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Blackstone Alternative Investment Funds – ‘N-CSR’ for 3/31/17

On:  Thursday, 6/1/17, at 12:11pm ET   ·   Effective:  6/1/17   ·   For:  3/31/17   ·   Accession #:  1193125-17-190707   ·   File #:  811-22743

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Certified Annual Shareholder Report by a Management Investment Company   —   Form N-CSR
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

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N-CSR   —   Blackstone Alternative Multi-Strategy Fund
Document Table of Contents

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11st Page   -   Filing Submission
"Table of Contents
"Management's Discussion of Fund Performance
"Performance Summary
"Portfolio Information
"Consolidated Schedule of Investments
"Consolidated Statement of Assets and Liabilities
"Consolidated Statement of Operations
"Consolidated Statement of Changes in Net Assets
"Consolidated Statement of Cash Flows
"Consolidated Financial Highlights
"Notes to Consolidated Financial Statements
"Report of Independent Registered Public Accounting Firm
"Shareholder Fee Example
"Supplemental Information

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  Blackstone Alternative Multi-Strategy Fund  
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, 2017

 

 

 


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, 2017

 


Table of Contents

TABLE OF CONTENTS

 

Management’s Discussion of Fund Performance

       1

Performance Summary

       5

Portfolio Information

       6

Consolidated Schedule of Investments

       10

Consolidated Statement of Assets and Liabilities

       153

Consolidated Statement of Operations

       155

Consolidated Statement of Changes in Net Assets

       156

Consolidated Statement of Cash Flows

       158

Consolidated Financial Highlights

       160

Notes to Consolidated Financial Statements

       163

Report of Independent Registered Public Accounting Firm

       190

Shareholder Fee Example

       191

Supplemental Information

       192

All investors should consider the investment objectives, risks, charges and expenses of the 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, if available, a summary prospectus, from the Fund’s website (www.blackstone.com/bamsf). All investors are urged to carefully read the prospectus and, if available, the summary prospectus, in its 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 Asset Management L.P.

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.


Table of Contents

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, the 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, 2016 to March 31, 2017 (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. 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, as measured by the S&P 500 Index.

Fund Performance1

The Fund’s hedge fund strategies had a strong showing over the Reporting Period, with the Fund outperforming the broader hedge fund universe2 by nearly 2%. As a result of our top-down asset allocation views, we reduced directional equity exposures and captured attractive opportunities in credit over the course of a turbulent 2016 and early 2017. Going into the rest of 2017 and 2018, we intend to continue to leverage our due diligence, risk management, and investment expertise from our 27 years’ experience in hedge fund investing to identify alternative investment strategies and investment sub-advisers that we believe may help the Fund achieve its objective.

During the Reporting Period, the Fund generated a cumulative return, net of fees and expenses, of 8.03%3 and realized an annualized volatility of 2.40%4 with a Sharpe ratio5 of 3.22. Over the same period, the HFRX Global Hedge Fund Index, a measure of hedge fund performance, returned 6.19%; the MSCI World Total Return Index, a measure of global equity market performance, returned 15.43%; the S&P 500 Index, a measure of U.S. equity market performance, returned 17.17%; and the Barclays Global Aggregate Bond Index, a measure of U.S. investment grade bond performance, returned -1.90%.

 

 

1  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.
2  As measured by the HFRX Global Hedge Fund Index.
3  Past performance is not indicative of future results and there is no assurance that the Fund will achieve its objectives or avoid significant losses. Returns are shown net of fees and expenses.
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.

 

1


Table of Contents

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 April 15, 20166, the list of portfolio managers is as follows:

 

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

Portfolio Commentary

The fiscal year ended March 31, 2017 witnessed extraordinary political vicissitudes, both domestically and abroad, which roiled markets in the face of the unexpected. In June, Britons’ surprise ‘Brexit’ vote to leave the European Union shocked markets and sent the pound sterling tumbling to thirty-year lows. Just a few months later, after a gloves-off primary fight, Donald Trump upset Hillary Clinton in November’s U.S. Presidential election, which equity markets greeted with a strong rally well into the New Year as investors flocked to equities on high hopes of pro-growth policy coming out of the newly Republican Congress and White House. More recently, congressional Republicans bungled an attempt to scrap Barack Obama’s signature healthcare law, a sign that other growth-oriented policy initiatives—notably, tax reform—could prove considerably more challenging than initially expected. Meanwhile, back across the pond, Euro-skeptic rhetoric in the Dutch and French elections had investors on alert, as Brexit remains fresh in mind with Britain formally initiating divorce proceedings from the E.U. in March.

Amidst the political turmoil, the outlook for hedge fund strategies has improved, since geopolitical volatility and potential regulatory shifts may produce an attractive environment for active managers. In addition, 2016’s record passive investment inflows may afford active managers increasing opportunities to capture dislocations between market valuations and company fundamentals. In seeking capital appreciation over the fiscal year, the Fund both protected capital against the equity market’s downward moves and captured an increasing portion of the equity market’s upside: for the Reporting Period, the Fund experienced only 5% of the global equity market’s downside but benefitted from 18% of its upside.7 Indeed, for the most recent quarter, upside capture increased to 26% and downside capture dropped into negative territory, meaning that, on average, the Fund was up when stocks were down.

Over the Reporting Period, the Fund’s Equity strategies contributed positively to performance. While Equity Market Neutral sub-strategies faced headwinds in the first half of the fiscal year, the latter half proved considerably better. Sector-wise, short exposures in materials and telecom plus overweight positioning in underperforming financial exposure detracted from performance early in the year, offset to some degree by some positive alpha later from exposure to financials and healthcare. Over the last few months of the year, long technology exposure drove performance after having detracted earlier in the year on both the long and short side of the book. In the lead up to and aftermath of the U.S. presidential election, sector dispersion created opportunities for equity managers, with positive returns coming from materials, information technology, and healthcare sector exposures. Managed care exposures, however, retraced some gains in the

aftermath of the GOP’s failure to repeal and replace the Affordable Care Act. Overall, given the improving

 

6  Alberto Santulin and Stephen Sullens have been portfolio managers since inception.
7  Past performance is not indicative of future results and there is no assurance that the Fund will achieve its objectives or avoid significant losses. Upside and downside capture measured by calculating average daily return for the fund on positive and negative days for the MSCI World Total Return Index and dividing by the index’s average return on those days.

 

2


Table of Contents

environment for alpha8 generation, we are optimistic that our equity managers are potentially well-positioned to capture opportunities as they arise.

Credit strategies contributed the most to the Fund’s positive returns over the Reporting Period, with all sub-strategies contributing positively to performance on the year. Asset-backed strategies experienced strong performance over the Reporting Period as a result of positive carry and higher mark-to-market moves. On the corporate credit side, market weakness early in the year due to excessive issuance, volatility, anticipated interest rate hikes, and slowing global growth caused redemptions and outflows in the market, which led to forced sales of attractive risk across the corporate credit spectrum. As we mentioned in last year’s letter, we were bullish on the opportunity for liquidity providers to capture excess spread, and our thesis paid off: over the first half of 2016, we roughly tripled the Fund’s allocation to corporate credit strategies, which performed quite well over the duration of the year. As the Federal Reserve raised interest rates twice over the second half of the Reporting Period, increased demand for floating rate credit instruments drove appreciation in tranches of collateralized loan obligations (CLOs). In addition, the Fund benefitted from a rally in government-sponsored enterprise credit risk transfer bonds9, exposure to which the Fund increased over the Reporting Period.

The Fund’s Multi-Asset strategies serve an important role in the portfolio on account of their historically lower correlations to traditional equity and credit markets and may offer diversification benefits to the overall portfolio. During the Reporting Period, Multi-Asset strategies collectively posted gains, with uncorrelated returns deriving from idiosyncratic exposures in emerging markets and market neutral quantitative exposures. Long sovereign and quasi-sovereign credit exposure to Greece, Venezuela, and Argentina drove gains largely due to positive local political and macroeconomic developments. The Fund also benefitted from the Mexican peso’s 11% rally in 2017, coming back from the lows it hit in the wake of President Trump’s election. Factor-based strategies had mixed performance on the year. A rally in momentum strategies early in the year gave way to weakness at the tail-end of 2016 as long U.S. Treasuries and short U.S. dollar exposures generated losses as the latter strengthened in the wake of the election; at the outset of 2017, however, strength among fixed income and FX value strategies concluded the fiscal year on a positive note. Looking ahead, we anticipate that continued geopolitical volatility may afford attractive opportunities to macro-focused strategies, which we continue to explore as we think about asset allocation over the coming year.

During the Reporting Period, the Investment Adviser terminated three sub-advisers10 to the Fund: Blackstone Senfina Advisors L.L.C. (Equity Hedge strategy), Rail-Splitter Capital Management, LLC (Equity Hedge strategy), and Wellington Management Company LLP (Equity Hedge strategy). Sub-adviser 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 2017 and into 2018, as the new Trump administration continues to take the reins in Washington, we expect to see elevated volatility and continued dispersion among stocks, sectors, and geographies. We anticipate that this diminishing correlation may provide active managers ample opportunities to pick winners and losers, thereby increasing the potential to generate alpha. However, as we have noted previously, we remain attuned to the possibility of a recession at some point in the coming year.

 

8  Alpha” is a measure of risk-adjusted performance which captures risk attributable to the specific security or portfolio rather than the overall market. A high alpha value implies that the investment has performed better than would have been expected relative to the overall market (beta). It is often called the “excess return” on an investment above a benchmark index or “risk free” rate of return.
9  The Fund invested in credit risk transfer bonds issued by Fannie Mae or Freddie Mac, which reference pools of large, diversified fixed-rate mortgage loans.
10  As a technical matter, we also terminated AlphaParity, LLC (Macro strategy) and hired FT AlphaParity, LLC (Macro strategy) due to its change of control. The latter entity represents the same investment team as that of the former.

 

3


Table of Contents

The current economic expansion—the third longest since World War II—is approaching eight years, whereas the average period of U.S. economic expansion in the post-War period is five years and the longest expansion in U.S. history was ten years. In addition, over the past few months, there has been a divergence between ‘soft’ data—survey measures of consumer outlook—and ‘hard’ data—more concrete quantitative measures of economic health. While ‘soft data’ measures, such as the University of Michigan’s consumer sentiment metric and the Conference Board’s consumer confidence index, have spiked in recent months, ‘hard’ data metrics like retail consumer spending, home sales, and GDP have remained uninspiring, suggesting some discrepancy between consumer views and reality. Indeed, U.S. equities, which climbed higher since November’s U.S. presidential election, have dislocated from fundamentals as investors piled into the markets. With the S&P 500 trading at over 21x trailing twelve month earnings—almost five times more than the ten-year average of 16x—a market correction may be looming. Therefore, we remain cautious of equity beta11, which we have lowered in the Fund over the fiscal year by reducing allocations to strategies with higher market directionality. As measured by our one-year beta to the MSCI World Total Return Index, we maintain low levels of directional equity risk at 0.13 in pursuit of our objective of capital appreciation.

We retain high conviction in the Fund’s sub-advisers and continue to manage the portfolio dynamically, allocating to strategies that we believe have attractive alpha generation potential in the current environment. In spite of uncertainty as to what the coming year may hold, we remain confident in investment strategies that are both diversified and hedged by nature and that offer alpha generation potential through security selection and strategic asset allocation.

We appreciate your choosing to invest with us, and we look forward to serving you for years to come.

Sincerely,

 

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

  

 

11  Beta” is a measure of the sensitivity of a fund’s return to the return of an index. If the beta = 1, then the return will move with that of the index. If the beta is > 1, the return is more volatile than the index whereas if the beta is < 1, the return is less volatile than the index.

 

4


Table of Contents

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.blackstone.com/bamsf.

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

 

 

LOGO

 

* The line graph represents historical performance of a hypothetical investment of $10,000 from Inception (June 16, 2014) to March 31, 2017, assuming the reinvestment of distributions.

Cumulative Total Return

 

    For the
Year Ended
March 31,
2017
  Since
Inception
(June 16,
2014
)

Class I Shares (“BXMIX”)

      8.03 %       9.42 %

HFRX Global Hedge Fund Index

      6.19 %       (0.99 )%

MSCI World Total Return Index

      15.43 %       15.83 %

Barclays Global Aggregate Bond Index

      (1.90 )%       (2.86 )%

 

5


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information

March 31, 2017

 

Geographic Breakdown

  Percentage of
Total Net Assets

United States

      71.1 %

Cayman Islands

      8.3

Germany

      1.3

China

      1.1

Switzerland

      1.0

Brazil

      0.5

Spain

      0.5

Canada

      0.4

Japan

      0.4

Mexico

      0.4

Netherlands

      0.4

Cyprus

      0.3

Israel

      0.3

United Kingdom

      0.3

Bermuda

      0.2

France

      0.2

Denmark

      0.1

Italy

      0.1

Malaysia

      0.1

Republic of Korea

      0.1

Russian Federation

      0.1

Argentina

      0.0 1

Australia

      0.0 1

Chile

      0.0 1

Colombia

      0.0 1

Ecuador

      0.0 1

Greece

      0.0 1

Hong Kong

      0.0 1

India

      0.0 1

Ireland

      0.0 1

Jersey

      0.0 1

Luxembourg

      0.0 1

Monaco

      0.0 1

Norway

      0.0 1

Panama

      0.0 1

Peru

      0.0 1

Puerto Rico

      0.0 1

Singapore

      0.0 1

South Africa

      0.0 1

Taiwan

      0.0 1

Thailand

      0.0 1

Uruguay

      0.0 1

Venezuela

      0.0 1

Other 2

      15.4

Securities Sold Short

      (25.5 )

Other Assets and Liabilities 3

      22.9
   

 

 

 

Total

      100.0 %
   

 

 

 

 

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

 

See Notes to Consolidated Financial Statements.

 

6


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2017

 

 

Portfolio Composition

  Percentage of
Total Net Assets

Mortgage-Backed Securities

      32.2 %

Common Stock

      30.1

Asset-Backed Securities

      8.2

Short-Term Investment—Money Market Fund

      7.4

Investments in Investee Funds

      6.8

Sovereign Debt

      6.0

Corporate Bonds & Notes

      5.3

U.S. Treasury Obligations

      2.0

Convertible Bonds

      1.8

Exchange-Traded Funds

      1.7

U.S. Government Sponsored Agency Securities

      0.5

Bank Debt

      0.3

Other 1

      0.3

Securities Sold Short

      (25.5 )

Other Assets and Liabilities 2

      22.9
   

 

 

 

Total

      100.0 %
   

 

 

 

 

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

 

Credit Quality Allocation3

  Percentage of
Total
Investments
in Securities

AAA/Aaa4

      3.4 %

AA/Aa

      2.0

A

      1.4

BBB/Baa

      6.1

BB/Ba

      9.1

B

      10.2

CCC/Caa

      1.3

CC/Ca

      0.3

D

     

Not Rated

      21.1

Other5

      45.1
   

 

 

 

Total Investments in Securities

      100.0 %
   

 

 

 

 

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

 

Industry

  Percentage of
Total Net Assets

Biotechnology & Pharmaceuticals

      4.3 %

Health Care Facilities & Services

      2.8

Medical Equipment & Devices

      2.7

Retail—Discretionary

      2.3

Chemicals

      1.9

Semiconductors

      1.9

Media

      1.8

Hardware

      1.5

Software

      1.5

Financial Services

      1.4

Publishing & Broadcasting

      1.4

Pharmaceuticals

      1.2

Gaming, Lodging & Restaurants

      1.1

Technology Services

      0.9

Wireless Telecommunication Services

      0.7

Consumer Products

      0.6

Oil, Gas & Coal

      0.6

 

See Notes to Consolidated Financial Statements.

 

7


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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2017

 

Industry

  Percentage of
Total Net Assets

Containers & Packaging

      0.5

Integrated Oils

      0.5

Real Estate

      0.5

Transportation & Logistics

      0.5

Electrical Equipment

      0.4

Insurance

      0.4

Retail—Consumer Staples

      0.4

Apparel & Textile Products

      0.3

Asset Management

      0.3

Home & Office Products

      0.3

Metals & Mining

      0.3

Software & Services

      0.3

Telecommunications

      0.3

Automotive

      0.2

Banking

      0.2

Consumer Services

      0.2

Design Manufacturing & Distribution

      0.2

Engineering & Construction Services

      0.2

Forest & Paper Products Manufacturing

      0.2

Passenger Transportation

      0.2

Retail—Consumer Discretionary

      0.2

Utilities

      0.2

Aerospace & Defense

      0.1

Commercial Services

      0.1

Construction Materials

      0.1

Consumer Finance

      0.1

Distributors—Consumer Staples

      0.1

Entertainment Resources

      0.1

Industrial Services

      0.1

Iron & Steel

      0.1

Leisure Products

      0.1

Machinery

      0.1

Machinery Manufacturing

      0.1

Managed Care

      0.1

Medical Equipment & Devices Manufacturing

      0.1

Oil & Gas Services & Equipment

      0.1

Pipeline

      0.1

Property & Casualty Insurance

      0.1

Railroad

      0.1

Recreation Facilities & Services

      0.1

Renewable Energy

      0.1

Specialty Finance

      0.1

Waste & Environmental Services & Equipment

      0.1

Advertising & Marketing

      0.0 1

Casinos & Gaming

      0.0 1

Coal Operations

      0.0 1

 

See Notes to Consolidated Financial Statements.

