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Blackstone Alternative Investment Funds – ‘N-CSR’ for 3/31/16

On:  Thursday, 6/2/16, at 3:08pm ET   ·   Effective:  6/2/16   ·   For:  3/31/16   ·   Accession #:  1193125-16-611033   ·   File #:  811-22743

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 6/02/16  Blackstone Alternative Inv Funds  N-CSR       3/31/16    4:7.1M                                   RR Donnelley/FABlackstone Alternative Multi-Manager Fund Class I Shares (BXMMX)Blackstone Alternative Multi-Strategy Fund Class D SharesClass IClass R SharesClass Y Shares

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

Document/Exhibit                   Description                      Pages   Size 

 1: N-CSR       Blackstone Alternative Investment Funds             HTML   4.39M 
 4: EX-99.906CERT  Exhibit 906                                      HTML      8K 
 3: EX-99.CERT  Exhibit 302                                         HTML     16K 
 2: EX-99.CODE ETH  Code of Ethics                                  HTML     20K 


N-CSR   —   Blackstone Alternative Investment Funds
Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
"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 Investment Funds  

 

 

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, 2016

 

 

 


Item 1. Reports to Stockholders.

The Report to Shareholders is attached hereto.


 Blackstone

 

Blackstone Alternative Multi-Manager Fund

Blackstone Alternative Multi-Strategy Fund

Series of Blackstone Alternative Investment Funds

 

Annual Report

For the Year Ended March 31, 2016

 


TABLE OF CONTENTS

 

Management’s Discussion of Fund Performance

       1  

Performance Summary

       5  

Portfolio Information

       6  

Consolidated Schedule of Investments

       13  

Consolidated Statement of Assets and Liabilities

       204  

Consolidated Statement of Operations

       206  

Consolidated Statement of Changes in Net Assets

       207  

Consolidated Statement of Cash Flows

       210  

Consolidated Financial Highlights

       212  

Notes to Consolidated Financial Statements

       216  

Report of Independent Registered Public Accounting Firm

       253  

Shareholder Fee Example

       254  

Supplemental Information

       256  

All investors should consider the investment objectives, risks, charges and expenses of the Blackstone Alternative Multi-Strategy Fund and the Blackstone Alternative Multi-Manager Fund (collectively the “Funds”) carefully before investing. The prospectus and, if available, the summary prospectus contain this and other information about the Funds. You can obtain a prospectus and, if available, a summary prospectus, from the Fund’s website (www.blackstone.com/bammf). All investors are urged to carefully read the prospectus and, if available, the summary prospectus, in its entirety before investing. Interests in the Funds 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. 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 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. 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.


BLACKSTONE ALTERNATIVE INVESTMENT FUNDS

Dear Blackstone Investor,

We are pleased to present this annual shareholder report for Blackstone Alternative Investment Funds (“BAIF”), which includes Blackstone Alternative Multi-Manager Fund (“Multi-Manager Fund”) and Blackstone Alternative Multi-Strategy Fund (“Multi-Strategy Fund”) (each individually referred to as a “Fund,” and collectively, the “Funds”). This report includes portfolio commentary, a listing of each Fund’s investments and each Fund’s audited financial statements. Audited financial statements for both Funds cover the year from April 1, 2015 to March 31, 2016 (the “Reporting Period”).

Each Fund’s investment objective is to seek capital appreciation. Each 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”) determines the allocations of a Fund’s assets and allocates a majority of a Fund’s assets among investment sub-advisers with experience managing alternative investment strategies and among investment funds. Each sub-adviser is responsible for the day-to-day management of a 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 Funds’ investment sub-advisers, and it may also manage a portion of the Funds’ assets directly.

Fund Performance1

The Reporting Period presented a challenging market for the types of strategies utilized by the Funds. The Funds faced a number of headwinds that prevented the Funds from providing as much downside protection and upside capture as they have in prior periods. Despite these challenging conditions, we are pleased with each Fund’s performance results thus far and remain focused on pursuing the Funds’ investment objective. As the world’s largest discretionary allocator to hedge funds,2 with a 26-year track record in hedge fund investing, we will continue to leverage our due diligence, risk management, and investment expertise in identifying alternative investment strategies and investment sub-advisers for the Funds.

Multi-Manager Fund

During the Reporting Period, the Multi-Manager Fund generated a cumulative return, net of fees and expenses, of -3.71%3 and realized an annualized volatility4 of 4.35% with a Sharpe ratio5 of -0.88. Over the same period,

 

1  The volatility of the indices presented may be materially different from that of the performance of the Multi-Manager Fund and the Multi-Strategy Fund. In addition, the indices employ different investment guidelines and criteria than the Funds; as a result, the holdings in the Funds 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 Funds, but rather is disclosed to allow for comparison of the Funds’ 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  This statement refers to the Hedge Fund Solutions business of The Blackstone Group L.P., which includes the Funds’ investment adviser. Source: InvestHedge Billion Dollar Club. Data as of December 2015.
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. The more spread apart the data, the higher the standard deviation. Standard deviation is calculated by taking the square root of the “variance” (the average of the squared difference between each number and the mean of the data set).
5  Sharpe ratio” is a ratio to measure risk-adjusted performance that is calculated by subtracting the risk-free rate (such as the 10-year U.S. Treasury bond) from the rate of return for a portfolio and dividing the result by the Standard Deviation (defined above) of the portfolio returns. The greater a portfolio’s Sharpe ratio, the better its risk-adjusted performance has been.

 

1


The HFRX Global Hedge Fund Index, a measure of hedge fund performance, returned -7.36%; the MSCI World Total Return Index, a measure of global equity market performance, returned -2.90%; and the Barclays U.S. Aggregate Bond Index, a measure of U.S. investment grade bond performance, returned 1.96%.

On April 4, 2016, the Board of Trustees of the Multi-Manager Fund approved a plan to liquidate the Fund on or about May 31, 2016. The Investment Adviser will continue to manage the Multi-Strategy Fund, which is the larger of the two Funds.

Multi-Strategy Fund

During the Reporting Period, the Multi-Strategy Fund generated a cumulative return, net of fees and expenses, of -3.01%2 and realized an annualized volatility3 of 4.03% with a Sharpe ratio4 of -0.77.

Portfolio Manager Changes

Consistent with its historical approach to team-based portfolio management, the Investment Adviser has designated each of the members of the investment committee as a portfolio manager of each Fund. As of April 6, 2016, 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, 2016 was one that subjected investors to significant volatility. Although equity markets ended the year somewhat close to where they started, with the S&P 500 Index up 1.78% and the MSCI World Index down -2.90%, investors experienced drawdowns of significant magnitudes that are relatively rare in a historical context. In just the first eleven trading days of January, the S&P 500 Index declined by approximately 8%, one of its worst starts to a year ever. Then, almost as quickly, the market reversed course and rallied approximately 13% from its low on February 11 to its March 31 close. Negative sentiments weighing on markets include fear over decelerating growth in China, continuation of low oil prices, and uncertainty over the pace of potential federal funds rate increases. Geopolitical risks, ranging from Saudi Arabia severing relations with Iran to the U.S. presidential election, are also putting pressure on stock markets, and could continue to do so for a while. In seeking capital appreciation, the Funds attempt to protect capital and, since their inceptions, the Multi-Manager Fund and Multi-Strategy Funds have protected against 75% and 73%, respectively, of the market’s downside during months when the S&P 500 Index had negative returns.6

During the Reporting Period, the Funds’ equity strategies detracted from performance, although the last 12 months could be considered a tale of two halves, with equity strategies generating gains in the first half of the year but suffering in the second half. In the first 6 months of the Reporting Period, equity strategies benefitted from a healthy alpha7 capture environment, with a significant portion of alpha driven by short positions. This is a testament to the sub-advisers’ ability to pick short positions in a bull market. Over the next 6 months, however, equity sub-advisers experienced challenging market conditions, largely a result of the de-risking event that began in January. Concern about slowing global growth, particularly in China, and the continued decline in oil prices resulted in a significant de-risking event across the markets, particularly

 

6  Past performance is not indicative of future results and there is no assurance that the Fund will achieve its objectives or avoid significant losses.
7  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.

 

2


for hedge fund strategies. In fact, many investors wondered whether the Federal Reserve acted prematurely when it raised short-term interest rate targets in December 2015, particularly after a flurry of uninspiring economic data points were released that evidenced a material slowdown in domestic manufacturing and corporate profits. With this as a backdrop, momentum stocks began to reverse course and many hedge funds began to take down their risk profiles, first on the long-side, but later in the quarter on the short side as well. Reducing risk on the short side involves buying shares of shorted stocks to “cover” the exposure, which had a cascading effect of driving up stock prices even further, resulting in a short squeeze that was the most extreme instance we’ve seen since the March 2009 market bottom following the global financial crisis. Despite the challenges, we continue to believe that single name short exposures are a potential source of alpha over the long term, and may continue to benefit each portfolio over time.

A second theme negatively impacting each Fund’s equity strategies has been a dispersion in returns across sectors which, in part, has been driven by a rotation out of growth/momentum names into more value orientated strategies. The Funds have historically been overweight healthcare and financials, two sectors which have contributed positively to performance since inception of each Fund. Starting in September, however, healthcare stocks have suffered losses, largely amid concern that political pressure could bring down the price of prescription drugs. Financials stocks also suffered, mostly in the beginning of 2016, due to the increased likelihood that the U.S. will remain in a low rate environment. Despite recent challenges, we continue to believe that the best opportunities for alpha are in sectors where there are disruptive forces such as regulatory changes or technological advantages that result in intra-sector performance dispersion, and we currently retain conviction in these positions. Some healthcare names in particular may have tremendous embedded value and we believe there could be investment opportunity where fundamentals remain strong.

Each Fund’s credit strategies also detracted from performance during the Reporting Period. Some of the same forces impacting equity markets also impacted the credit markets, causing spreads across credit products to widen over the year. In the corporate credit space, performance lagged primarily due to the underperformance of distressed credits. Lower rated credits (rated CCC and below by Standard & Poor’s) drove underperformance, with energy credits being among the largest detractors. While each Fund’s asset-backed sub-strategies experienced mark-to-market losses and ended the Reporting Period down, the sub-advisers continued to search for opportunities to take advantage of market dislocations and subsequently benefitted from the high yield rally occurring in March. In particular, exposure to credit risk transfer bonds8 contributed to performance at the end of the Reporting Period due to spread tightening, which was mostly driven by a reversal of poor technicals and an improvement in market sentiment and the primary markets. Although each Fund is heavily skewed towards asset backed credit versus corporate credit, we are increasingly bullish on the opportunity for corporate credit. Redemptions from hedge funds and fund flows from mutual funds will likely continue to create forced sellers of attractive risk across the corporate credit spectrum, providing opportunities for liquidity providers to capture excess spread.

We allocate a portion of each Fund’s assets to multi-asset strategies because their expected lower correlations to equity and credit markets may offer diversification benefits to a Fund’s portfolio. During the Reporting Period, the Funds’ multi-asset strategies collectively continued to stabilize the portfolio, given idiosyncratic exposures in emerging markets and asset selection in market neutral quantitative exposures. The low pair-wise correlation of these managers to directional market risk has offset losses from long-biased equity and credit managers through Q1 volatility. Gains were driven by long positions in Argentina, Venezuela and Greek sovereign bonds. Losses came from risk premia models, specifically in equity value strategies in March and fixed income momentum strategies in February. Looking ahead, we believe that there will continue to be substantial divergence in foreign exchange markets around the world due to factors such as currency account balances, risk sentiment, and net commodity consuming versus producing countries, which could create attractive long and short opportunities for some of our macro-focused strategies.

 

8  The Funds invested in credit risk transfer bonds issued by Fannie Mae or Freddie Mac, which reference pools of large, diversified fixed-rate mortgage loans.

 

3


During the Reporting Period, the Investment Adviser hired three new sub-advisers for the Multi-Manager Fund and four new sub-advisers for the Multi-Strategy Fund: Blackstone Senfina Advisors L.L.C.9 (equity hedge strategy; both Funds), D.E. Shaw Investment Management, LLC (multi-strategy strategy; both Funds), IPM Informed Portfolio Management AB (multi-strategy strategy; both Funds), and Nephila Capital, Ltd. (event-driven strategy; Multi-Strategy Fund).10 The Investment Adviser also terminated three sub-advisers to each Fund during the period: Union Point Advisors, LLC (fundamental strategy), Verde Serviços Internacionais S.A. (macro strategy), and BTG Pactual Asset Management US, LLC (macro strategy). Sub-adviser additions and terminations are normal events in the Investment Adviser’s investment process and result from our dynamic evaluation of the top down assessment of the opportunity set for fund strategies as well as the bottom up evaluation of a manager’s ability to deliver alpha in a given environment. If done properly, there is potential value that can be created by making the right top-down calls on which asset classes are attractive in a given environment and increasing a Fund’s exposure to those asset classes. For more information on recently added sub-advisers, please refer to the description of sub-advisers available on the Funds’ website.

Looking forward to the remainder of 2016 and into 2017, we believe it is difficult to make the case that the risk factors weighing on the last 12 months will subside in the near-term, despite recent economic data supporting a story of improving fundamentals and a positive outlook. U.S. unemployment remains low at approximately 5%, and we retain our belief that China will have a “soft” rather than “hard” landing. While we do not foresee a recession in 2016, we are more sympathetic to the view that a recession may come around in 2017. The average period of US economic expansion in the post-War period has averaged five years, while the longest expansion in US history was ten years. So, with this expansion more than 7 years in, we believe there could be more downside than upside in equity markets and that they could continue to be volatile. Therefore, we are currently keeping our investment philosophy constant and look to keep the beta11 of the portfolio low by reducing allocations to strategies with higher equity betas or market directionality in favor of strategies with less market directionality. As measured by our beta to the S&P 500 Index, we currently have the lowest level of directional equity risk over the life of each Fund at 0.17. At the same time, we believe recent negative performance is specific to the deleveraging events in the market, and that markets are being driven by technicals as opposed to fundamentals. While this creates a negative alpha environment for stock pickers, managers should be well positioned if markets normalize.

We retain high conviction in the Funds’ sub-advisers and continue to manage each portfolio dynamically, allocating to strategies that we believe have attractive alpha generation potential in the current environment. Despite a tough start to the year, we believe that the environment is primed for investment strategies that are diversified and hedged by nature and that offer alpha generation potential through security selection and strategic asset allocation. It is this type of approach that we expect will be valuable to the Funds’ portfolios over the course of 2016 and beyond.

Thank you for your continued confidence in us. We look forward to continuing to service your investment needs in the years to come.

Sincerely,

 

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

 

9  Blackstone Senfina Advisors L.L.C. (“Senfina”) is an indirect wholly-owned subsidiary of The Blackstone Group L.P., a publicly traded master limited partnership that has units that trade on the New York Stock Exchange under the symbol “BX.” Senfina is an affiliate of the Investment Adviser on the basis that it is under common control with the Investment Adviser. The investment by the Funds with Senfina benefits Blackstone and a withdrawal from Senfina would be detrimental to Blackstone.
10  Nephila Capital, Ltd. was added as a new sub-adviser during the Reporting Period only for the Multi-Strategy Fund; it was already serving as a sub-adviser to the Multi-Manager Fund.
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


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 http://www.blackstone.com/the-firm/asset-management/registered-funds.

Value of a $10,000 Investment Since the Beginning of the Fiscal Year at Net Asset Value*

 

LOGO

 

* The line graph represents historical performance of a hypothetical investment of $10,000 from April 1, 2015 to March 31, 2016, assuming the reinvestment of distributions.

Cumulative Total Return

 

    For the
Year Ended
March 31,
2016

Multi-Manager Fund—Class I Shares (“BXMMX”)

      (3.72 )%

Multi-Strategy Fund—Class I Shares (“BXMIX”)

      (3.00 )%

HFRX Absolute Return Index

      0.58 %

MSCI World Total Return Index

      (2.90 )%

Barclays Aggregate Bond Index

      1.96 %

 

5


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Portfolio Information

March 31, 2016 (Unaudited)

 

Geographic Breakdown

  Percentage of
Total Net Assets

United States

      18.8 %

Japan

      0.6  

United Kingdom

      0.4  

China

      0.3  

Israel

      0.3  

Netherlands

      0.3  

Cayman Islands

      0.2  

Singapore

      0.2  

Spain

      0.2  

Bermuda

      0.1  

Canada

      0.1  

France

      0.1  

Greece

      0.1  

Ireland

      0.1  

Italy

      0.1  

South Africa

      0.1  

Argentina

      0.0 1

Australia

      0.0 1

Bahamas

      0.0 1

Brazil

      0.0 1

Cyprus

      0.0 1

Hong Kong

      0.0 1

India

      0.0 1

Luxembourg

      0.0 1

Puerto Rico

      0.0 1

Russian Federation

      0.0 1

Taiwan

      0.0 1

Thailand

      0.0 1

Other2

      6.1  

Securities Sold Short

      (12.0 )

Other Assets and Liabilities3

      83.9  
   

 

 

 

Total

      100.0 %
   

 

 

 

 

1  Represents less than 0.1%.
2  Includes 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 portion of the balance represents cash collateral for derivatives.

 

See Notes to Consolidated Financial Statements.

 

6


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2016 (Unaudited)

 

 

Portfolio Composition

  Percentage of
Total Net Assets

Common Stock

      16.5 %

Short-Term Investment—Money Market Fund

      6.1  

Mortgage-Backed Securities

      3.1  

Bank Loans

      1.7  

Corporate Bonds & Notes

      0.3  

Asset-Backed Securities

      0.2  

Convertible Bond

      0.2  

Exchange-Traded Funds

      0.0 1

Rights

      0.0 1

Other2

      0.0 1

Securities Sold Short

      (12.0 )

Other Assets and Liabilities3

      83.9  
   

 

 

 

Total

      100.0 %
   

 

 

 

 

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

Credit Quality Allocation4

  Percentage of
Total
Investments
in Securities

AAA/Aaa

      6.0 %

BBB/Baa

      2.5  

BB/Ba

      0.9  

B

      1.1  

CCC/Caa

      2.0  

Not Rated

      12.3  

Other5

      75.2  
   

 

 

 

Total Investments in Securities

      100.0 %
   

 

 

 

 

4  Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings.
5  Includes Common Stock, Exchange-Traded Funds, Short-Term Investment—Money Market Fund and Purchased Options.
 

 

Industry

  Percentage of
Total Net Assets

Biotechnology & Pharmaceuticals

      3.0 %

Health Care Facilities & Services

      1.7  

Financial Services

      1.6  

Medical Equipment & Devices

      1.6  

Oil, Gas & Coal

      1.4  

Media

      1.3  

Hardware

      0.8  

Real Estate

      0.8  

Software

      0.6  

Semiconductors

      0.4  

Asset Management

      0.3  

Containers & Packaging

      0.3  

Electrical Equipment

      0.3  

Industrial Services

      0.3  

Passenger Transportation

      0.3  

Renewable Energy

      0.3  

Technology Services

      0.3  

Telecommunications

      0.3  

Transportation & Logistics

      0.3  

Banking

      0.2  

 

See Notes to Consolidated Financial Statements.

 

7


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2016 (Unaudited)

 

Industry

  Percentage of
Total Net Assets

Entertainment Resources

      0.2  

Gaming, Lodging & Restaurants

      0.2  

Home & Office Products

      0.2  

Machinery

      0.2  

Metals & Mining

      0.2  

Wireless Telecommunication Services

      0.2  

Automotive

      0.1  

Chemicals

      0.1  

Commercial Services

      0.1  

Construction Materials

      0.1  

Consumer Products

      0.1  

Consumer Services

      0.1  

Design, Manufacturing & Distribution

      0.1  

Exploration & Production

      0.1  

Insurance

      0.1  

Manufactured Goods

      0.1  

Publishing & Broadcasting

      0.1  

Retail—Consumer Staples

      0.1  

Retail—Discretionary

      0.1  

Specialty Finance

      0.1  

Aerospace & Defense

      0.0 1

Apparel & Textile Products

      0.0 1

Banks

      0.0 1

Distributors—Discretionary

      0.0 1

Engineering & Construction Services

      0.0 1

Forest & Paper Products

      0.0 1

Institutional Financial Services

      0.0 1

Iron & Steel

      0.0 1

Leisure Products

      0.0 1

Oil & Gas Services & Equipment

      0.0 1

Property & Casualty Insurance

      0.0 1

Recreation Facilities & Services

      0.0 1

Transportation Equipment

      0.0 1

Utilities

      0.0 1

Waste & Environmental Services & Equipment

      0.0 1

Other2

      9.4  

Securities Sold Short

      (12.0 )

Other Assets and Liabilities3

      83.9  
   

 

 

 

Total Investments

      100.0 %
   

 

 

 

 

1  Represents less than 0.1%.
2  Includes Asset-Backed Securities, Mortgage-Backed Securities, Rights, 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 portion of the balance represents cash collateral for derivatives.

 

See Notes to Consolidated Financial Statements.

 

8


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information

March 31, 2016 (Unaudited)

 

Geographic Breakdown

  Percentage of
Total Net Assets

United States

      62.7 %

Cayman Islands

      5.5  

Japan

      1.4  

United Kingdom

      1.2  

Israel

      0.6  

China

      0.5  

France

      0.5  

Netherlands

      0.5  

Singapore

      0.5  

Brazil

      0.4  

Ireland

      0.4  

Italy

      0.4  

Switzerland

      0.3  

Spain

      0.3  

Canada

      0.2  

Bermuda

      0.1  

Ecuador

      0.1  

Germany

      0.1  

India

      0.1  

Mexico

      0.1  

Poland

      0.1  

Sweden

      0.1  

Venezuela

      0.1  

Argentina

      0.0 1

Australia

      0.0 1

Belgium

      0.0 1

Chile

      0.0 1

Cyprus

      0.0 1

Greece

      0.0 1

Hong Kong

      0.0 1

Luxembourg

      0.0 1

New Zealand

      0.0 1

Norway

      0.0 1

Peru

      0.0 1

Puerto Rico

      0.0 1

Republic of Korea

      0.0 1

Russian Federation

      0.0 1

South Africa

      0.0 1

Taiwan

      0.0 1

Thailand

      0.0 1

Other2

      23.8  

Securities Sold Short

      (25.8 )

Other Assets and Liabilities3

      25.8  
   

 

 

 

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 portion of the balance represents cash collateral for derivatives.

 

See Notes to Consolidated Financial Statements.

 

9


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2016 (Unaudited)

 

 

Portfolio Composition

  Percentage of
Total Net Assets

Common Stock

      36.1 %

Mortgage-Backed Securities

      20.5  

Short-Term Investment—Money Market Fund

      18.1  

Asset-Backed Securities

      8.7  

Corporate Bonds & Notes

      5.3  

Sovereign Debt

      4.7  

Investment in Investee Funds

      2.9  

U.S. Treasury Obligations

      1.7  

Exchange-Traded Funds

      0.7  

U.S. Government Sponsored Agency Securities

      0.6  

Convertible Bond

      0.3  

Bank Loans

      0.1  

Rights

      0.0 1

Other2

      0.3  

Securities Sold Short

      (25.8 )

Other Assets and Liabilities3

      25.8  
   

 

 

 

Total

      100.0 %
   

 

 

 

 

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

 

Credit Quality Allocation4

  Percentage of
Total
Investments
in Securities

AAA/Aaa5

      3.0 %

AA/Aa

      0.6  

A

      1.0  

BBB/Baa

      5.4  

BB/Ba

      7.1  

B

      10.4  

CCC/Caa

      3.0  

CC/Ca

      0.0 1

D

      0.5  

Not Rated

      21.9  

Other6

      47.1  
   

 

 

 

Total Investments in Securities

      100.0 %
   

 

 

 

 

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

 

Industry

  Percentage of
Total Net Assets

Biotechnology & Pharmaceuticals

      6.6 %

Media

      3.9  

Health Care Facilities & Services

      3.6  

Medical Equipment & Devices

      3.0  

Real Estate

      2.2  

Semiconductors

      1.6  

Chemicals

      1.4  

Hardware

      1.4  

Oil, Gas & Coal

      1.3  

Banking

      1.3  

Publishing & Broadcasting

      1.1  

Software

      1.1  

Gaming, Lodging & Restaurants

      0.9  

Retail—Discretionary

      0.9  

Consumer Products

      0.8  

 

See Notes to Consolidated Financial Statements.

