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Blackstone Alternative Investment Funds

Filed: 25 May 18, 2:22pm
Table of Contents

 

 

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: March 31, 2018

 

 

 


Table of Contents
Item 1.Reports to Stockholders.

The Report to Shareholders is attached hereto.


Table of Contents

 Blackstone

 

Blackstone Alternative Multi-Strategy Fund

a series of Blackstone Alternative Investment Funds

 

Annual Report

For the Year Ended March 31, 2018

 


Table of Contents

TABLE OF CONTENTS

 

Management’s Discussion of Fund Performance

    1

Performance Summary

    6

Portfolio Information

    7

Consolidated Schedule of Investments

    10

Consolidated Statement of Assets and Liabilities

    229

Consolidated Statement of Operations

    231

Consolidated Statement of Changes in Net Assets

    232

Consolidated Statement of Cash Flows

    234

Consolidated Financial Highlights

    236

Notes to Consolidated Financial Statements

    239

Report of Independent Registered Public Accounting Firm

    267

Shareholder Fee Example

    268

Supplemental Information

    269

All investors should consider the investment objectives, risks, charges and expenses of Blackstone Alternative Multi-Strategy Fund (the “Fund”) carefully before investing. The prospectus and, if available, the summary prospectus contain this and other information about the Fund. You can obtain a prospectus and a summary prospectus from the Fund’s website (www.bxmix.com). All investors are urged to carefully read the prospectus and summary prospectus in their entirety before investing. Interests in the Fund are offered through Blackstone Advisory Partners L.P., a member of FINRA and an affiliate of Blackstone Alternative Investment Advisors LLC.

Important Risks: An investment in the Fund should be considered a speculative investment that entails substantial risks; you may lose part or all of your investment or your investment may not perform as well as other investments. The Fund’s investments involve special risks including, but not limited to, loss of all or a significant portion of the investment due to leveraging, short-selling, or other speculative practices, lack of liquidity and volatility of returns. The following is a summary description of certain additional principal risks of investing in the Fund:

Allocation Risk - Blackstone’s judgment about the attractiveness, value or market trends affecting a particular asset class, investment style, sub-adviser or security may be incorrect and this may have a negative impact upon performance. Debt Securities Risk - investments in debt securities, such as bonds and certain asset-backed securities involve certain risks which may cause the securities to lose value, including credit risk, extension risk, interest rate risk, prepayment risk, and variable and floating rate instrument risk. Derivatives Risk - the use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates, or indices. Derivatives can be volatile and illiquid, can be subject to counterparty credit risk, and may entail investment exposure greater than their notional amount. Distressed Securities Risk - investments in securities of business enterprises involved in workouts, liquidations, reorganizations, bankruptcies and similar situations involve a high degree of risk of loss since there is typically substantial uncertainty concerning the outcome of such situations. Equity Securities Risk - there is a risk of loss associated with price fluctuations of equity and preferred securities which change based on a company’s financial condition and overall market and economic environment. Event-Driven Trading Risk - involves the risk that the specific event identified may not occur as anticipated and that this may have a negative impact upon the market price of the securities involved. Foreign Investments/Emerging Markets Risk - involves special risks caused by foreign political, social and economic factors, including exposure to currency fluctuations, less liquidity, less developed and less efficient trading markets, political instability and less developed legal and auditing standards. High Portfolio Turnover Risk - active trading of securities can increase transaction costs (thus lowering performance) and taxable distributions. Model and Technology Risk - involves the risk that model-based strategies, data gathering systems, order execution and trade allocation systems and risk management systems may not be successful on an ongoing basis or could contains errors, omissions, imperfections or malfunctions. Multi-Manager Risk - managers may make investment decisions which conflict with each other and as a result, the Fund could incur transaction costs without accomplishing any net investment result.


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BLACKSTONE ALTERNATIVE INVESTMENT FUNDS

Dear Blackstone Investor,

We are pleased to present this annual shareholder report for Blackstone Alternative Investment Funds (“BAIF”) and its series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). This report includes portfolio commentary, a listing of the Fund’s investments and the Fund’s audited financial statements. Audited financial statements for the Fund cover the period from April 1, 2017 to March 31, 2018 (the “Reporting Period”).

The Fund’s investment objective is to seek capital appreciation. The Fund seeks this objective by allocating its assets among a variety of nontraditional, or “alternative,” investment strategies. Blackstone Alternative Investment Advisors LLC (the “Investment Adviser” or “BAIA”) determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among investment sub-advisers with experience managing alternative investment strategies and among investment funds. Each discretionary sub-adviser is responsible for the day-to-day management of the Fund’s assets that the Investment Adviser allocates to it. Subject to oversight by the Board of Trustees, the Investment Adviser is responsible for making recommendations with respect to hiring, terminating and/or replacing the Fund’s investment sub-advisers, and it may also manage a portion of the Fund’s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments1. In pursuing the Fund’s investment objective, the Fund seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets.

Fund Performance2

The Reporting Period was comprised of three quarters with very low volatility in capital markets and a final quarter punctuated by sharply elevated volatility. The Fund weathered the turbulence, mitigating investor exposure to sharp market pullbacks, and, on the year, provided investors with positive returns in accord with its objective of capital appreciation. As we look ahead to the next 12 months, we intend to continue leveraging our due diligence, risk management, and investment expertise, accumulated over our 28 years’ experience in hedge fund investing, to identify attractive alternative investment strategies and investment sub-advisers that we believe may advance the Fund in its objective.

 

 

None of the indices presented herein are benchmarks or targets for the Fund.

 

1 BAIA manages a portion of the Fund’s assets directly. Such investments presently include allocations to BAIA’s systematic risk premia trading strategy, a short-only fundamental equity strategy (advised by Gracian Capital on a non-discretionary basis), and funds managed by Glenview Capital Management LLC, and may include other opportunistic trades in the future. BAIA’s fees on directly managed assets are not reduced by a payment to a sub-adviser.

 

2 The volatility of the indices presented may be materially different from that of the performance of the Fund. In addition, the indices employ different investment guidelines and criteria than the Fund; as a result, the holdings in the Fund may differ significantly from the securities that comprise the indices. The performance of the indices has not been selected to represent an appropriate benchmark to compare to the performance of the Fund, but rather is disclosed to allow for comparison of the Fund’s performance to that of well-known and widely recognized indices. A summary of the investment guidelines for the indices presented are available upon request. In the case of equity indices, performance of the indices reflects the reinvestment of dividends.

 

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During the Reporting Period, the Fund generated a cumulative return, net of fees and expenses, of 3.06%3 and realized a volatility of 2.35%4 with a Sharpe ratio5 of 0.87. Over the same period, the HFRX Global Hedge Fund Index, a measure of hedge fund performance, returned 3.20%; the MSCI World Total Return Index, a measure of global equity market performance, returned 14.20%; the S&P 500 Index, a measure of U.S. equity market performance, returned 13.99%; and the Bloomberg Barclays Global Aggregate Bond Index, a measure of investment grade bond performance, returned 6.97%.

Portfolio Managers

In keeping with its historical approach to team-based portfolio management, the Investment Adviser has designated each of the members of the BAIA Investment Committee as a portfolio manager of the Fund. Effective March 31, 2018, the list of portfolio managers is as follows:

 

  Gideon Berger
  Min Htoo6
  Robert Jordan
  David Mehenny
  Ian Morris
  Alberto Santulin
  Stephen Sullens

Market and Portfolio Commentary

The fiscal year ended March 31, 2018 began with a steady continuation of the market rally that followed President Donald Trump’s entrance into the White House, leading many—including us—to wonder when the party would end. For ten months of the Reporting Period, a number of geopolitical events failed to stall the market’s upward plod: the GOP failed to unwind Obamacare with even a ‘skinny’ repeal, a bad hurricane season wrought tragic destruction upon Puerto Rico and the Gulf Coast, and North Korea tested record numbers of missiles, to name just a few. Yet the equity market climbed higher, albeit with notable dispersion among sectors—consider, for instance, the rally among financial stocks in June as big tech names sank during the so-called ‘tech tantrum’.

For months, historically high stock prices relative to fundamentals (i.e., earnings) suggested the potential for a market correction. Indeed, despite earnings growth over the course of the year, the Cyclically Adjusted Price to Earnings or “CAPE” ratio—a metric designed to enable comparison of market valuations across economic cycles—by January had swollen to over 33x, a multiple topped only in the lead-up to the Dot Com Bubble7. Around the same time, net margin debt as a percentage of the total value of the New York Stock Exchange (“NYSE”) surpassed its peak also hit in the buildup to the Dot Com Bubble8.

 

3 Performance is shown net of the Gross Expense Ratio less waived expenses for Class I shares. Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance data above. There can be no assurance that the Fund will achieve its goals or avoid losses.

 

4 “Volatility” refers to the standard deviation of returns. Standard deviation is a measure of how spread out a set of data is from its mean.

 

5 “Sharpe ratio” is a measure of a fund’s risk-adjusted returns.

 

6 Min Htoo joined as a portfolio manager in July of 2017.

 

7 CAPE Ratio Data. Professor Robert Schiller, Yale University, Department of Economics. February 28, 2018.

 

8 Wall Street Journal, “Investors’ Zeal to Buy Stocks With Debt Leaves Markets Vulnerable”. February 25, 2018.

 

 

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In February, equities’ calm climb came to an abrupt halt: the S&P 500 ended twelve of February’s nineteen trading days with a move of over 1% in either direction. Three of those days ended down in excess of 2%, and by the end of the month’s first week of trading, the index entered “market correction” territory with an overall pullback of over 10% from its January 26th peak. Equity market volatility (as measured by the so-called “Fear Gauge”, the CBOE Volatility Index) spiked to a level last seen in November 2011 as a broad selloff in stocks reversed the positive momentum of much of the year to that point. As stocks dropped, investors who had piled into equities on margin—funds borrowed against securities posted as collateral—were forced to deleverage, i.e. sell holdings to meet margin calls, thereby amplifying the market rout.

February’s equity market turbulence serves as a good case study as to the potential benefits of a multialternative portfolio diversifier in times of elevated volatility. Across three days in the first half of February with drawdowns greater than 1%, the S&P 500 Index plummeted 9.64%, and the MSCI World Index plunged 7.45%. The Fund, meanwhile, dropped just 1.21% as positive performance from certain of the Fund’s Credit and Multi-Asset exposures offset declines in equities9. Looking at the Reporting Period as a whole, there were 14 trading days on which the S&P 500 Index dropped 1% or more in a single day. Over the same period, this happened to the MSCI World Index 10 times. As for the Fund? Not once10. In fact, the Fund has been down 1% or more just once since inception—as compared to 79 times for the S&P 500 Index and 61 times for the MSCI World Index11. The Fund’s inherent diversification has helped to mitigate volatility and weather drawdowns in equity markets both this Reporting Period and since inception. However, because of the broadly diversified and low beta nature of the portfolio, the Fund is not expected to participate, and historically has not participated, in the full upside of broader equity markets.

Over the Reporting Period, the Fund’s Equity strategies contributed positively to performance, propelled both by alpha opportunities created by the year’s political uncertainties and developments as well as by factor positioning—especially momentum, a factor premised upon the tendency for assets’ relative performance to continue for a certain period of time, as equities climbed ever higher over the first ten months. Market hedges, however, dampened the overall positive performance: sub-advisers’ pursuit of delivering alpha while neutralizing beta was hindered by the persistent rise in equity markets. This year underscored the value of Equity Market Neutral sub-strategies in particular. The Fund’s exposure to these sub-strategies resulted in strong, uncorrelated performance throughout the Reporting Period even during the recent equity market drawdown. Equity Long/Short sub-strategies, meanwhile, ultimately detracted despite positive performance over much of the period until the market correction of early 2018. Broad exposure to healthcare, notably managed care, produced positive returns early in the Reporting Period, as did exposure to the financial sector, which benefitted from a favorable regulatory outlook. Later, however, tech exposure faltered, as did exposure to certain healthcare sub-sectors and financials, due, in large part, to disappointing earnings or macroeconomic news. Still, these sub-strategies’ low beta to equities proved beneficial, as short exposures implemented directly by BAIA helped the Fund to preserve capital amidst the market’s broader move lower in February and March12.

Credit strategies contributed the most to the Fund’s positive returns over the Reporting Period, with all sub-strategies generating gains on the year. Fixed Income—Asset Backed sub-strategies were the highest-performing ones in this part of the portfolio, benefitting in large part from positive carry and appreciation of

 

9 Based on performance on 2/2/18, 2/5/18 and 2/8/18. The average daily return for BXMIX on the three best MSCI World TR Index trading days over the same period was 0.13%, while the average return of the MSCI World TR Index on those days was 1.23% and the average return of the S&P 500 TR Index on those days was 1.33%.

 

10 From 4/11/17 to 3/31/18, on days that the S&P 500 TR was up, the average daily returns for the S&P 500 TR, MSCI World TR and BXMIX were 0.43%, 0.34% and 0.05%, respectively.

 

11 From 6/16/14 to 3/31/18, on days that the S&P 500 TR was up, the average daily returns for the S&P 500 TR, MSCI World TR and BXMIX were 0.55%, 0.43% and 0.08%, respectively. Over the same period, on the 10 best S&P 500 TR trading days, the average daily returns for the S&P 500 TR, MSCI World TR and BXMIX were 2.52%, 1.69% and 0.46%, respectively.

 

12 BAIA is technically classified with Multi-Asset strategies, but the exposures mentioned here are relevant to equity strategies.

 

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government-sponsored enterprise (“GSE”) credit risk transfer (“CRT”) bonds. CRT bonds are U.S. residential mortgage debentures—unsecured GSE obligations originating from a regulator mandate in the wake of the Great Financial Crisis that Fannie Mae and Freddie Mac sell off credit risk to the private sector. This exposure has performed well over the past year, as steadily growing track-records of payment and new ratings by the National Association of Insurance Commissioners (“NAIC”) increased the market’s estimation of such securities’ creditworthiness, and accordingly, their value.

During the Reporting Period, Multi-Asset strategies also collectively posted gains, driven by Multi-Strategy sub-strategies. Uncorrelated returns this year largely derived from idiosyncratic European and emerging markets exposures, along with certain quantitative exposures. Early in the Reporting Period, as Emmanuel Macron’s party secured a majority in the French parliament, Multi-Strategy exposures to European equity markets rallied. Later, as tensions between North Korea and the United States intensified over the summer and fall, exposure to safe-haven assets, such as gold, gained in value. Towards the end of the calendar year, exposure to long-dated sovereign debt in the United States and Europe within Systematic Diversified sub-strategies contributed to performance. Meanwhile, a sharp factor reversal late in the year dampened gains: Momentum (which we mentioned earlier) gave up gains, and value—a factor defined by systematic comparison of some measure of an asset’s fundamental value to its price—outperformed. This factor performance dispersion, we believe, was driven by a material tax differential between the underlying indices in light of November’s tax reform legislation. (The weighted-average effective tax rate for companies within the value index was 26% as compared to 17% for momentum). Additionally, in the first few months of 2018, Risk Premia and Systematic Trend Following strategies detracted from performance in this part of the portfolio. Some of these strategies’ trading models take shorter-term views, accounting more significantly for recent market moves in their positioning; most, however, are built around medium-to-long-term trends, meaning that they aim to capture more persistent risk premia over longer time frames. Accordingly, these models are less likely to adapt to short-term swings in market factors, and at certain moments in the Reporting Period like November or February, when longer-term trends reversed suddenly, these models did not dramatically adjust positioning; hence, they experienced losses at those times. But as long-term investors, we retain our conviction in Risk Premia and other systematic strategies. We believe that the diversification benefits and potential to harvest differentiated sources of return over time outweigh the month-to-month fluctuations that may at times detract from performance.

During the Reporting Period, the Investment Advisor added seven new sub-advisers to the Fund: Cerebellum GP LLC (doing business as Cerebellum Capital) (Equity Hedge strategy), Endeavour Capital Advisors Inc. (Equity Hedge strategy), Gracian Capital LLC (Equity Hedge strategy13), GSA Capital Partners LLP (Macro strategy), H2O AM LLP (Macro strategy), Magnetar Asset Management LLC (Event-Driven strategy), and NWI Management, L.P. (Macro strategy). Also during the Reporting Period, the Investment Adviser terminated three sub-advisers to the Fund: Chatham Asset Management, LLC (Relative Value strategy), FT AlphaParity, LLC (Macro strategy), and GS Investment Strategies, LLC (Equity Hedge strategy). Sub-adviser additions and terminations are normal events in the Investment Adviser’s investment process and result from our dynamic top-down evaluation of the opportunity set for hedge fund strategies as well as the bottom-up evaluation of a manager’s ability to deliver alpha in a given environment. When done well, value may be generated by making the right top-down calls on which asset classes are attractive in a given environment and increasing the Fund’s exposure to those asset classes. For more information on the Fund’s sub-advisers, please refer to their profiles available on the Fund’s website.

Looking forward to the remainder of 2018 and into 2019, we anticipate continued volatility and further dispersion among stocks, sectors, and geographies—together, conditions that furnish active managers with potential opportunities to pick winners and losers and thereby generate alpha. The market correction in February and continued slump through March may portend additional downside volatility this year; after all, the CAPE ratio remains historically high at 31.2x even after equities’ recent pullback. Still, the tax cuts and Jobs Act, signed by President Trump in December and the favorable regulatory environment may stimulate earnings growth that could help bring fundamentals into closer alignment with valuations. Whether through

 

13 Gracian Capital, LLC serves as a non-discretionary sub-adviser, advising the Investment Advisor with a short-only fundamental equity strategy on a non-discretionary basis.

 

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corporate earnings growth or by market moves to the downside, we would expect the CAPE to revert to the mean. (Since 1881, the average CAPE ratio is 16.9x; since the December 1999 peak before the Dot Com Bubble, the average is 25.3x). In either event, we believe that skilled active managers are well positioned to take advantage of what the coming year may bring in equity markets, whether by picking winning companies poised for earnings growth or by determining losing companies most susceptible to downside risk.

Turning to fixed income, the rising rate environment portends challenges ahead: when rates rise, prices fall on fixed rate bonds as investors favor new supply with a higher yield. Additionally, borrower creditworthiness may also decrease in the face of higher interest rates as debt service increases and profitability comes under pressure. Together, these potential headwinds could reduce the value of many fixed income investments. If equity markets also face headwinds in the coming year, traditional equity-fixed income diversification techniques may fall short in protecting investor capital. This potential threat to investors’ portfolios suggests the importance of seeking new means of diversification—a gap that alternative investment strategies and nontraditional asset classes could fill. In our view, an actively-managed long/short investment approach, for instance, may reduce a portfolio’s reliance on the overall market’s direction. We also believe that floating rate instruments may weather a rising rate environment better than fixed rate debt. And we believe that diversifying, multi-asset strategies, such as Global Macro, may be well-positioned to navigate the challenges presented by increasing domestic inflation and divergent Central Bank policy around the world, while quantitative and risk premia-oriented strategies may provide additional differentiation and uncorrelated sources of return.

We maintain conviction in the expertise and opportunity sets for the Fund’s sub-advisory lineup; nonetheless, we continue to manage the portfolio dynamically—allocating to strategies that we deem attractive in the current market environment and reassessing those that face potential headwinds. It is impossible to predict with accuracy what the coming year holds in store, but we remain confident that investment strategies that are both diversified and hedged by nature could play an important role in the prudent investor’s portfolio by mitigating downside volatility and affording alpha generation potential.

We are grateful for your choosing to invest with us and for giving us the opportunity to serve you for years to come.

Sincerely,

 

  Gideon Berger
  Min Htoo
  Robert Jordan
  David Mehenny
  Ian Morris
  Alberto Santulin
  Stephen Sullens

 

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Performance Summary

Performance quoted represents past performance, which may be higher or lower than current performance. Past performance is not indicative of future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect taxes that an investor would pay on fund distributions or on the sale of fund shares. To obtain the most recent month-end performance, visit www.bxmix.com.

Value of a $10,000 Investment Since Inception at Net Asset Value*

 

 

LOGO

None of the indices presented are benchmarks or targets for the Fund.

 

*The line graph represents historical performance of a hypothetical investment of $10,000 from Inception (June 16, 2014) to March 31, 2018, assuming the reinvestment of distributions.

Cumulative Total Return

 

  For the
Year Ended
March 31,
2018
 Since
Inception
(June 16,
2014)

Class I Shares (“BXMIX”)

   3.06%   12.66%

HFRX Global Hedge Fund Index

   3.20%   2.18%

MSCI World Total Return Index

   14.20%   32.28%

Bloomberg Barclays Global Aggregate Bond Index

   6.97%   3.91%

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information

March 31, 2018

 

Geographic Breakdown

 Percentage of
Total Net Assets

North America

   66.6%

Asia

   4.2

Europe

   2.4

South America

   0.8

Middle East

   0.4

Africa

   0.01

Oceania

   0.01

Other 2

   16.4

Securities Sold Short

   (24.3)

Other Assets and Liabilities 3

   33.5
  

 

 

 

Total

   100.0%
  

 

 

 

 

1 Represents less than 0.1%.
2 Includes Sovereign Debt, Exchange-Traded Funds, Short-Term Investment—Money Market Funds and Purchased Options.
3 Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives.

 

Portfolio Composition

 Percentage of
Total Net Assets

Common Stock

   28.7%

Mortgage-Backed Securities

   24.8

Sovereign Debt

   8.4

Short-Term Investment—Money Market Funds

   5.8

Investments in Investee Funds

   5.4

Asset-Backed Securities

   5.1

Preferred Stock

   3.5

Corporate Bonds & Notes

   3.0

Exchange-Traded Funds

   2.2

U.S. Treasury Obligations

   2.0

Convertible Bonds

   0.9

Bank Debt

   0.5

U.S. Government Sponsored Agency Securities

   0.5

Other 1

   0.02

Securities Sold Short

   (24.3)

Other Assets and Liabilities 3

   33.5
  

 

 

 

Total

   100.0%
  

 

 

 

 

1 Includes Purchased Options.
2 Represents less than 0.1%.
3 Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives.

Credit Quality Allocation1

 Percentage of
Total
Investments
in Securities

AAA/Aaa2

   4.2%

AA/Aa

   1.5

A

   1.0

BBB/Baa

   6.6

BB/Ba

   5.6

B

   8.2

CCC/Caa

   0.5

CC/Ca

   

Not Rated

   26.0

Other3

   46.4
  

 

 

 

Total Investments in Securities

   100.0%
  

 

 

 

 

1 Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings.
2 Includes U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations which are deemed AAA/Aaa by the Investment Adviser.
3 Includes Common Stock, Exchange-Traded Funds, Investments in Investee Funds, Short-Term Investment—Money Market Funds and Purchased Options.
 