 

8


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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2017

 

Industry

  Percentage of
Total Net Assets

Commercial Finance

      0.0 1

Distributors—Discretionary

      0.0 1

Exploration & Production

      0.0 1

Food & Beverage

      0.0 1

Forest & Paper Products

      0.0 1

Industrial Other

      0.0 1

Institutional Financial Services

      0.0 1

Internet Media

      0.0 1

Manufactured Goods

      0.0 1

Refining & Marketing

      0.0 1

Transportation Equipment

      0.0 1

Travel & Lodging

      0.0 1

Other 2

      65.1

Securities Sold Short

      (25.5 )

Other Assets and Liabilities 3

      22.9
   

 

 

 

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 Fund and Purchased Options.
3  Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives.

 

See Notes to Consolidated Financial Statements.

 

9


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments

March 31, 2017

 

Security Description

   Shares               Value  

INVESTMENTS IN SECURITIES — 102.6%

          

COMMON STOCK — 30.1%

          

Argentina — 0.0%

          

Consumer Products — 0.0%

          

Adecoagro SA (a)

     43,300           $ 496,218  
          

 

 

 

Retail—Discretionary — 0.0%

          

MercadoLibre, Inc.

     2,800             592,116  
          

 

 

 

Total Argentina

             1,088,334  
          

 

 

 

Australia — 0.0%

          

Media — 0.0%

          

Zhaopin Ltd. ADR (a),(b)

     1,440             24,811  
          

 

 

 

Software — 0.0%

          

Atlassian Corp. PLC Class A (a)

     7,000             209,650  
          

 

 

 

Total Australia

             234,461  
          

 

 

 

Bermuda — 0.1%

          

Banking — 0.0%

          

Bank of NT Butterfield & Son Ltd.

     4,200             134,022  
          

 

 

 

Industrial Services — 0.0%

          

Triton International Ltd.

     4,300             110,897  
          

 

 

 

Media — 0.0%

          

Central European Media Enterprises Ltd. A Shares (a)

     5,200             16,120  
          

 

 

 

Semiconductors — 0.1%

          

Marvell Technology Group Ltd.

     215,500             3,288,530  
          

 

 

 

Total Bermuda

             3,549,569  
          

 

 

 

Brazil — 0.3%

          

Aerospace & Defense — 0.0%

          

Embraer SA ADR

     4,800             105,984  
          

 

 

 

Banking — 0.0%

          

Banco Bradesco SA ADR

     140,930             1,443,123  

Banco Santander Brasil SA ADR

     1,400             12,348  

Itau Unibanco Holding SA ADR

     43,760             528,183  
          

 

 

 
             1,983,654  
          

 

 

 

Chemicals — 0.1%

          

Braskem SA ADR (c)

     142,076             2,891,247  
          

 

 

 

Iron & Steel — 0.1%

          

Gerdau SA ADR

     111,500             384,675  

 

See Notes to Consolidated Financial Statements.

 

10


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Vale SA ADR

     489,100           $ 4,646,450  
          

 

 

 
             5,031,125  
          

 

 

 

Oil, Gas & Coal — 0.1%

          

Cosan Ltd. A Shares

     17,600             150,304  

Petroleo Brasileiro SA ADR (a)

     256,300             2,483,547  
          

 

 

 
             2,633,851  
          

 

 

 

Retail—Consumer Staples — 0.0%

          

Cia Brasileira de Distribuicao ADR

     3,900             74,880  
          

 

 

 

Utilities — 0.0%

          

Cia Energetica de Minas Gerais ADR (b)

     38,300             126,007  
          

 

 

 

Total Brazil

             12,846,748  
          

 

 

 

Canada — 0.2%

          

Automotive — 0.1%

          

Magna International, Inc.

     15,200             656,032  
          

 

 

 

Chemicals — 0.0%

          

Agrium, Inc.

     2,400             229,320  

Methanex Corp.

     800             37,520  

Potash Corp. of Saskatchewan, Inc.

     8,200             140,056  
          

 

 

 
             406,896  
          

 

 

 

Consumer Products — 0.0%

          

Cott Corp.

     35,200             435,072  

DavidsTea, Inc. (a)

     400             2,940  
          

 

 

 
             438,012  
          

 

 

 

Design Manufacturing & Distribution — 0.0%

          

Celestica, Inc. (a)

     28,000             406,840  
          

 

 

 

Forest & Paper Products — 0.0%

          

Mercer International, Inc. (b)

     11,300             132,210  
          

 

 

 

Gaming, Lodging & Restaurants — 0.0%

          

Restaurant Brands International

     21             1,171  
          

 

 

 

Hardware — 0.0%

          

Sierra Wireless, Inc. (a)

     2,800             74,340  
          

 

 

 

Insurance — 0.0%

          

Manulife Financial Corp.

     20,000             354,800  

Sun Life Financial, Inc.

     7,000             255,850  
          

 

 

 
             610,650  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

11


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Media — 0.0%

          

Points International Ltd. (a),(b)

     100           $ 771  

Postmedia Network Canada Corp. (a),(d),(e)

     1,061,559             558,778  
          

 

 

 
             559,549  
          

 

 

 

Metals & Mining — 0.1%

          

B2Gold Corp. (a)

     600             1,698  

Dominion Diamond Corp. (b)

     14,200             179,346  

Eldorado Gold Corp.

     28,400             96,844  

Goldcorp, Inc.

     800             11,672  

HudBay Minerals, Inc.

     1,200             7,860  

Kinross Gold Corp. (a)

     36,600             128,466  

Nevsun Resources Ltd. (b)

     7,500             19,200  

New Gold, Inc. (a)

     127,100             378,758  

Pan American Silver Corp.

     2,200             38,544  

Sandstorm Gold Ltd. (a)

     500             2,135  

Silver Standard Resources, Inc. (a)

     100             1,061  

Silver Wheaton Corp.

     100             2,084  

Teck Resources Ltd. B Shares

     99,600             2,181,240  
          

 

 

 
             3,048,908  
          

 

 

 

Oil, Gas & Coal — 0.0%

          

Advantage Oil & Gas Ltd. (a),(b)

     4,400             29,040  

Bellatrix Exploration Ltd. (a)

     100             79  

Enbridge, Inc.

     28             1,172  

Gran Tierra Energy, Inc. (a),(b)

     15,400             40,656  

Penn West Petroleum Ltd. (a)

     14,500             24,650  

Precision Drilling Corp. (a)

     13,300             62,776  

TransGlobe Energy Corp. (a),(b)

     800             1,248  
          

 

 

 
             159,621  
          

 

 

 

Passenger Transportation — 0.0%

          

Student Transportation, Inc. (b)

     4,300             25,198  
          

 

 

 

Real Estate — 0.0%

          

Colliers International Group, Inc.

     1,000             47,200  

FirstService Corp.

     3,000             180,900  
          

 

 

 
             228,100  
          

 

 

 

Transportation & Logistics — 0.0%

          

Canadian Pacific Railway Ltd.

     200             29,384  
          

 

 

 

Utilities — 0.0%

          

Just Energy Group, Inc.

     5,500             34,430  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

12


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Waste & Environmental Services & Equipment — 0.0%

          

Waste Connections, Inc.

     5,956           $ 525,438  
          

 

 

 

Total Canada

             7,336,779  
          

 

 

 

Cayman Islands — 0.0%

          

Utilities — 0.0%

          

Consolidated Water Co. Ltd.

     1,600             18,640  
          

 

 

 

Total Cayman Islands

             18,640  
          

 

 

 

Chile — 0.0%

          

Chemicals — 0.0%

          

Sociedad Quimica y Minera de Chile SA ADR

     9,000             309,330  
          

 

 

 

Utilities — 0.0%

          

Empresa Nacional de Electricidad SA ADR

     4,100             91,184  

Enersis SA ADR

     100             1,039  
          

 

 

 
             92,223  
          

 

 

 

Total Chile

             401,553  
          

 

 

 

China — 1.1%

          

Biotechnology & Pharmaceuticals — 0.0%

          

Sinovac Biotech Ltd. (a)

     700             4,004  
          

 

 

 

Chemicals — 0.0%

          

Origin Agritech Ltd. (a)

     100             203  
          

 

 

 

Consumer Services — 0.1%

          

New Oriental Education & Technology Group, Inc. ADR (a)

     51,400             3,103,532  

Tarena International, Inc. ADR

     800             14,944  
          

 

 

 
             3,118,476  
          

 

 

 

Financial Services — 0.6%

          

Mandatory Exchangeable Trust (b),(d)

     200,000             25,890,000  
          

 

 

 

Gaming, Lodging & Restaurants — 0.0%

          

China Lodging Group Ltd. ADR (a)

     11,600             719,780  
          

 

 

 

Insurance — 0.0%

          

Fanhua, Inc. (a),(b)

     4,400             37,972  
          

 

 

 

Machinery — 0.0%

          

Hollysys Automation Technologies Ltd. (b)

     8,400             142,212  
          

 

 

 

Media — 0.2%

          

Ctrip.com International Ltd. ADR (a)

     32,700             1,607,205  

Leju Holdings Ltd. ADR (a)

     800             2,744  

 

See Notes to Consolidated Financial Statements.

 

13


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Phoenix New Media Ltd. ADR (a)

     800           $ 2,792  

SINA Corp. (a)

     56,300             4,060,356  

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

     8,000             314,640  

Weibo Corp. ADR (a)

     77,830             4,061,169  

Xunlei Ltd. ADR (a)

     7,900             31,995  
          

 

 

 
             10,080,901  
          

 

 

 

Passenger Transportation — 0.0%

          

China Southern Airlines Co. Ltd. ADR (b)

     1,500             49,875  

Guangshen Railway Co. Ltd. ADR (b)

     200             6,036  
          

 

 

 
             55,911  
          

 

 

 

Real Estate — 0.0%

          

Xinyuan Real Estate Co. Ltd. ADR (b)

     19,300             85,113  
          

 

 

 

Renewable Energy — 0.0%

          

JA Solar Holdings Co. Ltd. ADR (a)

     2,700             17,658  
          

 

 

 

Retail—Discretionary — 0.1%

          

Alibaba Group Holding Ltd. ADR (a)

     19,583             2,111,635  

Jumei International Holding Ltd. ADR (a)

     4,300             15,867  
          

 

 

 
             2,127,502  
          

 

 

 

Semiconductors — 0.0%

          

Semiconductor Manufacturing International Corp. ADR (a)

     900             5,652  
          

 

 

 

Software — 0.1%

          

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

     9,000             252,360  

Momo, Inc. ADR (a)

     46,900             1,597,883  

NetEase, Inc. ADR

     8,300             2,357,200  
          

 

 

 
             4,207,443  
          

 

 

 

Technology Services — 0.0%

          

Baozun, Inc. (a)

     100             1,494  
          

 

 

 

Telecommunications — 0.0%

          

Aspire Holdings LLC Class A (d)

     1,502,082             2  
          

 

 

 

Total China

             46,494,323  
          

 

 

 

Colombia — 0.0%

          

Passenger Transportation — 0.0%

          

Avianca Holdings SA ADR

     10,600             81,726  
          

 

 

 

Total Colombia

             81,726  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

14


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Cyprus — 0.0%

          

Oil, Gas & Coal — 0.0%

          

Ocean Rig UDW, Inc. (a)

     400           $ 114  
          

 

 

 

Total Cyprus

             114  
          

 

 

 

Denmark — 0.1%

          

Biotechnology & Pharmaceuticals — 0.1%

          

Novo Nordisk A/S ADR

     81,200             2,783,536  
          

 

 

 

Total Denmark

             2,783,536  
          

 

 

 

Germany — 0.0%

          

Media — 0.0%

          

Trivago NV ADR (a)

     6,200             80,786  
          

 

 

 

Total Germany

             80,786  
          

 

 

 

Greece — 0.0%

          

Transportation & Logistics — 0.0%

          

Aegean Marine Petroleum Network, Inc. (b)

     14,300             172,315  

Safe Bulkers, Inc. (a)

     10,900             23,980  

Star Bulk Carriers Corp. (a)

     20             238  
          

 

 

 

Total Greece

             196,533  
          

 

 

 

Hong Kong — 0.0%

          

Health Care Facilities & Services — 0.0%

          

China Cord Blood Corp. (a)

     1,300             8,658  
          

 

 

 

Media — 0.0%

          

Global Sources Ltd. (a)

     700             5,775  
          

 

 

 

Total Hong Kong

             14,433  
          

 

 

 

India — 0.0%

          

Media — 0.0%

          

Eros International PLC (a),(b)

     300             3,090  
          

 

 

 

Metals & Mining — 0.0%

          

Vedanta Ltd. ADR

     1,000             17,170  
          

 

 

 

Technology Services — 0.0%

          

WNS Holdings Ltd. ADR (a)

     14,200             406,262  
          

 

 

 

Total India

             426,522  
          

 

 

 

Ireland — 0.0%

          

Biotechnology & Pharmaceuticals — 0.0%

          

Amarin Corp. PLC ADR (a)

     19,800             63,360  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

15


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Medical Equipment & Devices — 0.0%

          

Trinity Biotech PLC ADR (a),(b)

     8,000           $ 47,680  
          

 

 

 

Total Ireland

             111,040  
          

 

 

 

Israel — 0.3%

          

Biotechnology & Pharmaceuticals — 0.2%

          

Teva Pharmaceutical Industries Ltd. ADR

     213,000             6,835,170  
          

 

 

 

Consumer Products — 0.0%

          

SodaStream International Ltd. (a)

     6,200             300,266  
          

 

 

 

Electrical Equipment — 0.0%

          

Orbotech Ltd. (a),(b)

     24,600             793,350  
          

 

 

 

Hardware — 0.0%

          

Ceragon Networks Ltd. (a)

     100             327  

Radware Ltd. (a),(b)

     18,300             295,728  

Silicom Ltd.

     200             9,934  
          

 

 

 
             305,989  
          

 

 

 

Home & Office Products — 0.0%

          

Caesarstone Sdot-Yam Ltd. (a)

     4,300             155,875  
          

 

 

 

Media — 0.1%

          

Wix.com Ltd. (a)

     30,900             2,098,110  
          

 

 

 

Medical Equipment & Devices — 0.0%

          

Syneron Medical Ltd. (a),(b)

     13,200             139,260  
          

 

 

 

Semiconductors — 0.0%

          

Mellanox Technologies Ltd. (a)

     6,300             320,985  
          

 

 

 

Software — 0.0%

          

Attunity Ltd. (a)

     500             3,960  

CyberArk Software Ltd. (a)

     1,700             86,479  

Sapiens International Corp. NV (b)

     1,400             18,032  
          

 

 

 
             108,471  
          

 

 

 

Technology Services — 0.0%

          

Magic Software Enterprises Ltd. (b)

     600             4,680  
          

 

 

 

Telecommunications — 0.0%

          

Allot Communications Ltd. (a)

     3,200             15,232  
          

 

 

 

Total Israel

             11,077,388  
          

 

 

 

Italy — 0.1%

          

Automotive — 0.0%

          

Ferrari NV

     7,800             580,008  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

16


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Telecommunications — 0.1%

          

Telecom Italia SpA (a)

     4,251,799           $ 3,823,695  
          

 

 

 

Total Italy

             4,403,703  
          

 

 

 

Japan — 0.4%

          

Banking — 0.0%

          

Mitsubishi UFJ Financial Group, Inc.

     142,900             898,115  
          

 

 

 

Consumer Products — 0.1%

          

Asahi Group Holdings Ltd.

     51,600             1,950,353  
          

 

 

 

Electrical Equipment — 0.1%

          

Keyence Corp. (b)

     3,500             1,401,509  

SMC Corp. (c)

     7,400             2,188,161  
          

 

 

 
             3,589,670  
          

 

 

 

Hardware — 0.1%

          

Canon, Inc. ADR

     200             6,254  

Sony Corp. (b)

     144,000             4,871,140  
          

 

 

 
             4,877,394  
          

 

 

 

Insurance — 0.0%

          

Dai-ichi Life Holdings, Inc.

     36,800             659,941  

T&D Holdings, Inc.