 

10


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2016 (Unaudited)

 

Industry

  Percentage of
Total Net Assets

Electrical Equipment

      0.8  

Asset Management

      0.6  

Telecommunications

      0.6  

Insurance

      0.5  

Integrated Oils

      0.5  

Financial Services

      0.4  

Passenger Transportation

      0.4  

Specialty Finance

      0.4  

Technology Services

      0.4  

Wireless Telecommunication Services

      0.4  

Automotive

      0.3  

Casinos & Gaming

      0.3  

Commercial Services

      0.3  

Home & Office Products

      0.3  

Renewable Energy

      0.3  

Retail—Consumer Discretionary

      0.3  

Transportation & Logistics

      0.3  

Transportation Equipment

      0.3  

Aerospace & Defense

      0.2  

Apparel & Textile Products

      0.2  

Banks

      0.2  

Containers & Packaging

      0.2  

Industrial Services

      0.2  

Retail—Consumer Staples

      0.2  

Software & Services

      0.2  

Cable & Satellite

      0.1  

Commercial Finance

      0.1  

Construction Materials

      0.1  

Consumer Finance

      0.1  

Design, Manufacturing & Distribution

      0.1  

Distributors—Consumer Staples

      0.1  

Engineering & Construction Services

      0.1  

Entertainment Resources

      0.1  

Exploration & Production

      0.1  

Food & Beverage

      0.1  

Institutional Financial Services

      0.1  

Iron & Steel

      0.1  

Machinery

      0.1  

Metals & Mining

      0.1  

Oil & Gas Services & Equipment

      0.1  

Pipeline

      0.1  

Property & Casualty Insurance

      0.1  

Recreation Facilities & Services

      0.1  

Refining & Marketing

      0.1  

Wireline Telecommunication Services

      0.1  

Advertising & Marketing

      0.0 1

 

See Notes to Consolidated Financial Statements.

 

11


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2016 (Unaudited)

 

Industry

  Percentage of
Total Net Assets

Consumer Services

      0.0 1

Distributors—Discretionary

      0.0 1

Electrical Equipment Manufacturing

      0.0 1

Forest & Paper Products

      0.0 1

Forest & Paper Products Manufacturing

      0.0 1

Industrial Other

      0.0 1

Leisure Products

      0.0 1

Managed Care

      0.0 1

Manufactured Goods

      0.0 1

Medical Equipment & Devices Manufacturing

      0.0 1

Pharmaceuticals

      0.0 1

Utilities

      0.0 1

Waste & Environmental Services & Equipment

      0.0 1

Other2

      58.2  

Securities Sold Short

      (25.8 )

Other Assets and Liabilities3

      25.8  
   

 

 

 

Total Investments

      100.0 %
   

 

 

 

 

1  Represents less than 0.1%.
2  Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, U.S. Treasury Obligations, Exchange-Traded Funds, Rights, Investment 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 portion of the balance represents cash collateral for derivatives.

 

See Notes to Consolidated Financial Statements.

 

12


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments

March 31, 2016

 

Security Description

   Shares             Value  

INVESTMENTS IN SECURITIES — 28.1%

          

COMMON STOCK — 16.5%

          

Argentina — 0.0%

          

Gaming, Lodging & Restaurants — 0.0%

          

Arcos Dorados Holdings, Inc. A Shares (a)

     3,400            $ 12,750   
          

 

 

 

Total Argentina

             12,750   
          

 

 

 

Australia — 0.0%

          

Iron & Steel — 0.0%

          

BHP Billiton PLC ADR

     8,900              202,297   
          

 

 

 

Total Australia

             202,297   
          

 

 

 

Bahamas — 0.0%

          

Transportation & Logistics — 0.0%

          

Ultrapetrol Bahamas Ltd. (a)

     1,300              351   
          

 

 

 

Total Bahamas

             351   
          

 

 

 

Bermuda — 0.1%

          

Media — 0.0%

          

Central European Media Enterprises Ltd. A Shares (a)

     3,800              9,690   
          

 

 

 

Semiconductors — 0.1%

          

Marvell Technology Group Ltd.

     52,600              542,306   
          

 

 

 

Transportation & Logistics — 0.0%

          

Teekay Corp.

     5,400              46,764   
          

 

 

 

Total Bermuda

             598,760   
          

 

 

 

Brazil — 0.0%

          

Iron & Steel — 0.0%

          

Gerdau SA ADR

     1,900              3,382   
          

 

 

 

Utilities — 0.0%

          

Cia Energetica de Minas Gerais ADR (c)

     26,900              60,794   
          

 

 

 

Total Brazil

             64,176   
          

 

 

 

Canada — 0.1%

          

Biotechnology & Pharmaceuticals — 0.0%

          

Aralez Pharmaceuticals, Inc. (a)

     1,900              6,745   

QLT, Inc. (a)

     5,200              10,348   

Sophiris Bio, Inc. (a)

     1,100              1,584   
          

 

 

 
             18,677   
          

 

 

 

Consumer Products — 0.0%

          

SunOpta, Inc. (a)

     1,800              8,028   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

13


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Forest & Paper Products — 0.0%

          

Mercer International, Inc. (c)

     6,200            $ 58,590   
          

 

 

 

Gaming, Lodging & Restaurants — 0.0%

          

Restaurant Brands International

     3              117   
          

 

 

 

Media — 0.0%

          

Points International Ltd. (a)

     200              1,742   
          

 

 

 

Metals & Mining — 0.0%

          

Dominion Diamond Corp. (c)

     9,100              100,919   

Fortuna Silver Mines, Inc. (a)

     3,000              11,700   

MFC Industrial Ltd. (a),(c)

     800              1,584   

Nevsun Resources Ltd.

     9,000              29,160   

Taseko Mines Ltd. (a)

     1,100              613   
          

 

 

 
             143,976   
          

 

 

 

Oil, Gas & Coal — 0.0%

          

Advantage Oil & Gas Ltd. (a),(c)

     3,500              19,215   

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

     27,600              68,172   

TransGlobe Energy Corp. (c)

     1,500              2,490   
          

 

 

 
             89,877   
          

 

 

 

Renewable Energy — 0.1%

          

Canadian Solar, Inc. (a),(c),(d)

     15,683              302,368   
          

 

 

 

Total Canada

             623,375   
          

 

 

 

China — 0.3%

          

Automotive — 0.0%

          

China Automotive Systems, Inc. (a),(c)

     1,200              5,568   
          

 

 

 

Biotechnology & Pharmaceuticals — 0.0%

          

Sinovac Biotech Ltd. (a)

     1,800              11,502   
          

 

 

 

Insurance — 0.0%

          

China Life Insurance Co. Ltd. ADR

     7,400              90,946   

CNinsure, Inc. ADR (a),(c)

     3,300              26,466   
          

 

 

 
             117,412   
          

 

 

 

Machinery — 0.0%

          

Hollysys Automation Technologies Ltd. (a)

     3,700              77,885   
          

 

 

 

Media — 0.3%

          

Baidu, Inc. ADR (a)

     5,205              993,531   

Leju Holdings Ltd. ADR

     5              26   

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

     13,300              658,882   

Zhaopin Ltd. ADR (a),(c)

     40              635   
          

 

 

 
             1,653,074   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

14


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Passenger Transportation — 0.0%

          

China Southern Airlines Co. Ltd. ADR

     1,700            $ 53,108   

Guangshen Railway Co. Ltd. ADR

     200              4,282   
          

 

 

 
             57,390   
          

 

 

 

Real Estate — 0.0%

          

Xinyuan Real Estate Co. Ltd. ADR (c)

     9,900              43,857   
          

 

 

 

Total China

             1,966,688   
          

 

 

 

Cyprus — 0.0%

          

Oil, Gas & Coal — 0.0%

          

Ocean Rig UDW, Inc.

     2,300              1,887   
          

 

 

 

Total Cyprus

             1,887   
          

 

 

 

Greece — 0.1%

          

Oil, Gas & Coal — 0.0%

          

DryShips, Inc. (a)

     52              122   
          

 

 

 

Transportation & Logistics — 0.1%

          

Aegean Marine Petroleum Network, Inc.

     8,100              61,317   

Costamare, Inc.

     10,700              95,230   

Paragon Shipping, Inc. Class A (a)

     10              6   

Safe Bulkers, Inc.

     10,600              8,517   

StealthGas, Inc. (a)

     2,100              7,413   

Tsakos Energy Navigation Ltd.

     17,100              105,678   
          

 

 

 
             278,161   
          

 

 

 

Total Greece

             278,283   
          

 

 

 

Hong Kong — 0.0%

          

Media — 0.0%

          

Global Sources Ltd. (a)

     585              4,738   
          

 

 

 

Total Hong Kong

             4,738   
          

 

 

 

India — 0.0%

          

Metals & Mining — 0.0%

          

Vedanta Ltd. ADR (c)

     20              110   
          

 

 

 

Total India

             110   
          

 

 

 

Ireland — 0.1%

          

Biotechnology & Pharmaceuticals — 0.1%

          

Shire PLC ADR

     1,490              256,131   
          

 

 

 

Medical Equipment & Devices — 0.0%

          

Trinity Biotech PLC ADR

     3,300              38,478   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

15


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Passenger Transportation — 0.0%

          

Ryanair Holdings PLC ADR

     37            $ 3,175   
          

 

 

 

Total Ireland

             297,784   
          

 

 

 

Israel — 0.3%

          

Biotechnology & Pharmaceuticals — 0.3%

          

Teva Pharmaceutical Industries Ltd. ADR (b)

     33,354              1,784,773   
          

 

 

 

Electrical Equipment — 0.0%

          

Orbotech Ltd. (a)

     8,000              190,240   
          

 

 

 

Hardware — 0.0%

          

AudioCodes Ltd. (a)

     1,000              4,650   

Ceragon Networks Ltd. (a)

     100              127   

Silicom Ltd.

     100              3,414   
          

 

 

 
             8,191   
          

 

 

 

Medical Equipment & Devices — 0.0%

          

Syneron Medical Ltd. (a)

     5,200              38,012   
          

 

 

 

Semiconductors — 0.0%

          

Nova Measuring Instruments Ltd. (a)

     1,500              15,615   
          

 

 

 

Software — 0.0%

          

Attunity Ltd. (a)

     400              2,864   

Mind CTI Ltd.

     100              202   

Sapiens International Corp. NV

     400              4,792   
          

 

 

 
             7,858   
          

 

 

 

Technology Services — 0.0%

          

Magic Software Enterprises Ltd.

     1,200              8,124   
          

 

 

 

Telecommunications — 0.0%

          

Allot Communications Ltd. (a)

     300              1,569   
          

 

 

 

Total Israel

             2,054,382   
          

 

 

 

Italy — 0.1%

          

Telecommunications — 0.1%

          

Telecom Italia SpA (b)

     396,323              427,525   
          

 

 

 

Total Italy

             427,525   
          

 

 

 

Japan — 0.6%

          

Automotive — 0.1%

          

Aisin Seiki Co. Ltd. (d)

     2,700              101,719   

Mazda Motor Corp. (d)

     34,700              538,483   
          

 

 

 
             640,202   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

16


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Chemicals — 0.0%

          

Nitto Denko Corp. (d)

     1,000            $ 55,595   
          

 

 

 

Consumer Products — 0.0%

          

Ajinomoto Co., Inc.

     13,000              293,336   
          

 

 

 

Electrical Equipment — 0.1%

          

Daikin Industries Ltd. (d)

     4,800              358,769   

Keyence Corp. (d)

     200              109,094   

SMC Corp. (d)

     400              92,905   
          

 

 

 
             560,768   
          

 

 

 

Hardware — 0.1%

          

Panasonic Corp. (d)

     20,200              185,497   

Sony Corp. (d)

     9,500              244,200   
          

 

 

 
             429,697   
          

 

 

 

Passenger Transportation — 0.1%

          

ANA Holdings, Inc.

     171,000              481,799   
          

 

 

 

Real Estate — 0.2%

          

Mitsubishi Estate Co. Ltd. (d)

     36,000              668,692   

Mitsui Fudosan Co. Ltd.

     28,000              698,601   
          

 

 

 
             1,367,293   
          

 

 

 

Total Japan

             3,828,690   
          

 

 

 

Luxembourg — 0.0%

          

Consumer Products — 0.0%

          

Adecoagro SA (a)

     1,100              12,705   
          

 

 

 

Iron & Steel — 0.0%

          

Ternium SA ADR (c)

     7,700              138,446   
          

 

 

 

Total Luxembourg

             151,151   
          

 

 

 

Netherlands — 0.2%

          

Media — 0.1%

          

Altice NV (a)

     30,650              546,490   
          

 

 

 

Metals & Mining — 0.0%

          

Constellium NV Class A (a)

     4,900              25,431   
          

 

 

 

Semiconductors — 0.0%

          

NXP Semiconductor NV (a)

     43              3,486   
          

 

 

 

Telecommunications — 0.1%

          

Koninklijke KPN NV

     186,872              783,159   
          

 

 

 

Total Netherlands

             1,358,566   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

17


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Puerto Rico — 0.0%

          

Banking — 0.0%

          

First BanCorp (a)

     15,400            $ 44,968   

Popular, Inc.

     1,081              30,927   
          

 

 

 
             75,895   
          

 

 

 

Health Care Facilities & Services — 0.0%

          

Triple-S Management Corp. B Shares (a)

     2,400              59,664   
          

 

 

 

Technology Services — 0.0%

          

Evertec, Inc.

     4,500              62,910   
          

 

 

 

Total Puerto Rico

             198,469   
          

 

 

 

Russian Federation — 0.0%

          

Media — 0.0%

          

Yandex NV A Shares (a)

     900              13,788   
          

 

 

 

Total Russian Federation

             13,788   
          

 

 

 

Singapore — 0.2%

          

Machinery — 0.0%

          

China Yuchai International Ltd.

     1,202              11,840   
          

 

 

 

Semiconductors — 0.2%

          

Broadcom Ltd.

     7,397              1,142,836   

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

     10,400              117,728   
          

 

 

 

Total Singapore

             1,272,404   
          

 

 

 

South Africa — 0.1%

          

Metals & Mining — 0.1%

          

AngloGold Ashanti Ltd. ADR (a)

     16,700              228,623   

Gold Fields Ltd. ADR (c)

     54,200              213,548   

Harmony Gold Mining Co. Ltd. ADR (c)

     12,400              45,136   
          

 

 

 
             487,307   
          

 

 

 

Specialty Finance — 0.0%

          

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

     13,700              126,040   
          

 

 

 

Total South Africa

             613,347   
          

 

 

 

Taiwan — 0.0%

          

Hardware — 0.0%

          

AU Optronics Corp. ADR

     8,800              25,960   
          

 

 

 

Semiconductors — 0.0%

          

ChipMOS Technologies Bermuda Ltd.

     300              5,214   

United Microelectronics Corp. ADR (c)

     13,894              28,900   
          

 

 

 
             34,114   
          

 

 

 

Total Taiwan

             60,074   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

18


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Thailand — 0.0%

          

Design, Manufacturing & Distribution — 0.0%

          

Fabrinet (a)

     7,300            $ 236,155   
          

 

 

 

Total Thailand

             236,155   
          

 

 

 

United Kingdom — 0.4%

          

Banking — 0.1%

          

HSBC Holdings PLC

     72,800              454,217   
          

 

 

 

Gaming, Lodging & Restaurants — 0.0%

          

Belmond Ltd. Class A (a)

     8,400              79,716   
          

 

 

 

Insurance — 0.0%

          

Prudential PLC ADR

     48              1,786   
          

 

 

 

Media — 0.3%

          

Liberty Global PLC (a)

     40,552              1,523,133   
          

 

 

 

Oil, Gas & Coal — 0.0%

          

Seadrill Ltd. (a)

     45,600              150,480   
          

 

 

 

Recreation Facilities & Services — 0.0%

          

Manchester United PLC Class A

     200              2,888   
          

 

 

 

Total United Kingdom

             2,212,220   
          

 

 

 

United States — 13.9%

          

Aerospace & Defense — 0.0%

          

B/E Aerospace, Inc.

     4,100              189,092   

Ducommun, Inc. (a)

     200              3,050   

Orbital ATK, Inc. (c)

     1              87   
          

 

 

 
             192,229   
          

 

 

 

Apparel & Textile Products — 0.0%

          

Albany International Corp. Class A

     200              7,518   

Culp, Inc.

     1,300              34,086   

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

     3,600              66,276   

Rocky Brands, Inc.

     100              1,274   

Vince Holding Corp. (a),(c)

     11,100              70,263   
          

 

 

 
             179,417   
          

 

 

 

Asset Management — 0.3%

          

Apollo Investment Corp.

     400              2,220   

Ares Capital Corp.

     500              7,420   

BlackRock Kelso Capital Corp.

     18,600              175,026   

Calamos Asset Management, Inc. Class A (c)

     4,800              40,752   

Capitala Finance Corp.

     3,700              44,400   

Charles Schwab Corp. (c)

     11,721              328,422   

Fidus Investment Corp.

     2,500              38,775   

 

See Notes to Consolidated Financial Statements.

 

19


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Fifth Street Finance Corp.

     6,100            $ 30,622   

Firsthand Technology Value Fund, Inc. (a)

     600              4,500   

Garrison Capital, Inc. (c)

     2,800              30,044   

Gladstone Capital Corp. (c)

     6,100              45,445   

Gladstone Investment Corp. (c)

     7,000              49,140   

Horizon Technology Finance Corp. (c)

     2,800              32,508   

KCAP Financial, Inc. (c)

     6,000              21,600   

Legg Mason, Inc.

     13,000              450,840   

Manning & Napier, Inc.

     500              4,035   

Medallion Financial Corp. (c)

     9,800              90,454   

Monroe Capital Corp.

     200              2,770   

MVC Capital, Inc.

     1,400              10,444   

OHA Investment Corp. (c)

     1,200              4,068   

Oppenheimer Holdings, Inc. Class A

     200              3,156   

PennantPark Floating Rate Capital Ltd.

     3,446              40,318   

PennantPark Investment Corp. (c)

     20,600              124,836   

Solar Capital Ltd. (c)

     5,400              93,312   

Solar Senior Capital Ltd. (c)

     1,600              23,328   

Stellus Capital Investment Corp. (c)

     1,900              19,418   

THL Credit, Inc.

     5,100              55,233   

TICC Capital Corp. (c)

     13,797              66,226   

TPG Specialty Lending, Inc.

     100              1,613   

Triangle Capital Corp.

     400              8,232   

TriplePoint Venture Growth BDC Corp.

     3,700              38,850   

WhiteHorse Finance, Inc.

     1,653              17,158   
          

 

 

 
             1,905,165   
          

 

 

 

Automotive — 0.0%

          

Cooper-Standard Holding, Inc. (a)

     1,700              122,128   

Horizon Global Corp. (a)

     1,000              12,580   

Modine Manufacturing Co. (a)

     1,800              19,818   

Tenneco, Inc. (a),(c)

     200              10,302   

Tower International, Inc. (c)

     3,300              89,760   
          

 

 

 
             254,588   
          

 

 

 

Banking — 0.1%

          

Arrow Financial Corp.

     516              13,710   

Bancorp, Inc. (a)

     600              3,432   

Bank Mutual Corp. (c)

     2,900              21,953   

BB&T Corp.

     1              33   

CU Bancorp (a)

     200              4,234   

Farmers Capital Bank Corp.

     100              2,642   

Fidelity Southern Corp.

     1,000              16,040   

First Bancorp/Southern Pines

     300              5,655   

First Business Financial Services, Inc.

     400              9,172   

First Community Bancshares, Inc.

     1,400              27,776   

 

See Notes to Consolidated Financial Statements.

 

20


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

First Defiance Financial Corp.

     200            $ 7,682   

First Financial Northwest, Inc.

     900              11,853   

First Interstate BancSystem, Inc. Class A

     100              2,813   

Franklin Financial Network, Inc. (a)

     500              13,500   

Great Western Bancorp, Inc. (c)

     300              8,181   

Guaranty Bancorp

     400              6,184   

Heritage Commerce Corp.

     700              7,007   

Independent Bank Corp. (c)

     2,700              39,285   

Independent Bank Group, Inc.

     400              10,960   

Investors Bancorp, Inc.

     10              116   

Mercantile Bank Corp.

     1,100              24,662   

National Bankshares, Inc.

     100              3,432   

Northrim BanCorp, Inc.

     800              19,128   

Opus Bank

     400              13,600   

Pacific Premier Bancorp, Inc. (a)

     1,900              40,603   

Preferred Bank

     600              18,150   

Southwest Bancorp, Inc.

     2,300              34,615   

Stonegate Bank

     200              5,992   

Territorial Bancorp, Inc. (c)

     100              2,606   

Towne Bank

     40              768   

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

     1,600              20,160   

Triumph Bancorp, Inc. (a)

     1,000              15,830   

Umpqua Holdings Corp.

     35              555   

Union Bankshares Corp. (c)

     38              936   

United Financial Bancorp, Inc.

     20              252   

Univest Corp. of Pennsylvania

     500              9,755   

Valley National Bancorp

     12              115   

Wilshire Bancorp, Inc.

     600              6,180   
          

 

 

 
             429,567   
          

 

 

 

Biotechnology & Pharmaceuticals — 2.6%

          

Acorda Therapeutics, Inc. (a)

     3,800              100,510   

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

     7,380              1,027,444   

Alkermes PLC (a)

     5,200              177,788   

Allergan PLC (a),(b)

     5,042              1,351,407   

Amphastar Pharmaceuticals, Inc. (a)

     2,800              33,600   

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

     9,980              533,431   

Anika Therapeutics, Inc. (a)

     600              26,832   

Applied Genetic Technologies Corp. (a)

     200              2,796   

ArQule, Inc. (a)

     3,000              4,800   

Array BioPharma, Inc. (a)

     7,700              22,715   

Avalanche Biotechnologies, Inc. (a)

     400              2,068   

Baxalta, Inc. (c)

     41,630              1,681,852   

BioSpecifics Technologies Corp. (a)

     300              10,446   

Bristol-Myers Squibb Co. (b),(c),(d)

     20,260              1,294,209   

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

     9,370              937,843   

 

See Notes to Consolidated Financial Statements.

 

21


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Chimerix, Inc. (a)

     400            $ 2,044   

Corcept Therapeutics, Inc. (a)

     10,300              48,204   

Cytokinetics, Inc. (a)

     2,700              19,035   

Eiger BioPharmaceuticals, Inc. (a)

     420              7,043   

Endo International PLC (a)

     13,623              383,487   

Exelixis, Inc. (a)

     28,900              115,600   

Impax Laboratories, Inc. (a)

     4,400              140,888   

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

     16,400              1,188,508   

Inotek Pharmaceuticals Corp. (a)

     300              2,220   

Ionis Pharmaceuticals, Inc. (a)

     700              28,350   

Lexicon Pharmaceuticals, Inc. (a)

     15              179   

Mallinckrodt PLC (a),(b)

     44,040              2,698,771   

Medivation, Inc. (a),(b),(c)

     41,665              1,915,757   

Neothetics, Inc. (a)

     1,000              610   

Omega Protein Corp. (a),(c)

     4,200              71,148   

Osiris Therapeutics, Inc.

     100              571   

PDL BioPharma, Inc.

     18,700              62,271   

Perrigo Co. PLC (b)

     44              5,629   

Pfizer, Inc. (b),(d)

     33,090              980,788   

pSivida Corp. (a)

     100              268   

PTC Therapeutics, Inc. (a)

     12,100              77,924   

Retrophin, Inc. (a)

     1,400              19,124   

Rigel Pharmaceuticals, Inc. (a),(c)

     8,500              17,680   

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

     3,900              42,900   

Sucampo Pharmaceuticals, Inc. Class A (a)

     500              5,465   

Tetraphase Pharmaceuticals, Inc. (a)

     100              463   

Threshold Pharmaceuticals, Inc. (a)

     10,200              4,692   

Verastem, Inc. (a)

     1,800              2,844   

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

     3,600              286,164   

Vical, Inc. (a)

     4,800              1,877   

XOMA Corp. (a),(c)

     37,600              29,065   

Zoetis, Inc. (b),(c)

     24,930              1,105,147   
          

 

 

 
             16,472,457   
          

 

 

 

Chemicals — 0.1%

          

Albemarle Corp.

     26              1,662   

Chemours Co. (The)

     25,900              181,300   

EI du Pont de Nemours & Co.

     100              6,332   

FutureFuel Corp.

     600              7,074   

Innophos Holdings, Inc.

     1,900              58,729   

Intrepid Potash, Inc. (a),(c)

     8,600              9,546   

KMG Chemicals, Inc.

     1,200              27,684   

LSB Industries, Inc. (a)

     2,600              33,150   

OMNOVA Solutions, Inc. (a),(c)

     2,000              11,120   

Orion Engineered Carbons SA

     2,200              31,064   

Stepan Co.

     100              5,529   

 

See Notes to Consolidated Financial Statements.

 

22


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Trinseo SA (a)

     1,600            $ 58,896   
          

 

 

 
             432,086   
          

 

 

 

Commercial Services — 0.1%

          

ARAMARK Holdings Corp. (c)

     2,000              66,240   

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

     7,200              32,400   

CDI Corp. (c)

     2,900              18,212   

Collectors Universe, Inc. (c)

     1,200              19,920   

Computer Task Group, Inc. (c)

     2,300              11,753   

CorVel Corp. (a)

     100              3,942   

CRA International, Inc. (a)

     2,600              51,064   

Cross Country Healthcare, Inc. (a)

     1,200              13,956   

Franklin Covey Co. (a)

     200              3,518   

Hackett Group, Inc. (c)

     2,100              31,752   

Heidrick & Struggles International, Inc.

     300              7,110   

Information Services Group, Inc. (a)

     500              1,965   

Insperity, Inc. (c)

     200              10,346   

Patriot National, Inc. (a)

     1,700              13,090   

PRGX Global, Inc. (a),(c)

     2,900              13,688   

Quad/Graphics, Inc.

