 | 621,972 | |||||||||||||||
Mex Bolsa Index | 292 | MexDer | 125,530,823 MXN | 12/18/15 | (60,630 | ) | ||||||||||||||
Nasdaq 100 E-Mini | 89 | CME | 7,701,559 USD | 12/18/15 | (291,419 | ) | ||||||||||||||
Nikkei 225 | 123 | OSE | 2,200,833,490 JPY | 12/10/15 | (515,680 | ) | ||||||||||||||
NY Harbor ULSD | 66 | NYMEX | 4,302,406 USD | 10/30/15 | (40,733 | ) | ||||||||||||||
OMXS30 Index | 1,174 | Nasdaq OMX | 173,196,546 SEK | 10/16/15 | (838,338 | ) | ||||||||||||||
S&P 500 E-Mini | 2,070 | CME | 197,839,389 USD | 12/18/15 | (288,939 | ) | ||||||||||||||
S&P/TSX 60 Index | 35 | CDE | 5,460,086 CAD | 12/17/15 | (65 | ) | ||||||||||||||
Soybean Meal | 570 | CBOT | 17,595,376 USD | 12/14/15 | 17,624 | |||||||||||||||
SPI 200 | 364 | SFE | 46,255,469 AUD | 12/17/15 | (485,553 | ) | ||||||||||||||
Sugar 11 | 437 | ICE | 5,929,119 USD | 02/29/16 | 374,868 | |||||||||||||||
Swiss Market Index | 35 | Eurex | 3,042,550 CHF | 12/18/15 | (73,261 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 800 | CBOT | 101,746,258 USD | 12/21/15 | 1,241,242 | |||||||||||||||
Wheat | 167 | CBOT | 4,060,689 USD | 03/14/16 | 277,136 | |||||||||||||||
Wheat | 103 | CBOT | 2,512,654 USD | 12/14/15 | 128,009 | |||||||||||||||
|
| |||||||||||||||||||
$ | (825,609 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Short Futures | ||||||||||||||||||||
90 Day Eurodollar | 34 | CME | 8,349,057 USD | 06/19/17 | $ | (48,943 | ) | |||||||||||||
90 Day Eurodollar | 4 | CME | 971,222 USD | 06/15/20 | (4,928 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Description | Contracts | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
90 Day Eurodollar | 9 | CME | 2,192,627 USD | 03/18/19 | $ | (13,611 | ) | |||||||||||||
90 Day Eurodollar | 13 | CME | 3,171,948 USD | 12/17/18 | (17,765 | ) | ||||||||||||||
90 Day Eurodollar | 12 | CME | 2,922,774 USD | 06/17/19 | (16,026 | ) | ||||||||||||||
90 Day Eurodollar | 1 | CME | 241,960 USD | 03/15/21 | (1,515 | ) | ||||||||||||||
90 Day Eurodollar | 69 | CME | 17,089,003 USD | 06/13/16 | (49,735 | ) | ||||||||||||||
90 Day Eurodollar | 83 | CME | 20,631,606 USD | 12/14/15 | (32,281 | ) | ||||||||||||||
90 Day Eurodollar | 82 | CME | 20,345,784 USD | 03/14/16 | (47,616 | ) | ||||||||||||||
90 Day Eurodollar | 51 | CME | 12,595,901 USD | 09/19/16 | (53,374 | ) | ||||||||||||||
90 Day Eurodollar | 40 | CME | 9,857,279 USD | 12/19/16 | (48,221 | ) | ||||||||||||||
90 Day Eurodollar | 27 | CME | 6,610,093 USD | 12/18/17 | (42,369 | ) | ||||||||||||||
90 Day Eurodollar | 25 | CME | 6,128,835 USD | 09/18/17 | (38,665 | ) | ||||||||||||||
90 Day Eurodollar | 24 | CME | 5,868,389 USD | 03/19/18 | (38,611 | ) | ||||||||||||||
90 Day Eurodollar | 10 | CME | 2,427,587 USD | 12/16/19 | (16,913 | ) | ||||||||||||||
90 Day Eurodollar | 13 | CME | 3,159,429 USD | 09/16/19 | (21,346 | ) | ||||||||||||||
90 Day Eurodollar | 39 | CME | 9,592,788 USD | 03/13/17 | (52,887 | ) | ||||||||||||||
90 Day Eurodollar | 18 | CME | 4,393,766 USD | 06/18/18 | (31,759 | ) | ||||||||||||||
90 Day Eurodollar | 15 | CME | 3,661,937 USD | 09/17/18 | (22,251 | ) | ||||||||||||||
90 Day Eurodollar | 9 | CME | 2,187,564 USD | 03/16/20 | (10,573 | ) | ||||||||||||||
90 Day Eurodollar | 3 | CME | 731,467 USD | 09/14/20 | (45 | ) | ||||||||||||||
AUD/USD Currency | 132 | CME | 9,243,599 USD | 12/14/15 | 19,439 | |||||||||||||||
Australian 10-Year Bond | 90 | SFE | 11,524,057 AUD | 12/15/15 | (86,393 | ) | ||||||||||||||
Brent Crude | 6 | ICE | 301,083 USD | 11/13/15 | 6,783 | |||||||||||||||
British Pond Currency | 210 | CME | 20,131,103 USD | 12/14/15 | 295,290 | |||||||||||||||
Canadian Currency | 195 | CME | 14,761,851 USD | 12/15/15 | 160,251 | |||||||||||||||
Coffee | 61 | ICE | 2,732,554 USD | 12/18/15 | (43,327 | ) | ||||||||||||||
Dax Index | 5 | Eurex | 1,225,144 EUR | 12/18/15 | 19,786 | |||||||||||||||
Euro Stoxx 50 | 5,965 | Eurex | 192,240,890 EUR | 12/18/15 | 8,785,822 | |||||||||||||||
Euro-BOBL | 2 | Eurex | 257,058 EUR | 12/08/15 | (1,097 | ) | ||||||||||||||
Euro-Bund | 678 | Eurex | 104,178,219 EUR | 12/08/15 | (1,920,365 | ) | ||||||||||||||
Euro-Oat | 233 | Eurex | 34,627,940 EUR | 12/08/15 | (781,643 | ) | ||||||||||||||
FTSE 100 Index | 304 | ICE | 18,374,596 GBP | 12/18/15 | 118,532 | |||||||||||||||
FTSE/JSE Top 40 | 961 | Safex | 427,366,815 ZAR | 12/17/15 | (571,356 | ) | ||||||||||||||
Gasoline RBOB | 58 | NYMEX | 3,885,017 USD | 03/31/16 | 6,905 | |||||||||||||||
Hang Seng Index | 12 | HKFE | 12,487,197 HKD | 10/29/15 | 1,548 | |||||||||||||||
Japan 10-Year Bond | 255 | OSE | 37,691,764,455 JPY | 12/14/15 | (742,179 | ) | ||||||||||||||
Lean Hogs | 347 | CME | 8,700,706 USD | 12/14/15 | (560,724 | ) | ||||||||||||||
Live Cattle | 248 | CME | 14,143,656 USD | 12/31/15 | 1,155,896 | |||||||||||||||
Low Sulphur Gasoil | 82 | ICE | 4,084,301 USD | 06/10/16 | 68,351 | |||||||||||||||
Low Sulphur Gasoil | 96 | ICE | 4,713,401 USD | 03/10/16 | 98,201 | |||||||||||||||
Low Sulphur Gasoil | 116 | ICE | 5,523,610 USD | 11/12/15 | 106,410 | |||||||||||||||
Nasdaq 100 E-Mini | 25 | CME | 2,143,071 USD | 12/18/15 | 61,571 | |||||||||||||||
Natural Gas | 290 | NYMEX | 8,361,881 USD | 10/28/15 | 1,039,114 | |||||||||||||||
Natural Gas | 138 | NYMEX | 4,036,674 USD | 11/25/15 | 309,294 | |||||||||||||||
NY Harbor ULSD | 61 | NYMEX | 4,136,107 USD | 01/29/16 | 64,065 | |||||||||||||||
NY Harbor ULSD | 55 | NYMEX | 3,656,373 USD | 12/31/15 | 15,351 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Description | Contracts | Exchange | Notional | Expiration | Unrealized | |||||||||||||||
Platinum | 191 | NYMEX | 9,227,778 USD | 01/27/16 | $ | 545,873 | ||||||||||||||
S&P 500 | 12 | CME | 5,799,408 USD | 12/17/15 | 73,308 | |||||||||||||||
S&P 500 E-Mini | 356 | CME | 34,420,211 USD | 12/18/15 | 445,351 | |||||||||||||||
S&P/TSX 60 Index | 122 | CDE | 19,059,255 CAD | 12/17/15 | 20,423 | |||||||||||||||
SGX CNX Nifty | 736 | SGX | 11,818,813 USD | 10/29/15 | 78,141 | |||||||||||||||
Silver | 160 | COMEX | 12,123,245 USD | 12/29/15 | 508,845 | |||||||||||||||
Soybean Oil | 707 | CBOT | 11,492,649 USD | 12/14/15 | (104,979 | ) | ||||||||||||||
Swiss Market Index | 314 | Eurex | 27,307,806 CHF | 12/18/15 | 669,348 | |||||||||||||||
Topix Index | 441 | OSE | 6,505,341,990 JPY | 12/10/15 | 2,339,241 | |||||||||||||||
U.S. Treasury 10-Year Note | 59 | CBOT | 7,527,154 USD | 12/21/15 | (68,175 | ) | ||||||||||||||
U.S. Treasury 2-Year Note | 91 | CBOT | 19,909,093 USD | 12/31/15 | (22,751 | ) | ||||||||||||||
U.S. Treasury Long Bond | 49 | CBOT | 7,594,865 USD | 12/21/15 | (114,979 | ) | ||||||||||||||
WTI Crude | 77 | NYMEX | 3,825,852 USD | 03/21/16 | 136,782 | |||||||||||||||
WTI Crude | 47 | NYMEX | 2,180,673 USD | 10/20/15 | 61,443 | |||||||||||||||
|
| |||||||||||||||||||
$ | 11,583,962 | |||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts Outstanding |
| $ | 10,758,353 | |||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2015
Currency Purchased | Amount in | Currency | Amount in Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
AUD | 21,461,000 | USD | 15,343,113 | State Street Bank and Trust Company | 12/16/15 | $ | (339,318 | ) | ||||||||||||||
AUD | 13,340 | USD | 9,315 | Morgan Stanley & Co. LLC | 12/21/15 | 9 | ||||||||||||||||
BRL | 16,587,087 | USD | 4,556,704 | State Street Bank and Trust Company | 12/02/15 | (462,492 | ) | |||||||||||||||
BRL | 41,570,000 | USD | 10,848,687 | State Street Bank and Trust Company | 12/02/15 | (587,910 | ) | |||||||||||||||
BRL | 5,087,062 | USD | 1,331,692 | Morgan Stanley Capital Services LLC | 10/02/15 | (48,538 | ) | |||||||||||||||
BRL | 2,068,000 | USD | 523,677 | State Street Bank and Trust Company | 12/02/15 | (13,230 | ) | |||||||||||||||
BRL | 5,710,678 | USD | 1,387,265 | Morgan Stanley Capital Services LLC | 10/02/15 | 53,188 | ||||||||||||||||
BRL | 8,173,858 | USD | 1,931,213 | Morgan Stanley Capital Services LLC | 10/02/15 | 130,550 | ||||||||||||||||
BRL | 2,370,126 | USD | 559,983 | Morgan Stanley Capital Services LLC | 10/02/15 | 37,855 | ||||||||||||||||
BRL | 5,718,822 | USD | 1,387,054 | JPMorgan Chase Bank, N.A. | 10/02/15 | 55,454 | ||||||||||||||||
CAD | 161,874 | USD | 122,145 | Morgan Stanley & Co. LLC | 12/16/15 | (882 | ) | |||||||||||||||
CAD | 12,802,689 | USD | 9,661,313 | State Street Bank and Trust Company | 12/16/15 | (70,739 | ) | |||||||||||||||
CHF | 512,400 | USD | 530,777 | Morgan Stanley & Co. LLC | 12/21/15 | (3,467 | ) |
See Notes to Consolidated Financial Statements.
239
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency Purchased | Amount in | Currency | Amount in Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
CHF | 381,000 | USD | 392,998 | State Street Bank and Trust Company | 12/16/15 | $ | (1,001 | ) | ||||||||||||||
CHF | 500,190 | USD | 517,153 | Morgan Stanley & Co. LLC | 12/21/15 | (2,408 | ) | |||||||||||||||
CHF | 297,000 | USD | 307,304 | Morgan Stanley & Co. LLC | 12/16/15 | (1,695 | ) | |||||||||||||||
CHF | 1,470,805 | USD | 1,514,483 | Morgan Stanley & Co. LLC | 12/21/15 | (881 | ) | |||||||||||||||
CHF | 132,289 | USD | 135,415 | Morgan Stanley & Co. LLC | 12/21/15 | 723 | ||||||||||||||||
CHF | 9,170,000 | USD | 9,430,082 | Morgan Stanley & Co. LLC | 12/16/15 | 5,728 | ||||||||||||||||
CZK | 48,595,400 | USD | 2,011,815 | State Street Bank and Trust Company | 12/16/15 | (10,129 | ) | |||||||||||||||
DKK | 25,100,097 | USD | 3,806,340 | Morgan Stanley & Co. LLC | 12/21/15 | (39,987 | ) | |||||||||||||||
EUR | 619,417 | USD | 699,814 | State Street Bank and Trust Company | 12/16/15 | (6,796 | ) | |||||||||||||||
EUR | 180,370 | USD | 203,897 | Morgan Stanley & Co. LLC | 12/21/15 | (2,072 | ) | |||||||||||||||
EUR | 1,006,000 | USD | 1,135,070 | State Street Bank and Trust Company | 12/16/15 | (9,535 | ) | |||||||||||||||
EUR | 762,000 | USD | 864,240 | Morgan Stanley & Co. LLC | 12/16/15 | (11,708 | ) | |||||||||||||||
EUR | 2,050,000 | USD | 2,286,898 | Morgan Stanley & Co. LLC | 12/16/15 | 6,657 | ||||||||||||||||
EUR | 21,000 | USD | 23,553 | Morgan Stanley & Co. LLC | 12/16/15 | (58 | ) | |||||||||||||||
EUR | 2,170,679 | USD | 2,428,801 | State Street Bank and Trust Company | 12/16/15 | (198 | ) | |||||||||||||||
EUR | 1,945,000 | USD | 2,174,685 | Morgan Stanley & Co. LLC | 12/16/15 | 1,395 | ||||||||||||||||
GBP | 15,189,276 | USD | 23,327,690 | State Street Bank and Trust Company | 12/16/15 | (357,260 | ) | |||||||||||||||
GBP | 244,900 | USD | 379,310 | Morgan Stanley & Co. LLC | 12/21/15 | (8,953 | ) | |||||||||||||||
GBP | 4,446,085 | USD | 6,866,000 | Morgan Stanley & Co. LLC | 12/16/15 | (142,322 | ) | |||||||||||||||
GBP | 222,136 | USD | 338,649 | Morgan Stanley & Co. LLC | 12/21/15 | (2,718 | ) | |||||||||||||||
HUF | 8,407,731,000 | USD | 30,049,611 | State Street Bank and Trust Company | 12/16/15 | (86,719 | ) | |||||||||||||||
ILS | 2,732,000 | USD | 703,598 | State Street Bank and Trust Company | 12/16/15 | (6,463 | ) | |||||||||||||||
JPY | 5,555,612,480 | USD | 46,137,979 | State Street Bank and Trust Company | 12/16/15 | 230,725 | ||||||||||||||||
JPY | 499,032,000 | USD | 4,155,137 | State Street Bank and Trust Company | 12/16/15 | 9,924 | ||||||||||||||||
JPY | 46,000,000 | USD | 384,313 | Morgan Stanley & Co. LLC | 12/16/15 | (374 | ) | |||||||||||||||
JPY | 150,000,000 | USD | 1,250,625 | Morgan Stanley & Co. LLC | 12/16/15 | 1,350 | ||||||||||||||||
JPY | 420,274,000 | USD | 3,500,075 | JPMorgan Chase Bank, N.A. | 10/30/15 | 4,457 | ||||||||||||||||
MXN | 154,480,211 | USD | 9,139,219 | State Street Bank and Trust Company | 12/16/15 | (55,166 | ) | |||||||||||||||
MXN | 307,439,000 | USD | 18,355,225 | State Street Bank and Trust Company | 12/16/15 | (276,584 | ) | |||||||||||||||
NOK | 364,000 | USD | 44,282 | State Street Bank and Trust Company | 12/16/15 | (1,575 | ) | |||||||||||||||
NZD | 2,665,000 | USD | 1,688,064 | State Street Bank and Trust Company | 12/16/15 | 6,623 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency Purchased | Amount in | Currency | Amount in Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
PLN | 25,758,465 | USD | 6,821,447 | State Street Bank and Trust Company | 12/16/15 | $ | (57,755 | ) | ||||||||||||||
RUB | 780,081,096 | USD | 11,177,548 | State Street Bank and Trust Company | 12/16/15 | 445,763 | ||||||||||||||||
RUB | 25,427,000 | USD | 375,196 | State Street Bank and Trust Company | 12/16/15 | 3,670 | ||||||||||||||||
SEK | 7,993,000 | USD | 967,055 | State Street Bank and Trust Company | 12/16/15 | (10,387 | ) | |||||||||||||||
TRY | 68,211,750 | USD | 22,020,839 | State Street Bank and Trust Company | 12/16/15 | 8,306 | ||||||||||||||||
TRY | 1,036,000 | USD | 334,291 | State Street Bank and Trust Company | 12/16/15 | 288 | ||||||||||||||||
USD | 31,286,068 | AUD | 44,643,999 | State Street Bank and Trust Company | 12/16/15 | 74,596 | ||||||||||||||||
USD | 86,081 | AUD | 120,255 | Morgan Stanley & Co. LLC | 12/21/15 | 2,030 | ||||||||||||||||
USD | 1,470,689 | AUD | 2,080,000 | JPMorgan Chase Bank, N.A. | 10/30/15 | 12,957 | ||||||||||||||||
USD | 3,779,497 | BRL | 13,631,890 | Morgan Stanley Capital Services LLC | 10/02/15 | 341,008 | ||||||||||||||||
USD | 1,000,000 | BRL | 3,711,000 | State Street Bank and Trust Company | 10/02/15 | 63,943 | ||||||||||||||||
USD | 1,396,367 | BRL | 5,339,708 | Morgan Stanley Capital Services LLC | 10/02/15 | 49,487 | ||||||||||||||||
USD | 559,983 | BRL | 2,367,326 | Morgan Stanley Capital Services LLC | 10/02/15 | (37,149 | ) | |||||||||||||||
USD | 1,399,956 | BRL | 5,718,822 | JPMorgan Chase Bank, N.A. | 10/02/15 | (42,551 | ) | |||||||||||||||
USD | 1,370,861 | BRL | 5,718,822 | JPMorgan Chase Bank, N.A. | 11/04/15 | (56,018 | ) | |||||||||||||||
USD | 1,000,000 | BRL | 4,056,000 | State Street Bank and Trust Company | 11/02/15 | (12,573 | ) | |||||||||||||||
USD | 9,674,345 | CAD | 12,802,689 | State Street Bank and Trust Company | 12/16/15 | 83,770 | ||||||||||||||||
USD | 2,936,248 | CAD | 3,895,000 | JPMorgan Chase Bank, N.A. | 10/30/15 | 17,930 | ||||||||||||||||
USD | 24,891,906 | CHF | 24,204,018 | State Street Bank and Trust Company | 12/16/15 | (10,760 | ) | |||||||||||||||
USD | 15,626,204 | CHF | 15,130,854 | Morgan Stanley & Co. LLC | 12/16/15 | 56,755 | ||||||||||||||||
USD | 800,246 | CHF | 780,000 | Morgan Stanley & Co. LLC | 12/16/15 | (2,364 | ) | |||||||||||||||
USD | 31,426 | CHF | 30,555 | Morgan Stanley & Co. LLC | 12/21/15 | (18 | ) | |||||||||||||||
USD | 3,912,685 | CHF | 3,800,000 | Morgan Stanley & Co. LLC | 12/16/15 | 2,535 | ||||||||||||||||
USD | 4,207,427 | CNH | 27,790,053 | Morgan Stanley Capital Services LLC | 08/22/16 | (44,821 | ) | |||||||||||||||
USD | 2,770,557 | CNH | 18,415,337 | Morgan Stanley Capital Services LLC | 08/22/16 | (47,234 | ) | |||||||||||||||
USD | 16,728,289 | CZK | 402,399,000 | State Street Bank and Trust Company | 12/16/15 | 153,132 | ||||||||||||||||
USD | 92,971 | DKK | 616,161 | Morgan Stanley & Co. LLC | 12/21/15 | 514 | ||||||||||||||||
USD | 809,958 | DKK | 5,392,848 | Morgan Stanley & Co. LLC | 12/21/15 | 743 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency Purchased | Amount in | Currency | Amount in Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 9,595,709 | EUR | 8,567,444 | State Street Bank and Trust Company | 12/16/15 | $ | 10,268 | |||||||||||||||
USD | 28,419,728 | EUR | 25,223,865 | Morgan Stanley & Co. LLC | 12/16/15 | 199,084 | ||||||||||||||||
USD | 28,952,000 | EUR | 25,549,903 | State Street Bank and Trust Company | 12/16/15 | 366,582 | ||||||||||||||||
USD | 1,944,820 | EUR | 1,721,425 | State Street Bank and Trust Company | 12/16/15 | 18,852 | ||||||||||||||||
USD | 1,213,544 | EUR | 1,078,663 | JPMorgan Chase Bank, N.A. | 12/16/15 | 6,728 | ||||||||||||||||
USD | 399,377 | EUR | 352,544 | Morgan Stanley Capital Services LLC | 12/16/15 | 4,948 | ||||||||||||||||
USD | 775,569 | EUR | 678,765 | State Street Bank and Trust Company | 12/16/15 | 16,152 | ||||||||||||||||
USD | 6,044,431 | EUR | 5,338,000 | Morgan Stanley & Co. LLC | 12/16/15 | 72,237 | ||||||||||||||||
USD | 616,371 | EUR | 549,246 | State Street Bank and Trust Company | 12/16/15 | 1,862 | ||||||||||||||||
USD | 1,845,561 | EUR | 1,652,972 | JPMorgan Chase Bank, N.A. | 12/16/15 | (3,796 | ) | |||||||||||||||
USD | 50,267,970 | EUR | 45,000,000 | State Street Bank and Trust Company | 10/29/15 | (35,335 | ) | |||||||||||||||
USD | 11,181,709 | EUR | 10,040,000 | JPMorgan Chase Bank, N.A. | 10/30/15 | (41,601 | ) | |||||||||||||||
USD | 1,852,643 | EUR | 1,657,682 | Morgan Stanley Capital Services LLC | 12/16/15 | (1,984 | ) | |||||||||||||||
USD | 646,182 | EUR | 578,182 | Morgan Stanley Capital Services LLC | 12/16/15 | (692 | ) | |||||||||||||||
USD | 394,499 | EUR | 350,000 | Morgan Stanley & Co. LLC | 12/16/15 | 2,916 | ||||||||||||||||
USD | 94,970 | EUR | 84,360 | Morgan Stanley & Co. LLC | 12/21/15 | 575 | ||||||||||||||||
USD | 26,802 | EUR | 24,000 | Morgan Stanley & Co. LLC | 12/16/15 | (49 | ) | |||||||||||||||
USD | 214,600 | EUR | 191,100 | Morgan Stanley Capital Services LLC | 12/16/15 | 796 | ||||||||||||||||
USD | 586,417 | GBP | 379,229 | Morgan Stanley & Co. LLC | 12/16/15 | 12,920 | ||||||||||||||||
USD | 1,110,153 | GBP | 724,000 | State Street Bank and Trust Company | 12/16/15 | 15,262 | ||||||||||||||||
USD | 127,346 | GBP | 82,000 | Morgan Stanley & Co. LLC | 12/16/15 | 3,340 | ||||||||||||||||