     34,000             493,524  
          

 

 

 
             1,153,465  
          

 

 

 

Passenger Transportation — 0.1%

          

West Japan Railway Co. (b)

     27,900             1,814,640  
          

 

 

 

Software — 0.0%

          

DeNA Co. Ltd. (c)

     69,300             1,406,168  
          

 

 

 

Total Japan

             15,689,805  
          

 

 

 

Jersey — 0.0%

          

Metals & Mining — 0.0%

          

Randgold Resources Ltd. ADR

     1,400             122,192  
          

 

 

 

Total Jersey

             122,192  
          

 

 

 

Luxembourg — 0.0%

          

Chemicals — 0.0%

          

Orion Engineered Carbons SA (b)

     8,300             170,150  
          

 

 

 

Iron & Steel — 0.0%

          

ArcelorMittal (a)

     36,400             303,940  

Ternium SA ADR (b)

     35,200             919,424  
          

 

 

 
             1,223,364  
          

 

 

 

Total Luxembourg

             1,393,514  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

17


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Monaco — 0.0%

          

Transportation & Logistics — 0.0%

          

Costamare, Inc. (b)

     9,200           $ 61,272  
          

 

 

 

Total Monaco

             61,272  
          

 

 

 

Netherlands — 0.4%

          

Commercial Services — 0.0%

          

Cimpress NV (a)

     700             60,333  
          

 

 

 

Insurance — 0.1%

          

Aegon NV

     154             790  

Delta Lloyd NV

     90,250             514,321  

NN Group NV

     154,610             5,028,132  
          

 

 

 
             5,543,243  
          

 

 

 

Medical Equipment & Devices — 0.0%

          

Koninklijke Philips NV

     900             28,899  
          

 

 

 

Metals & Mining — 0.0%

          

Constellium NV Class A (a)

     16,000             104,000  
          

 

 

 

Oil, Gas & Coal — 0.0%

          

Royal Dutch Shell PLC ADR

     44             2,320  
          

 

 

 

Semiconductors — 0.2%

          

NXP Semiconductor NV (a),(b),(d)

     80,707             8,353,175  
          

 

 

 

Software — 0.1%

          

InterXion Holding NV (a)

     36,500             1,443,940  
          

 

 

 

Total Netherlands

             15,535,910  
          

 

 

 

Norway — 0.0%

          

Transportation & Logistics — 0.0%

          

Golden Ocean Group Ltd. (a)

     20             153  
          

 

 

 

Total Norway

             153  
          

 

 

 

Panama — 0.0%

          

Banking — 0.0%

          

Banco Latinoamericano de Comercio Exterior SA E Shares

     1,200             33,288  
          

 

 

 

Passenger Transportation — 0.0%

          

Copa Holdings SA Class A

     1,300             145,925  
          

 

 

 

Total Panama

             179,213  
          

 

 

 

Peru — 0.0%

          

Banking — 0.0%

          

Credicorp Ltd.

     100             16,330  
          

 

 

 

Total Peru

             16,330  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

18


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Puerto Rico — 0.0%

          

Banking — 0.0%

          

First BanCorp (a),(b)

     71,300           $ 402,845  
          

 

 

 

Health Care Facilities & Services — 0.0%

          

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

     5,200             91,364  
          

 

 

 

Technology Services — 0.0%

          

Evertec, Inc.

     18,900             300,510  
          

 

 

 

Total Puerto Rico

             794,719  
          

 

 

 

Republic of Korea — 0.1%

          

Hardware — 0.1%

          

LG Display Co. Ltd. ADR

     6,600             89,892  

Samsung Electronics Co. Ltd.

     3,241             5,970,187  
          

 

 

 
             6,060,079  
          

 

 

 

Semiconductors — 0.0%

          

Magnachip Semiconductor Corp. (a)

     27,700             264,535  
          

 

 

 

Telecommunications — 0.0%

          

SK Telecom Co. Ltd. ADR

     2,200             55,396  
          

 

 

 

Total Republic of Korea

             6,380,010  
          

 

 

 

Russian Federation — 0.0%

          

Media — 0.0%

          

Yandex NV A Shares (a)

     18,100             396,933  
          

 

 

 

Total Russian Federation

             396,933  
          

 

 

 

Singapore — 0.0%

          

Machinery — 0.0%

          

China Yuchai International Ltd. (b)

     2,094             38,760  
          

 

 

 

Semiconductors — 0.0%

          

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

     35,900             729,488  
          

 

 

 

Total Singapore

             768,248  
          

 

 

 

South Africa — 0.0%

          

Metals & Mining — 0.0%

          

Gold Fields Ltd. ADR

     214,400             756,832  

Harmony Gold Mining Co. Ltd. ADR

     27,300             66,885  
          

 

 

 
             823,717  
          

 

 

 

Specialty Finance — 0.0%

          

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

     14,500             177,335  
          

 

 

 

Total South Africa

             1,001,052  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

19


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Spain — 0.0%

          

Biotechnology & Pharmaceuticals — 0.0%

          

Grifols SA ADR

     6,700           $ 126,462  
          

 

 

 

Total Spain

             126,462  
          

 

 

 

Switzerland — 1.0%

          

Biotechnology & Pharmaceuticals — 0.6%

          

Actelion Ltd. (a),(d)

     46,450             13,086,597  

Roche Holding AG (d)

     52,520             13,412,485  
          

 

 

 
             26,499,082  
          

 

 

 

Chemicals — 0.4%

          

Lonza Group AG (d)

     12,850             2,429,781  

Syngenta AG (b),(d)

     32,732             14,446,980  
          

 

 

 
             16,876,761  
          

 

 

 

Total Switzerland

             43,375,843  
          

 

 

 

Taiwan — 0.0%

          

Hardware — 0.0%

          

AU Optronics Corp. ADR

     29,500             112,690  
          

 

 

 

Semiconductors — 0.0%

          

Advanced Semiconductor Engineering, Inc. ADR

     13,900             90,072  

ChipMOS TECHNOLOGIES, Inc. ADR

     100             1,775  

Silicon Motion Technology Corp. ADR

     3,700             172,975  

Siliconware Precision Industries Co. Ltd. ADR

     20             162  

United Microelectronics Corp. ADR

     36,100             69,673  
          

 

 

 
             334,657  
          

 

 

 

Total Taiwan

             447,347  
          

 

 

 

Thailand — 0.0%

          

Design Manufacturing & Distribution — 0.0%

          

Fabrinet (a),(b)

     20,200             849,006  
          

 

 

 

Total Thailand

             849,006  
          

 

 

 

United Kingdom — 0.0%

          

Automotive — 0.0%

          

Fiat Chrysler Automobiles NV (a)

     600             6,558  
          

 

 

 

Banking — 0.0%

          

HSBC Holdings PLC ADR

     6             245  
          

 

 

 

Consumer Products — 0.0%

          

Coca-Cola European Partners PLC (c)

     14,874             560,601  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

20


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Insurance — 0.0%

          

Prudential PLC ADR

     37           $ 1,567  
          

 

 

 

Media — 0.0%

          

Liberty Global PLC A Shares (a)

     14,200             509,354  
          

 

 

 

Total United Kingdom

             1,078,325  
          

 

 

 

United States — 26.0%

          

Aerospace & Defense — 0.1%

          

AAR Corp.

     2,500             84,075  

Aerojet Rocketdyne Holdings (a)

     500             10,850  

Arconic, Inc.

     6,105             160,806  

Ducommun, Inc. (a),(b)

     5,900             169,861  

Huntington Ingalls Industries, Inc.

     2,600             520,624  

L3 Technologies, Inc.

     2,200             363,638  

Moog, Inc. Class A (a),(b)

     3,600             242,460  

Northrop Grumman Corp.

     500             118,920  

Orbital ATK, Inc.

     408             39,984  

Textron, Inc.

     1,400             66,626  
          

 

 

 
             1,777,844  
          

 

 

 

Apparel & Textile Products — 0.3%

          

Albany International Corp. Class A

     1,600             73,680  

Carter’s, Inc.

     3,300             296,340  

Columbia Sportswear Co.

     2,300             135,125  

Crocs, Inc. (a)

     10,500             74,235  

Culp, Inc.

     3,300             102,960  

Fossil Group, Inc. (a)

     54,600             952,770  

Movado Group, Inc.

     200             4,990  

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

     5,900             126,732  

PVH Corp.

     43,500             4,500,945  

Ralph Lauren Corp.

     17,500             1,428,350  

Rocky Brands, Inc.

     300             3,465  

Steven Madden Ltd. (a)

     3,800             146,490  

Unifi, Inc. (a)

     400             11,356  

VF Corp.

     67,500             3,710,475  

Vince Holding Corp. (a),(b)

     6,869             10,647  
          

 

 

 
             11,578,560  
          

 

 

 

Asset Management — 0.3%

          

Acacia Research Corp. (a)

     2,600             14,950  

Affiliated Managers Group, Inc.

     1,500             245,910  

Apollo Investment Corp.

     78,297             513,628  

Ares Capital Corp. (b)

     123,200             2,141,216  

BlackRock Kelso Capital Corp. (b)

     35,100             265,005  

Capital Southwest Corp.

     200             3,382  

 

See Notes to Consolidated Financial Statements.

 

21


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Capitala Finance Corp.

     7,800           $ 112,008  

E*TRADE Financial Corp. (a)

     64,000             2,232,960  

Federated Investors, Inc. Class B

     7,400             194,916  

Fidus Investment Corp. (b)

     10,200             179,214  

Fifth Street Finance Corp.

     60,600             279,972  

Fifth Street Senior Floating Rate Corp.

     7,400             65,268  

FS Investment Corp.

     100             980  

Garrison Capital, Inc. (b)

     5,300             51,834  

Gladstone Capital Corp. (b)

     16,400             155,636  

Gladstone Investment Corp. (b)

     15,200             137,864  

Golub Capital BDC, Inc.

     800             15,904  

Hercules Technology Growth Capital, Inc.

     19,500             295,035  

Horizon Technology Finance Corp. (b)

     7,600             84,588  

Invesco Ltd.

     76,900             2,355,447  

KCAP Financial, Inc. (b)

     12,500             50,875  

Manning & Napier, Inc.

     1,600             9,120  

Medallion Financial Corp. (b)

     6,400             12,672  

Medley Capital Corp.

     13,400             103,046  

Monroe Capital Corp.

     8,800             138,424  

MVC Capital, Inc. (b)

     2,500             22,475  

OM Asset Management plc

     900             13,608  

Oppenheimer Holdings, Inc. Class A (b)

     1,300             22,230  

PennantPark Floating Rate Capital Ltd. (b)

     29,062             405,124  

PennantPark Investment Corp. (b)

     40,600             330,484  

Prospect Capital Corp.

     29,200             263,968  

Safeguard Scientifics, Inc. (a)

     700             8,890  

Solar Capital Ltd. (b)

     10,400             235,144  

Solar Senior Capital Ltd. (b)

     7,800             140,244  

Stellus Capital Investment Corp. (b)

     6,000             87,300  

TCP Capital Corp.

     11,900             207,298  

TD Ameritrade Holding Corp.

     5,700             221,502  

THL Credit, Inc. (b)

     13,000             129,480  

TICC Capital Corp. (b)

     41,000             302,580  

TPG Specialty Lending, Inc. (b)

     19,200             391,488  

Triangle Capital Corp.

     17,200             328,348  

TriplePoint Venture Growth BDC Corp.

     4,700             65,518  

WhiteHorse Finance, Inc. (b)

     3,000             41,400  
          

 

 

 
             12,876,935  
          

 

 

 

Automotive — 0.1%

          

Adient PLC

     31,000             2,252,770  

Cooper-Standard Holding, Inc. (a)

     8,500             942,905  

Gentherm, Inc. (a)

     2,800             109,900  

Goodyear Tire & Rubber Co.

     100             3,578  

Horizon Global Corp. (a)

     19,000             263,720  

Methode Electronics, Inc.

     1,200             54,720  

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Mobileye NV (a)

     1,400           $ 85,960  

Modine Manufacturing Co. (a)

     14,100             172,020  

Standard Motor Products, Inc.

     1,000             49,140  

Superior Industries International, Inc.

     100             2,535  

Tenneco, Inc.

     500             31,210  

Tower International, Inc. (b)

     4,000             108,400  

Visteon Corp. (a),(b)

     19,700             1,929,615  
          

 

 

 
             6,006,473  
          

 

 

 

Banking — 0.2%

          

Access National Corp.

     400             12,008  

Arrow Financial Corp. (b)

     840             28,476  

Astoria Financial Corp.

     2,700             55,377  

Atlantic Capital Bancshares, Inc. (a)

     3,800             72,010  

Bancorp, Inc. (a),(b)

     800             4,080  

Bank Mutual Corp. (b)

     5,600             52,640  

Bank of America Corp.

     23,358             551,015  

Bank of Marin Bancorp

     400             25,740  

BankFinancial Corp.

     2,055             29,839  

BankUnited, Inc.

     100             3,731  

Beneficial Bancorp, Inc.

     26,282             420,512  

BofI Holding, Inc. (a)

     2,600             67,938  

Bridge Bancorp, Inc.

     200             7,000  

Bryn Mawr Bank Corp.

     200             7,900  

Capitol Federal Financial, Inc.

     2,500             36,575  

Cardinal Financial Corp.

     700             20,958  

Centerstate Banks, Inc. (b)

     29             751  

Central Pacific Financial Corp. (b)

     5,300             161,862  

Charter Financial Corp. (b)

     1,700             33,439  

City Holding Co. (b)

     100             6,448  

Clifton Bancorp, Inc.

     600             9,714  

CoBiz Financial, Inc.

     700             11,760  

Columbia Banking System, Inc.

     400             15,596  

Commerce Bancshares, Inc.

     20             1,123  

CU Bancorp (a)

     300             11,895  

East West Bancorp, Inc.

     25,000             1,290,250  

Enterprise Financial Services Corp.

     500             21,200  

Farmers Capital Bank Corp. (b)

     100             4,040  

FCB Financial Holdings, Inc. Class A (a)

     14,200             703,610  

Fidelity Southern Corp. (b)

     4,400             98,472  

Financial Institutions, Inc. (b)

     2,500             82,375  

First Bancorp/Southern Pines

     3,200             93,728  

First Business Financial Services, Inc.

     600             15,576  

First Community Bancshares, Inc. (b)

     1,200             29,964  

First Defiance Financial Corp.

     1,600             79,216  

First Financial Corp.

     400             19,000  

 

See Notes to Consolidated Financial Statements.

 

23


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

First Financial Northwest, Inc. (b)

     1,700           $ 30,039  

First Hawaiian, Inc.

     2,100             62,832  

First Interstate BancSystem, Inc. Class A (b)

     3,300             130,845  

Flushing Financial Corp.

     3,500             94,045  

Franklin Financial Network, Inc. (a)

     500             19,375  

Guaranty Bancorp

     900             21,915  

Heartland Financial USA, Inc.

     300             14,985  

Heritage Commerce Corp.

     8,600             121,260  

HomeTrust Bancshares, Inc. (a)

     200             4,700  

Independent Bank Corp. (b)

     4,600             95,220  

Independent Bank Group, Inc. (b)

     400             25,720  

Lakeland Bancorp, Inc.

     1,000             19,600  

Macatawa Bank Corp.

     100             988  

Mercantile Bank Corp.

     1,800             61,920  

National Bankshares, Inc. (b)

     200             7,510  

Northrim BanCorp, Inc.

     1,000             30,050  

OceanFirst Financial Corp.

     3,492             98,387  

Opus Bank

     4,200             84,630  

Oritani Financial Corp.

     9,400             159,800  

Peapack Gladstone Financial Corp.

     800             23,672  

Peoples Bancorp, Inc.

     500             15,830  

Preferred Bank (b)

     800             42,928  

QCR Holdings, Inc.

     300             12,705  

Regions Financial Corp. (b)

     19,800             287,694  

Seacoast Banking Corp. of Florida (a)

     4,600             110,308  

ServisFirst Bancshares, Inc.

     600             21,828  

Southside Bancshares, Inc.

     600             20,142  

Southwest Bancorp, Inc. (b)

     2,100             54,915  

State Bank Financial Corp.

     100             2,612  

Sterling Bancorp

     392             9,291  

Stonegate Bank

     1,300             61,217  

Sun Bancorp, Inc. (b)

     20             488  

SVB Financial Group (a)

     2,600             483,834  

TCF Financial Corp.

     1,000             17,020  

Trico Bancshares (b)

     1,800             63,954  

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

     2,900             67,715  

Triumph Bancorp, Inc. (a)

     2,700             69,660  

TrustCo Bank Corp.

     700             5,495  

Umpqua Holdings Corp.

     100             1,774  

Washington Trust Bancorp, Inc.

     2,600             128,180  

Waterstone Financial, Inc.

     900             16,425  

Wintrust Financial Corp.

     200             13,824  

WSFS Financial Corp.

     400             18,380  
          

 

 

 
             6,719,530  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

24


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Biotechnology & Pharmaceuticals — 3.4%

          

Aceto Corp.

     15,600           $ 246,636  

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

     31,600             663,600  

Aerie Pharmaceuticals, Inc. (a)

     300             13,605  

Aevi Genomic Medicine, Inc. (a)

     2,800             5,208  

Albany Molecular Research, Inc. (a)

     3,300             46,299  

Alexion Pharmaceuticals, Inc. (a),(d)

     130,950             15,876,378  

Alkermes PLC (a)

     5,000             292,500  

Amgen, Inc.