     9,900              128,106   

ServiceMaster Global Holdings, Inc. (a),(c)

     300              11,304   
          

 

 

 
             438,366   
          

 

 

 

Construction Materials — 0.1%

          

Apogee Enterprises, Inc.

     1,100              48,279   

Boise Cascade Co. (a)

     800              16,576   

Continental Building Products, Inc. (a)

     11,500              213,440   

Headwaters, Inc. (a),(c)

     10,900              216,256   

Patrick Industries, Inc. (a)

     1,200              54,468   

Universal Forest Products, Inc. (c)

     500              42,910   
          

 

 

 
             591,929   
          

 

 

 

Consumer Products — 0.1%

          

Blue Buffalo Pet Products, Inc. (a)

     500              12,830   

Central Garden and Pet Co. Class A (a)

     1,300              21,177   

Craft Brew Alliance, Inc. (a)

     100              823   

Darling Ingredients, Inc. (a)

     200              2,634   

Female Health Co. (a)

     1,000              1,870   

Herbalife Ltd. (a)

     2,000              123,120   

John B. Sanfilippo & Son, Inc.

     1,000              69,090   

Mead Johnson Nutrition Co. (b)

     4,981              423,235   

Revlon, Inc. Class A (a)

     400              14,564   
          

 

 

 
             669,343   
          

 

 

 

Consumer Services — 0.1%

          

American Public Education, Inc. (a)

     4,700              96,961   

 

See Notes to Consolidated Financial Statements.

 

23


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Apollo Education Group, Inc. (a)

     37,300            $ 306,419   

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

     3,700              37,296   

Capella Education Co.

     2,300              121,072   

Career Education Corp. (a)

     1,400              6,356   

Carriage Services, Inc. (c)

     900              19,449   

K12, Inc. (a)

     1,200              11,868   

Universal Technical Institute, Inc.

     2,200              9,482   
          

 

 

 
             608,903   
          

 

 

 

Containers & Packaging — 0.3%

          

AEP Industries, Inc.

     300              19,800   

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

     29,900              1,080,885   

Graphic Packaging Holding Co. (c)

     48,700              625,795   
          

 

 

 
             1,726,480   
          

 

 

 

Design, Manufacturing & Distribution — 0.1%

          

Flextronics International Ltd. (a)

     37,100              447,426   
          

 

 

 

Distributors—Discretionary — 0.0%

          

Bassett Furniture Industries, Inc.

     700              22,302   

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

     1,300              37,232   

ScanSource, Inc. (a),(c)

     500              20,190   
          

 

 

 
             79,724   
          

 

 

 

Electrical Equipment — 0.2%

          

Allegion PLC

     20,000              1,274,200   

American Science & Engineering, Inc.

     400              11,076   

Babcock & Wilcox Enterprises, Inc. (a)

     2,700              57,780   

Checkpoint Systems, Inc. (a),(c)

     6,000              60,720   

FARO Technologies, Inc. (a)

     400              12,884   

Global Power Equipment Group, Inc. (a)

     400              800   

Houston Wire & Cable Co.

     2,700              18,873   

LSI Industries, Inc.

     1,800              21,150   

Powell Industries, Inc.

     100              2,981   
          

 

 

 
             1,460,464   
          

 

 

 

Engineering & Construction Services — 0.0%

          

AECOM Technology Corp. (a)

     32              985   

Great Lakes Dredge & Dock Corp. (a)

     1,700              7,582   

Kratos Defense & Security Solutions, Inc. (a)

     800              3,960   

Mistras Group, Inc. (a),(c)

     1,700              42,109   

MYR Group, Inc. (a)

     2,500              62,775   

Orion Marine Group, Inc. (a)

     5,700              29,526   

Sterling Construction Co., Inc. (a)

     700              3,605   

TopBuild Corp. (a)

     1,055              31,376   

TRC Cos., Inc. (a)

     100              725   

 

See Notes to Consolidated Financial Statements.

 

24


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Tutor Perini Corp. (a),(c)

     1,100            $ 17,094   
          

 

 

 
             199,737   
          

 

 

 

Forest & Paper Products — 0.0%

          

Resolute Forest Products, Inc. (a)

     2,400              13,224   
          

 

 

 

Gaming, Lodging & Restaurants — 0.2%

          

Bravo Brio Restaurant Group, Inc. (a)

     3,200              24,800   

Caesars Acquisition Co. Class A (a)

     3,200              19,584   

Caesars Entertainment Corp. (a)

     9,400              63,920   

Carrols Restaurant Group, Inc. (a)

     8,200              118,408   

Churchill Downs, Inc.

     2,700              399,276   

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

     800              13,264   

Denny’s Corp. (a),(c)

     9,000              93,240   

Domino’s Pizza, Inc. (c)

     1,500              197,790   

Eldorado Resorts, Inc. (a)

     2,500              28,600   

Famous Dave’s of America, Inc. (a)

     700              4,263   

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

     18,500              259,000   

Monarch Casino & Resort, Inc. (a)

     1,500              29,190   
          

 

 

 
             1,251,335   
          

 

 

 

Hardware — 0.7%

          

Apple, Inc.

     4,544              495,250   

Clearfield, Inc. (a)

     600              9,642   

Comtech Telecommunications Corp. (c)

     2,900              67,773   

Daktronics, Inc. (c)

     400              3,160   

Datalink Corp. (a)

     3,700              33,818   

Dolby Laboratories, Inc. Class A (c)

     8,700              378,102   

Eastman Kodak Co. (a)

     100              1,085   

Emcore Corp. (a)

     12,800              64,000   

Finisar Corp. (a)

     22,400              408,576   

Harmonic, Inc. (a)

     300              981   

HP, Inc.

     2,100              25,872   

Hutchinson Technology, Inc. (a)

     2,300              8,418   

Imation Corp. (a)

     1,700              2,635   

Immersion Corp. (a)

     3,600              29,736   

Imprivata, Inc. (a)

     1,100              13,893   

KVH Industries, Inc. (a)

     600              5,730   

Lumentum Holdings, Inc. (a)

     7,000              188,790   

Mercury Systems, Inc. (a),(c)

     2,000              40,600   

Multi-Fineline Electronix, Inc. (a)

     1,500              34,815   

Rovi Corp. (a)

     24,200              496,342   

ShoreTel, Inc. (a),(c)

     6,900              51,336   

Skullcandy, Inc. (a),(c)

     3,100              11,036   

Sonus Networks, Inc. (a)

     8,700              65,511   

Stratasys Ltd. (a)

     6,267              162,441   

Telenav, Inc. (a),(c)

     1,900              11,210   

 

See Notes to Consolidated Financial Statements.

 

25


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Viavi Solutions, Inc. (a)

     8,500            $ 58,310   

Vicor Corp. (a)

     700              7,336   

Vishay Precision Group, Inc. (a)

     2,700              37,827   

Vocera Communications, Inc. (a)

     1,100              14,025   

VOXX International Corp. (a),(c)

     1,700              7,599   

Western Digital Corp. (c)

     34,600              1,634,504   
          

 

 

 
             4,370,353   
          

 

 

 

Health Care Facilities & Services — 1.7%

          

Addus HomeCare Corp. (a)

     1,800              30,942   

Aetna, Inc. (b),(c),(d)

     7,790              875,207   

Alliance HealthCare Services, Inc. (a)

     900              6,471   

Almost Family, Inc. (a)

     1,000              37,240   

AmerisourceBergen Corp. (b),(c)

     8,300              718,365   

Digirad Corp. (c)

     1,600              7,936   

Five Star Quality Care, Inc. (a),(c)

     3,600              8,244   

Great Basin Scientific, Inc. (a)

     439              3,147   

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

     18,700              1,459,535   

Healthways, Inc. (a)

     1,500              15,135   

Humana, Inc. (b),(c)

     6,978              1,276,625   

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

     18,570              2,175,104   

Magellan Health, Inc. (a)

     100              6,793   

McKesson Corp. (b)

     3,720              584,970   

Premier, Inc. Class A (a)

     100              3,336   

Quest Diagnostics, Inc. (b),(d)

     26,990              1,928,436   

RadNet, Inc. (a),(c)

     4,100              19,803   

Universal American Corp.

     4,600              32,844   

Universal Health Services, Inc. Class B (b),(c)

     11,650              1,452,988   
          

 

 

 
             10,643,121   
          

 

 

 

Home & Office Products — 0.2%

          

American Woodmark Corp. (a),(c)

     4,000              298,360   

Armstrong World Industries, Inc. (a)

     12,600              609,462   

Hooker Furniture Corp.

     700              22,995   

Kimball International, Inc. Class B (c)

     2,800              31,780   

Libbey, Inc. (c)

     2,400              44,640   

Masco Corp. (c)

     8,000              251,600   
          

 

 

 
             1,258,837   
          

 

 

 

Industrial Services — 0.3%

          

Electro Rent Corp.

     1,600              14,816   

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

     38,700              1,279,809   

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

     13,500              738,045   
          

 

 

 
             2,032,670   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

26


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Institutional Financial Services — 0.0%

          

KCG Holdings, Inc. Class A (a)

     2,100            $ 25,095   

Piper Jaffray Cos. (a)

     2,000              99,120   
          

 

 

 
             124,215   
          

 

 

 

Insurance — 0.1%

          

American Equity Investment Life Holding Co.

     1,800              30,240   

Assured Guaranty Ltd.

     23,600              597,080   

Citizens, Inc. (a)

     200              1,448   

Crawford & Co. Class B

     200              1,296   

Employers Holdings, Inc.

     4,100              115,374   

Genworth Financial, Inc. Class A (a)

     34,300              93,639   

OneBeacon Insurance Group Ltd. Class A

     1,200              15,276   

Willis Towers Watson plc

     18              2,136   
          

 

 

 
             856,489   
          

 

 

 

Iron & Steel — 0.0%

          

Northwest Pipe Co. (a)

     100              922   

Ryerson Holding Corp. (a)

     600              3,336   

Shiloh Industries, Inc. (a)

     800              4,104   

SunCoke Energy, Inc.

     8,000              52,000   

United States Steel Corp.

     2,200              35,310   
          

 

 

 
             95,672   
          

 

 

 

Leisure Products — 0.0%

          

Black Diamond, Inc. (a)

     400              1,808   

Johnson Outdoors, Inc. Class A

     100              2,222   

LeapFrog Enterprises, Inc. (a)

     4,200              4,179   

Vista Outdoor, Inc. (a)

     22              1,142   
          

 

 

 
             9,351   
          

 

 

 

Machinery — 0.2%

          

Alamo Group, Inc.

     100              5,571   

Columbus McKinnon Corp.

     800              12,608   

Federal Signal Corp.

     2,900              38,454   

Graham Corp.

     800              15,928   

Intevac, Inc. (a)

     1,000              4,500   

Joy Global, Inc.

     58,500              940,095   

Kadant, Inc.

     1,000              45,160   

Rofin-Sinar Technologies, Inc. (a),(c)

     1,200              38,664   

SPX Corp.

     5,800              87,116   

SPX FLOW, Inc. (a)

     2,300              57,684   

Xerium Technologies, Inc. (a)

     2,600              13,572   
          

 

 

 
             1,259,352   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

27


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Manufactured Goods — 0.1%

          

Aegion Corp. (a),(c)

     900            $ 18,981   

Ampco-Pittsburgh Corp. (c)

     900              12,519   

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

     6,100              132,492   

Dynamic Materials Corp. (c)

     1,700              11,016   

Gibraltar Industries, Inc. (a)

     3,100              88,660   

Global Brass & Copper Holdings, Inc.

     300              7,485   

Insteel Industries, Inc.

     1,500              45,855   

LB Foster Co. Class A

     4,400              79,904   
          

 

 

 
             396,912   
          

 

 

 

Media — 0.6%

          

A H Belo Corp. Class A

     1,600              7,696   

Autobytel, Inc. (a)

     1,700              29,512   

Bankrate, Inc. (a)

     3,200              29,344   

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

     3,000              23,160   

Cablevision Systems Corp. Class A (c)

     31,294              1,032,702   

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

     6,400              30,080   

Comcast Corp. Class A (c)

     14,846              906,794   

Demand Media, Inc. (a)

     40              200   

Entercom Communications Corp. Class A (a)

     1,900              20,102   

Everyday Health, Inc. (a)

     600              3,360   

Gray Television, Inc. (a)

     2,900              33,988   

Harte-Hanks, Inc. (c)

     13,200              33,396   

Lee Enterprises, Inc. (a)

     100              180   

Liberty TripAdvisor Holdings, Inc. Class A (a)

     2,500              55,400   

McClatchy Co. Class A (a)

     2,600              2,730   

MDC Partners, Inc. Class A

     50              1,180   

MSG Networks, Inc. (a),(c)

     200              3,458   

News Corp. Class A (c)

     16,300              208,151   

RetailMeNot, Inc. (a)

     8,500              68,085   

Stamps.com, Inc. (a)

     1,000              106,280   

Starz (a)

     501              13,191   

TechTarget, Inc. (a),(c)

     3,200              23,744   

Time Warner Cable, Inc. (c)

     6,065              1,241,020   

WebMD Health Corp. (a),(c)

     1,700              106,471   

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

     3,500              56,175   

YuMe, Inc. (a)

     100              374   
          

 

 

 
             4,036,773   
          

 

 

 

Medical Equipment & Devices — 1.6%

          

AngioDynamics, Inc. (a),(c)

     2,900              35,641   

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

     5,545              1,123,805   

CryoLife, Inc.

     3,500              37,625   

Cutera, Inc. (a)

     1,300              14,625   

Dentsply Sirona, Inc. (b),(c)

     18,409              1,134,547   

 

See Notes to Consolidated Financial Statements.

 

28


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Derma Sciences, Inc. (a)

     100            $ 310   

DexCom, Inc. (a),(b),(c),(d)

     32,530              2,209,112   

Edwards Lifesciences Corp. (a),(b),(d)

     13,340              1,176,721   

Exactech, Inc. (a)

     1,300              26,338   

Genomic Health, Inc. (a)

     2,000              49,540   

Harvard Bioscience, Inc. (a)

     700              2,114   

HeartWare International, Inc. (a)

     2,700              84,834   

LeMaitre Vascular, Inc.

     200              3,104   

Luminex Corp. (a),(c)

     1,500              29,100   

Merit Medical Systems, Inc. (a)

     3,900              72,111   

NxStage Medical, Inc. (a)

     1,400              20,986   

OraSure Technologies, Inc. (a)

     15,600              112,788   

Orthofix International NV (a)

     3,200              132,864   

RTI Surgical, Inc. (a),(c)

     8,100              32,400   

SurModics, Inc. (a)

     2,000              36,820   

Thermo Fisher Scientific, Inc. (b),(d)

     6,700              948,653   

Waters Corp. (a),(b)

     1,908              251,703   

Wright Medical Group NV (a)

     6              100   

Zimmer Holdings, Inc. (b),(c),(d)

     22,050              2,351,192   
          

 

 

 
             9,887,033   
          

 

 

 

Metals & Mining — 0.1%

          

Alcoa, Inc.

     96              920   

Century Aluminum Co. (a)

     8,000              56,400   

Ferroglobe PLC

     1,900              16,739   

Freeport-McMoRan, Inc. (c)

     56,200              581,108   

Stillwater Mining Co. (a)

     3,500              37,275   
          

 

 

 
             692,442   
          

 

 

 

Oil, Gas & Coal — 1.4%

          

Archrock, Inc.

     2,300              18,400   

Atwood Oceanics, Inc.

     31,600              289,772   

Baker Hughes, Inc. (c)

     30,700              1,345,581   

Bill Barrett Corp. (a)

     2,600              16,172   

Bonanza Creek Energy, Inc. (a)

     1,900              3,021   

Bristow Group, Inc.

     1,300              24,596   

C&J Energy Services Ltd. (a)

     100              141   

California Resources Corp.

     222,258              228,926   

Chesapeake Energy Corp.

     204,600              842,952   

Civeo Corp. (a)

     300              369   

CONSOL Energy, Inc.

     33,500              378,215   

Contango Oil & Gas Co. (a)

     100              1,179   

Dawson Geophysical Co. (a)

     1,776              8,116   

Denbury Resources, Inc.

     73,700              163,614   

EP Energy Corp. Class A (a)

     6,000              27,120   

Evolution Petroleum Corp. (c)

     900              4,374   

 

See Notes to Consolidated Financial Statements.

 

29


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

FMC Technologies, Inc. (a),(c)

     71,100            $ 1,945,296   

Gulf Island Fabrication, Inc.

     3,200              25,120   

Gulfport Energy Corp. (a),(c)

     200              5,668   

Hallador Energy Co.

     300              1,371   

Helix Energy Solutions Group, Inc. (a)

     27,400              153,440   

ION Geophysical Corp. (a)

     200              1,616   

Kinder Morgan, Inc.

     16              286   

LinnCo LLC

     1,799              643   

Matrix Service Co. (a)

     3,100              54,870   

McDermott International, Inc. (a)

     700              2,863   

Mitcham Industries, Inc. (a)

     600              1,836   

MRC Global, Inc. (a)

     200              2,628   

Nabors Industries Ltd.

     38,300              352,360   

Natural Gas Services Group, Inc. (a)

     1,100              23,793   

Newfield Exploration Co. (a)

     4,100              136,325   

Newpark Resources, Inc. (a)

     8,700              37,584   

Noble Energy, Inc.

     16              503   

NOW, Inc. (a)

     3,000              53,160   

Oasis Petroleum, Inc. (a)

     200              1,456   

Oil States International, Inc. (a),(c)

     5,600              176,512   

Panhandle Oil and Gas, Inc. Class A

     100              1,731   

Peabody Energy Corp.

     8,986              20,847   

Pioneer Energy Services Corp. (a)

     100              220   

QEP Resources, Inc.

     20,300              286,433   

Rice Energy, Inc. (a)

     1,200              16,752   

SemGroup Corp. Class A

     1,000              22,400   

SM Energy Co.

     7,100              133,054   

Southwestern Energy Co. (a),(c)

     108,100              872,367   

Stone Energy Corp. (a)

     18,700              14,773   

Tesco Corp. (c)

     2,200              18,942   

TETRA Technologies, Inc. (a)

     5,000              31,750   

TransAtlantic Petroleum Ltd. (a)

     100              75   

Ultra Petroleum Corp. (a)

     30,600              15,239   

Unit Corp. (a)

     3,500              30,835   

VAALCO Energy, Inc. (a)

     3,600              3,384   

Warren Resources, Inc. (a)

     1,200              205   

Weatherford International PLC (a)

     10,800              84,024   

Whiting Petroleum Corp. (a)

     86,149              687,469   
          

 

 

 
             8,570,378   
          

 

 

 

Passenger Transportation — 0.2%

          

Era Group, Inc. (a)

     100              938   

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

     1,400              66,066   

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

     21,838              1,047,787   
          

 

 

 
             1,114,791   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

30


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Real Estate — 0.6%

          

Armada Hoffler Properties, Inc. (c)

     8,600            $ 96,750   

Ashford Hospitality Prime, Inc.

     35              408   

CBRE Group, Inc. (a),(c)

     4,700              135,454   

Equinix, Inc.

     49              16,205   

FelCor Lodging Trust, Inc. (c)

     13,000              105,560   

Gladstone Commercial Corp. (c)

     4,800              78,624   

InfraREIT, Inc.

     2,600              44,330   

Kite Realty Group Trust

     50              1,386   

Lamar Advertising Co. Class A (c),(d)

     22,513              1,384,549   

Mid-America Apartment Communities, Inc.

     24              2,453   

One Liberty Properties, Inc.

     200              4,482   

Parkway Properties Inc./Md

     38              595   

RE/MAX Holdings, Inc. Class A

     2              69   

Realogy Holdings Corp. (a)

     48,900              1,765,779   

Sunstone Hotel Investors, Inc.

     19              266   

VEREIT, Inc.

     40              355   

Weyerhaeuser Co.

     80              2,478   
          

 

 

 
             3,639,743   
          

 

 

 

Recreation Facilities & Services — 0.0%

          

Intrawest Resorts Holdings, Inc. (a)

     694              5,934   

RCI Hospitality Holdings, Inc.

     100              886   

Speedway Motorsports, Inc.

     900              17,847   

Town Sports International Holdings, Inc. (a),(c)

     1,800              5,166   
          

 

 

 
             29,833   
          

 

 

 

Renewable Energy — 0.2%

          

Ameresco, Inc. Class A (a)

     100              477   

Broadwind Energy, Inc. (a)

     1,000              3,010   

First Solar, Inc. (a),(c)

     16,100              1,102,367   

Renewable Energy Group, Inc. (a)

     3,800              35,872   
          

 

 

 
             1,141,726   
          

 

 

 

Retail—Consumer Staples — 0.1%

          

SpartanNash Co.

     100              3,031   

Sprouts Farmers Market, Inc. (a),(d)

     1,300              37,752   

SUPERVALU, Inc. (a),(c)

     77,000              443,520   
          

 

 

 
             484,303   
          

 

 

 

Retail—Discretionary — 0.1%

          

1-800-Flowers.com, Inc. Class A (a)

     400              3,152   

Big 5 Sporting Goods Corp. (c)

     3,100              34,441   

Citi Trends, Inc. (c)

     900              16,047   

Destination Maternity Corp.

     200              1,368   

EVINE Live, Inc. (a)

     1,400              1,638   

 

See Notes to Consolidated Financial Statements.

 

31


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Express, Inc. (a)

     300            $ 6,423   

Ezcorp, Inc. Class A (a)

     800              2,376   

GNC Holdings, Inc. Class A

     1,800              57,150   

Hertz Global Holdings, Inc. (a)

     3,800              40,014   

Kirkland’s, Inc.

     4,200              73,542   

New York & Co., Inc. (a)

     300              1,188   

Sears Hometown and Outlet Stores, Inc. (a)

     300              1,926   

Stein Mart, Inc.

     3,800              27,854   

Tile Shop Holdings, Inc. (a)

     1,300              19,383   

Tilly’s, Inc. Class A (a)

     100              669   

United Online, Inc. (a),(c)

     3,542              40,875   

Vera Bradley, Inc. (a)

     700              14,238   
          

 

 

 
             342,284   
          

 

 

 

Semiconductors — 0.1%

          

Alpha & Omega Semiconductor Ltd. (a)

     1,900              22,515   

Amkor Technology, Inc. (a)

     14,800              87,172   

Applied Materials, Inc. (c)

     16,100              340,998   

Axcelis Technologies, Inc. (a),(c)

     6,100              17,080   

Cohu, Inc.

     3,400              40,392   

DSP Group, Inc. (a)

     2,000              18,240   

Electro Scientific Industries, Inc. (a)

     4,600              32,890   

FormFactor, Inc. (a),(c)

     5,100              37,077   

GSI Technology, Inc. (a)

     518              2,124   

InvenSense, Inc. (a)

     6,400              53,760   

IXYS Corp.

     3,200              35,904   

Kemet Corp. (a),(c)

     1,800              3,474   

MaxLinear, Inc. Class A (a)

     48              888   

Microchip Technology, Inc.

     34              1,639   

Micron Technology, Inc. (a)

     3,600              37,692   

NVE Corp.

     200              11,306   

Oclaro, Inc. (a)

     9,800              52,920   

ON Semiconductor Corp. (a),(c)

     1,700              16,303   

Park Electrochemical Corp.

     1,000              16,010   

Photronics, Inc. (a),(c)

     700              7,287   

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

     1,400              19,124   

SunEdison Semiconductor Ltd. (a)

     700              4,536   

Ultra Clean Holdings, Inc. (a),(c)

     5,100              27,336   
          

 

 

 
             886,667   
          

 

 

 

Software — 0.6%

          

Agilysys, Inc. (a)

     700              7,147   

Akamai Technologies, Inc. (a)

     8,200              455,674   

American Software, Inc. Class A

     200              1,800   

Bazaarvoice, Inc. (a)

     7,600              23,940   

Brightcove, Inc. (a)

     900              5,616   

 

See Notes to Consolidated Financial Statements.

 

32


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Carbonite, Inc. (a)

     4,000            $ 31,880   

ChannelAdvisor Corp. (a)

     400              4,500   

Digi International, Inc. (a)

     3,500              33,005   

Five9, Inc. (a)

     300              2,667   

Intralinks Holdings, Inc. (a)

     3,900              30,732   

Limelight Networks, Inc. (a)

     14,700              26,607   

Lionbridge Technologies, Inc. (a),(c)

     3,000              15,180   

Microsoft Corp.

     3,764              207,886   

MicroStrategy, Inc. Class A (a)

     1,400              251,608   

Model N, Inc. (a)

     1,600              17,232   

PDF Solutions, Inc. (a)

     2,000              26,760   

QAD, Inc. Class A

     2,000              42,500   

Rackspace Hosting, Inc. (a)

     56,500              1,219,835   

RealNetworks, Inc. (a),(c)

     300              1,218   

SciQuest, Inc. (a)

     1,200              16,656   

Seachange International, Inc. (a)

     700              3,864   

Support.com, Inc. (a)

     2,500              2,150   

VMware, Inc. Class A (a),(c)

     32,300              1,689,613   

Zynga, Inc. Class A (a)

     4,000              9,120   
          

 

 

 
             4,127,190   
          

 

 

 

Specialty Finance — 0.1%

          

AG Mortgage Investment Trust, Inc.