USD | 4,000,000 | GBP | 2,588,987 | State Street Bank and Trust Company | 10/29/15 | 84,012 | ||||||||||||||||
USD | 122,878 | GBP | 80,000 | Morgan Stanley & Co. LLC | 12/16/15 | 1,897 | ||||||||||||||||
USD | 4,695,110 | GBP | 3,055,000 | JPMorgan Chase Bank, N.A. | 10/30/15 | 74,299 | ||||||||||||||||
USD | 106,197 | GBP | 70,000 | Morgan Stanley & Co. LLC | 12/16/15 | 338 | ||||||||||||||||
USD | 16,058,528 | HUF | 4,453,624,000 | State Street Bank and Trust Company | 12/16/15 | 187,010 | ||||||||||||||||
USD | 35,184,009 | ILS | 136,255,353 | State Street Bank and Trust Company | 12/16/15 | 415,199 | ||||||||||||||||
USD | 190,848 | JPY | 23,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | (1,122 | ) | |||||||||||||||
USD | 40,097,497 | JPY | 4,830,064,311 | Morgan Stanley & Co. LLC | 12/16/15 | (216,655 | ) | |||||||||||||||
USD | 182,681 | JPY | 22,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | (942 | ) | |||||||||||||||
USD | 148,064 | JPY | 17,753,000 | Morgan Stanley & Co. LLC | 12/16/15 | (111 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Currency Purchased | Amount in | Currency | Amount in Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 572,061 | JPY | 68,522,000 | Morgan Stanley & Co. LLC | 12/16/15 | $ | 142 | |||||||||||||||
USD | 524,553 | JPY | 63,057,000 | Morgan Stanley & Co. LLC | 12/16/15 | (1,753 | ) | |||||||||||||||
USD | 58,373 | JPY | 7,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | (52 | ) | |||||||||||||||
USD | 1,528,056 | JPY | 183,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | 646 | ||||||||||||||||
USD | 700,187 | JPY | 84,000,000 | Morgan Stanley & Co. LLC | 12/16/15 | (920 | ) | |||||||||||||||
USD | 24,181,025 | NOK | 199,553,908 | State Street Bank and Trust Company | 12/16/15 | 768,093 | ||||||||||||||||
USD | 41,558,559 | NZD | 65,677,196 | State Street Bank and Trust Company | 12/16/15 | (205,905 | ) | |||||||||||||||
USD | 6,867,734 | PLN | 25,758,465 | State Street Bank and Trust Company | 12/16/15 | 104,042 | ||||||||||||||||
USD | 2,797,818 | RUB | 188,377,053 | Morgan Stanley Capital Services LLC | 12/16/15 | (10,605 | ) | |||||||||||||||
USD | 9,312,536 | SEK | 78,332,398 | State Street Bank and Trust Company | 12/16/15 | (62,934 | ) | |||||||||||||||
USD | 2,821,042 | TRY | 8,719,559 | JPMorgan Chase Bank, N.A. | 12/16/15 | 4,455 | ||||||||||||||||
USD | 191,234 | ZAR | 2,649,642 | State Street Bank and Trust Company | 12/17/15 | 2,565 | ||||||||||||||||
USD | 6,976,520 | ZAR | 95,346,000 | State Street Bank and Trust Company | 12/17/15 | 187,358 | ||||||||||||||||
|
| |||||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding |
| $ | 967,379 | |||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps on Single-Name Issues (Sell Protection) — Outstanding at September 30, 2015
Reference Obligation | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Russia 09/20 | 1.00% | 09/22/20 | Credit Suisse Securities (USA) LLC | 4,281,890 USD | $ | (460,629) | $ | (523,269) | $ | 62,640 | ||||||||||||||||
Total Centrally Cleared Credit Default Swap on Single-Name Issues (Sell Protection) |
| $ | (460,629) | $ | (523,269) | $ | 62,640 | |||||||||||||||||||
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Centrally Cleared Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at September 30, 2015
Reference | The Fund Rate | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Brazil 06/20 | (1.00%) | 06/23/20 | Credit Suisse Securities (USA) LLC | 4,722,000 USD | $ | 717,838 | $ | 328,236 | $ | 389,602 | ||||||||||||||||
Turkey 09/20 | (1.00%) | 09/22/20 | Credit Suisse Securities (USA) LLC | 4,178,000 USD | 385,842 | 333,473 | 52,369 | |||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issues (Buy Protection) |
| $ | 1,103,680 | $ | 661,709 | $ | 441,971 | |||||||||||||||||||
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2015
Reference Obligation | The Fund Rate | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
CMBX.NA.AAA8 | (0.50%) | 10/26/57 | JPMorgan Chase Bank, N.A. | 34,976,312 USD | $ | 1,956,873 | $ | 1,930,402 | $ | 26,471 | ||||||||||||||||
CMBX.NA.BB6 | (5.00%) | 05/11/63 | JPMorgan Chase Bank, N.A. | 1,220,983 USD | 43,227 | 3,493 | 39,734 | |||||||||||||||||||
CMBX.NA.BB6 | (5.00%) | 05/11/63 | Credit Suisse Securities (USA) LLC | 3,204,636 USD | 113,457 | (22,717) | 136,174 | |||||||||||||||||||
CMBX.NA.BBB-.6 | (3.00%) | 05/11/63 | Morgan Stanley Capital Services LLC | 1,182,813 USD | 31,160 | (13,776) | 44,936 | |||||||||||||||||||
CMBX.NA.BBB-.6 | (3.00%) | 05/11/63 | Credit Suisse Securities (USA) LLC | 2,394,609 USD | 63,083 | 38,352 | 24,731 | |||||||||||||||||||
CMBX.NA.BBB-.7 | (3.00%) | 01/26/47 | Morgan Stanley Capital Services LLC | 1,251,974 USD | 70,522 | 11,653 | 58,869 | |||||||||||||||||||
CMBX.NA.BBB-7 | (3.00%) | 01/17/47 | JPMorgan Chase Bank, N.A. | 2,583,496 USD | 145,526 | 65,916 | 79,610 | |||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | 2,423,848 | $ | 2,013,323 | $ | 410,525 | |||||||||||||||||||
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2015
Reference Obligation | The Fund Rate | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
CMBX.NA.AAA8 | 0.50% | 10/26/57 | Credit Suisse Securities (USA) LLC | 286,463 USD | $ | (16,027) | $ | (16,054) | $ | 27 | ||||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) |
| $ | (16,027) | $ | (16,054) | $ | 27 | |||||||||||||||||||
OTC Credit Default Swaps on Single-Name Issues (Sell Protection) — Outstanding at September 30, 2015
Reference | Rating | The | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||||
Russia 09/20 | BB | 1.00% | 09/22/20 | Morgan Stanley Capital Services LLC | 4,101,251 USD | $ | (441,197) | $ | (481,571) | $ | 40,374 | |||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issues (Sell Protection) |
| $ | (441,197) | $ | (481,571) | $ | 40,374 | |||||||||||||||||||||
OTC Total Return Swaps Outstanding at September 30, 2015
Reference | Termination | Counterparty | Notional | Unrealized | |||||||||||||
Buys |
| ||||||||||||||||
Adecco SA REG | 12/27/16 | Credit Suisse Securities (Europe) Limited | 5,068,412 CHF | $ | (210,154 | ) | |||||||||||
Airbus Group | 12/28/15 | Credit Suisse Securities (Europe) Limited | 4,657,798 EUR | (158,297 | ) | ||||||||||||
Alcatel Lucent | 12/28/15 | Credit Suisse Securities (Europe) Limited | 15,584,577 EUR | 634,198 | |||||||||||||
Alstom | 12/28/15 | Credit Suisse Securities (Europe) Limited | 8,278,834 EUR | (128,640 | ) | ||||||||||||
Altice NV | 11/07/16 | Credit Suisse Securities (Europe) Limited | 2,102,198 EUR | (272,038 | ) | ||||||||||||
Altice NV | 05/24/17 | Morgan Stanley Capital Services LLC | 877,730 EUR | (113,584 | ) | ||||||||||||
Altice NV | 11/07/16 | Credit Suisse Securities (Europe) Limited | 5,978,417 EUR | (836,400 | ) | ||||||||||||
Altice NV | 05/24/17 | Morgan Stanley Capital Services LLC | 3,265,290 EUR | (456,825 | ) | ||||||||||||
Amadeus IT Holding SA | 12/29/15 | Credit Suisse Securities (Europe) Limited | 4,819,589 EUR | 374,772 | |||||||||||||
Amazon.com, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,440,005 USD | (224,358 | ) | ||||||||||||
Amazon.com, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 16,088,875 USD | (658,462 | ) | ||||||||||||
Anheuser-Busch InBev NV | 06/13/16 | Credit Suisse Securities (Europe) Limited | 171,382 EUR | 2,594 | |||||||||||||
Astrazeneca PLC | 06/23/16 | Morgan Stanley Capital Services LLC | 9,326,373 GBP | (793,159 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | |||||||||||||
Atlantia SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 6,637,087 EUR | $ | 264,139 | ||||||||||||
Atos | 12/28/15 | Credit Suisse Securities (Europe) Limited | 12,829,134 EUR | 59,023 | |||||||||||||
AutoZone, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 17,104,338 USD | (513,430 | ) | ||||||||||||
AutoZone, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,142,375 USD | (94,326 | ) | ||||||||||||
Banco Santander SA | 12/29/15 | Credit Suisse Securities (Europe) Limited | 3,908,546 EUR | (249,147 | ) | ||||||||||||
Bayer AG REG | 07/07/16 | Morgan Stanley Capital Services LLC | 5,907,462 EUR | (386,996 | ) | ||||||||||||
Bayer AG REG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 6,195,695 EUR | (277,195 | ) | ||||||||||||
Beazer Homes USA, Inc. | 09/01/15 | Credit Suisse Securities (Europe) Limited | 2,840,466 USD | (359,246 | ) | ||||||||||||
Beazer Homes USA, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 71,569 USD | (9,052 | ) | ||||||||||||
BG Group PLC | 12/28/16 | Credit Suisse Securities (Europe) Limited | 4,355,817 GBP | (839,882 | ) | ||||||||||||
BG Group PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 11,302,100 GBP | (851,087 | ) | ||||||||||||
BNP Parbias SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 6,480,813 EUR | (317,079 | ) | ||||||||||||
Burlington Stores, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,517,665 USD | (126,492 | ) | ||||||||||||
Burlington Stores, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,269,494 USD | (114,024 | ) | ||||||||||||
Cadence Design SYS, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 8,309,528 USD | (196,165 | ) | ||||||||||||
Cadence Design SYS, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,504,851 USD | (129,954 | ) | ||||||||||||
Cap Gemini | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,228,346 EUR | 26,934 | |||||||||||||
Casino Guiichard Perrachon | 12/28/15 | Credit Suisse Securities (Europe) Limited | 5,032,933 EUR | (48,591 | ) | ||||||||||||
Commerzbank AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 2,164,034 EUR | (157,046 | ) | ||||||||||||
Criteo SA Spon ADR | 08/25/16 | Credit Suisse Securities (Europe) Limited | 4,828,981 USD | (308,264 | ) | ||||||||||||
Croda International PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 2,796,233 GBP | 25,648 | |||||||||||||
Dassault Aviation SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 4,487,998 EUR | (445,805 | ) | ||||||||||||
Delhaize Group | 06/13/16 | Credit Suisse Securities (Europe) Limited | 4,742,480 EUR | 13,214 | |||||||||||||
Deutsche Bank AG REG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 6,745,043 EUR | (573,395 | ) | ||||||||||||
Dollar General Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,252,077 USD | 16,851 | |||||||||||||
Dollar General Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,161,377 USD | 30,402 | |||||||||||||
Dynegy, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,843,559 USD | 20,786 | |||||||||||||
Dynegy, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,228,554 USD | 16,291 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | |||||||||||||
Electrolux AB | 12/28/15 | Credit Suisse Securities (Europe) Limited | 68,185,519 SEK | $ | (199,930 | ) | |||||||||||
Endesa SA | 12/29/15 | Credit Suisse Securities (Europe) Limited | 5,443,119 EUR | (39,681 | ) | ||||||||||||
Enel SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,406,407 EUR | (13,449 | ) | ||||||||||||
ENI SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,481,241 EUR | (132,312 | ) | ||||||||||||
Faiveley Transport SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 910,494 EUR | (7,107 | ) | ||||||||||||
Ferrovial SA | 12/29/16 | Credit Suisse Securities (Europe) Limited | 3,639,524 EUR | 93,130 | |||||||||||||
Fresenius Medical Care AG & Co. KgaA | 12/24/15 | Credit Suisse Securities (Europe) Limited | 7,526,915 EUR | (172,228 | ) | ||||||||||||
Google, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,716,973 USD | (77,626 | ) | ||||||||||||
Google, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 15,617,226 USD | (308,475 | ) | ||||||||||||
HCA Holdings, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 8,977,431 USD | (725,363 | ) | ||||||||||||
HCA Holdings, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 7,739,859 USD | (625,369 | ) | ||||||||||||
HEINEKEN NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 613,171 EUR | 6,218 | |||||||||||||
Home Deport, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 9,629,666 USD | (63,283 | ) | ||||||||||||
Home Deport, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 8,331,596 USD | (48,769 | ) | ||||||||||||
HSBC Holdings PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 3,744,268 GBP | (102,031 | ) | ||||||||||||
Impax Laboratories, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,197,413 USD | (722,433 | ) | ||||||||||||
Impax Laboratories, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,797,488 USD | (309,372 | ) | ||||||||||||
Imperial Tobacco Group PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 8,556,509 GBP | 514,573 | |||||||||||||
Italcementi SpA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 1,139,986 EUR | (20,949 | ) | ||||||||||||
KONINKLIJKE DSM NV | 12/28/15 | Credit Suisse Securities (Europe) Limited | 4,712,245 EUR | (461,913 | ) | ||||||||||||
LafargeHolcim Ltd. | 12/28/15 | Credit Suisse Securities (Europe) Limited | 4,033,084 EUR | (495,653 | ) | ||||||||||||
Linde AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 5,078,010 EUR | (142,504 | ) | ||||||||||||
Lloyds Banking Group PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 4,229,848 GBP | (27,534 | ) | ||||||||||||
Masonite International Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,480,750 USD | (248,625 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | |||||||||||||
Masonite International Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,619,841 USD | $ | (258,560 | ) | |||||||||||
Mead Johnson Nutrition Co. | 08/25/16 | Credit Suisse Securities (Europe) Limited | 5,357,727 USD | (334,476 | ) | ||||||||||||
Mohawk Industries, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,024,628 USD | (233,242 | ) | ||||||||||||
Mohawk Industries, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,606,242 USD | (200,979 | ) | ||||||||||||
Norwegian Cruise Line Holdings Ltd. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,557,218 USD | (280,231 | ) | ||||||||||||
Norwegian Cruise Line Holdings Ltd. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,876,418 USD | (384,155 | ) | ||||||||||||
Numericable SFR | 11/07/16 | Credit Suisse Securities (Europe) Limited | 7,336,664 EUR | (646,656 | ) | ||||||||||||
Numericable SFR | 05/24/17 | Morgan Stanley Capital Services LLC | 3,432,739 EUR | (302,563 | ) | ||||||||||||
Orange | 12/28/15 | Credit Suisse Securities (Europe) Limited | 5,574,683 EUR | (136,896 | ) | ||||||||||||
Pirelli & Co. | 12/28/15 | Credit Suisse Securities (Europe) Limited | 3,697,088 EUR | (19,227 | ) | ||||||||||||
Prudential PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 3,697,453 GBP | (84,546 | ) | ||||||||||||
Publicis Groupe | 12/28/15 | Credit Suisse Securities (Europe) Limited | 5,952,232 EUR | (48,487 | ) | ||||||||||||
Pultegroup, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 8,543,611 USD | (292,949 | ) | ||||||||||||
Pultegroup, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 7,888,689 USD | (270,492 | ) | ||||||||||||
Puma SE | 12/24/15 | Credit Suisse Securities (Europe) Limited | 488,102 EUR | 7,774 | |||||||||||||
Renault SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 3,944,838 EUR | (580,482 | ) | ||||||||||||
Roche Holding AG Genusschein | 12/27/16 | Credit Suisse Securities (Europe) Limited | 6,057,112 CHF | (85,577 | ) | ||||||||||||
Royal Bank of Scotland Group | 12/28/16 | Credit Suisse Securities (Europe) Limited | 10,577,056 GBP | (1,713,235 | ) | ||||||||||||
Royal Bank of Scotland Group | 12/29/15 | Credit Suisse Securities (Europe) Limited | 2,897,870 GBP | (100,052 | ) | ||||||||||||
RSA Insurance Group PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 5,161,065 GBP | (1,630,672 | ) | ||||||||||||
SabMiller PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 531,874 GBP | 25,120 | |||||||||||||
Sanofi Aventis | 12/28/15 | Credit Suisse Securities (Europe) Limited | 7,576,599 EUR | (279,822 | ) | ||||||||||||
Shire PLC | 12/28/16 | Credit Suisse Securities (Europe) Limited | 13,570,132 GBP | (3,293,042 | ) | ||||||||||||
Six Flags Entertainment Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 9,903,452 USD | (98,521 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | |||||||||||||
Six Flags Entertainment Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 7,514,092 USD | $ | (74,751 | ) | |||||||||||
Skandinaviska Enskilda Ban A | 12/28/15 | Credit Suisse Securities (Europe) Limited | 63,979,695 SEK | (474,070 | ) | ||||||||||||
Smith & Nephew PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 10,575,785 GBP | (32,453 | ) | ||||||||||||
Starbucks Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 7,192,717 USD | (118,240 | ) | ||||||||||||
Starbucks Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,135,337 USD | (67,980 | ) | ||||||||||||
Tim Participacoes ADR | 08/25/16 | Credit Suisse Securities (Europe) Limited | 3,854,969 USD | (526,140 | ) | ||||||||||||
TripAdvisor, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,170,596 USD | (47,579 | ) | ||||||||||||
TripAdvisor, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 11,089,983 USD | (450,757 | ) | ||||||||||||
TUI AG DI | 12/24/15 | Credit Suisse Securities (Europe) Limited | 4,685,722 EUR | (16,141 | ) | ||||||||||||
UBM PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 4,119,665 GBP | (4,356 | ) | ||||||||||||