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2018

 

 

Industry

 Percentage of
Total Net Assets

Financial Services

   4.2%

Medical Equipment & Devices

   3.4

Banking

   3.2

Biotechnology & Pharmaceuticals

   3.2

Health Care Facilities & Services

   1.9

Retail—Discretionary

   1.7

Semiconductors

   1.7

Media

   1.5

Gaming, Lodging & Restaurants

   1.4

Software

   1.2

Consumer Products

   1.1

Oil, Gas & Coal

   1.1

Hardware

   1.0

Integrated Oils

   0.9

Retail—Consumer Staples

   0.8

Specialty Finance

   0.7

Chemicals

   0.5

Diversified Banks

   0.5

Pharmaceuticals

   0.5

Apparel & Textile Products

   0.4

Real Estate

   0.4

Electrical Equipment

   0.3

Engineering & Construction Services

   0.3

Technology Services

   0.3

Utilities

   0.3

Aerospace & Defense

   0.2

Automotive

   0.2

Consumer Services

   0.2

Containers & Packaging

   0.2

Insurance

   0.2

Machinery

   0.2

Passenger Transportation

   0.2

Retail—Consumer Discretionary

   0.2

Telecommunications

   0.2

Transportation & Logistics

   0.2

Transportation Equipment

   0.2

Wireless Telecommunications Services

   0.2

Casinos & Gaming

   0.1

Commercial Finance

   0.1

Design, Manufacturing & Distribution

   0.1

Distributors—Consumer Staples

   0.1

Exploration & Production

   0.1

Home & Office Products

   0.1

Industrial Services

   0.1

Leisure Products

   0.1

Machinery Manufacturing

   0.1

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2018

 

Industry

 Percentage of
Total Net Assets

Medical Equipment & Devices Manufacturing

   0.1%

Metals & Mining

   0.1

Oil & Gas Services & Equipment

   0.1

Pipeline

   0.1

Property & Casualty Insurance

   0.1

Recreation Facilities & Services

   0.1

Software & Services

   0.1

Waste & Environmental Services & Equipment

   0.1

Advertising & Marketing

   0.01

Asset Management

   0.01

Banks

   0.01

Coal Operations

   0.01

Commercial Services

   0.01

Construction Materials

   0.01

Consumer Finance

   0.01

Distributors—Discretionary

   0.01

Food & Beverage

   0.01

Forest & Paper Products

   0.01

Industrial Other

   0.01

Institutional Financial Services

   0.01

Internet Media

   0.01

Iron & Steel

   0.01

Manufactured Goods

   0.01

Publishing & Broadcasting

   0.01

Refining & Marketing

   0.01

Renewable Energy

   0.01

Supermarkets & Pharmacies

   0.01

Travel & Lodging

   0.01

Wireline Telecommunication Services

   0.01

Other2

   54.2

Securities Sold Short

   (24.3)

Other Assets and Liabilities3

   33.5
  

 

 

 

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, U.S. Treasury Obligations, Exchange-Traded Funds, Investments in Investee Funds, Short-Term Investment—Money Market Funds and Purchased Options.
3 Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives.

 

9


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments

March 31, 2018

 

Security Description

  Shares         Value 

INVESTMENTS IN SECURITIES — 90.8%

        

COMMON STOCK — 28.7%

        

Africa — 0.0%

        

Metals & Mining — 0.0%

        

Gold Fields Ltd. ADR

   153,900       $618,678 

Harmony Gold Mining Co. Ltd. ADR

   12,600        30,114 
        

 

 

 
         648,792 
        

 

 

 

Specialty Finance — 0.0%

        

Net 1 UEPS Technologies, Inc. (a),(b)

   16,500        156,090 
        

 

 

 

Total Africa

         804,882 
        

 

 

 

Asia — 0.6%

        

Biotechnology & Pharmaceuticals — 0.0%

        

Sinovac Biotech Ltd. (a)

   200        1,722 
        

 

 

 

Consumer Services — 0.1%

        

New Oriental Education & Technology Group, Inc. ADR

   20,600        1,805,590 

TAL Education Group ADR

   68,700        2,548,083 

Tarena International, Inc. ADR

   7,200        80,784 
        

 

 

 
         4,434,457 
        

 

 

 

Design, Manufacturing & Distribution — 0.0%

        

Fabrinet (a)

   18,000        564,840 
        

 

 

 

Gaming, Lodging & Restaurants — 0.1%

        

China Lodging Group Ltd. ADR

   4,600        605,866 

Melco Crown Entertainment Ltd. ADR

   135,600        3,929,688 

Yum China Holdings, Inc.

   82,600        3,427,900 
        

 

 

 
         7,963,454 
        

 

 

 

Hardware — 0.1%

        

AU Optronics Corp. ADR

   16,000        73,120 

Canon, Inc. ADR

   469        17,095 

Kyocera Corp. ADR

   200        11,348 

LG Display Co. Ltd. ADR

   6,600        79,860 

Sony Corp. ADR

   42,700        2,064,118 
        

 

 

 
         2,245,541 
        

 

 

 

Health Care Facilities & Services — 0.0%

        

Global Cord Blood Corp. (a)

   5,600        57,120 

iKang Healthcare Group, Inc. ADR (a)

   8,200        163,590 
        

 

 

 
         220,710 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

10


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Insurance — 0.0%

        

Fanhua, Inc. (b)

   400       $10,808 
        

 

 

 

Machinery — 0.0%

        

China Yuchai International Ltd. (b)

   4,245        89,867 

Hollysys Automation Technologies Ltd. (b)

   5,900        145,848 
        

 

 

 
         235,715 
        

 

 

 

Media — 0.3%

        

58.com, Inc. ADR (a)

   16,100        1,285,746 

Autohome, Inc. ADR

   20,000        1,718,800 

Baidu, Inc. ADR (a)

   14,800        3,303,212 

Ctrip.com International Ltd. ADR (a)

   1,900        88,578 

Leju Holdings Ltd. ADR (a)

   800        1,080 

Phoenix New Media Ltd. ADR (a)

   2,100        9,135 

SINA Corp. (a)

   30,700        3,201,089 

Sohu.com, Inc. (a),(b)

   14,500        448,340 

Weibo Corp. ADR (a)

   47,510        5,679,345 

Yandex NV A Shares (a)

   68,800        2,714,160 
        

 

 

 
         18,449,485 
        

 

 

 

Oil, Gas & Coal — 0.0%

        

China Petroleum & Chemical Corp. ADR

   2,500        221,200 
        

 

 

 

Passenger Transportation — 0.0%

        

China Southern Airlines Co. Ltd. ADR (b)

   600        31,578 

Guangshen Railway Co. Ltd. ADR (b)

   100        2,950 
        

 

 

 
         34,528 
        

 

 

 

Real Estate — 0.0%

        

Xinyuan Real Estate Co. Ltd. ADR (b)

   13,800        72,864 
        

 

 

 

Renewable Energy — 0.0%

        

Highpower International, Inc. (a)

   200        750 

JA Solar Holdings Co. Ltd. ADR (a)

   13,300        87,248 
        

 

 

 
         87,998 
        

 

 

 

Retail—Discretionary — 0.0%

        

Alibaba Group Holding Ltd. ADR (a)

   3,318        608,986 
        

 

 

 

Semiconductors — 0.0%

        

ChipMOS Technologies, Inc. ADR

   600        9,510 

Kulicke & Soffa Industries, Inc. (a),(b)

   21,100        527,711 

Magnachip Semiconductor Corp. (a)

   15,300        146,880 

Silicon Motion Technology Corp. ADR

   200        9,624 

Siliconware Precision Industries Co. Ltd. ADR

   20        173 

 

See Notes to Consolidated Financial Statements.

 

11


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares         Value 

Taiwan Semiconductor Manufacturing Co. Ltd. ADR

   6,900       $301,944 

United Microelectronics Corp. ADR

   36,100        93,499 
        

 

 

 
         1,089,341 
        

 

 

 

Software — 0.0%

        

Changyou.com Ltd. ADR (a),(b)

   9,700        270,533 

Momo, Inc. ADR (a)

   23,200        867,216 
        

 

 

 
         1,137,749 
        

 

 

 

Technology Services — 0.0%

        

WNS Holdings Ltd. ADR (a)

   11,100        503,163 
        

 

 

 

Telecommunications — 0.0%

        

Aspire Holdings LLC Class A (a),(d)

   1,502,082        1 

China Telecom Corp. Ltd. ADR

   300        13,344 
        

 

 

 
         13,345 
        

 

 

 

Total Asia

         37,895,906 
        

 

 

 

Europe — 1.3%

        

Automotive — 0.1%

        

Autoliv, Inc.

   2,000        291,880 

Fiat Chrysler Automobiles NV

   130,600        2,679,912 
        

 

 

 
         2,971,792 
        

 

 

 

Biotechnology & Pharmaceuticals — 0.3%

        

Amarin Corp. PLC ADR (a)

   34,700        104,447 

AstraZeneca PLC ADR

   1,100        38,467 

GlaxoSmithKline PLC ADR

   100        3,907 

Grifols SA ADR

   3,800        80,560 

Novartis AG (d)

   235,700        19,063,622 

Novartis AG ADR

   700        56,595 

uniQure NV (a)

   600        14,100 
        

 

 

 
         19,361,698 
        

 

 

 

Chemicals — 0.0%

        

Orion Engineered Carbons SA (b)

   33,200        899,720 
        

 

 

 

Commercial Services — 0.0%

        

Cimpress NV (a)

   7,500        1,160,250 
        

 

 

 

Consumer Products — 0.0%

        

Avon Products, Inc. (a)

   11,600        32,944 

Unilever NV

   24        1,353 

Unilever PLC ADR

   15,700        872,292 
        

 

 

 
         906,589 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

12


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares         Value 

Engineering & Construction Services — 0.3%

        

Abertis Infraestructuras SA

   696,497       $15,614,013 
        

 

 

 

Hardware — 0.0%

        

Logitech International SA

   3,500        128,555 
        

 

 

 

Insurance — 0.0%

        

Aegon NV

   5        34 
        

 

 

 

Media — 0.0%

        

Trivago NV ADR (a)

   300        2,085 
        

 

 

 

Medical Equipment & Devices — 0.3%

        

Lonza Group AG (a),(d)

   81,520        19,225,600 

Trinity Biotech PLC ADR (a),(b)

   1,700        8,755 
        

 

 

 
         19,234,355 
        

 

 

 

Metals & Mining — 0.0%

        

Constellium NV Class A (a)

   25,100        272,335 
        

 

 

 

Passenger Transportation — 0.0%

        

Ryanair Holdings PLC ADR (a)

   12,575        1,544,839 
        

 

 

 

Recreation Facilities & Services — 0.0%

        

Manchester United PLC Class A

   1,200        23,040 
        

 

 

 

Semiconductors — 0.3%

        

NXP Semiconductor NV (a),(d)

   117,575        13,756,275 
        

 

 

 

Software — 0.0%

        

InterXion Holding NV (a)

   7,300        453,403 
        

 

 

 

Technology Services — 0.0%

        

Atento SA

   200        1,560 
        

 

 

 

Transportation & Logistics — 0.0%

        

Aegean Marine Petroleum Network, Inc. (b)

   2,400        5,400 

Navios Maritime Partners LP (a)

   10,300        18,540 

Safe Bulkers, Inc. (a)

   23,200        73,544 
        

 

 

 
         97,484 
        

 

 

 

Total Europe

         76,428,027 
        

 

 

 

Middle East — 0.1%

        

Biotechnology & Pharmaceuticals — 0.0%

        

Teva Pharmaceutical Industries Ltd. ADR

   90,900        1,553,481 
        

 

 

 

Electrical Equipment — 0.0%

        

Camtek Ltd.

   900        6,075 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

13


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares         Value 

Orbotech Ltd. (a),(b)

   17,700       $1,100,586 
        

 

 

 
         1,106,661 
        

 

 

 

Hardware — 0.0%

        

Ceragon Networks Ltd. (a)

   4,900        13,181 

Radware Ltd. (a),(b)

   9,700        207,095 

Silicom Ltd. (a)

   200        6,882 
        

 

 

 
         227,158 
        

 

 

 

Media — 0.0%

        

Wix.com Ltd. (a)

   2,200        175,010 
        

 

 

 

Oil, Gas & Coal — 0.0%

        

Ocean Rig UDW, Inc. (a)

   8,800        222,024 
        

 

 

 

Semiconductors — 0.1%

        

Mellanox Technologies Ltd. (a)

   25,900        1,886,815 

Tower Semiconductor Ltd. (a)

   12,200        328,302 
        

 

 

 
         2,215,117 
        

 

 

 

Software — 0.0%

        

Attunity Ltd. (a)

   500        3,750 

CyberArk Software Ltd. (a)

   5,800        295,916 

NICE-Systems Ltd. ADR

   100        9,393 

Sapiens International Corp. NV (b)

   1,300        11,089 
        

 

 

 
         320,148 
        

 

 

 

Technology Services — 0.0%

        

Magic Software Enterprises Ltd. (b)

   600        5,100 
        

 

 

 

Telecommunications — 0.0%

        

Allot Communications Ltd. (a)

   900        4,918 
        

 

 

 

Total Middle East

         5,829,617 
        

 

 

 

North America — 26.6%

        

Aerospace & Defense — 0.2%

        

Boeing Co.

   2,500        819,700 

Ducommun, Inc. (a),(b)

   2,200        66,836 

Esterline Technologies Corp. (a)

   9,800        716,870 

HEICO Corp.

   5,250        455,753 

Hexcel Corp.

   11,100        716,949 

Lockheed Martin Corp. (b)

   28,999        9,799,632 

Moog, Inc. Class A (a),(b)

   3,100        255,471 

Orbital ATK, Inc.

   8        1,060 

TransDigm Group, Inc.

   4,200        1,289,148 
        

 

 

 
         14,121,419 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

14


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Apparel & Textile Products — 0.4%

        

Carter's, Inc.

   500       $52,050 

Cherokee, Inc. (a)

   100        130 

Crocs, Inc. (a)

   33,500        544,375 

Culp, Inc.

   700        21,385 

Fossil Group, Inc. (a)

   1,600        20,320 

Gildan Activewear, Inc.

   600        17,334 

Movado Group, Inc.

   2,500        96,000 

Nike, Inc. Class B

   336,700        22,370,348 

Perry Ellis International, Inc. (a),(b)

   3,700        95,460 

PVH Corp.

   100        15,143 

Rocky Brands, Inc.

   300        6,435 

Skechers U.S.A., Inc. Class A (a)

   75,200        2,924,528 

Under Armour, Inc. Class A (a)

   4,600        75,210 

Unifi, Inc. (a)

   1,200        43,500 

Vince Holding Corp. (a)

   306        2,739 
        

 

 

 
         26,284,957 
        

 

 

 

Asset Management — 0.0%

        

Apollo Investment Corp.

   45,297        236,450 

BBX Capital Corp.

   100        921 

BlackRock Kelso Capital Corp. (b)

   29,000        174,870 

Capital Southwest Corp.

   200        3,404 

Capitala Finance Corp.

   6,600        50,952 

Fidus Investment Corp. (b)

   6,600        85,008 

Financial Engines, Inc.

   4,200        147,000 

FS Investment Corp.

   1,800        13,050 

Garrison Capital, Inc. (b)

   1,900        15,428 

Gladstone Capital Corp. (b)

   6,600        56,760 

Gladstone Investment Corp. (b)

   6,200        62,620 

GSV Capital Corp. (a)

   200        1,508 

Hercules Technology Growth Capital, Inc.

   8,800        106,480 

Horizon Technology Finance Corp. (b)

   2,400        24,936 

Invesco Ltd.

   100        3,201 

KCAP Financial, Inc. (b)

   6,500        20,410 

Manning & Napier, Inc.

   1,600        5,600 

Medallion Financial Corp.(a),(b)

   4,400        20,460 

Monroe Capital Corp.

   3,800        46,740 

MVC Capital, Inc. (b)

   1,800        17,874 

New Mountain Finance Corp.

   100        1,315 

Newtek Business Services Corp.

   3,913        70,708 

OM Asset Management plc

   11,000        173,360 

Oppenheimer Holdings, Inc. Class A (b)

   2,900        74,675 

Oxford Square Capital Corp. (b)

   16,100        98,371 

PennantPark Floating Rate Capital Ltd. (b)

   1,962        25,683 

PennantPark Investment Corp. (b)

   21,100        140,948 

 

See Notes to Consolidated Financial Statements.

 

15


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Rafael Holdings, Inc. Class B (a)

   1,150       $5,577 

Safeguard Scientifics, Inc. (a)

   400        4,900 

Solar Capital Ltd. (b)

   6,900        140,139 

Solar Senior Capital Ltd.

   2,400        40,320 

Stellus Capital Investment Corp. (b)

   3,800        43,738 

TCP Capital Corp.

   10,400        147,888 

THL Credit, Inc. (b)

   7,600        59,052 

TPG Specialty Lending, Inc.

   200        3,572 

TriplePoint Venture Growth BDC Corp.

   3,400        40,630 

WhiteHorse Finance, Inc. (b)

   3,500        43,470 
        

 

 

 
         2,208,018 
        

 

 

 

Automotive — 0.1%

        

BorgWarner, Inc.

   7,000        351,610 

Cooper-Standard Holding, Inc. (a)

   3,400        417,554 

Dana Holding Corp.

   1,700        43,792 

Delphi Technologies plc

   500        23,825 

Ford Motor Co.

   43,800        485,304 

Gentex Corp.

   20,800        478,816 

Lear Corp.

   3,700        688,533 

Miller Industries, Inc.

   100        2,500 

Modine Manufacturing Co. (a)

   14,400        304,560 

Superior Industries International, Inc.

   200        2,660 

Tenneco, Inc.

   3,400        186,558 

Tower International, Inc. (b)

   4,000        111,000 
        

 

 

 
         3,096,712 
        

 

 

 

Banking — 3.1%

        

Access National Corp.

   400        11,412 

Allegiance Bancshares, Inc. (a),(d)

   31,423        1,230,210 

Arrow Financial Corp. (b)

   559        18,978 

Associated Banc-Corp

   34        845 

Atlantic Capital Bancshares, Inc. (a)

   3,200        57,920 

Banco Latinoamericano de Comercio Exterior SA E Shares

   100        2,850 

Bancorp, Inc. (a),(b)

   10,400        112,320 

Bank of Marin Bancorp

   400        27,580 

Bank of NT Butterfield & Son Ltd.

   13,900        623,832 

BankFinancial Corp.

   1,155        19,612 

Banner Corp. (d)

   99,999        5,548,945 

Beneficial Bancorp, Inc.

   5,182        80,580 

Berkshire Hills Bancorp, Inc. (d)

   106,507        4,041,941 

Bridge Bancorp, Inc.

   200        6,710 

Bryn Mawr Bank Corp.

   200        8,790 

Byline Bancorp, Inc. (a),(d)

   151,989        3,485,108 

Cadence BanCorp

   5,700        155,211 

 

See Notes to Consolidated Financial Statements.

 

16


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Capitol Federal Financial, Inc.

   1,000       $12,350 

Centerstate Banks, Inc. (d)

   449,375        11,921,919 

Central Pacific Financial Corp. (b)

   5,000        142,300 

Charter Financial Corp. (b)

   1,300        26,507 

City Holding Co. (b)

   100        6,856 

CoBiz Financial, Inc.

   700        13,720 

Comerica, Inc.

   15,000        1,438,950 

ConnectOne Bancorp, Inc. (d)

   17,061        491,357 

East West Bancorp, Inc.

   9,100        569,114 

Enterprise Financial Services Corp. (d)

   133,830        6,276,627 

Farmers Capital Bank Corp. (b)

   100        3,995 

Fidelity Southern Corp. (b)

   2,800        64,596 

Financial Institutions, Inc. (b)

   1,800        53,280 

First BanCorp (a),(b)

   90,200        543,004 

First Bancorp/Southern Pines

   300        10,695 

First Business Financial Services, Inc.

   600        15,096 

First Community Bancshares, Inc. (b)

   800        23,880 

First Defiance Financial Corp.

   1,000        57,320 

First Financial Corp.

   400        16,640 

First Financial Northwest, Inc. (b)

   600        10,050 

First Interstate BancSystem, Inc. Class A (b)

   1,700        67,235 

First Midwest Bancorp, Inc. (d)

   286,570        7,046,756 

Flushing Financial Corp.

   1,500        40,440 

Green Bancorp, Inc. (a)

   800        17,800 

Heritage Commerce Corp.

   3,600        59,328 

HomeTrust Bancshares, Inc. (a)

   200        5,210 

Independent Bank Corp. (b)

   2,400        54,960 

JPMorgan Chase & Co. (d)

   141,329        15,541,950 

Lakeland Bancorp, Inc.

   1,000        19,850 

Macatawa Bank Corp.

   100        1,027 

MB Financial, Inc. (d)

   107,932        4,369,087 

Mercantile Bank Corp.

   1,100        36,575 

Merchants Bancorp (d)

   668        14,362 

Meridian Bancorp, Inc.

   600        12,090 

Midland States Bancorp, Inc. (d)

   165,479        5,222,517 

MidWestOne Financial Group, Inc.

   300        9,987 

National Bankshares, Inc. (b)

   100        4,505 

Northrim BanCorp, Inc.

   500        17,275 

OceanFirst Financial Corp. (d)

   190,786        5,103,525 

OFG Bancorp

   300        3,135 

Opus Bank (d)

   147,174        4,120,872 

Oritani Financial Corp.

   9,100        139,685 

PacWest Bancorp (d)

   289,721        14,349,881 

Peapack Gladstone Financial Corp.

   800        26,712 

Peoples Bancorp, Inc.

   500        17,725 

PNC Financial Services Group, Inc. (d)

   66,498        10,057,158 

 

See Notes to Consolidated Financial Statements.

 

17


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Preferred Bank (b)

   800       $51,360 

Prosperity Bancshares, Inc.

   1,000        72,630 

QCR Holdings, Inc. (d)

   29,031        1,302,040 

RBB Bancorp

   200        5,274 

Seacoast Banking Corp. of Florida (a)

   300        7,941 

Signature Bank (a),(d)

   99,099        14,067,103 

Simmons First National Corp. Class A (d)

   116,384        3,311,125 

Southside Bancshares, Inc.

   15        521 

Sterling Bancorp (d)

   75,411        1,700,518 

SunTrust Banks, Inc. (d)

   172,704        11,750,780 

SVB Financial Group (a),(d)

   35,183        8,444,272 

Synovus Financial Corp.

   2,600        129,844 

Towne Bank (d)

   184,437        5,274,898 

Trico Bancshares (b)

   1,800        66,996 

TriState Capital Holdings, Inc. (a),(b)

   2,300        53,475 

Triumph Bancorp, Inc. (a)

   2,700        111,240 

TrustCo Bank Corp.

   700        5,915 

Univest Corp. of Pennsylvania (d)

   160,463        4,444,825 

US Bancorp (b)

   124,700        6,297,350 

Veritex Holdings, Inc. (a),(d)

   187,143        5,178,247 

Washington Trust Bancorp, Inc.

   1,100        59,125 

Waterstone Financial, Inc.

   900        15,570 

Wells Fargo & Co.

   15,900        833,319 

Western Alliance Bancorp (a)

   4,481        260,391 

WSFS Financial Corp. (d)

   73,375        3,514,662 

Zions BanCorp. (d)

   252,935        13,337,263 
        

 

 

 
         183,787,431 
        

 

 

 

Biotechnology & Pharmaceuticals — 2.9%

        

AbbVie, Inc. (d),(b)

   188,560        17,847,204 

Aceto Corp.