     4,100              53,587   

Alliance Data Systems Corp. (a)

     41              9,020   

American Capital Agency Corp.

     35              652   

Arbor Realty Trust, Inc. (c)

     5,400              36,558   

Cherry Hill Mortgage Investment Corp. (c)

     400              5,664   

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

     1,400              5,922   

CoreLogic, Inc. (a),(c)

     2,900              100,630   

Ellington Residential Mortgage REIT (c)

     2,000              23,940   

Enova International, Inc. (a)

     400              2,524   

FNFV Group (a)

     34              369   

Higher One Holdings, Inc. (a)

     1,200              4,692   

Meta Financial Group, Inc.

     1,500              68,400   

MoneyGram International, Inc. (a)

     100              612   

Newcastle Investment Corp.

     3,883              16,813   

Nicholas Financial, Inc. (a)

     400              4,316   

On Deck Capital, Inc. (a)

     400              3,116   

Regional Management Corp. (a)

     300              5,133   

Square, Inc. (a)

     100              1,528   

ZAIS Financial Corp. (c)

     1,400              20,888   
          

 

 

 
             364,364   
          

 

 

 

Technology Services — 0.3%

          

Black Box Corp.

     2,700              36,369   

Ciber, Inc. (a),(c)

     5,800              12,238   

 

See Notes to Consolidated Financial Statements.

 

33


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Perficient, Inc. (a),(c)

     200            $ 4,344   

Rightside Group Ltd. (a)

     100              805   

Sabre Corp. (c)

     60,300              1,743,876   

Travelport Worldwide Ltd.

     5,100              69,666   
          

 

 

 
             1,867,298   
          

 

 

 

Telecommunications — 0.1%

          

Alaska Communications Systems Group, Inc. (a)

     3,200              5,696   

DigitalGlobe, Inc. (a)

     500              8,650   

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

     3,300              49,104   

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

     2,600              47,632   

Hawaiian Telcom Holdco, Inc. (a)

     1,000              23,550   

IDT Corp. Class B

     3,600              56,124   

Inteliquent, Inc.

     2,400              38,520   

Internap Network Services Corp. (a)

     2,300              6,279   

Level 3 Communications, Inc. (a)

     50              2,642   

Lumos Networks Corp. (a)

     3,200              41,088   

Spok Holdings, Inc. (c)

     1,700              29,767   

West Corp. (c)

     10,400              237,328   

Zix Corp. (a),(c)

     21,900              86,067   
          

 

 

 
             632,447   
          

 

 

 

Transportation & Logistics — 0.2%

          

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

     9,700              149,186   

ArcBest Corp.

     1,300              28,067   

Hornbeck Offshore Services, Inc. (a)

     200              1,986   

ModusLink Global Solutions, Inc. (a)

     1,500              2,205   

Navios Maritime Acquisition Corp.

     6,400              10,176   

Roadrunner Transportation Systems, Inc. (a)

     400              4,984   

Ryder System, Inc.

     5,600              362,768   

Saia, Inc. (a)

     1,800              50,670   

Swift Transportation Co. (a)

     19,400              361,422   

USA Truck, Inc. (a)

     800              15,072   

YRC Worldwide, Inc. (a)

     2,600              24,232   
          

 

 

 
             1,010,768   
          

 

 

 

Transportation Equipment — 0.0%

          

Accuride Corp. (a)

     5,500              8,525   

American Railcar Industries, Inc.

     600              24,438   

Commercial Vehicle Group, Inc. (a)

     1,000              2,650   

Greenbrier Cos., Inc. (The)

     1,400              38,696   

Spartan Motors, Inc.

     200              790   
          

 

 

 
             75,099   
          

 

 

 

Utilities — 0.0%

          

Pinnacle West Capital Corp.

     34              2,553   

 

See Notes to Consolidated Financial Statements.

 

34


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

WEC Energy Group, Inc.

     38            $ 2,283   
          

 

 

 
             4,836   
          

 

 

 

Waste & Environmental Services & Equipment — 0.0%

          

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

     6,100              40,870   

Ceco Environmental Corp. (c)

     42              261   

Fuel Tech, Inc. (a)

     100              175   

Waste Connections, Inc.

     16              1,034   
          

 

 

 
             42,340   
          

 

 

 

Total United States

             87,349,727   
          

 

 

 

TOTAL COMMON STOCK
(COST $102,405,660)

             103,827,697   
          

 

 

 

Security Description

   Principal
Amount
            Value  

ASSET-BACKED SECURITIES — 0.2%

          

Cayman Islands — 0.2%

          

Babson CLO Ltd., Series 2013-IA, Class D, 4.12%, 04/20/25 (b),(e),(f)

   $ 300,000              262,080   

Ocean Trails CLO V, Series 2014-5A, Class D, 4.58%, 10/13/26 (b),(e),(f)

     800,000              697,360   
          

 

 

 

Total Cayman Islands

             959,440   
          

 

 

 

TOTAL ASSET-BACKED SECURITIES
(COST $1,063,869)

             959,440   
          

 

 

 

BANK LOANS — 1.7%

          

Netherlands — 0.1%

          

Exploration & Production — 0.1%

          

Endeavour International Holding BV,
1.00%, 01/02/17 (b),(f),(g)

     3,106,760              326,210   
          

 

 

 

Total Netherlands

             326,210   
          

 

 

 

United States — 1.6%

          

Financial Services — 1.6%

          

MF Global Finance USA, Inc.,

          

0.00%, 06/15/16 (b),(f),(g)

     13,349,802              4,538,933   

1.00%, 06/15/16 (b),(f),(g)

     17,000,000              5,780,000   
          

 

 

 
             10,318,933   
          

 

 

 

Total United States

             10,318,933   
          

 

 

 

TOTAL BANK LOANS
(COST $12,736,661)

             10,645,143   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

35


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

CONVERTIBLE BOND — 0.2%

          

Spain — 0.2%

          

Wireless Telecommunication Services — 0.2%

          

Telefonica Participacion Co. REG S,
4.90%, 09/25/17 (b)

     1,300,000       EUR      $ 1,328,680   
          

 

 

 

TOTAL CONVERTIBLE BOND
(COST $1,631,489)

             1,328,680   
          

 

 

 

CORPORATE BONDS & NOTES — 0.3%

          

France — 0.1%

          

Oil & Gas Services & Equipment — 0.0%

          

CGG SA, 6.88%, 01/15/22 (b)

   $ 400,000              156,000   
          

 

 

 

Property & Casualty Insurance — 0.0%

          

Groupama SA REG S, 6.38% (b),(f),(i)

     200,000       EUR        205,960   
          

 

 

 

Publishing & Broadcasting — 0.1%

          

PagesJaunes Finance & Co. SCA REG S, 8.88%, 06/01/18 (b)

     690,000       EUR        424,767   
          

 

 

 

Total France

             786,727   
          

 

 

 

Ireland — 0.0%

          

Banks — 0.0%

          

UT2 Funding PLC, 5.32%, 06/30/16 (b)

     255,000       EUR        291,978   
          

 

 

 

Total Ireland

             291,978   
          

 

 

 

United States — 0.2%

          

Entertainment Resources — 0.2%

          

Production Resource Group, Inc.,
8.88%, 05/01/19 (b),(g)

   $ 1,554,000              1,072,260   
          

 

 

 

Total United States

             1,072,260   
          

 

 

 

TOTAL CORPORATE BONDS & NOTES
(COST $2,527,910)

             2,150,965   
          

 

 

 

MORTGAGE-BACKED SECURITIES — 3.1%

          

United States — 3.1%

          

Commercial Mortgage-Backed Securities — 3.1%

          

BAMLL Mezzanine Securities Trust, Series 2015-ASMB, Class MZB, 9.36%, 01/09/17 (b),(e),(f),(g)

     11,925,000              11,698,425   

Bear Stearns Commercial Mortgage Securities Trust,

          

Series 2007-PW15, Class AM, 5.36%, 02/11/44 (h)

     2,543,321              2,538,234   

Series 2007-PW15, Class AMFX,
5.36%, 02/11/44 (e),(h)

     1,145,958              1,143,666   

 

See Notes to Consolidated Financial Statements.

 

36


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Commercial Mortgage Loan Trust, Series 2008-LS1, Class AM, 6.10%, 12/10/49 (f),(h)

   $ 2,436,747            $ 1,998,864   

Credit Suisse Commercial Mortgage Trust,

          

Series 2007-C5, Class AM, 5.87%, 09/15/40 (f),(h)

     1,126,578              1,082,078   

Series 2007-C5, Class A1AM,
5.87%, 09/15/40 (f),(h)

     1,076,886              1,034,672   
          

 

 

 
             19,495,939   
          

 

 

 

Total United States

             19,495,939   
          

 

 

 

TOTAL MORTGAGE-BACKED SECURITIES
(COST $20,493,739)

             19,495,939   
          

 

 

 

Security Description

   Shares             Value  

EXCHANGE-TRADED FUNDS — 0.0%

          

SPDR S&P Regional Banking ETF (d)

     2,931              110,323   
          

 

 

 

TOTAL EXCHANGE-TRADED FUNDS
(COST $106,896)

             110,323   
          

 

 

 

RIGHTS — 0.0%

          

United States — 0.0%

          

Vince Holding Corp. (a)

     11,500              2,170   
          

 

 

 

TOTAL RIGHTS
(COST $0)

             2,170   
          

 

 

 

Security Description

   Contracts             Value  

PURCHASED OPTIONS — 0.0%

          

Exchange-Traded Call Options — 0.0%

          

Apple, Inc. Strike Price 110.00 USD Expires 04/15/16

     91              11,375   

Apple, Inc. Strike Price 110.00 USD Expires 05/20/16

     182              63,518   

Bank of America Corp. Strike Price 14.00 USD Expires 05/20/16

     684              24,624   

CBOE SPX Volatility Index Strike Price 29.00 USD Expires 04/20/16

     242              2,420   

DAX Index Strike Price 10,150.00 EUR Expires 04/15/16

     40              17,751   

DAX Index Strike Price 10,500.00 EUR Expires 04/15/16

     21              1,386   

DAX Index Strike Price 10,600.00 EUR Expires 06/17/16

     42              31,160   

Euro Stoxx 50 Strike Price 3,000.00 EUR
Expires 04/15/16

     12              6,677   

Euro Stoxx 50 Strike Price 3,100.00 EUR
Expires 04/15/16

     12              1,516   

 

See Notes to Consolidated Financial Statements.

 

37


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Contracts             Value  

Euro Stoxx 50 Strike Price 3,100.00 EUR
Expires 05/20/16

     23            $ 7,956   

S&P 500 Index Strike Price 2,050.00 USD
Expires 04/22/16

     9              25,200   

S&P 500 Index Strike Price 2,065.00 USD
Expires 04/08/16

     25              25,350   

S&P 500 Index Strike Price 2,075.00 USD
Expires 07/15/16

     8              38,800   

Vodafone Group PLC Strike Price 2.30 GBP Expires 09/16/16

     132              14,219   
          

 

 

 
             271,952   
          

 

 

 

Exchange-Traded Put Options — 0.0%

          

FTSE 100 Index Strike Price 6,000.00 GBP
Expires 06/17/16

     5              10,018   

Marriott International, Inc. Strike Price 70.00 USD Expires 04/15/16

     35              4,795   

Microsoft Corp. Strike Price 55.00 USD Expires 01/19/18

     75              59,250   

SPDR S&P 500 ETF Trust Strike Price 139.00 USD Expires 04/15/16

     135              67   

Telefonica SA Strike Price 9.89 EUR Expires 03/17/17

     54              9,033   

Telefonica SA Strike Price 9.89 EUR Expires 12/16/16

     180              27,446   
          

 

 

 
             110,609   
          

 

 

 

OTC Call Options — 0.0%

          

Bank of America Corp. Strike Price 14.00 USD Expires 05/20/16 Counterparty Deutsche Bank AG

     20,700              7,471   

Charles Schwab Corp. Strike Price 28.00 USD Expires 09/16/16 Counterparty Deutsche Bank AG

     38,900              95,112   

Charles Schwab Corp. Strike Price 30.00 USD Expires 06/17/16 Counterparty Deutsche Bank AG

     19,500              16,295   

SPDR S&P 500 ETF Trust Strike Price 206.00 USD Expires 04/15/16 Counterparty Morgan Stanley & Co. International plc

     3,700              6,032   
          

 

 

 
             124,910   
          

 

 

 

OTC Put Options — 0.0%

          

Allergan PLC Strike Price 260.00 USD Expires 04/15/16 Counterparty Morgan Stanley & Co. International plc

     5,000              24,136   

iShares PHLX Semiconductor ETF Strike Price 87.00 USD Expires 01/20/17 Counterparty Morgan Stanley & Co. International plc

     5,500              34,906   

 

See Notes to Consolidated Financial Statements.

 

38


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Contracts             Value  

iShares PHLX Semiconductor ETF Strike Price 87.00 USD Expires 01/20/17 Counterparty Credit Suisse International

     12,400            $ 78,696   

Liberty Global, Inc. Strike Price 35.00 USD Expires 04/15/16 Counterparty Bank of America, N.A.

     20,400              2,218   

SPDR S&P 500 ETF Trust Strike Price 200.00 USD Expires 05/20/16 Counterparty Morgan Stanley & Co. International plc

     6,900              15,536   
          

 

 

 
             155,492   
          

 

 

 

TOTAL PURCHASED OPTIONS
(PREMIUMS PAID $824,920)

             662,963   
          

 

 

 

Security Description

   Shares             Value  

SHORT-TERM INVESTMENT — MONEY MARKET FUND — 6.1%

  

       

State Street Institutional Liquid Reserves Fund, 0.45% (b),(j)

     38,128,134              38,128,134   
          

 

 

 

TOTAL SHORT-TERM INVESTMENT — MONEY MARKET FUND
(COST $38,128,134)

   

          38,128,134   
          

 

 

 

TOTAL INVESTMENTS IN SECURITIES — 28.1%
(COST $179,919,278) (k)

             177,311,454   
          

 

 

 

TOTAL SECURITIES SOLD SHORT — (12.0)%
(PROCEEDS $90,451,992)

             (75,772,554
          

 

 

 

Other Assets (l) — 83.9%

             529,091,964   
          

 

 

 

Net Assets — 100.0%

           $ 630,630,864   
          

 

 

 

Security Description

   Shares             Value  

SECURITIES SOLD SHORT — (12.0)%

          

COMMON STOCK — (10.4)%

          

Belgium — (0.0)%

          

Software — (0.0)%

          

Materialise NV ADR

     1,400              (10,640
          

 

 

 

Total Belgium

             (10,640
          

 

 

 

Bermuda — (0.1)%

          

Transportation & Logistics — (0.1)%

          

Golar LNG Ltd.

     13,900              (249,783
          

 

 

 

Total Bermuda

             (249,783
          

 

 

 

Brazil — (0.0)%

          

Banking — (0.0)%

          

Banco Santander Brasil SA ADR

     2,300              (10,695
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

39


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Iron & Steel — (0.0)%

          

Cia Siderurgica Nacional SA ADR

     78,800            $ (155,236
          

 

 

 

Passenger Transportation — (0.0)%

          

Gol Linhas Aereas Inteligentes SA ADR

     4,720              (35,542
          

 

 

 

Real Estate — (0.0)%

          

Gafisa SA ADR

     200              (284
          

 

 

 

Telecommunications — (0.0)%

          

Oi SA ADR

     20,385              (6,633
          

 

 

 

Utilities — (0.0)%

          

Centrais Eletricas Brasileiras SA ADR

     200              (356
          

 

 

 

Total Brazil

             (208,746
          

 

 

 

Canada — (0.5)%

          

Automotive — (0.0)%

          

Westport Innovations, Inc.

     11,800              (30,739
          

 

 

 

Banking — (0.0)%

          

Royal Bank of Canada

     3,139              (180,859
          

 

 

 

Biotechnology & Pharmaceuticals — (0.0)%

          

Aeterna Zentaris, Inc.

     9,605              (31,889

Arbutus Biopharma Corp.

     10,300              (42,539
          

 

 

 
             (74,428
          

 

 

 

Chemicals — (0.0)%

          

BioAmber, Inc.

     200              (840
          

 

 

 

Consumer Products — (0.0)%

          

DavidsTea, Inc.

     1,900              (23,009
          

 

 

 

Hardware — (0.0)%

          

Blackberry Ltd.

     4,808              (38,897
          

 

 

 

Medical Equipment & Devices — (0.0)%

          

Alpha Pro Tech Ltd.

     100              (182
          

 

 

 

Metals & Mining — (0.2)%

          

Endeavour Silver Corp.

     3,500              (8,610

First Majestic Silver Corp.

     5,300              (34,344

Franco-Nevada Corp.

     7,600              (466,488

NOVAGOLD Resources, Inc.

     11,200              (56,448

Pan American Silver Corp.

     30,200              (328,274

Primero Mining Corp.

     5,083              (9,200

Seabridge Gold, Inc.

     23,000              (252,080

Tanzanian Royalty Exploration Corp.

     1,700              (374
          

 

 

 
             (1,155,818
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

40


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Oil, Gas & Coal — (0.1)%

          

Enerplus Corp.

     29,300            $ (115,149

Pembina Pipeline Corp.

     6,300              (169,974

Pengrowth Energy Corp.

     25,700              (33,667

Penn West Petroleum Ltd.

     2,900              (2,697

Precision Drilling Corp.

     13,100              (55,020

TransCanada Corp.

     1,600              (62,896

Vermilion Energy, Inc.

     800              (23,376
          

 

 

 
             (462,779
          

 

 

 

Renewable Energy — (0.0)%

          

Ballard Power Systems, Inc.

     22,200              (31,080

Hydrogenics Corp.

     100              (818
          

 

 

 
             (31,898
          

 

 

 

Software — (0.0)%

          

Open Text Corp.

     1,900              (98,420

Sphere 3D Corp.

     100              (124
          

 

 

 
             (98,544
          

 

 

 

Technology Services — (0.0)%

          

CGI Group, Inc. Class A

     700              (33,446
          

 

 

 

Telecommunications — (0.1)%

          

Rogers Communications, Inc. B Shares

     10,600              (424,212
          

 

 

 

Transportation & Logistics — (0.1)%

          

Canadian National Railway Co.

     12,500              (780,750
          

 

 

 

Utilities — (0.0)%

          

Just Energy Group, Inc.

     3,000              (17,850

TransAlta Corp.

     200              (930
          

 

 

 
             (18,780
          

 

 

 

Total Canada

             (3,355,181
          

 

 

 

Cayman Islands — (0.0)%

          

Biotechnology & Pharmaceuticals — (0.0)%

          

Theravance Biopharma, Inc.

     2,000              (37,600
          

 

 

 

Total Cayman Islands

             (37,600
          

 

 

 

Chile — (0.0)%

          

Passenger Transportation — (0.0)%

          

Latam Airlines Group SA ADR

     24,062              (168,434
          

 

 

 

Retail — Consumer Staples — (0.0)%

          

Cencosud SA ADR

     300              (2,304
          

 

 

 

Total Chile

             (170,738
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

41


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

China — (0.4)%

          

Automotive — (0.0)%

          

Kandi Technologies Group, Inc.

     16,100            $ (115,920
          

 

 

 

Chemicals — (0.0)%

          

Tantech Holdings Ltd.

     100              (583
          

 

 

 

Gaming, Lodging & Restaurants — (0.1)%

          

500.com Ltd. Class A ADR

     20,500              (342,350
          

 

 

 

Media — (0.2)%

          

58.com, Inc. ADR

     4,600              (255,990

Renren, Inc. ADR

     1              (3

SouFun Holdings Ltd. ADR

     188,900              (1,131,511
          

 

 

 
             (1,387,504
          

 

 

 

Oil, Gas & Coal — (0.0)%

          

Yanzhou Coal Mining Co. Ltd. ADR

     1,400              (7,378
          

 

 

 

Renewable Energy — (0.0)%

          

ReneSola Ltd. ADR

     8,200              (11,808

Yingli Green Energy Holding ADR

     4,640              (21,205
          

 

 

 
             (33,013
          

 

 

 

Retail — Discretionary — (0.0)%

          

LightInTheBox Holding Co. Ltd. ADR

     1,400              (3,360
          

 

 

 

Software — (0.1)%

          

Momo, Inc. ADR

     11,300              (127,012

NQ Mobile, Inc. ADR

     28,800              (131,904
          

 

 

 
             (258,916
          

 

 

 

Telecommunications — (0.0)%

          

21Vianet Group, Inc. ADR

     300              (5,991
          

 

 

 

Total China

             (2,155,015
          

 

 

 

Colombia — (0.1)%

          

Banking — (0.1)%

          

Bancolombia SA ADR

     15,100              (516,118

Grupo Aval Acciones y Valores SA ADR

     900              (6,957
          

 

 

 
             (523,075
          

 

 

 

Passenger Transportation — (0.0)%

          

Avianca Holdings SA ADR

     2,600              (12,922
          

 

 

 

Total Colombia

             (535,997
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

42


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Denmark — (0.0)%

          

Biotechnology & Pharmaceuticals — (0.0)%

          

Novo Nordisk A/S B Shares (b)

     3,270            $ (177,370
          

 

 

 

Total Denmark

             (177,370
          

 

 

 

Germany — (0.0)%

          

Biotechnology & Pharmaceuticals — (0.0)%

          

Affimed NV

     2,100              (7,854
          

 

 

 

Hardware — (0.0)%

          

voxeljet AG ADR

     3,700              (22,570
          

 

 

 

Total Germany

             (30,424
          

 

 

 

Greece — (0.0)%

          

Transportation & Logistics — (0.0)%

          

Diana Containerships, Inc.

     1,100              (638

Diana Shipping, Inc.

     3,100              (8,277

Star Bulk Carriers Corp.

     8,400              (6,300
          

 

 

 

Total Greece

             (15,215
          

 

 

 

Hong Kong — (0.2)%

          

Gaming, Lodging & Restaurants — (0.2)%

          

Melco Crown Entertainment Ltd. ADR

     54,900              (906,399
          

 

 

 

Total Hong Kong

             (906,399
          

 

 

 

India — (0.0)%

          

Media — (0.0)%

          

MakeMyTrip Ltd.

     2,200              (39,798
          

 

 

 

Total India

             (39,798
          

 

 

 

Ireland — (0.1)%

          

Biotechnology & Pharmaceuticals — (0.0)%

          

Amarin Corp. PLC ADR

     35,900              (54,927
          

 

 

 

Insurance — (0.0)%

          

XL Group PLC

     9,004              (331,347
          

 

 

 

Specialty Finance — (0.1)%

          

AerCap Holdings NV

     9,400              (364,344
          

 

 

 

Transportation & Logistics — (0.0)%

          

Ardmore Shipping Corp.

     2,700              (22,815
          

 

 

 

Total Ireland

             (773,433
          

 

 

 

Israel — (0.0)%

          

Aerospace & Defense — (0.0)%

          

RADA Electronic Industries Ltd.

     3,100              (1,240
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

43


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Biotechnology & Pharmaceuticals — (0.0)%

          

Alcobra Ltd.

     2,400            $ (9,096

Neuroderm Ltd.

     1,700              (24,004

Oramed Pharmaceuticals, Inc.

     1,000              (6,660

Vascular Biogenics Ltd.

     1,200              (4,176
          

 

 

 
             (43,936
          

 

 

 

Hardware — (0.0)%

          

SuperCom Ltd.

     100              (398
          

 

 

 
             (398
          

 

 

 

Medical Equipment & Devices — (0.0)%

          

ReWalk Robotics Ltd.

     3,900              (36,660
          

 

 

 

Semiconductors — (0.0)%

          

On Track Innovations Ltd.

     100              (97
          

 

 

 

Total Israel

             (82,331
          

 

 

 

Monaco — (0.1)%

          

Transportation & Logistics — (0.1)%

          

GasLog Ltd.

     40,600              (395,444

Navios Maritime Holdings, Inc.

     12,500              (14,125

Scorpio Tankers, Inc.

     30,100              (175,483
          

 

 

 

Total Monaco

             (585,052
          

 

 

 

Netherlands — (0.0)%

          

Insurance — (0.0)%

          

Aegon NV

     13              (72
          

 

 

 

Oil, Gas & Coal — (0.0)%

          

Royal Dutch Shell PLC ADR

     41              (1,986
          

 

 

 

Retail—Discretionary — (0.0)%

          

Cnova NV

     2,800              (8,400
          

 

 

 

Telecommunications — (0.0)%

          

VimpelCom Ltd. ADR

     10,700              (45,582
          

 

 

 

Total Netherlands

             (56,040
          

 

 

 

Norway — (0.0)%

          

Oil, Gas & Coal — (0.0)%

          

North Atlantic Drilling Ltd.

     670              (1,836
          

 

 

 

Transportation & Logistics — (0.0)%

          

Frontline Ltd.

     5,120              (42,854

Golden Ocean Group Ltd.

     8,000              (5,560

 

See Notes to Consolidated Financial Statements.