Union Pacific Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,478,712 USD | 119,939 | |||||||||||||
Union Pacific Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,801,821 USD | 184,862 | |||||||||||||
United Rentals, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,636,453 USD | (285,878 | ) | ||||||||||||
United Rentals, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,211,173 USD | (267,556 | ) | ||||||||||||
Visa, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 12,214,326 USD | (222,079 | ) | ||||||||||||
Visa, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,944,097 USD | (86,705 | ) | ||||||||||||
Vodafone Group PLC | 12/28/16 | Credit Suisse Securities (Europe) Limited | 11,048,130 GBP | (1,553,316 | ) | ||||||||||||
Vodafone Group PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 5,736,059 GBP | (385,961 | ) | ||||||||||||
|
| ||||||||||||||||
Total Buys | $ | (28,246,055 | ) | ||||||||||||||
|
| ||||||||||||||||
Sells | |||||||||||||||||
ABB Ltd. REG | 12/27/16 | Credit Suisse Securities (Europe) Limited | 5,929,306 CHF | 38,213 | |||||||||||||
ADT Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 6,106,326 USD | 70,652 | |||||||||||||
ADT Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,859,486 USD | 67,796 | |||||||||||||
AGCO Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,354,592 USD | (173,834 | ) | ||||||||||||
AGCO Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,566,527 USD | (222,214 | ) | ||||||||||||
Allianz SE REG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 2,245,324 EUR | 14,957 | |||||||||||||
America Movil ADR | 09/01/16 | Credit Suisse Securities (Europe) Limited | 1,102,008 USD | 79,516 | |||||||||||||
Avon Products, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,857,171 USD | 134,061 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | |||||||||||||
Avon Products, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,939,754 USD | $ | 184,856 | ||||||||||||
AXA SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 5,043,833 EUR | 174,809 | |||||||||||||
Blackberry Ltd. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,475,535 USD | 794,220 | |||||||||||||
Blackberry Ltd. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,615,064 USD | 814,458 | |||||||||||||
Bovespa Index | 10/14/15 | Morgan Stanley Capital Services LLC | 80,429,679 BRL | 1,527,347 | |||||||||||||
British American Tobacco PLC | 12/29/15 | Credit Suisse Securities (Europe) Limited | 516,004 GBP | (36,192 | ) | ||||||||||||
Chesapeake Energy Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,902,906 USD | 62,761 | |||||||||||||
Chesapeake Energy Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 2,352,051 USD | 77,574 | |||||||||||||
CSL LTD | 03/02/17 | Morgan Stanley Capital Services LLC | 7,470,225 AUD | 207,044 | |||||||||||||
Deere & Co. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 10,806,601 USD | 513,275 | |||||||||||||
Deere & Co. | 05/24/17 | Morgan Stanley Capital Services LLC | 10,521,435 USD | 461,949 | |||||||||||||
Distribuidora Internacional | 12/29/15 | Credit Suisse Securities (Europe) Limited | 1,617,793 EUR | (43,729 | ) | ||||||||||||
Elekta AB | 12/28/15 | Credit Suisse Securities (Europe) Limited | 26,079,388 SEK | 7,509 | |||||||||||||
Ericsson LM | 12/28/15 | Credit Suisse Securities (Europe) Limited | 3,735,234 SEK | (9,803 | ) | ||||||||||||
Fresenius Medical Care AG & Co. KgaA | 07/07/16 | Morgan Stanley Capital Services LLC | 623,916 EUR | (14,350 | ) | ||||||||||||
Groupon, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,782,099 USD | 602,570 | |||||||||||||
Groupon, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,724,181 USD | 721,277 | |||||||||||||
GUESS? Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,236,120 USD | 47,308 | |||||||||||||
GUESS?, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 6,728,764 USD | 257,517 | |||||||||||||
iBoxx Liquid High Yield Index | 12/21/15 | JPMorgan Chase Bank, N.A. | 100,000 USD | 2,388 | |||||||||||||
iBoxx Liquid High Yield Index | 12/21/15 | Morgan Stanley Capital Services LLC | 1,300,000 USD | 20,503 | |||||||||||||
Infineon Technologies AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 4,636,163 EUR | (6,580 | ) | ||||||||||||
iShares MSCI Brazil Capped ETF | 08/25/16 | Credit Suisse Securities (Europe) Limited | 990,275 USD | 65,038 | |||||||||||||
J.C. Penny Co., Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,794,511 USD | 49,473 | |||||||||||||
J.C. Penny Co., Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,583,692 USD | 39,135 | |||||||||||||
K S AG REG | 11/07/16 | Credit Suisse Securities (Europe) Limited | 2,737,660 EUR | 29,862 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | |||||||||||||
K S AG REG | 05/24/17 | Morgan Stanley Capital Services LLC | 2,393,152 EUR | $ | 26,104 | ||||||||||||
Keurig Green Mountain, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 9,701,957 USD | 516,193 | |||||||||||||
Keurig Green Mountain, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 6,303,367 USD | 335,371 | |||||||||||||
KOSPI2 Index | 12/10/15 | Morgan Stanley Capital Services LLC | 44,960,394,600 KRW | (1,558,091 | ) | ||||||||||||
L’Oreal | 12/28/15 | Credit Suisse Securities (Europe) Limited | 306,751 EUR | (18,295 | ) | ||||||||||||
Las Vegas Sands Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,002,553 USD | 273,155 | |||||||||||||
Las Vegas Sands Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 7,148,768 USD | 650,355 | |||||||||||||
Mattel, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,649,055 USD | 412,739 | |||||||||||||
Mattel, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,367,581 USD | 246,047 | |||||||||||||
Merck KgaA | 07/07/16 | Morgan Stanley Capital Services LLC | 5,477,031 EUR | 310,251 | |||||||||||||
Nestle SA REG | 12/27/16 | Credit Suisse Securities (Europe) Limited | 310,847 CHF | (1,454 | ) | ||||||||||||
Nokia Oyj | 10/17/16 | Credit Suisse Securities (Europe) Limited | 8,389,218 EUR | (319,385 | ) | ||||||||||||
Philp Morris International | 08/25/16 | Credit Suisse Securities (Europe) Limited | 1,008,402 USD | 17,412 | |||||||||||||
Pilgrim’s Pride Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,219,072 USD | (43,073 | ) | ||||||||||||
Pilgrim’s Pride Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 143,147 USD | (1,461 | ) | ||||||||||||
Potash Corp. of Saskatchewan | 10/25/16 | Credit Suisse Securities (Europe) Limited | 3,172,860 USD | 29,779 | |||||||||||||
Potash Corp. of Saskatchewan | 05/24/17 | Morgan Stanley Capital Services LLC | 6,840,459 USD | 140,111 | |||||||||||||
Royal Dutch Petroleum | 12/28/16 | Credit Suisse Securities (Europe) Limited | 3,337,522 GBP | 840,604 | |||||||||||||
Royal Dutch Petroleum | 12/29/15 | Credit Suisse Securities (Europe) Limited | 4,140,149 GBP | 229,084 | |||||||||||||
RR Donnelley & Sons Co. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,708,156 USD | 126,507 | |||||||||||||
RR Donnelley & Sons Co. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,662,712 USD | 125,500 | |||||||||||||
SAFRAN SA | 12/28/15 | Credit Suisse Securities (Europe) Limited | 411,249 EUR | 14,264 | |||||||||||||
Sainsbury (J) PLC | 12/26/16 | Credit Suisse Securities (Europe) Limited | 1,075,138 GBP | (231,956 | ) | ||||||||||||
SAP SE | 12/24/15 | Credit Suisse Securities (Europe) Limited | 1,763,850 EUR | 8,059 | |||||||||||||
Siemens AG Reg | 12/24/15 | Credit Suisse Securities (Europe) Limited | 2,376,445 EUR | 149,874 | |||||||||||||
Sprint Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 4,636,570 USD | 534,167 | |||||||||||||
Sprint Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,876,790 USD | 677,049 | |||||||||||||
Stora Enso Oyj | 11/07/16 | Credit Suisse Securities (Europe) Limited | 4,123,205 EUR | 96,819 |
See Notes to Consolidated Financial Statements.
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September 30, 2015 (Unaudited)
Reference | Termination | Counterparty | Notional | Unrealized | |||||||||||||
Stora Enso Oyj | 05/24/17 | Morgan Stanley Capital Services LLC | 3,533,656 EUR | $ | 82,976 | ||||||||||||
Telefonica Brasil | 08/25/16 | Credit Suisse Securities (Europe) Limited | 1,619,301 USD | 193,990 | |||||||||||||
Telefonica SA | 12/29/15 | Credit Suisse Securities (Europe) Limited | 938,420 EUR | 67,490 | |||||||||||||
Tesla Motors, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 5,217,342 USD | 251,578 | |||||||||||||
Tesla Motors, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 312,750 USD | 15,167 | |||||||||||||
Twitter, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 9,182,058 USD | (51,411 | ) | ||||||||||||
Twitter, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 6,896,148 USD | (38,612 | ) | ||||||||||||
Unilever DR | 12/28/15 | Credit Suisse Securities (Europe) Limited | 2,014,272 EUR | (87,206 | ) | ||||||||||||
United States Steel Corp. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,511,017 USD | 181,115 | |||||||||||||
United States Steel Corp. | 05/24/17 | Morgan Stanley Capital Services LLC | 825,529 USD | 59,544 | |||||||||||||
UPM-Kymmene Oyj | 11/07/16 | Credit Suisse Securities (Europe) Limited | 4,869,777 EUR | 126,915 | |||||||||||||
UPM-Kymmene Oyj | 05/24/17 | Morgan Stanley Capital Services LLC | 3,127,062 EUR | 81,497 | |||||||||||||
Valeant Pharmaceuticals International, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 5,216,914 USD | (315,899 | ) | ||||||||||||
Volkswagen AG | 12/24/15 | Credit Suisse Securities (Europe) Limited | 2,399,364 EUR | 899,794 | |||||||||||||
Wal-Mart Stores, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 10,571,028 USD | (179,185 | ) | ||||||||||||
Wal-Mart Stores, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 3,098,895 USD | (54,469 | ) | ||||||||||||
Whole Foods Market, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 7,490,344 USD | (59,637 | ) | ||||||||||||
Whole Foods Market, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 7,286,572 USD | (107,217 | ) | ||||||||||||
Wynn Resorts Ltd. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 1,827,260 USD | 215,971 | |||||||||||||
Wynn Resorts Ltd. | 05/24/17 | Morgan Stanley Capital Services LLC | 4,570,228 USD | 540,173 | |||||||||||||
Yelp, Inc. | 10/25/16 | Credit Suisse Securities (Europe) Limited | 2,739,406 USD | 170,768 | |||||||||||||
Yelp, Inc. | 05/24/17 | Morgan Stanley Capital Services LLC | 9,600,455 USD | 402,969 | |||||||||||||
|
| ||||||||||||||||
Total Sells | $ | 12,541,406 | |||||||||||||||
|
| ||||||||||||||||
Total OTC Total Return Swaps Outstanding | $ | (15,704,649 | ) | ||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2015
The | Floating Rate | Fixed | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
Pays | Three-Month Libor | 0.000% | 12/18/45 | Credit Suisse Securities (USA) LLC | 1,423,000 USD | $ | 56,900 | $ | 6,398 | $ | 50,502 | |||||||||||||||
Pays | Three-Month Libor | 2.000% | 12/16/25 | Credit Suisse Securities (USA) LLC | 973,000 USD | 38,012 | 23,936 | 14,076 | ||||||||||||||||||
Receives | Three-Month Libor | 1.297% | 08/13/18 | Morgan Stanley & Co. LLC | 5,500,000 USD | (51,296) | — | (51,296) | ||||||||||||||||||
Receives | Three-Month Libor | 1.500% | 12/16/20 | Credit Suisse Securities (USA) LLC | 6,092,000 USD | (151,347) | (84,863) | (66,484) | ||||||||||||||||||
Receives | Three-Month Libor | 1.919% | 09/30/19 | Morgan Stanley & Co. LLC | 2,311,250 USD | (64,324) | — | (64,324) | ||||||||||||||||||
Receives | Three-Month Libor | 2.043% | 10/27/25 | Morgan Stanley & Co. LLC | 3,900,000 USD | (249) | — | (249) | ||||||||||||||||||
Receives | Three-Month Libor | 2.043% | 12/18/17 | Credit Suisse Securities (USA) LLC | 19,716,000 USD | (249,678) | (191,604) | (58,074) | ||||||||||||||||||
Receives | Three-Month Libor | 2.304% | 01/27/25 | Morgan Stanley & Co. LLC | 2,430,000 USD | (74,644) | — | (74,644) | ||||||||||||||||||
Receives | Three-Month Libor | 2.331% | 08/26/25 | Morgan Stanley & Co. LLC | 38,000,000 USD | (1,153,656) | — | (1,153,656) | ||||||||||||||||||
Receives | Three-Month Libor | 2.534% | 09/25/24 | Morgan Stanley & Co. LLC | 2,130,000 USD | $ | (109,936) | $ | — | $ | (109,936) | |||||||||||||||
Total Centrally Cleared Interest Rate Swaps |
| $ | (1,760,218) | $ | (246,133) | $ | (1,514,085) | |||||||||||||||||||
Abbreviation Legend: | ||||
ADR | American Depository Receipt | |||
CBOT | Chicago Board of Trade | |||
CDE | Montreal Exchange | |||
CFE | CBOE Futures Exchange | |||
CME | Chicago Mercantile Exchange | |||
COMEX | Commodities Exchange Center | |||
Eurex | Eurex Exchange | |||
Euronext | Euronext Paris | |||
HKFE | Hong Kong Futures Exchange Ltd. | |||
ICE | Ice Futures Europe | |||
LIBOR | London Interbank Offered Rate | |||
MEFF | MEFF Renta Variable | |||
MexDer | Mexican Derivatives Exchange | |||
MTN | Medium Term Note | |||
NYMEX | New York Mercantile Exchange | |||
OSE | Osaka Exchange |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2015 (Unaudited)
OTC | Over the Counter | |||
REGS | Regulation-S | |||
REIC | Real Estate Investment Company | |||
REIT | Real Estate Investment Trust | |||
Safex | South African Futures Exchange | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
VRN | Variable Rate Notes | |||
Currency Legend: | ||||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CNH | Chinese Renminbi | |||
CZK | Czech Koruna | |||
DKK | Danish Krone | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
HUF | Hungarian Forint | |||
ILS | Israeli Shekel | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korea Won | |||
MXN | Mexican Peso | |||
NGN | Nigerian Naira | |||
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
PLN | Polish Zloty | |||
RUB | Russian Ruble | |||
SEK | Swedish Krona | |||
TRY | Turkish Lira | |||
USD | United States Dollar | |||
ZAR | South African Rand |
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Assets and Liabilities
As of September 30, 2015 (Unaudited)
Multi-Manager | Multi-Strategy | |||||||
Assets: | ||||||||
Total investments in securities, at value (cost of $1,320,862,267 and $2,623,466,810, respectively)1 | $ | 1,250,281,759 | $ | 2,493,537,230 | ||||
Cash | 169,940,366 | 428,957,750 | ||||||
Cash denominated in foreign currencies (cost of $12,629,353 and $18,400,298, respectively) | 12,054,078 | 18,719,477 | ||||||
Segregated cash balance with broker for securities sold short | 303,707,430 | 617,710,615 | ||||||
Segregated cash balance with custodian for derivative financial instruments | 55,789,243 | 116,516,886 | ||||||
Segregated cash balance with broker for futures contracts | 31,636,654 | 73,926,006 | ||||||
Segregated cash balance with counterparties for swaps, other derivative financial instruments and reverse repurchase agreements | 36,690,246 | 67,332,514 | ||||||
Unrealized appreciation on forward foreign currency exchange contracts | 2,008,749 | 4,424,643 | ||||||
Income receivable | 5,580,870 | 8,833,575 | ||||||
Receivable for investments sold | 78,002,170 | 152,255,037 | ||||||
Receivable for Fund shares sold | 12,669,535 | 23,361,637 | ||||||
Receivable for periodic payments from swap contracts | 1,467,859 | 2,173,615 | ||||||
Variation margin receivable | 2,332,692 | 2,811,492 | ||||||
Swap contracts, premium paid | 1,422,668 | 2,049,816 | ||||||
Unrealized appreciation on swap contracts | 10,463,516 | 19,002,853 | ||||||
Prepaid expenses and other assets | 44,232 | 58,611 | ||||||
|
|
|
| |||||
Total Assets | 1,974,092,067 | 4,031,671,757 | ||||||
|
|
|
| |||||
Liabilities: | ||||||||
Securities sold short, at value (proceeds of $393,435,850 and $762,318,141, respectively) | 337,064,692 | 672,221,250 | ||||||
Securities lending collateral payable | 62,800,339 | 85,494,806 | ||||||
Options written, at value (premiums received $1,227,389 and $2,268,275, respectively) | 1,055,857 | 1,975,121 | ||||||
Unrealized depreciation on forward foreign currency exchange contracts | 1,577,866 | 3,457,264 | ||||||
Payable for reverse repurchase agreements | 154,409,994 | 171,106,024 | ||||||
Payable for investments purchased | 43,037,206 | 82,612,075 | ||||||
Payable for Fund shares redeemed | 41,811,729 | 4,099,629 | ||||||
Swap contracts, premium received | 331,391 | 534,118 | ||||||
Unrealized depreciation on swap contracts | 17,314,746 | 34,256,576 | ||||||
Variation margin payable | 2,980,707 | 8,533,412 | ||||||
Payable for periodic payments from swap contracts | 985,481 | 1,998,834 | ||||||
Dividend and interest income payable on securities sold short | 640,692 | 1,010,106 | ||||||
Management fee payable | 6,640,369 | 11,677,922 | ||||||
Payable to Investment Adviser | 211,222 | 467,293 | ||||||
Accrued expenses and other liabilities | 1,732,752 | 2,705,790 | ||||||
|
|
|
| |||||
Total Liabilities | 672,595,043 | 1,082,150,220 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,301,497,024 | $ | 2,949,521,537 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in capital | $ | 1,258,668,571 | $ | 2,927,909,978 | ||||
Accumulated undistributed net investment loss | (16,311,352 | ) | (11,019,275 | ) | ||||
Accumulated undistributed net realized gain | 75,425,872 | 77,007,421 | ||||||
Net unrealized appreciation (depreciation) | (16,286,067 | ) | (44,376,587 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 1,301,497,024 | $ | 2,949,521,537 | ||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Assets and Liabilities (Continued)
As of September 30, 2015 (Unaudited)