     2,300             377,361  

Anika Therapeutics, Inc. (a)

     4,300             186,792  

Array BioPharma, Inc. (a)

     2,500             22,350  

BioSpecifics Technologies Corp. (a),(b)

     100             5,480  

Bioverativ, Inc. (a)

     16,261             885,574  

Bristol-Myers Squibb Co. (d)

     134,940             7,338,037  

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

     237,560             29,559,591  

Corcept Therapeutics, Inc. (a)

     16,100             176,456  

Eiger BioPharmaceuticals, Inc. (a)

     20             229  

Exelixis, Inc. (a)

     352,700             7,643,009  

Gilead Sciences, Inc. (b)

     174,800             11,872,416  

Heska Corp. (a)

     900             94,482  

Impax Laboratories, Inc. (a)

     85,600             1,082,840  

Incyte Corp. (a),(b)

     70,500             9,423,735  

KemPharm, Inc. (a)

     100             490  

Lexicon Pharmaceuticals, Inc. (a)

     15             215  

Mallinckrodt PLC (a)

     1,833             81,697  

Medicines Co. (a),(c)

     172,529             8,436,668  

Merck & Co., Inc. (d)

     223,010             14,170,055  

Nektar Therapeutics (a)

     18,900             443,583  

Novavax, Inc. (a)

     65,800             84,224  

Omega Protein Corp. (b)

     7,500             150,375  

Ophthotech Corp. (a)

     45,000             164,700  

PDL BioPharma, Inc. (b)

     49,800             113,046  

SciClone Pharmaceuticals, Inc. (a),(b)

     6,200             60,760  

Seattle Genetics, Inc. (a)

     4,300             270,298  

Spark Therapeutics, Inc. (a),(c)

     59,512             3,174,370  

Spectrum Pharmaceuticals, Inc. (a)

     3,800             24,700  

Sucampo Pharmaceuticals, Inc. Class A (a)

     200             2,200  

Tetraphase Pharmaceuticals, Inc. (a)

     1,300             11,947  

United Therapeutics Corp. (a)

     1,500             203,070  

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

     1,800             103,680  

Verastem, Inc. (a)

     1,800             3,726  

Versartis, Inc. (a)

     700             14,945  

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

     156,350             17,096,873  

Xencor, Inc. (a)

     400             9,568  

XOMA Corp. (a)

     2,190             15,571  

Zoetis, Inc. (b),(d)

     288,740             15,410,054  
          

 

 

 
             145,859,393  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

25


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Chemicals — 1.4%

          

A Schulman, Inc.

     300           $ 9,435  

AdvanSix, Inc. (a)

     400             10,928  

Albemarle Corp.

     25             2,641  

Calgon Carbon Corp.

     500             7,300  

Chemours Co. (The)

     140,900             5,424,650  

CSW Industrials, Inc. (a)

     300             11,010  

Dow Chemical Co. (b)

     256,300             16,285,302  

EI du Pont de Nemours & Co. (b)

     215,600             17,319,148  

FutureFuel Corp.

     10,400             147,472  

GCP Applied Technologies, Inc. (a)

     1,900             62,035  

Huntsman Corp.

     129,600             3,180,384  

Ingevity Corp. (a)

     200             12,170  

Innophos Holdings, Inc.

     500             26,985  

KMG Chemicals, Inc.

     3,000             138,210  

Koppers Holdings, Inc. (a)

     4,800             203,280  

Kronos Worldwide, Inc.

     3,000             49,290  

Landec Corp. (a)

     200             2,400  

Lydall, Inc. (a)

     2,100             112,560  

LyondellBasell Industries NV Class A

     64,800             5,909,112  

Monsanto Co. (b)

     39,104             4,426,573  

OMNOVA Solutions, Inc. (a)

     12,600             124,740  

Stepan Co. (b)

     2,300             181,263  

Trinseo SA

     58,200             3,905,220  

Tronox Ltd. Class A

     7,000             129,150  

Univar, Inc. (a)

     62,400             1,913,184  

Versum Materials, Inc. (a)

     12,400             379,440  

Westlake Chemical Corp. (c)

     13,586             897,355  

WR Grace & Co.

     7,400             515,854  
          

 

 

 
             61,387,091  
          

 

 

 

Commercial Services — 0.1%

          

AdvancePierre Foods Holdings, Inc.

     1,000             31,170  

Alarm.com Holdings, Inc. (a)

     1,300             39,962  

ARAMARK Holdings Corp.

     7,100             261,777  

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

     8,100             27,945  

Brink’s Co.

     2,100             112,245  

Care.com, Inc. (a)

     10,300             128,853  

CBIZ, Inc. (a),(b)

     4,200             56,910  

CDI Corp.

     4,100             35,055  

Collectors Universe, Inc. (b)

     700             18,270  

CorVel Corp. (a)

     2,000             87,000  

CRA International, Inc. (b)

     3,000             105,990  

Cross Country Healthcare, Inc. (a)

     3,500             50,260  

Ennis, Inc. (b)

     3,800             64,600  

GP Strategies Corp. (a),(b)

     100             2,530  

 

See Notes to Consolidated Financial Statements.

 

26


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Hackett Group, Inc. (b)

     9,300           $ 181,257  

Heidrick & Struggles International, Inc. (b)

     600             15,810  

Hill International, Inc. (a)

     300             1,245  

HMS Holdings Corp. (a)

     100             2,033  

Huron Consulting Group, Inc. (a)

     6,400             269,440  

Information Services Group, Inc. (a)

     1,500             4,725  

Insperity, Inc. (b)

     1,800             159,570  

Kelly Services, Inc. Class A

     3,000             65,580  

LSC Communications, Inc.

     1,400             35,224  

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

     13,600             310,896  

Quad/Graphics, Inc. (b)

     10,500             265,020  

Resources Connection, Inc. (b)

     600             10,050  

Rollins, Inc.

     50             1,857  

RPX Corp. (a),(b)

     29,700             356,400  

RR Donnelley & Sons Co.

     31,166             377,420  

ServiceMaster Global Holdings, Inc. (a)

     7,300             304,775  

SP Plus Corp. (a)

     800             27,000  

TriNet Group, Inc. (a)

     6,600             190,740  

TrueBlue, Inc. (a)

     3,300             90,255  

UniFirst Corp.

     100             14,145  

Vectrus, Inc. (a)

     1,100             24,585  

Viad Corp.

     3,700             167,240  

Willdan Group, Inc. (a)

     200             6,452  
          

 

 

 
             3,904,286  
          

 

 

 

Construction Materials — 0.1%

          

Advanced Drainage Systems, Inc.

     2,400             52,560  

Boise Cascade Co. (a)

     8,200             218,940  

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

     19,300             472,850  

Forterra, Inc. (a)

     200             3,900  

Louisiana-Pacific Corp. (a)

     35,100             871,182  

Owens Corning

     12,600             773,262  

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

     250             17,725  

Ply Gem Holdings, Inc. (a)

     200             3,940  

Universal Forest Products, Inc.

     3,500             344,890  
          

 

 

 
             2,759,249  
          

 

 

 

Consumer Products — 0.5%

          

Archer-Daniels-Midland Co.

     1,400             64,456  

Cadiz, Inc. (a)

     300             4,515  

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

     8,100             281,232  

Clearwater Paper Corp. (a)

     3,400             190,400  

Craft Brew Alliance, Inc. (a)

     200             2,670  

Dean Foods Co.

     5,800             114,028  

Dr Pepper Snapple Group, Inc.

     1,300             127,296  

Energizer Holdings, Inc.

     10,300             574,225  

 

See Notes to Consolidated Financial Statements.

 

27


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Female Health Co. (a),(b)

     900           $ 909  

Helen of Troy Ltd. (a)

     500             47,100  

HRG Group, Inc. (a)

     98,500             1,903,020  

Ingredion, Inc.

     12,100             1,457,203  

Inventure Foods, Inc. (a)

     200             884  

John B. Sanfilippo & Son, Inc. (b)

     5,200             380,588  

Lamb Weston Holdings, Inc.

     17,300             727,638  

McCormick & Co., Inc.

     1,500             146,325  

Mead Johnson Nutrition Co.

     43,004             3,830,796  

Philip Morris International, Inc.

     5,000             564,500  

Pilgrim’s Pride Corp. (b)

     14,200             319,571  

Pinnacle Foods, Inc.

     8,000             462,960  

Primo Water Corp. (a)

     6,900             93,702  

Revlon, Inc. Class A (a)

     100             2,785  

Reynolds American, Inc.

     147,284             9,281,838  

Senomyx, Inc. (a)

     5,100             5,052  

Tootsie Roll Industries, Inc.

     25             934  

Tyson Foods, Inc. Class A

     5,900             364,089  

Vector Group Ltd. (b)

     22,974             477,859  
          

 

 

 
             21,426,575  
          

 

 

 

Consumer Services — 0.0%

          

Aaron’s, Inc.

     12,500             371,750  

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

     4,500             103,050  

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

     5,300             56,551  

Capella Education Co.

     4,300             365,607  

Carriage Services, Inc.

     5,600             151,872  

DeVry Education Group, Inc.

     100             3,551  

K12, Inc. (a),(b)

     9,200             176,180  

Laureate Education, Inc. Class A (a)

     3,400             48,518  

Nutrisystem, Inc.

     3,800             210,900  

Regis Corp. (a)

     6,000             70,320  

Service Corp. International/US

     5,500             169,840  

Universal Technical Institute, Inc. (b)

     3,100             10,695  
          

 

 

 
             1,738,834  
          

 

 

 

Containers & Packaging — 0.3%

          

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

     185,155             8,992,978  

Crown Holdings, Inc. (a)

     9,600             508,320  

Graphic Packaging Holding Co.

     210,700             2,711,709  

Greif, Inc. Class A

     900             49,581  

Myers Industries, Inc.

     400             6,340  

Owens-Illinois, Inc. (a)

     1,800             36,684  

Sealed Air Corp.

     600             26,148  

Silgan Holdings, Inc.

     100             5,936  

WestRock Co.

     1,800             93,654  
          

 

 

 
             12,431,350  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

28


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Design Manufacturing & Distribution — 0.2%

          

Avnet, Inc.

     2,100           $ 96,096  

Benchmark Electronics, Inc. (a)

     200             6,360  

Flextronics International Ltd. (a),(b)

     215,700             3,623,760  

Jabil Circuit, Inc.

     115,600             3,343,152  

Plexus Corp. (a)

     1,100             63,580  

Sanmina Corp. (a),(b)

     17,600             714,560  

Tech Data Corp. (a)

     700             65,730  
          

 

 

 
             7,913,238  
          

 

 

 

Distributors—Consumer Staples — 0.1%

          

Andersons, Inc. (b)

     1,800             68,220  

Bunge Ltd. (b)

     49,300             3,907,518  

Core-Mark Holding Co., Inc.

     400             12,476  

Performance Food Group Co. (a)

     600             14,280  

US Foods Holding Corp. (a)

     28,300             791,834  
          

 

 

 
             4,794,328  
          

 

 

 

Distributors—Discretionary — 0.0%

          

Bassett Furniture Industries, Inc. (b)

     1,300             34,970  

Essendant, Inc.

     7,900             119,685  

G-III Apparel Group Ltd. (a)

     28,200             617,298  

Insight Enterprises, Inc. (a),(b)

     3,100             127,379  

PCM, Inc. (a)

     1,000             28,050  

ScanSource, Inc. (a),(b)

     1,100             43,175  
          

 

 

 
             970,557  
          

 

 

 

Electrical Equipment — 0.3%

          

Allegion PLC (b)

     60,900             4,610,130  

Babcock & Wilcox Enterprises, Inc. (a)

     24,400             227,896  

Bel Fuse, Inc. Class B

     100             2,555  

Belden, Inc.

     600             41,514  

BWX Technologies, Inc.

     17,400             828,240  

Cree, Inc. (a)

     14,900             398,277  

FARO Technologies, Inc. (a)

     3,100             110,825  

Fortive Corp.

     7,800             469,716  

Houston Wire & Cable Co. (b)

     2,300             15,525  

Ingersoll-Rand PLC

     58,200             4,732,824  

Keysight Technologies, Inc. (a)

     1,300             46,982  

Kimball Electronics, Inc. (a)

     100             1,695  

Lennox International, Inc.

     2,800             468,440  

LSI Industries, Inc.

     3,200             32,288  

Powell Industries, Inc.

     500             17,220  

Rockwell Automation, Inc.

     800             124,568  

SPX Corp. (a)

     9,600             232,800  

Stoneridge, Inc. (a)

     1,000             18,140  

 

See Notes to Consolidated Financial Statements.

 

29


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

TE Connectivity Ltd.

     6,400           $ 477,120  
          

 

 

 
             12,856,755  
          

 

 

 

Engineering & Construction Services — 0.2%

          

AECOM Technology Corp. (a)

     4             142  

Comfort Systems USA, Inc. (b)

     13,700             502,105  

EMCOR Group, Inc.

     1,200             75,540  

EnerNOC, Inc. (a)

     100             600  

Fluor Corp.

     2,000             105,240  

Granite Construction, Inc.

     300             15,057  

Great Lakes Dredge & Dock Corp. (a)

     2,300             9,200  

Installed Building Products, Inc. (a)

     400             21,100  

Jacobs Engineering Group, Inc.

     54,200             2,996,176  

Kratos Defense & Security Solutions, Inc. (a)

     2,000             15,560  

Layne Christensen Co. (a)

     6,400             56,576  

MasTec, Inc. (a)

     14,900             596,745  

Mistras Group, Inc. (a)

     3,400             72,692  

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

     5,600             229,600  

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

     6,400             47,808  

Primoris Services Corp.

     800             18,576  

Quanta Services, Inc. (a)

     32,958             1,223,072  

Sterling Construction Co., Inc. (a)

     6,700             61,975  

TopBuild Corp. (a)

     4,955             232,885  

TRC Cos., Inc. (a)

     200             3,490  

Tutor Perini Corp. (a)

     1,300             41,340  
          

 

 

 
             6,325,479  
          

 

 

 

Forest & Paper Products — 0.0%

          

Domtar Corp.

     8,200             299,464  

Resolute Forest Products, Inc. (a)

     2,200             11,990  

Schweitzer-Mauduit International, Inc.

     100             4,142  
          

 

 

 
             315,596  
          

 

 

 

Gaming, Lodging & Restaurants — 1.1%

          

BJ’s Restaurants, Inc. (a)

     3,000             121,200  

Bloomin’ Brands, Inc.

     900             17,757  

Bojangles’, Inc. (a)

     13,700             280,850  

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

     9,300             47,430  

Caesars Acquisition Co. Class A (a),(b)

     2,000             30,800  

Caesars Entertainment Corp. (a)

     34,700             331,385  

Carnival Corp.

     8,500             500,735  

Carrols Restaurant Group, Inc. (a)

     17,000             240,550  

Cheesecake Factory, Inc. (The)

     17,400             1,102,464  

Chipotle Mexican Grill, Inc. (a)

     700             311,864  

Choice Hotels International, Inc.

     200             12,520  

Churchill Downs, Inc. (b)

     4,500             714,825  

 

See Notes to Consolidated Financial Statements.

 

30


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Darden Restaurants, Inc.

     700           $ 58,569  

Dave & Buster’s Entertainment, Inc. (a)

     9,300             568,137  

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

     11,700             211,185  

Domino’s Pizza, Inc. (b)

     55,700             10,265,510  

El Pollo Loco Holdings, Inc. (a)

     2,800             33,460  

Eldorado Resorts, Inc. (a)

     13,000             246,025  

Famous Dave’s of America, Inc. (a)

     1,600             6,160  

Hilton Grand Vacations, Inc. (a)

     100             2,875  

Hyatt Hotels Corp. Class A (a)

     36,300             1,959,474  

International Game Technology PLC

     6,300             149,310  

Isle of Capri Casinos, Inc. (a),(b)

     9,800             258,328  

J Alexander’s Holdings, Inc. (a)

     1,100             11,055  

Jack in the Box, Inc.

     36,700             3,733,124  

Kona Grill, Inc. (a)

     1,100             6,930  

La Quinta Holdings, Inc. (a)

     11,800             159,536  

Marriott International, Inc. Class A

     14             1,319  

McDonald’s Corp.

     129,200             16,745,612  

MGM Resorts International (b)

     206,000             5,644,400  

Monarch Casino & Resort, Inc. (a)

     2,300             67,942  

Norwegian Cruise Line Holdings Ltd. (a)

     200             10,146  

Panera Bread Co. Class A (a)

     1,800             471,366  

Papa John’s International, Inc.

     2,100             168,084  

Penn National Gaming, Inc. (a)

     3,200             58,976  

Pinnacle Entertainment, Inc. (a)

     2,700             52,704  

Potbelly Corp. (a)

     14,900             207,110  

Royal Caribbean Cruises Ltd.

     3,700             363,007  

Ruth’s Hospitality Group, Inc.

     7,200             144,360  

Scientific Games Corp. Class A (a)

     200             4,730  

Sonic Corp.

     5,300             134,408  

Wendy’s Co.

     28,600             389,246  

Wingstop, Inc.

     800             22,624  

Yum China Holdings, Inc. (a)

     20,646             561,571  

Yum! Brands, Inc.

     36,300             2,319,570  
          

 

 

 
             48,749,233  
          

 

 

 

Hardware — 1.1%

          

A10 Networks, Inc. (a)

     36,300             332,145  

Apple, Inc.

     72,399             10,400,840  

Brocade Communications Systems, Inc.

     25             312  

Clearfield, Inc. (a)

     1,100             18,095  

CommScope Holding Co., Inc. (a)

     9,600             400,416  

Comtech Telecommunications Corp. (b)

     14,200             209,308  

Control4 Corp. (a)

     2,000             31,580  

Corning, Inc.

     1,100             29,700  

Cray, Inc. (a),(b)

     4,200             91,980  

Daktronics, Inc. (b)

     3,600             34,020  

 

See Notes to Consolidated Financial Statements.

 

31


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Dolby Laboratories, Inc. Class A (b)

     31,600           $ 1,656,156  

Eastman Kodak Co. (a)

     4,200             48,300  

Emcore Corp.

     25,400             228,600  

Extreme Networks (a)

     25,200             189,252  

Finisar Corp. (a)

     94,200             2,575,428  

Fitbit, Inc. (a)

     232,200             1,374,624  

Harmonic, Inc. (a)

     4,600             27,370  

HP, Inc. (b)

     501,200             8,961,456  

Immersion Corp. (a)

     6,300             54,558  

Infinera Corp. (a)

     22,500             230,175  

Juniper Networks, Inc.