 

44


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Nordic American Offshore Ltd.

     400            $ (1,792
          

 

 

 
             (50,206
          

 

 

 

Total Norway

             (52,042
          

 

 

 

Peru — (0.1)%

          

Metals & Mining — (0.1)%

          

Southern Copper Corp.

     11,800              (326,978
          

 

 

 

Total Peru

             (326,978
          

 

 

 

Spain — (0.0)%

          

Banking — (0.0)%

          

Banco Bilbao Vizcaya Argentaria SA ADR

     3              (20

Banco Santander SA ADR

     20              (87
          

 

 

 
             (107
          

 

 

 

Utilities — (0.0)%

          

Abengoa Yield PLC

     47              (835
          

 

 

 

Total Spain

             (942
          

 

 

 

Switzerland — (0.1)%

          

Construction Materials — (0.0)%

          

LafargeHolcim Ltd.

     896              (42,147
          

 

 

 

Institutional Financial Services — (0.0)%

          

Credit Suisse Group AG ADR

     14,242              (201,239
          

 

 

 

Retail—Consumer Staples — (0.1)%

          

Galenica AG (b)

     235              (353,398
          

 

 

 

Total Switzerland

             (596,784
          

 

 

 

Taiwan — (0.0)%

          

Semiconductors — (0.0)%

          

Siliconware Precision Industries Co. Ltd. ADR

     43              (343
          

 

 

 

Total Taiwan

             (343
          

 

 

 

United Kingdom — (0.0)%

          

Banking — (0.0)%

          

Barclays PLC ADR

     28              (241
          

 

 

 

Consumer Products — (0.0)%

          

Unilever NV

     23              (1,028
          

 

 

 

Insurance — (0.0)%

          

Aviva PLC ADR

     31              (405
          

 

 

 

Machinery — (0.0)%

          

CNH Industrial NV

     35              (236
          

 

 

 

Total United Kingdom

             (1,910
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

45


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

United States — (8.7)%

          

Aerospace & Defense — (0.1)%

          

Harris Corp.

     4            $ (311

Taser International, Inc.

     35,600              (698,828
          

 

 

 
             (699,139
          

 

 

 

Apparel & Textile Products — (0.1)%

          

Iconix Brand Group, Inc.

     14,000              (112,700

Lakeland Industries, Inc.

     1,200              (14,724

Sequential Brands Group, Inc.

     600              (3,834

Under Armour, Inc. Class A

     2,400              (203,592
          

 

 

 
             (334,850
          

 

 

 

Asset Management — (0.1)%

          

Acacia Research Corp.

     600              (2,274

Ameriprise Financial, Inc.

     1,364              (128,230

Artisan Partners Asset Management, Inc. Class A

     5,300              (163,452

Fifth Street Asset Management, Inc.

     1,200              (3,672

Full Circle Capital Corp.

     3,500              (9,030

Medley Capital Corp.

     5,700              (37,620

T Rowe Price Group, Inc.

     5,501              (404,103
          

 

 

 
             (748,381
          

 

 

 

Automotive — (0.0)%

          

Federal-Mogul Holdings Corp.

     311              (3,073
          

 

 

 

Banking — (0.1)%

          

Bank of America Corp.

     20,845              (281,825

Bank of the Ozarks, Inc.

     10              (420

Beneficial Bancorp, Inc.

     38              (520

Centerstate Banks, Inc.

     25              (372

Commerce Bancshares, Inc.

     35              (1,573

ConnectOne Bancorp, Inc.

     23              (376

Heritage Financial Corp.

     9              (158

MB Financial, Inc.

     22              (714

PacWest Bancorp

     38              (1,412

Sterling Bancorp

     4,561              (72,657

United Bankshares, Inc.

     46              (1,688
          

 

 

 
             (361,715
          

 

 

 

Biotechnology & Pharmaceuticals — (1.3)%

          

Abeona Therapeutics, Inc.

     200              (512

Actinium Pharmaceuticals, Inc.

     20,700              (41,193

Advaxis, Inc.

     6,500              (58,695

Aegerion Pharmaceuticals, Inc.

     16,800              (62,160

Aerie Pharmaceuticals, Inc.

     6,900              (83,904

 

See Notes to Consolidated Financial Statements.

 

46


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Akebia Therapeutics, Inc.

     9,200            $ (82,892

Alder Biopharmaceuticals, Inc.

     600              (14,694

Alimera Sciences, Inc.

     100              (175

Allergan PLC

     790              (211,744

Amicus Therapeutics, Inc.

     6,100              (51,545

Ampio Pharmaceuticals, Inc.

     7,000              (15,750

Anavex Life Sciences Corp.

     14,700              (72,030

Anthera Pharmaceuticals, Inc.

     6,500              (23,530

Apricus Biosciences, Inc.

     100              (58

Aratana Therapeutics, Inc.

     1,200              (6,624

Arena Pharmaceuticals, Inc.

     35,800              (70,526

Arrowhead Pharmaceuticals, Inc.

     30,600              (147,492

Atara Biotherapeutics, Inc.

     900              (17,127

AVEO Pharmaceuticals, Inc.

     2,900              (2,668

Axovant Sciences Ltd.

     200              (2,296

BIND Therapeutics, Inc.

     800              (1,760

Biocept, Inc.

     600              (774

BioCryst Pharmaceuticals, Inc.

     2,000              (5,660

BioDelivery Sciences International, Inc.

     38,100              (123,063

Blueprint Medicines Corp.

     2,100              (37,905

Brainstorm Cell Therapeutics, Inc.

     2,100              (5,607

Caladrius Biosciences, Inc.

     10,800              (8,100

Calithera Biosciences, Inc.

     500              (2,840

Catalyst Pharmaceutical Partners, Inc.

     1,400              (1,638

Celator Pharmaceuticals, Inc.

     1,000              (11,030

Celldex Therapeutics, Inc.

     2,200              (8,316

Cempra, Inc.

     400              (7,008

Conatus Pharmaceuticals, Inc.

     6,400              (13,696

CorMedix, Inc.

     700              (1,855

CTI BioPharma Corp.

     16,700              (8,874

CytRx Corp.

     37,500              (100,500

Dicerna Pharmaceuticals, Inc.

     1,900              (10,184

Discovery Laboratories, Inc.

     64              (106

Dynavax Technologies Corp.

     10              (192

Eagle Pharmaceuticals, Inc.

     12,300              (498,150

Enanta Pharmaceuticals, Inc.

     6,700              (196,779

Endocyte, Inc.

     6,000              (18,600

EPIRUS Biopharmaceuticals, Inc.

     200              (538

Epizyme, Inc.

     3,000              (36,360

Esperion Therapeutics, Inc.

     1,500              (25,365

Fortress Biotech, Inc.

     5,100              (15,810

Galectin Therapeutics, Inc.

     2,100              (3,003

Galena Biopharma, Inc.

     76,600              (104,176

Geron Corp.

     2,400              (7,008

Global Blood Therapeutics, Inc.

     100              (1,586

Heron Therapeutics, Inc.

     14,300              (271,557

Idera Pharmaceuticals, Inc.

     16,800              (33,264

 

See Notes to Consolidated Financial Statements.

 

47


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Incyte Corp.

     7,465            $ (540,989

Inovio Pharmaceuticals, Inc.

     46,700              (406,757

Intra-Cellular Therapies, Inc.

     200              (5,560

Johnson & Johnson (b)

     3,820              (413,324

Karyopharm Therapeutics, Inc.

     6,300              (56,196

Keryx Biopharmaceuticals, Inc.

     94,300              (440,381

Kite Pharma, Inc.

     47              (2,158

La Jolla Pharmaceutical Co.

     700              (14,637

Lipocine, Inc.

     200              (2,030

MannKind Corp.

     71,200              (114,632

Mast Therapeutics, Inc.

     7,700              (2,110

MEI Pharma, Inc.

     3,700              (4,662

Mylan NV (b)

     10,900              (505,215

NanoViricides, Inc.

     600              (1,314

NantKwest, Inc.

     2,500              (20,550

Natural Health Trends Corp.

     3,900              (129,285

Neuralstem, Inc.

     9,700              (7,275

Northwest Biotherapeutics, Inc.

     3,900              (5,694

Ocular Therapeutix, Inc.

     100              (966

Ohr Pharmaceutical, Inc.

     6,600              (21,186

OncoGenex Pharmaceuticals, Inc.

     300              (205

Oncothyreon, Inc.

     5,100              (6,477

Opexa Therapeutics, Inc.

     100              (232

Orexigen Therapeutics, Inc.

     24,900              (14,011

Organovo Holdings, Inc.

     40,800              (88,536

OXiGENE, Inc.

     6,000              (4,765

Peregrine Pharmaceuticals, Inc.

     10,700              (4,499

Pernix Therapeutics Holdings, Inc.

     31,600              (33,180

Perrigo Co. PLC

     4,510              (576,964

Pfizer, Inc.

     27,223              (806,890

Pluristem Therapeutics, Inc.

     400              (644

Provectus Biopharmaceuticals, Inc. Class A

     2,100              (794

Puma Biotechnology, Inc.

     4,900              (143,913

Raptor Pharmaceutical Corp.

     600              (2,760

Regeneron Pharmaceuticals, Inc. (b)

     680              (245,099

REGENXBIO, Inc.

     200              (2,160

Repros Therapeutics, Inc.

     7,600              (7,372

Revance Therapeutics, Inc.

     1,800              (31,428

Rexahn Pharmaceuticals, Inc.

     26,800              (8,847

RXI Pharmaceuticals

     4,200              (1,134

Sarepta Therapeutics, Inc.

     7,200              (140,544

StemCells, Inc.

     9,100              (2,371

Sunesis Pharmaceuticals, Inc.

     600              (324

Synergy Pharmaceuticals, Inc.

     5,200              (14,352

Synta Pharmaceuticals Corp.

     3,100              (744

Synthetic Biologics, Inc.

     24,300              (57,348

Teligent, Inc.

     10,500              (51,450

 

See Notes to Consolidated Financial Statements.

 

48


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Tenax Therapeutics, Inc.

     1,700            $ (3,485

TG Therapeutics, Inc.

     3,500              (29,820

TherapeuticsMD, Inc.

     21,200              (135,680

Tonix Pharmaceuticals Holding Corp.

     5,400              (13,014

Venaxis, Inc.

     12              (32

Vertex Pharmaceuticals, Inc.

     1,790              (142,287

Vitae Pharmaceuticals, Inc.

     400              (2,652

Vital Therapies, Inc.

     1,800              (16,326

VIVUS, Inc.

     46,100              (64,540

Xencor, Inc.

     500              (6,710

Zafgen, Inc.

     11,500              (76,820

ZIOPHARM Oncology, Inc.

     43,973              (326,280

Zogenix, Inc.

     2,312              (21,363
          

 

 

 
             (8,307,892
          

 

 

 

Chemicals — (0.1)%

          

Balchem Corp.

     3,000              (186,060

Ferro Corp.

     600              (7,122

iBio, Inc.

     7,300              (4,162

Marrone Bio Innovations, Inc.

     100              (90

Platform Specialty Products Corp.

     27,100              (233,060

Rayonier Advanced Materials, Inc.

     14,000              (133,000

Rentech, Inc.

     2,280              (5,062

Tronox Ltd. Class A

     28,800              (184,032
          

 

 

 
             (752,588
          

 

 

 

Commercial Services — (0.2)%

          

ADT Corp.

     28,100              (1,159,406

Ascent Capital Group, Inc. Class A

     800              (11,848

InterCloud Systems, Inc.

     16,000              (15,200

LifeLock, Inc.

     4,300              (51,901
          

 

 

 
             (1,238,355
          

 

 

 

Construction Materials — (0.0)%

          

Martin Marietta Materials, Inc.

     30              (4,785
          

 

 

 

Consumer Products — (0.1)%

          

22nd Century Group, Inc.

     1,900              (1,488

Alliance One International, Inc.

     40              (702

Avon Products, Inc.

     123,300              (593,073

Coty, Inc. Class A

     9,940              (276,630

Elizabeth Arden, Inc.

     800              (6,552

Tootsie Roll Industries, Inc.

     18              (629

Vector Group Ltd.

     18              (411
          

 

 

 
             (879,485
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

49


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Consumer Services — (0.1)%

          

ITT Educational Services, Inc.

     2,300            $ (7,107

Weight Watchers International, Inc.

     33,900              (492,567
          

 

 

 
             (499,674
          

 

 

 

Distributors—Consumer Staples — (0.1)%

          

Core-Mark Holding Co., Inc.

     4,000              (326,240
          

 

 

 

Electrical Equipment — (0.0)%

          

Capstone Turbine Corp.

     2,120              (3,392

Energous Corp.

     5,600              (56,560

Energy Focus, Inc.

     1,500              (11,145

General Cable Corp.

     14,000              (170,940

Giga-tronics, Inc.

     2,500              (3,650

Revolution Lighting Technology, Inc.

     820              (4,313
          

 

 

 
             (250,000
          

 

 

 

Engineering & Construction Services — (0.0)%

          

Willbros Group, Inc.

     600              (1,278
          

 

 

 

Gaming, Lodging & Restaurants — (0.1)%

          

Fogo De Chao, Inc.

     900              (14,049

Jamba, Inc.

     2,900              (35,844

Morgans Hotel Group Co.

     400              (552

Rave Restaurant Group, Inc.

     300              (1,596

Scientific Games Corp. Class A

     18,100              (170,683

Zoe’s Kitchen, Inc.

     5,800              (226,142
          

 

 

 
             (448,866
          

 

 

 

Hardware — (0.3)%

          

3D Systems Corp.

     700              (10,829

Aerohive Networks, Inc.

     1,000              (4,990

Ciena Corp.

     48,000              (912,960

Digital Ally, Inc.

     5,100              (25,245

ExOne Co.

     7,900              (103,806

FEI Co.

     3,100              (275,931

GoPro, Inc. Class A

     34,600              (413,816

Identiv, Inc.

     1,200              (2,592

MicroVision, Inc.

     16,300              (30,481

Mitel Networks Corp.

     200              (1,636

Neonode, Inc.

     8,000              (16,320

Nimble Storage, Inc.

     1,200              (9,408

Novatel Wireless, Inc.

     5,800              (10,266

NXT-ID, Inc.

     200              (116

Ruckus Wireless, Inc.

     11,700              (114,777

Silicon Graphics International Corp.

     300              (2,136

Turtle Beach Corp.

     5,100              (5,814

 

See Notes to Consolidated Financial Statements.

 

50


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Uni-Pixel, Inc.

     2,200            $ (2,024

VeriFone Systems, Inc.

     1              (28

Violin Memory, Inc.

     2,200              (1,149
          

 

 

 
             (1,944,324
          

 

 

 

Health Care Facilities & Services — (0.8)%

          

Adeptus Health, Inc. Class A

     1,300              (72,202

Aetna, Inc.

     2,762              (310,311

BioScrip, Inc.

     28,200              (60,348

Brookdale Senior Living, Inc.

     6              (95

DaVita HealthCare Partners, Inc. (b)

     8,170              (599,514

Diplomat Pharmacy, Inc.

     12,600              (345,240

ExamWorks Group, Inc.

     800              (23,648

Express Scripts Holding Co. (b)

     15,900              (1,092,171

HealthEquity, Inc.

     400              (9,868

Henry Schein, Inc. (b)

     5,860              (1,011,612

Kindred Healthcare, Inc.

     497              (6,138

MEDNAX, Inc.

     17,900              (1,156,698

Nobilis Health Corp.

     300              (936

OvaScience, Inc.

     4,300              (40,807

Tenet Healthcare Corp.

     5,200              (150,436

UnitedHealth Group, Inc. (b)

     1,260              (162,414
          

 

 

 
             (5,042,438
          

 

 

 

Home & Office Products — (0.4)%

          

Beazer Homes USA, Inc.

     23,900              (208,408

Century Communities, Inc.

     1,100              (18,777

Green Brick Partners, Inc.

     2,900              (22,011

Hovnanian Enterprises, Inc. Class A

     104,100              (162,396

LGI Homes, Inc.

     4,200              (101,682

M/I Homes, Inc.

     400              (7,460

MDC Holdings, Inc.

     200              (5,012

Taylor Morrison Home Corp. Class A

     1,200              (16,944

Tempur Sealy International, Inc.

     11,900              (723,401

TRI Pointe Homes, Inc.

     87,000              (1,024,860

William Lyon Homes Class A

     15,500              (224,595
          

 

 

 
             (2,515,546
          

 

 

 

Industrial Services — (0.0)%

          

WW Grainger, Inc.

     885              (206,586
          

 

 

 

Institutional Financial Services — (0.0)%

          

FXCM, Inc. Class A

     1,400              (15,036

Intercontinental Exchange, Inc.

     31              (7,289
          

 

 

 
             (22,325
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

51


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Insurance — (0.1)%

          

American International Group, Inc.

     200            $ (10,810

Amtrust Financial Services, Inc.

     40              (1,035

HCI Group, Inc.

     300              (9,990

State Auto Financial Corp.

     36              (794

Torchmark Corp.

     49              (2,654

Travelers Cos., Inc.

     2,778              (324,221
          

 

 

 
             (349,504
          

 

 

 

Iron & Steel — (0.1)%

          

AK Steel Holding Corp.

     88,100              (363,853

AM Castle & Co.

     1,300              (3,510

Cliffs Natural Resources, Inc.

     136,900              (410,700
          

 

 

 
             (778,063
          

 

 

 

Leisure Products — (0.0)%

          

Winnebago Industries, Inc.

     1,800              (40,410
          

 

 

 

Machinery — (0.0)%

          

Arotech Corp.

     500              (1,215

Caterpillar, Inc.

     605              (46,307

Milacron Holdings Corp.

     5,400              (89,046

Power Solutions International, Inc.

     1,300              (17,940
          

 

 

 
             (154,508
          

 

 

 

Manufactured Goods — (0.0)%

          

Proto Labs, Inc.

     1,800              (138,762
          

 

 

 

Media — (0.5)%

          

Angie’s List, Inc.

     21,600              (174,312

Charter Communications, Inc. Class A

     1,978              (400,407

Covisint Corp.

     122              (244

Cumulus Media, Inc. Class A

     27,300              (12,675

DraftDay Fantasy Sports, Inc.

     6,700              (1,608

EW Scripps Co. Class A

     3,756              (58,556

Expedia, Inc.

     20              (2,156

Liberty Broadband Corp. Class C

     28              (1,623

Liberty Media Corp.

     33              (1,275

Live Ventures, Inc.

     4,300              (5,977

Marin Software, Inc.

     1,000              (3,020

Media General, Inc.

     52,700              (859,537

Pandora Media, Inc.

     98,800              (884,260

Rocket Fuel, Inc.

     17,700              (55,755

Time Warner Cable, Inc.

     24              (4,911

Walt Disney Co.

     1,356              (134,664

World Wrestling Entertainment, Inc. Class A

     1,800              (31,788

Yelp, Inc.

     4,100              (81,508

 

See Notes to Consolidated Financial Statements.

 

52


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

YOU On Demand Holdings, Inc.

     1,100            $ (1,991

Zillow Group, Inc. Class A

     28,945              (739,545
          

 

 

 
             (3,455,812
          

 

 

 

Medical Equipment & Devices — (1.0)%

          

Abbott Laboratories (b)

     1,940              (81,150

Accelerate Diagnostics, Inc.

     8,900              (127,893

Amedica Corp.

     1,000              (1,550

Atossa Genetics, Inc.

     1,700              (585

Baxter International, Inc. (b)

     27,990              (1,149,829

Becton Dickinson and Co. (b)

     600              (91,092

Biolase, Inc.

     3,646              (4,776

Cerus Corp.

     1,700              (10,081

ConforMIS, Inc.

     1,500              (16,125

Cooper Cos., Inc. (b)

     2,490              (383,385

Cytori Therapeutics, Inc.

     22,200              (4,731

CytoSorbents Corp.

     100              (392

Dentsply Sirona, Inc.

     18,400              (1,133,992

EnteroMedics, Inc.

     46              (45

Exact Sciences Corp.

     3,400              (22,916

Foundation Medicine, Inc.

     11,035              (200,616

Hansen Medical, Inc.

     1,400              (3,654

Illumina, Inc. (b)

     1,310              (212,364

ImmunoCellular Therapeutics Ltd.

     7,900              (2,291

Intuitive Surgical, Inc. (b)

     215              (129,226

InVivo Therapeutics Holdings Corp.

     900              (6,282

IsoRay, Inc.

     7,800              (7,020

Medtronic PLC

     39              (2,925

Nanosphere, Inc.

     60              (48

Navidea Biopharmaceuticals, Inc.

     7,800              (7,367

Novocure Ltd.

     100              (1,448

Qiagen NV

     3              (67

Rockwell Medical, Inc.

     19,200              (144,192

Rosetta Genomics Ltd.

     2,400              (2,616

Second Sight Medical Products, Inc.

     17,500              (84,525

Spectranetics Corp.

     600              (8,712

Stereotaxis, Inc.

     1,500              (1,650

Stryker Corp. (b)

     9,980              (1,070,754

Sunshine Heart, Inc.

     300              (252

TearLab Corp.

     5,400              (3,402

TransEnterix, Inc.

     18,000              (76,500

Trovagene, Inc.

     1,100              (5,115

Unilife Corp.

     9,200              (6,256

Varian Medical Systems, Inc. (b)

     14,151              (1,132,363
          

 

 

 
             (6,138,187
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

53


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Metals & Mining — (0.1)%

          

Coeur Mining, Inc.

     30            $ (169

Gold Resource Corp.

     200              (466

Golden Star Resources Ltd.

     11,200              (5,107

Hecla Mining Co.

     10,300              (28,634

Tahoe Resources, Inc.

     24,700              (247,741

Ur-Energy, Inc.

     200              (100

Uranium Energy Corp.

     46,100              (34,483

US Silica Holdings, Inc.

     1,800              (40,896
          

 

 

 
             (357,596
          

 

 

 

Oil, Gas & Coal — (0.2)%

          

Alon USA Energy, Inc.

     19,100              (197,112

Approach Resources, Inc.

     1,400              (1,624

Basic Energy Services, Inc.

     7,300              (20,148

CARBO Ceramics, Inc.

     4,500              (63,900

Clayton Williams Energy, Inc.

     100              (892

Clean Energy Fuels Corp.

     8,100              (23,733

Cobalt International Energy, Inc.

     22,200              (65,934

Comstock Resources, Inc.

     5,300              (4,057

Eclipse Resources Corp.

     5,300              (7,632

Enbridge Energy Management LLC

     22              (395

Energy XXI Ltd.

     86,689              (53,999

Erin Energy Corp.

     400              (752

EXCO Resources, Inc.

     159,000              (157,267

Fairmount Santrol Holdings, Inc.

     11,900              (29,869

Flotek Industries, Inc.

     34,200              (250,686

Gastar Exploration, Inc.

     4,100              (4,510

Gulfmark Offshore, Inc. Class A

     4,500              (27,765

Halcon Resources Corp.

     20              (19

Harvest Natural Resources, Inc.

     2,100              (1,266

Jones Energy, Inc.

     10,300              (34,299

Key Energy Services, Inc.

     19,400              (7,167

Kosmos Energy Ltd.

     3,400              (19,788

Northern Oil and Gas, Inc.

     27,800              (110,922

Pacific Drilling SA

     9,800              (4,802

PetroQuest Energy, Inc.

     200              (121

Resolute Energy Corp.

     1,900              (969

Rex Energy Corp.

     5,900              (4,533

Sanchez Energy Corp.

     48,900              (268,461

Seventy Seven Energy, Inc.

     12,900              (7,483

Targa Resources Corp.

     2,200              (65,692

Tidewater, Inc.

     2,300              (15,709

Triangle Petroleum Corp.

     17,700              (9,599

W&T Offshore, Inc.

     42,500              (93,075

Westmoreland Coal Co.

     16,600              (119,686
          

 

 

 
             (1,673,866
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

54


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Real Estate — (0.3)%

          

Ashford Hospitality Trust, Inc.

     15,600            $ (99,528

Bluerock Residential Growth REIT, Inc.

     3,200              (34,816

CorEnergy Infrastructure Trust, Inc.

     20              (402

Extra Space Storage, Inc.

     1,281              (119,722

Farmland Partners, Inc.

     1,600              (17,168

Gaming and Leisure Properties, Inc.

     32              (990

Government Properties Income Trust

     4,400              (78,540

Gramercy Property Trust REIT

     9              (76

New Senior Investment Group, Inc.

     25,045              (257,964

NorthStar Realty Finance Corp.

     89,550              (1,174,896

Omega Healthcare Investors, Inc.

     20              (706

Public Storage

     575              (158,602

STAG Industrial, Inc.

     4,300              (87,548
          

 

 

 
             (2,030,958
          

 

 

 

Renewable Energy — (0.3)%

          

American Superconductor Corp.

     10              (76

Enphase Energy, Inc.

     7,300              (17,009

FuelCell Energy, Inc.

     8,625              (58,391

Gevo, Inc.

     23,860              (6,442

Plug Power, Inc.

     136,400              (279,620

Silver Spring Networks, Inc.

     600              (8,850

SolarCity Corp.