   12,600        95,760 

Acorda Therapeutics, Inc. (a),(b)

   3,000        70,950 

Adverum Biotechnollogies, Inc. (a)

   800        4,640 

Agios Pharmaceuticals, Inc. (a)

   200        16,356 

Allergan PLC (d)

   51,290        8,631,594 

Alnylam Pharmaceuticals, Inc. (a)

   6,800        809,880 

Anika Therapeutics, Inc. (a)

   2,700        134,244 

Antares Pharma, Inc. (a)

   800        1,760 

Array BioPharma, Inc. (a)

   15,300        249,696 

Audentes Therapeutics, Inc. (a)

   100        3,005 

BioSpecifics Technologies Corp. (a),(b)

   100        4,434 

Bluebird Bio, Inc. (a)

   7,600        1,297,700 

Bristol-Myers Squibb Co. (d)

   104,680        6,621,010 

Celgene Corp. (a),(d),(b)

   311,580        27,796,052 

ChemoCentryx, Inc. (a)

   500        6,800 

Chimerix, Inc. (a)

   3,500        18,200 

 

See Notes to Consolidated Financial Statements.

 

18


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Clearside Biomedical, Inc. (a)

   300       $3,219 

Corium International, Inc. (a)

   1,800        20,646 

CTI BioPharma Corp. (a)

   1,100        4,290 

Curis, Inc. (a)

   35,300        23,061 

Cytokinetics, Inc. (a)

   500        3,600 

CytomX Therapeutics, Inc. (a)

   2,500        71,125 

Dermira, Inc. (a)

   200        1,598 

Dicerna Pharmaceuticals, Inc. (a)

   500        4,780 

Eiger BioPharmaceuticals, Inc. (a)

   20        197 

Eli Lilly & Co.

   2,100        162,477 

Enanta Pharmaceuticals, Inc. (a)

   200        16,182 

Fate Therapeutics, Inc. (a)

   8,300        81,008 

Five Prime Therapeutics, Inc. (a)

   4,000        68,720 

Gilead Sciences, Inc. (d)

   190,090        14,330,885 

Halozyme Therapeutics, Inc. (a)

   25,600        501,504 

Immune Design Corp. (a)

   1,800        5,940 

ImmunoGen, Inc. (a)

   4,200        44,184 

Impax Laboratories, Inc. (a)

   8,800        171,160 

Incyte Corp. (a),(d),(b)

   37,510        3,125,708 

Jazz Pharmaceuticals PLC (a)

   7,100        1,072,029 

Kadmon Holdings, Inc. (a)

   900        3,825 

KemPharm, Inc. (a)

   100        790 

Lexicon Pharmaceuticals, Inc. (a)

   15        129 

Ligand Pharmaceuticals, Inc. (a)

   2,700        445,932 

Mallinckrodt PLC (a)

   27,533        398,678 

Merck & Co., Inc. (d),(b)

   726,470        39,570,821 

OncoMed Pharmaceuticals, Inc. (a)

   700        2,226 

Otonomy, Inc. (a)

   11,700        49,140 

PDL BioPharma, Inc. (a),(b)

   34,400        101,136 

Ra Pharmaceuticals, Inc. (a)

   1,100        5,841 

Recro Pharma, Inc. (a)

   1,100        12,111 

Regeneron Pharmaceuticals, Inc. (a),(d),(b)

   120,430        41,471,275 

Rigel Pharmaceuticals, Inc. (a)

   100        354 

Seattle Genetics, Inc. (a)

   3,200        167,488 

Selecta Biosciences, Inc. (a)

   800        8,152 

Sierra Oncology, Inc. (a)

   2,300        4,761 

USANA Health Sciences, Inc. (a),(b)

   4,000        343,600 

Verastem, Inc. (a)

   7,600        22,648 

Versartis, Inc. (a)

   11,400        18,810 

Vertex Pharmaceuticals, Inc. (a),(d),(b)

   61,370        10,002,083 

Veru, Inc. (a),(b)

   500        905 

Xencor, Inc. (a)

   100        2,998 

Zoetis, Inc. (a)

   2,300        192,073 
        

 

 

 
         176,147,374 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

19


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Chemicals — 0.4%

        

3M Co.

   14,300       $3,139,136 

A Schulman, Inc.

   1,100        47,300 

AdvanSix, Inc. (a)

   6,400        222,592 

AgroFresh Solutions, Inc. (a)

   100        735 

Air Products & Chemicals, Inc.

   2,000        318,060 

American Vanguard Corp.

   200        4,040 

Axalta Coating Systems Ltd. (a)

   13,600        410,584 

Cabot Corp.

   9,800        546,056 

Celanese Corp.

   2,800        280,588 

Chemours Co.

   50,600        2,464,726 

CSW Industrials, Inc. (a)

   300        13,515 

Eastman Chemical Co. (b)

   48,600        5,131,188 

FutureFuel Corp.

   2,900        34,771 

Huntsman Corp.

   126,500        3,700,125 

Ingevity Corp. (a)

   6,000        442,140 

International Flavors & Fragrances, Inc.

   5,600        766,696 

KMG Chemicals, Inc.

   1,800        107,910 

Koppers Holdings, Inc. (a)

   3,000        123,300 

Kraton Performance Polymers, Inc. (a)

   4,900        233,779 

Landec Corp. (a)

   200        2,610 

Lydall, Inc. (a)

   2,400        115,800 

LyondellBasell Industries NV Class A

   3,600        380,448 

Materion Corp.

   100        5,105 

Methanex Corp.

   800        48,520 

Minerals Technologies, Inc.

   600        40,170 

Monsanto Co.

   3,741        438,632 

Nexeo Solutions, Inc. (a)

   1,800        19,260 

OMNOVA Solutions, Inc. (a)

   6,500        68,250 

PPG Industries, Inc.

   8,100        903,960 

Praxair, Inc.

   2,900        418,470 

Stepan Co. (b)

   2,400        199,632 

Univar, Inc. (a)

   17,300        480,075 

Valhi, Inc.

   200        1,212 

Venator Materials plc (a)

   300        5,427 

Versum Materials, Inc.

   14,500        545,635 

Westlake Chemical Corp.

   1,700        188,955 

WR Grace & Co.

   23,500        1,438,905 
        

 

 

 
         23,288,307 
        

 

 

 

Commercial Services — 0.0%

        

Acacia Research Corp. (a)

   2,700        9,450 

Alarm.com Holdings, Inc. (a)

   2,000        75,480 

ARAMARK Holdings Corp.

   2,800        110,768 

ARC Document Solutions, Inc. (a),(b)

   8,700        19,140 

Barrett Business Services, Inc.

   600        49,728 

 

See Notes to Consolidated Financial Statements.

 

20


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Brady Corp. Class A

   4,600       $170,890 

Care.com, Inc. (a)

   5,500        89,485 

CBIZ, Inc. (a),(b)

   3,300        60,225 

Collectors Universe, Inc. (b)

   700        10,997 

CorVel Corp. (a)

   900        45,495 

CRA International, Inc. (b)

   1,700        88,893 

Cross Country Healthcare, Inc. (a)

   2,300        25,553 

FTI Consulting, Inc. (a)

   400        19,364 

GP Strategies Corp. (a),(b)

   100        2,265 

Hackett Group, Inc. (b)

   4,400        70,664 

Healthcare Services Group, Inc.

   100        4,348 

Heidrick & Struggles International, Inc. (b)

   600        18,750 

Hill International, Inc. (a)

   300        1,710 

HMS Holdings Corp. (a)

   1,700        28,628 

Huron Consulting Group, Inc. (a)

   3,600        137,160 

Information Services Group, Inc. (a)

   1,500        6,270 

Insperity, Inc.

   800        55,640 

Kelly Services, Inc. Class A

   3,000        87,120 

Korn/Ferry International

   1,500        77,385 

LSC Communications, Inc.

   2,000        34,900 

Navigant Consulting, Inc. (a),(b)

   5,400        103,896 

Quad/Graphics, Inc.

   2,500        63,375 

Resources Connection, Inc. (b)

   600        9,720 

Robert Half International, Inc.

   2,600        150,514 

RPX Corp. (b)

   5,800        62,002 

ServiceMaster Global Holdings, Inc. (a)

   6,200        315,270 

SP Plus Corp. (a)

   4,300        153,080 

TriNet Group, Inc. (a)

   5,900        273,288 

TrueBlue, Inc. (a)

   1,600        41,440 

Vectrus, Inc. (a)

   1,200        44,688 

Viad Corp.

   1,000        52,450 
        

 

 

 
         2,570,031 
        

 

 

 

Construction Materials — 0.0%

        

Advanced Drainage Systems, Inc.

   2,900        75,110 

Carlisle Cos., Inc.

   6,400        668,224 

Continental Building Products, Inc. (a),(b)

   11,200        319,760 

MDU Resources Group, Inc.

   4,300        121,088 

Universal Forest Products, Inc.

   9,700        314,765 
        

 

 

 
         1,498,947 
        

 

 

 

Consumer Products — 1.1%

        

Alliance One International (a)

   1,100        28,655 

Altria Group, Inc.

   50,400        3,140,928 

Archer-Daniels-Midland Co.

   47,400        2,055,738 

Boston Beer Co., Inc. Class A (a)

   3,700        699,485 

 

See Notes to Consolidated Financial Statements.

 

21


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Central Garden and Pet Co. Class A (a),(b)

   4,000       $158,440 

Church & Dwight Co., Inc.

   12,100        609,356 

Clearwater Paper Corp. (a)

   300        11,730 

Clorox Co. (The)

   10,000        1,331,100 

Coca-Cola Co. (The)

   16,000        694,880 

Colgate-Palmolive Co.

   118,500        8,494,080 

ConAgra Foods, Inc.

   7,300        269,224 

Cott Corp.

   13,500        198,720 

Craft Brew Alliance, Inc. (a)

   200        3,720 

DavidsTea, Inc. (a)

   400        1,360 

Flowers Foods, Inc.

   9,000        196,740 

General Mills, Inc.

   26,100        1,176,066 

Herbalife Ltd. (a)

   52,400        5,107,428 

Hershey Co.

   2        198 

Kimberly-Clark Corp. (b)

   69,700        7,676,061 

Mondelez International, Inc. Class A

   23,000        959,790 

Monster Beverage Corp. (a),(b)

   70,800        4,050,468 

Nu Skin Enterprises, Inc.

   14,700        1,083,537 

PepsiCo, Inc. (b)

   136,900        14,942,635 

Phibro Animal Health Corp. Class A

   600        23,820 

Philip Morris International, Inc. (b)

   23,000��       2,286,200 

Pinnacle Foods, Inc.

   16,000        865,600 

Primo Water Corp. (a)

   8,100        94,851 

Procter & Gamble Co.

   115,800        9,180,624 

Senomyx, Inc. (a)

   5,100        4,538 

Simply Good Foods Co. (The) (a)

   1,700        23,341 

Vector Group Ltd. (b)

   23,422        477,575 
        

 

 

 
         65,846,888 
        

 

 

 

Consumer Services — 0.1%

        

American Public Education, Inc. (a),(b)

   1,800        77,400 

Bridgepoint Education, Inc. (a),(b)

   10,500        70,770 

Capella Education Co.

   1,800        157,230 

Carriage Services, Inc.

   3,600        99,576 

K12, Inc. (a),(b)

   6,300        89,334 

Matthews International Corp. Class A

   2,700        136,620 

Medifast, Inc.

   1,100        102,795 

Regis Corp. (a)

   4,400        66,572 

Service Corp. International/US

   2,100        79,254 

Universal Technical Institute, Inc. (a),(b)

   1,000        2,940 

Weight Watchers International, Inc. (a)

   30,000        1,911,600 
        

 

 

 
         2,794,091 
        

 

 

 

Containers & Packaging — 0.1%

        

AptarGroup, Inc.

   1,700        152,711 

Ball Corp.

   29,800        1,183,358 

 

See Notes to Consolidated Financial Statements.

 

22


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Berry Plastics Group, Inc. (a),(b)

   38,497       $2,110,021 

Blackhawk Network Holdings, Inc. Class C (a),(d)

   27        0 

Crown Holdings, Inc. (a)

   68,900        3,496,675 

Graphic Packaging Holding Co.

   1,700        26,095 

Greif, Inc. Class A

   1,000        52,250 

Myers Industries, Inc.

   300        6,345 

Packaging Corp. of America

   100        11,270 

Silgan Holdings, Inc.

   4,300        119,755 
        

 

 

 
         7,158,480 
        

 

 

 

Design, Manufacturing & Distribution — 0.1%

        

Avnet, Inc.

   18,900        789,264 

Benchmark Electronics, Inc.

   4,600        137,310 

Celestica, Inc. (a)

   30,800        318,780 

Flextronics International Ltd. (a),(b)

   90,700        1,481,131 

Jabil Circuit, Inc.

   49,000        1,407,770 

Sanmina Corp. (a),(b)

   13,000        339,950 

SYNNEX Corp.

   1,600        189,440 
        

 

 

 
         4,663,645 
        

 

 

 

Distributors—Consumer Staples — 0.1%

        

Andersons, Inc. (b)

   1,000        33,100 

Performance Food Group Co. (a)

   25,400        758,190 

Sysco Corp.

   19,000        1,139,240 

US Foods Holding Corp. (a)

   126,100        4,132,297 
        

 

 

 
         6,062,827 
        

 

 

 

Distributors—Discretionary — 0.0%

        

ePlus, Inc. (a)

   100        7,770 

Essendant, Inc.

   6,000        46,800 

FTD Cos., Inc. (a)

   6,000        21,840 

G-III Apparel Group Ltd. (a)

   2,300        86,664 

KAR Auction Services, Inc.

   10,100        547,420 

PCM, Inc. (a)

   2,600        21,580 

ScanSource, Inc. (a),(b)

   1,200        42,660 
        

 

 

 
         774,734 
        

 

 

 

Electrical Equipment — 0.3%

        

Allegion PLC

   9,400        801,726 

Amphenol Corp. Class A

   700        60,291 

Argan, Inc.

   800        34,360 

Bel Fuse, Inc. Class B

   100        1,890 

Eaton Corp. PLC

   67,100        5,361,961 

Emerson Electric Co.

   100        6,830 

FARO Technologies, Inc. (a)

   3,200        186,880 

Fortive Corp.

   6,700        519,384 

 

See Notes to Consolidated Financial Statements.

 

23


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Generac Holdings, Inc. (a)

   400       $18,364 

Honeywell International, Inc.

   5,100        737,001 

Houston Wire & Cable Co. (a),(b)

   1,200        8,790 

Ingersoll-Rand PLC

   61,200        5,233,212 

Keysight Technologies, Inc. (a)

   4,000        209,560 

Kimball Electronics, Inc. (a)

   100        1,615 

Littelfuse, Inc.

   18        3,747 

LSI Industries, Inc.

   3,200        25,952 

Powell Industries, Inc.

   500        13,420 

Rockwell Automation, Inc.

   200        34,840 

Sensata Technologies Holding plc (a)

   35,500        1,839,965 

SPX Corp. (a)

   500        16,240 

Stoneridge, Inc. (a)

   2,900        80,040 
        

 

 

 
         15,196,068 
        

 

 

 

Engineering & Construction Services — 0.0%

        

Comfort Systems USA, Inc. (b)

   1,100        45,375 

Granite Construction, Inc.

   100        5,586 

Great Lakes Dredge & Dock Corp. (a)

   2,300        10,580 

Jacobs Engineering Group, Inc.

   19,100        1,129,765 

Layne Christensen Co. (a)

   4,900        73,108 

Mistras Group, Inc. (a)

   2,800        53,032 

MYR Group, Inc. (a),(b)

   3,200        98,624 

Orion Marine Group, Inc. (a),(b)

   3,900        25,701 

Primoris Services Corp.

   1,700        42,466 

Quanta Services, Inc. (a)

   9,800        336,630 

Sterling Construction Co., Inc. (a)

   7,700        88,242 
        

 

 

 
         1,909,109 
        

 

 

 

Forest & Paper Products — 0.0%

        

Mercer International, Inc. (b)

   9,700        120,765 

Resolute Forest Products, Inc. (a)

   9,400        78,020 

Verso Corp. (a)

   20,500        345,220 
        

 

 

 
         544,005 
        

 

 

 

Gaming, Lodging & Restaurants — 1.3%

        

BJ's Restaurants, Inc.

   800        35,920 

Bloomin' Brands, Inc.

   12,700        308,356 

Bojangles', Inc. (a)

   13,300        184,205 

Bravo Brio Restaurant Group, Inc. (a),(b)

   1,800        7,200 

Carrols Restaurant Group, Inc. (a)

   11,100        124,320 

Century Casinos, Inc. (a)

   700        5,222 

Cheesecake Factory, Inc. (The)

   27,500        1,326,050 

Chipotle Mexican Grill, Inc. (a)

   3,099        1,001,318 

Choice Hotels International, Inc.

   8,800        705,320 

Cracker Barrel Old Country Store, Inc.

   11,000        1,751,200 

 

See Notes to Consolidated Financial Statements.

 

24


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Darden Restaurants, Inc.

   29,001       $2,472,335 

Del Frisco's Restaurant Group, Inc. (a),(b)

   7,400        112,850 

DineEquity, Inc.

   7,900        518,082 

Domino's Pizza, Inc. (b)

   25,800        6,025,848 

El Pollo Loco Holdings, Inc. (a)

   5,600        53,200 

Eldorado Resorts, Inc. (a)

   39,265        1,295,745 

Famous Dave's of America (a),(e)

   191        0 

Famous Dave's of America, Inc. (a)

   900        6,390 

Fogo De Chao, Inc. (a)

   200        3,150 

Habit Restaurants, Inc. (The) Class A (a)

   1,100        9,680 

Hilton Grand Vacations, Inc. (a)

   6,800        292,536 

Hilton Worldwide Holdings, Inc.

   36,001        2,835,439 

Hyatt Hotels Corp. Class A

   24,300        1,853,118 

J Alexander's Holdings, Inc. (a)

   1,100        12,595 

Kona Grill, Inc. (a)

   1,200        2,280 

Marriott International, Inc. Class A

   76,514        10,404,374 

McDonald's Corp. (b)

   146,200        22,862,756 

Monarch Casino & Resort, Inc. (a)

   1,600        67,664 

Norwegian Cruise Line Holdings Ltd. (a)

   94,800        5,021,556 

Penn National Gaming, Inc. (a)

   2,400        63,024 

Pinnacle Entertainment, Inc. (a)

   1,400        42,210 

Playa Hotels & Resorts NV (a)

   4,200        42,924 

Potbelly Corp. (a)

   2,000        24,100 

Red Robin Gourmet Burgers, Inc. (a)

   7,700        446,600 

Restaurant Brands International

   71,621        4,076,667 

Royal Caribbean Cruises Ltd.

   20,200        2,378,348 

Ruth's Hospitality Group, Inc.

   5,700        139,365 

Scientific Games Corp. Class A (a)

   16,700        694,720 

Shake Shack, Inc. Class A (a)

   7,700        320,551 

Sonic Corp.

   10,600        267,438 

Texas Roadhouse, Inc.

   9,400        543,132 

Wingstop, Inc.

   17,400        821,802 

Yum! Brands, Inc. (b)

   93,500        7,959,655 
        

 

 

 
         77,119,245 
        

 

 

 

Hardware — 0.9%

        

A10 Networks, Inc. (a)

   14,600        84,972 

ADTRAN, Inc.

   300        4,665 

Arista Networks, Inc. (a),(b)

   21,400        5,463,420 

CalAmp Corp. (a)

   700        16,016 

Clearfield, Inc. (a)

   1,100        14,190 

CommScope Holding Co., Inc. (a)

   37,900        1,514,863 

Comtech Telecommunications Corp. (b)

   5,800        173,362 

Daktronics, Inc. (b)

   3,800        33,478 

Dolby Laboratories, Inc. Class A (b)

   10,400        661,024 

Eastman Kodak Co. (a)

   1,000        5,350 

 

See Notes to Consolidated Financial Statements.

 

25


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Electronics For Imaging, Inc. (a)

   19,000       $519,270 

Emcore Corp. (a)

   12,100        68,970 

F5 Networks, Inc. (a)

   21,600        3,123,576 

Finisar Corp. (a)

   46,100        728,841 

Garmin Ltd.

   2        118 

Harmonic, Inc. (a)

   4,600        17,480 

Hewlett Packard Enterprise Co.

   362,100        6,351,234 

HP, Inc. (b)

   332,200        7,281,824 

Infinera Corp. (a)

   1,700        18,462 

InterDigital, Inc.

   8,900        655,040 

Juniper Networks, Inc.

   32,800        798,024 

Knowles Corp. (a)

   13        164 

KVH Industries, Inc. (a)

   700        7,245 

LightPath Technologies, Inc. Class A (a)

   800        1,760 

Mitel Networks Corp. (a)

   722        6,700 

Motorola Solutions, Inc.

   36,300        3,822,390 

Pitney Bowes, Inc.

   16,800        182,952 

Pure Storage, Inc. Class A (a)

   65,900        1,314,705 

Quantum Corp. (a)

   637        2,319 

Radisys Corp. (a)

   17,400        11,153 

Seagate Technology PLC

   106,200        6,214,824 

Sierra Wireless, Inc. (a)

   2,200        36,300 

Stratasys Ltd. (a)

   6,171        124,531 

Telenav, Inc. (a),(b)

   2,600        14,040 

Viavi Solutions, Inc. (a),(b)

   40,900        397,548 

Vicor Corp. (a),(b)

   500        14,275 

Vishay Precision Group, Inc. (a),(b)

   1,300        40,495 

Vocera Communications, Inc. (a)

   1,100        25,762 

VOXX International Corp. (a),(b)

   4,800        23,760 

Western Digital Corp. (b)

   137,400        12,677,898 

Xerox Corp.

   24,425        702,951 

ZAGG, Inc. (a)

   100        1,220 

Zebra Technologies Corp. Class A (a)

   10,000        1,391,900 
        

 

 

 
         54,549,071 
        

 

 

 

Health Care Facilities & Services — 1.7%

        

Addus HomeCare Corp. (a),(b)

   1,100        53,515 

AmerisourceBergen Corp. (d)

   69,085        5,955,818 

Anthem, Inc. (d)

   38,990        8,566,103 

BioScrip, Inc. (a)

   10,000        24,600 

Civitas Solutions, Inc. (a)

   1,400        21,560 

CVS Health Corp. (b)

   133,600        8,311,256 

Digirad Corp. (b)

   1,900        2,945 

Encompass Health Corp.

   100        5,717 

Envision Healthcare Corp. (a),(d),(c)

   92,860        3,568,610 

Enzo Biochem, Inc. (a)

   6,600        36,168 

 

See Notes to Consolidated Financial Statements.

 

26


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Five Star Quality Care, Inc. (a)

   2,178       $2,831 

HCA Holdings, Inc.