     20,900             581,647  

Knowles Corp. (a)

     13             246  

KVH Industries, Inc. (a)

     700             5,880  

Lumentum Holdings, Inc. (a)

     18,900             1,008,315  

Mitel Networks Corp. (a)

     4,322             29,952  

NCR Corp. (a)

     5,400             246,672  

Pitney Bowes, Inc.

     59,200             776,112  

Pure Storage, Inc. Class A (a)

     34,200             336,186  

Quantum Corp. (a)

     3,500             3,045  

Radisys Corp. (a)

     800             3,200  

Seagate Technology PLC

     240,300             11,036,979  

ShoreTel, Inc. (a),(b)

     28,800             177,120  

Sonus Networks, Inc. (a)

     28,900             190,451  

Telenav, Inc. (a),(b)

     2,600             22,490  

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

     27,300             440,349  

VeriFone Systems, Inc. (a)

     18,500             346,505  

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

     147,700             1,583,344  

Vicor Corp. (a),(b)

     500             8,050  

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

     2,000             31,600  

Vocera Communications, Inc. (a)

     14,200             352,586  

VOXX International Corp. (a),(b)

     4,800             24,960  

Xerox Corp.

     409,100             3,002,794  

ZAGG, Inc. (a)

     100             720  
          

 

 

 
             47,103,518  
          

 

 

 

Health Care Facilities & Services — 2.8%

          

AAC Holdings, Inc. (a)

     700             5,971  

Addus HomeCare Corp. (a),(b)

     1,900             60,800  

Adeptus Health, Inc. Class A (a)

     19,000             34,200  

Aetna, Inc. (b),(d)

     218,400             27,856,920  

Air Methods Corp. (a)

     8,800             378,400  

Almost Family, Inc. (a),(b)

     1,500             72,900  

Centene Corp. (a)

     11,015             784,929  

Charles River Laboratories International, Inc. (a)

     6,000             539,700  

Cigna Corp. (b),(d)

     74,865             10,966,974  

Civitas Solutions, Inc. (a)

     2,300             42,205  

 

See Notes to Consolidated Financial Statements.

 

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Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Community Health Systems, Inc. (a)

     116,500           $ 1,033,355  

DaVita HealthCare Partners, Inc. (a)

     28,928             1,966,236  

Digirad Corp. (b)

     1,900             10,070  

Ensign Group, Inc.

     1,300             24,440  

Enzo Biochem, Inc. (a)

     11,300             94,581  

Five Star Quality Care, Inc. (a)

     2,178             4,683  

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

     156,070             13,888,669  

HealthSouth Corp.

     26,500             1,134,465  

Humana, Inc. (d)

     52,480             10,818,227  

ICON PLC (a)

     1,100             87,692  

Inc. Research Holdings, Inc. Class A (a)

     14,000             641,900  

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

     167,913             24,090,478  

LHC Group, Inc. (a)

     3,600             194,040  

LifePoint Hospitals, Inc. (a)

     3,800             248,900  

Magellan Health, Inc. (a)

     5,700             393,585  

McKesson Corp.

     2,100             311,346  

Molina Healthcare, Inc. (a)

     9,700             442,320  

PAREXEL International Corp. (a)

     100             6,311  

PharMerica Corp. (a)

     100             2,340  

PRA Health Sciences, Inc. (a)

     22,300             1,454,629  

Premier, Inc. Class A (a)

     2,400             76,392  

Providence Service Corp. (a)

     500             22,220  

Quest Diagnostics, Inc. (d)

     35,090             3,445,487  

Quintiles Transnational Holdings, Inc. (a),(c)

     36,321             2,924,930  

Quorum Health Corp. (a)

     200             1,088  

RadNet, Inc. (a),(b)

     7,400             43,660  

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

     25,300             736,230  

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

     85,710             14,057,297  

Universal Health Services, Inc. Class B

     3,400             423,130  
          

 

 

 
             119,321,700  
          

 

 

 

Home & Office Products — 0.3%

          

ACCO Brands Corp. (a)

     4,500             59,175  

American Woodmark Corp. (a),(b)

     8,800             807,840  

Armstrong Flooring, Inc. (a)

     700             12,894  

Armstrong World Industries, Inc. (a)

     3,500             161,175  

DR Horton, Inc.

     46,900             1,562,239  

Hooker Furniture Corp. (b)

     1,300             40,365  

Interface, Inc. (b)

     3,000             57,150  

JELD-WEN Holding, Inc. (a)

     5,000             164,250  

Kimball International, Inc. Class B (b)

     7,200             118,800  

Knoll, Inc.

     5,100             121,431  

Libbey, Inc. (b)

     4,100             59,778  

Masco Corp. (b)

     253,200             8,606,268  

Masonite International Corp. (a)

     4,000             317,000  

NACCO Industries, Inc. Class A

     100             6,980  

 

See Notes to Consolidated Financial Statements.

 

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Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

PGT, Inc. (a)

     200           $ 2,150  

PICO Holdings, Inc. (a)

     300             4,200  

Quanex Building Products Corp.

     5,500             111,375  

Stanley Black & Decker, Inc.

     18,700             2,484,669  

Steelcase, Inc. Class A

     6,500             108,875  
          

 

 

 
             14,806,614  
          

 

 

 

Industrial Services — 0.1%

          

CAI International, Inc. (a)

     400             6,296  

H&E Equipment Services, Inc.

     6,000             147,120  

HD Supply Holdings, Inc. (a),(b)

     64,700             2,660,788  

Herc Holdings, Inc. (a)

     354             17,307  

McGrath RentCorp

     1,300             43,641  

Neff Corp. Class A (a)

     100             1,950  

Textainer Group Holdings Ltd.

     100             1,530  

Titan Machinery, Inc. (a)

     6,900             105,846  

United Rentals, Inc. (a)

     1,100             137,555  

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

     26,500             1,843,075  

WW Grainger, Inc.

     800             186,208  
          

 

 

 
             5,151,316  
          

 

 

 

Institutional Financial Services — 0.0%

          

CME Group, Inc.

     5,600             665,280  

Cowen Group, Inc. Class A (a)

     3,225             48,214  

Houlihan Lokey, Inc.

     10,100             347,945  

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

     600             22,776  

KCG Holdings, Inc. Class A (a)

     3,600             64,188  

LPL Financial Holdings, Inc.

     4,100             163,303  

Moelis & Co. Class A

     1,900             73,150  
          

 

 

 
             1,384,856  
          

 

 

 

Insurance — 0.3%

          

Aflac, Inc.

     2,500             181,050  

Allstate Corp.

     22,100             1,800,929  

American Equity Investment Life Holding Co.

     32,400             765,612  

AmTrust Financial Services, Inc.

     2,700             49,842  

Athene Holding Ltd. Class A (a)

     15,900             794,841  

Atlas Financial Holdings, Inc. (a)

     300             4,095  

Baldwin & Lyons, Inc. Class B

     4,400             107,580  

Citizens, Inc. (a)

     200             1,486  

CNO Financial Group, Inc.

     100             2,050  

Crawford & Co. Class B

     100             1,003  

eHealth, Inc. (a)

     9,600             115,584  

Employers Holdings, Inc. (b)

     8,900             337,755  

Federated National Holding Co.

     200             3,486  

Genworth Financial, Inc. Class A (a)

     4,600             18,952  

 

See Notes to Consolidated Financial Statements.

 

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Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Greenlight Capital Re Ltd. A Shares (a)

     700           $ 15,470  

Hanover Insurance Group, Inc.

     9,400             846,564  

Heritage Insurance Holdings, Inc. (b)

     5,400             68,958  

James River Group Holdings Ltd.

     100             4,286  

Lincoln National Corp. (b)

     75,900             4,967,655  

Maiden Holdings Ltd. (b)

     20,000             280,000  

OneBeacon Insurance Group Ltd. Class A (b)

     5,300             84,800  

Prudential Financial, Inc.

     100             10,699  

Safety Insurance Group, Inc.

     900             63,090  

State Auto Financial Corp. (b)

     82             2,251  

State National Cos., Inc.

     5,500             79,200  

Trupanion, Inc. (a)

     5,300             75,366  

Universal Insurance Holdings, Inc.

     3,100             75,950  

Voya Financial, Inc.

     82,600             3,135,496  
          

 

 

 
             13,894,050  
          

 

 

 

Iron & Steel — 0.0%

          

Haynes International, Inc.

     600             22,872  

Northwest Pipe Co. (a)

     1,200             18,852  

Ryerson Holding Corp. (a)

     24,000             302,400  

Shiloh Industries, Inc. (a)

     1,200             16,356  

SunCoke Energy, Inc. (a),(b)

     38,500             344,960  

TimkenSteel Corp. (a)

     11,100             209,901  
          

 

 

 
             915,341  
          

 

 

 

Leisure Products — 0.1%

          

Black Diamond, Inc. (a)

     4,700             25,615  

Callaway Golf Co.

     4,400             48,708  

Hasbro, Inc.

     15,300             1,527,246  

JAKKS Pacific, Inc. (a)

     4,300             23,650  

Malibu Boats, Inc. (a)

     2,200             49,390  

Mattel, Inc.

     2,000             51,220  

MCBC Holdings, Inc.

     12,000             194,040  

Vista Outdoor, Inc. (a)

     50,500             1,039,795  
          

 

 

 
             2,959,664  
          

 

 

 

Machinery — 0.1%

          

AGCO Corp.

     2,500             150,450  

Astec Industries, Inc.

     100             6,150  

Columbus McKinnon Corp.

     1,600             39,712  

Crane Co.

     1,600             119,728  

Curtiss-Wright Corp.

     500             45,630  

Deere & Co.

     100             10,926  

Federal Signal Corp.

     8,600             118,766  

Graham Corp. (b)

     1,600             36,800  

Hyster-Yale Materials Handling, Inc. (b)

     400             22,556  

 

See Notes to Consolidated Financial Statements.

 

35


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Kadant, Inc. (b)

     2,700           $ 160,245  

Milacron Holdings Corp. (a)

     1,800             33,498  

MTS Systems Corp.

     3,500             192,675  

Mueller Water Products, Inc. Class A

     4,500             53,190  

Oshkosh Corp.

     22,600             1,550,134  

SPX FLOW, Inc. (a)

     9,300             322,803  

Terex Corp.

     7,200             226,080  

Titan International, Inc.

     13,900             143,726  

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

     2,900             18,560  

Xylem, Inc.

     7,200             361,584  
          

 

 

 
             3,613,213  
          

 

 

 

Manufactured Goods — 0.0%

          

Aegion Corp. (a),(b)

     3,800             87,058  

Atkore International Group, Inc. (a)

     7,900             207,612  

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

     13,400             468,196  

Core Molding Technologies, Inc. (a)

     400             7,132  

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

     6,100             251,320  

Global Brass & Copper Holdings, Inc.

     3,300             113,520  

Insteel Industries, Inc.

     1,500             54,210  

LB Foster Co. Class A

     3,900             48,750  

NCI Building Systems, Inc. (a)

     2,100             36,015  

Rogers Corp. (a)

     1,600             137,392  
          

 

 

 
             1,411,205  
          

 

 

 

Media — 1.5%

          

Alphabet, Inc. Class A (a)

     1,699             1,440,412  

Alphabet, Inc. Class C (a)

     1,706             1,415,229  

Autobytel, Inc. (a),(b)

     2,500             31,325  

Bankrate, Inc. (a)

     21,700             209,405  

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

     15,000             194,850  

Charter Communications, Inc. Class A (a)

     40             13,093  

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

     6,300             38,115  

Comcast Corp. Class A

     442,600             16,637,334  

DHI Group, Inc. (a)

     14,500             57,275  

Entercom Communications Corp. Class A (b)

     3,700             52,910  

EW Scripps Co. Class A (a)

     64             1,500  

Expedia, Inc. (b)

     100,216             12,644,253  

Facebook, Inc. Class A (a)

     13,493             1,916,681  

Gannett Co., Inc.

     12,300             103,074  

GoDaddy, Inc. Class A (a)

     8,100             306,990  

Harte-Hanks, Inc. (b)

     11,500             16,100  

Houghton Mifflin Harcourt Co. (a)

     500             5,075  

IAC/InterActiveCorp (a)

     1,400             103,208  

Lee Enterprises, Inc. (a)

     300             780  

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

     13,333             1,134,505  

 

See Notes to Consolidated Financial Statements.

 

36


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

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

     32,621           $ 2,818,454  

Liberty Media Group Class A (a)

     8             262  

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

     91,435             3,558,650  

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

     82,473             3,198,303  

Liberty TripAdvisor Holdings, Inc. Class A (a)

     24,500             345,450  

Marchex, Inc. Class B (a)

     7,100             19,312  

Marin Software, Inc. (a)

     3,700             6,660  

Match Group, Inc. (a)

     8,400             137,172  

McClatchy Co. (The) Class A (a)

     90             870  

MDC Partners, Inc. Class A

     1,400             13,160  

National CineMedia, Inc. (b)

     28,000             353,640  

News Corp. Class A (b)

     130,900             1,701,700  

RetailMeNot, Inc. (a),(b)

     23,200             187,920  

Rubicon Project, Inc. (a)

     16,500             97,185  

Scripps Networks Interactive, Inc. Class A

     1,300             101,881  

Shutterfly, Inc. (a)

     33,000             1,593,570  

Sinclair Broadcast Group, Inc. Class A

     900             36,450  

Snap, Inc. (a),(c)

     38,990             878,445  

TechTarget, Inc. (a),(b)

     4,100             37,023  

Time Warner, Inc. (d)

     54,564             5,331,448  

TiVo Corp.

     48,582             910,912  

Townsquare Media, Inc. Class A (a)

     200             2,436  

Trade Desk, Inc. (The) Class A (a)

     570             21,233  

Travelzoo, Inc. (a)

     100             965  

Tribune Media Co.

     13,100             488,237  

TripAdvisor, Inc. (a)

     10,900             470,444  

TrueCar, Inc. (a)

     400             6,188  

Tucows, Inc. Class A (a)

     100             5,105  

VeriSign, Inc. (a),(b)

     58,700             5,113,357  

Viacom, Inc.

     6,400             298,368  

Web.com Group, Inc. (a)

     700             13,510  

WebMD Health Corp. (a)

     49,223             2,593,068  

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

     8,100             139,401  

YuMe, Inc. (a)

     2,400             9,816  

Zillow Group, Inc. (a)

     18             609  
          

 

 

 
             66,813,318  
          

 

 

 

Medical Equipment & Devices — 2.7%

          

Abaxis, Inc.

     100             4,850  

Accuray, Inc. (a)

     3,700             17,575  

Agilent Technologies, Inc.

     2,600             137,462  

Analogic Corp.

     2,000             151,800  

AngioDynamics, Inc. (a),(b)

     14,700             255,045  

AtriCure, Inc. (a)

     100             1,915  

AxoGen, Inc. (a)

     100             1,045  

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

     435,133             22,565,997  

 

See Notes to Consolidated Financial Statements.

 

37


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Becton Dickinson and Co. (d)

     26,910           $ 4,936,370  

BioTelemetry, Inc. (a)

     4,900             141,855  

Boston Scientific Corp. (a)

     9,707             241,413  

Cardiovascular Systems, Inc. (a)

     9,800             277,095  

Catalent, Inc. (a)

     3,300             93,456  

ConforMIS, Inc. (a)

     2,400             12,528  

CR Bard, Inc. (b),(d)

     39,230             9,750,224  

CryoLife, Inc. (b)

     4,900             81,585  

Cutera, Inc. (a)

     3,000             62,100  

Danaher Corp. (d)

     81,840             6,999,775  

Dentsply Sirona, Inc. (b)

     118,558             7,402,762  

Edwards Lifesciences Corp. (a),(d)

     160,020             15,053,082  

Entellus Medical, Inc. (a)

     100             1,380  

Exactech, Inc. (a),(b)

     1,800             45,360  

Fluidigm Corp. (a)

     1,100             6,259  

FONAR Corp. (a)

     100             1,755  

GenMark Diagnostics, Inc. (a)

     1,600             20,512  

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

     7,500             236,175  

Glaukos Corp. (a)

     9,200             471,960  

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

     500             1,300  

Hill-Rom Holdings, Inc.

     12,900             910,740  

Hologic, Inc. (a)

     100,300             4,267,765  

IDEXX Laboratories, Inc. (a)

     32,700             5,055,747  

Inogen, Inc. (a)

     1,300             100,828  

Insulet Corp. (a)

     19,000             818,710  

Integra LifeSciences Holdings Corp. (a)

     6,400             269,632  

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

     25,230             19,338,038  

K2M Group Holdings, Inc. (a)

     100             2,051  

Lantheus Holdings, Inc. (a)

     6,700             83,750  

LeMaitre Vascular, Inc.

     6,200             152,706  

Luminex Corp. (b)

     2,900             53,273  

Masimo Corp. (a)

     14,300             1,333,618  

Medtronic PLC (d)

     147,530             11,885,017  

Meridian Bioscience, Inc.