     49,000              (1,204,420

Solazyme, Inc.

     12,500              (25,375

SunEdison, Inc.

     260,000              (140,452

Sunworks, Inc.

     1,700              (4,709

Vivint Solar, Inc.

     9,200              (24,380
          

 

 

 
             (1,769,724
          

 

 

 

Retail—Consumer Staples — (0.0)%

          

Fairway Group Holdings Corp.

     3,500              (1,225
          

 

 

 

Retail—Discretionary — (0.4)%

          

Aeropostale, Inc.

     2,900              (576

Ascena Retail Group, Inc.

     8,100              (89,586

bebe stores, Inc.

     3,800              (2,089

Bon-Ton Stores, Inc.

     10,400              (23,608

Boot Barn Holdings, Inc.

     4,700              (44,180

Buckle, Inc.

     1,700              (57,579

Cabela’s, Inc.

     400              (19,476

Conn’s, Inc.

     7,300              (90,958

Container Store Group, Inc.

     3,800              (22,306

DSW, Inc. Class A

     19,700              (544,508

Freshpet, Inc.

     1,900              (13,927

Guess?, Inc.

     30,400              (570,608

 

See Notes to Consolidated Financial Statements.

 

55


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Net Element International, Inc.

     8,000            $ (2,534

Office Depot, Inc.

     3              (21

Pacific Sunwear of California, Inc.

     1,000              (126

Pier 1 Imports, Inc.

     29,500              (206,795

Sears Holdings Corp.

     35,100              (537,381

Stage Stores, Inc.

     2,100              (16,926

Tailored Brands, Inc.

     11,300              (202,270
          

 

 

 
             (2,445,454
          

 

 

 

Semiconductors — (0.3)%

          

Advanced Micro Devices, Inc.

     239,900              (683,715

Ambarella, Inc.

     13,800              (616,860

Applied Optoelectronics, Inc.

     700              (10,437

Cypress Semiconductor Corp.

     50,030              (433,260

Microsemi Corp.

     5,300              (203,043

ParkerVision, Inc.

     250              (783

Pixelworks, Inc.

     6,300              (13,797

Qorvo, Inc.

     13              (655

QuickLogic Corp.

     7,600              (8,056

Rubicon Technology, Inc.

     2,800              (2,044
          

 

 

 
             (1,972,650
          

 

 

 

Software — (0.2)%

          

2U, Inc.

     13,800              (311,880

Amber Road, Inc.

     1,200              (6,492

Benefitfocus, Inc.

     1,900              (63,365

Castlight Health, Inc. Class B

     8,000              (26,640

Datawatch Corp.

     1,200              (5,940

Demandware, Inc.

     4,000              (156,400

Digital Turbine, Inc.

     2,192              (2,608

Envestnet, Inc.

     2,600              (70,720

Glu Mobile, Inc.

     51,700              (145,794

MobileIron, Inc.

     200              (904

Opower, Inc.

     2,700              (18,387

Paycom Software, Inc.

     6,100              (217,160

PROS Holdings, Inc.

     4,100              (48,339

Q2 Holdings, Inc.

     100              (2,404

Rapid7, Inc.

     3,700              (48,359

Rosetta Stone, Inc.

     700              (4,697

Textura Corp.

     100              (1,863

TubeMogul, Inc.

     4,500              (58,230

VirnetX Holding Corp.

     21,400              (98,226

Vringo, Inc.

     4,950              (8,118
          

 

 

 
             (1,296,526
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

56


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Specialty Finance — (0.6)%

          

Ally Financial, Inc.

     31,000            $ (580,320

Altisource Portfolio Solutions SA

     4,200              (101,430

Apollo Residential Mortgage, Inc.

     11,200              (150,304

Arlington Asset Investment Corp. Class A

     800              (10,024

ARMOUR Residential REIT, Inc.

     15,816              (340,518

Chimera Investment Corp.

     3              (41

Encore Capital Group, Inc.

     6,600              (169,884

Everi Holdings, Inc.

     1,200              (2,748

Invesco Mortgage Capital, Inc.

     50,596              (616,259

JAVELIN Mortgage Investment Corp.

     2,710              (19,458

JG Wentworth Co. Class A

     700              (854

Ladder Capital Corp.

     19              (237

LendingClub Corp.

     62,700              (520,410

Nationstar Mortgage Holdings, Inc.

     65,000              (643,500

New Residential Investment Corp.

     50              (581

New York Mortgage Trust, Inc.

     2,100              (9,954

Ocwen Financial Corp.

     108,600              (268,242

Orchid Island Capital, Inc.

     12,500              (129,625

PHH Corp.

     600              (7,524

PRA Group, Inc.

     45              (1,323

RAIT Financial Trust

     37,100              (116,494

Resource Capital Corp. REIT

     9,400              (105,750

Stonegate Mortgage Corp.

     1,100              (6,314

Walter Investment Management Corp.

     16,200              (123,768

Western Asset Mortgage Capital Corp.

     27,435              (275,722
          

 

 

 
             (4,201,284
          

 

 

 

Technology Services — (0.1)%

          

Fair Isaac Corp.

     2,300              (244,007

IMS Health Holdings, Inc. (b)

     5,470              (145,229

Spherix, Inc.

     42              (76
          

 

 

 
             (389,312
          

 

 

 

Telecommunications — (0.1)%

          

AT&T, Inc.

     11              (431

Globalstar, Inc.

     106,000              (155,820

HC2 Holdings, Inc.

     300              (1,146

Sprint Corp.

     25,000              (87,000

Straight Path Communications, Inc.

     7,300              (226,519

Voltari Corp.

     5,000              (19,700

WidePoint Corp.

     500              (300

Windstream Holdings, Inc.

     2,000              (15,360
          

 

 

 
             (506,276
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

57


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Transportation & Logistics — (0.2)%

          

DHT Holdings, Inc.

     7,400            $ (42,624

Dorian LPG Ltd.

     2,200              (20,680

Eagle Bulk Shipping, Inc.

     900              (324

Nordic American Tankers Ltd.

     44,300              (624,187

Odyssey Marine Exploration, Inc.

     125              (849

Scorpio Bulkers, Inc.

     1,333              (4,372

XPO Logistics, Inc.

     13,500              (414,450
          

 

 

 
             (1,107,486
          

 

 

 

Transportation Equipment — (0.1)%

          

Clean Diesel Technologies, Inc.

     4,700              (3,384

Navistar International Corp.

     38,700              (484,524
          

 

 

 
             (487,908
          

 

 

 

Utilities — (0.1)%

          

Atlantic Power Corp.

     26,900              (66,174

Dynegy, Inc.

     15,500              (222,735

Genie Energy Ltd. Class B

     1,200              (9,132

Pattern Energy Group, Inc.

     21,400              (408,098
          

 

 

 
             (706,139
          

 

 

 

Waste & Environmental Services & Equipment — (0.1)%

  

Energy Recovery, Inc.

     1,700              (17,578

MagneGas Corp.

     6,900              (7,176

Stericycle, Inc. (b)

     3,260              (411,379

Vertex Energy, Inc.

     700              (1,365
          

 

 

 
             (437,498
          

 

 

 

Total United States

             (55,026,688
          

 

 

 

TOTAL COMMON STOCK
(PROCEEDS $80,452,483)

             (65,395,449
          

 

 

 

EXCHANGE-TRADED FUNDS — (1.6)%

          

Consumer Discretionary Select Sector SPDR Fund

     22,810              (1,803,130

Consumer Staples Select Sector SPDR Fund

     23,806              (1,262,908

Health Care Select Sector SPDR Fund (b)

     23,483              (1,591,678

iShares Nasdaq Biotechnology ETF (b)

     12,094              (3,154,236

iShares Russell 1000 Growth ETF

     3,043              (303,631

iShares Russell 2000 ETF (b)

     6,081              (672,680

iShares U.S. Healthcare ETF (b)

     3,180              (446,949

iShares U.S. Healthcare Providers ETF (b)

     2,363              (288,239

SPDR S&P 500 ETF Trust (b)

     1,700              (349,452

 

See Notes to Consolidated Financial Statements.

 

58


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

SPDR S&P Biotech ETF (b)

     9,760            $ (504,202
          

 

 

 

TOTAL EXCHANGE-TRADED FUNDS
(PROCEEDS $9,999,509)

             (10,377,105
          

 

 

 

TOTAL SECURITIES SOLD SHORT — (12.0)%
(PROCEEDS $90,451,992)

             (75,772,554
          

 

 

 

Footnote Legend:

  (a) Non-income producing.
  (b) Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Manager Fund.
  (c) All or a portion of this security is pledged as collateral for derivative financial instruments.
  (d) All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. In addition, “Other Assets” may include pending sales that are also on loan.
  (e) Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration.
  (f) Variable/floating interest rate security. Rate presented is as of March 31, 2016.
  (g) Security considered illiquid.
  (h) All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements.
  (i) Security is perpetual in nature and has no stated maturity.
  (j) Rate disclosed, the 7 day net yield, is as of March 31, 2016.
  (k) The cost of investments for federal tax purposes amounts to $203,381,511.
  (l) Assets, other than investments in securities, less liabilities other than securities sold short.

Options Written Contracts Outstanding at March 31, 2016

 

   

Strike

 

Expiration
Date

 

Contracts

   

Premium
Received

   

Market
Value

   

Unrealized
Appreciation
(Depreciation)

 

Exchange-Traded Call Options Written

       

Apple, Inc.

     115.00 USD   05/20/16     182      $     (21,223   $     (29,848   $ (8,625

Imperial Brands PLC

       39.00 GBP   05/20/16     4        (4,596     (6,721     (2,125
                             
        $ (25,819   $ (36,569   $     (10,750
                             

Exchange-Traded Put Options Written

       

Apple, Inc.

     100.00 USD   05/20/16     91      $ (17,760   $ (12,467   $ 5,293   

DAX Index

  9,100.00 EUR   04/15/16     40        (24,385     (3,368     21,017   

DAX Index

  8,900.00 EUR   06/17/16     42        (31,166     (27,003     4,163   

Imperial Brands PLC

       36.00 GBP   05/20/16     4        (4,942     (2,298     2,644   

Vodafone Group PLC

         1.90 GBP   09/16/16     132        (13,842     (9,005     4,837   
                             
        $ (92,095   $ (54,141   $ 37,954   
                             

 

See Notes to Consolidated Financial Statements.

 

59


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

 

   

Counterparty

 

Strike

 

Expiration
Date

   

Contracts

   

Premium
Received

   

Market
Value

   

Unrealized
Appreciation
(Depreciation)

 

OTC Put Options Written

         

SPDR S&P 500 ETF Trust

  Morgan Stanley &
Co. International plc
  190.00 USD     05/20/16        13,800      $ (11,040   $ (11,880   $ (840
                               

Total Options Written Outstanding

  

  $     (128,954   $     (102,590   $     26,364   
                               

Reverse Repurchase Agreements Outstanding at March 31, 2016

 

Counterparty

  Interest
Rate
  Trade
Date
  Maturity
Date
    Face
Value
    Face Value
Including
Accrued
Interest
 

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16      $ 1,914,000      $ 1,923,470   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        1,493,000        1,500,387   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        295,000        296,460   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        773,000        776,825   

JPMorgan Chase Bank, N.A.

  2.12%   02/18/16     05/16/16        155,000        155,392   
                     

Total Reverse Repurchase Agreements Outstanding

  

  $     4,630,000      $     4,652,534   
                     

Futures Contracts Outstanding at March 31, 2016

 

Description

 

Contracts

   

Exchange

   

Notional
Amount

   

Expiration
Date

   

Unrealized
Appreciation
(Depreciation)

 

Long Futures

         

Australian 10-Year Bond

    11        SFE        1,419,930 AUD        06/15/16      $ 15,763   

CAC40 10 Euro

    37        Euronext        1,648,836 EUR        04/15/16        (30,657

Cocoa

    31        ICE        920,024 USD        07/14/16        (2,734

Coffee

    23        ICE        1,120,889 USD        07/19/16        (3,520

Corn

    127        CBOT        2,326,053 USD        05/13/16        (94,028

Cotton No. 2

    103        ICE        3,030,549 USD        05/06/16        (20,889

Cotton No. 2

    37        ICE        1,045,953 USD        07/07/16        32,782   

DAX Index

    11        Eurex        2,740,393 EUR        06/17/16        10,932   

Euro FX

    22        CME        3,088,310 USD        06/13/16        49,990   

Euro Stoxx 50

    115        Eurex        3,438,308 EUR        06/17/16        (76,988

Euro-Bund

    89        Eurex        14,438,988 EUR        06/08/16        109,798   

FTSE/MIB Index

    33        IDEM        3,050,953 EUR        06/17/16        (149,193

Gasoline RBOB

    12        NYMEX        709,104 USD        04/29/16        20,033   

Gasoline RBOB

    6        NYMEX        314,064 USD        09/30/16        4,641   

Gold 100 Oz

    22        COMEX        2,690,745 USD        06/28/16        27,575   

Hang Seng Index

    4        HKFE        4,074,481 HKD        04/28/16        11,205   

Japan 10-Year Bond

    2        OSE        302,472,300 JPY        06/13/16        1,135   

Japanese Yen Currency

    59        CME        6,539,941 USD        06/13/16        26,759   

Live Cattle

    27        CME        1,367,625 USD        06/30/16        (28,155

Long Gilt

    2        ICE        242,942 GBP        06/28/16        (721

Mex Bolsa Index

    161        Mex Der        71,842,003 MXN        06/17/16        121,202   

 

See Notes to Consolidated Financial Statements.

 

60


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Description

 

Contracts

   

Exchange

   

Notional
Amount

   

Expiration
Date

   

Unrealized
Appreciation
(Depreciation)

 

Nasdaq100 E-Mini

    1        CME        87,049 USD        06/17/16      $ 2,476   

Nikkei 225

    10        OSE        167,243,300 JPY        06/09/16        3,169   

OMXS30 Index

    263        Nasdaq OMX        36,059,849 SEK        04/15/16        (86,164

S&P 500 E-Mini

    32        CME        3,206,497 USD        06/17/16        75,903   

Sugar 11

    8        ICE        136,745 USD        04/29/16        791   

Swiss Franc Currency

    24        CME        3,066,215 USD        06/13/16        66,985   

Swiss Market Index

    14        Eurex        1,091,460 CHF        06/17/16        (18,221

TOPIX Index

    6        OSE        80,641,830 JPY        06/09/16        1,850   

U.S. Treasury 10-Year Note

    336        CBOT        43,704,688 USD        06/21/16        106,562   

Wheat

    23        CBOT        521,666 USD        05/13/16        22,859   
         

 

 

 
          $ 201,140   
         

 

 

 

Short Futures

         

AUD/USD Currency

    54        CME        4,006,924 USD        06/13/16      $ (124,076

Australian 10-Year Bond

    106        SFE        13,778,723 AUD        06/15/16        (78,488

British Pound Currency

    38        CME        3,393,772 USD        06/13/16        (19,816

Canada 10-Year Bond

    76        CDE        10,756,348 CAD        06/21/16        26,385   

Canadian Currency

    41        CME        3,072,839 USD        06/14/16        (87,031

CBOE Volatility Index

    99        CFE        1,959,628 USD        05/18/16        214,753   

Copper

    18        COMEX        994,797 USD        05/26/16        12,447   

DAX Index

    6        Eurex        1,504,496 EUR        06/17/16        5,115   

Euro Stoxx 50

    472        Eurex        14,069,090 EUR        06/17/16        267,145   

Euro-BOBL

    4        Eurex        525,556 EUR        06/08/16        1,316   

Euro-BTP

    31        Eurex        4,312,706 EUR        06/08/16        (52,928

Euro-Bund

    9        Eurex        1,462,044 EUR        06/08/16        (8,917

Euro-Oat

    51        Eurex        7,950,404 EUR        06/08/16        (136,361

FTSE 100 Index

    26        ICE        1,582,186 GBP        06/17/16        (10,332

FTSE/JSE Top 40

    47        Safex        21,867,705 ZAR        06/15/16        (8,467

IBEX 35 Index

    12        MEFF        1,084,350 EUR        04/15/16        47,293   

Lean Hogs

    13        CME        431,876 USD        06/14/16        11,456   

Long Gilt

    90        ICE        10,874,374 GBP        06/28/16        (50,880

Low Sulphur Gasoil

    10        ICE        382,347 USD        10/12/16        (4,403

Low Sulphur Gasoil

    14        ICE        498,616 USD        05/12/16        (3,284

Natural Gas

    51        NYMEX        1,195,056 USD        10/27/16        (62,095

Natural Gas

    38        NYMEX        680,371 USD        04/27/16        (64,049

NY Harbor ULSD

    13        NYMEX        713,871 USD        11/30/16        (9,143

Platinum

    9        NYMEX        430,897 USD        07/27/16        (8,978

S&P 500

    5        CME        2,482,048 USD        06/16/16        (82,327

S&P 500 E-Mini

    129        CME        12,837,997 USD        06/17/16        (394,178

S&P/TSX 60 Index

    35        CDE        5,501,260 CAD        06/16/16        (5,959

SGX Nifty 50

    642        SGX        9,907,774 USD        04/28/16        (91,376

Silver

    13        COMEX        986,194 USD        05/26/16        (18,966

Soybean Meal

    1        CBOT        26,880 USD        05/13/16        (150

Soybean Oil

    66        CBOT        1,221,466 USD        05/13/16        (133,646

 

See Notes to Consolidated Financial Statements.

 

61


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Description

 

Contracts

   

Exchange

   

Notional
Amount

   

Expiration
Date

   

Unrealized
Appreciation
(Depreciation)

 

SPI 200

    42        SFE        5,364,449 AUD        06/16/16      $ 34,609   

TOPIX Index

    38        OSE        501,232,540 JPY        06/09/16        (96,117

U.S. Treasury 10-Year Note

    2        CBOT        261,231 USD        06/21/16        450   

U.S. Treasury 5-Year Note

    2        CBOT        242,138 USD        06/30/16        (190

WTI Crude

    15        NYMEX        570,530 USD        04/20/16        (4,570
         

 

 

 
          $ (935,758
         

 

 

 

Total Futures Contracts Outstanding

  

      $     (734,618
         

 

 

 

Forward Foreign Currency Exchange Contracts Outstanding at March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

AUD

    48,663        USD        36,378      Morgan Stanley & Co. LLC     06/15/16      $ 802   

AUD

    2,404,000        USD        1,788,696      State Street Bank and Trust
Company
    06/15/16        48,031   

BRL

    16,409,000        USD        3,975,241      State Street Bank and Trust
Company
    06/02/16        517,062   

BRL

    355,000        USD        88,308      State Street Bank and Trust
Company
    06/02/16        8,880   

BRL

    3,843,000        USD        995,596      State Street Bank and Trust
Company
    06/02/16        56,505   

CAD

    265,117        USD        200,522      Morgan Stanley & Co. LLC     06/15/16        3,623   

CAD

    2,473,734        USD        1,852,741      State Street Bank and Trust
Company
    06/15/16        52,083   

CHF

    1,270,577        USD        1,281,064      Morgan Stanley & Co. LLC     06/15/16        44,524   

CHF

    554,296        USD        566,811      Morgan Stanley & Co. LLC     06/15/16        11,483   

CHF

    793,681        USD        807,852      Morgan Stanley & Co. LLC     06/15/16        20,192   

CHF

    534,000        USD        543,677      State Street Bank and Trust
Company
    06/15/16        13,442   

CHF

    812,321        USD        844,182      Morgan Stanley & Co. LLC     06/15/16        3,309   

CHF

    514,356        USD        533,622      Morgan Stanley & Co. LLC     06/15/16        3,003   

CHF

    421,579        USD        435,165      Morgan Stanley & Co. LLC     06/15/16        4,667   

CHF

    597,994        USD        622,554      State Street Bank and Trust
Company
    06/13/16        1,301   

CHF

    297,081        USD        300,000      State Street Bank and Trust
Company
    06/13/16        9,929   

CHF

    895,075        USD        901,385      State Street Bank and Trust
Company
    04/04/16        29,482   

CNH

    4,756,500        USD        700,000      State Street Bank and Trust
Company
    05/13/16        34,915   

CNH

    6,700,000        USD        1,016,306      State Street Bank and Trust
Company
    05/13/16        18,894   

CNH

    6,709,270        USD        1,028,477      State Street Bank and Trust
Company
    05/13/16        8,156   

 

See Notes to Consolidated Financial Statements.

 

62


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

CZK

    3,416,000        USD        140,715      State Street Bank and Trust
Company
    06/15/16      $ 3,257   

DKK

    1,611,925        USD        238,722      Morgan Stanley & Co. LLC     06/15/16        7,982   

DKK

    363,798        USD        54,748      Morgan Stanley & Co. LLC     06/15/16        931   

DKK

    386,777        USD        57,838      Morgan Stanley & Co. LLC     06/15/16        1,358   

EUR

    1,380,000        USD        1,518,255      State Street Bank and Trust
Company
    06/15/16        55,493   

EUR

    2,063        USD        2,341      Morgan Stanley & Co. LLC     06/15/16        11   

EUR

    58,372        USD        65,647      Morgan Stanley & Co. LLC     06/15/16        920   

EUR

    100,000        USD        112,265      Morgan Stanley & Co. LLC     06/15/16        1,775   

EUR

    1,300,000        USD        1,459,523      Morgan Stanley & Co. LLC     06/15/16        22,993   

EUR

    100,000        USD        113,766      Morgan Stanley & Co. LLC     06/15/16        274   

EUR

    630,000        USD        718,780      Morgan Stanley & Co. LLC     06/15/16        (329

EUR

    1,527,367        USD        1,735,242      State Street Bank and Trust
Company
    06/13/16        6,408   

EUR

    577,367        USD        637,529      State Street Bank and Trust
Company
    04/04/16        19,457   

EUR

    950,000        USD        1,048,990      State Street Bank and Trust
Company
    04/04/16        32,015   

GBP

    650,000        USD        930,683      Morgan Stanley & Co. LLC     06/15/16        3,088   

GBP

    1,003        USD        1,452      Morgan Stanley & Co. LLC     06/15/16        (11

GBP

    716        USD        1,018      Morgan Stanley & Co. LLC     06/15/16        11   

GBP

    300,000        USD        423,171      Morgan Stanley & Co. LLC     06/15/16        7,800   

GBP

    1,356,500        USD        1,950,647      State Street Bank and Trust
Company
    06/13/16        (1,988

GBP

    1,356,500        USD        1,924,331      State Street Bank and Trust
Company
    04/04/16        23,941   

HKD

    380,000        USD        49,028      Morgan Stanley & Co. LLC     06/15/16        (22

HKD

    1,000,000        USD        129,045      Morgan Stanley & Co. LLC     06/15/16        (82

HKD

    1,082,000        USD        139,540      Morgan Stanley & Co. LLC     06/15/16        (2

HKD

    750,000        USD        96,788      Morgan Stanley & Co. LLC     06/15/16        (66

HUF

    1,541,741,000        USD        5,448,618      State Street Bank and Trust
Company
    06/15/16        134,131   

HUF

    291,121,000        USD        1,043,770      State Street Bank and Trust
Company
    06/15/16        10,399   

ILS

    2,031,000        USD        522,675      State Street Bank and Trust
Company
    06/15/16        18,910   

JPY

    168,742,700        USD        1,491,292      State Street Bank and Trust
Company
    06/15/16        11,098   

JPY

    157,098,000        USD        1,393,949      State Street Bank and Trust
Company
    06/15/16        4,764   

JPY

    8,000,000        USD        71,162      Morgan Stanley & Co. LLC     06/15/16        66   

JPY

    120,000,000        USD        1,062,050      Morgan Stanley & Co. LLC     06/15/16        6,362   

JPY

    37,000,000        USD        331,919      Morgan Stanley & Co. LLC     06/15/16        (2,492

JPY

    38,000,000        USD        338,651      Morgan Stanley & Co. LLC     06/15/16        (320

 

See Notes to Consolidated Financial Statements.