Multi-Manager | Multi-Strategy | |||||||
Net Asset Value: | ||||||||
Class I Shares | ||||||||
Net Assets | $ | 1,301,497,024 | $ | 2,399,895,346 | ||||
Class I Shares outstanding, no par value, unlimited shares authorized | 126,028,358 | 231,454,470 | ||||||
|
|
|
| |||||
Net asset value per share | $ | 10.33 | $ | 10.37 | ||||
|
|
|
| |||||
Class D Shares2 | ||||||||
Net Assets | $ | 11,795,187 | ||||||
Class D Shares outstanding, no par value, unlimited shares authorized | 1,139,022 | |||||||
|
| |||||||
Net asset value per share | $ | 10.36 | ||||||
|
| |||||||
Class Y Shares2 | ||||||||
Net Assets | $ | 537,831,004 | ||||||
Class Y Shares outstanding, no par value, unlimited shares authorized | 52,261,604 | |||||||
|
| |||||||
Net asset value per share | $ | 10.29 | ||||||
|
|
1 | Includes $62,657,413 and $86,011,490, respectively, of investments in securities on loan. |
2 | Class D Shares and Class Y Shares are currently only offered by the Multi-Strategy Fund. See Note 6. |
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Operations
For the Period Ended September 30, 2015 (Unaudited)
Multi-Manager | Multi-Strategy | |||||||
Investment Income: | ||||||||
Interest | $ | 17,289,870 | $ | 19,347,968 | ||||
Dividends (including net foreign taxes withheld of $109,090 and $134,752, respectively) | 4,273,932 | 6,310,654 | ||||||
|
|
|
| |||||
Total income | 21,563,802 | 25,658,622 | ||||||
|
|
|
| |||||
Expenses: | ||||||||
Management fees | $ | 13,130,022 | $ | 19,353,665 | ||||
Administration fees | 1,207,098 | 1,428,376 | ||||||
Custodian fees | 760,144 | 672,406 | ||||||
Trustees’ fees | 46,500 | 45,000 | ||||||
Distribution fees - Class D | — | 11,200 | ||||||
Shareholder service fees | 51,012 | 1,004,251 | ||||||
Registration fees | 18,499 | 112,012 | ||||||
Printing and postage fees | 187,628 | 72,109 | ||||||
Professional fees | 414,934 | 365,316 | ||||||
Dividends and interest on securities sold short | 3,116,252 | 4,366,030 | ||||||
Financing fees on securities sold short | 1,952,100 | 2,177,959 | ||||||
Line of credit fee | 45,857 | 59,652 | ||||||
Interest fees | 1,408,476 | 1,197,775 | ||||||
Offering costs | — | 52,107 | ||||||
Other | 137,574 | 116,304 | ||||||
|
|
|
| |||||
Total expenses | 22,476,096 | 31,034,162 | ||||||
|
|
|
| |||||
Expenses recouped (reimbursed) by Investment Adviser | 637,477 | 829,351 | ||||||
|
|
|
| |||||
Net expenses | 23,113,573 | 31,863,513 | ||||||
|
|
|
| |||||
Net investment income (loss) | (1,549,771 | ) | (6,204,891 | ) | ||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss): | ||||||||
Net realized gain (loss) on investments in securities | 1,919,078 | (20,966,746 | ) | |||||
Net realized gain (loss) on securities sold short | 11,155,256 | 13,812,990 | ||||||
Net realized gain (loss) on forward foreign currency exchange contracts | 1,095,944 | 479,887 | ||||||
Net realized gain (loss) on foreign currency transactions | (817,971 | ) | (430,849 | ) | ||||
Net realized gain (loss) on futures contracts | 10,713,662 | 26,802,532 | ||||||
Net realized gain (loss) on options written | 4,385,167 | 5,730,182 | ||||||
Net realized gain (loss) on swap contracts | 26,070,957 | 34,124,515 | ||||||
Net change in unrealized appreciation (depreciation) on investments in securities | (93,393,960 | ) | (147,203,233 | ) | ||||
Net change in unrealized appreciation (depreciation) on securities sold short | 44,465,100 | 86,253,877 | ||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | (630,179 | ) | 249,896 | |||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | 50,735 | (224,203 | ) | |||||
Net change in unrealized appreciation (depreciation) on futures contracts | 3,289,885 | 9,779,523 | ||||||
Net change in unrealized appreciation (depreciation) on options written | 164,365 | 102,563 | ||||||
Net change in unrealized appreciation (depreciation) on swap contracts | (7,124,768 | ) | (15,923,368 | ) | ||||
|
|
|
| |||||
Net realized and unrealized gain (loss) | 1,343,271 | (7,412,434 | ) | |||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | $ | (206,500 | ) | $ | (13,617,325 | ) | ||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets
Multi-Manager Fund | ||||||||
Six-Months Ended 9/30/2015 (unaudited) | Year Ended 3/31/2015 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment loss | $ | (1,549,771 | ) | $ | (6,748,871 | ) | ||
Net realized gain | 54,522,093 | 71,174,284 | ||||||
Net unrealized appreciation (depreciation) | (53,178,822 | ) | 1,137,196 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (206,500 | ) | 65,562,609 | |||||
|
|
|
| |||||
Distributions: | ||||||||
Distributions from net investment income | — | (9,088,938 | ) | |||||
|
|
|
| |||||
Distributions from net realized capital gains | — | (93,347,991 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | — | (102,436,929 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from sale of Class I Shares | 116,089,842 | 253,883,210 | ||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | — | 102,434,576 | ||||||
Cost of Class I Shares redeemed | (143,745,214 | ) | (172,989,869 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from capital transactions | (27,655,372 | ) | 183,327,917 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (27,861,872 | ) | 146,453,597 | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 1,329,358,896 | 1,182,905,299 | ||||||
|
|
|
| |||||
End of period | $ | 1,301,497,024 | $ | 1,329,358,896 | ||||
|
|
|
| |||||
Accumulated undistributed net investment loss | $ | (16,311,352 | ) | $ | (14,761,581 | ) | ||
|
|
|
| |||||
Share Transactions: | ||||||||
Beginning of period | 128,717,599 | 110,951,809 | ||||||
Class I Shares sold | 11,183,155 | 23,965,692 | ||||||
Class I Shares reinvested | — | 10,301,507 | ||||||
Class I Shares redeemed | (13,872,396 | ) | (16,501,409 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (2,689,241 | ) | 17,765,790 | |||||
|
|
|
| |||||
End of period | 126,028,358 | 128,717,599 | ||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets (Continued)
Multi-Strategy Fund | ||||||||
Six-Months Ended 9/30/2015 (unaudited) | Period Ended 3/31/20151 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment loss | $ | (6,204,891 | ) | $ | (5,395,359 | ) | ||
Net realized gain | 59,552,511 | 20,941,539 | ||||||
Net unrealized appreciation (depreciation) | (66,964,945 | ) | 22,588,358 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (13,617,325 | ) | 38,134,538 | |||||
|
|
|
| |||||
Distributions: | ||||||||
Distributions from net investment income: | ||||||||
Class I Shares | — | (1,545,443 | ) | |||||
Class D Shares | — | (2,255 | ) | |||||
Distributions from net realized capital gains: | ||||||||
Class I Shares | — | (2,768,920 | ) | |||||
Class D Shares | — | (7,654 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | — | (4,324,272 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Shareholder subscriptions: | ||||||||
Proceeds from sale of Class I Shares | 1,609,983,197 | 1,227,560,311 | ||||||
Proceeds from sale of Class D Shares | 6,785,164 | 5,979,685 | ||||||
Proceeds from sale of Class Y Shares | 457,076,182 | 103,401,481 | ||||||
Shareholder reinvestments: | ||||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | — | 3,060,022 | ||||||
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | — | 9,908 | ||||||
Shareholder redemptions: | ||||||||
Cost of Class I Shares redeemed | (299,643,948 | ) | (164,142,829 | ) | ||||
Cost of Class D Shares redeemed | (956,723 | ) | (126,526 | ) | ||||
Cost of Class Y Shares redeemed | (19,657,328 | ) | — | |||||
|
|
|
| |||||
Net increase in net assets resulting from capital transactions | 1,753,586,544 | 1,175,742,052 | ||||||
|
|
|
| |||||
Net increase in net assets | 1,739,969,219 | 1,209,552,318 | ||||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 1,209,552,318 | — | ||||||
|
|
|
| |||||
End of period | $ | 2,949,521,537 | $ | 1,209,552,318 | ||||
|
|
|
| |||||
Accumulated undistributed net investment loss | $ | (11,019,275 | ) | $ | (4,814,384 | ) | ||
|
|
|
|
See Notes to Consolidated Financial Statements.
259
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Consolidated Statement of Changes in Net Assets (Continued)
Multi-Strategy Fund | ||||||||
Six-Months Ended 9/30/2015 (unaudited) | Period Ended 3/31/20151 | |||||||
Share Transactions: | ||||||||
Class I Shares | ||||||||
Beginning of period | 105,770,058 | — | ||||||
Shares issued | 154,349,066 | 121,648,983 | ||||||
Reinvestment in Shares | — | 306,002 | ||||||
Shares redeemed | (28,664,654 | ) | (16,184,927 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 125,684,412 | 105,770,058 | ||||||
|
|
|
| |||||
End of period | 231,454,470 | 105,770,058 | ||||||
|
|
|
| |||||
Class D Shares | ||||||||
Beginning of period | 579,311 | — | ||||||
Shares issued | 651,800 | 590,597 | ||||||
Reinvestment in Shares | — | 990 | ||||||
Shares redeemed | (92,089 | ) | (12,276 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 559,711 | 579,311 | ||||||
|
|
|
| |||||
End of period | 1,139,022 | 579,311 | ||||||
|
|
|
| |||||
Class Y Shares | ||||||||
Beginning of period | 10,263,435 | — | ||||||
Shares issued | 43,893,726 | 10,263,435 | ||||||
Shares redeemed | (1,895,557 | ) | — | |||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 41,998,169 | 10,263,435 | ||||||
|
|
|
| |||||
End of period | 52,261,604 | 10,263,435 | ||||||
|
|
|
|
1 | For the period June 16, 2014 (commencement of operations) to March 31, 2015 |
See Notes to Consolidated Financial Statements.
260
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Blackstone Alternative Investment Funds and Subsidiaries
Consolidated Statement of Cash Flows (Unaudited)
Multi-Manager Fund | ||||
Six-Months Ended | ||||
Cash Flows from Operating Activities: | ||||
Net decrease in net assets resulting from operations | $ | (206,500 | ) | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used for operating activities: | ||||
Purchases of investments in securities | (1,297,503,901 | ) | ||
Proceeds from disposition of investments in securities | 1,133,264,442 | |||
Proceeds from securities sold short | 625,499,942 | |||
Payments to cover securities sold short | (542,107,988 | ) | ||
Premiums paid on closing options written | (2,555,104 | ) | ||
Proceeds from premiums received from options written | 6,103,196 | |||
Net realized gain on investments in securities | (1,919,078 | ) | ||
Net realized gain on securities sold short | (11,155,256 | ) | ||
Net realized gain on options written | (4,385,167 | ) | ||
Net accretion of bond discount and amortization of bond and swap premium | (1,546,751 | ) | ||
Net change in unrealized depreciation on investments in securities | 93,393,960 | |||
Net change in unrealized appreciation on securities sold short | (44,465,100 | ) | ||
Net change in unrealized depreciation on options written | (164,365 | ) | ||
Changes in assets and liabilities: | ||||
(Increase) decrease in assets: | ||||
Segregated cash balance with broker for securities sold short | (13,871,561 | ) | ||
Segregated cash balance with custodian for derivative financial instruments | (39,575,016 | ) | ||
Segregated cash balance with broker for futures contracts | (4,499,488 | ) | ||
Segregated cash balance with counterparties for swaps, other derivative financial instruments and reverse repurchase agreements | (31,827,540 | ) | ||
Unrealized appreciation on forward foreign currency exchange contracts | 975,647 | |||
Income receivable | (396,852 | ) | ||
Receivable for periodic payments from swap contracts | (984,713 | ) | ||
Variation margin receivable | 267,105 | |||
Swap contracts, premium paid | (1,262,235 | ) | ||
Unrealized appreciation on swap contracts | (6,358,812 | ) | ||
Receivable from Investment Adviser | 538,978 | |||
Prepaid expenses and other assets | (24,568 | ) | ||
Increase (decrease) in liabilities: | ||||
Securities lending collateral payable | (12,149,056 | ) | ||
Cash received as collateral for swaps and reverse repurchase agreements | (1,705,808 | ) | ||
Unrealized depreciation on forward foreign currency exchange contracts | (345,468 | ) | ||
Swap contracts, premium received | 228,006 | |||
Unrealized depreciation on swap contracts | 14,015,543 | |||
Variation margin payable | 2,959,864 | |||
Payable for periodic payments from swap contracts | 811,611 | |||
Dividend and interest income payable on securities sold short | 239,019 | |||
Interest payable on reverse repurchase agreements | 112,172 | |||
Management fee payable | 313,029 | |||
Payable to Investment Adviser | 211,222 | |||
Accrued expenses and other liabilities | 209,315 | |||
|
| |||
Net cash used for operating activities | $ | (139,867,276 | ) | |
|
| |||
Cash Flows from Financing Activities: | ||||
Proceeds from shares sold | 104,347,428 | |||
Cost of shares repurchased | (102,630,061 | ) | ||
Proceeds from reverse repurchase agreements | 553,576,089 | |||
Repayment of reverse repurchase agreements | (519,024,852 | ) | ||
|
| |||
Net cash provided by financing activities | 36,268,604 | |||
|
| |||
Net increase (decrease) in cash and foreign currency | (103,598,672 | ) | ||
Cash and foreign currency, beginning of period | 285,593,116 | |||
|
| |||
Cash and foreign currency, end of period | $ | 181,994,444 | ||
|
| |||
Supplemental disclosure of cash flow information: | ||||
Cash paid during the period for interest | $ | 1,169,457 | ||
|
|
See Notes to Consolidated Financial Statements.
261
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Blackstone Alternative Investment Funds and Subsidiaries
Consolidated Statement of Cash Flows (Unaudited) (Continued)
Multi-Strategy Fund | |||||
Six-Months Ended | |||||
Cash Flows from Operating Activities: | |||||
Net decrease in net assets resulting from operations | $ | (13,617,325 | ) | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used for operating activities: | |||||
Purchases of investments in securities | (3,099,314,814 | ) | |||
Proceeds from disposition of investments in securities | 1,281,976,516 | ||||
Proceeds from securities sold short | 1,234,474,204 | ||||
Payments to cover securities sold short | (746,180,546 | ) | |||
Premiums paid on closing options written | (3,387,288 | ) | |||
Proceeds from premiums received from options written | 10,290,256 | ||||
Net realized loss on investments in securities | 20,966,746 | ||||
Net realized gain on securities sold short | (13,812,990 | ) | |||
Net realized gain on options written | (5,730,182 | ) | |||
Net accretion of bond discount and amortization of bond and swap premium | (1,178,436 | ) | |||
Net change in unrealized depreciation on investments in securities | 147,203,233 | ||||
Net change in unrealized appreciation on securities sold short | (86,253,877 | ) | |||
Net change in unrealized depreciation on options written | (102,563 | ) | |||
Changes in assets and liabilities: | |||||
(Increase) decrease in assets: | |||||
Segregated cash balance with broker for securities sold short | (362,236,167 | ) | |||
Segregated cash balance with custodian for derivative financial instruments | (102,350,292 | ) | |||
Segregated cash balance with broker for futures contracts | (50,128,718 | ) | |||
Segregated cash balance with counterparties for swaps, other derivative financial | (66,033,617 | ) | |||
Unrealized appreciation on forward foreign currency exchange contracts | (2,089,708 | ) | |||
Income receivable | (5,304,580 | ) | |||
Receivable for periodic payments from swap contracts | (1,766,611 | ) | |||
Variation margin receivable | (921,061 | ) | |||
Swap contracts, premium paid | (1,951,601 | ) | |||
Unrealized appreciation on swap contracts | (16,075,685 | ) | |||
Receivable from Investment Adviser | 356,446 | ||||
Prepaid expenses and other assets | 16,139 | ||||
Increase (decrease) in liabilities: | |||||
Securities lending collateral payable | 14,135,432 | ||||
Cash received as collateral for swaps and reverse repurchase agreements | (1,251,878 | ) | |||
Unrealized depreciation on forward foreign currency exchange contracts | 1,839,812 | ||||
Swap contracts, premium received | 472,103 | ||||
Unrealized depreciation on swap contracts | 31,325,737 | ||||
Variation margin payable | 8,493,713 | ||||
Payable for periodic payments from swap contracts | 1,859,376 | ||||
Dividend and interest income payable on securities sold short | 712,442 | ||||
Interest payable on reverse repurchase agreements | 283,257 | ||||
Management fee payable | 7,034,442 | ||||
Payable to Investment Adviser | 467,293 | ||||
Accrued expenses and other liabilities | 747,469 | ||||
|
| ||||
Net cash used for operating activities | $ | (1,817,033,323 | ) | ||
|
| ||||
Cash Flows from Financing Activities: | |||||
Proceeds from shares sold | 2,084,368,447 | ||||
Cost of shares repurchased | (334,482,911 | ) | |||
Proceeds from reverse repurchase agreements | 462,109,866 | ||||
Repayment of reverse repurchase agreements | (326,618,576 | ) | |||
|
| ||||
Net cash provided by financing activities | 1,885,376,826 | ||||
|
| ||||
Net increase (decrease) in cash and foreign currency | 68,343,503 | ||||
Cash and foreign currency, beginning of period | 379,333,724 | ||||
|
| ||||
Cash and foreign currency, end of period | $ | 447,677,227 | |||
|
| ||||
Supplemental disclosure of cash flow information: | |||||
Cash paid during the period for interest | $ | 485,333 | |||
|
|
See Notes to Consolidated Financial Statements.