     7,700             106,260  

Merit Medical Systems, Inc. (a),(b)

     13,000             375,700  

Myriad Genetics, Inc. (a)

     82,900             1,591,680  

NxStage Medical, Inc. (a)

     11,300             303,179  

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

     40,200             519,786  

Orthofix International NV (a)

     12,600             480,690  

Oxford Immunotec Global plc (a)

     400             6,196  

QIAGEN NV

     14,776             428,061  

RTI Surgical, Inc. (a)

     12,200             48,800  

SeaSpine Holdings Corp. (a)

     200             1,570  

Spectranetics Corp. (a)

     10,400             302,900  

STAAR Surgical Co. (a)

     1,200             11,760  

SurModics, Inc. (a),(b)

     3,500             84,175  

 

See Notes to Consolidated Financial Statements.

 

38


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

VWR Corp. (a)

     10,000           $ 282,000  

Waters Corp. (a)

     400             62,524  
          

 

 

 
             117,849,791  
          

 

 

 

Metals & Mining — 0.1%

          

Alcoa Corp.

     154,401             5,311,395  

Century Aluminum Co. (a)

     38,600             489,834  

Encore Wire Corp. (b)

     800             36,800  

Golden Star Resources Ltd. (a)

     6,800             5,760  

Harsco Corp. (a)

     10,200             130,050  
          

 

 

 
             5,973,839  
          

 

 

 

Oil, Gas & Coal — 0.5%

          

Abraxas Petroleum Corp. (a)

     26,300             53,126  

Archrock, Inc.

     900             11,160  

Baker Hughes, Inc. (b)

     22,800             1,363,896  

Bill Barrett Corp. (a)

     38,000             172,900  

Carrizo Oil & Gas, Inc. (a)

     20,200             578,932  

Cimarex Energy Co.

     3,200             382,368  

Civeo Corp. (a)

     22,500             67,275  

Cloud Peak Energy, Inc. (a)

     4,400             20,152  

Concho Resources, Inc. (a)

     25,100             3,221,334  

CONSOL Energy, Inc.

     172,600             2,896,228  

Dawson Geophysical Co. (a),(b)

     840             4,670  

Diamond Offshore Drilling, Inc. (a)

     54,100             904,011  

Eclipse Resources Corp. (a)

     600             1,524  

Era Group, Inc. (a)

     600             7,956  

Evolution Petroleum Corp. (b)

     2,500             20,000  

Exterran Corp. (a)

     4,100             128,945  

Geospace Technologies Corp. (a)

     100             1,623  

Gulf Island Fabrication, Inc. (b)

     2,600             30,030  

Hallador Energy Co.

     600             4,806  

Helix Energy Solutions Group, Inc. (a),(b)

     52,900             411,033  

Independence Contract Drilling, Inc. (a)

     12,600             69,426  

ION Geophysical Corp. (a)

     186             902  

Matrix Service Co. (a),(b)

     5,600             92,400  

McDermott International, Inc. (a)

     41,800             282,150  

MRC Global, Inc. (a)

     11,100             203,463  

Murphy USA, Inc. (a)

     5,500             403,810  

Natural Gas Services Group, Inc. (a)

     2,600             67,730  

Newfield Exploration Co. (a)

     103,000             3,801,730  

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

     8,600             69,660  

Noble Energy, Inc.

     3             103  

NOW, Inc. (a)

     2,100             35,616  

ONEOK, Inc.

     5,200             288,288  

Parker Drilling Co. (a)

     4,900             8,575  

 

See Notes to Consolidated Financial Statements.

 

39


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

PHI, Inc. (a)

     1,300           $ 15,574  

Pioneer Energy Services Corp. (a)

     15,100             60,400  

Rowan Cos. PLC Class A (a)

     1,300             20,254  

Tesco Corp. (a),(b)

     4,200             33,810  

Transocean Ltd. (a)

     108,600             1,352,070  

TravelCenters of America LLC (a)

     4,700             28,670  

Unit Corp. (a)

     4,300             103,888  

VAALCO Energy, Inc. (a)

     3,200             2,935  

Valero Energy Corp.

     6,500             430,885  

Williams Cos., Inc.

     139,126             4,116,738  

World Fuel Services Corp.

     600             21,750  
          

 

 

 
             21,792,796  
          

 

 

 

Passenger Transportation — 0.1%

          

Hawaiian Holdings, Inc. (a),(b)

     40,800             1,895,160  

JetBlue Airways Corp. (a)

     59,700             1,230,417  

Spirit Airlines, Inc. (a),(b)

     43,600             2,313,852  
          

 

 

 
             5,439,429  
          

 

 

 

Real Estate — 0.4%

          

Ashford Hospitality Prime, Inc.

     178             1,883  

AvalonBay Communities, Inc. (d)

     2,480             455,328  

Boston Properties, Inc. (d)

     2,576             341,088  

CareTrust REIT, Inc.

     4,100             68,962  

CatchMark Timber Trust, Inc. Class A

     2,300             26,496  

CBRE Group, Inc. (a)

     1,000             34,790  

Cedar Realty Trust, Inc.

     6,700             33,634  

City Office REIT, Inc.

     600             7,290  

CoreCivic, Inc.

     23,900             750,938  

DDR Corp.

     16,500             206,745  

Equinix, Inc. (d)

     1,230             492,455  

Equity Residential (d)

     6,949             432,367  

FelCor Lodging Trust, Inc. (b)

     3,700             27,787  

First Potomac Realty Trust

     200             2,056  

Forestar Group, Inc. (a)

     15,100             206,115  

Gaming and Leisure Properties, Inc.

     45             1,504  

Geo Group, Inc. (The)

     200             9,274  

Gladstone Commercial Corp. (b)

     11,900             245,973  

InfraREIT, Inc.

     12,300             221,400  

Invitation Homes, Inc. (a)

     5,100             111,333  

Jones Lang LaSalle, Inc. (b)

     29,100             3,243,195  

LTC Properties, Inc.

     18             862  

MGM Growth Properties LLC Class A

     45,901             1,241,622  

Monmouth Real Estate Investment Corp. Class A (b)

     700             9,989  

NexPoint Residential Trust, Inc.

     3,300             79,728  

NorthStar Realty Europe Corp.

     400             4,636  

 

See Notes to Consolidated Financial Statements.

 

40


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

One Liberty Properties, Inc.

     3,400           $ 79,424  

Outfront Media, Inc.

     8,900             236,295  

Preferred Apartment Communities, Inc. Class A

     3,500             46,235  

Prologis, Inc. (d)

     10,154             526,790  

Public Storage (d)

     2,713             593,903  

Quality Care Properties, Inc. (a)

     11,500             216,890  

Ramco-Gershenson Properties Trust

     1,000             14,020  

RE/MAX Holdings, Inc. Class A

     23             1,367  

Realogy Holdings Corp. (b)

     103,200             3,074,328  

Sabra Health Care REIT, Inc.

     500             13,965  

Saul Centers, Inc.

     100             6,162  

SBA Communications Corp. (a)

     10,200             1,227,774  

Silver Bay Realty Trust Corp.

     1,000             21,470  

Simon Property Group, Inc. (d)

     8,571             1,474,469  

Spirit Realty Capital, Inc.

     100             1,013  

Taubman Centers, Inc.

     1,800             118,836  

Tier REIT, Inc.

     1,300             22,568  

UMH Properties, Inc.

     900             13,689  

Urstadt Biddle Properties, Inc. Class A (b)

     3,500             71,960  

Ventas, Inc. (d)

     6,470             420,809  

Vornado Realty Trust (d)

     2,962             297,118  

Welltower, Inc. (d)

     6,619             468,758  

WP Carey, Inc.

     2,600             161,772  
          

 

 

 
             17,367,065  
          

 

 

 

Recreation Facilities & Services — 0.1%

          

Cinemark Holdings, Inc.

     11,500             509,910  

Drive Shack, Inc.

     65,133             270,302  

International Speedway Corp. Class A

     1,200             44,340  

Intrawest Resorts Holdings, Inc. (a)

     6,106             152,711  

Live Nation Entertainment, Inc. (a)

     26,100             792,657  

Marcus Corp.

     2,300             73,830  

Regal Entertainment Group Class A

     69,400             1,567,052  

Six Flags Entertainment Corp.

     41,800             2,486,682  

Speedway Motorsports, Inc. (b)

     1,600             30,144  
          

 

 

 
             5,927,628  
          

 

 

 

Renewable Energy — 0.1%

          

Advanced Energy Industries, Inc. (a)

     600             41,136  

Ameresco, Inc. Class A (a),(b)

     4,700             30,785  

EnerSys

     3,700             292,078  

First Solar, Inc. (a)

     145,300             3,937,630  

Pacific Ethanol, Inc. (a)

     1,100             7,535  

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

     26,600             277,970  

SunPower Corp. (a)

     66,300             404,430  
          

 

 

 
             4,991,564  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

41


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Retail—Consumer Staples — 0.4%

          

CVS Health Corp. (b)

     28,400           $ 2,229,400  

Dollar Tree, Inc. (a)

     38,200             2,997,172  

Ingles Markets, Inc. Class A

     1,100             47,465  

Natural Grocers by Vitamin Cottage, Inc. (a)

     900             9,351  

Rite Aid Corp. (a),(c)

     725,052             3,081,471  

Smart & Final Stores, Inc. (a)

     100             1,210  

Sprouts Farmers Market, Inc. (a)

     15,200             351,424  

SUPERVALU, Inc. (a),(b)

     16,700             64,462  

Target Corp.

     141,900             7,831,461  

Village Super Market, Inc. Class A

     2,500             66,250  
          

 

 

 
             16,679,666  
          

 

 

 

Retail—Discretionary — 2.2%

          

1-800-Flowers.com, Inc. Class A (a)

     2,400             24,480  

Amazon.com, Inc. (a)

     21,314             18,895,714  

Ascena Retail Group, Inc. (a)

     8,900             37,914  

Avis Budget Group, Inc. (a)

     100             2,958  

Barnes & Noble Education, Inc. (a)

     15,200             145,768  

Big 5 Sporting Goods Corp. (b)

     28,800             434,880  

BMC Stock Holdings, Inc. (a)

     400             9,040  

Builders FirstSource, Inc. (a)

     600             8,940  

Burlington Stores, Inc. (a)

     23,400             2,276,586  

Cato Corp. (The) Class A

     1,300             28,548  

Christopher & Banks Corp. (a)

     100             148  

Citi Trends, Inc. (b)

     2,800             47,600  

Coach, Inc.

     300             12,399  

Container Store Group, Inc. (The) (a)

     28,800             121,824  

Destination Maternity Corp. (a)

     500             2,130  

Destination XL Group, Inc. (a)

     2,499             7,122  

eBay, Inc. (a)

     57,000             1,913,490  

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

     1,700             2,176  

Express, Inc. (a)

     69,500             633,145  

Ezcorp, Inc. Class A (a)

     6,900             56,235  

Finish Line, Inc. (The) Class A

     3,600             51,228  

Gap, Inc.

     33,900             823,431  

GMS, Inc. (a)

     800             28,032  

Haverty Furniture Cos., Inc.

     2,700             65,745  

Hibbett Sports, Inc. (a)

     300             8,850  

Home Depot, Inc. (b)

     118,300             17,369,989  

HSN, Inc.

     2,000             74,200  

Kirkland’s, Inc. (a),(b)

     9,600             119,040  

L Brands, Inc.

     49,000             2,307,900  

Liberty Interactive Corp. Class A (a),(b)

     105,504             2,112,190  

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

     8,200             65,600  

Lowe’s Cos., Inc. (b)

     216,300             17,782,023  

 

See Notes to Consolidated Financial Statements.

 

42


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Lululemon Athletica, Inc. (a)

     3,600           $ 185,198  

MarineMax, Inc. (a)

     3,600             77,940  

Michaels Cos., Inc. (a)

     16,700             373,913  

Office Depot, Inc.

     545             2,542  

Overstock.com, Inc. (a)

     100             1,720  

Ross Stores, Inc.

     15,900             1,047,333  

Rush Enterprises, Inc. Class A (a)

     1,700             56,236  

Sears Hometown and Outlet Stores, Inc. (a)

     100             390  

Shoe Carnival, Inc.

     3,300             81,081  

Signet Jewelers Ltd.

     36,300             2,514,501  

Sportsman’s Warehouse Holdings, Inc. (a)

     4,600             21,988  

Stein Mart, Inc. (b)

     9,400             28,294  

Tile Shop Holdings, Inc.

     13,700             263,725  

Tilly’s, Inc. Class A

     10,400             93,808  

Tractor Supply Co.

     142,800             9,848,916  

Tuesday Morning Corp. (a)

     300             1,125  

Ulta Salon Cosmetics & Fragrance, Inc. (a),(b)

     41,900             11,951,137  

Urban Outfitters, Inc. (a)

     3,900             92,664  

Vera Bradley, Inc. (a)

     18,500             172,235  

Williams-Sonoma, Inc.

     18,500             991,970  

Zumiez, Inc. (a)

     1,200             21,960  
          

 

 

 
             93,298,001  
          

 

 

 

Semiconductors — 1.6%

          

Advanced Micro Devices, Inc. (a)

     120,800             1,757,640  

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

     9,100             156,429  

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

     133,300             1,544,947  

Applied Materials, Inc.

     164,600             6,402,940  

Axcelis Technologies, Inc. (a)

     2,350             44,180  

Broadcom Ltd.

     78,039             17,087,419  

Brooks Automation, Inc.

     1,200             26,880  

CEVA, Inc. (a),(b)

     3,600             127,800  

Cohu, Inc. (b)

     6,800             125,528  

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

     4,000             48,000  

Electro Scientific Industries, Inc. (a)

     9,200             64,124  

Entegris, Inc. (a)

     6,400             149,760  

Exar Corp. (a)

     3,200             41,632  

FormFactor, Inc. (a)

     4,661             55,233  

II-VI, Inc. (a)

     900             32,445  

Intel Corp.

     19             685  

IXYS Corp.

     5,900             85,845  

Kemet Corp. (a),(b)

     54,700             656,400  

KLA-Tencor Corp. (b)

     82,300             7,824,261  

Lam Research Corp. (b)

     121,500             15,595,740  

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

     32             1,546  

Maxim Integrated Products, Inc.

     57,700             2,594,192  

 

See Notes to Consolidated Financial Statements.

 

43


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Maxwell Technologies, Inc. (a)

     900           $ 5,229  

Microchip Technology, Inc.

     24             1,771  

Micron Technology, Inc. (a)

     353,900             10,227,710  

Nanometrics, Inc. (a)

     3,400             103,564  

ON Semiconductor Corp. (a),(b)

     99,400             1,539,706  

Park Electrochemical Corp.

     2,200             39,292  

Photronics, Inc. (a),(b)

     29,500             315,650  

Pixelworks, Inc. (a)

     9,500             44,270  

Rambus, Inc. (a)

     12,100             158,994  

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

     17,300             387,520  

Semtech Corp. (a)

     9,600             324,480  

Sigma Designs, Inc. (a)

     2,600             16,250  

Silicon Laboratories, Inc. (a)

     300             22,065  

Teradyne, Inc.

     68,000             2,114,800  

Ultra Clean Holdings, Inc. (a)

     19,400             327,278  

Ultratech, Inc. (a)

     3,500             103,670  

Veeco Instruments, Inc. (a)

     5,900             176,115  

Vishay Intertechnology, Inc.

     500             8,225  

Xcerra Corp. (a)

     2,900             25,781  
          

 

 

 
             70,365,996  
          

 

 

 

Software — 1.3%

          

Agilysys, Inc. (a),(b)

     700             6,615  

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

     91,700             5,474,490  

Allscripts Healthcare Solutions, Inc. (a)

     52,600             666,968  

Amber Road, Inc. (a)

     4,600             35,512  

athenahealth, Inc. (a)

     100             11,269  

Avid Technology, Inc. (a)

     2,800             13,048  

Barracuda Networks, Inc. (a)

     12,200             281,942  

Bazaarvoice, Inc. (a)

     24,300             104,490  

Benefitfocus, Inc. (a)

     600             16,770  

Box, Inc. Class A (a)

     3,600             58,716  

Brightcove, Inc. (a)

     10,500             93,450  

Cadence Design Systems, Inc. (a)

     700             21,980  

Calix, Inc. (a),(b)

     4,200             30,450  

Carbonite, Inc. (a),(b)

     18,000             365,400  

ChannelAdvisor Corp. (a)

     4,600             51,290  

Citrix Systems, Inc. (a)

     28,700             2,393,293  

CommerceHub, Inc. (a)

     100             1,553  

CommVault Systems, Inc. (a),(b)

     5,300             269,240  

Cornerstone OnDemand, Inc. (a)

     20,700             805,023  

Cotiviti Holdings, Inc. (a)

     100             4,163  

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

     7,300             86,870  

Evolent Health, Inc. (a)

     200             4,460  

Exa Corp. (a)

     300             3,810  

Five9, Inc. (a)

     31,900             525,074  

 

See Notes to Consolidated Financial Statements.

 

44


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Fortinet, Inc. (a)

     50,600           $ 1,940,510  

HubSpot, Inc. (a)

     10,000             605,500  

InnerWorkings, Inc. (a),(b)

     2,600             25,896  

Inovalon Holdings, Inc. (a)

     600             7,560  

Intuit, Inc.

     2,300             266,777  

Jive Software, Inc. (a)

     1,900             8,170  

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

     14,200             36,636  

LivePerson, Inc. (a)

     5,200             35,620  

Microsoft Corp. (b)

     58,319             3,840,889  

MicroStrategy, Inc. Class A (a),(b)

     4,000             751,200  

Mimecast Ltd. (a)

     700             15,673  

MINDBODY, Inc. Class A (a)

     20,900             573,705  

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

     600             6,270  

Monotype Imaging Holdings, Inc. (b)

     3,100             62,310  

Nuance Communications, Inc. (a)

     230,300             3,986,493  

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

     500             11,310  

Progress Software Corp.