   3,000        291,000 

Henry Schein, Inc. (a),(b)

   74,100        4,980,261 

Iqvia Holdings, Inc. (a),(d),(b)

   86,170        8,454,139 

Laboratory Corp. of America Holdings (a),(d),(b)

   187,590        30,342,682 

Magellan Health, Inc. (a)

   4,800        514,080 

Medpace Holdings, Inc. (a)

   200        6,982 

Molina Healthcare, Inc. (a)

   11,600        941,688 

OvaScience, Inc. (a)

   4,700        3,812 

Owens & Minor, Inc.

   25,500        396,525 

Patterson Cos., Inc.

   10,900        242,307 

Providence Service Corp. (a)

   500        34,570 

Quest Diagnostics, Inc.

   14,800        1,484,440 

Quorum Health Corp. (a)

   2,000        16,360 

RadNet, Inc. (a),(b)

   12,600        181,440 

Tivity Health, Inc. (a),(b)

   14,700        582,855 

Triple-S Management Corp. B Shares (a),(b)

   5,900        154,226 

UnitedHealth Group, Inc. (d),(b)

   114,200        24,438,800 

Universal Health Services, Inc. Class B

   100        11,841 

WellCare Health Plans, Inc. (a)

   6,400        1,239,232 
        

 

 

 
         100,866,363 
        

 

 

 

Home & Office Products — 0.1%

        

ACCO Brands Corp.

   5,600        70,280 

Armstrong Flooring, Inc. (a)

   5,100        69,207 

Caesarstone Sdot-Yam Ltd.

   14,600        286,890 

Herman Miller, Inc.

   900        28,755 

HNI Corp.

   300        10,827 

Kimball International, Inc. Class B (b)

   3,400        57,936 

Knoll, Inc.

   2,900        58,551 

Leggett & Platt, Inc.

   15,100        669,836 

Masco Corp. (b)

   92,500        3,740,700 

Masonite International Corp. (a)

   2,500        153,375 

Meritage Homes Corp. (a)

   600        27,150 

New Home Co., Inc. (a)

   200        2,216 

PGT, Inc. (a)

   5,500        102,575 

Quanex Building Products Corp.

   2,200        38,280 

Steelcase, Inc. Class A

   6,500        88,400 

Taylor Morrison Home Corp. Class A (a)

   16,300        379,464 
        

 

 

 
         5,784,442 
        

 

 

 

Industrial Services — 0.1%

        

AMERCO

   300        103,530 

CAI International, Inc. (a)

   6,400        136,064 

DXP Enterprises, Inc. (a)

   400        15,580 

H&E Equipment Services, Inc.

   7,200        277,128 

 

See Notes to Consolidated Financial Statements.

 

27


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

HD Supply Holdings, Inc. (a)

   63,400       $2,405,396 

Herc Holdings, Inc. (a)

   3,154        204,852 

McGrath RentCorp

   500        26,845 

Pool Corp.

   300        43,866 

SiteOne Landscape Supply, Inc. (a)

   1,300        100,152 

Titan Machinery, Inc. (a)

   7,600        179,056 

United Rentals, Inc. (a)

   21,400        3,696,422 

Watsco, Inc.

   3,302        597,563 

WESCO International, Inc. (a),(b)

   7,800        483,990 

WW Grainger, Inc.

   699        197,307 
        

 

 

 
         8,467,751 
        

 

 

 

Institutional Financial Services — 0.0%

        

Cowen Group, Inc. Class A (a)

   25        330 

IntercontinentalExchange Group, Inc.

   100        7,252 

INTL. FCStone, Inc. (a),(b)

   100        4,268 

LPL Financial Holdings, Inc.

   900        54,963 

NASDAQ OMX Group, Inc.

   900        77,598 

Piper Jaffray Cos.

   200        16,610 

PJT Partners, Inc.

   200        10,020 

SEI Investments Co.

   2,600        194,766 
        

 

 

 
         365,807 
        

 

 

 

Insurance — 0.2%

        

Aflac, Inc.

   100        4,376 

Allstate Corp.

   37,801        3,583,535 

Ambac Financial Group, Inc. (a)

   2,700        42,336 

American Equity Investment Life Holding Co.

   800        23,488 

AMERISAFE, Inc.

   1,200        66,300 

Arch Capital Group Ltd. (a)

   2,700        231,093 

Aspen Insurance Holdings Ltd.

   17,800        798,330 

Assured Guaranty Ltd.

   1,300        47,060 

Athene Holding Ltd. Class A (a)

   1,900        90,839 

Atlas Financial Holdings, Inc. (a)

   300        3,105 

Axis Capital Holdings Ltd.

   8,600        495,102 

Baldwin & Lyons, Inc. Class B

   800        17,600 

Brown & Brown, Inc.

   1,600        40,704 

Cincinnati Financial Corp.

   600        44,556 

Citizens, Inc. (a)

   200        1,464 

Crawford & Co. Class B

   100        822 

eHealth, Inc. (a)

   4,100        58,671 

Employers Holdings, Inc. (b)

   3,300        133,485 

Federated National Holding Co.

   200        3,154 

Genworth Financial, Inc. Class A (a)

   4,200        11,886 

Greenlight Capital Re Ltd. A Shares (a)

   4,500        72,225 

Hanover Insurance Group, Inc.

   2,000        235,780 

 

See Notes to Consolidated Financial Statements.

 

28


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Kemper Corp.

   100       $5,700 

Kinsale Capital Group, Inc.

   1,800        92,394 

Lincoln National Corp. (b)

   10,900        796,354 

Maiden Holdings Ltd. (b)

   20,300        131,950 

Mercury General Corp.

   1,000        45,870 

NMI Holdings, Inc. Class A (a)

   15,800        261,490 

Old Republic International Corp.

   11,400        244,530 

Principal Financial Group, Inc.

   6,400        389,824 

Prudential Financial, Inc.

   26,600        2,754,430 

RenaissanceRe Holdings Ltd.

   2,200        304,722 

State Auto Financial Corp. (b)

   82        2,343 

Torchmark Corp.

   951        80,045 

Trupanion, Inc. (a)

   5,600        167,384 

Universal Insurance Holdings, Inc.

   800        25,520 

Unum Group

   100        4,761 

Willis Towers Watson PLC

   1,888        287,335 
        

 

 

 
         11,600,563 
        

 

 

 

Iron & Steel — 0.0%

        

Haynes International, Inc.

   600        22,266 

Northwest Pipe Co. (a)

   1,200        20,760 

Nucor Corp.

   22,300        1,362,307 

Ryerson Holding Corp. (a)

   2,600        21,190 

Shiloh Industries, Inc. (a)

   600        5,220 

SunCoke Energy, Inc. (a)

   2,700        29,052 

Warrior Met Coal, Inc.

   24,800        694,648 
        

 

 

 
         2,155,443 
        

 

 

 

Leisure Products — 0.1%

        

Brunswick Corp.

   37,500        2,227,125 

Clarus Corp. (a)

   2,700        18,225 

Hasbro, Inc.

   21,000        1,770,300 

JAKKS Pacific, Inc. (a)

   4,300        9,030 

MCBC Holdings, Inc. (a)

   5,800        146,160 
        

 

 

 
         4,170,840 
        

 

 

 

Machinery — 0.2%

        

AGCO Corp.

   14,900        966,265 

Briggs & Stratton Corp.

   7,900        169,139 

Caterpillar, Inc.

   30,100        4,436,138 

Columbus McKinnon Corp.

   1,600        57,344 

Crane Co.

   300        27,822 

Deere & Co.

   200        31,064 

Dover Corp.

   4,900        481,278 

Graco, Inc.

   18,000        822,960 

Graham Corp. (b)

   1,200        25,704 

 

See Notes to Consolidated Financial Statements.

 

29


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Hillenbrand, Inc.

   13,800       $633,420 

Hyster-Yale Materials Handling, Inc. (b)

   400        27,972 

ITT, Inc.

   200        9,796 

Lincoln Electric Holdings

   13,200        1,187,340 

Milacron Holdings Corp. (a)

   15,400        310,156 

MSA Safety, Inc.

   1,800        149,832 

MTS Systems Corp.

   1,500        77,475 

Nordson Corp.

   4,800        654,432 

Oshkosh Corp.

   8,600        664,522 

Parker-Hannifin Corp.

   1,200        205,236 

Regal-Beloit Corp.

   1,000        73,350 

Rexnord Corp. (a)

   6,900        204,792 

SPX FLOW, Inc. (a)

   7,200        354,168 

Toro Co.

   17,900        1,117,855 

Welbilt, Inc. (a)

   1,200        23,340 

Xerium Technologies, Inc. (a),(b)

   1,500        9,675 
        

 

 

 
         12,721,075 
        

 

 

 

Manufactured Goods — 0.0%

        

Aegion Corp. (a),(b)

   3,700        84,767 

Atkore International Group, Inc. (a)

   8,500        168,725 

Chart Industries, Inc. (a),(b)

   4,200        247,926 

Core Molding Technologies, Inc.

   400        7,132 

DMC Global, Inc. (b)

   2,100        56,175 

Gibraltar Industries, Inc. (a),(b)

   6,500        220,025 

Global Brass & Copper Holdings, Inc.

   3,400        113,730 

Insteel Industries, Inc.

   1,400        38,682 

LB Foster Co. Class A (a)

   2,300        54,165 

NCI Building Systems, Inc. (a)

   3,200        56,640 

Rogers Corp. (a)

   2,200        262,988 

Valmont Industries, Inc.

   2,500        365,750 
        

 

 

 
         1,676,705 
        

 

 

 

Media — 1.2%

        

ANGI Homeservices, Inc. (a)

   3,846        52,229 

AutoWeb, Inc. (a),(b)

   4,400        13,112 

Boingo Wireless, Inc. (a),(b)

   13,900        344,303 

Booking Holdings, Inc. (a)

   9,001        18,725,590 

Cars.com, Inc. (a)

   21,300        603,429 

CBS Corp. Class B

   3,700        190,143 

Central European Media Enterprises Ltd. A Shares (a)

   5,200        21,840 

Clear Channel Outdoor Holdings, Inc. Class A (b)

   3,800        18,620 

Comcast Corp. Class A

   10,300        351,951 

DHI Group, Inc. (a)

   13,300        21,280 

DISH Network Corp. Class A (a)

   4,800        181,872 

 

See Notes to Consolidated Financial Statements.

 

30


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Entravision Communications Corp. Class A

   2,000       $9,400 

GoDaddy, Inc. Class A (a)

   53,400        3,279,828 

GrubHub, Inc. (a)

   2,000        202,940 

Harte-Hanks, Inc. (a)

   390        3,596 

IAC/InterActiveCorp (a)

   9,600        1,501,248 

IMAX Corp. (a)

   800        15,360 

Lee Enterprises, Inc. (a)

   300        585 

Liberty Broadband Corp. Class A (a),(d),(b)

   5,333        452,238 

Liberty Broadband Corp. Class C (a),(d),(b)

   13,265        1,136,678 

Liberty SiriusXM Group Class A (a),(d),(b)

   36,575        1,503,233 

Liberty SiriusXM Group Class C (a),(d),(b)

   32,973        1,346,947 

Liberty TripAdvisor Holdings, Inc. Class A (a)

   15,600        167,700 

Marchex, Inc. Class B

   2,600        7,098 

Marin Software, Inc. (a)

   442        2,939 

Match Group, Inc. (a)

   38,600        1,715,384 

McClatchy Co. Class A (a)

   90        833 

MDC Partners, Inc. Class A (a)

   1,100        7,920 

Netflix, Inc. (a),(b)

   81,400        24,041,490 

News Corp. Class A (b)

   61,700        974,860 

QuinStreet, Inc. (a)

   2,100        26,817 

Quotient Technology, Inc. (a)

   600        7,860 

Rubicon Project, Inc. (a)

   29,800        53,640 

Shutterfly, Inc. (a)

   19,400        1,576,250 

Shutterstock, Inc. (a)

   7,900        380,385 

TechTarget, Inc. (a),(b)

   1,600        31,808 

Time Warner, Inc. (d),(b)

   54,564        5,160,663 

TiVo Corp.

   7,382        100,026 

Townsquare Media, Inc. Class A

   100        793 

Travelzoo, Inc. (a)

   100        725 

tronc, Inc. (a)

   500        8,210 

TrueCar, Inc. (a)

   37,700        356,642 

Twitter, Inc. (a)

   42,700        1,238,727 

VeriSign, Inc. (a),(b)

   22,600        2,679,456 

Viacom, Inc.

   3,300        102,498 

Web.com Group, Inc. (a)

   600        10,860 

World Wrestling Entertainment, Inc. Class A

   300        10,803 

XO Group, Inc. (a),(b)

   6,200        128,650 

Yelp, Inc. (a)

   9,600        400,800 

Zillow Group, Inc. (a)

   12,618        681,372 
        

 

 

 
         69,851,631 
        

 

 

 

Medical Equipment & Devices — 3.1%

        

Accuray, Inc. (a)

   3,700        18,500 

Agilent Technologies, Inc. (d),(b)

   248,620        16,632,678 

Analogic Corp.

   2,500        239,750 

AngioDynamics, Inc. (a),(b)

   7,200        124,200 

 

See Notes to Consolidated Financial Statements.

 

31


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

AtriCure, Inc. (a)

   100       $2,052 

AxoGen, Inc. (a)

   3,700        135,050 

Baxter International, Inc. (d),(b)

   527,603        34,315,299 

Becton Dickinson and Co.

   900        195,030 

Boston Scientific Corp. (a),(d),(b)

   302,697        8,269,682 

Cardiovascular Systems, Inc. (a)

   3,300        72,369 

CareDx, Inc. (a)

   2,000        15,940 

Cerus Corp. (a)

   1,600        8,768 

ConforMIS, Inc. (a)

   3,600        5,220 

CONMED Corp.

   300        18,999 

CryoLife, Inc. (a),(b)

   1,600        32,080 

Cutera, Inc. (a)

   3,200        160,800 

CytoSorbents Corp. (a)

   100        705 

Danaher Corp. (d),(b)

   209,380        20,500,396 

Dentsply Sirona, Inc. (d)

   397,516        19,999,030 

Edwards Lifesciences Corp. (a),(b)

   53,200        7,422,464 

Fluidigm Corp. (a)

   2,500        14,600 

FONAR Corp. (a)

   400        11,920 

GenMark Diagnostics, Inc. (a)

   9,000        48,960 

Genomic Health, Inc. (a),(b)

   800        25,032 

Harvard Bioscience, Inc. (a),(b)

   500        2,500 

Hill-Rom Holdings, Inc.

   16,500        1,435,500 

Hologic, Inc. (a)

   104,900        3,919,064 

IDEXX Laboratories, Inc. (a)

   18,700        3,578,993 

Insulet Corp. (a)

   19,700        1,707,596 

Intuitive Surgical, Inc. (a),(d),(b)

   47,030        19,415,395 

Lantheus Holdings, Inc. (a)

   6,500        103,350 

Luminex Corp. (b)

   2,700        56,889 

Medtronic PLC (d)

   83,740        6,625,827 

Meridian Bioscience, Inc.

   7,700        109,340 

Mettler-Toledo International, Inc. (a)

   200        115,006 

MiMedx Group, Inc. (a)

   3,400        23,698 

OraSure Technologies, Inc. (a),(b)

   400        6,756 

Orthofix International NV (a)

   4,000        235,120 

Oxford Immunotec Global PLC (a)

   700        8,715 

QIAGEN NV (a)

   41,976        1,356,245 

RTI Surgical, Inc. (a)

   7,400        34,040 

SeaSpine Holdings Corp. (a)

   200        2,028 

STAAR Surgical Co. (a)

   3,300        48,840 

SurModics, Inc. (a),(b)

   900        34,245 

Waters Corp. (a)

   100        19,865 

Zimmer Holdings, Inc. (d)

   337,580        36,809,723 
        

 

 

 
         183,918,259 
        

 

 

 

Metals & Mining — 0.1%

        

Alcoa Corp. (b)

   92,601        4,163,341 

Asanko Gold, Inc. (a)

   1,800        1,800 

 

See Notes to Consolidated Financial Statements.

 

32


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Encore Wire Corp. (b)

   700       $39,690 

Fortuna Silver Mines, Inc. (a)

   4,700        24,487 

Freeport-McMoRan, Inc. (a)

   51,600        906,612 

Golden Star Resources Ltd. (a)

   6,000        3,522 

Harsco Corp. (a)

   7,900        163,135 

HudBay Minerals, Inc.

   2,000        14,200 

New Gold, Inc. (a)

   41,900        108,102 

Newmont Mining Corp.

   4,100        160,187 

Royal Gold, Inc.

   2,100        180,327 

Silvercorp Metals, Inc.

   900        2,421 

Taseko Mines Ltd. (a)

   4,500        5,175 

Teck Resources Ltd. B Shares

   69,300        1,785,168 
        

 

 

 
         7,558,167 
        

 

 

 

Oil, Gas & Coal — 1.1%

        

Abraxas Petroleum Corp. (a)

   42,000        93,240 

Advantage Oil & Gas Ltd. (a),(b)

   4,200        12,390 

Anadarko Petroleum Corp.

   7,200        434,952 

Arch Coal, Inc.

   3,100        284,828 

Baker Hughes a GE Co. (b)

   107,400        2,982,498 

Bellatrix Exploration Ltd. (a)

   60        65 

Bonanza Creek Energy, Inc. (a)

   100        2,771 

Cabot Oil & Gas Corp.

   53,600        1,285,328 

Chevron Corp. (b)

   78,900        8,997,756 

Cimarex Energy Co.

   8,800        822,800 

Civeo Corp. (a)

   51,100        192,647 

CNX Resources Corp. (a)

   96,500        1,488,995 

Concho Resources, Inc. (a)

   13,700        2,059,521 

Continental Resources, Inc. (a)

   66,100        3,896,595 

Dawson Geophysical Co. (a),(b)

   840        5,662 

Denbury Resources, Inc. (a)

   100        274 

Diamondback Energy, Inc. (a)

   9,200        1,163,984 

Dril-Quip, Inc. (a)

   2,000        89,600 

Energen Corp. (a)

   24,300        1,527,498 

Energy XXI Gulf Coast, Inc. (a)

   11,500        44,160 

EOG Resources, Inc. (b)

   1,600        168,432 

Era Group, Inc. (a)

   300        2,805 

Evolution Petroleum Corp. (b)

   2,500        20,125 

Exxon Mobil Corp.

   31,100        2,320,371 

Geospace Technologies Corp. (a)

   100        987 

Gran Tierra Energy, Inc. (a)

   800        2,232 

Gulf Island Fabrication, Inc. (b)

   2,400        17,040 

Hallador Energy Co.

   600        4,122 

Halliburton Co. (b)

   208,000        9,763,520 

Helmerich & Payne, Inc.

   4,000        266,240 

HighPoint Resources Corp. (a)

   9,800        49,784 

 

See Notes to Consolidated Financial Statements.

 

33


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Independence Contract Drilling, Inc. (a)

   4,900       $18,522 

ION Geophysical Corp. (a)

   386        10,461 

Marathon Petroleum Corp. (b)

   119,900        8,765,889 

Matador Resources Co. (a)

   5,000        149,550 

Matrix Service Co. (a),(b)

   11,900        163,030 

Midstates Petroleum Co., Inc. (a)

   300        3,999 

Murphy USA, Inc. (a)

   5,600        407,680 

NACCO Industries, Inc. Class A

   100        3,285 

National Oilwell Varco, Inc.

   22,100        813,501 

Natural Gas Services Group, Inc. (a)

   1,200        28,620 

Newfield Exploration Co. (a)

   1,700        41,514 

Newpark Resources, Inc. (a),(b)

   800        6,480 

Noble Energy, Inc.

   24,067        729,230 

NOW, Inc. (a)

   17,800        181,916 

Parker Drilling Co. (a)

   3,200        2,032 

PDC Energy, Inc. (a)

   500        24,515 

Peabody Energy Corp.

   45,100        1,646,150 

Penn Virginia Corp. (a)

   900        31,536 

PHI, Inc. (a)

   1,200        12,288 

Pioneer Energy Services Corp. (a)

   8,600        23,220 

Pioneer Natural Resources Co. (b)

   51,600        8,863,848 

Precision Drilling Corp. (a)

   900        2,493 

SandRidge Energy, Inc. (a)

   1,000        14,510 

Schlumberger Ltd.

   3,300        213,774 

SEACOR Holdings, Inc. (a)

   100        5,110 

SilverBow Resources, Inc. (a)

   500        14,550 

Superior Energy Services, Inc. (a)

   5,500        46,365 

Tidewater, Inc. (a)

   2,853        81,624 

TransGlobe Energy Corp. (a),(b)

   800        1,072 

Transocean Ltd. (a)

   215,500        2,133,450 

TravelCenters of America LLC (a)

   4,700        16,920 

VAALCO Energy, Inc. (a)

   3,200        2,757 

World Fuel Services Corp.

   18,100        444,355 
        

 

 

 
         62,905,468 
        

 

 

 

Passenger Transportation — 0.2%

        

Copa Holdings SA Class A

   8,000        1,029,040 

Delta Air Lines, Inc.

   36,000        1,973,160 

Hawaiian Holdings, Inc. (b)

   24,400        944,280 

JetBlue Airways Corp. (a)

   29,500        599,440 

Student Transportation, Inc. (b)

   3,000        22,470 

United Continental Holdings, Inc. (a),(b)

   122,900        8,537,863 
        

 

 

 
         13,106,253 
        

 

 

 

Real Estate — 0.4%

        

American Tower Corp.

   501        72,815 

AvalonBay Communities, Inc. (d),(b)

   3,682        605,542 

Boston Properties, Inc. (d),(b)

   3,824        471,193 

 

See Notes to Consolidated Financial Statements.

 

34


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

CareTrust REIT, Inc.

   2,000       $26,800 

CBRE Group, Inc. (a)

   10,800        509,976 

Colliers International Group, Inc.

   1,100        76,395 

CoreCivic, Inc.

   17,300        337,696 

Digital Realty Trust, Inc. (d)

   7,217        760,527 

Equinix, Inc. (d),(b)

   1,826        763,524 

Equity Residential (d),(b)

   10,317        635,734 

Essex Property Trust, Inc. (d)

   3,345        805,075 

Extra Space Storage, Inc.

   2,000        174,720 

FirstService Corp.

   1,300        95,134 

Forest City Realty Trust, Inc.—Class A, (REIT)

   11,300        228,938 

Gaming and Leisure Properties, Inc.

   45        1,506 

Geo Group, Inc. (The)

   50        1,023 

GGP, Inc. (d)

   33,381        682,975 

Gladstone Commercial Corp. (b)

   6,300        109,242 

HCP, Inc. (d)

   32,196        747,913 

Highwoods Properties, Inc.

   9,800        429,436 

Host Hotels & Resorts, Inc. (d)

   37,783        704,275 

Howard Hughes Corp. (a)

   3,100        431,303 

InfraREIT, Inc.

   3,300        64,119 

Investors Real Estate Trust (d)

   378,788        1,965,910 

JBG SMITH Properties (d),(b)

   1,481        49,925 

Jones Lang LaSalle, Inc. (b)

   10,000        1,746,400 

Liberty Property Trust

   1,800        71,514 

LTC Properties, Inc.