262
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Blackstone Alternative Investment Funds and Subsidiaries
Consolidated Financial Highlights
(For a Share Outstanding Throughout the Period)
Multi-Manager Fund—Class I | ||||||||||||
Six-Months Ended 9/30/2015 (unaudited) | Year Ended 3/31/2015 | Period Ended 3/31/20141 | ||||||||||
Net Asset Value, Beginning of Period | $ | 10.33 | $ | 10.66 | $ | 10.00 | ||||||
Income From Investment Operations: | ||||||||||||
Net investment loss | (0.01 | )2 | (0.06 | )2 | (0.05 | )2 | ||||||
Net realized and unrealized gain | 0.01 | 0.59 | 0.75 | |||||||||
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|
|
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| |||||||
Total From Investment Operations | — | 0.53 | 0.70 | |||||||||
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|
|
|
|
| |||||||
Less Distributions to Shareholders: | ||||||||||||
From net investment income | — | (0.08 | ) | (0.04 | ) | |||||||
From net realized capital gains | — | (0.78 | ) | — | ||||||||
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|
|
|
|
| |||||||
Total Distributions | — | (0.86 | ) | (0.04 | ) | |||||||
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|
|
|
|
| |||||||
Net Asset Value, End of Period | $ | 10.33 | $ | 10.33 | $ | 10.66 | ||||||
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|
|
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|
| |||||||
Total Return3 | 0.00 | % | 5.24 | % | 7.04 | % | ||||||
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|
|
|
| |||||||
Ratios to Average Net Assets:4,5 | ||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 3.34 | % | 3.08 | % | 3.33 | % | ||||||
Recoupment (reimbursement) from Investment Adviser | 0.09 | % | 0.04 | % | (0.27 | )% | ||||||
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|
|
|
|
| |||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.43 | % | 3.12 | % | 3.06 | % | ||||||
Excluded Expenses6 | (1.03 | )% | (0.72 | )% | (0.66 | )% | ||||||
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|
|
|
| |||||||
Expenses, net of impact of excluded expenses | 2.40 | % | 2.40 | % | 2.40 | % | ||||||
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|
|
|
|
| |||||||
Net investment loss | (0.23 | )% | (0.54 | )% | (0.69 | )% | ||||||
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| |||||||
Supplemental Data: | ||||||||||||
Net assets, end of period (in thousands) | $ | 1,301,497 | $ | 1,329,359 | $ | 1,182,905 | ||||||
Portfolio turnover3 | 91 | % | 265 | % | 135 | % |
1 | For the period August 6, 2013 (commencement of operations) through March 31, 2014. |
2 | Calculated using average shares outstanding during the period. |
3 | Percentage represents the results for the period and is not annualized. |
4 | Financial ratios have been annualized except for non-recurring costs. |
5 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund. |
6 | 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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Consolidated Financial Highlights (Continued)
(For a Share Outstanding Throughout the Period)
Multi-Strategy Fund—Class I | ||||||||
Six-Months Ended 9/30/2015 (unaudited) | Period Ended 3/31/20151 | |||||||
Net Asset Value, Beginning of Period | $ | 10.38 | $ | 10.00 | ||||
Income From Investment Operations: | ||||||||
Net investment loss | (0.03 | )2 | (0.09 | )2 | ||||
Net realized and unrealized gain | 0.02 | 0.53 | ||||||
|
|
|
| |||||
Total From Investment Operations | (0.01 | ) | 0.44 | |||||
|
|
|
| |||||
Less Distributions to Shareholders: | ||||||||
From net investment income | — | (0.02 | ) | |||||
From net realized capital gains | — | (0.04 | ) | |||||
|
|
|
| |||||
Total Distributions | — | (0.06 | ) | |||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 10.37 | $ | 10.38 | ||||
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|
|
| |||||
Total Return3 | (0.10 | )% | 4.43 | % | ||||
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|
|
| |||||
Ratios to Average Net Assets:4 | ||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 3.13 | % | 3.41 | % | ||||
Recoupment (reimbursement) from Investment Adviser | 0.09 | % | (0.24 | )% | ||||
|
|
|
| |||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.22 | % | 3.17 | % | ||||
Excluded expenses5 | (0.82 | )% | (0.77 | )% | ||||
|
|
|
| |||||
Expenses, net of impact of excluded expenses | 2.40 | % | 2.40 | % | ||||
|
|
|
| |||||
Net investment loss | (0.65 | )% | (1.11 | )% | ||||
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|
|
| |||||
Supplemental Data: | ||||||||
Net assets, end of period (in thousands) | $ | 2,399,895 | $ | 1,097,917 | ||||
Portfolio turnover3 | 85 | % | 194 | % |
1 | For the period June 16, 2014 (commencement of operations) to March 31, 2015. |
2 | Calculated using average shares outstanding during the period. |
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, except for Management Fees. See Note 7. |
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights (Continued)
(For a Share Outstanding Throughout the Period)
Multi-Strategy Fund—Class D | ||||||||
Six-Months Ended 9/30/2015 (unaudited) | Period Ended 3/31/20151 | |||||||
Net Asset Value, Beginning of Period | $ | 10.38 | $ | 10.00 | ||||
Income From Investment Operations: | ||||||||
Net investment loss | (0.04 | )2 | (0.05 | )2 | ||||
Net realized and unrealized gain | 0.02 | 0.48 | ||||||
|
|
|
| |||||
Total From Investment Operations | (0.02 | ) | 0.43 | |||||
|
|
|
| |||||
Less Distributions to Shareholders: | ||||||||
From net investment income | — | (0.01 | ) | |||||
From net realized capital gains | — | (0.04 | ) | |||||
|
|
|
| |||||
Total Distributions | — | (0.05 | ) | |||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 10.36 | $ | 10.38 | ||||
|
|
|
| |||||
Total Return3 | (0.19 | )% | 4.32 | % | ||||
|
|
|
| |||||
Ratios to Average Net Assets:4 | ||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 3.37 | % | 3.54 | % | ||||
Recoupment (reimbursement) from Investment Adviser | 0.05 | % | (0.14 | )% | ||||
|
|
|
| |||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.42 | % | 3.40 | % | ||||
Excluded expenses5 | (1.07 | )% | (1.00 | )% | ||||
|
|
|
| |||||
Expenses, net of impact of excluded expenses | 2.35 | % | 2.40 | % | ||||
|
|
|
| |||||
Net investment income (loss) | (0.84 | )% | (1.29 | )% | ||||
|
|
|
| |||||
Supplemental Data: | ||||||||
Net assets, end of period (in thousands) | $ | 11,795 | $ | 6,012 | ||||
Portfolio turnover3 | 85 | % | 194 | % |
1 | For the period November 17, 2014 (commencement of operations) to March 31, 2015. |
2 | Calculated using average shares outstanding during the period. |
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, except for Management Fees. See Note 7. |
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights (Continued)
(For a Share Outstanding Throughout the Period)
Multi-Strategy Fund—Class Y | ||||||||
Six-Months | Period | |||||||
Net Asset Value, Beginning of Period | $ | 10.29 | $ | 10.00 | ||||
Income From Investment Operations: | ||||||||
Net investment loss | (0.02 | )2 | (0.02 | )2 | ||||
Net realized and unrealized gain | 0.02 | 0.31 | ||||||
|
|
|
| |||||
Total From Investment Operations | — | 0.29 | ||||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 10.29 | $ | 10.29 | ||||
|
|
|
| |||||
Total Return3 | (0.10 | )% | 2.90 | % | ||||
|
|
|
| |||||
Ratios to Average Net Assets:4 | ||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 3.05 | % | 3.26 | % | ||||
Recoupment (reimbursement) from Investment Adviser | 0.01 | % | (0.07 | )% | ||||
|
|
|
| |||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.06 | % | 3.19 | % | ||||
Excluded expenses5 | (0.85 | )% | (0.79 | )% | ||||
|
|
|
| |||||
Expenses, net of impact of excluded expenses | 2.21 | % | 2.40 | % | ||||
|
|
|
| |||||
Net investment loss | (0.44 | )% | (1.03 | )% | ||||
|
|
|
| |||||
Supplemental Data: | ||||||||
Net assets, end of period (in thousands) | $ | 537,831 | $ | 105,624 | ||||
Portfolio turnover3 | 85 | % | 194 | % |
1 | For the period January 28, 2015 (commencement of operations) to March 31, 2015. |
2 | Calculated using average shares outstanding during the period. |
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, except for Management Fees. See Note 7. |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Investment Funds and Subsidiaries
Notes to Consolidated Financial Statements
For the Period Ended September 30, 2015 (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 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 offering Class I Shares on August 6, 2013 and June 16, 2014, respectively. The Multi-Strategy Fund also offers Class D Shares, Class Y Shares and Class R Shares, of which, Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, 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 each 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 Funds. 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 invest, directly or indirectly through the use of derivatives, in securities and commodity interests. Domestic Subsidiaries III and Domestic Subsidiaries IV 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, 2015 (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 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 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 has 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, 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 a 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, 2015.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
Fair Value Measurements
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.
The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“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.
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.
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
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
(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. 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 (“Fair Value 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 (“Fair Value 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, 2015, certain foreign equity securities were classified in Level 2 as a Fair Value Factor was applied to the prices of these securities.
Short-Term Investments
Short-term investments, such as money market funds, are valued at NAV. These securities are categorized as Level 1 within the fair value hierarchy.
OTC Derivative Financial Instruments
Derivative financial instruments, such as forward foreign currency exchange contracts, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker dealer quotations. Depending on the nature of the instruments 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 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.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
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 or pricing services that may employ valuation techniques with unobservable inputs. At September 30, 2015, the values of these Level 3 securities for Multi-Manager Fund and Multi-Strategy Fund were approximately $13,828,657 and $19,708,672, respectively. 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, unless the investment in Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If there is no quoted price available, 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 ASC 946.
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 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”),
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
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 of 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 the Investment Adviser, it is possible that the Fund could lose all or substantially all of its investment.
Securities Sold Short
The Funds may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby a Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby a Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Funds are 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
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net unrealized appreciation or depreciation from investments on securities sold short in the Consolidated Statement of Operations. A realized gain or loss is recognized when the short position is closed as a net realized gain or loss from investments 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, 2015, the Multi-Manager Fund and the Multi-Strategy Fund had $169,940,366 and $428,957,750, respectively, in domestic cash and $12,054,078 and $18,719,477, 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.
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 open tax years and all major jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements.
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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 generally declared and paid in December, however, the Funds may make additional distributions at other times. Dividends and capital gain distributions paid by the Funds will be reinvested in additional Shares (see Note 6) 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, 2015, the Funds used the gross method of presentation in their consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the 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 may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of a Fund, a decrease in net asset value. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to
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terminate the contract. See Note 9 for a further discussion of the risks of a Fund, including Credit and Counterparty Risk.
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, 2015, the face values of open reverse repurchase agreements for Multi-Manager Fund and Multi-Strategy Fund were $154,152,234 and $170,780,000, respectively. The weighted average daily balances of reverse repurchase agreements outstanding during the period ended September 30, 2015 for Multi-Manager Fund and Multi-Strategy Fund were approximately $136,417,977 and $115,008,531, respectively, at a weighted average weekly interest rate of 1.78% and 1.79%, 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 tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.
Multi-Manager Fund
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral(1) | Cash Collateral Pledged(1) | Net Amount | ||||||||||||||||
Credit Suisse Securities (USA) LLC | $ | (40,693,535 | ) | $ | 40,693,535 | $ | — | $ | — | |||||||||||
JPMorgan Chase Bank, N.A. | (5,170,234 | ) | 5,170,234 | — | — | |||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | (85,928,154 | ) | 85,928,154 | — | — | |||||||||||||||
Royal Bank of Canada | (22,618,071 | ) | 22,618,071 | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (154,409,994 | ) | $ | 154,409,994 | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(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, 2015 was $197,123,308 and $2,613,640, respectively. |
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Remaining Contractual Maturity of the Agreements As of September 30, 2015 | |||||||||||||||||||||||||
Overnight and | <30 days | Between | >90 days | Total | |||||||||||||||||||||
Reverse Repurchase Agreements | |||||||||||||||||||||||||
Mortgage-Backed Securities | $ | — | $ | 79,819,138 | $ | 42,193,421 | $ | 10,411,064 | $ | 132,423,623 | |||||||||||||||
Asset-Backed Securities | — | 3,133,568 | 14,185,477 | — | 17,319,045 | ||||||||||||||||||||
Sovereign Debt | — | — | — | 2,646,808 | 2,646,808 | ||||||||||||||||||||
Cash | — | 2,020,518 | — | — | 2,020,518 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | — | $ | 84,973,224 | $ | 56,378,898 | $ | 13,057,872 | $ | 154,409,994 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | 154,409,994 | ||||||||||||||||||||||
|
|
Multi-Strategy Fund
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral(1) | Cash Collateral Pledged(1) | Net Amount | ||||||||||||||||
Credit Suisse Securities (USA) LLC | $ | (55,962,532 | ) | $ | 55,962,532 | $ | — | $ | — | |||||||||||
BNP Paribas Securities Corp. | (5,207,619 | ) | 5,207,619 | — | — | |||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | (66,767,528 | ) | 66,767,528 | — | — | |||||||||||||||
Royal Bank of Canada | (43,168,345 | ) | 43,168,345 | — | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (171,106,024 | ) | $ | 171,106,024 | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
(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, 2015 was $222,140,506 and $3,985,885, respectively. |
Remaining Contractual Maturity of the Agreements As of September 30, 2015 | |||||||||||||||||||||||||
Overnight | <30 days | Between | >90 days | Total | |||||||||||||||||||||
Reverse Repurchase Agreements | |||||||||||||||||||||||||
Mortgage-Backed Securities | $ | — | $ | 74,929,757 | $ | 36,956,409 | $ | 27,017,303 | $ | 138,903,469 | |||||||||||||||
Asset-Backed Securities | — | 12,975,020 | 16,211,483 | — | 29,186,503 | ||||||||||||||||||||
Cash | — | 3,016,052 | — | — | 3,016,052 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | — | $ | 90,920,829 | $ | 53,167,892 | $ | 27,017,303 | $ | 171,106,024 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | 171,106,024 | ||||||||||||||||||||||
|
|
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
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of borrower default will be borne by the 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 investment in securities. Income from securities lending is included in investment income on the Consolidated Statement of Operations. As of September 30, 2015, the market value of securities loaned for Multi-Manager Fund and Multi-Strategy Fund amounted to $62,657,413 and $86,011,490, respectively, and each Fund had received cash collateral of $62,800,339 and $85,494,806, respectively. The market value of securities on loan are classified as common stock, convertible bonds and notes in each Fund’s Consolidated Schedule of Investments and as a component of investments in securities, at value in the Consolidated Statement of Assets and Liabilities. In addition, the value of the related collateral is shown separately as securities lending collateral payable in the Consolidated Statement of Assets and Liabilities. All of the security lending agreements are continuous.
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.
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, 2015:
Multi-Manager Fund
Borrower/Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount(2) | ||||||||||||
Banca IMI Securities Corp. | $ | 146,704 | $ | (146,704 | ) | $ | — | ||||||||
BNP Paribas Prime Brokerage, Inc. | 2,385,813 | (2,376,269 | ) | 9,544 | |||||||||||
Citadel Clearing LLC | 621,591 | (621,591 | ) | — | |||||||||||
Citadel Securities LLC | 912,127 | (867,709 | ) | 44,418 | |||||||||||
Citigroup Global Markets, Inc. | 2,275,562 | (2,275,562 | ) | — | |||||||||||
Credit Suisse Securities (USA) LLC | 635,583 | (627,218 | ) | 8,365 | |||||||||||
Deutsche Bank Securities, Inc. | 4,524,777 | (4,488,638 | ) | 36,139 | |||||||||||
Goldman Sachs & Co. | 1,463,779 | (1,463,779 | ) | — | |||||||||||
Industrial & Commercial Bank of China Financial Services LLC | 34,828 | (33,600 | ) | 1,228 | |||||||||||
Janney Montgomery Scott LLC | 297,959 | (297,959 | ) | — | |||||||||||
Jefferies LLC | 640,675 | (640,675 | ) | — | |||||||||||
JP Morgan Clearing Corp. | 4,587,105 | (4,558,540 | ) | 28,565 | |||||||||||
JP Morgan Securities LLC | 862,555 | (862,555 | ) | — | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,159,716 | (5,031,091 | ) | 128,625 | |||||||||||
RBC Capital Markets, LLC | 2,494,675 | (2,494,675 | ) | — | |||||||||||
Sanford C. Bernstein & Co. LLC | 108,418 | (107,900 | ) | 518 | |||||||||||
State Street Bank and Trust Company | 35,072,324 | (35,072,324 | ) | — | |||||||||||
Timber Hill LLC | 12,504 | (12,504 | ) | — | |||||||||||
UBS Securities LLC | 420,718 | (420,718 | ) | — | |||||||||||
|
| ||||||||||||||
Total | $ | 62,657,413 | $ | (62,400,011 | ) | $ | 257,402 | ||||||||
|
|
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Multi-Strategy Fund
Borrower/Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount(2) | ||||||||||||
Banca IMI Securities Corp. | $ | 498,652 | $ | (498,652 | ) | $ | — | ||||||||
BNP Paribas Prime Brokerage, Inc. | 6,144,099 | (6,144,099 | ) | — | |||||||||||
Citadel Clearing LLC | 570,445 | (570,445 | ) | — | |||||||||||
Citadel Securities LLC | 881,955 | (875,536 | ) | 6,419 | |||||||||||
Citigroup Global Markets, Inc. | 7,345,319 | (7,335,958 | ) | 9,361 | |||||||||||
Deutsche Bank Securities, Inc. | 7,483,022 | (7,462,413 | ) | 20,609 | |||||||||||
Goldman Sachs & Co. | 5,509,778 | (5,509,778 | ) | — | |||||||||||
Industrial & Commercial Bank of China Financial Services LLC | 847,781 | (847,781 | ) | — | |||||||||||
Janney Montgomery Scott LLC | 204,396 | (204,396 | ) | — | |||||||||||
JP Morgan Clearing Corp. | 7,581,022 | (7,408,568 | ) | 172,454 | |||||||||||
JP Morgan Securities LLC | 864,620 | (864,620 | ) | — | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,067,757 | (19,702,800 | ) | 364,957 | |||||||||||
Morgan Stanley & Co. LLC | 20,479,180 | (20,367,458 | ) | 111,722 | |||||||||||
National Financial Services LLC | 102,814 | (102,814 | ) | — | |||||||||||
Natixis Securities Americas, LLC | 434,561 | (433,682 | ) | 879 | |||||||||||
Sanford C. Bernstein & Co. LLC | 234,259 | (234,259 | ) | — | |||||||||||
SG Americas Securities, LLC | 6,494,220 | (6,352,452 | ) | 141,768 | |||||||||||
Timber Hill LLC | 166,287 | (165,219 | ) | 1,068 | |||||||||||
UBS Securities LLC | 101,323 | (101,323 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | 86,011,490 | $ | (85,182,253 | ) | $ | 829,237 | ||||||||
|
|
|
|
|
|
(1) | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
(2) | The net amount represents additional collateral to be allocated to each Fund on the next business day. |
Recent Accounting Pronouncements
In June 2014, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2014-11, Transfers and Servicing (Topic 860) – Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The guidance requires that repurchase-to-maturity transactions and repurchase agreements executed as a repurchase financing be accounted for as secured borrowings. The guidance also requires new disclosure for transactions economically similar to repurchase agreements in which the transferor retains substantially all of the exposure to the economic return on the transferred financial assets throughout the term of the transaction and expanded disclosures about the nature of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for interim and annual periods beginning after December 15, 2014. The adoption of this guidance did not have a material impact on the consolidated financial statements with exception of additional disclosure reflected in Note 3.