 

63


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

JPY

    14,500,000        USD        130,079      State Street Bank and Trust
Company
    06/13/16      $ (983

JPY

    6,638,810        USD        58,970      State Street Bank and Trust
Company
    04/04/16        18   

MXN

    43,699,500        USD        2,446,712      State Street Bank and Trust
Company
    06/15/16        66,408   

MXN

    21,689,265        USD        1,251,761      State Street Bank and Trust
Company
    06/13/16        (4,111

MXN

    21,689,265        USD        1,211,691      State Street Bank and Trust
Company
    04/04/16        43,682   

NZD

    568,000        USD        375,726      State Street Bank and Trust
Company
    06/15/16        15,428   

NZD

    228,563        USD        154,792      State Street Bank and Trust
Company
    06/13/16        2,614   

RUB

    9,051,000        USD        124,618      State Street Bank and Trust
Company
    06/15/16        7,694   

SEK

    14,191,000        USD        1,682,195      State Street Bank and Trust
Company
    06/15/16        70,335   

TRY

    14,499,000        USD        4,895,995      State Street Bank and Trust
Company
    06/15/16        146,064   

ZAR

    22,376,000        USD        1,445,852      State Street Bank and Trust
Company
    06/15/16        48,402   

USD

    7,282,946        AUD        9,766,000      State Street Bank and Trust
Company
    06/15/16        (178,567

USD

    34,967        AUD        45,942      Morgan Stanley & Co. LLC     06/15/16        (134

USD

    2,200        AUD        2,901      Morgan Stanley & Co. LLC     06/15/16        (17

USD

    300,000        BRL        1,221,600      State Street Bank and Trust
Company
    06/02/16        (34,438

USD

    2,838,985        BRL        11,637,000      State Street Bank and Trust
Company
    06/02/16        (346,884

USD

    99,789        BRL        378,000      State Street Bank and Trust
Company
    06/02/16        (3,696

USD

    1,866,800        CAD        2,473,734      State Street Bank and Trust
Company
    06/15/16        (38,025

USD

    563,589        CHF        552,368      Morgan Stanley & Co. LLC     06/15/16        (12,694

USD

    6,300,846        CHF        6,258,000      State Street Bank and Trust
Company
    06/15/16        (228,099

USD

    3,490,270        CHF        3,412,960      Morgan Stanley & Co. LLC     06/15/16        (70,457

USD

    842,370        CHF        823,770      Morgan Stanley & Co. LLC     06/15/16        (17,066

USD

    831,577        CHF        816,990      Morgan Stanley & Co. LLC     06/15/16        (20,785

USD

    832,006        CHF        800,605      Morgan Stanley & Co. LLC     06/15/16        (3,261

USD

    409,435        CHF        394,653      Morgan Stanley & Co. LLC     06/15/16        (2,304

USD

    340,201        CHF        330,504      Morgan Stanley & Co. LLC     06/15/16        (4,612

USD

    322,193        CHF        308,110      Morgan Stanley & Co. LLC     06/15/16        743   

USD

    905,314        CHF        895,075      State Street Bank and Trust
Company
    06/13/16        (28,470

 

See Notes to Consolidated Financial Statements.

 

64


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

USD

    2,787,016        CNH        18,165,770      State Street Bank and Trust
Company
    05/13/16      $ (19,733

USD

    1,296,900        CZK        31,894,668      State Street Bank and Trust
Company
    06/15/16        (47,340

USD

    12,360        DKK        81,250      Morgan Stanley & Co. LLC     06/15/16        (76

USD

    3,014        DKK        20,000      Morgan Stanley & Co. LLC     06/15/16        (47

USD

    168,277        DKK        1,099,746      Morgan Stanley & Co. LLC     06/15/16        (39

USD

    47,777        EUR        43,293      Morgan Stanley & Co. LLC     06/15/16        (1,594

USD

    4,289,612        EUR        3,833,434      Morgan Stanley & Co. LLC     06/15/16        (82,025

USD

    178,024        EUR        160,000      Morgan Stanley & Co. LLC     06/15/16        (4,440

USD

    1,441,102        EUR        1,294,000      State Street Bank and Trust
Company
    06/15/16        (34,572

USD

    51,672        EUR        45,946      Morgan Stanley & Co. LLC     06/15/16        (724

USD

    639,359        EUR        577,367      State Street Bank and Trust
Company
    06/13/16        (19,010

USD

    1,051,954        EUR        950,000      State Street Bank and Trust
Company
    06/13/16        (31,326

USD

    12,955        GBP        9,107      Morgan Stanley & Co. LLC     06/15/16        (128

USD

    1,830,287        GBP        1,286,000      State Street Bank and Trust
Company
    06/15/16        (17,143

USD

    1,570,909        GBP        1,091,834      Morgan Stanley & Co. LLC     06/15/16        2,412   

USD

    1,468,123        GBP        1,032,000      State Street Bank and Trust
Company
    06/15/16        (14,418

USD

    144,916        GBP        100,000      Morgan Stanley & Co. LLC     06/15/16        1,259   

USD

    1,000,000        GBP        694,854      State Street Bank and Trust
Company
    04/21/16        1,965   

USD

    285,094        GBP        200,000      Morgan Stanley & Co. LLC     06/15/16        (2,220

USD

    469,170        GBP        325,000      Morgan Stanley & Co. LLC     06/15/16        2,285   

USD

    1,924,968        GBP        1,356,500      State Street Bank and Trust
Company
    06/13/16        (23,691

USD

    2,684,668        HKD        20,820,000      Morgan Stanley & Co. LLC     06/15/16        (344

USD

    9,502,225        ILS        36,938,000      State Street Bank and Trust
Company
    06/15/16        (347,636

USD

    26,476        JPY        3,000,000      Morgan Stanley & Co. LLC     06/15/16        (234

USD

    7,522,407        JPY        852,642,248      Morgan Stanley & Co. LLC     06/15/16        (69,039

USD

    59,137        JPY        6,638,810      State Street Bank and Trust
Company
    06/13/16        30   

USD

    70,058        JPY        7,861,190      State Street Bank and Trust
Company
    06/13/16        68   

USD

    1,779,708        KRW        2,142,324,000      State Street Bank and Trust
Company
    06/15/16        (86,950

USD

    1,418,279        KRW        1,694,701,000      State Street Bank and Trust
Company
    06/15/16        (58,355

USD

    355,751        MXN        6,406,000      State Street Bank and Trust
Company
    06/15/16        (12,653

 

See Notes to Consolidated Financial Statements.

 

65


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

USD

    1,202,454        MXN        21,689,265      State Street Bank and Trust
Company
    06/13/16      $ (45,196

USD

    155,583        NZD        228,563      State Street Bank and Trust
Company
    04/04/16        (2,400

USD

    3,470,408        NZD        5,224,000      State Street Bank and Trust
Company
    06/15/16        (127,114

USD

    154,147        NZD        228,563      State Street Bank and Trust
Company
    06/13/16        (3,259

USD

    685,033        RUB        49,569,000      State Street Bank and Trust
Company
    06/15/16        (39,591

USD

    187,480        SEK        1,560,000      State Street Bank and Trust
Company
    06/15/16        (5,174

USD

    492,791        TRY        1,456,000      State Street Bank and Trust
Company
    06/15/16        (13,536

USD

    163,818        ZAR        2,615,000      State Street Bank and Trust
Company
    06/15/16        (10,809
           

 

 

 

Total Forward Foreign Currency Exchange Contracts Outstanding

  

  $     (447,597
           

 

 

 

Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2016

 

Reference
Obligation

 

The
Fund
Fixed
Deal
(Pay)
Rate

   

Maturity
Date

   

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

CDX.NA.HY.25

    (5.00)%        12/20/20     

Credit Suisse Securities (USA) LLC

    4,388,995 USD      $ (125,552)      $ 164,751      $ (290,303)   
                               

Total Centrally Cleared Credit Default Swaps on Index (Buy Protection)

  

  $   (125,552)      $   164,751      $   (290,303)   
                               

OTC Total Return Swaps Outstanding at March 31, 2016

 

Reference
Instrument

 

Termination
Date

 

Counterparty

 

Notional
Amount

 

Unrealized
Appreciation
(Depreciation)

Buys

             

Adecco SA REG

      02/09/17     Credit Suisse Securities (Europe) Limited       308,216 CHF       $ (1,020 )

Airbus Group

      08/18/16     Credit Suisse Securities (Europe) Limited       163,205 EUR         (5,976 )

Amadeus IT Holding SA

      09/18/17     Credit Suisse Securities (Europe) Limited       358,804 EUR         6,997  

Atlantia SpA

      08/18/16     Credit Suisse Securities (Europe) Limited       445,909 EUR         3,564  

Atos

      08/18/16     Credit Suisse Securities (Europe) Limited       1,044,792 EUR         30,207  

Bayer AG

      08/18/16     Credit Suisse Securities (Europe) Limited       373,100 EUR         14,010  

BNP Paribas SA

      08/18/16     Credit Suisse Securities (Europe) Limited       534,749 EUR         (36,045 )

Casino Guichard Perrachon

      08/18/16     Credit Suisse Securities (Europe) Limited       231,309 EUR         13,627  

 

See Notes to Consolidated Financial Statements.

 

66


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reference
Instrument

 

Termination
Date

 

Counterparty

 

Notional
Amount

 

Unrealized
Appreciation
(Depreciation)

Cie de St-Gobain

      08/18/16     Credit Suisse Securities (Europe) Limited       233,456 EUR       $ 5,210  

Credit Agricole SA

      08/18/16     Credit Suisse Securities (Europe) Limited       351,571 EUR         (31,447 )

Criteo SA ADR

      11/14/16     Credit Suisse Securities (Europe) Limited       352,953 USD         42,484  

Croda International PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       216,513 GBP         18,311  

Dassault Aviation SA

      08/18/16     Credit Suisse Securities (Europe) Limited       280,947 EUR         13,903  

Delhaize Group

      01/23/17     Credit Suisse Securities (Europe) Limited       404,503 EUR         (9,579 )

Endesa SA

      09/18/17     Credit Suisse Securities (Europe) Limited       357,154 EUR         (10,787 )

Enel SpA

      08/18/16     Credit Suisse Securities (Europe) Limited       169,304 EUR         396  

ENI SpA Italia

      08/18/16     Credit Suisse Securities (Europe) Limited       159,073 EUR         1,371  

Ferrovial SA

      09/25/17     Credit Suisse Securities (Europe) Limited       287,941 EUR         (2,044 )

Fresenius Medical Care AG & Co. KgaA

      08/18/16     Credit Suisse Securities (Europe) Limited       591,745 EUR         7,257  

GlaxoSmithKline PLC

      08/10/17     Morgan Stanley Capital Services LLC       204,722 GBP         8,746  

Imperial Tobaco Group PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       551,753 GBP         22,358  

ING Groep NV

      08/18/16     Credit Suisse Securities (Europe) Limited       524,088 EUR         (49,868 )

Intercontinental Hotels Group

      08/17/16     Credit Suisse Securities (Europe) Limited       339,943 GBP         15,439  

Intesa San Paolo

      08/18/16     Credit Suisse Securities (Europe) Limited       146,821 EUR         (13,618 )

Koninklijke DSM NV

      08/18/16     Credit Suisse Securities (Europe) Limited       360,616 EUR         (42 )

Koninklijke Philips NV

      08/18/16     Credit Suisse Securities (Europe) Limited       276,859 EUR         8,863  

Linde AG

      08/18/16     Credit Suisse Securities (Europe) Limited       316,282 EUR         (3,203 )

Lloyds Banking Group PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       247,840 GBP         (6,120 )

Nokia Oyj

      10/17/16     Credit Suisse Securities (Europe) Limited       648,365 EUR         (33,045 )

Orange

      08/18/16     Credit Suisse Securities (Europe) Limited       228,885 EUR         (14,460 )

Prudential PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       276,517 GBP         (4,974 )

Publicis Groupe

      08/18/16     Credit Suisse Securities (Europe) Limited       233,789 EUR         4,739  

Puma SE

      08/18/16     Credit Suisse Securities (Europe) Limited       468,550 EUR         (1,233 )

Renault SA

      08/18/16     Credit Suisse Securities (Europe) Limited       334,687 EUR         14,817  

Roche Holding AG Genusschein

      02/09/17     Credit Suisse Securities (Europe) Limited       411,242 CHF         (16,837 )

Royal Dutch Shell PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       462,466 GBP         15,800  

RSA Insurance Group PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       534,841 GBP         28,296  

Sanofi Aventis

      08/09/17     Morgan Stanley Capital Services LLC       260,531 EUR         (12,634 )

Sanofi Aventis

      08/18/16     Credit Suisse Securities (Europe) Limited       459,088 EUR         (23,448 )

Shire PLC

      12/28/16     Credit Suisse Securities (Europe) Limited       316,481 GBP         5,461  

Skandinaviska Enskilda Banken AB

      08/18/16     Credit Suisse Securities (Europe) Limited       2,760,723 SEK         (42,244 )

 

See Notes to Consolidated Financial Statements.

 

67


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reference
Instrument

 

Termination
Date

 

Counterparty

 

Notional
Amount

 

Unrealized
Appreciation
(Depreciation)

Smith & Nephew PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       805,764 GBP       $ 26,818  

Starwood Hotels & Resorts

      11/14/16     Credit Suisse Securities (Europe) Limited       814,962 USD         17,169  

TDC A/S

      09/29/17     Credit Suisse Securities (Europe) Limited       2,417,883 DKK         98  

Tim Participacoes ADR

      11/14/16     Credit Suisse Securities (Europe) Limited       269,149 USD         29,725  

TUI AG DI

      08/18/16     Credit Suisse Securities (Europe) Limited       270,920 EUR         9,261  

UBM PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       370,247 GBP         3,563  

Vodafone Group PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       422,558 GBP         3,588  

Vodafone Group PLC

      12/28/16     Credit Suisse Securities (Europe) Limited       773,258 GBP         41,905  
             

 

 

 

Total Buys

              $ 95,359  
             

 

 

 

Sells

             

ABB Ltd. REG

      02/09/17     Credit Suisse Securities (Europe) Limited       393,627 CHF       $ (13,298 )

Air Liquide SA

      08/18/16     Credit Suisse Securities (Europe) Limited       167,557 EUR         (1,083 )

Allianz SE REG

      08/18/16     Credit Suisse Securities (Europe) Limited       246,617 EUR         6,050  

Altran Technologies SA

      08/18/16     Credit Suisse Securities (Europe) Limited       24,725 EUR         (735 )

America Movil ADR

      07/25/16     Credit Suisse Securities (Europe) Limited       24,601 USD         (1,894 )

Atlas Copco AB

      08/18/16     Credit Suisse Securities (Europe) Limited       1,640,796 SEK         (3,012 )

AXA SA

      08/18/16     Credit Suisse Securities (Europe) Limited       275,906 EUR         15,026  

Bovespa Index

      09/18/17     Morgan Stanley Capital Services LLC       3,430,450 BRL         (50,618 )

British American Tobacco PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       37,812 GBP         500  

Bureau Veritas SA

      08/18/16     Credit Suisse Securities (Europe) Limited       163,843 EUR         (7,841 )

Cap Gemini

      08/18/16     Credit Suisse Securities (Europe) Limited       22,631 EUR         (1,310 )

CSL LTD

      03/02/17     Morgan Stanley Capital Services LLC       869,757 AUD         15,404  

Danone

      08/18/16     Credit Suisse Securities (Europe) Limited       11,306 EUR         (10 )

Distribuidora Internacional

      09/18/17     Credit Suisse Securities (Europe) Limited       101,086 EUR         825  

Elekta AB

      08/18/16     Credit Suisse Securities (Europe) Limited       1,548,284 SEK         6,822  

Ericsson LM

      08/18/16     Credit Suisse Securities (Europe) Limited       159,415 SEK         (472 )

Fresenius Medical Care AG & Co KGaA

      08/09/17     Morgan Stanley Capital Services LLC       445,907 EUR         (33,790 )

iShares MSCI Brazil Capped ETF

      11/14/16     Credit Suisse Securities (Europe) Limited       50,435 USD         (1,981 )

Italcementi SpA

      08/18/16     Credit Suisse Securities (Europe) Limited       40,141 EUR         (9 )

KOSPI 200 Index

      09/18/17     Morgan Stanley Capital Services LLC       4,320,923,600 KRW         (99,927 )

L’Oreal

      08/18/16     Credit Suisse Securities (Europe) Limited       37,048 EUR         54  

Marriott International

      11/14/16     Credit Suisse Securities (Europe) Limited       242,852 USD         5,111  

 

See Notes to Consolidated Financial Statements.

 

68


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reference
Instrument

 

Termination
Date

 

Counterparty

 

Notional
Amount

 

Unrealized
Appreciation
(Depreciation)

Merck KgaA

      08/09/17     Morgan Stanley Capital Services LLC       293,530 EUR       $ 45,209  

Nestle SA REG

      02/09/17     Credit Suisse Securities (Europe) Limited       21,063 CHF         (138 )

Philip Morris International

      11/14/16     Credit Suisse Securities (Europe) Limited       76,381 USD         (1,323 )

Sainsbury (J) PLC

      08/17/16     Credit Suisse Securities (Europe) Limited       93,648 GBP         630  

Sandvik AB

      08/18/16     Credit Suisse Securities (Europe) Limited       1,660,387 SEK         (9,824 )

SAP SE

      08/18/16     Credit Suisse Securities (Europe) Limited       13,401 EUR         (123 )

Siemens AG REG

      08/18/16     Credit Suisse Securities (Europe) Limited       182,056 EUR         (5,995 )

Telefonica Brasil

      11/14/16     Credit Suisse Securities (Europe) Limited       143,836 USD         (20,982 )

Telefonica SA

      09/18/17     Credit Suisse Securities (Europe) Limited       720,625 EUR         11,727  
             

 

 

 

Total Sells

              $     (147,007 )
             

 

 

 

Total OTC Total Return Swaps Outstanding

  

    $ (51,648 )
             

 

 

 

 

Abbreviation Legend:

  ADR  

American Depository Receipt

  CBOT  

Chicago Board of Trade

  CDE  

Montreal Exchange

  CFE  

CBOE Futures Exchange

  CME  

Chicago Mercantile Exchange

  COMEX  

Commodities Exchange Center

  Eurex  

Eurex Exchange

  Euronext  

Euronext Paris

  HKFE  

Hong Kong Futures Exchange Ltd.

  ICE  

Ice Futures Europe

  IDEM  

Italian Derivatives Exchange Market

  MEFF  

MEFF Renta Variable

  NYMEX  

New York Mercantile Exchange

  OSE  

Osaka Exchange

  OTC  

Over the Counter

  REIT  

Real Estate Investment Trust

  Safex  

South African Futures Exchange

  SFE  

ASX Trade24

  SGX  

Singapore Exchange

 

See Notes to Consolidated Financial Statements.

 

69


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency Legend:

  AUD  

Australian Dollar

  BRL  

Brazilian Real

  CAD  

Canadian Dollar

  CHF  

Swiss Franc

  CNH  

Chinese Renminbi

  CZK  

Czech Koruna

  DKK  

Danish Krone

  EUR  

Euro

  GBP  

British Pound

  HKD  

Hong Kong Dollar

  HUF  

Hungarian Forint

  ILS  

Israeli Shekel

  JPY  

Japanese Yen

  KRW  

South Korean Won

  MXN  

Mexican Peso

  NZD  

New Zealand Dollar

  RUB  

Russian Ruble

  SEK  

Swedish Krona

  TRY  

Turkish Lira

  USD  

United States Dollar

  ZAR  

South African Rand

 

See Notes to Consolidated Financial Statements.

 

70


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments

March 31, 2016

 

Security Description

   Shares             Value  

INVESTMENTS IN SECURITIES — 100.0%

          

COMMON STOCK — 36.1%

          

Argentina — 0.0%

          

Gaming, Lodging & Restaurants — 0.0%

          

Arcos Dorados Holdings, Inc. A Shares (a)

     11,400            $ 42,750   
          

 

 

 

Total Argentina

             42,750   
          

 

 

 

Australia — 0.0%

          

Iron & Steel — 0.0%

          

BHP Billiton PLC ADR

     36,900              838,737   
          

 

 

 

Total Australia

             838,737   
          

 

 

 

Belgium — 0.0%

          

Biotechnology & Pharmaceuticals — 0.0%

          

Galapagos NV (a),(b)

     12,764              537,248   
          

 

 

 

Insurance — 0.0%

          

Ageas

     32,851              1,303,481   
          

 

 

 

Transportation & Logistics — 0.0%

          

Euronav NV

     4,700              48,128   
          

 

 

 

Total Belgium

             1,888,857   
          

 

 

 

Bermuda — 0.1%

          

Insurance — 0.0%

          

Aspen Insurance Holdings Ltd.

     100              4,770   
          

 

 

 

Media — 0.0%

          

Central European Media Enterprises Ltd. A Shares (a)

     5,200              13,260   
          

 

 

 

Semiconductors — 0.1%

          

Marvell Technology Group Ltd.

     216,900              2,236,239   
          

 

 

 

Transportation & Logistics — 0.0%

          

Teekay Corp.

     3,200              27,712   
          

 

 

 

Total Bermuda

             2,281,981   
          

 

 

 

Brazil — 0.0%

          

Consumer Products — 0.0%

          

BRF SA ADR

     2,400              34,128   
          

 

 

 

Forest & Paper Products — 0.0%

          

Fibria Celulose SA ADR

     100              848   
          

 

 

 

Iron & Steel — 0.0%

          

Gerdau SA ADR

     1,100              1,958   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

71


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Oil, Gas & Coal — 0.0%

          

Cosan Ltd. A Shares

     2,600            $ 12,792   
          

 

 

 

Utilities — 0.0%

          

Cia Energetica de Minas Gerais ADR

     31,400              70,964   
          

 

 

 

Total Brazil

             120,690   
          

 

 

 

Canada — 0.2%

          

Asset Management — 0.0%

          

Fairfax India Holdings Corp. (a)

     97,600              1,058,960   
          

 

 

 

Automotive — 0.0%

          

Magna International, Inc.

     48,000              2,062,080   
          

 

 

 

Banking — 0.1%

          

Canadian Imperial Bank of Commerce

     17,050              1,273,679   

National Bank of Canada

     36,400              1,190,865   
          

 

 

 
             2,464,544   
          

 

 

 

Biotechnology & Pharmaceuticals — 0.0%

          

Aralez Pharmaceuticals, Inc. (a)

     4,200              14,910   

QLT, Inc. (a)

     6,400              12,736   

Sophiris Bio, Inc. (a)

     1,300              1,872   
          

 

 

 
             29,518   
          

 

 

 

Consumer Products — 0.0%

          

Cott Corp.

     1,900              26,391   

SunOpta, Inc. (a)

     4,200              18,732   
          

 

 

 
             45,123   
          

 

 

 

Forest & Paper Products — 0.0%

          

Mercer International, Inc. (c)

     9,300              87,885   
          

 

 

 

Gaming, Lodging & Restaurants — 0.0%

          

Restaurant Brands International

     21              815   
          

 

 

 

Media — 0.0%

          

Points International Ltd. (a)

     100              871   
          

 

 

 

Metals & Mining — 0.0%

          

Dominion Diamond Corp. (c)

     20,300              225,127   

Eldorado Gold Corp. (a)

     3,900              12,324   

Fortuna Silver Mines, Inc. (a)

     4,900              19,110   

IAMGOLD Corp. (a)

     100              221   

Kinross Gold Corp. (a)

     14,500              49,300   

MFC Industrial Ltd. (a)

     400              792   

Nevsun Resources Ltd.

     7,200              23,328   

Sandstorm Gold Ltd. (a)

     900              2,961   

 

See Notes to Consolidated Financial Statements.

 

72


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Taseko Mines Ltd. (a)

     200            $ 112   

Turquoise Hill Resources Ltd. (a)

     2,000              5,080   
          

 

 

 
             338,355   
          

 

 

 

Oil, Gas & Coal — 0.0%

          

Advantage Oil & Gas Ltd. (a),(c)

     5,300              29,097   

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

     21,600              53,352   

TransGlobe Energy Corp. (c)

     800              1,328   
          

 

 

 
             83,777   
          

 

 

 

Passenger Transportation — 0.0%

          

Student Transportation, Inc.

     1,800              9,126   
          

 

 

 

Renewable Energy — 0.1%

          

Canadian Solar, Inc. (a),(d)

     118,115              2,277,257   
          

 

 

 

Total Canada

             8,458,311   
          

 

 

 

Cayman Islands — 0.0%

          

Utilities — 0.0%

          

Consolidated Water Co. Ltd.