   1,718        65,284 

Marcus & Millichap, Inc. (a)

   1,500        54,090 

MedEquities Realty Trust, Inc.

   4,300        45,193 

MGM Growth Properties LLC Class A

   101        2,681 

Monmouth Real Estate Investment Corp. Class A

   7,700        115,808 

One Liberty Properties, Inc.

   1,600        35,360 

Outfront Media, Inc.

   400        7,496 

Prologis, Inc. (d),(b)

   15,075        949,574 

Public Storage (d),(b)

   4,028        807,171 

RE/MAX Holdings, Inc. Class A

   23        1,390 

Realogy Holdings Corp.

   26,500        722,920 

Realty Income Corp. (d)

   14,624        756,500 

Saul Centers, Inc.

   100        5,097 

SBA Communications Corp. (a),(b)

   31,600        5,401,072 

Simon Property Group, Inc. (d),(b)

   10,920        1,685,502 

Tier REIT, Inc.

   100        1,848 

Urstadt Biddle Properties, Inc. Class A (b)

   3,500        67,550 

Ventas, Inc. (d),(b)

   12,206        604,563 

Vornado Realty Trust (d),(b)

   4,398        295,985 

Weingarten Realty Investors

   200        5,616 

Welltower, Inc. (d),(b)

   9,827        534,884 

WP Carey, Inc.

   100        6,199 
        

 

 

 
         24,741,393 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

35


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Recreation Facilities & Services — 0.1%

        

Cinemark Holdings, Inc.

   11,800       $444,506 

Live Nation Entertainment, Inc. (a)

   53,600        2,258,704 

Madison Square Garden Co. (The) (a)

   2,500        614,500 

Marcus Corp.

   1,400        42,490 

Planet Fitness, Inc. Class A (a)

   5,200        196,404 

Speedway Motorsports, Inc. (b)

   1,200        21,384 
        

 

 

 
         3,577,988 
        

 

 

 

Renewable Energy — 0.0%

        

Advanced Energy Industries, Inc. (a)

   200        12,780 

Ameresco, Inc. Class A (a),(b)

   3,000        39,000 

Canadian Solar, Inc. (a)

   200        3,254 

Renewable Energy Group, Inc. (a),(b)

   6,100        78,080 

SolarEdge Technologies, Inc. (a)

   12,600        662,760 

Sunrun, Inc. (a)

   6,000        53,580 

TPI Composites, Inc. (a)

   500        11,225 
        

 

 

 
         860,679 
        

 

 

 

Retail—Consumer Staples — 0.8%

        

Costco Wholesale Corp.

   68,000        12,813,240 

Dollar General Corp.

   1,700        159,035 

Dollar Tree, Inc. (a),(b)

   107,100        10,163,790 

Five Below, Inc. (a)

   33,200        2,434,888 

Ingles Markets, Inc. Class A

   5,200        176,020 

Kroger Co.

   77,400        1,852,956 

Natural Grocers by Vitamin Cottage, Inc. (a)

   1,600        11,456 

Rite Aid Corp. (a)

   5,200        8,736 

Smart & Final Stores, Inc. (a)

   5,900        32,745 

Sprouts Farmers Market, Inc. (a)

   37,300        875,431 

Target Corp.

   287,500        19,961,125 

Village Super Market, Inc. Class A

   1,200        31,644 

Weis Markets, Inc.

   100        4,098 
        

 

 

 
         48,525,164 
        

 

 

 

Retail—Discretionary — 1.7%

        

1-800-Flowers.com, Inc. Class A (a)

   2,500        29,500 

Abercrombie & Fitch Co. Class A

   700        16,947 

Amazon.com, Inc. (a)

   7,500        10,855,050 

American Eagle Outfitters, Inc.

   11,800        235,174 

At Home Group, Inc. (a)

   800        25,632 

Avis Budget Group, Inc. (a)

   48,500        2,271,740 

Barnes & Noble Education, Inc. (a)

   8,500        58,565 

Bassett Furniture Industries, Inc. (b)

   900        27,315 

Bed Bath & Beyond, Inc.

   75,700        1,588,943 

Best Buy Co., Inc. (b)

   169,200        11,842,308 

 

See Notes to Consolidated Financial Statements.

 

36


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Boot Barn Holdings, Inc. (a)

   2,200       $39,006 

Burlington Stores, Inc. (a),(b)

   40,600        5,405,890 

CarMax, Inc. (a)

   800        49,552 

Christopher & Banks Corp. (a)

   100        107 

Citi Trends, Inc. (b)

   4,700        145,277 

Container Store Group, Inc. (a)

   1,800        9,792 

Destination XL Group, Inc. (a)

   2,499        4,373 

Dick's Sporting Goods, Inc.

   49,600        1,738,480 

DSW, Inc. Class A

   17,000        381,820 

eBay, Inc. (a)

   224,500        9,033,880 

Etsy, Inc. (a)

   72,900        2,045,574 

EVINE Live, Inc. (a),(b)

   1,700        1,734 

Express, Inc. (a)

   13,700        98,092 

Ezcorp, Inc. Class A (a)

   7,100        93,720 

Floor & Decor Holdings, Inc. Class A (a)

   4,400        229,328 

Foot Locker, Inc.

   72,700        3,310,758 

Gap, Inc.

   17,200        536,640 

Genesco, Inc. (a)

   10,400        422,240 

Genuine Parts Co.

   25,000        2,246,000 

Kirkland's, Inc. (a),(b)

   7,100        68,799 

Kohl's Corp. (b)

   100,900        6,609,959 

Lands' End, Inc. (a)

   800        18,680 

Liquidity Services, Inc. (a),(b)

   4,300        27,950 

Lowe's Cos., Inc. (b)

   800        70,200 

Lululemon Athletica, Inc. (a)

   75,400        6,719,648 

Monro Muffler Brake, Inc.

   400        21,440 

Nordstrom, Inc.

   32,300        1,563,643 

O'Reilly Automotive, Inc. (a)

   400        98,952 

Qurate Retail, Inc. (a)

   97,534        2,454,931 

Ross Stores, Inc. (b)

   91,000        7,096,180 

Sears Hometown and Outlet Stores, Inc. (a)

   100        300 

Shoe Carnival, Inc.

   1,200        28,560 

Sleep Number Corp. (a)

   1,100        38,665 

Stein Mart, Inc. (b)

   4,400        6,688 

Tapestry, Inc.

   27,800        1,462,558 

Tile Shop Holdings, Inc.

   31,200        187,200 

Tilly's, Inc. Class A

   5,600        63,280 

TJX Cos., Inc.

   158,900        12,959,884 

Tuesday Morning Corp. (a)

   6,200        24,490 

Ulta Salon Cosmetics & Fragrance, Inc. (a)

   2,272        464,101 

Urban Outfitters, Inc. (a)

   64,900        2,398,704 

Vera Bradley, Inc. (a)

   7,900        83,819 

Vitamin Shoppe, Inc. (a)

   5,500        23,925 

Wayfair, Inc. Class A (a)

   30,600        2,066,418 

Williams-Sonoma, Inc.

   50,200        2,648,552 
        

 

 

 
         99,950,963 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

37


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Semiconductors — 1.3%

        

Alpha & Omega Semiconductor Ltd. (a),(b)

   3,800       $58,710 

Amkor Technology, Inc. (a),(b)

   52,500        531,825 

Amtech Systems, Inc. (a)

   500        3,660 

Axcelis Technologies, Inc. (a)

   17,550        431,730 

Cabot Microelectronics Corp.

   3,400        364,174 

CEVA, Inc. (a),(b)

   3,200        115,840 

Cirrus Logic, Inc. (a)

   4,700        190,961 

Cohu, Inc. (b)

   9,800        223,538 

Cypress Semiconductor Corp.

   11,270        191,139 

Data I/O Corp. (a)

   100        744 

Diodes, Inc. (a)

   8,100        246,726 

DSP Group, Inc. (a),(b)

   2,400        28,320 

Entegris, Inc.

   32,600        1,134,480 

FormFactor, Inc. (a)

   3,561        48,608 

Intel Corp. (b)

   459,419        23,926,542 

KLA-Tencor Corp. (b)

   57,800        6,300,778 

Lam Research Corp.

   9,964        2,024,286 

Lattice Semiconductor Corp. (a)

   42,800        238,396 

M/A-COM Technology Solutions Holdings, Inc. (a)

   8,132        134,991 

Marvell Technology Group Ltd.

   103,700        2,177,700 

Maxim Integrated Products, Inc.

   50,200        3,023,044 

Maxwell Technologies, Inc. (a)

   700        4,151 

Microchip Technology, Inc.

   24        2,193 

Micron Technology, Inc. (a)

   408,000        21,273,120 

Nanometrics, Inc. (a)

   7,000        188,300 

ON Semiconductor Corp. (a)

   38,035        930,336 

Photronics, Inc. (a),(b)

   24,800        204,600 

Pixelworks, Inc. (a)

   8,700        33,669 

Qualcomm, Inc.

   98,400        5,452,344 

Rambus, Inc. (a)

   38,700        519,741 

Rudolph Technologies, Inc. (a),(b)

   8,700        240,990 

Semtech Corp. (a)

   2,600        101,530 

Sigma Designs, Inc. (a)

   2,600        16,120 

SMART Global Holdings, Inc. (a)

   6,300        313,992 

Synaptics, Inc. (a)

   20,600        942,038 

Teradyne, Inc. (b)

   99,000        4,525,290 

Universal Display Corp.

   11,200        1,131,200 

Veeco Instruments, Inc. (a)

   16,230        275,910 

Vishay Intertechnology, Inc.

   1,000        18,600 

Xcerra Corp. (a)

   32,900        383,285 

Xilinx, Inc.

   5,600        404,544 

Xperi Corp.

   3,300        69,795 
        

 

 

 
         78,427,940 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

38


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Software — 1.2%

        

2U, Inc. (a)

   900       $75,627 

Agilysys, Inc. (a),(b)

   900        10,728 

Amber Road, Inc. (a)

   3,200        28,480 

Appfolio, Inc. (a)

   6,000        245,100 

Apptio, Inc. Class A (a)

   18,000        510,120 

Aspen Technology, Inc. (a)

   1,000        78,890 

Autodesk, Inc. (a)

   13,200        1,657,656 

Avid Technology, Inc. (a)

   6,500        29,510 

Black Knight, Inc. (a)

   5,200        244,920 

Blackline, Inc. (a)

   1,200        47,052 

Brightcove, Inc. (a)

   8,100        56,295 

CA, Inc.

   12,300        416,970 

Cadence Design Systems, Inc. (a)

   18,800        691,276 

Calix, Inc. (a),(b)

   4,200        28,770 

CDK Global, Inc.

   29,701        1,881,261 

Cerner Corp. (a)

   65,500        3,799,000 

ChannelAdvisor Corp. (a)

   3,100        28,210 

Citrix Systems, Inc. (a)

   9,400        872,320 

Cloudera, Inc. (a)

   28,800        621,504 

CommerceHub, Inc. (a)

   3,300        74,217 

Cotiviti Holdings, Inc. (a)

   300        10,332 

Coupa Software, Inc. (a)

   29,900        1,364,038 

Digi International, Inc. (a),(b)

   3,500        36,050 

Digital Turbine, Inc. (a)

   2,600        5,226 

Envestnet, Inc. (a)

   200        11,460 

Everbridge, Inc. (a)

   2,000        73,200 

FireEye, Inc. (a)

   20,100        340,293 

Five9, Inc. (a)

   19,300        574,947 

Fortinet, Inc. (a)

   52,600        2,818,308 

Hortonworks, Inc. (a)

   7,800        158,886 

HubSpot, Inc. (a)

   6,400        693,120 

Immersion Corp. (a)

   600        7,170 

Imperva, Inc. (a)

   1,200        51,960 

InnerWorkings, Inc. (a),(b)

   10,700        96,835 

Instructure, Inc. (a)

   8,400        354,060 

KEYW Holding Corp. (The) (a)

   800        6,288 

Limelight Networks, Inc. (a),(b)

   32,900        135,219 

LivePerson, Inc. (a)

   6,400        104,640 

Microsoft Corp.

   37,100        3,386,117 

MicroStrategy, Inc. Class A (a),(b)

   3,100        399,869 

Mimecast Ltd. (a)

   4,400        155,892 

MINDBODY, Inc. Class A (a)

   18,200        707,980 

Model N, Inc. (a),(b)

   9,600        173,280 

Monotype Imaging Holdings, Inc. (b)

   2,200        49,390 

MuleSoft, Inc. Class A (a)

   31,200        1,372,176 

 

See Notes to Consolidated Financial Statements.

 

39


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

New Relic, Inc. (a)

   20,600       $1,526,872 

Nuance Communications, Inc. (a)

   16,500        259,875 

Okta, Inc. (a)

   20,500        816,925 

Palo Alto Networks, Inc. (a),(b)

   55,100        10,001,752 

PDF Solutions, Inc. (a),(b)

   4,600        53,636 

Pegasystems, Inc.

   2,300        139,495 

Proofpoint, Inc. (a)

   25,100        2,852,615 

PROS Holdings, Inc. (a)

   1,400        46,214 

Q2 Holdings, Inc. (a)

   500        22,775 

QAD, Inc. Class A (b)

   1,400        58,310 

Quality Systems, Inc. (a)

   5,600        76,440 

Rapid7, Inc. (a)

   11,400        291,498 

Red Hat, Inc. (a)

   4,300        642,893 

Ribbon Communications, Inc. (a)

   8,500        43,350 

Rosetta Stone, Inc. (a)

   6,700        88,105 

SailPoint Technologies Holding, Inc. (a)

   800        16,552 

Seachange International, Inc. (a)

   10,700        28,997 

ServiceNow, Inc. (a),(b)

   51,800        8,570,310 

Splunk, Inc. (a)

   39,500        3,886,405 

SPS Commerce, Inc. (a)

   5,200        333,164 

Synchronoss Technologies, Inc. (a)

   24,300        256,365 

Tableau Software, Inc. Class A (a)

   13,400        1,082,988 

Twilio, Inc. (a)

   42,100        1,607,378 

Upland Software, Inc. (a)

   500        14,395 

Varonis Systems, Inc. (a)

   8,700        526,350 

VASCO Data Security International, Inc. (a)

   700        9,065 

Veeva Systems, Inc. Class A (a)

   2,500        182,550 

VMware, Inc. Class A (a),(b)

   37,900        4,596,133 

Workday, Inc. Class A (a),(b)

   50,700        6,444,477 

Workiva, Inc. (a)

   7,500        177,750 

Zendesk, Inc. (a)

   26,100        1,249,407 

Zynga, Inc. Class A (a)

   387,600        1,418,616 
        

 

 

 
         71,806,299 
        

 

 

 

Specialty Finance — 0.7%

        

AG Mortgage Investment Trust, Inc.

   7,400        128,538 

AGNC Investment Corp. (b)

   195,238        3,693,903 

Alliance Data Systems Corp.

   29        6,173 

American Express Co. (d)

   124,381        11,602,260 

Annaly Capital Management, Inc.

   51,800        540,274 

Anworth Mortgage Asset Corp.

   3,800        18,240 

Arbor Realty Trust, Inc. (b)

   29,400        259,308 

Ares Commercial Real Estate Corp.

   300        3,705 

Capital One Financial Corp. (d)

   91,971        8,812,661 

Cardtronics PLC (a)

   17,500        390,425 

Consumer Portfolio Services, Inc. (a),(b)

   1,400        5,278 

 

See Notes to Consolidated Financial Statements.

 

40


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Dynex Capital, Inc.

   23,700       $157,131 

Essent Group Ltd. (a)

   18,400        783,104 

Everi Holdings, Inc. (a)

   16,700        109,719 

Fidelity National Information Services, Inc.

   35,900        3,457,170 

First American Financial Corp.

   100        5,868 

First Data Corp. Class A (a)

   178,300        2,852,800 

Fiserv, Inc. (a)

   24,800        1,768,488 

FleetCor Technologies, Inc. (a)

   100        20,250 

Global Payments, Inc.

   6,366        709,936 

Great Ajax Corp.

   300        4,065 

Green Dot Corp. Class A (a)

   5,600        359,296 

HFF, Inc. Class A

   300        14,910 

LendingTree, Inc. (a)

   4,000        1,312,600 

Liberty Tax, Inc.

   300        3,030 

MasterCard, Inc. Class A

   5,800        1,015,928 

MFA Financial, Inc.

   53,200        400,596 

MTGE Investment Corp.

   18,000        322,200 

Navient Corp.

   600        7,872 

NewStar Financial, Inc. (a),(e)

   100        0 

R1 RCM, Inc. (a)

   1,800        12,852 

Redwood Trust, Inc.

   1,600        24,752 

Starwood Property Trust, Inc.

   7,100        148,745 

Total System Services, Inc.

   21,100        1,820,086 

TPG RE Finance Trust, Inc.

   3,900        77,571 

Visa, Inc. A Shares

   6,400        765,568 

Western Union Co.

   29,500        567,285 

WEX, Inc. (a)

   3,700        579,494 

World Acceptance Corp. (a)

   400        42,120 
        

 

 

 
         42,804,201 
        

 

 

 

Technology Services — 0.3%

        

Amdocs Ltd.

   20,400        1,361,088 

Automatic Data Processing, Inc.

   13,200        1,497,936 

Black Box Corp.

   4,100        8,200 

CDW Corp.

   4,800        337,488 

Conduent, Inc. (a)

   121,100        2,257,304 

Convergys Corp.

   24,000        542,880 

CPI Card Group, Inc.

   320        965 

CSG Systems International, Inc.

   100        4,529 

Dell Technologies, Inc.—VMware, Inc. Class V (a)

   3,400        248,914 

Dun & Bradstreet Corp.

   2,600        304,200 

DXC Technology Co.

   1        100 

Engility Holdings, Inc. (a)

   1,100        26,840 

Equifax, Inc. (b)

   28,900        3,404,709 

Evertec, Inc.

   800        13,080 

FactSet Research Systems, Inc.

   200        39,884 

 

See Notes to Consolidated Financial Statements.

 

41


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Forrester Research, Inc.

   200       $8,290 

Genpact Ltd. (b)

   15,000        479,850 

ICF International, Inc.

   1,400        81,830 

International Business Machines Corp.

   27,600        4,234,668 

Luxoft Holding, Inc. (a)

   7,800        319,410 

ManTech International Corp. Class A

   1,500        83,205 

Moody's Corp.

   1,200        193,560 

MSCI, Inc.

   100        14,947 

NIC, Inc.

   4,600        61,180 

Perficient, Inc. (a)

   6,100        139,812 

PFSweb, Inc. (a)

   1,200        10,488 

S&P Global, Inc.

   1,200        229,272 

Sabre Corp. (b)

   102,500        2,198,625 

ServiceSource International, Inc. (a)

   22,300        84,963 

Syntel, Inc. (a)

   14,000        357,420 

TransUnion (a)

   12,400        704,072 

Travelport Worldwide Ltd.

   5,300        86,602 

TTEC Holdings

   600        18,420 

Verisk Analytics, Inc. (a)

   9,400        977,600 

WageWorks, Inc. (a)

   600        27,120 
        

 

 

 
         20,359,451 
        

 

 

 

Telecommunications — 0.2%

        

8x8, Inc. (a)

   600        11,190 

AT&T, Inc.

   58,581        2,088,412 

EchoStar Corp. Class A (a)

   1,200        63,324 

Fusion Telecommunications International, Inc. (a)

   400        1,292 

GCI Liberty, Inc. Class A (a)

   31        1,639 

Hawaiian Telcom Holdco, Inc. (a),(b)

   400        10,672 

IDT Corp. Class B (b)

   2,200        13,794 

Internap Corp. (a)

   3,700        40,700 

RigNet, Inc. (a)

   600        8,160 

RingCentral, Inc. Class A (a)

   26,800        1,701,800 

Spok Holdings, Inc. (b)

   2,100        31,395 

T-Mobile US, Inc. (a)

   81,900        4,999,176 

Telephone & Data Systems, Inc.

   600        16,818 

Zix Corp. (a),(b)

   10,400        44,408 
        

 

 

 
         9,032,780 
        

 

 

 

Transportation & Logistics — 0.2%

        

Air Transport Services Group, Inc. (a),(b)

   17,200        401,104 

ArcBest Corp.

   6,700        214,735 

Covenant Transportation Group, Inc. Class A (a)

   1,300        38,779 

CSX Corp.

   14,100        785,511 

Eagle Bulk Shipping, Inc. (a)

   9,085        44,971 

Genco Shipping & Trading Ltd. (a)

   1,100        15,642 

 

See Notes to Consolidated Financial Statements.

 

42


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares        Value 

Genesee & Wyoming, Inc. (a)

   900       $63,711 

JB Hunt Transport Services, Inc.

   7,200        843,480 

Kansas City Southern

   27,900        3,064,815 

Kirby Corp. (a)

   1,000        76,950 

Marten Transport Ltd.

   7,033        160,352 

Matson, Inc.

   100        2,864 

Norfolk Southern Corp.

   13,700        1,860,186 

Roadrunner Transportation Systems, Inc. (a)

   5,100        12,954 

Ryder System, Inc. (b)

   21,800        1,586,822 

Saia, Inc. (a),(b)

   900        67,635 

Schneider National, Inc.—Class B

   700        18,242 

Steel Connect, Inc. (a),(b)

   2,100        4,452 

USA Truck, Inc. (a),(b)

   3,400        86,666 
        

 

 

 
         9,349,871 
        

 

 

 

Transportation Equipment — 0.2%

        

Allison Transmission Holdings, Inc. (b)

   71,000        2,773,260 

American Railcar Industries, Inc.

   1,100        41,151 

Blue Bird Corp. (a)

   2,700        63,990 

Commercial Vehicle Group, Inc. (a)

   9,500        73,625 

Cummins, Inc. (b)

   31,500        5,105,835 

Meritor, Inc. (a)

   17,700        363,912 

PACCAR, Inc. (b)

   46,100        3,050,437 

Spartan Motors, Inc.

   4,300        73,960 

Trinity Industries, Inc.

   200        6,526 

WABCO Holdings, Inc. (a)

   6,000        803,220 
        

 

 

 
         12,355,916 
        

 

 

 

Utilities — 0.2%

        

AES Corp.

   7,200        81,864 

American Electric Power Co., Inc.

   300        20,577 

CenterPoint Energy, Inc.

   149,600        4,099,040 

Consolidated Water Co. Ltd.

   1,600        23,280 

Dominion Resources, Inc.

   6,600        445,038 

Exelon Corp.

   200        7,802 

Just Energy Group, Inc.

   3,600        15,840 

NRG Energy, Inc.

   137,200        4,188,716 

PG&E Corp.

   41,700        1,831,881 

Pinnacle West Capital Corp.

   300        23,940 

Portland General Electric Co.

   12,900        522,579 

Public Service Enterprise Group, Inc.

   31,000        1,557,440 

WEC Energy Group, Inc.