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
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certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g. inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Funds use derivative financial instruments. The derivative financial instruments outstanding as of 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.
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. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.
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 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. 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.
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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.
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.
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For the Period Ended September 30, 2015 (Unaudited)
Options Written
Each Fund’s transactions in written call and put options during the period ended September 30, 2015 were as follows:
Multi-Manager Fund
Calls | Puts | |||||||||||||||||||||||||||||
Contracts | Notional | Premiums | Contracts | Notional | Premiums | |||||||||||||||||||||||||
Options Outstanding, March 31, 2015 | 2,634 | 50,315,600 | $ | 1,210,896 | 525,564 | 7,285,400 | $ | 853,569 | ||||||||||||||||||||||
Options written | 24,013 | 6,674,400 | 3,087,989 | 479,943 | — | 3,015,207 | ||||||||||||||||||||||||
Options bought back | (7,180 | ) | (56,990,000 | ) | (1,799,651 | ) | (158,107 | ) | (7,285,400 | ) | (2,177,337 | ) | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||||||||
Options expired | (13,396 | ) | — | (1,855,653 | ) | (478,333 | ) | — | (1,107,631 | ) | ||||||||||||||||||||
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| |||||||||||||||||||
Options Outstanding, September 30, 2015 | 6,071 | — | $ | 643,581 | 369,067 | — | $ | 583,808 | ||||||||||||||||||||||
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Multi-Strategy Fund
Calls | Puts | |||||||||||||||||||||||||||||
Contracts | Notional | Premiums | Contracts | Notional | Premiums | |||||||||||||||||||||||||
Options Outstanding, March 31, 2015 | 2,015 | 10,960,000 | $ | 543,384 | 448,893 | 3,170,000 | $ | 552,105 | ||||||||||||||||||||||
Options written | 37,833 | 17,700,000 | 5,206,403 | 797,025 | — | 5,083,853 | ||||||||||||||||||||||||
Options bought back | (7,082 | ) | (28,660,000 | ) | (1,729,264 | ) | (173,426 | ) | (3,170,000 | ) | (3,613,523 | ) | ||||||||||||||||||
Options exercised | — | — | — | — | — | — | ||||||||||||||||||||||||
Options expired | (20,428 | ) | — | (2,679,874 | ) | (445,726 | ) | — | (1,094,809 | ) | ||||||||||||||||||||
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Options Outstanding, September 30, 2015 | 12,338 | — | $ | 1,340,649 | 626,766 | — | $ | 927,626 | ||||||||||||||||||||||
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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 OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). A Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the 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.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
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 and 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 Fund’s 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 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 a counterparty, the protection seller, in exchange for the right to receive a
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For the Period Ended September 30, 2015 (Unaudited)
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 swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.
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, 2015, 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 | Fair Value | Consolidated Statement of Liabilities Location | Fair Value | ||||||||
Interest Rate | Centrally cleared swaps, at fair value (b) | $ | 856,540 | Centrally cleared swaps, at fair value (b) | $ | (1,219,704 | ) | |||||
Unrealized appreciation on futures contracts (b) | 1,795,233 | Unrealized depreciation on futures contracts (b) | (2,070,753 | ) | ||||||||
Equity | Swap contracts, at fair value (a) | 10,155,610 | Swap contracts, at fair value (a) | (17,314,360 | ) | |||||||
Unrealized appreciation on futures contracts (b) | 5,375,744 | Unrealized depreciation on futures contracts (b) | (1,975,822 | ) | ||||||||
Purchased options, at fair value (c) | 11,738,371 | Options written, at value | (1,055,857 | ) | ||||||||
Commodity | Unrealized appreciation on futures contracts (b) | 2,247,941 | Unrealized depreciation on futures contracts (b) | (1,394,692 | ) | |||||||
Credit | Swap contracts, at fair value (a) | 1,676,312 | Swap contracts, at fair value (a) | (277,515 | ) | |||||||
Centrally cleared swaps, at fair value (b) | 787,097 | Centrally cleared swaps, at fair value (b) | (187,059 | ) |
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Asset Derivatives | Liability Derivatives | |||||||||||
Risk Exposure | Consolidated Statement of | Fair Value | Consolidated Statement of Liabilities Location | Fair Value | ||||||||
Foreign Exchange | Unrealized appreciation on forward foreign currency exchange contracts | $ | 2,008,749 | Unrealized depreciation on forward foreign currency exchange contracts | $ | (1,577,866 | ) | |||||
Unrealized appreciation on futures contracts (b) | 315,477 | Unrealized depreciation on futures contracts (b) | (4,196 | ) | ||||||||
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| |||||||||
Total | $ | 36,957,074 | $ | (27,077,824 | ) | |||||||
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| |||||||||
Amount not subject to MNA(1) | (22,139,211 | ) | 7,818,933 | |||||||||
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| |||||||||
Total gross amounts subject to MNA | $ | 14,817,863 | $ | (19,258,891 | ) | |||||||
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(1) | See below for disclosure of financial instruments assets and liabilities subject to offset enforceable master netting arrangements. |
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, 2015:
Consolidated Statement of Location—Net (Loss) | Average Notional USD(1) | Commodity | Interest Rate | Credit | Equity | Foreign Exchange | Total | ||||||||||||||||||||||||||||
Swap contracts | $ | 577,729,125 | $ | — | $ | (1,116,460 | ) | $ | 208,609 | $ | 26,978,808 | $ | — | $ | 26,070,957 | ||||||||||||||||||||
Futures contracts | 1,166,377,614 | (2,156,245 | ) | (1,261,339 | ) | — | 14,105,318 | 25,928 | 10,713,662 | ||||||||||||||||||||||||||
Purchased options (c)(d) | 41,840,924 | — | — | — | (9,966,963 | ) | 91,105 | (9,875,858 | ) | ||||||||||||||||||||||||||
Written options (e) | 47,900,800 | — | — | — | 4,269,026 | 116,141 | 4,385,167 | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | 537,426,145 | — | — | — | — | 1,095,944 | 1,095,944 | ||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||
$ | (2,156,245 | ) | $ | (2,377,799 | ) | $ | 208,609 | $ | 35,386,189 | $ | 1,329,118 | $ | 32,389,872 | ||||||||||||||||||||||
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(1) | Averages are based on monthly activity levels during the period ended September 30, 2015. |
Consolidated Statement of Operations Location— Net Change in Unrealized | Commodity | Interest Rate | Credit | Equity | Foreign Exchange | Total | ||||||||||||||||||||||||
Swap contracts (b) | $ | — | $ | 155,334 | $ | 764,058 | $ | (8,044,160 | ) | $ | — | $ | (7,124,768 | ) | ||||||||||||||||
Future contracts (b) | 669,179 | (272,191 | ) | — | 2,581,617 | 311,280 | 3,289,885 | |||||||||||||||||||||||
Purchased options (c) | — | — | — | 2,575,584 | (434,321 | ) | 2,141,263 | |||||||||||||||||||||||
Options written | — | — | — | 12,469 | 151,896 | 164,365 | ||||||||||||||||||||||||
Forward foreign currency exchange contracts | — | — | — | — | (630,179 | ) | (630,179 | ) | ||||||||||||||||||||||
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$ | 669,179 | $ | (116,857 | ) | $ | 764,058 | $ | (2,874,490 | ) | $ | (601,324 | ) | $ | (2,159,434 | ) | |||||||||||||||
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
At September 30, 2015, 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 & Liabilities Location | Fair Value | Consolidated Statement of Assets & Liabilities Location | Fair Value | ||||||||
Interest Rate | Centrally cleared swaps, at fair value (b) | $ | 94,912 | Centrally cleared swaps, at fair value (b) | $ | (1,855,130 | ) | |||||
Unrealized appreciation on futures contracts (b) | 4,276,456 | Unrealized depreciation on futures contracts (b) | (4,559,208 | ) | ||||||||
Equity | Swap contracts, at fair value (a) | 18,551,927 | Swap contracts, at fair value (a) | (34,256,576 | ) | |||||||
Unrealized appreciation on futures contracts (b) | 12,707,750 | Unrealized depreciation on futures contracts (b) | (4,458,777 | ) | ||||||||
Purchased options, at fair value (c) | 22,382,224 | Options written, at value | (1,975,121 | ) | ||||||||
Commodity | Unrealized appreciation on futures contracts (b) | 5,449,680 | Unrealized depreciation on futures contracts (b) | (3,324,874 | ) | |||||||
Credit | Swap contracts, at fair value (a) | 2,423,848 | Swap contracts, at fair value (a) | (457,224 | ) | |||||||
Centrally cleared swaps, at fair value (b) | 1,103,680 | Centrally cleared swaps, at fair value (b) | (460,629 | ) | ||||||||
Foreign Exchange | Unrealized appreciation on forward foreign currency exchange contracts | 4,424,643 | Unrealized depreciation on forward foreign currency exchange contracts | (3,457,264 | ) | |||||||
Unrealized appreciation on futures contracts (b) | 676,430 | Unrealized depreciation on futures contracts (b) | (9,104 | ) | ||||||||
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Total | $ | 72,091,550 | $ | (54,813,907 | ) | |||||||
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| |||||||||
Amount not subject to MNA(1) | (45,024,881 | ) | 16,491,529 | |||||||||
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Total gross amounts subject to MNA | $ | 27,066,669 | $ | (38,322,378 | ) | |||||||
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(1) | See below for disclosure of financial instruments assets and liabilities subject to offset enforceable master netting arrangements. |
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
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, 2015:
Consolidated Statement of Operations Location—Net Realized Gain (Loss) | Average Notional USD(1) | Commodity | Interest Rate | Credit | Equity | Foreign Exchange | Total | ||||||||||||||||||||||||||||
Swap contracts | $ | 824,079,297 | $ | — | $ | (608,048 | ) | $ | 408,185 | $ | 34,324,378 | $ | — | $ | 34,124,515 | ||||||||||||||||||||
Futures contracts | 1,745,474,265 | (3,181,363 | ) | (643,803 | ) | — | 30,573,887 | 53,811 | 26,802,532 | ||||||||||||||||||||||||||
Purchased options (c)(d) | 11,151,574 | — | — | — | (15,852,992 | ) | (17,407 | ) | (15,870,399 | ) | |||||||||||||||||||||||||
Written options (e) | 13,764,000 | — | — | — | 5,703,451 | 26,731 | 5,730,182 | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | 779,607,481 | — | — | — | — | 479,887 | 479,887 | ||||||||||||||||||||||||||||
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$ | (3,181,363 | ) | $ | (1,251,851 | ) | $ | 408,185 | $ | 54,748,724 | $ | 543,022 | $ | 51,266,717 | ||||||||||||||||||||||
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(1) | Averages are based on monthly activity levels during the period ended September 30, 2015. |
Consolidated Statement of | Commodity | Interest Rate | Credit | Equity | Foreign Exchange | Total | ||||||||||||||||||||||||
Swap contracts (b) | $ | — | $ | (1,174,468 | ) | $ | 1,016,250 | $ | (15,765,150 | ) | $ | — | $ | (15,923,368 | ) | |||||||||||||||
Future contracts (b) | 1,904,104 | (434,412 | ) | — | 7,642,505 | 667,326 | 9,779,523 | |||||||||||||||||||||||
Purchased options (c) | — | — | — | 4,755,679 | (28,280 | ) | 4,727,399 | |||||||||||||||||||||||
Options written | — | — | — | 162,353 | (59,790 | ) | 102,563 | |||||||||||||||||||||||
Forward foreign currency exchange contracts | — | — | — | — | 249,896 | 249,896 | ||||||||||||||||||||||||
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$ | 1,904,104 | $ | (1,608,880 | ) | $ | 1,016,250 | $ | (3,204,613 | ) | $ | 829,152 | $ | (1,063,987 | ) | ||||||||||||||||
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(a) | Includes swap contracts premium paid/received and unrealized appreciation/depreciation on swap contracts. |
(b) | Includes unrealized 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. |
(d) | The notional of FX OTC options purchased is disclosed above. Additionally, the average number of Exchange-Traded Options and other OTC options purchased for Multi-Manager Fund and Multi-Strategy Fund were contracts of approximately 21,815,489 and 26,328,527, respectively, for the period ended September 30, 2015. |
(e) | The notional of FX OTC options written is disclosed above. Additionally, the average number of Exchange-Traded Options and other OTC options written for Multi-Manager Fund and Multi-Strategy Fund were contracts of approximately 465,531 and 598,669, respectively, for the period ended September 30, 2015. |
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
Netting Arrangements
The Funds use master netting arrangements, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure.
Multi-Manager Fund
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, 2015:
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 International | $ | 338,785 | $ | (55,819 | ) | $ | — | $ | — | $ | 282,966 | ||||||||||||||
Credit Suisse Securities (Europe) Limited | 3,295,606 | (3,295,606 | ) | — | — | — | |||||||||||||||||||
JP Morgan Chase Bank N.A. | 1,532,583 | (70,403 | ) | — | — | 1,462,180 | |||||||||||||||||||
Morgan Stanley & Co. International plc | 735,754 | (89,150 | ) | — | — | 646,604 | |||||||||||||||||||
Morgan Stanley & Co., LLC | 180,613 | (180,613 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 4,301,134 | (4,301,134 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust | 184,584 | (4,005 | ) | — | — | 180,579 | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | 623,881 | (623,881 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust | 1,156,517 | (1,156,517 | ) | — | — | — | |||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | 2,080,263 | (2,080,263 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 14,194 | — | — | — | 14,194 | ||||||||||||||||||||
State Street Bank and Trust | 91,783 | (14,452 | ) | — | — | 77,331 | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Morgan Stanley & Co., LLC | 1,741 | (1,741 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 247,293 | (247,293 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust | 33,132 | — | — | — | 33,132 | ||||||||||||||||||||
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Total | $ | 14,817,863 | $ | (12,120,877 | ) | $ | — | $ | — | $ | 2,696,986 | ||||||||||||||
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For the Period Ended September 30, 2015 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amounts of in Consolidated Statement of | Derivative Financial Offset | Cash Collateral Pledged(5) | Non-Cash Collateral(6) | Net Amount(3) | |||||||||||||||||||||
By Counterparty (1) | |||||||||||||||||||||||||
Credit Suisse International | $ | (55,819 | ) | $ | 55,819 | $ | — | $ | — | $ | — | ||||||||||||||
Credit Suisse Securities (Europe) Limited | (7,453,780 | ) | 3,295,606 | 4,158,174 | — | — | |||||||||||||||||||
JP Morgan Chase Bank N.A. | (70,403 | ) | 70,403 | — | — | — | |||||||||||||||||||
Morgan Stanley & Co. International plc | (89,150 | ) | 89,150 | — | — | — | |||||||||||||||||||
Morgan Stanley & Co., LLC | (189,993 | ) | 180,613 | — | — | (9,380 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (4,403,765 | ) | 4,301,134 | 102,631 | — | — | |||||||||||||||||||
State Street Bank and Trust | (4,005 | ) | 4,005 | — | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | (629,532 | ) | 623,881 | — | — | (5,651 | ) | ||||||||||||||||||
State Street Bank and Trust | (1,174,705 | ) | 1,156,517 | — | — | (18,188 | ) | ||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | (4,356,091 | ) | 2,080,263 | 399,910 | — | (1,875,918 | ) | ||||||||||||||||||
State Street Bank and Trust | (14,452 | ) | 14,452 | — | — | — | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Morgan Stanley & Co., LLC | (34,628 | ) | 1,741 | — | — | (32,887 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (782,568 | ) | 247,293 | — | — | (535,275 | ) | ||||||||||||||||||
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| ||||||||||||||||
Total | $ | (19,258,891 | ) | $ | 12,120,877 | $ | 4,660,715 | $ | — | $ | (2,477,299 | ) | |||||||||||||
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
Multi-Strategy Fund
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, 2015:
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 International | $ | 474,049 | $ | (16,027 | ) | $ | — | $ | — | $ | 458,022 | ||||||||||||||
Credit Suisse Securities (Europe) Limited | 6,150,377 | (6,150,377 | ) | — | — | — | |||||||||||||||||||
JP Morgan Chase Bank N.A. | 2,413,215 | (143,966 | ) | — | — | 2,269,249 | |||||||||||||||||||
Morgan Stanley & Co. International plc | 1,277,435 | (151,314 | ) | — | — | 1,126,121 | |||||||||||||||||||
Morgan Stanley & Co., LLC | 367,940 | (367,940 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 7,139,315 | (7,139,315 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust | 403,448 | (6,994 | ) | — | (323,128 | ) | 73,326 | ||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | 1,527,347 | (1,527,347 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust | 2,706,593 | (2,625,862 | ) | — | — | 80,731 | |||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | 3,914,215 | (3,914,215 | ) | — | — | — | |||||||||||||||||||
JP Morgan Chase Bank N.A. | 2,388 | — | — | — | 2,388 | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | 20,503 | — | — | — | 20,503 | ||||||||||||||||||||
State Street Bank and Trust | 147,955 | (47,909 | ) | — | — | 100,046 | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Morgan Stanley & Co., LLC | 4,594 | (4,594 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 517,295 | (517,295 | ) | — | — | — | |||||||||||||||||||
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|
| ||||||||||||||||
Total | $ | 27,066,669 | $ | (22,613,155 | ) | $ | — | $ | (323,128 | ) | $ | 4,130,386 | |||||||||||||
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amounts of Liabilities in Consolidated Statement of Assets and Liabilities | Derivative Financial Offset | Cash Collateral Pledged(5) | Non-Cash Collateral(6) | Net Amount(3) | |||||||||||||||||||||
By Counterparty (1) | |||||||||||||||||||||||||
Credit Suisse International | $ | (16,027 | ) | $ | 16,027 | $ | — | $ | — | $ | — | ||||||||||||||
Credit Suisse Securities (Europe) Limited | (13,529,910 | ) | 6,150,377 | 7,379,533 | — | — | |||||||||||||||||||
JP Morgan Chase Bank N.A. | (143,966 | ) | 143,966 | — | — | — | |||||||||||||||||||
Morgan Stanley & Co. International plc | (151,314 | ) | 151,314 | — | — | — | |||||||||||||||||||
Morgan Stanley & Co., LLC | (381,005 | ) | 367,940 | — | — | (13,065 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (7,572,341 | ) | 7,139,315 | — | — | (433,026 | ) | ||||||||||||||||||
State Street Bank and Trust | (6,994 | ) | 6,994 | — | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | (1,558,091 | ) | 1,527,347 | — | — | (30,744 | ) | ||||||||||||||||||
State Street Bank and Trust | (2,625,862 | ) | 2,625,862 | — | — | — | |||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Credit Suisse Securities (Europe) Limited | (11,033,950 | ) | 3,914,215 | 259,924 | — | (6,859,811 | ) | ||||||||||||||||||
State Street Bank and Trust | (47,909 | ) | 47,909 | — | — | — | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Morgan Stanley & Co., LLC | (60,504 | ) | 4,594 | — | — | (55,910 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (1,194,505 | ) | 517,295 | — | — | (677,210 | ) | ||||||||||||||||||
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|
| ||||||||||||||||
Total | $ | (38,322,378 | ) | $ | 22,613,155 | $ | 7,639,457 | $ | — | $ | (8,069,766 | ) | |||||||||||||
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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, 2015, the Fund received securities as collateral for derivative financial instruments. |
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
5. Fair Value Measurements
The following table presents information about the classification of each Fund’s investments measured at fair value within the fair value hierarchy as of September 30, 2015.