     6,700             194,635  

Proofpoint, Inc. (a)

     25,400             1,888,744  

PTC, Inc. (a),(c)

     203,758             10,707,483  

Q2 Holdings, Inc. (a)

     400             13,940  

QAD, Inc. Class A (b)

     2,600             72,410  

Quality Systems, Inc. (a)

     7,000             106,680  

Rapid7, Inc. (a)

     300             4,494  

Rosetta Stone, Inc. (a)

     700             6,825  

Seachange International, Inc. (a)

     4,900             12,152  

ServiceNow, Inc. (a)

     15,900             1,390,773  

Splunk, Inc. (a)

     17,500             1,090,075  

SPS Commerce, Inc. (a)

     100             5,849  

Synchronoss Technologies, Inc. (a)

     44,400             1,083,360  

Synopsys, Inc. (a)

     1,500             108,195  

Take-Two Interactive Software, Inc. (a)

     34,000             2,015,180  

Varonis Systems, Inc. (a)

     15,400             489,720  

VASCO Data Security International, Inc. (a)

     100             1,350  

VMware, Inc. Class A (a),(b)

     135,200             12,457,328  

Workday, Inc. Class A (a)

     4,200             349,776  

Workiva, Inc. (a)

     5,000             78,250  

Xactly Corp. (a)

     14,200             168,980  

Zynga, Inc. Class A (a)

     310,700             885,495  
          

 

 

 
             56,632,089  
          

 

 

 

Specialty Finance — 0.1%

          

AG Mortgage Investment Trust, Inc.

     8,400             151,620  

AGNC Investment Corp.

     38             756  

Aircastle Ltd.

     700             16,891  

Annaly Capital Management, Inc.

     400             4,444  

Anworth Mortgage Asset Corp.

     10,600             58,830  

 

See Notes to Consolidated Financial Statements.

 

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Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Arbor Realty Trust, Inc. (b)

     15,100           $ 126,538  

ARMOUR Residential REIT, Inc.

     38             863  

Cardtronics plc (a)

     900             42,075  

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

     1,400             6,594  

Dynex Capital, Inc.

     29,100             206,319  

Ellington Residential Mortgage REIT (b)

     2,700             39,582  

Enova International, Inc. (a)

     3,000             44,550  

Euronet Worldwide, Inc. (a)

     1,000             85,520  

Everi Holdings, Inc. (a)

     34,800             166,692  

Fidelity National Information Services, Inc.

     700             55,734  

First American Financial Corp.

     3,100             121,768  

First Data Corp. Class A (a)

     178,300             2,763,650  

FNFV Group (a)

     1,867             24,738  

Great Ajax Corp.

     200             2,610  

Green Dot Corp. Class A (a)

     13,100             437,016  

Invesco Mortgage Capital, Inc.

     33             509  

Ladder Capital Corp.

     13,255             191,402  

Liberty Tax, Inc.

     300             4,275  

Meta Financial Group, Inc. (b)

     1,600             141,600  

MFA Financial, Inc.

     5,700             46,056  

MoneyGram International, Inc. (a)

     10,200             171,462  

MTGE Investment Corp.

     10,700             179,225  

NewStar Financial, Inc.

     1,100             11,638  

Newtek Business Services Corp.

     4,313             73,234  

PennyMac Mortgage Investment Trust

     500             8,875  

PHH Corp. (a)

     900             11,457  

Planet Payment, Inc. (a)

     1,300             5,174  

Redwood Trust, Inc.

     200             3,322  

Sutherland Asset Management Corp.

     155             2,240  

Two Harbors Investment Corp.

     16,200             155,358  

Western Union Co. (The)

     13,000             264,550  

World Acceptance Corp. (a)

     400             20,712  
          

 

 

 
             5,647,879  
          

 

 

 

Technology Services — 0.9%

          

Black Box Corp.

     4,200             37,590  

Booz Allen Hamilton Holding Corp.

     15,500             548,545  

CDW Corp.

     1,500             86,565  

Conduent, Inc. (a)

     24,600             412,788  

Convergys Corp.

     53,500             1,131,525  

CoreLogic, Inc. (a)

     34,600             1,408,912  

CPI Card Group, Inc.

     700             2,940  

CSG Systems International, Inc. (b)

     1,500             56,715  

CSRA, Inc.

     33,300             975,357  

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

     114,347             7,327,356  

 

See Notes to Consolidated Financial Statements.

 

46


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

DMC Global, Inc. (b)

     2,000           $ 24,800  

DST Systems, Inc.

     1,500             183,750  

Dun & Bradstreet Corp. (The)

     6,900             744,786  

Engility Holdings, Inc. (a)

     1,200             34,728  

EPAM Systems, Inc. (a)

     1,200             90,624  

ExlService Holdings, Inc. (a)

     100             4,736  

Forrester Research, Inc.

     100             3,975  

Genpact Ltd.

     110,600             2,738,456  

Globant SA (a)

     1,400             50,960  

Hewlett Packard Enterprise Co. (b)

     337,600             8,001,120  

ICF International, Inc. (a)

     1,300             53,690  

Luxoft Holding, Inc. (a)

     3,600             225,180  

ManTech International Corp. Class A

     700             24,241  

Moody’s Corp.

     100             11,204  

MSCI, Inc.

     6,100             592,859  

NIC, Inc.

     3,000             60,600  

Perficient, Inc. (a)

     400             6,944  

PFSweb, Inc. (a)

     4,700             30,691  

Rightside Group Ltd. (a)

     200             1,984  

S&P Global, Inc.

     33,200             4,340,568  

Sabre Corp. (b)

     192,700             4,083,313  

ServiceSource International, Inc. (a)

     17,600             68,288  

solid border

     45,000             1,858,950  

Sykes Enterprises, Inc. (a)

     200             5,880  

Syntel, Inc.

     13,000             218,790  

Thomson Reuters Corp.

     600             25,938  

TransUnion (a)

     18,200             697,970  

Travelport Worldwide Ltd.

     82,900             975,733  
          

 

 

 
             37,149,051  
          

 

 

 

Telecommunications — 0.2%

          

Consolidated Communications Holdings, Inc.

     8,400             196,728  

DigitalGlobe, Inc. (a)

     800             26,200  

EchoStar Corp. Class A (a)

     2,500             142,375  

FairPoint Communications, Inc. (a),(b)

     10,700             177,620  

General Communication, Inc. Class A (a),(b)

     3,900             81,120  

Gogo, Inc. (a)

     2,600             28,600  

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

     700             16,037  

IDT Corp. Class B (b)

     7,300             92,856  

Internap Network Services Corp. (a),(b)

     20,500             76,260  

Level 3 Communications, Inc. (a)

     20             1,144  

Lumos Networks Corp. (a),(b)

     6,600             116,820  

ORBCOMM, Inc. (a)

     200             1,910  

RigNet, Inc. (a)

     600             12,870  

RingCentral, Inc. Class A (a)

     31,400             888,620  

Spok Holdings, Inc. (b)

     3,200             60,800  

 

See Notes to Consolidated Financial Statements.

 

47


Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares             Value  

Sprint Corp. (a)

     190,600           $ 1,654,408  

Telephone & Data Systems, Inc.

     700             18,557  

Verizon Communications, Inc.

     73,400             3,578,250  

West Corp. (b)

     16,300             398,046  

Zix Corp. (a),(b)

     19,500             93,795  
          

 

 

 
             7,663,016  
          

 

 

 

Transportation & Logistics — 0.2%

          

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

     22,700             364,335  

ArcBest Corp.

     6,300             163,800  

Atlas Air Worldwide Holdings, Inc. (a)

     200             11,090  

Covenant Transportation Group, Inc. Class A (a)

     900             16,920  

International Seaways, Inc. (a)

     1,100             21,032  

JB Hunt Transport Services, Inc.

     300             27,522  

Kansas City Southern

     23,500             2,015,360  

Marten Transport Ltd.

     4,700             110,215  

ModusLink Global Solutions, Inc. (a),(b)

     3,700             6,660  

Navios Maritime Acquisition Corp. (b)

     6,600             11,352  

Overseas Shipholding Group, Inc.

     2,800             10,808  

Roadrunner Transportation Systems, Inc. (a)

     11,000             75,570  

Ryder System, Inc. (b)

     29,000             2,187,760  

Saia, Inc. (a),(b)

     6,400             283,520  

Swift Transportation Co. (a)

     2,100             43,134  

United Parcel Service, Inc. Class B

     17,100             1,834,830  

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

     2,200             16,170  

Werner Enterprises, Inc.

     500             13,100  

YRC Worldwide, Inc. (a)

     4,300             47,343  
          

 

 

 
             7,260,521  
          

 

 

 

Transportation Equipment — 0.0%

          

Allison Transmission Holdings, Inc.

     4,100             147,846  

American Railcar Industries, Inc.

     1,300             53,430  

Blue Bird Corp. (a)

     500             8,575  

Commercial Vehicle Group, Inc. (a)

     9,900             67,023  

Meritor, Inc. (a)

     5,300             90,789  

Spartan Motors, Inc.

     500             4,000  

Trinity Industries, Inc.

     21,400             568,170  
          

 

 

 
             939,833  
          

 

 

 

Utilities — 0.0%

          

AES Corp.

     500             5,590  

NiSource, Inc.

     41,400             984,906  

NRG Energy, Inc.

     18,600             347,820  
          

 

 

 
             1,338,316  
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Shares               Value  

Waste & Environmental Services & Equipment — 0.1%

          

Advanced Disposal Services, Inc. (a)

     1,200           $ 27,120  

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

     22,300             314,653  

Ceco Environmental Corp.

     1,200             12,612  

Covanta Holding Corp.

     5,900             92,630  

Stericycle, Inc. (a)

     57,900             4,799,331  
          

 

 

 
             5,246,346  
          

 

 

 

Total United States

 

          1,129,328,927  
          

 

 

 

Uruguay — 0.0%

 

       

Gaming, Lodging & Restaurants — 0.0%

          

Arcos Dorados Holdings, Inc. A Shares (a)

     47,900             385,595  
          

 

 

 

Total Uruguay

 

          385,595  
          

 

 

 

TOTAL COMMON STOCK
(COST $1,188,170,192)

 

          1,309,077,044  
          

 

 

 

Security Description

   Principal
Amount
              Value  

ASSET-BACKED SECURITIES — 8.2%

 

Cayman Islands — 3.5%

 

       

Adams Mill CLO Ltd., Series 2014-1A, Class D1,
4.52%, 07/15/26 (d),(f),(g)

   $ 4,500,000             4,435,650  

Adirondack Park CLO Ltd., Series 2013-1A, Class E,
5.67%, 04/15/24 (d),(f),(g)

     373,000             365,689  

Alesco Preferred Funding Ltd., Series 13A, Class A2,
1.56%, 09/23/37 (d),(e),(f),(g)

     996,000             637,440  

Allegro CLO Ltd., Series 2013-1A, Class C,
4.49%, 01/30/26 (d),(f),(g)

     5,000,000             4,938,000  

Allegro Ltd., 4.77%, 01/21/27 (d),(f),(g)

     1,900,000             1,886,890  

ALM Loan Funding, Series 2013-7RA, Class CR,
5.06%, 10/15/28 (d),(f),(g)

     1,000,000             1,005,300  

Apidos CLO LLC, Series 2012-10A, Class E,
7.29%, 10/30/22 (d),(f),(g)

     1,000,000             993,100  

Ares CLO Ltd.,

 

Series 2012, Class 3A,
4.92%, 01/17/24 (d),(f),(g)

     3,000,000             3,022,500  

Series 2012-2A, Class DR,
4.72%, 10/12/23 (d),(f),(g)

     400,000             397,040  

Series 2012-2A, Class E,
6.82%, 10/12/23 (d),(f),(g)

     3,621,000             3,594,205  

Attentus CDO Ltd., Series 2007-3A, Class A1B,
1.27%, 10/11/42 (d),(e),(f),(g)

     681,494             654,234  

 

See Notes to Consolidated Financial Statements.

 

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Table of Contents

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Principal
Amount
            Value  

Babson CLO Ltd.,

 

Series 2013-IA, Class D,
4.53%, 04/20/25 (d),(f),(g)

   $ 3,200,000           $ 3,176,000  

Series 2015-2A, Class E,
6.58%, 07/20/27 (d),(f),(g)

     650,000             635,310  

Benefit Street Partners CLO Ltd., Series 2013-IIA, Class D, 5.52%, 07/15/24 (d),(f),(g)

     2,823,000             2,755,530  

BlueMountain CLO Ltd.,

 

Series 2012-1A, Class E,
6.53%, 07/20/23 (d),(f),(g)

     2,360,000             2,343,008  

Series 2013-2A, Class D,
4.59%, 01/22/25 (d),(f),(g)

     600,000             600,300  

Bridgeport CLO Ltd., Series 2007-2A, Class C,
3.40%, 06/18/21 (d),(f),(g)

     750,000             743,250  

Carlyle Global Market Strategies CLO Ltd.,

 

Series 2013-2A, Class E,
6.02%, 04/18/25 (d),(f),(g)

     600,000             602,280  

Series 2014-2A, Class D,
4.54%, 05/15/25 (d),(f),(g)

     1,900,000             1,890,500  

Series 2014-3A, Class D1,
6.14%, 07/27/26 (d),(f),(g)

     660,000             646,998  

Catamaran CLO Ltd.,

 

Series 2014-1A, Class C,
4.28%, 04/20/26 (d),(f),(g)

     3,100,000             3,015,680  

Series 2015-1A, Class D,
4.69%, 04/22/27 (d),(f),(g)

     1,000,000             989,800  

Series 2015-1A, Class E,
6.19%, 04/22/27 (d),(f),(g)

     600,000             570,840  

Cathedral Lake Ltd., Series 2013-1A, Class C,
4.67%, 01/15/26 (d),(f),(g)

     1,000,000             987,600  

CIFC Funding Ltd.,

 

Series 2007-3A, Class D,
6.28%, 07/26/21 (d),(f),(g)

     1,900,000             1,888,600  

Series 2012-2A, Class B1R,
4.75%, 12/05/24 (d),(f),(g)

     1,300,000             1,291,810  

Series 2012-2A, Class B2R,
6.85%, 12/05/24 (d),(f),(g)

     2,544,000             2,529,245  

Series 2012-3A, Class B1R,
5.04%, 01/29/25 (d),(f),(g)

     1,500,000             1,489,950  

Series 2013-1A, Class D,
6.26%, 04/16/25 (d),(f),(g)

     2,709,000             2,710,084  

Series 2014-3A, Class E,
5.79%, 07/22/26 (d),(f),(g)

     1,500,000             1,450,800  

Series 2014-4A, Class D,
4.42%, 10/17/26 (d),(f),(g)

     1,200,000             1,201,080  

 

See Notes to Consolidated Financial Statements.

 

50


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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Principal
Amount
            Value  

Series 2015-3A, Class E,
7.07%, 10/19/27 (d),(f),(g)

   $ 800,000           $ 795,520  

Series 2015-4A, Class D,
6.53%, 10/20/27 (d),(f),(g)

     1,000,000             980,400  

Covenant Credit Partners CLO Ltd., Series 2014-2A, Class D, 4.67%, 10/17/26 (d),(f),(g)

     2,000,000             1,991,200  

Crown Point CLO Ltd., Series 2012-1A, Class B1L,
6.06%, 11/21/22 (b),(d),(f),(g)

     1,000,000             994,500  

Cutwater Ltd.,

 

Series 2015-1A, Class D1,
4.92%, 07/15/27 (d),(f),(g)

     4,500,000             4,434,300  

Series 2015-1A, Class E,
7.02%, 07/15/27 (d),(f),(g)

     733,000             705,659  

Diamond Head Aviation, Series 2015-1, Class B,
5.92%, 07/14/28 (d),(f)

     642,509             654,267  

Dryden Senior Loan Fund, Series 2014-36A, Class DR,
4.64%, 01/15/28 (d),(f),(g)

     3,000,000             3,022,800  

Eastland CLO Ltd., Series 2007-1A, Class C,
2.53%, 05/01/22 (d),(f),(g)

     400,000             376,760  

Eaton Vance CDO Ltd., Series 2006-8A, Class D,
4.46%, 08/15/22 (d),(f),(g)

     800,000             795,040  

Flagship CLO Ltd., Series 2014-8A, Class D,
4.72%, 01/16/26 (d),(f),(g)

     789,000             775,429  

Golub Capital Partners CLO Ltd., Series 2015-22A, Class C, 5.20%, 02/20/27 (d),(f),(g)

     1,200,000             1,196,520  

Halcyon Loan Advisors Funding Ltd., Series 2014-2A, Class C, 4.54%, 04/28/25 (b),(d),(f),(g)

     1,800,000             1,714,140  

Jamestown CLO Ltd.,

 

Series 2013-2A, Class D,
6.79%, 01/22/25 (d),(f),(g)

     2,000,000             1,985,600  

Series 2015-7A, Class C,
4.79%, 07/25/27 (d),(f),(g)

     2,000,000             1,981,600  

Series 2015-7A, Class D,
6.54%, 07/25/27 (d),(f),(g)

     1,100,000             1,054,680  

KKR Financial CLO Ltd., Series 2012-1A, Class C,
5.63%, 12/15/24 (b),(d),(f),(g)

     3,500,000             3,477,600  

Kodiak CDO Ltd., Series 2006-1A, Class A2,
1.51%, 08/07/37 (d),(e),(f),(g)

     1,250,000             1,050,000  

Madison Park Funding Ltd.,

 

Series 2012-10A, Class DR,
5.23%, 01/20/29 (d),(f),(g)

     1,000,000             999,400  

Series 2014-14A, Class E,
5.78%, 07/20/26 (b),(d),(f),(g)

     1,500,000             1,450,050  

Nelder Grove CLO Ltd., Series 2014-1A, Class D1R,
5.10%, 08/28/26 (d),(f),(g)

     3,000,000             3,022,500  

 

See Notes to Consolidated Financial Statements.