   29        1,818 

Xcel Energy, Inc.

   2,500        113,700 
        

 

 

 
         12,933,515 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

43


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares         Value 

Waste & Environmental Services & Equipment — 0.1%

 

      

Advanced Disposal Services, Inc. (a)

   19,300       $430,004 

Advanced Emissions Solutions, Inc.

   100        1,142 

Casella Waste Systems, Inc. Class A (a),(b)

   12,500        292,250 

Ceco Environmental Corp.

   4,100        18,245 

Heritage-Crystal Clean, Inc. (a)

   1,000        23,550 

Republic Services, Inc.

   3,900        258,297 

Stericycle, Inc. (a)

   6,600        386,298 

Waste Connections, Inc.

   8,734        626,577 

Waste Management, Inc.

   35,300        2,969,436 
        

 

 

 
         5,005,799 
        

 

 

 

Total North America

         1,594,502,085 
        

 

 

 

Oceania — 0.0%

        

Software — 0.0%

        

Atlassian Corp. PLC Class A (a)

   32,100        1,730,832 
        

 

 

 

Total Oceania

         1,730,832 
        

 

 

 

South America — 0.1%

        

Banking — 0.1%

        

Credicorp Ltd.

   11,300        2,565,552 
        

 

 

 

Chemicals — 0.0%

        

Sociedad Quimica y Minera de Chile SA ADR

   7,700        378,455 
        

 

 

 

Consumer Products — 0.0%

        

Adecoagro SA (a)

   19,400        145,888 

AMBEV SA ADR

   600        4,362 
        

 

 

 
         150,250 
        

 

 

 

Gaming, Lodging & Restaurants — 0.0%

        

Arcos Dorados Holdings, Inc. A Shares

   24,400        223,260 
        

 

 

 

Iron & Steel — 0.0%

        

Gerdau SA ADR

   20,100        93,666 
        

 

 

 

Passenger Transportation — 0.0%

        

Avianca Holdings SA ADR

   3,233        27,384 

Azul SA ADR (a)

   4,000        139,000 

Gol Linhas Aereas Inteligentes SA ADR (a)

   1,250        16,237 
        

 

 

 
         182,621 
        

 

 

 

Utilities — 0.0%

        

Cia Energetica de Minas Gerais ADR (b)

   34,400        88,752 
        

 

 

 

Total South America

 

       3,682,556 
        

 

 

 

TOTAL COMMON STOCK
(COST $1,680,285,702)

 

       1,720,873,905 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

44


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Shares         Value 

PREFERRED STOCK — 3.5%

        

Asia — 3.5%

        

Financial Services — 3.5%

        

Mandatory Exchangeable Trust, 5.75%, 06/03/19 (q),(b),(d)

   1,015,016       $209,658,152 
        

 

 

 

Total Asia

 

       209,658,152 
        

 

 

 

TOTAL PREFERRED STOCK
(COST $173,407,605)

 

       209,658,152 
        

 

 

 

Security Description

  Principal
Amount
         Value 

ASSET-BACKED SECURITIES — 5.1%

 

North America — 5.1%

 

      

ACIS CLO Ltd., Series 2015-6A, Class D,
3 mo. USD LIBOR + 3.77%, 5.54%, 05/01/27 (d),(f),(g)

  $2,000,000        1,997,154 

Adams Mill CLO Ltd., Series 2014-1A, Class D1,
3 mo. USD LIBOR + 3.50%, 5.22%, 07/15/26 (d),(f),(g)

   4,750,000        4,739,882 

Allegro CLO Ltd.,

 

Series 2013-1A, Class C, 3 mo. USD LIBOR + 3.45%, 5.22%, 01/30/26 (d),(f),(g)

   5,000,000        4,991,310 

Series 2015-1A, Class DR,
4.40%, 07/25/27 (d),(f),(g)

   1,000,000        998,216 

Allegro Ltd., 3 mo. USD LIBOR + 3.85%, 5.59%, 01/21/27 (d),(f),(g)

   1,900,000        1,896,747 

ALM Loan Funding, Series 2013-7RA, Class CR,
3 mo. USD LIBOR + 4.04%, 5.76%, 10/15/28 (d),(f),(g)

   1,000,000        1,030,392 

Apidos CLO, Series 2014-18A, Class D,
3 mo. USD LIBOR + 5.20%, 6.94%, 07/22/26 (d),(f),(g)

   3,600,000        3,589,805 

Atlas Senior Loan Fund V Ltd., Series 2014-1A, Class DR2, 3 mo. USD LIBOR + 4.00%, 5.72%, 07/16/29 (d),(f),(g)

   2,000,000        2,039,334 

Avery Point CLO Ltd., Series 2014-5A, Class DR, 4.83%, 07/17/26 (d),(f),(g)

   1,000,000        998,215 

Babson CLO Ltd., Series 2013-IA, Class DR, 4.29%, 01/20/28 (d),(f),(g)

   2,000,000        1,996,222 

Battalion CLO Ltd., Series 2016-10A, Class C, 3 mo. USD LIBOR + 4.25%, 5.99%, 01/24/29 (d),(f),(g)

   7,500,000        7,589,685 

Bear Stearns Asset-Backed Securities Trust,

        

Series 2007-1, Class A2, 1 mo. USD LIBOR + 0.28%, 2.15%, 01/25/37 (d),(g)

   1,513,770        1,482,889 

 

See Notes to Consolidated Financial Statements.

 

45


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Series 2007-2, Class A2, 1 mo. USD LIBOR + 0.32%, 2.19%, 01/25/47 (d),(g)

  $2,566,807       $2,482,767 

BlueMountain CLO Ltd., Series 2015-3A, Class D, 3 mo. USD LIBOR + 5.25%, 6.99%, 10/20/27 (d),(f),(g)

   3,900,000        3,900,000 

Brookside Mill CLO Ltd., Series 2013-1A, Class DR, 4.35%, 01/17/28 (d),(f),(g)

   4,000,000        3,999,144 

Carlyle Global Market Strategies CLO Ltd.,

        

1.00%, 04/17/31 (d),(g),(f)

   3,000,000        3,000,000 

Series 2013-3A, Class CR,
4.17%, 10/15/30 (d),(f),(g)

   1,000,000        994,727 

Series 2014-1A, Class D, 3 mo. USD LIBOR + 3.45%, 5.18%, 04/17/25 (d),(f),(g)

   1,700,000        1,696,539 

Series 2014-2A, Class D, 3 mo. USD LIBOR + 3.50%, 5.34%, 05/15/25 (d),(f),(g)

   1,900,000        1,898,830 

Series 2014-4A, Class E, 3 mo. USD LIBOR + 5.20%, 6.92%, 10/15/26 (d),(f),(g)

   1,500,000        1,495,320 

Catamaran CLO Ltd.,

        

Series 2013-1A, Class DR,
4.31%, 01/27/28 (d),(f),(g)

   2,000,000        1,997,084 

Series 2014-1A, Class CR,
5.17%, 04/22/30 (d),(f),(g)

   3,100,000        3,136,688 

Series 2015-1A, Class DR,
4.54%, 04/22/27 (d),(f),(g)

   1,000,000        1,000,705 

Series 2015-1A, Class E, 3 mo. USD LIBOR + 5.15%, 6.89%, 04/22/27 (d),(f),(g)

   1,000,000        996,579 

Series 2015-1X, Class E, 3 mo. USD LIBOR + 5.15%, 6.89%, 04/22/27 (d),(g)

   1,000,000        996,579 

CIFC Funding Ltd.,

        

Series 2013-1A, Class DR, 3 mo. USD LIBOR + 6.65%, 8.37%, 07/16/30 (d),(f),(g)

   1,000,000        1,011,586 

Series 2014-4A, Class D, 3 mo. USD LIBOR + 3.40%, 5.13%, 10/17/26 (d),(f),(g)

   1,200,000        1,197,558 

Series 2015-4A, Class D, 3 mo. USD LIBOR + 5.50%, 7.24%, 10/20/27 (d),(f),(g)

   1,000,000        1,000,594 

Covenant Credit Partners CLO Ltd.,

        

Series 2014-2A, Class D, 3 mo. USD LIBOR + 3.65%, 5.38%, 10/17/26 (d),(f),(g)

   6,000,000        5,990,148 

Series 2017-1A, Class D,
5.47%, 10/15/29 (d),(f),(g)

   2,000,000        2,030,674 

Credit Suisse Mortgage Trust,

        

Series 2015-RPL3, Class A1,
3.75%, 12/25/56 (d),(f),(h)

   5,492,371        5,529,440 

Series 2015-RPL5, Class A1,
3.80%, 11/26/55 (d),(f),(b)

   29,208,221        29,167,037 

 

See Notes to Consolidated Financial Statements.

 

46


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Denali Capital CLO Ltd., Series 2013-1A, Class B2LR, 6.50%, 10/26/27 (d),(f),(g)

  $1,000,000       $984,876 

Drive Auto Receivables Trust,

        

Series 2015-AA, Class D,
4.12%, 07/15/22 (d),(f),(b)

   5,300,000        5,379,813 

Series 2015-DA, Class D,
4.59%, 01/17/23 (d),(f)

   2,500,000        2,553,050 

Dryden Senior Loan Fund, Series 2014-36A, Class DR, 3 mo. USD LIBOR + 4.24%, 5.96%, 01/15/28 (d),(f),(g)

   5,000,000        5,075,845 

DT Auto Owner Trust,

        

Series 2015-1A, Class D,
4.26%, 02/15/22 (d),(f)

   903,693        910,574 

Series 2015-3A, Class D,
4.53%, 10/17/22 (d),(f)

   3,160,000        3,206,013 

Series 2016-1A, Class D,
4.66%, 12/15/22 (d),(f)

   3,000,000        3,051,636 

Exeter Automobile Receivables Trust,

        

Series 2014-1A, Class D,
5.53%, 02/16/21 (d),(f),(b)

   2,923,970        2,962,952 

Series 2014-2A, Class D,
4.93%, 12/15/20 (d),(f)

   2,700,000        2,740,054 

Series 2016-3A, Class C,
4.22%, 06/15/22 (d),(f)

   2,000,000        2,018,678 

Flagship Credit Auto Trust, Series 2015-2, Class C, 4.08%, 12/15/21 (d),(f)

   1,800,000        1,821,064 

Gallatin Loan Management, 4.97%, 07/15/27 (d),(f),(g)

   2,000,000        2,020,886 

Garrison Funding Ltd., Series 2015-1A, Class CR, 5.84%, 09/21/29 (d),(f),(g)

   2,000,000        2,029,966 

Greywolf CLO Ltd.,

        

Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.20%, 4.94%, 04/22/26 (d),(f),(g)

   5,000,000        4,991,770 

Series 2014-1A, Class D, 3 mo. USD LIBOR + 5.10%, 6.84%, 04/22/26 (d),(f),(g)

   6,300,000        6,287,929 

Jamestown CLO Ltd.,

        

Series 2014-4A, Class CR,
4.37%, 07/15/26 (d),(f),(g)

   5,000,000        4,987,620 

Series 2015-7A, Class CR,
4.35%, 07/25/27 (d),(f),(g)

   5,500,000        5,487,311 

JMP Credit Advisors CLO IIIR Ltd., Series 2014-1RA, Class D,
4.32%, 01/17/28 (d),(f),(g)

   5,310,000        5,283,068 

KVK CLO Ltd., Series 2015-1A, Class D, 3 mo. USD LIBOR + 4.00%, 5.88%, 05/20/27 (d),(f),(g)

   1,250,000        1,249,345 

 

See Notes to Consolidated Financial Statements.

 

47


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Madison Park Funding Ltd.,

        

Series 2012-10A, Class DR, 3 mo. USD LIBOR + 4.20%,
5.94%, 01/20/29 (d),(f),(g)

  $1,000,000       $1,015,918 

Series 2014-14A, Class DR, 3 mo. USD LIBOR + 3.25%,
4.99%, 07/20/26 (d),(f),(g)

   1,000,000        1,000,434 

Series 2018-30A, Class D,
1.00%, 04/15/29 (d),(f),(g)

   4,605,000        4,605,000 

Mountain View CLO Ltd., Series 2015-10A, Class DR, 4.37%, 10/13/27 (d),(f),(g)

   2,500,000        2,502,512 

Nationstar HECM Loan Trust,

        

Series 2017-1A, Class M2,
4.70%, 05/25/27 (d),(f)

   1,480,000        1,476,251 

Series 2017-2A, Class M2,
3.97%, 09/25/27 (d),(f),(g)

   4,070,000        4,052,576 

Nelder Grove CLO Ltd., Series 2014-1A, Class D1R, 3 mo. USD LIBOR + 4.10%, 6.08%, 08/28/26 (d),(f),(g)

   3,000,000        2,998,977 

Northwoods Capital Ltd.,

        

Series 2014-11A, Class E, 3 mo. USD LIBOR + 4.50%,
6.22%, 04/15/25 (d),(f),(g)

   2,000,000        1,992,752 

Series 2014-12A, Class DR, 3 mo. USD LIBOR + 3.60%,
5.19%, 09/15/25 (d),(f),(g)

   3,000,000        3,003,135 

NYMT Residential LLC, Series 2016-RP1A, Class A, 4.00%, 03/25/21 (d),(f)

   2,223,535        2,229,801 

Oaktree CLO Ltd.,

        

Series 2014-2A, Class D, 3 mo. USD LIBOR + 5.25%, 6.99%, 10/20/26 (d),(f),(g)

   4,500,000        4,483,912 

Series 2015-1A, Class DR, 6.94%, 10/20/27 (d),(f),(g)

   2,500,000        2,500,870 

Ocean Trails CLO,

        

Series 2014-5A, Class DR, 3 mo. USD LIBOR + 3.60%,
5.32%, 10/13/26 (d),(f),(g)

   1,250,000        1,247,528 

Series 2014-5A, Class E, 3 mo. USD LIBOR + 5.35%, 7.07%, 10/13/26 (d),(f),(g)

   2,000,000        1,993,210 

Octagon Investment Partners Ltd.,

        

Series 2013-1A, Class CR, 3 mo. USD LIBOR + 3.48%,
5.33%, 12/16/24 (d),(f),(g)

   1,000,000        998,997 

Series 2014-1A, Class D, 3 mo. USD LIBOR + 6.60%, 8.43%, 11/14/26 (d),(f),(g)

   2,000,000        2,000,730 

OFSI Fund Ltd.,

        

Series 2013-5A, Class B2L, 3 mo. USD LIBOR + 5.25%,
6.98%, 04/17/25 (d),(f),(g)

   1,900,000        1,894,317 

Series 2014-6A, Class CR,
4.23%, 03/20/25 (d),(f),(g)

   5,000,000        5,000,700 

Series 2014-7A, Class DR,
4.93%, 10/18/26 (d),(f),(g)

   2,000,000        1,995,538 

 

See Notes to Consolidated Financial Statements.

 

48


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

OHA Credit Partners Ltd., Series 2013-9A, Class E, 3 mo. USD LIBOR + 5.00%,
6.74%, 10/20/25 (d),(f),(g)

  $1,503,000       $1,499,197 

OHA Loan Funding Ltd., Series 2013-1A, Class E, 3 mo. USD LIBOR + 5.15%,
6.89%, 07/23/25 (d),(f),(g)

   3,594,000        3,597,626 

OneMain Financial Issuance Trust,

        

Series 2015-1A, Class D,
6.63%, 03/18/26 (d),(f)

   1,500,000        1,512,590 

Series 2016-2A, Class C,
5.67%, 03/20/28 (d),(f)

   3,500,000        3,553,711 

Series 2017-1A, Class D,
4.52%, 09/14/32 (d),(f)

   3,500,000        3,485,741 

OZLM Funding Ltd., Series 2012-2A, Class CR, 3 mo. USD LIBOR + 4.00%,
5.77%, 10/30/27 (d),(f),(g)

   1,500,000        1,499,417 

OZLM Ltd.,

        

Series 2014-8A, Class CR, 3 mo. USD LIBOR +
3.40%, 5.13%, 10/17/26 (d),(f),(g)

   2,250,000        2,246,074 

Series 2015-12A, Class C, 3 mo. USD LIBOR + 3.70%,
5.47%, 04/30/27 (d),(f),(g)

   1,500,000        1,498,751 

Series 2015-12A, Class D, 3 mo. USD LIBOR + 5.40%,
7.17%, 04/30/27 (d),(f),(g)

   7,000,000        6,956,250 

Series 2015-13A, Class D, 3 mo. USD LIBOR + 5.45%,
7.22%, 07/30/27 (d),(f),(g)

   1,100,000        1,099,203 

Parallel Ltd., Series 2015-1A, Class DR, 4.29%, 07/20/27 (d),(f),(g)

   5,000,000        5,000,625 

Sound Harbor Loan Fund Ltd., Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.90%, 5.67%, 10/30/26 (d),(f),(g)

   7,500,000        7,492,380 

Sound Point CLO Ltd., Series 2014-1A, Class D, 3 mo. USD LIBOR + 3.40%, 5.13%, 04/18/26 (d),(f),(g)

   1,200,000        1,197,967 

Thacher Park CLO Ltd., Series 2014-1A, Class E2, 3 mo. USD LIBOR + 6.00%,
7.74%, 10/20/26 (d),(f),(g)

   1,000,000        997,711 

THL Credit Wind River CLO Ltd.,

        

Series 2014-1A, Class E, 3 mo. USD LIBOR + 4.95%, 6.68%, 04/18/26 (d),(f),(g)

   4,250,000        4,202,918 

Series 2014-3A, Class DR, 3 mo. USD LIBOR + 3.35%,
5.09%, 01/22/27 (d),(f),(g)

   4,000,000        3,994,116 

TICP CLO Ltd.,

        

Series 2014-2A, Class C, 3 mo. USD LIBOR + 3.30%, 5.04%, 07/20/26 (d),(f),(g)

   1,500,000        1,497,120 

Series 2016-6A, Class D, 3 mo. USD LIBOR + 4.20%, 5.92%, 01/15/29 (d),(f),(g)

   1,000,000        1,012,089 

 

See Notes to Consolidated Financial Statements.

 

49


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Series 2018-IIA, Class C, 1.00%, 04/20/28 (d),(f),(g)

  $1,500,000       $1,500,000 

TruPS Financials Note Securitization Ltd., Series 2017-1A, Class B, 3 mo. USD LIBOR + 5.10%, 6.46%, 04/20/38 (d),(f),(g),(e)

   3,000,000        2,895,000 

Venture CDO Ltd., Series 2014-19A, Class D, 3 mo. USD LIBOR + 4.00%, 5.72%, 01/15/27 (d),(f),(g),(b)

   2,500,000        2,496,385 

Venture CLO Ltd.,

        

Series 2013-14A, Class DR,
5.98%, 08/28/29 (d),(f),(g)

   4,000,000        4,055,972 

Series 2014-16A, Class DRR,
4.23%, 01/15/28 (d),(f),(g)

   4,000,000        4,000,908 

Series 2014-18A, Class DR,
4.82%, 10/15/29 (d),(f),(g)

   1,000,000        1,003,430 

Vericrest Opportunity Loan Trust,

        

Series 2015-NP12, Class A1,
3.88%, 09/25/45 (d),(f)

   1,575,684        1,574,333 

Series 2017-NPL4, Class A1,
3.38%, 04/25/47 (d),(f)

   971,239        972,416 

Series 2017-NPL6 SEQ, Class A1, 3.25%, 05/25/47 (d),(f)

   624,450        623,970 

Series 2017-NPL7 SEQ, Class A1, 3.25%, 06/25/47 (d),(f)

   899,733        895,794 

Series 2017-NPL9 SEQ, Class A1, 3.13%, 09/25/47 (d),(f)

   1,771,372        1,760,850 

Vericrest Opportunity Loan Trust LLC, Series 2017-NP11 SEQ, Class A1, 3.38%, 10/25/47 (d),(f)

   2,731,916        2,727,982 

Vibrant CLO Ltd.,

        

Series 2015-3A, Class C, 3 mo. USD LIBOR + 3.65%, 5.39%, 04/20/26 (d),(f),(g)

   3,000,000        2,995,290 

Series 2018-8A, Class C,
4.96%, 01/20/31 (d),(f),(g)

   6,000,000        5,995,008 

Voya CLO Ltd., Series 2014-3A, Class CR, 4.40%, 07/25/26 (d),(f),(g)

   1,000,000        998,371 

West CLO Ltd., Series 2012-1A, Class D,
3 mo. USD LIBOR + 6.50%, 8.27%, 10/30/23 (d),(f),(g)

   1,000,000        999,146 
        

 

 

 

TOTAL ASSET-BACKED SECURITIES
(COST $302,695,507)

     304,745,799 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

50


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
         Value 

CONVERTIBLE BONDS — 0.9%

 

Europe — 0.5%

 

    

Pharmaceuticals — 0.5%

        

Bayer Capital Corp. BV,
5.63%, 11/22/19 (d),(f),(b)

   23,000,000    EUR     $28,877,670 

Bayer Capital Corp. BV REG S, 5.63%, 11/22/19

   500,000    EUR      627,775 
        

 

 

 

Total Europe

         29,505,445 
        

 

 

 

Middle East — 0.3%

        

Financial Services — 0.3%

        

Volcan Holdings PLC REG S, 4.13%, 04/11/20

   2,300,000    GBP      4,161,412 

Volcan Holdings II PLC, 3.88%, 10/10/20

   6,700,000    GBP      11,244,876 
        

 

 

 

Total Middle East

         15,406,288 
        

 

 

 

North America — 0.1%

        

Wireless Telecommunications Services — 0.1%

        

America Movil SAB de CV, 0.01%, 05/28/20

   5,500,000    EUR      6,682,880 
        

 

 

 

Total North America

         6,682,880 
        

 

 

 

TOTAL CONVERTIBLE BONDS
(COST $44,479,386)

         51,594,613 
        

 

 

 

BANK DEBT — 0.5%

        

Asia — 0.0%

        

Transportation & Logistics — 0.0%

        

Hanjin International Corp., 2017 Term Loan B, 3 mo. LIBOR + 2.50%, 4.23%, 10/18/20 (d),(r),(e),(g)

  $483,006        484,518 
        

 

 

 

Total Asia

         484,518 
        

 

 

 

Europe — 0.0%

        

Exploration & Production — 0.0%

        

Endeavour International Holding BV, Term Loan A1, Defaulted, 0.00%, 01/02/19 (d),(j),(r),(e),(g)

   1,563,903        46,917 
        

 

 

 

Wireless Telecommunications Services — 0.0%

        

Intelsat Jackson Holdings S.A.,

        

2017 Term Loan B4, 3 mo. LIBOR + 4.50%, 6.46%, 01/02/24 (d),(e)

   17,354        17,800 

2017 Term Loan B5, Fixed + 6.63%,
6.63%, 01/02/24 (d),(e)

   202,215        204,532 
        

 

 

 
         222,332 
        

 

 

 

Total Europe

         269,249 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

51


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
         Value 

North America — 0.5%

        

Advertising & Marketing — 0.0%

        

Getty Images, Inc., Term Loan B, 3 mo. LIBOR + 3.50%, 5.80%, 10/18/19 (d),(e),(g)

  $1,689,476       $1,614,750 
        

 

 

 

Chemicals — 0.0%

        

LyondellBasell Industries NV,

        

0.00%, 08/15/49 (d),(e),(i),(j),(k),(r)

   11,000,000        27,500 

1.00%, 08/15/15 (d),(i),(r),(e)

   882,886    EUR      5,432 
        

 

 

 
         32,932 
        

 

 

 

Coal Operations — 0.0%

        

Blackhawk Mining LLC, Term Loan, 3 mo. LIBOR + 10.00%,
11.78%, 02/14/22 (d),(e),(g)

  $1,848,517        1,600,501 
        

 

 

 

Consumer Finance — 0.0%

        

Ocwen LN Servicing LLC, Term Loan B, 1 mo. LIBOR + 5.00%,
6.79%, 12/05/20 (d),(e),(g)

   660,567        663,870 
        

 

 

 

Consumer Products — 0.0%

        

KIK Custom Products, Inc., Term Loan B, 1 mo. LIBOR + 4.00%,
5.88%, 05/15/23 (d),(e),(g)

   1,305,660        1,317,294 
        

 

 

 

Consumer Services — 0.0%

        

Pearl Intermediate Parent LLC, 2018 2nd Lien Term Loan, 1 mo. LIBOR + 6.25%, 8.03%, 02/13/26 (d),(r),(e)

   184,860        184,398 
        

 

 

 

Containers & Packaging — 0.1%

        

BWAY Holding Co., Term Loan B, 3 mo. LIBOR + 3.25%, 4.96%, 04/03/24 (d),(e),(g)

   1,766,810        1,774,690 

Fort Dearborn Company, 2016 1st Lien Term Loan, 3 mo. LIBOR + 4.00%,
5.70%, 10/19/23 (d),(r),(e)

   1,412,999        1,397,103 
        

 

 

 
         3,171,793 
        

 

 

 

Financial Services — 0.0%

        

UFC Holdings LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.25%,
5.13%, 08/18/23 (d),(e),(g)

   1,211,421        1,216,909 
        

 

 

 

Food & Beverage — 0.0%

        

Flavors Holdings, Inc., 1st Lien Term Loan, 0.00%, 04/03/20 (d),(j),(g),(s)

   36,687        32,835 
        

 

 

 

Health Care Facilities & Services — 0.1%

        

Prospect Medical Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 5.50%, 7.19%, 02/22/24 (d),(r),(e),(g)

   1,210,391        1,210,391 

 

See Notes to Consolidated Financial Statements.