Multi-Manager Fund
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Common Stock | $ | 499,426,081 | $ | 36,884,682 | $ | — | $ | 536,310,763 | ||||||||||||
Asset-Backed Securities | — | 132,276,607 | — | 132,276,607 | ||||||||||||||||
Convertible Bonds | — | 10,175,219 | — | 10,175,219 | ||||||||||||||||
Bank Loans | — | 13,079,426 | 1,879,807 | 14,959,233 | ||||||||||||||||
Corporate Bonds & Notes | — | 73,709,601 | — | 73,709,601 | ||||||||||||||||
Sovereign Debt | — | 39,957,505 | — | 39,957,505 | ||||||||||||||||
Mortgage-Backed Securities | — | 305,083,415 | 11,948,850 | 317,032,265 | ||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 25,185,812 | — | 25,185,812 | ||||||||||||||||
Exchange-Traded Funds | 9,188,407 | — | — | 9,188,407 | ||||||||||||||||
Purchased Options | 10,761,178 | 977,193 | — | 11,738,371 | ||||||||||||||||
Short Term Investment-Money Market Fund | 79,747,976 | — | — | 79,747,976 | ||||||||||||||||
Total Investments in Securities | $ | 599,123,642 | $ | 637,329,460 | $ | 13,828,657 | $ | 1,250,281,759 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | 2,008,749 | — | 2,008,749 | ||||||||||||||||
Futures Contracts | 9,734,395 | — | — | 9,734,395 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 787,097 | — | 787,097 | ||||||||||||||||
OTC Credit Default Swaps | — | 1,676,312 | — | 1,676,312 | ||||||||||||||||
OTC Total Return Swaps | — | 10,155,610 | — | 10,155,610 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 856,540 | — | 856,540 | ||||||||||||||||
Total Assets | $ | 608,858,037 | $ | 652,813,768 | $ | 13,828,657 | $ | 1,275,500,462 | ||||||||||||
Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Securities Sold Short | $ | 323,830,416 | $ | 13,234,276 | $ | — | $ | 337,064,692 | ||||||||||||
Options Written | 966,708 | 89,149 | — | 1,055,857 | ||||||||||||||||
Reverse Repurchase Agreements | — | 154,409,994 | — | 154,409,994 | ||||||||||||||||
Securities Lending Collateral Payable | — | 62,800,339 | — | 62,800,339 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 1,577,866 | — | 1,577,866 | ||||||||||||||||
Futures Contracts | 5,445,463 | — | — | 5,445,463 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 187,059 | — | 187,059 | ||||||||||||||||
OTC Credit Default Swaps | — | 277,515 | — | 277,515 | ||||||||||||||||
OTC Total Return Swaps | — | 17,314,360 | — | 17,314,360 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 1,219,704 | — | 1,219,704 | ||||||||||||||||
Total Liabilities | $ | 330,242,587 | $ | 251,110,262 | $ | — | $ | 581,352,849 | ||||||||||||
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. There were no transfers for the Fund for the period ended September 30, 2015.
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:
Multi-Manager Fund
Assets: Investment in Securities | Bank Loans | Mortgage- Backed Securities | Total | ||||||||||||
Balance as of March 31, 2015 | $ | — | $ | 11,930,962 | $ | 11,930,962 | |||||||||
Transfers In | — | — | — | ||||||||||||
Transfers Out | — | — | — | ||||||||||||
Purchases | 1,877,127 | — | 1,877,127 | ||||||||||||
Sales | — | — | — | ||||||||||||
Amortization | — | 16,526 | 16,526 | ||||||||||||
Net realized gain (loss) | — | — | — | ||||||||||||
Net change in unrealized appreciation | 2,680 | 1,362 | 4,042 | ||||||||||||
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|
|
|
|
| ||||||||||
Balance as of September 30, 2015 | $ | 1,879,807 | $ | 11,948,850 | $ | 13,828,657 | |||||||||
|
|
|
|
|
| ||||||||||
Net change in unrealized appreciation related to investments still held as of September 30, 2015 | $ | 2,680 | $ | 1,362 | $ | 4,042 | |||||||||
|
|
|
|
|
|
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, 2015.
Assets | Fair Value at | Valuation Technique | Unobservable Inputs | Range of inputs (Weighted | ||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||
Mortgage-Backed Securities | $ | 11,948,850 | Discounted Cash Flow | Discount Rate Revenue CAGR* Exit Cap Rate |
| 9.95 2.96 8.21 | % % % | |||||||||||||||
Bank Loans | 1,879,807 | Broker-dealer Quotations | Indicative Bid | N/A | ||||||||||||||||||
|
| |||||||||||||||||||||
Total Investments in Securities | $ | 13,828,657 | ||||||||||||||||||||
|
|
*Compound Annual Growth Rate
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
Multi-Strategy Fund
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Common Stock | $ | 1,009,077,440 | $ | 73,349,524 | $ | — | $ | 1,082,426,964 | ||||||||||||
Asset-Backed Securities | — | 300,849,928 | — | 300,849,928 | ||||||||||||||||
Convertible Bonds | — | 14,048,015 | — | 14,048,015 | ||||||||||||||||
Bank Loans | — | 1,941,678 | 595,522 | 2,537,200 | ||||||||||||||||
Corporate Bonds & Notes | — | 95,450,935 | — | 95,450,935 | ||||||||||||||||
Sovereign Debt | — | 84,155,768 | — | 84,155,768 | ||||||||||||||||
Mortgage-Backed Securities | — | 520,911,194 | 19,113,150 | 540,024,344 | ||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 11,038,142 | — | 11,038,142 | ||||||||||||||||
Exchange-Traded Funds | 15,595,841 | — | — | 15,595,841 | ||||||||||||||||
Short Term Investment-Money Market Fund | 325,027,869 | — | — | 325,027,869 | ||||||||||||||||
Purchased Options | 20,715,971 | 1,666,253 | — | 22,382,224 | ||||||||||||||||
Total Investments in Securities | 1,370,417,121 | 1,103,411,437 | 19,708,672 | 2,493,537,230 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 4,424,643 | — | 4,424,643 | ||||||||||||||||
Futures Contracts | 23,110,316 | — | — | 23,110,316 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 1,103,680 | — | 1,103,680 | ||||||||||||||||
OTC Credit Default Swaps | — | 2,423,848 | — | 2,423,848 | ||||||||||||||||
OTC Total Return Swaps | — | 18,551,927 | — | 18,551,927 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | 94,912 | 94,912 | ||||||||||||||||||
Total Assets | $ | 1,393,527,437 | $ | 1,130,010,447 | $ | 19,708,672 | $ | 2,543,246,556 | ||||||||||||
Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Securities Sold Short | $ | 654,098,316 | $ | 18,122,934 | $ | — | $ | 672,221,250 | ||||||||||||
Options Written | 1,823,807 | 151,314 | — | 1,975,121 | ||||||||||||||||
Reverse Repurchase Agreements | — | 171,106,024 | — | 171,106,024 | ||||||||||||||||
Securities Lending Collateral Payable | — | 85,494,806 | — | 85,494,806 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 3,457,264 | — | 3,457,264 | ||||||||||||||||
Futures Contracts | 12,351,963 | — | — | 12,351,963 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 460,629 | — | 460,629 | ||||||||||||||||
OTC Credit Default Swaps | — | 457,224 | — | 457,224 | ||||||||||||||||
OTC Total Return Swaps | — | 34,256,576 | — | 34,256,576 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 1,855,130 | — | 1,855,130 | ||||||||||||||||
Total Liabilities | $ | 668,274,086 | $ | 315,361,901 | $ | — | $ | 983,635,987 | ||||||||||||
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. There were no transfers for the Fund for the period ended September 30, 2015.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
The changes in investments measured at fair value for which the Multi-Strategy Fund used Level 3 inputs to determine fair value are as follows:
Multi-Strategy Fund
Assets: Investment in Securities | Bank Loans | Mortgage- Backed Securities | Total | ||||||||||||
Balance as of March 31, 2015 | $ | — | $ | 19,084,537 | $ | 19,084,537 | |||||||||
Transfers In | — | — | — | ||||||||||||
Transfers Out | — | — | — | ||||||||||||
Purchases | 594,244 | — | 594,244 | ||||||||||||
Sales | — | — | — | ||||||||||||
Amortization | — | 26,434 | 26,434 | ||||||||||||
Net realized gain (loss) | — | — | — | ||||||||||||
Net change in unrealized appreciation | 1,278 | 2,179 | 3,457 | ||||||||||||
|
|
|
|
|
| ||||||||||
Balance as of September 30, 2015 | $ | 595,522 | $ | 19,113,150 | $ | 19,708,672 | |||||||||
|
|
|
|
|
| ||||||||||
Net change in unrealized appreciation related to investments still held as of September 30, 2015 | $ | 1,278 | $ | 2,179 | $ | 3,457 | |||||||||
|
|
|
|
|
|
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, 2015.
Assets | Fair Value at | Valuation Technique | Unobservable Inputs | Range of inputs (Weighted | ||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||
Mortgage-Backed Securities | $ | 19,113,150 | Discounted Cash Flow | Discount Rate Revenue CAGR* Exit Cap Rate |
| 9.95 2.96 8.21 | % % % | |||||||||||||||
Bank Loans | 595,522 | Broker-dealer Quotations | Indicative Bid | N/A | ||||||||||||||||||
|
| |||||||||||||||||||||
Total Investments in Securities | $ | 19,708,672 | ||||||||||||||||||||
|
|
*Compound Annual Growth Rate
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. For the period ended September 30, 2015, only Class D Shares, Class I Shares and Class Y Shares are outstanding.
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
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
Partners L.P., (the “Distributor”) to offer shares. Multi-Manager Fund Class I Shares may also be offered for investment by personnel of the Investment Adviser, and as otherwise may be 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 D Shares are offered primarily through broker-dealers and other financial intermediaries that have entered into an agreement with the Distributor for the use of the Multi-Strategy Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. Multi-Strategy Fund Class I Shares are offered to institutional investors and individual investors who are clients of investment advisors, broker-dealers, financial institutions or registered investment advisors that: (a) may charge such clients fees for advisory, investment, consulting or similar services and (b) have entered into an arrangement approved by the Distributor to provide certain administrative services to investors. Multi-Strategy Fund Class Y Shares are offered for institutional investors and individuals (including through individual retiriement accounts) who purchase directly from the Fund. Class Y Shares of Multi-Strategy Fund may also be offered to employees, officers and directors/trustees of the Adviser, the Fund or their respective affiliates. Class Y Shares have no investment minimum requirements. Multi-Strategy Class R Shares do not have a minimum investment requirement and are generally available only to special benefit plans.
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 pays 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). During the period ended September 30, 2015, the Multi-Manager Fund paid the Investment Adviser $13,130,022 in management fees. From this amount, the Investment Adviser paid $6,319,269 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Multi-Manager Fund, which amounted to 0.95% of the Fund’s net assets. The Investment Adviser also paid $305,551 in sub-advisory fees to Blackstone Senfina Advisors LLC (“Senfina”), a Sub-Adviser that, during the period ended September 30, 2015, was an affiliate of the Investment Adviser, with respect to the Multi-Manager Fund, which amounted to 0.05% of the Fund’s net assets. During the period ended September 30, 2015, the Multi-Strategy Fund paid the Investment Adviser $19,353,665 in management fees. From this amount, the Investment Adviser paid $9,079,566 in sub-advisory fees to non-affiliated sub-advisers with respect to the Multi-Strategy Fund, which amounted to 0.62% of the Fund’s net assets. The Investment Adviser also paid $480,329 in sub-advisory fees to Senfina with respect to the Multi-Strategy Fund, which amounted to 0.03% of the Fund’s net assets.
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.
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
Distribution and Service Fees
Pursuant to the amended and restated Distribution and Service Plan, Multi-Strategy Fund Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. Multi-Manager Class I Shares and Multi-Strategy Class I Shares and Class Y Shares are not subject to distribution and service fees.
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 to 0.45% per annum of the Fund’s net assets (the “Multi-Manager Fund Total Expense Cap”). Specified Expenses include all expenses incurred by the Multi-Manager Fund with the exception of (i) the Management Fee, (ii) the distribution and 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 to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Multi-Strategy Total Expense Cap”). Specified Expenses include 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, 2017 upon written notice to a Fund. 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 for a given month are less than the lower of the Total Expense Cap and any expense limitation agreement then in effect. The repayment may not raise the level of estimated annualized specified expenses in the month of repayment to exceed the total expense cap.
During the period ended September 30, 2015, repayments to the Investment Adviser were as follows:
Multi-Manager Fund | $ | 637,477 | |||
Multi-Strategy Fund - Class I | 810,836 | ||||
Multi-Strategy Fund - Class D | 2,288 | ||||
Multi-Strategy Fund - Class Y | 16,228 |
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Notes to Consolidated Financial Statements (Continued)
For the Period Ended September 30, 2015 (Unaudited)
As of September 30, 2015, the repayments that potentially may be made by the Funds are as follows:
Expenses subject to repayment until maximum expiration date of March 31, | |||||||||||||||
2017(a) | 2018(b) | 2019(c) | |||||||||||||
Multi-Manager Fund - Class I | $ | 1,876,428 | $ | — | $ | — | |||||||||
Multi-Strategy Fund - Class I(1) | N/A | 415,814 | — | ||||||||||||
Multi-Strategy Fund - Class D(2) | N/A | — | — | ||||||||||||
Multi-Strategy Fund - Class Y(3) | N/A | — | — |
(1) | Multi-Strategy Fund - Class I commenced operations on June 16, 2014. |
(2) | Multi-Strategy Fund - Class D commenced operations on November 17, 2014. |
(3) | Multi-Strategy Fund - Class Y commenced operations on January 28, 2015. |
(a) | Expenses reimbursed in fiscal period ending March 31, 2014. |
(b) | Expenses reimbursed in fiscal period ending March 31, 2015. |
(c) | Expenses reimbursed in fiscal period ending March 31, 2016. |
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 OTC traded derivatives (e.g., forward foreign currency exchange contracts, swap agreements and OTC
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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 collateralized 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 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, require settlement in 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, 2015 were as follows:
Multi-Manager | Multi-Strategy | |||||||||
Purchases | $ | 1,165,199,824 | $ | 2,682,121,849 | ||||||
Sales | $ | 1,104,507,879 | $ | 1,306,437,265 |
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
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October 31, therefore the consolidated financial statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2014. 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.
The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
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% and 1.25% for the Multi-Manager Fund and the Multi-Strategy Fund, respectively, plus the Overnight LIBOR Rate per annum (0.97% and 1.37%, respectively, at September 30, 2015). A commitment fee is charged in the amount of 0.20% per annum for the Multi-Manager Fund 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, and 0.25% per annum for the Multi-Strategy Fund. Outstanding borrowings and accrued interest are due no later than February 1, 2016, the termination date of each Fund’s Facility, at which time the Funds and the Bank can agree to extend the existing agreement. For the period ended September 30, 2015, the Funds made no borrowings under each Fund’s respective Facility.
13. Subsequent Events
The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance.
On October 29, 2015, the Funds announced that they expect to pay a distribution to shareholders of record in December 2015. The amount of the distribution will be announced on the declaration date.
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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 through the six-month period ended September 30, 2015. 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 amount 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 4/1/2015 | Ending Account Value 9/30/2015 | Expenses Paid During Period1 | Annualized Expense Ratio | |||||||||||||||||
Actual | $1,000.00 | $1,000.00 | $17.15 | 3.43% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,007.85 | $17.22 | 3.43% |
1 | Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half-year period). |
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As a shareholder of the Multi-Strategy 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 through the six month period ended September 30, 2015. 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 amount 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 4/1/2015 | Ending Account Value 9/30/2015 | Expenses Paid During Period1 | Annualized Expense Ratio | |||||||||||||||||
Class I | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 999.00 | $ | 16.09 | 3.22% | |||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,008.90 | $ | 16.17 | 3.22% | |||||||||||||
Class D | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 998.10 | $ | 17.08 | 3.42% | |||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,007.90 | $ | 17.17 | 3.42% | |||||||||||||
Class Y | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 999.00 | $ | 15.29 | 3.06% | |||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,009.70 | $ | 15.37 | 3.06% |
1 | For each class of the Fund expenses are equal to the annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half-year period). |
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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 Trust’s Declaration of Trust. The Trustees were elected by the initial shareholder of the Trust.
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 |
• | Blackstone Senfina Advisors L.L.C. |
• | Boussard & Gavaudan Investment Management, LLP |
• | BTG Pactual Asset Management US, LLC |
• | Caspian Capital LP |
• | Cerberus Sub-Advisory I, LLC |
• | Chatham Asset Management, LLC |
• | D.E. Shaw Investment Management, L.L.C. (effective October 15, 2015) |
• | EMSO Partners Limited |
• | Good Hill Partners LP |
• | GS Investment Strategies, LLC |
• | HealthCor Management, L.P. |
• | IPM Informed Portfolio Management AB |
• | Nephila Capital, Ltd. |
• | Rail-Splitter Capital Management, LLC |
• | Sorin Capital Management, LLC |
• | Two Sigma Advisers, LLC |
• | Union Point Advisors, LLC (until July 15, 2015) |
• | Verde Serviços Internacionais S.A. (until October 15, 2015) |
• | 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. The Trust also pays for the Trustees’ travel expenses related to Board meetings, continuing education and conferences.
Form N-Q Filings
The Trust files complete schedules of the Funds’ 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
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quarters. The Trust’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Holdings and allocations shown on any Form N-Q are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.