 

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Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Principal
Amount
            Value  

Neuberger Berman CLO Ltd., Series 2014-16A, Class D, 4.37%, 04/15/26 (d),(f),(g)

   $ 1,000,000           $ 982,200  

Northwoods Capital Ltd., Series 2014-12A, Class DR,
1.00%, 09/15/25 (d),(f),(g)

     3,000,000             2,977,500  

Ocean Trails CLO,

 

Series 2014-5A, Class DR,
1.00%, 10/13/26 (d),(f),(g)

     1,800,000             1,782,360  

Series 2014-5A, Class E,
6.37%, 10/13/26 (d),(f),(g)

     2,000,000             1,959,400  

Octagon Investment Partners Ltd.,

 

Series 2006-10A, Class D,
2.42%, 10/18/20 (d),(f),(g)

     315,950             314,908  

Series 2007-1A, Class D,
5.15%, 08/25/21 (d),(f),(g)

     1,000,000             994,900  

Series 2012-1AR, Class DR,
4.08%, 05/05/23 (d),(f),(g)

     1,000,000             993,200  

Series 2013-1A, Class CR,
4.44%, 12/16/24 (d),(f),(g)

     1,000,000             996,400  

Series 2014-1A, Class E,
6.28%, 08/12/26 (d),(f),(g)

     600,000             570,240  

Series 2014-1A, Class E1,
6.29%, 11/25/25 (d),(f),(g)

     900,000             866,700  

Series 2014-1A, Class D,
7.64%, 11/14/26 (d),(f),(g)

     2,000,000             1,988,000  

OFSI Fund Ltd., Series 2013-5A, Class B2L,
6.27%, 04/17/25 (d),(f),(g)

     1,900,000             1,866,940  

OHA Loan Funding Ltd., Series 2013-1A, Class E,
6.19%, 07/23/25 (d),(f),(g)

     1,012,000             1,023,638  

OZLM Funding Ltd.,

 

Series 2012-2A, Class CR,
4.89%, 10/30/27 (d),(f),(g)

     1,500,000             1,494,150  

Series 2013-4A, Class C,
4.24%, 07/22/25 (d),(f),(g)

     800,000             791,600  

Series 2013-5A, Class D,
5.77%, 01/17/26 (b),(d),(f),(g)

     2,050,000             2,009,000  

OZLM Ltd.,

 

Series 2014-7A, Class C,
4.62%, 07/17/26 (d),(f),(g)

     1,500,000             1,488,750  

Series 2015-11A, Class D,
6.44%, 01/30/27 (d),(f),(g)

     800,000             777,200  

Series 2015-13A, Class D,
6.49%, 07/30/27 (d),(f),(g)

     1,100,000             1,068,760  

Parallel Ltd., Series 2015-1A, Class D,
4.68%, 07/20/27 (d),(f),(g)

     1,500,000             1,483,650  

 

See Notes to Consolidated Financial Statements.

 

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Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Principal
Amount
            Value  

Preferred Term Securities Ltd./Preferred Term Securities, Inc.,

          

1.48%, 06/22/37 (d),(e),(f),(g)

   $ 271,164           $ 169,478  

1.50%, 09/22/37 (d),(e),(f),(g)

     267,307             168,403  

1.51%, 03/22/37 (d),(e),(f),(g)

     968,152             614,776  

1.56%, 12/22/35 (d),(e),(f),(g)

     1,032,739             660,953  

1.61%, 09/23/35 (d),(e),(f),(g)

     198,454             136,933  

1.64%, 06/23/35 (b),(d),(e),(f),(g)

     211,000             133,985  

Sound Point CLO I Ltd., Series 2012-1A, Class D,
5.61%, 10/20/23 (d),(f),(g)

     900,000             893,790  

Sound Point CLO Ltd.,

          

Series 2012-1A, Class E,
7.03%, 10/20/23 (d),(f),(g)

     300,000             297,930  

Series 2014-1A, Class D,
4.42%, 04/18/26 (d),(f),(g)

     1,200,000             1,206,360  

Series 2015-2A, Class D,
4.58%, 07/20/27 (d),(f),(g)

     1,700,000             1,684,360  

Stone Tower CLO Ltd., Series 2007-6A, Class D,
4.62%, 04/17/21 (d),(f),(g)

     7,189,000             7,137,958  

Symphony CLO Ltd.,

          

Series 2006-2A, Class D,
4.55%, 10/25/20 (d),(f),(g)

     1,000,000             997,000  

Series 2007-3A, Class E,
4.69%, 05/15/19 (d),(f),(g)

     1,300,000             1,292,330  

Series 2013-11A, Class D,
5.02%, 01/17/25 (d),(f),(g)

     2,100,000             2,085,090  

TICP CLO Ltd., Series 2016-6A, Class D,
5.08%, 01/15/29 (d),(f),(g)

     1,000,000             1,003,800  

Trapeza CDO LLC,

          

Series 2007-12A, Class A2, 1.
36%, 04/06/42 (d),(e),(f),(g)

     375,000             232,500  

Series 2007-13A, Class A2A,
1.37%, 11/09/42 (d),(e),(f),(g)

     431,000             265,065  

Series 2007-13A, Class A3,
1.47%, 11/09/42 (b),(d),(e),(f),(g)

     270,000             163,350  

Venture CDO Ltd.,

          

Series 2013-13A, Class D,
4.66%, 06/10/25 (d),(f),(g)

     5,000,000             4,966,000  

Series 2013-14A, Class D,
4.80%, 08/28/25 (b),(d),(f),(g)

     4,775,000             4,752,080  

Series 2014-16A, Class B1L,
4.47%, 04/15/26 (b),(d),(f),(g)

     4,000,000             3,939,600  

Series 2014-19A, Class D,
5.02%, 01/15/27 (b),(d),(f),(g)

     2,500,000             2,493,000  

Vibrant CLO Ltd., Series 2015-3A, Class C,
4.68%, 04/20/26 (d),(f),(g)

     3,082,000             3,080,459  

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Principal
Amount
              Value  

Voya CLO Ltd., Series 2013-1A, Class C,
4.52%, 04/15/24 (b),(d),(f),(g)

   $ 1,900,000           $ 1,884,040  
          

 

 

 

Total Cayman Islands

             153,595,414  
          

 

 

 

United States — 4.7%

          

Access Group, Inc., Series 2005-A, Class B,
1.84%, 07/25/34 (d),(g)

     1,928,274             1,722,141  

AMPLIT Trust, Series 2015-A, Class B,
6.75%, 09/15/21 (d),(f)

     1,207,000             1,217,380  

Amresco Independence Funding, Series 1999-1A, Class M, 3.05%, 07/15/26 (d),(e),(f),(g)

     94,768             86,476  

Apollo Aviation Securitization, Series 2016-1A, Class B, 6.50%, 03/17/36 (d),(f),(g),(l)

     4,114,800             4,144,427  

Ares CLO Ltd., Series 2007-3RA, Class E,
4.52%, 04/16/21 (d),(f),(g)

     2,500,000             2,481,250  

Ascentium Equipment Receivable Trust, Series 2016-2A, Class E, 6.79%, 10/10/24 (d),(e),(f)

     377,000             396,227  

Associates Manufactured Housing Pass-Through Certificates,

 

Series 1997-2, Class M,
7.03%, 03/15/28 (d),(e),(g)

     103,994             104,722  

Series 1997-2, Class B1,
7.15%, 03/15/28 (d),(e),(g)

     274,495             324,618  

Avant Loans Funding Trust,

 

Series 2016-A, Class B, 7.65%, 06/15/20 (d),(f)

     1,262,000             1,293,550  

Series 2016-B, Class B, 7.80%, 09/15/20 (d),(f)

     7,330,000             7,588,016  

Bear Stearns Asset-Backed Securities Trust,

 

Series 2007-1, Class A2, 1.26%, 01/25/37 (d),(g)

     1,916,110             1,841,957  

Series 2007-2, Class A2, 1.30%, 01/25/47 (d),(g)

     3,080,027             2,967,298  

Carlyle Global Market Strategies CLO Ltd.,

 

Series 2014-1A, Class D,
4.47%, 04/17/25 (d),(f),(g)

     1,700,000             1,701,020  

Series 2015-3A, Class D,
6.74%, 07/28/28 (d),(f),(g)

     1,100,000             1,089,110  

Carrington Mortgage Loan Trust, Series 2006-NC3, Class A2, 1.08%, 08/25/36 (d),(g)

     554,453             541,977  

Castlelake Aircraft Securitization Trust, Series 2016-1, Class B, 6.15%, 08/15/41 (d)

     4,620,423             4,613,492  

Chrysler Capital Auto Receivable Trust,

 

Series 2014-AA, Class D, 2.64%, 07/15/21 (d),(f)

     1,380,000             1,374,342  

Series 2015-BA, Class D, 4.17%, 01/16/23 (d),(f)

     5,300,000             5,381,090  

Series 2016-AA, Class D, 4.22%, 02/15/23 (d),(f)

     2,000,000             2,008,800  

Citi Held For Asset Issuance,

 

Series 2015-PM3, Class C,
6.99%, 05/16/22 (d),(f)

     267,000             271,032  

Series 2016-PM1, Class C,
10.26%, 04/15/25 (d),(f)

     254,000             270,739  

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Principal
Amount
            Value  

Conn Funding II LP, Series 2016-A, Class B,
8.96%, 08/15/18 (d),(f)

   $ 813,000           $ 823,244  

Conseco Financial Corp., Series 1998-4 SEQ, Class A5, 6.18%, 04/01/30 (d)

     315,902             333,214  

Countrywide Home Equity Loan Trust,

 

Series 2004-I, Class A,
1.20%, 02/15/34 (d),(e),(g)

     809,832             735,085  

Series 2004-P, Class 2A,
1.23%, 03/15/34 (d),(e),(g)

     18,446             16,714  

Series 2006-G, Class 2A,
0.92%, 10/15/36 (d),(e),(g)

     184,673             158,209  

Credit Suisse Mortgage Trust,

 

Series 2015-RPL2, Class A1A,
3.75%, 11/25/57 (d),(f),(g),(l)

     5,953,566             5,872,002  

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

     6,218,423             6,135,096  

Series 2015-RPL5, Class A1,
3.50%, 11/26/55 (b),(d),(f),(g),(l)

     32,333,443             31,919,575  

Credit-Based Asset Servicing & Securitization LLC,

 

Series 2006-SC1, Class M1,
1.34%, 05/25/36 (d),(e),(f),(g)

     195,000             182,812  

Series 2006-SC1, Class M2,
1.38%, 05/25/36 (d),(e),(f),(g)

     529,000             477,105  

Deutsche Financial Capital Securitization LLC, Series 1998-I, Class M, 6.80%, 04/15/28 (d)

     98,154             103,308  

Drive Auto Receivables Trust,

 

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

     5,300,000             5,401,230  

Series 2015-DA, Class C,
3.38%, 11/15/21 (d),(f)

     5,375,000             5,449,175  

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

     2,500,000             2,539,000  

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

     1,000,000             1,020,600  

Exeter Automobile Receivables Trust,

 

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

     3,000,000             3,103,800  

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

     2,700,000             2,775,870  

Series 2014-3A, Class C,
4.17%, 06/15/20 (b),(d),(f)

     1,900,000             1,927,360  

FFCA Secured Lending Corp., Series 1999-2, Class WA1C, 7.95%, 05/18/26 (d),(e),(f)

     642,551             644,479  

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

     1,800,000             1,837,260  

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Principal
Amount
            Value  

Flatiron CLO Ltd.,

 

Series 2007-1A, Class D,
3.62%, 10/15/21 (d),(f),(g)

   $ 800,000           $ 798,400  

Series 2007-1A, Class E,
6.02%, 10/15/21 (d),(f),(g)

     1,500,000             1,495,950  

GE Business Loan Trust, Series 2005-1A, Class C,
1.61%, 06/15/33 (d),(e),(f),(g)

     23,912             19,691  

Honor Automobile Trust Securitization, Series 2016-1A, Class B, 5.76%, 04/15/21 (d),(f)

     520,000             522,028  

Merit Securities Corp., Series 12-1, Class 1M1,
7.63%, 07/28/33 (d),(g),(l)

     950,000             1,007,000  

Merlin Aviation Holdings DAC, Series 2016-1 SEQ, Class A, 4.50%, 12/15/32 (d),(f),(g),(l)

     9,016,212             8,813,347  

Nationstar HECM Loan Trust,

 

Series 2015-2A, Class M2,
6.66%, 11/25/25 (d),(f)

     3,253,000             3,300,819  

Series 2016-1A, Class M2,
7.39%, 02/25/26 (d),(f)

     2,509,000             2,511,509  

Series 2016-2A, Class M2,
6.54%, 06/25/26 (d),(f)

     1,693,000             1,710,099  

Series 2016-3A, Class M2,
5.68%, 08/25/26 (d),(f)

     1,217,000             1,208,481  

Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV2, 1.11%, 06/25/37 (b),(d),(g)

     373,511             375,864  

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

     6,485,916             6,483,970  

Ondeck Asset Securitization Trust, Series 2016-1A, Class B, 7.63%, 05/17/20 (d),(e),(f)

     2,993,000             3,023,529  

Oportun Funding LLC, Series 2016-C, Class B,
4.85%, 11/08/21 (d),(f)

     1,108,000             1,113,540  

Preston Ridge Partners Mortgage LP, Series 2016-1A, Class A1, 4.00%, 09/27/21 (d),(f),(g)

     6,155,348             6,147,961  

Pretium Mortgage Credit Partners LLC, Series 2016-NPL1 SEQ, Class A1,
4.38%, 02/27/31 (b),(d),(f),(g),(l)

     6,870,464             6,879,396  

Venture CDO Ltd.,

 

Series 2007-8A, Class E,
5.29%, 07/22/21 (d),(f),(g)

     700,000             693,910  

Series 2007-9A, Class D,
5.16%, 10/12/21 (d),(f),(g)

     2,000,000             1,995,200  

Vericrest Opportunity Loan Trust,

 

Series 2015-NP10, Class A1,
3.63%, 07/25/45 (d),(f),(g),(h),(l)

     11,272,251             11,276,760  

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

     3,518,700             3,532,774  

 

See Notes to Consolidated Financial Statements.

 

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Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2017

 

Security Description

   Principal
Amount
              Value  

Series 2015-NPL2, Class A1,
3.38%, 02/25/55 (b),(d),(f),(g),(l)

   $ 1,410,134           $ 1,410,839  

Series 2015-NPL4, Class A1,
3.50%, 02/25/55 (b),(d),(f),(g),(l)

     748,220             750,091  

Series 2015-NPL9, Class A1,
3.50%, 06/26/45 (d),(f),(g),(h),(l)

     4,776,443             4,775,966  

Series 2016-NPL4 SEQ, Class A1,
4.25%, 04/25/46 (d),(f),(g),(l)

     752,644             758,741  

Series 2016-NPL5 SEQ, Class A1,
4.00%, 05/25/46 (d),(f),(g),(l)

     3,950,609             3,970,757  

Series 2016-NPL6 SEQ, Class A1,
3.84%, 06/25/46 (d),(f),(g),(l)

     7,151,053             7,169,645  

Series 2016-NPL7 SEQ, Class A1,
3.75%, 06/25/46 (d),(f),(g),(h),(l)

     5,858,529             5,876,690  

Westgate Resorts LLC, Series 2014-1A, Class C,
5.50%, 12/20/26 (b),(d),(f)

     1,564,759             1,560,534  
          

 

 

 

Total United States

 

       202,058,293  
          

 

 

 

TOTAL ASSET-BACKED SECURITIES
(COST $349,435,431)

 

       355,653,707  
          

 

 

 

CONVERTIBLE BONDS — 1.8%

 

France — 0.0%

 

    

Internet Media — 0.0%

          

Solocal Group, 0.00%, 03/13/22 (j)

     81,227        EUR          875  
          

 

 

 

Total France

 

       875  
          

 

 

 

Germany — 1.3%

 

    

Pharmaceuticals — 1.2%

 

    

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

     23,000,000        EUR          28,538,282  

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

     19,800,000        EUR          24,567,738  
          

 

 

 
             53,106,020  
          

 

 

 

Real Estate — 0.1%

          

Deutsche Wohnen AG REG S, 0.33%, 07/26/24

     4,200,000        EUR          4,379,746  
          

 

 

 

Total Germany

             57,485,766  
          

 

 

 

Spain — 0.5%

          

Wireless Telecommunication Services — 0.5%