 

52


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Quorum Health Corporation, Term Loan B, 1 mo. LIBOR + 6.75%, 8.63%, 04/29/22 (d),(e),(g)

  $494,129       $504,011 

Wink Holdco, Inc, 2nd Lien Term Loan B, 1 mo. LIBOR + 6.75%,
8.42%, 12/1/25 (d),(r),(e),(g)

   496,862        495,620 
        

 

 

 
       2,210,022 
        

 

 

 

Industrial Other — 0.0%

        

Michael Baker International LLC, 2017 Term Loan B, 1 mo. LIBOR + 4.50%,
6.34%, 11/21/22 (d),(r),(e),(g)

   1,356,345        1,352,954 
        

 

 

 

Internet Media — 0.0%

        

W3 Co., 2017 Term Loan B, 1 mo. LIBOR + 6.00%, 7.88%, 03/08/22 (d),(e),(g)

   1,108,161        1,099,850 
        

 

 

 

Machinery — 0.0%

        

Engineered Machinery Holdings, Inc., 2nd Lien Delayed Draw Term Loan, 3 mo. LIBOR + 7.25%, 9.55%, 07/19/25 (d),(e)

   65,879        66,154 
        

 

 

 

Machinery Manufacturing — 0.1%

        

Engineered Machinery Holdings, Inc.,

        

USD 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 5.55%, 07/19/24 (d),(e),(g)

   710,260        709,670 

USD 2nd Lien Term Loan, 3 mo. LIBOR + 7.25%, 9.55%, 07/18/25 (d),(e),(g)

   768,179        771,383 

Gardner Denver, Inc., 2017 USD Term Loan B, 3 mo. LIBOR + 2.75%, 5.05%, 07/30/24 (d),(e),(g)

   2,605,059        2,616,599 
        

 

 

 
       4,097,652 
        

 

 

 

Medical Equipment & Devices Manufacturing — 0.1%

 

      

Ortho Clinical Diagnostics SA, Term Loan B, 1 mo. LIBOR + 3.75%, 5.63%, 06/30/21 (d),(e),(g)

   2,182,537        2,199,451 
        

 

 

 

Metals & Mining — 0.0%

        

Offshore Group Investment Ltd., Term Loan, 1 mo. LIBOR + 6.50%, 8.38%, 12/31/19 (d),(r),(e)

   576,536        576,536 
        

 

 

 

Oil & Gas Services & Equipment — 0.0%

        

Thermon Industries, Inc., Term Loan B, 1 mo. LIBOR + 3.75%,
5.41%, 10/30/24 (d),(r),(e),(g)

   682,896        686,310 
        

 

 

 

Real Estate — 0.0%

        

Quality Care Properties, 1st Lien Term Loan, 1 mo. LIBOR + 5.25%, 7.13%, 10/31/22 (d),(e),(g)

   831,825        840,144 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

53


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
         Value 

Retail—Consumer Discretionary — 0.0%

        

Culligan Holding, Inc.,

        

2017 1st Lien Term Loan B, 1 mo. LIBOR + 3.25%, 5.13%, 12/13/23 (d),(r),(e),(g)

  $252,032       $253,136 

2017 Incremental Term Loan, 1 mo. LIBOR + 3.25%, 5.13%, 12/13/23 (d),(r),(e),(g)

   646,106        647,721 
        

 

 

 
       900,857 
        

 

 

 

Retail—Consumer Staples — 0.0%

        

Pinnacle Operating Corp., Term Loan, 1 mo. LIBOR + 5.50% (Cash) + 1.75% (PIK) 7.88% (Cash), 1.25% (PIK), 11/15/21 (d),(r),(e),(g)

   423,493        397,554 
        

 

 

 

Software & Services — 0.0%

        

BlackBoard, Inc., Term Loan B4, 3 mo. LIBOR + 5.00%,
6.73%, 06/30/21 (d),(e),(g)

   1,054,517        981,692 

Syniverse Holdings, Inc., 2018 Term Loan, 3 mo. LIBOR + 5.00%,
6.72%, 03/09/23 (d),(e)

   558,642        564,614 
        

 

 

 
       1,546,306 
        

 

 

 

Transportation & Logistics — 0.0%

        

Utility One Source L.P., Term Loan B, 1 mo. LIBOR + 5.50%,
7.38%, 04/18/23 (d),(r),(e),(g)

   122,285        125,651 
        

 

 

 

Wireless Telecommunications Services — 0.1%

        

Ligado Networks LLC, Exit Term Loan,
3 mo. LIBOR + 8.75%,
PIK, 10.78%, 12/07/20 (d),(r),(e),(g)

   5,645,211        4,939,560 
        

 

 

 

Total North America

         30,874,283 
        

 

 

 

TOTAL BANK DEBT
(COST $34,754,745)

         31,628,050 
        

 

 

 

CORPORATE BONDS & NOTES — 3.0%

        

Asia — 0.1%

        

Casinos & Gaming — 0.1%

        

Wynn Macau Ltd., 4.88%, 10/01/24 (d),(f)

   3,554,000        3,465,150 
        

 

 

 

Metals & Mining — 0.0%

        

Rusal Capital DAC, 5.13%, 02/02/22

   1,274,000        1,255,224 
        

 

 

 

Utilities — 0.0%

        

1MDB Energy Ltd. REG S, 5.99%, 05/11/22

   2,500,000        2,645,965 
        

 

 

 

Total Asia

         7,366,339 
        

 

 

 

Europe — 0.6%

        

Banks — 0.0%

        

RESPARCS Funding II LP,
7.50%, 06/29/49 (d),(k)

   433,000    EUR      194,999 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

54


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
         Value 

Diversified Banks — 0.5%

        

Deutsche Bank AG MTN, 0.00%, 07/19/18 - 08/30/18 (j)

   523,925,000    EGP     $28,071,304 
        

 

 

 

Oil & Gas Services & Equipment — 0.0%

        

CGG SA,

        

PIK, 5.00%, 02/21/24

   603,000    EUR      873,288 

PIK, 5.88%, 02/21/24

  $630,000        743,400 
        

 

 

 
         1,616,688 
        

 

 

 

Property & Casualty Insurance — 0.1%

        

Groupama SA, 6.00%, 01/23/27

   200,000    EUR      297,848 

Groupama SA REG S, 3 mo. EURIBOR + 5.77%, 6.38%, 05/29/49 (g),(k)

   1,900,000    EUR      2,730,046 
        

 

 

 
         3,027,894 
        

 

 

 

Total Europe

         32,910,885 
        

 

 

 

Middle East — 0.0%

        

Oil & Gas Services & Equipment — 0.0%

        

Oil and Gas Holding Co. BSCC, 7.50%, 10/25/27

  $2,500,000        2,475,350 
        

 

 

 

Total Middle East

         2,475,350 
        

 

 

 

North America — 1.6%

        

Advertising & Marketing — 0.0%

        

Aimia, Inc., MTN, 5.60%, 05/17/19 (d),(l)

   413,000    CAD      310,948 
        

 

 

 

Casinos & Gaming — 0.0%

        

Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 03/01/25 (d),(f)

  $1,133,000        1,138,665 
        

 

 

 

Chemicals — 0.1%

        

Hexion, Inc.,

        

10.00%, 04/15/20 (d)

   2,789,000        2,698,357 

10.38%, 02/01/22 (d),(f)

   1,357,000        1,312,898 
        

 

 

 
         4,011,255 
        

 

 

 

Commercial Finance — 0.1%

        

Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22 (d),(f)

   8,499,000        8,615,861 
        

 

 

 

Consumer Products — 0.0%

        

Revlon Consumer Products Corp., 6.25%, 08/01/24 (d)

   472,000        290,870 
        

 

 

 

Consumer Services — 0.0%

        

Corporate Risk Holdings LLC,
9.50%, 07/01/19 (d),(f)

   1,883,000        1,967,735 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

55


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Exploration & Production — 0.1%

        

Par Petroleum LLC / Petroleum Finance Corp., 7.75%, 12/15/25 (d),(f)

  $3,892,000       $3,901,730 
        

 

 

 

Financial Services — 0.4%

        

Citigroup Global Markets Holdings, Inc.,

        

MTN, 0.00%, 07/26/18 - 10/04/18 (j),(r)

   322,613,218   EGP     17,102,671 

MTN, 0.01%, 07/19/18 (r)

   86,777,887   EGP     4,672,224 

Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, 12/15/22 (d),(f)

  $1,810,000        1,805,475 

Griffey Intermediate, Inc. / Griffey Finance Sub LLC, 7.00%, 10/15/20 (d),(f)

   1,045,000        864,737 

MF Global Holdings Ltd., 6.25%, 08/08/16 (d),(i),(e),(l)

   1,847,000        554,100 

Och-Ziff Finance Co. LLC, 4.50%, 11/20/19 (d),(f)

   480,000        469,200 
        

 

 

 
         25,468,407 
        

 

 

 

Health Care Facilities & Services — 0.1%

        

Universal Hospital Services, Inc.,
7.63%, 08/15/20 (d)

   4,511,000        4,544,832 
        

 

 

 

Industrial Other — 0.0%

        

Michael Baker International LLC, 8.75%, 03/01/23 (d),(f)

   108,000        103,680 
        

 

 

 

Integrated Oils — 0.2%

        

Petroleos Mexicanos,

        

4.25%, 01/15/25

   2,129,000        2,057,679 

5.35%, 02/12/28 (l)

   900,000        882,000 

6.35%, 02/12/48 (l)

   2,200,000        2,125,750 

6.38%, 02/04/21 - 01/23/45

   3,497,000        3,698,003 

6.88%, 08/04/26

   2,214,000        2,423,887 
        

 

 

 
         11,187,319 
        

 

 

 

Medical Equipment & Devices Manufacturing — 0.0%

 

      

Crimson Merger Sub, Inc.,
6.63%, 05/15/22 (d),(f)

   1,773,000        1,728,675 
        

 

 

 

Oil & Gas Services & Equipment — 0.1%

        

CSI Compressco LP / Compressco Finance, Inc., 7.25%, 08/15/22 (d),(b)

   1,183,000        1,112,020 

CSI Compressco LP / CSI Compressco Finance, Inc., 7.50%, 04/01/25 (d),(f)

   2,920,000        2,949,200 
        

 

 

 
         4,061,220 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

56


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
         Value 

Pipeline — 0.1%

        

American Midstream Partners LP / American Midstream Finance Corp.,
8.50%, 12/15/21 (d),(f),(l)

  $1,694,000       $1,706,705 

Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 02/15/21 (d)

   1,007,000        1,007,000 
        

 

 

 
         2,713,705 
        

 

 

 

Publishing & Broadcasting — 0.0%

        

LBI Media, Inc., 11.50%, 04/15/20 (d),(f)

   3,813,546        591,100 
        

 

 

 

Retail—Consumer Discretionary — 0.2%

        

DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.00%, 06/01/21 (d),(f),(b)

   10,137,000        10,086,315 
        

 

 

 

Software & Services — 0.1%

        

Blackboard, Inc., 9.75%, 10/15/21 (d),(f)

   1,744,000        1,482,400 

CURO Financial Technologies Corp., 12.000%, 03/01/22 (d),(f)

   2,909,000        3,210,852 

Syniverse Holdings, Inc., 9.13%, 01/15/19 (d)

   108,000        107,460 
        

 

 

 
         4,800,712 
        

 

 

 

Supermarkets & Pharmacies — 0.0%

        

Rite Aid Corp., 9.25%, 03/15/20 (d)

   318,000        318,477 
        

 

 

 

Travel & Lodging — 0.0%

        

River Cree Enterprises LP,
11.00%, 01/20/21 (d),(f)

   1,404,000    CAD      1,141,530 
        

 

 

 

Utilities — 0.1%

        

NGL Energy Partners LP / NGL Energy Finance Corp., 5.13%, 07/15/19 (d)

  $320,000        319,200 

Rockpoint Gas Storage Canada Ltd., 7.00%, 03/31/23 (d),(f)

   2,768,000        2,764,540 
        

 

 

 
         3,083,740 
        

 

 

 

Wireless Telecommunications Services — 0.0%

        

Sprint Communications, Inc.,
9.00%, 11/15/18 (d),(f)

   1,650,000        1,701,563 
        

 

 

 

Wireline Telecommunication Services — 0.0%

        

Consolidated Communications, Inc., 6.50%, 10/01/22 (d)

   2,858,000        2,553,051 
        

 

 

 

Total North America

         94,321,390 
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

57


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
         Value 

South America — 0.7%

        

Integrated Oils — 0.7%

        

Petrobras Global Finance BV,

        

5.30%, 01/27/25 (l)

  $900,000       $888,750 

5.75%, 02/01/29

   5,600,000        5,418,728 

6.00%, 01/27/28 (l)

   21,600,000        21,384,000 

6.13%, 01/17/22

   7,106,000        7,592,761 

6.25%, 03/17/24

   5,008,000        5,285,944 

8.38%, 05/23/21

   2,112,000        2,404,512 
        

 

 

 
         42,974,695 
        

 

 

 

Refining & Marketing — 0.0%

        

EP PetroEcuador via Noble Sovereign Funding I Ltd., 3 mo. USD LIBOR + 5.63%, 7.93%, 09/24/19 (g)

   1,373,053        1,383,351 
        

 

 

 

Total South America

         44,358,046 
        

 

 

 

TOTAL CORPORATE BONDS & NOTES
(COST $180,765,183)

         181,432,010 
        

 

 

 

SOVEREIGN DEBT — 8.4%

        

Argentina Bonar Bonds, BADLARPP + 2.00%, 24.95%, 04/03/22 (g)

   6,400,000    ARS      325,833 

Argentina Treasury Bill, 0.01%, 09/14/18

   110,133,667    ARS      5,566,233 

Argentine Republic Government International Bond,

        

2.26%, 12/31/38 (l)

   10,718,403    EUR      9,092,094 

3.88%, 01/15/22

   4,213,000    EUR      5,322,294 

4.63%, 01/11/23

  $20,508,000        19,769,917 

5.63%, 01/26/22

   4,023,000        4,081,334 

5.88%, 01/11/28

   579,000        544,550 

7.82%, 12/31/33

   4,676,000    EUR      6,429,859 

Autonomous City of Buenos Aires Argentina, BADLARPP + 5.00%, 27.88%, 01/23/22 (g)

  $6,800,000        368,996 

Bonos de la Nacion Argentina con Ajuste por CER, 3.75%, 02/08/19

   309,833,000    ARS      16,297,280 

Deutsche Bundesrepublik Inflation Linked Bond REG S, 0.10%, 04/15/26 (b), (d)

   24,747,888    EUR      33,550,398 

Ecuador Government International Bond,

        

8.75%, 06/02/23

  $1,105,000        1,133,178 

10.75%, 03/28/22

   2,662,000        2,912,228 

Egypt Government International Bond,

        

6.88%, 04/30/40

   2,500,000        2,437,800 

7.90%, 02/21/48

   14,400,000        15,152,803 

France Government Bond OAT REG S, 0.10%, 03/01/25 (d),(b)

   25,628,654    EUR      33,966,604 

 

See Notes to Consolidated Financial Statements.

 

58


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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

French Republic Government Bond OAT, 0.10%, 03/01/28 (d)

   9,655,040   EUR    $12,850,640 

Hellenic Republic Government Bond,

        

1.00%, 10/15/42 (g)

   6,700,000   EUR     30,305 

3.38%, 02/15/25 (f)

   3,500,000   EUR     4,175,422 

3.50%, 01/30/23

   4,000,000   EUR     4,945,177 

3.75%, 01/30/28

   4,100,000   EUR     4,826,402 

3.90%, 01/30/33

   19,400,000   EUR     21,972,047 

4.00%, 01/30/37

   16,600,000   EUR     18,230,544 

4.20%, 01/30/42

   8,400,000   EUR     9,224,702 

Honduras Government International Bond, 8.75%, 12/16/20

  $298,000        329,257 

Iraq International Bond, 6.75%, 03/09/23

   2,229,000        2,262,435 

Japan Treasury Discount Bill, 0.00%, 04/05/18 (d),(j)

   3,000,000,000   JPY     28,194,305 

Jordan Government International Bond, 7.38%, 10/10/47

  $3,800,000        3,838,000 

Mexican Bonos, 10.00%, 12/05/24 (d),(b)

   315,050,000   MXN     19,880,036 

National Highways Authority of India, 7.30%, 05/18/22

   330,000,000   INR     5,036,862 

Nigeria Government International Bond,

        

7.14%, 02/23/30

  $2,100,000        2,178,876 

MTN, 7.63%, 11/28/47

   800,000        828,480 

Oman Government International Bond, 6.75%, 01/17/48

   1,300,000        1,250,964 

Paraguay Government International Bond, 4.63%, 01/25/23

   5,367,000        5,510,836 

Peruvian Government International Bond,

        

6.95%, 08/12/31

   25,235,000   PEN     9,209,318 

8.20%, 08/12/26

   21,569,000   PEN     8,331,870 

Provincia de Buenos Aires, BADLARPP + 3.83%, 26.74%, 05/31/22 (g)

  $35,600,000        1,830,130 

PT ZAR Sovereign Capital Fund Pty Ltd., 3.90%, 06/24/20

   2,962,000        2,979,541 

Republic of Iraq REG S, 5.80%, 01/15/28

   3,700,000        3,537,200 

Republic of South Africa Government Bond,

        

8.75%, 02/28/48

   214,125,972   ZAR     17,880,683 

10.50%, 12/21/26

   30,650,000   ZAR     2,992,833 

Republic of South Africa Government International Bond, 5.50%, 03/09/20

  $5,508,000        5,711,245 

Russian Federal Bond—OFZ,

        

7.75%, 09/16/26

   475,902,000   RUB     8,780,771 

8.50%, 09/17/31

   1,285,166,000   RUB     25,177,476 

Russian Foreign Bond—Eurobond,

        

4.50%, 04/04/22

  $6,200,000        6,391,952 

5.00%, 04/29/20

   5,200,000        5,367,960 

 

See Notes to Consolidated Financial Statements.

 

59


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
         Value 

Senegal Government International Bond, 6.75%, 03/13/48

  $1,600,000       $1,566,938 

Sweden Government Bond,

        

0.75%, 05/12/28 (d), (b)

   93,000,000    SEK      11,205,688 

1.00%, 11/12/26 (d),(b)

   177,000,000    SEK      22,086,123 

Turkey Government International Bond, 7.00%, 06/05/20

  $9,116,000        9,658,675 

United Kingdom Gilt Inflation Linked Bond REG S,
0.125%, 03/22/24 - 03/22/26 (b),(d)

   37,371,611    GBP      60,400,736 
        

 

 

 

TOTAL SOVEREIGN DEBT
(COST $495,132,085)

         505,625,830 
        

 

 

 

MORTGAGE-BACKED SECURITIES — 24.8%

        

North America — 24.8%

        

Collateralized Mortgage Obligation (Residential) — 16.4%

 

      

Bellemeade Re Ltd.,

        

Series 2015-1A, Class M2,
1 mo. USD LIBOR + 4.30%, 6.17%, 07/25/25 (d),(f),(g)

  $1,330,450        1,351,925 

Series 2017-1, Class M2,
5.22%, 10/25/27 (d),(f),(g)

   7,962,000        8,208,328 

Chase Mortgage Finance Corp., Series 2007-A2, Class 3A2, 3.78%, 07/25/37 (d),(g)

   154,209        149,193 

ChaseFlex Trust, Series 2007-2, Class A2, 1 mo. USD LIBOR + 0.34%,
2.21%, 05/25/37 (d),(g)

   903,834        852,342 

Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A10, 6.25%, 06/25/36 (d)

   392,435        388,099 

Connecticut Avenue Securities,

        

Series 2014-C02, Class 1M2,
1 mo. USD LIBOR + 2.60%, 4.47%, 05/25/24 (d),(g),(b),(h)

   6,010,685        6,397,352 

Series 2014-C03, Class 1M2,
1 mo. USD LIBOR + 3.00%, 4.87%, 07/25/24 (d),(g),(b),(h)

   4,404,844        4,711,025 

Series 2015-C02, Class 1M2,
1 mo. USD LIBOR + 4.00%, 5.87%, 05/25/25 (d),(g),(h)

   18,368,890        20,007,597 

Series 2015-C03, Class 1M2,
1 mo. USD LIBOR + 5.00%, 6.87%, 07/25/25 (d),(g),(h)

   1,693,745        1,929,311 

Series 2015-C04, Class 2M2,
1 mo. USD LIBOR + 5.55%, 7.42%, 04/25/28 (d),(g),(h)

   7,516,744        8,446,566 

Series 2015-C04, Class 1M2,
1 mo. USD LIBOR + 5.70%, 7.57%, 04/25/28 (d),(g),(h)

   6,993,687        8,119,951 

 

See Notes to Consolidated Financial Statements.