Proxy Voting Policies
A description of the policies and procedures used to vote proxies related to the Funds’ portfolio securities and information regarding how the Funds voted proxies relating to their portfolio securities during the 12-month period ended June 30, 2015 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
At meetings of the Board held in person on May 12-13, 2015 and August 18, 2015, the Board, including all of the Independent Trustees, considered and unanimously approved the sub-advisory agreements for the Funds (“New Sub-Advisory Agreements,” “Renewed Sub-Advisory Agreements,” and “Amended and Restated Sub-Advisory Agreements,” together the “Sub-Advisory Agreements”) between BAIA and each of the following Sub-Advisers:
New Sub-Advisory Agreements (approved at August meeting)
• | D.E. Shaw Investment Management, L.L.C. |
• | IPM Informed Portfolio Management AB |
• | Nephila Capital, Ltd. (Multi-Strategy Fund only) |
Renewed Sub-Advisory Agreements (approved at May meeting)
• | Bayview Asset Management, LLC |
• | Boussard & Gavaudan Investment Management, LLP |
• | BTG Pactual Asset Management US, LLC |
• | Caspian Capital LP |
• | Cerberus Sub-Advisory I, LLC |
• | Chatham Asset Management, LLC |
• | Good Hill Partners LP |
• | Nephila Capital, Ltd. (Multi-Manager Fund only) |
• | Two Sigma Advisers, LLC |
• | Verde Serviços Internacionais S.A. |
• | Wellington Management Company LLP |
Amended and Restated Sub-Advisory Agreements (approved at May meeting)
• | Blackstone Senfina Advisors, LLC |
• | HealthCor Management, L.P. |
The Independent Trustees were assisted in their review of the Sub-Advisory Agreements by independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. The Board noted that BAIA and the Funds would rely on an exemptive order from the SEC that permitted the Funds to add or replace sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approves the sub-advisers and certain other conditions are met.
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Before the meetings, with respect to each Sub-Advisory Agreement except the Amended and Restated Sub-Advisory Agreement with Blackstone Senfina Advisors, LLC, the Board received, among other things, (a) materials prepared by independent legal counsel regarding the relevant factors to consider in evaluating the Sub-Advisory Agreements; (b) materials prepared by BAIA relating to each Sub-Adviser, including: (1) summary information regarding: the investment thesis; strengths; a comparison to hedge fund strategies; a firm-wide risk evaluation and a strategy risk evaluation; an assessment of business infrastructure as well as relevant valuation, liquidity, trade execution, allocation, and portfolio compliance matters; and a summary of the key terms of the Sub-Advisory Agreements; (2) a Manager Investment Review, which covered, in greater detail, each 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) a Back Office Review, which covered, among other things, information regarding the Sub-Adviser’s product offerings and personnel, business viability, related entities, product and operational complexity, valuation procedures, internal controls, counterparties, service providers, and regulatory and compliance infrastructure; and (4) summary information regarding the Sub-Adviser’s compliance program; and (c) materials prepared by each Sub-Adviser that addressed, among other things: (1) general financial information; (2) services and personnel; (3) material business dealings with BAIA and the Funds’ service providers; (4) the Sub-Adviser’s business plan for the Funds for the coming year; (5) costs, fees, other benefits, and profitability; and (6) risk management and regulatory compliance matters.
With regard to the approval of the Amended and Restated Sub-Advisory Agreement for Blackstone Senfina Advisors, LLC, the Board did not receive the materials enumerated above because the only change to the original sub-advisory agreement previously approved by the Board was an amendment to the fee disclosure. With respect to the Amended and Restated Sub-Advisory Agreement for HealthCor Management, L.P., the Board received, among other things, information about the changes from the original sub-advisory agreement, as well as copies of the original and amended agreement for review.
At the meetings, there was discussion regarding the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with their independent legal counsel to consider the information provided. In evaluating the Sub-Advisory Agreements, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the investment management fee it receives from the Funds and would not increase the fees or expenses otherwise incurred by the Funds or their shareholders. In the case of the Amended and Restated Sub-Advisory Agreements, the Board also took into account its recent consideration and approval of the original sub-advisory agreements with those Sub-Advisers, and the fact that the proposed changes to the original sub-advisory agreements were, with the exception of changes in sub-advisory fees, not substantive, and were not expected to result in any change in the nature, extent and quality of the services provided to the Funds. Following this discussion, the Board, including all of the Independent Trustees, determined to approve each of the New Sub-Advisory Agreements for an initial term of up to two years, and to approve all of the 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 Funds 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, extent, and
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quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve the Sub-Advisory Agreements.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Sub-Adviser, the Board discussed the following factors: the proposed sub-advisory fee for managing the allocated Fund assets, including any breakpoints, the Sub-Adviser’s resources devoted to the Funds, 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 Funds. 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 Funds, and, accordingly, that the retention of the Sub-Adviser did not increase the fees or expenses otherwise incurred by the Funds’ 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. In the case of the Amended and Restated Sub-Advisory Agreement with Blackstone Senfina Advisors L.L.C., the Board also took into account that the compensation paid to the Sub-Adviser would benefit The Blackstone Group L.P., the indirect parent company of both BAIA and the Sub-Adviser. On the basis of the Board’s review of the fees to be charged by each Sub-Adviser for investment sub-advisory services, the relatively unique and highly specialized nature of the portfolio that the Sub-Adviser would manage, and the estimated costs associated with managing the portfolio, the Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided. It was noted that all of the Sub-Advisory Agreements were the result of arms-length negotiations.
Economies of Scale
The Board discussed various financial and economic considerations relating to the proposed arrangement with each Sub-Adviser, including economies of scale. The Board also noted that certain expenses of the Funds would be subject to an expense cap. The Board noted that it would have the opportunity to periodically re-examine whether the Funds 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
The Board considered the investment performance of the Sub-Advisers that had previously sub-advised any of the Funds’ assets. Where applicable, the Board considered information about the year-to-date, 2014 and inception-to-date investment return of the Funds’ assets that are managed by each Sub-Adviser (net of trading expenses but gross of investment management fees and fund operating expenses), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Sub-Advisers, such Sub-Adviser’s hedge fund strategy. In addition, the Board considered information about performance risk measurements of the assets that are managed by the Sub-Adviser, the custom index and the Sub-Adviser’s strategy such as annualized return, volatility, Sharpe ratio, beta statistics, and alpha statistics.
Since D.E. Shaw Investment Management, L.L.C. and IPM Informed Portfolio Management AB had not previously sub-advised any of the Funds’ assets, the Trustees were unable to consider the performance of those Sub-Advisers on behalf of the Funds. The Trustees reviewed historical investment performance generated by these Sub-Advisers for other funds managed by such Sub-Adviser, but noted that the Funds were different in structure from certain of those other funds and, as a result, their investment programs and performance would differ from those of the other funds.
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Supplemental Information (Continued)
September 30, 2015 (Unaudited)
On the basis of the Board’s assessment, the Board concluded that where available the investment performance generated by the Sub-Advisers was generally satisfactory and that the Sub-Advisers were capable of generating a high-quality level of services to the Funds.
Other Benefits
The Board discussed other potential benefits that each Sub-Adviser might receive from the Funds, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Funds’ shareholders. The Board concluded that other benefits derived by each Sub-Adviser from its relationship with BAIA or the Funds, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Funds and investors therein, and were consistent with industry practice and the best interests of the Funds and their shareholders.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under each of the Sub- Advisory Agreements were fair and reasonable with respect to the services that the relevant Sub-Adviser would provide to the Funds 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 Sub- Advisory Agreements the Board concluded that the terms of each Sub-Advisory Agreement were reasonable and fair and noted that they would have the opportunity to periodically re-examine the terms of the Sub-Advisory Agreements in the future. The Board based its decision on an evaluation of all these factors as a whole and did not consider any one factor as all-important or controlling. The Board was assisted by the advice of independent counsel in making these determinations.
Board Approval of the Investment Management Agreement for Multi-Manager Fund and Multi-Strategy Fund, and each of their Wholly Owned Subsidiaries
At meetings of the Board held in person on May 12-13, 2015, the Board, including all of the Independent Trustees, considered and unanimously approved the following agreements:
(i) | the investment management agreement by and between the Trust, on behalf of Multi-Manager Fund, and BAIA (the “Multi-Manager Investment Management Agreement”); |
(ii) | the investment management agreement by and between the Trust, on behalf of Multi-Strategy Fund, and BAIA (the “Multi-Strategy Investment Management Agreement”); and |
(iii) | the investment management agreements between the Trust and each of Blackstone Alternative Multi-Manager Sub Fund II Ltd., Blackstone Alternative Multi-Manager Sub Fund III L.L.C., Blackstone Alternative Multi-Manager Sub Fund IV L.L.C., Blackstone Alternative Multi-Strategy Sub Fund II Ltd., Blackstone Alternative Multi-Strategy Sub Fund III L.L.C., and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (collectively, the “Sub Funds”) (collectively, the “Sub Fund Agreements” and together with the Multi-Manager Investment Management Agreement and the Multi-Strategy Investment Management Agreement, the “Investment Management Agreements”). |
The Independent Trustees were assisted in their review of the Investment Management Agreements by independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Investment Management Agreements. Before the meeting, the Board received, among other things, (a) materials prepared by independent legal counsel regarding the relevant factors to consider in evaluating the Investment
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Supplemental Information (Continued)
September 30, 2015 (Unaudited)
Management Agreements; (b) materials prepared by BAIA relating to, among other things, BAIA’s experience and qualifications to serve as investment manager; (c) analysis of the fees and expenses of the Funds (on a combined basis with the fees and expenses of the Sub Funds) as compared with a peer group of funds; analysis of BAIA’s expected profitability for providing services to the Funds and Sub Funds; (d) information regarding BAIA’s Code of Ethics and compliance program; and (e) materials prepared by an outside firm, unaffiliated with the Funds, the Sub Funds, or BAIA, that is in the business of regularly preparing reports for use by fund boards in considering investment advisory agreement approvals (the “Service Provider”) comparing the management fee rate and total operating expenses of the Funds (on a combined basis with the fees and expenses of the Sub Funds) to those of a peer group of funds determined by the Service Provider.
At the meeting, there was discussion regarding the materials that had been provided to the Board, the terms of the Investment Management Agreements and the Sub Fund Agreements, the operations of the Funds, and other relevant considerations. Following this discussion, the Board, including all of the Independent Trustees, considered the following factors, among others:
Nature, Extent, and Quality of the Services
The Board discussed BAIA’s personnel, operations, and financial condition and considered: (1) the background and experience of key investment personnel and BAIA’s ability to retain them; (2) BAIA’s focus on analysis of complex asset categories, including alternative investments; (3) BAIA’s disciplined investment approach and commitment to investment principles; (4) BAIA’s manager selection and due diligence process; (5) BAIA’s significant risk management and compliance efforts; and (6) BAIA’s oversight of and interaction with sub-advisers and other service providers. The Board concluded that the nature, extent, and quality of the management services provided were appropriate and thus supported a decision to renew the Investment Management Agreements. The Board also concluded that BAIA likely would be able to provide during the coming year the same quality of investment management and related services as provided in the past and that these services are appropriate in scope and extent in light of the Funds’ and Sub Funds’ operations, the competitive landscape, and investor needs.
Costs of Services and Profitability
In analyzing the cost of services and profitability of BAIA, the Board considered BAIA’s resources devoted to the Funds and Sub Funds as well as the revenues earned and expenses incurred by BAIA. The Board also considered profitability data provided by BAIA showing fees, revenues, and overhead expenses of the Funds. The Board took into account the significant investment by, and cost to, BAIA regarding service infrastructure to support the Funds and Sub Funds and their investors. 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 each Fund’s investment program, BAIA’s financial information, and the overhead costs associated with managing the Funds and Sub Funds, the Board concluded that the level of investment management fees is appropriate in light of the services provided, the management fees and overall expense ratios of comparable investment companies, and the cap on expenses established by an expense limitation agreement.
Economies of Scale
The Board discussed various financial and economic considerations relating to the arrangement with BAIA, including economies of scale. The Board considered the management fee breakpoint for each of the Funds, noting that, for collective net assets of each Fund and its corresponding Sub Funds up to $2.5 billion, the management fee is calculated at a rate of 1.95%, and for collective net assets greater than or equal to $2.5 billion, the management fee is calculated at a rate of 1.80%. The Board concluded that the management
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Supplemental Information (Continued)
September 30, 2015 (Unaudited)
fees, with the current breakpoint in place, reflected the complexity of the Funds’ and Sub Funds’ operations and were reasonable in light of the Funds’ and Sub Funds’ current and anticipated size. The Board noted that it will have the opportunity to periodically re-examine whether the Funds and Sub Funds have achieved economies of scale, as well as the appropriateness of management fees payable to BAIA, in the future. The Board further noted that certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Funds’ overall expenses at smaller asset levels.
Fund Performance
The Board, including the Independent Trustees, received and considered information about (i) the one year (Multi-Manager Fund only), inception-to-date, quarter-to-date, year-to-date, and trailing three months performance information of the Funds (net of fees and expenses), all as compared to various indices, including the S&P 500 Total Return Index, MSCI World Total Return Index, Barclay’s Aggregate Bond Index, JPMorgan Domestic High Yield Index, and HFRX Global Hedge Fund Index (the “Comparative Indices”); and (ii) the inception-to-date, one year, and year-to-date performance of the Funds (net of fees and expenses), as compared to a prepared peer group of seven funds selected by BAIA, as competitor funds having a similar multi-alternative strategy. In addition, the Board considered information about performance risk measurements of the Funds and the prepared peer group such as (i) annualized return, (ii) volatility, (iii) Sharpe ratio, (iv) beta statistics, and (v) alpha statistics.
With respect to Multi-Manager Fund, the Board noted that (x) the inception-to-date performance return was greater than the inception-to-date performance return for each of the four funds in the prepared peer group that had been in operation since the inception of Multi-Manager Fund and (y) the one year performance return was greater than three of the five funds in the prepared peer group that had a one-year track record.
With respect to Multi-Strategy Fund, the Board noted that the inception-to-date performance return was greater than the inception-to-date performance return for four of the five funds in the prepared peer group that had been in operation since the inception of Multi-Strategy Fund.
The Board further considered information about the annualized standard deviation, a key measurement of volatility, of the Funds over various periods, the Funds’ Sharpe ratios, the Funds’ upside and downside capture, and the Funds’ historical performance and volatility versus that of the Comparative Indices. The Board noted that (i) Multi-Manager Fund’s and Multi-Strategy Fund’s since-inception returns were lower than those of the S&P 500 Total Return Index, but their Sharpe ratios were higher than those of the S&P 500 Total Return Index; (ii) Multi-Manager Fund’s since-inception returns were lower than those of the MSCI World Total Return Index (while Multi-Strategy Fund’s returns were higher), but its Sharpe ratios were higher than those of the MSCI World Total Return Index; and (iii) Multi-Manager Fund’s and Multi-Strategy Fund’s since-inception returns were higher than those of the Barclays Aggregate Bond Index, JPMorgan Domestic High Yield Index, and HFRX Global Hedge Fund Index. On the basis of the Board’s assessment, the Board concluded that the investment performance generated by BAIA was generally satisfactory and that BAIA was capable of generating a level of long term investment performance that is appropriate in light of the Funds and Sub Funds’ investment objectives, policies, and strategies.
Fees and Expenses
The Board, including the Independent Trustees, compared the fees and expense ratios of the Funds (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a Lipper-prepared peer group. The Board also considered the oral analysis provided by BAIA on the appropriateness of the Lipper-prepared peer group.
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Supplemental Information (Continued)
September 30, 2015 (Unaudited)
Specifically, the Board considered data based on information provided by Lipper at the Board meeting in February 2015 indicating that, (i) the contractual (before waivers) management (including both investment management and administration fees) fee rate of each Fund was higher than the contractual (before waivers) management (including both investment management and administration fees) fee rate of seven of the ten funds in the Lipper-prepared peer group, and (ii) the actual (after waivers) management fee of each Fund was higher than the actual (after waivers) management fee of ten of the ten funds in the Lipper-prepared peer group.
The Board also compared the fees and expenses of the Funds, as of May 2015, against the fees and expenses of a prepared peer group selected by BAIA. Specifically, the Board considered data indicating that, (i) the contractual (before waivers) management fee rate of each Fund was higher than the contractual (before waivers) management fee rate of three of the seven funds in the BAIA-prepared peer group; (ii) the contractual (before waivers) management fee rate of each Fund was 5 bps higher than the average contractual (before waivers) management fee rate of the BAIA-prepared peer group; and (iii) the total net expenses of each Fund were higher than five of the seven funds in the BAIA-prepared peer group.
The Board considered fees and expenses of each Fund in light of the scope and quality of services provided by BAIA and determined that the scope and quality of services provided by BAIA justified the higher than average fees. On the basis of the factors considered and information presented, the Board determined that Funds’ fee rates were not unreasonable.
Other Benefits
The Board discussed other benefits that BAIA may receive from the Funds and Sub Funds. The Board noted that BAIA indicated that it does not expect to receive significant ancillary benefits as a result of its relationship with the Funds or Sub Funds and BAIA does not realize significant “fall out” benefits from its relationship with the Funds or Sub Funds. The Board concluded that other benefits derived by BAIA from its relationship with the Funds and Sub Funds, to the extent such benefits are identifiable or determinable, are reasonable and fair, result from the provision of appropriate services to each of the Funds and investors therein, and are consistent with industry practice and the best interests of each Fund and its shareholders.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under each Investment Management Agreement were fair and reasonable with respect to the services that BAIA provides to the Funds and in light of the other factors described above that the Board deemed relevant. The Board, including all of the Independent Trustees, determined to approve the continuation of the Investment Management Agreements based on comprehensive consideration of all information presented to the Board at its meetings throughout the year and not as a result of any single controlling factor. The Board was assisted by the advice of independent counsel in this determination.
Additional Information
The Funds’ registration statement includes additional information about the Trustees. The registration statement is available upon request, without charge, by calling 1-855-890-7725.
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Blackstone Registered Funds
Privacy Notice
FACTS | WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include: n Social Security number and income n Assets and investment experience n Risk tolerance and transaction history |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do Blackstone Registered Funds share? | Can you limit this sharing? | ||
For our everyday business purposes— such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes— to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your creditworthiness | No | We don’t share | ||
For our affiliates to market to you | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Email us at GLB.privacy@blackstone.com |
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Blackstone Registered Funds
Privacy Notice (Continued)
Who we are | ||
Who is providing this notice? | Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Manager Fund and Blackstone Alternative Multi-Strategy Fund, and the GSO Funds, consisting of Blackstone/GSO Senior Floating Rate Term Fund, Blackstone/GSO Long-Short Credit Income Fund and Blackstone/GSO Strategic Income Fund |
What we do | ||
How do Blackstone Registered Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How do Blackstone Registered Funds collect my personal information? | We collect your personal information, for example, when you: n open an account or give us your income information n provide employment information or give us your contact information n tell us about your investment or retirement portfolio We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only: n sharing for affiliates’ everyday business purposes—information about your creditworthiness n affiliates from using your information to market to you n sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. | |
What happens when I limit sharing for an account I hold jointly with someone else? | Your choices will apply to everyone on your account—unless you tell us otherwise. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. n Our affiliates include companies with a Blackstone name and financial companies such as GSO Capital Partners LP and Strategic Partners Fund Solutions. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. n Blackstone Registered Funds do not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. n Our joint marketing partners include financial services companies. | |
Other important information |
California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law.
Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident.
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Blackstone Alternative Multi-Manager Fund
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
James Hannigan, 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.
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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 officer 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 4, 2015 |
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 4, 2015 |
By (Signature and Title) | /s/ Arthur Liao | |
Arthur Liao, Treasurer (Principal Financial and Accounting Officer) |
Date | December 4, 2015 |