 

60


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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Series 2016-C01, Class 1M2,
1 mo. USD LIBOR + 6.75%, 8.62%, 08/25/28 (d),(g),(b)

  $12,291,000       $14,848,425 

Series 2016-C01, Class 2M2,
1 mo. USD LIBOR + 6.95%, 8.82%, 08/25/28 (d),(g),(b)

   9,668,624        11,540,122 

Series 2016-C02, Class 1M2, 1 mo. USD LIBOR + 6.00%,
7.87%, 09/25/28 (d),(g)

   26,712,000        31,923,217 

Series 2016-C03, Class 2M2, 1 mo. USD LIBOR + 5.90%,
7.77%, 10/25/28 (d),(g)

   4,336,000        5,077,543 

Series 2016-C05, Class 2M2, 1 mo. USD LIBOR + 4.45%,
6.32%, 01/25/29 (d),(g)

   7,014,000        7,842,003 

Countrywide Alternative Loan Trust,

        

Series 2004-28CB SEQ, Class 3A1, 6.00%, 01/25/35 (d)

   821,838        820,710 

Series 2005-21CB, Class A17, 6.00%, 06/25/35 (d),(b)

   984,010        968,835 

Countrywide Asset-Backed Certificates,

        

Series 2005-15, Class 1AF6, 3.95%, 04/25/36 (d),(g)

   6,855        6,886 

Series 2006-BC4, Class 2A2, 1 mo. USD LIBOR + 0.16%,
2.03%, 11/25/36 (d),(g)

   111,279        111,523 

Federal Home Loan Mortgage Corp.,

        

Series 2015-SC02, Class M3, 3.68%, 09/25/45 (d),(g)

   866,000        811,267 

Series 2016-DNA3, Class M3, 1 mo. USD LIBOR + 5.00%,
6.87%, 12/25/28 (d),(g)

   1,784,000        2,082,604 

Series 2016-DNA4, Class M3, 1 mo. USD LIBOR + 3.80%,
5.67%, 03/25/29 (d),(g)

   1,500,000        1,675,725 

Series 2016-HQA3, Class M3, 1 mo. USD LIBOR + 3.85%,
5.72%, 03/25/29 (d),(g)

   7,794,000        8,753,753 

Series 2016-HQA4, Class M3, 1 mo. USD LIBOR + 3.90%,
5.77%, 04/25/29 (d),(g)

   18,419,000        20,671,091 

Series 2017-DNA, Class M2, 1 mo. USD LIBOR + 3.25%,
5.12%, 07/25/29 (d),(g)

   534,000        575,049 

Series 2017-DNA2, Class M2, 1 mo. USD LIBOR + 3.45%,
5.32%, 10/25/29 (d),(g)

   1,851,000        2,020,478 

Series 2017-DNA3, Class M2, 4.37%, 03/25/30 (d),(g)

   4,838,000        4,973,464 

Series 2017-HQA1, Class M2, 1 mo. USD LIBOR + 3.55%,
5.42%, 08/25/29 (d),(g)

   13,755,000        14,974,793 

Series 2017-HQA2, Class M2, 1 mo. USD LIBOR + 2.65%,
4.52%, 12/25/29 (d),(g)

   20,068,000        20,652,380 

Series 2017-HQA3, Class M2, 4.22%, 04/25/30 (d),(g)

   2,926,000        2,964,857 

 

See Notes to Consolidated Financial Statements.

 

61


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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Series 2017-HRP1, Class M2, 4.32%, 12/25/42 (d),(g)

  $1,687,000       $1,742,873 

Series 2017-SPI1, Class M2, 3.99%, 09/25/47 (d),(f),(g)

   284,000        268,523 

Series 2018-DNA1, Class M2, 3.67%, 07/25/30 (d),(g)

   28,605,000        28,366,148 

Series 2018-HQA1, Class M2, 4.15%, 09/25/30 (d),(g)

   4,146,000        4,167,684 

Federal National Mortgage Association,

        

4.00%, 04/01/48 (d),(m)

   101,500,000        104,077,186 

4.50%, 04/01/48 (d),(m)

   57,500,000        60,181,858 

Series 2016-C06, Class 1M2, 1 mo. USD LIBOR + 4.25%,
6.12%, 04/25/29 (d),(g)

   37,197,000        42,153,128 

Series 2016-C07, Class 2M2, 1 mo. USD LIBOR + 4.35%,
6.22%, 05/25/29 (d),(g)

   29,355,000        32,588,747 

Series 2017-C01, Class 1M2, 1 mo. USD LIBOR + 3.55%,
5.42%, 07/25/29 (d),(g)

   27,530,000        29,902,067 

Series 2017-C02, Class 2M2,
1 mo. USD LIBOR + 3.65%, 5.52%, 09/25/29 (d),(g),(h)

   26,653,000        28,988,496 

Series 2017-C03, Class 1M2, 1 mo. USD LIBOR + 3.00%,
4.87%, 10/25/29 (d),(g)

   21,896,000        23,216,132 

Series 2017-C04, Class 2M2, 1 mo. USD LIBOR + 2.85%,
4.72%, 11/25/29 (d),(g)

   37,139,000        38,715,551 

Series 2017-C05, Class 1M2, 1 mo. USD LIBOR + 2.20%,
4.07%, 01/25/30 (d),(g)

   34,086,000        34,610,584 

Series 2017-C06, Class 1M2,
4.52%, 02/25/30 (d),(g)

   20,331,000        20,944,183 

Series 2017-C06, Class 2M2,
4.67%, 02/25/30 (d),(g)

   34,089,000        35,284,501 

Series 2017-C07, Class 1M2,
4.27%, 05/25/30 (d),(g)

   8,593,000        8,745,612 

Series 2018-C01, Class 1M2,
4.12%, 07/25/30 (d),(g)

   73,751,000        74,701,650 

Series 2018-C02, Class 2M2,
4.07%, 08/25/30 (d),(g)

   7,032,000        7,069,902 

Government National Mortgage Association, 4.000%, 09/20/45 - 04/01/48 (d),(m)

   83,061,898        85,635,479 

JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1, 1 mo. USD LIBOR + 0.52%, 2.39%, 01/25/36 (d),(g),(b)

   460,977        438,137 

Oaktown RE Ltd., Series 2017-1A, Class M2, 1 mo. USD LIBOR + 4.00%,
5.87%, 04/25/27 (d),(f),(g),(h)

   8,686,000        8,939,770 

Radnor RE Ltd., Series 2018-1, Class M2, 4.55%, 03/25/28 (d),(f),(g)

   401,000        401,157 

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Sequoia Mortgage Trust, Series 2018-3, Class B4, 3.79%, 03/25/48 (d),(f),(g)

  $642,000       $468,497 

Structured Agency Credit Risk,

        

Series 2015-DNA3, Class M3,
1 mo. USD LIBOR + 4.70%, 6.57%, 04/25/28 (d),(g),(h)

   3,112,447        3,742,437 

Series 2015-HQA1, Class M3, 1 mo. USD LIBOR + 4.70%,
6.57%, 03/25/28 (d),(g)

   4,242,000        4,853,030 

Series 2015-HQA1, Class B,
1 mo. USD LIBOR + 8.80%, 10.67%, 03/25/28 (d),(g),(e)

   3,392,920        4,292,116 

Series 2015-HQA2, Class M3, 1 mo. USD LIBOR + 4.80%,
6.67%, 05/25/28 (d),(g)

   5,130,000        6,009,892 

Series 2016-DNA1, Class M3,
1 mo. USD LIBOR + 5.55%, 7.42%, 07/25/28 (d),(g),(b)

   36,678,000        44,322,429 

Series 2016-DNA2, Class M3, 1 mo. USD LIBOR + 4.65%,
6.52%, 10/25/28 (d),(g)

   9,840,000        11,326,716 

Series 2016-HQA1, Class M3, 1 mo. USD LIBOR + 6.35%,
8.22%, 09/25/28 (d),(g)

   5,109,000        6,302,687 

Series 2016-HQA2, Class M3,
1 mo. USD LIBOR + 5.15%, 7.02%, 11/25/28 (d),(g),(h)

   14,088,000        16,821,213 

Wells Fargo Mortgage-Backed Securities Trust, Series 2007-14, Class 1A1, 6.00%, 10/25/37 (d),(b)

   263,760        257,912 
        

 

 

 
         983,392,711 
        

 

 

 

Commercial Mortgage-Backed Securities — 7.9%

        

280 Park Avenue Mortgage Trust, Series 2017-280P, Class F,
4.60%, 09/15/34 (d),(f),(g)

   8,000,000        7,848,992 

BAMLL Commercial Mortgage Securities Trust,

        

Series 2013-DSNY, Class F, 1 mo. USD LIBOR + 3.50%,
5.28%, 09/15/26 (d),(f),(g)

   1,000,000        1,001,554 

Series 2014-ICTS, Class D, 1 mo. USD LIBOR + 1.90%,
3.68%, 06/15/28 (d),(f),(g)

   2,300,000        2,288,753 

Series 2014-ICTS, Class E, 1 mo. USD LIBOR + 2.95%,
4.73%, 06/15/28 (d),(f),(g)

   3,150,000        3,140,339 

Banc of America Commercial Mortgage Trust, Series 2007-1 SEQ, Class AMFX, 5.48%, 01/15/49 (g),(h),(k)

   5,033,404        5,139,105 

Bank 2017-BNK4, Series 2017-BNK8, Class A4, 3.49%, 11/15/50 (d),(b)

   4,200,000        4,177,853 

BBCMS Trust,

        

Series 2014-BXO, Class D, 1 mo. USD LIBOR + 3.00%,
4.78%, 08/15/27 (d),(f),(g)

   2,084,912        2,098,854 

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Series 2014-BXO, Class E, 1 mo. USD LIBOR + 3.75%,
5.53%, 08/15/27 (d),(f),(g)

  $1,546,000       $1,548,902 

Bear Stearns Commercial Mortgage Securities Trust,

        

Series 2006-T24, Class AJ,
5.60%, 10/12/41 (g),(b)

   8,453        8,461 

Series 2007-PW16, Class C,
5.65%, 06/11/40 (f),(g)

   7,444,166        7,473,943 

Series 2007-T26, Class AM,
5.51%, 01/12/45 (g)

   68,776        70,199 

Benchmark Mortgage Trust, Series 2018-B2 SEQ, Class A5, 3.88%, 02/15/51 (d)

   5,000,000        5,117,625 

BX Trust,

        

Series 2017-SLCT, Class E, 1 mo. USD LIBOR + 3.15%,
4.93%, 07/15/34 (d),(f),(g)

   8,000,000        8,044,864 

Series 2017-SLCT, Class F, 1 mo. USD LIBOR + 4.25%,
6.03%, 07/15/34 (d),(f),(g)

   4,000,000        4,022,284 

Caesars Palace Las Vegas Trust, Series 2017-VICI, Class E, 4.35%, 10/15/34 (d),(f),(g)

   3,600,000        3,493,922 

CD Mortgage Trust, Series 2017-CD6, Class A5, 3.46%, 11/13/50 (d)

   3,800,000        3,766,028 

CFCRE Commercial Mortgage Trust,

        

Series 2011-C1, Class D,
6.09%, 04/15/44 (d),(f),(g)

   2,900,000        3,025,402 

Series 2016-C6, Class D,
4.22%, 11/10/49 (d),(f),(g),(k)

   3,266,000        2,689,688 

Series 2016-C7, Class D,
4.44%, 12/10/54 (d),(f),(g)

   1,605,000        1,348,773 

CGDB Commercial Mortgage Trust, Series 2017-BIO, Class E, 1 mo. USD LIBOR + 2.50%, 4.28%, 05/15/30 (d),(f),(g)

   4,000,000        4,022,912 

Citigroup Commercial Mortgage Trust,

        

Series 2006-C4, Class C,
6.19%, 03/15/49 (b), (g), (k)

   1,594,396        1,614,804 

Series 2015-GC29, Class D,
3.11%, 04/10/48 (d),(f),(h)

   4,286,000        3,222,742 

Series 2015-GC31, Class D,
4.06%, 06/10/48 (d),(g)

   1,850,000        1,520,175 

Series 2015-P1, Class D,
3.23%, 09/15/48 (d),(f)

   1,193,000        953,923 

Series 2016-C3, Class D,
3.00%, 11/15/49 (d),(f),(k)

   1,826,000        1,366,578 

Series 2016-P6, Class D,
3.25%, 12/10/49 (d),(f),(k)

   1,030,000        797,921 

Series 2016-SMPL, Class E,
4.51%, 09/10/31 (d),(f)

   5,000,000        4,974,880 

Series 2018-B2 SEQ, Class A4, 4.01%, 03/10/51 (d)

   2,060,000        2,133,050 

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class AJFX,
5.57%, 04/15/47 (g)

  $12,453,503       $12,483,391 

Commercial Mortgage Trust,

        

Series 2006-C8 SEQ, Class AJ, 5.38%, 12/10/46 (b),(h)

   9,318,583        9,365,176 

Series 2014-PAT, Class E, 1 mo. USD LIBOR + 3.15%,
4.87%, 08/13/27 (d),(f),(g),(b)

   2,400,000        2,411,268 

Series 2015-CR23, Class D,
4.25%, 05/10/48 (d),(g),(b)

   1,745,000        1,389,390 

Credit Suisse Commercial Mortgage Trust,

        

Series 2007-C1, Class AMFX, 5.42%, 02/15/40 (f),(g)

   2,286,207        2,320,500 

Series 2007-C1, Class AM,
5.42%, 02/15/40 (b)

   4,849,419        4,946,407 

Series 2007-C2, Class AJ,
5.57%, 01/15/49 (g),(h),(k)

   5,634,137        5,707,381 

Credit Suisse Mortgage Trust,

        

Series 2015-DEAL, Class D, 1 mo. USD LIBOR + 3.10%,
4.88%, 04/15/29 (d),(f),(g)

   3,025,000        3,025,042 

Series 2015-DEAL, Class E,
1 mo. USD LIBOR + 4.00%,
5.78%, 04/15/29 (d),(f),(g),(b)

   3,900,000        3,900,055 

CSAIL Commercial Mortgage Trust,

        

Series 2015-C2, Class D,
4.21%, 06/15/57 (d),(g)

   1,282,000        1,035,089 

Series 2015-C3, Class D,
3.36%, 08/15/48 (d),(g),(h)

   3,139,000        2,478,043 

DLJ Commercial Mortgage Corp., Series 1999-CG2, Class B6, 6.11%, 06/10/32

   861,930        861,930 

GE Commercial Mortgage Corp., Series 2007-C1, Class AM,
5.61%, 12/10/49 (b),(g),(h),(k)

   34,851,065        35,548,086 

GE Commercial Mortgage Corp. Trust, Series 2007-C1 SEQ, Class AMFX, 5.54%, 12/10/49 (f),(g),(k)

   379,345        387,501 

GS Mortgage Securities Corp. II, Series 2017-GS8, Class A4, 3.47%, 11/10/50 (d)

   5,700,000        5,651,881 

GS Mortgage Securities Trust,

        

Series 2007-GG10, Class AM, 5.83%, 08/10/45 (g),(h)

   8,421,062        8,589,483 

Series 2013-GC12, Class D, 4.44%, 06/10/46 (d),(f),(g)

   4,000,000        3,436,048 

Series 2017-SLP, Class E,
4.59%, 10/10/32 (d),(f),(g)

   5,000,000        4,832,680 

Hyatt Hotel Portfolio Trust,

        

Series 2017-HYT2, Class D,
3.63%, 08/09/32 (d),(f),(g)

   3,500,000        3,509,853 

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Series 2017-HYT2, Class F,
4.83%, 08/09/32 (d),(f),(g)

  $4,225,000       $4,256,654 

J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8, Class E, 4.78%, 02/15/35 (d),(f),(g)

   3,000,000        3,010,287 

JP Morgan Chase Commercial Mortgage Securities Trust,

        

Series 2003-CB7, Class H,
5.38%, 01/12/38 (f),(g)

   4,065,178        4,217,622 

Series 2005-CB13, Class AJ,
5.58%, 01/12/43 (g)

   2,813,473        2,893,657 

Series 2006-CB14, Class AJ,
5.65%, 12/12/44 (g),(b)

   219,931        222,131 

Series 2006-CB15, Class AM,
5.86%, 06/12/43 (g),(h)

   15,048,676        15,296,979 

Series 2007-CB18, Class AM,
5.47%, 06/12/47 (g)

   142,097        143,518 

Series 2007-LD11, Class AM,
5.95%, 06/15/49 (g),(k)

   2,874,198        2,887,132 

Series 2013-C10, Class D,
4.14%, 12/15/47 (d),(g)

   5,200,000        4,671,124 

Series 2014-BXH, Class E, 1 mo. USD LIBOR + 3.75%,
5.53%, 04/15/27 (d),(f),(g)

   1,413,798        1,400,867 

Series 2014-C20, Class D,
4.57%, 07/15/47 (d),(f),(g),(b)

   3,813,137        3,195,294 

Series 2014-CBM, Class E,
1 mo. USD LIBOR + 3.85%, 5.63%, 10/15/29 (d),(f),(g),(b)

   7,100,000        7,100,000 

Series 2016-WPT, Class D, 1 mo. USD LIBOR + 3.75%,
5.53%, 10/15/33 (d),(f),(g)

   1,500,000        1,506,554 

Series 2016-WPT, Class E, 1 mo. USD LIBOR + 5.00%,
6.78%, 10/15/33 (d),(f),(g)

   2,600,000        2,621,083 

JPMBB Commercial Mortgage Securities Trust,

        

Series 2015-C28, Class D,
3.74%, 10/15/48 (d),(f),(g)

   5,074,000        3,878,708 

Series 2015-C30, Class D,
3.81%, 07/15/48 (d),(g)

   1,694,000        1,337,410 

Series 2015-C30, Class C,
4.31%, 07/15/48 (d),(g),(h)

   11,768,000        11,376,938 

JPMDB Commercial Mortgage Securities Trust 2017-C7, Series 2017-C7 SEQ, Class A5, 3.41%, 10/15/50 (d),(b)

   4,950,000        4,887,031 

LB Commercial Mortgage Trust, Series 2007-C3, Class AJFL, 1 mo. USD LIBOR + 0.35%, 2.14%, 07/15/44 (f),(g)

   4,126,179        4,060,160 

LB UBS Commercial Mortgage Trust, Series 2008-C1, Class AM, 6.32%, 04/15/41 (g),(h)

   17,576,409        18,130,066 

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AJ, 6.22%, 07/15/40 (g),(b),(h)

  $17,259,252       $17,604,437 

Lone Star Portfolio Trust, Series 2015-LSP, Class E, 1 mo. USD LIBOR + 5.60%,
7.38%, 09/15/28 (d),(f),(g)

   7,081,748        7,130,350 

LSTAR Commercial Mortgage Trust, Series 2015-3, Class D,
3.11%, 04/20/48 (d),(f),(g)

   3,194,000        2,408,187 

Merrill Lynch Mortgage Trust,

        

Series 2006-C1, Class AJ,
5.43%, 05/12/39 (g),(b)

   1,310,255        1,322,047 

Series 2007-C1, Class AM,
5.81%, 06/12/50 (g),(h)

   38,397,314        38,954,075 

ML-CFC Commercial Mortgage Trust,

        

Series 2007-6, Class AM, 5.48%, 03/12/51 (g)

   3,952,775        3,960,681 

Series 2007-7, Class AMFL, 1 mo. USD LIBOR + 0.23%,
2.00%, 06/12/50 (f),(g)

   1,676,433        1,691,521 

Series 2007-7, Class AM,
5.75%, 06/12/50 (g),(b)

   1,122,157        1,133,379 

Morgan Stanley Bank of America Merrill Lynch Trust,

        

Series 2014-C19, Class D,
3.25%, 12/15/47 (d),(f)

   3,660,000        2,874,260 

Series 2015-C21, Class D,
4.16%, 03/15/48 (d),(f),(g)

   4,754,000        3,833,402 

Series 2015-C23, Class D,
4.13%, 07/15/50 (d),(f),(g)

   2,195,000        1,866,852 

Series 2015-C27, Class D,
3.24%, 12/15/47 (d),(f),(g)

   1,466,500        1,135,423 

Series 2016-C29, Class D,
3.00%, 05/15/49 (d),(f),(k)

   2,517,000        1,907,878 

Series 2016-C30, Class D,
3.00%, 09/15/49 (d),(f),(g),(k)

   1,323,000        990,169 

Series 2016-C32, Class D,
3.40%, 12/15/49 (d),(f),(g),(k)

   991,000        756,171 

Series 2017-C34 SEQ, Class A4,
3.54%, 11/15/52 (d),(b)

   2,907,303        2,901,779 

Morgan Stanley Capital I Trust,

        

Series 2006-HQ10, Class AJ,
5.39%, 11/12/41 (g),(b),(h)

   4,605,483        4,646,932 

Series 2007-T25, Class AJ,
5.57%, 11/12/49 (g),(h),(k)

   12,196,688        12,373,540 

Series 2016-UB12, Class D,
3.31%, 12/15/49 (d),(f),(k)

   1,761,000        1,313,710 

Morgan Stanley Capital Trust, Series 2007-IQ15, Class AJ, 5.99%, 06/11/49 (g),(k)

   1,867,489        1,901,104 

 

See Notes to Consolidated Financial Statements.

 

67


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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2018

 

Security Description

  Principal
Amount
        Value 

Motel 6 Trust, Series 2017-MTL6, Class E, 5.03%, 08/15/34 (d),(f),(g)

  $5,925,906       $5,959,133 

Palisades Center Trust, Series 2016-PLSD, Class D, 4.74%, 04/13/33 (d),(f)

   6,907,000        6,830,546 

PFP Ltd., Series 2017-3, Class D, 1 mo. USD LIBOR + 3.50%,
5.28%, 01/14/35 (d),(f),(g)

   1,000,000        1,003,288 

Resource Capital Corp. Ltd., Series 2015-CRE3, Class D, 1 mo. USD LIBOR + 4.00%, 5.79%, 03/15/32 (d),(f),(g)

   810,062        810,155 

TPG Real Estate Finance Issuer Ltd., Series 2018-FL1, Class D,
4.49%, 02/15/35 (d),(f),(g)

   1,500,000        1,505,513 

UBS Commercial Mortgage Trust, Series 2018-NYCH, Class F,
5.60%, 02/15/32 (d),(f),(g)

   798,000        794,166 

Wachovia Bank Commercial Mortgage Trust,

        

Series 2006-C26, Class AM,
6.00%, 06/15/45 (g),(b)

   1,304,075        1,322,332 

Series 2006-C27, Class AJ,
5.83%, 07/15/45 (g),(b)

   1,434,041        1,435,475 

Series 2007-C30, Class AJ,
5.41%, 12/15/43 (g),(h)

   2,825,818        2,854,076 

Series 2007-C33, Class AJ,
6.01%, 02/15/51 (g)

   5,016,257        </