     100              1,217   
          

 

 

 

Total Cayman Islands

             1,217   
          

 

 

 

Chile — 0.0%

          

Chemicals — 0.0%

          

Sociedad Quimica y Minera de Chile SA ADR

     3,900              80,145   
          

 

 

 

Utilities — 0.0%

          

Enersis SA ADR

     22,500              312,750   
          

 

 

 

Total Chile

             392,895   
          

 

 

 

China — 0.5%

          

Automotive — 0.0%

          

China Automotive Systems, Inc. (a)

     1,900              8,816   
          

 

 

 

Biotechnology & Pharmaceuticals — 0.0%

          

Sinovac Biotech Ltd. (a)

     700              4,473   
          

 

 

 

Consumer Services — 0.0%

          

New Oriental Education & Technology Group, Inc. ADR

     34,600              1,196,814   

Tarena International, Inc. ADR

     400              4,324   
          

 

 

 
             1,201,138   
          

 

 

 

Gaming, Lodging & Restaurants — 0.1%

          

Homeinns Hotel Group ADR (a)

     52,000              1,853,800   
          

 

 

 

Health Care Facilities & Services — 0.0%

          

iKang Healthcare Group, Inc. ADR (a)

     800              17,488   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

73


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Insurance — 0.0%

          

China Life Insurance Co. Ltd. ADR

     25,900            $ 318,311   

CNinsure, Inc. ADR (a)

     4,400              35,288   
          

 

 

 
             353,599   
          

 

 

 

Machinery — 0.0%

          

Hollysys Automation Technologies Ltd. (a)

     7,700              162,085   
          

 

 

 

Media — 0.4%

          

Baidu, Inc. ADR (a)

     77,009              14,699,478   

Leju Holdings Ltd. ADR

     700              3,647   

SINA Corp. (a)

     7,400              350,538   

Sohu.com, Inc. (a)

     23,600              1,169,144   

Xunlei Ltd. ADR (a)

     200              1,222   

Zhaopin Ltd. ADR (a)

     1,840              29,219   
          

 

 

 
             16,253,248   
          

 

 

 

Metals & Mining — 0.0%

          

Aluminum Corp. of China Ltd. ADR (a)

     300              2,394   
          

 

 

 

Passenger Transportation — 0.0%

          

China Southern Airlines Co. Ltd. ADR

     4,300              134,332   

Guangshen Railway Co. Ltd. ADR

     200              4,282   
          

 

 

 
             138,614   
          

 

 

 

Real Estate — 0.0%

          

E-House China Holdings Ltd. ADR

     6,100              37,942   

Xinyuan Real Estate Co. Ltd. ADR

     12,800              56,704   
          

 

 

 
             94,646   
          

 

 

 

Renewable Energy — 0.0%

          

JA Solar Holdings Co. Ltd. ADR (a)

     5,500              47,355   

Trina Solar Ltd. ADR (a)

     100              994   
          

 

 

 
             48,349   
          

 

 

 

Retail—Discretionary — 0.0%

          

E-Commerce China Dangdang, Inc. A Shares ADR (a)

     3,300              23,529   
          

 

 

 

Software — 0.0%

          

Changyou.com Ltd. ADR (a)

     800              15,024   

NetEase, Inc. ADR

     3,200              459,456   
          

 

 

 
             474,480   
          

 

 

 

Technology Services — 0.0%

          

Baozun, Inc. (a)

     100              584   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

74


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Utilities — 0.0%

          

Huaneng Power International, Inc. ADR

     600            $ 21,336   
          

 

 

 

Total China

             20,658,579   
          

 

 

 

Cyprus — 0.0%

          

Oil, Gas & Coal — 0.0%

          

Ocean Rig UDW, Inc.

     3,400              2,789   
          

 

 

 

Total Cyprus

             2,789   
          

 

 

 

France — 0.1%

          

Asset Management — 0.1%

          

Amundi SA (a)

     31,157              1,483,554   
          

 

 

 

Banking — 0.0%

          

BNP Paribas SA

     23,423              1,178,863   
          

 

 

 

Total France

             2,662,417   
          

 

 

 

Greece — 0.0%

          

Real Estate — 0.0%

          

Grivalia Properties REIC

     109,825              921,028   
          

 

 

 

Transportation & Logistics — 0.0%

          

Aegean Marine Petroleum Network, Inc.

     13,100              99,167   

Costamare, Inc.

     15,300              136,170   

Safe Bulkers, Inc.

     13,000              10,445   

StealthGas, Inc. (a)

     1,500              5,295   

Tsakos Energy Navigation Ltd.

     32,500              200,850   
          

 

 

 
             451,927   
          

 

 

 

Total Greece

             1,372,955   
          

 

 

 

Hong Kong — 0.0%

          

Health Care Facilities & Services — 0.0%

          

China Cord Blood Corp. (a)

     1,300              7,891   
          

 

 

 

Insurance — 0.0%

          

AIA Group Ltd.

     204,600              1,159,181   
          

 

 

 

Media — 0.0%

          

Global Sources Ltd. (a)

     1,500              12,150   
          

 

 

 

Total Hong Kong

             1,179,222   
          

 

 

 

India — 0.1%

          

Banking — 0.1%

          

ICICI Bank Ltd. ADR

     285,047              2,040,937   
          

 

 

 

Total India

             2,040,937   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

75


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Ireland — 0.3%

          

Biotechnology & Pharmaceuticals — 0.1%

          

Shire PLC ADR (d)

     26,888            $ 4,622,047   
          

 

 

 

Insurance — 0.1%

          

XL Group PLC

     39,613              1,457,758   
          

 

 

 

Medical Equipment & Devices — 0.0%

          

Trinity Biotech PLC ADR

     5,400              62,964   
          

 

 

 

Passenger Transportation — 0.0%

          

Ryanair Holdings PLC ADR

     12,975              1,113,515   
          

 

 

 

Specialty Finance — 0.1%

          

AerCap Holdings NV (a)

     119,117              4,616,975   

Fly Leasing Ltd. ADR

     9,300              118,203   
          

 

 

 
             4,735,178   
          

 

 

 

Total Ireland

             11,991,462   
          

 

 

 

Israel — 0.6%

          

Biotechnology & Pharmaceuticals — 0.5%

          

Teva Pharmaceutical Industries Ltd. ADR (b)

     418,408              22,389,012   
          

 

 

 

Electrical Equipment — 0.0%

          

Magal Security Systems Ltd. (a)

     100              497   

Orbotech Ltd. (a)

     16,500              392,370   
          

 

 

 
             392,867   
          

 

 

 

Hardware — 0.0%

          

AudioCodes Ltd. (a)

     100              465   

Ceragon Networks Ltd. (a)

     300              381   

Radware Ltd. (a)

     2,600              30,758   

Silicom Ltd.

     200              6,828   
          

 

 

 
             38,432   
          

 

 

 

Media — 0.0%

          

Wix.com Ltd. (a)

     500              10,135   
          

 

 

 

Medical Equipment & Devices — 0.0%

          

Syneron Medical Ltd. (a)

     7,100              51,901   
          

 

 

 

Semiconductors — 0.0%

          

Mellanox Technologies Ltd. (a)

     300              16,299   

Nova Measuring Instruments Ltd. (a)

     1,800              18,738   

Tower Semiconductor Ltd. (a)

     600              7,272   
          

 

 

 
             42,309   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

76


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Software — 0.1%

          

Attunity Ltd. (a)

     500            $ 3,580   

Check Point Software Technologies Ltd. (a),(b),(d)

     22,005              1,924,777   

Mind CTI Ltd.

     200              404   

Sapiens International Corp. NV

     1,400              16,772   
          

 

 

 
             1,945,533   
          

 

 

 

Technology Services — 0.0%

          

Magic Software Enterprises Ltd.

     600              4,062   
          

 

 

 

Telecommunications — 0.0%

          

Allot Communications Ltd. (a)

     1,200              6,276   
          

 

 

 

Total Israel

             24,880,527   
          

 

 

 

Italy — 0.4%

          

Asset Management — 0.1%

          

Anima Holding SpA

     276,393              2,022,283   
          

 

 

 

Banking — 0.1%

          

Banca Generali SpA

     50,753              1,492,885   

Banca Popolare dell’Emilia Romagna (a)

     229,802              1,094,081   
          

 

 

 
             2,586,966   
          

 

 

 

Technology Services — 0.0%

          

Cerved Information Solutions SpA

     220,632              1,815,143   
          

 

 

 

Telecommunications — 0.2%

          

Telecom Italia SpA (b)

     8,771,697              9,462,284   
          

 

 

 

Total Italy

             15,886,676   
          

 

 

 

Japan — 1.4%

          

Automotive — 0.2%

          

Aisin Seiki Co. Ltd. (d)

     35,200              1,326,118   

Mazda Motor Corp.

     512,300              7,949,993   
          

 

 

 
             9,276,111   
          

 

 

 

Chemicals — 0.0%

          

Nitto Denko Corp. (d)

     17,500              972,922   
          

 

 

 

Consumer Products — 0.1%

          

Ajinomoto Co., Inc.

     199,000              4,490,297   
          

 

 

 

Electrical Equipment — 0.2%

          

Daikin Industries Ltd. (d)

     70,400              5,261,938   

Keyence Corp. (d)

     3,800              2,072,789   

SMC Corp.

     5,300              1,230,992   
          

 

 

 
             8,565,719   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

77


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Hardware — 0.2%

          

Panasonic Corp.

     294,800            $ 2,707,146   

Sony Corp.

     176,900              4,547,263   
          

 

 

 
             7,254,409   
          

 

 

 

Passenger Transportation — 0.2%

          

ANA Holdings, Inc.

     2,529,000              7,125,558   
          

 

 

 

Real Estate — 0.5%

          

Mitsubishi Estate Co. Ltd.

     526,000              9,770,341   

Mitsui Fudosan Co. Ltd.

     410,000              10,229,508   
          

 

 

 
             19,999,849   
          

 

 

 

Specialty Finance — 0.0%

          

Orix Corp. ADR

     100              7,139   
          

 

 

 

Telecommunications — 0.0%

          

SoftBank Group Corp. (b)

     23,800              1,134,753   
          

 

 

 

Total Japan

             58,826,757   
          

 

 

 

Luxembourg — 0.0%

          

Consumer Products — 0.0%

          

Adecoagro SA (a)

     12,600              145,530   
          

 

 

 

Iron & Steel — 0.0%

          

Ternium SA ADR

     15,100              271,498   
          

 

 

 

Total Luxembourg

             417,028   
          

 

 

 

Netherlands — 0.5%

          

Banking — 0.0%

          

ING Groep NV CVA

     81,711              988,366   
          

 

 

 

Media — 0.1%

          

Altice NV (a)

     261,550              4,663,434   
          

 

 

 

Metals & Mining — 0.0%

          

Constellium NV Class A (a),(b)

     9,472              49,160   
          

 

 

 

Oil, Gas & Coal — 0.0%

          

Royal Dutch Shell PLC ADR

     27,449              1,329,904   
          

 

 

 

Semiconductors — 0.1%

          

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

     17,722              1,436,723   
          

 

 

 

Software — 0.0%

          

InterXion Holding NV (a)

     22,600              781,508   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

78


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Telecommunications — 0.3%

          

Koninklijke KPN NV

     2,761,280            $ 11,572,207   
          

 

 

 

Total Netherlands

             20,821,302   
          

 

 

 

Norway — 0.0%

          

Transportation & Logistics — 0.0%

          

Ship Finance International Ltd.

     400              5,556   
          

 

 

 

Total Norway

             5,556   
          

 

 

 

Peru — 0.0%

          

Banking — 0.0%

          

Credicorp Ltd.

     1,800              235,818   
          

 

 

 

Total Peru

             235,818   
          

 

 

 

Puerto Rico — 0.0%

          

Banking — 0.0%

          

First BanCorp (a)

     21,600              63,072   

Popular, Inc.

     17,190              491,806   
          

 

 

 
             554,878   
          

 

 

 

Health Care Facilities & Services — 0.0%

          

Triple-S Management Corp. B Shares (a)

     4,100              101,926   
          

 

 

 

Technology Services — 0.0%

          

Evertec, Inc.

     18,900              264,222   
          

 

 

 

Total Puerto Rico

             921,026   
          

 

 

 

Republic of Korea — 0.0%

          

Hardware — 0.0%

          

LG Display Co. Ltd. ADR

     14,700              168,021   
          

 

 

 

Iron & Steel — 0.0%

          

POSCO ADR

     4,100              194,053   
          

 

 

 

Telecommunications — 0.0%

          

KT Corp. ADR

     5,900              79,178   

SK Telecom Co. Ltd. ADR

     18,200              367,094   
          

 

 

 
             446,272   
          

 

 

 

Total Republic of Korea

             808,346   
          

 

 

 

Russian Federation — 0.0%

          

Media — 0.0%

          

Yandex NV A Shares (a)

     11,900              182,308   
          

 

 

 

Total Russian Federation

             182,308   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

79


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Singapore — 0.5%

          

Machinery — 0.0%

          

China Yuchai International Ltd.

     2,502            $ 24,645   
          

 

 

 

Semiconductors — 0.5%

          

Broadcom Ltd. (b),(d)

     140,320              21,679,440   

Kulicke & Soffa Industries, Inc. (a)

     25,900              293,188   
          

 

 

 
             21,972,628   
          

 

 

 

Total Singapore

             21,997,273   
          

 

 

 

South Africa — 0.0%

          

Metals & Mining — 0.0%

          

AngloGold Ashanti Ltd. ADR (a)

     84,400              1,155,436   

Gold Fields Ltd. ADR

     126,600              498,804   

Harmony Gold Mining Co. Ltd. ADR

     20,100              73,164   
          

 

 

 
             1,727,404   
          

 

 

 

Specialty Finance — 0.0%

          

Net 1 UEPS Technologies, Inc. (a)

     26,800              246,560   
          

 

 

 

Total South Africa

             1,973,964   
          

 

 

 

Spain — 0.0%

          

Banking — 0.0%

          

Banco Bilbao Vizcaya Argentaria SA ADR

     16,500              107,580   
          

 

 

 

Biotechnology & Pharmaceuticals — 0.0%

          

Grifols SA ADR

     17,300              267,631   
          

 

 

 

Total Spain

             375,211   
          

 

 

 

Switzerland — 0.3%

          

Apparel & Textile Products — 0.0%

          

Cie Financiere Richemont SA (b)

     2,753              181,949   

Swatch Group AG (The) (b)

     163              56,467   
          

 

 

 
             238,416   
          

 

 

 

Asset Management — 0.1%

          

Julius Baer Group Ltd. (b)

     27,567              1,184,044   

Leonteq AG

     9,460              896,267   

UBS Group AG (b)

     19,270              310,429   
          

 

 

 
             2,390,740   
          

 

 

 

Biotechnology & Pharmaceuticals — 0.1%

          

Actelion Ltd. (b)

     542              81,000   

Novartis AG (b)

     12,137              879,776   

Roche Holding AG (b)

     3,707              912,534   
          

 

 

 
             1,873,310   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

80


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Chemicals — 0.0%

          

Givaudan SA (b)

     52            $ 101,994   

Syngenta AG (b)

     487              202,589   
          

 

 

 
             304,583   
          

 

 

 

Commercial Services — 0.0%

          

Adecco SA (b)

     897              58,444   

SGS SA (b)

     29              61,285   
          

 

 

 
             119,729   
          

 

 

 

Construction Materials — 0.0%

          

LafargeHolcim Ltd. (b)

     1,269              59,692   
          

 

 

 

Consumer Products — 0.0%

          

Nestle SA (b)

     17,016              1,271,488   
          

 

 

 

Electrical Equipment — 0.1%

          

ABB Ltd. (a),(b)

     11,606              226,194   

TE Connectivity Ltd.

     87,100              5,393,232   
          

 

 

 
             5,619,426   
          

 

 

 

Home & Office Products — 0.0%

          

Geberit AG (b)

     201              75,107   
          

 

 

 

Institutional Financial Services — 0.0%

          

Credit Suisse Group AG (b)

     8,058              114,055   
          

 

 

 

Insurance — 0.0%

          

Swiss Re AG (b)

     1,860              171,966   

Zurich Insurance Group AG (b)

     791              183,693   
          

 

 

 
             355,659   
          

 

 

 

Semiconductors — 0.0%

          

STMicroelectronics NV

     900              5,022   
          

 

 

 

Telecommunications — 0.0%

          

Swisscom AG (b)

     123              66,837   
          

 

 

 

Total Switzerland

             12,494,064   
          

 

 

 

Taiwan — 0.0%

          

Hardware — 0.0%

          

AU Optronics Corp. ADR

     18,400              54,280   
          

 

 

 

Semiconductors — 0.0%

          

Advanced Semiconductor Engineering, Inc. ADR

     1,400              8,190   

ChipMOS Technologies Bermuda Ltd.

     1,500              26,070   

Himax Technologies, Inc. ADR

     12,300              138,252   

Siliconware Precision Industries Co. Ltd. ADR

     20              159   

 

See Notes to Consolidated Financial Statements.

 

81


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

United Microelectronics Corp. ADR

     26,500            $ 55,120   
          

 

 

 
             227,791   
          

 

 

 

Total Taiwan

             282,071   
          

 

 

 

Thailand — 0.0%

          

Design, Manufacturing & Distribution — 0.0%

          

Fabrinet (a)

     20,800              672,880   
          

 

 

 

Total Thailand

             672,880   
          

 

 

 

United Kingdom — 1.0%

          

Asset Management — 0.0%

          

Jupiter Fund Management PLC

     161,277              948,078   
          

 

 

 

Banking — 0.3%

          

HSBC Holdings PLC

     1,193,600              7,447,162   

Metro Bank PLC (a)

     95,708              2,584,258   
          

 

 

 
             10,031,420   
          

 

 

 

Consumer Products — 0.0%

          

SABMiller PLC (a),(b)

     16,409              1,003,029   

Unilever NV

     24              1,072   
          

 

 

 
             1,004,101   
          

 

 

 

Gaming, Lodging & Restaurants — 0.0%

          

Belmond Ltd. Class A (a)

     34,100              323,609   

InterContinental Hotels Group PLC ADR

     800              33,016   
          

 

 

 
             356,625   
          

 

 

 

Insurance — 0.0%

          

Aviva PLC ADR

     222,986              1,460,722   

Prudential PLC ADR

     37              1,376   
          

 

 

 
             1,462,098   
          

 

 

 

Media — 0.6%

          

Liberty Global PLC (a),(d)

     676,664              25,415,500   

Pearson PLC ADR

     7,800              97,812   
          

 

 

 
             25,513,312   
          

 

 

 

Medical Equipment & Devices — 0.0%

          

Smith & Nephew PLC ADR

     3,400              113,288   
          

 

 

 

Oil, Gas & Coal — 0.0%

          

Seadrill Ltd. (a)

     56,800              187,440   
          

 

 

 

Real Estate — 0.1%

          

Kennedy Wilson Europe Real Estate PLC

     176,226              2,963,853   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

82


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Recreation Facilities & Services — 0.0%

          

Manchester United PLC Class A

     1,100            $ 15,884   
          

 

 

 

Total United Kingdom

             42,596,099   
          

 

 

 

United States — 30.1%

          

Aerospace & Defense — 0.2%

          

AAR Corp.

     1,500              34,905   

Aerojet Rocketdyne Holdings (a)

     1,300              21,294   

B/E Aerospace, Inc. (c)

     52,300              2,412,076   

Ducommun, Inc. (a)

     600              9,150   

General Dynamics Corp. (c)

     21,300              2,798,181   

HEICO Corp.

     2,100              126,273   

Huntington Ingalls Industries, Inc. (c)

     9,600              1,314,624   

KLX, Inc. (a)

     2,300              73,922   

L-3 Communications Holdings, Inc.

     3,700              438,450   

LMI Aerospace, Inc. (a)

     200              1,702   

Moog, Inc. Class A (a)

     600              27,408   

Orbital ATK, Inc. (c)

     8              696   

Smith & Wesson Holding Corp. (a)

     1,100              29,282   

Spirit AeroSystems Holdings, Inc. Class A (a),(c)

     15,600              707,616   

Triumph Group, Inc.

     1,300              40,924   
          

 

 

 
             8,036,503   
          

 

 

 

Apparel & Textile Products — 0.2%

          

Albany International Corp. Class A

     1,400              52,626   

Carter’s, Inc.

     2,600              273,988   

Culp, Inc.

     3,200              83,904   

Fossil Group, Inc. (a)

     13,300              590,786   

Hanesbrands, Inc.

     600              17,004   

Kate Spade & Co. (a)

     11,000              280,720   

NIKE, Inc. Class B (c)

     68,800              4,229,136   

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

     5,600              103,096   

PVH Corp.

     13,900              1,376,934   

Ralph Lauren Corp.

     700              67,382   

Rocky Brands, Inc.

     300              3,822   

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

     96,990              2,953,345   

Vince Holding Corp. (a),(c)

     15,300              96,849   
          

 

 

 
             10,129,592   
          

 

 

 

Asset Management — 0.3%

          

Affiliated Managers Group, Inc. (a)

     1,500              243,600   

Apollo Investment Corp.

     15,400              85,470   

Ares Capital Corp.

     123,700              1,835,708   

BlackRock Kelso Capital Corp. (c)

     29,100              273,831   

Calamos Asset Management, Inc. Class A

     3,500              29,715   

Capital Southwest Corp.

     200              2,774   

 

See Notes to Consolidated Financial Statements.

 

83


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Capitala Finance Corp.

     8,900            $ 106,800   

Charles Schwab Corp. (b),(c),(d)

     108,859              3,050,229   

E*TRADE Financial Corp. (a)

     11,000              269,390   

Fidus Investment Corp.

     4,100              63,591   

Fifth Street Finance Corp.

     20,800              104,416   

Fifth Street Senior Floating Rate Corp.

     200              1,586   

Financial Engines, Inc.

     300              9,429   

Firsthand Technology Value Fund, Inc. (a)

     900              6,750   

FS Investment Corp.

     10,700              98,119   

Garrison Capital, Inc. (c)

     4,200              45,066   

Gladstone Capital Corp. (c)

     9,600              71,520   

Gladstone Investment Corp.

     15,200              106,704   

Golub Capital BDC, Inc.

     600              10,386   

GSV Capital Corp.

     200              1,120   

Hercules Technology Growth Capital, Inc.

     5,800              69,658   

Horizon Technology Finance Corp.

     5,700              66,177   

Invesco Ltd.

     97,780              3,008,691   

KCAP Financial, Inc.

     12,000              43,200   

Legg Mason, Inc. (c)

     97,724              3,389,068   

Manning & Napier, Inc.

     1,000              8,070   

Medallion Financial Corp. (c)

     8,900              82,147   

Monroe Capital Corp.

     700              9,695   

MVC Capital, Inc.

     2,500              18,650   

NorthStar Asset Management Group, Inc.

     300              3,405   

OHA Investment Corp. (c)

     2,700              9,153   

Oppenheimer Holdings, Inc. Class A

     600              9,468   

PennantPark Floating Rate Capital Ltd.

     8,762              102,515   

PennantPark Investment Corp. (c)

     29,800              180,588   

Prospect Capital Corp.

     21,200              154,124   

Solar Capital Ltd.

     14,900              257,472   

Solar Senior Capital Ltd.

     2,200              32,076   

Stellus Capital Investment Corp.

     4,600              47,012   

TCP Capital Corp.

     4,000              59,640   

THL Credit, Inc.

     10,100              109,383   

TICC Capital Corp. (c)

     27,300              131,040   

TPG Specialty Lending, Inc.

     10,000              161,300   

Triangle Capital Corp.

     1,800              37,044   

TriplePoint Venture Growth BDC Corp.

     6,100              64,050   

WhiteHorse Finance, Inc. (c)

     3,500              36,330   
          

 

 

 
             14,506,160   
          

 

 

 

Automotive — 0.1%

          

American Axle & Manufacturing Holdings, Inc. (a)

     2,500              38,475   

BorgWarner, Inc.

     400              15,360   

Cooper-Standard Holding, Inc. (a)

     13,300              955,472   

Goodyear Tire & Rubber Co.

     74,600              2,460,308   

Horizon Global Corp. (a)

     1,300              16,354   

 

See Notes to Consolidated Financial Statements.

 

84


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Lear Corp.

     2,300            $ 255,691   

Modine Manufacturing Co. (a)

     3,400              37,434   

Standard Motor Products, Inc.

     100              3,465   

Superior Industries International, Inc.

     900              19,872   

Tenneco, Inc. (a),(c)

     12,800              659,328   

Tower International, Inc. (c)

     5,800              157,760   

Visteon Corp. (c)

     10,300              819,777   
          

 

 

 
             5,439,296   
          

 

 

 

Banking — 0.7%

          

Anchor BanCorp Wisconsin, Inc. (a)

     100              4,506   

Arrow Financial Corp. (c)

     816              21,681   

Associated Banc-Corp

     700              12,558   

Astoria Financial Corp.

     1,100              17,424   

Bancorp, Inc. (a)

     1,000              5,720   

Bank Mutual Corp.

     3,300              24,981   

Bank of the Ozarks, Inc. (c)

     40,880              1,715,734   

BankUnited, Inc. (c)

     64,329              2,215,491   

BBCN Bancorp, Inc.

     2,800              42,532   

Beneficial Bancorp, Inc. (a)

     5,982              81,894   

BofI Holding, Inc. (a)

     500              10,670   

Boston Private Financial Holdings, Inc.

     800              9,160   

Bridge Bancorp, Inc.

     400              12,188   

Bryn Mawr Bank Corp.

     200              5,146   

Centerstate Banks, Inc.

     2,229              33,190   

Central Pacific Financial Corp.

     9,100              198,107   

Charter Financial Corp.

     500              6,750   

Chemical Financial Corp. (c)

     2,400              85,656   

Citigroup, Inc. (c)

     75,301              3,143,817   

Citizens Financial Group, Inc.

     99,889              2,092,675   

City Holding Co.

     300              14,334   

Clifton Bancorp, Inc.

     500              7,560   

CoBiz Financial, Inc.

     800              9,456   

Comerica, Inc.

     100              3,787   

CU Bancorp (a)

     300              6,351   

Dime Community Bancshares, Inc.

     2,400              42,288   

East West Bancorp, Inc.

     21,900              711,312   

Enterprise Financial Services Corp.

     500              13,520   

Farmers Capital Bank Corp.

     100              2,642   

FCB Financial Holdings, Inc. Class A (a)

     33,604              1,117,669   

Fidelity Southern Corp.

     4,100              65,764   

Fifth Third Bancorp

     27,100              452,299   

Financial Institutions, Inc.

     200              5,814   

First Bancorp/Southern Pines

     1,000              18,850   

First Busey Corp.

     466              9,544   

First Business Financial Services, Inc.

     600              13,758   

 

See Notes to Consolidated Financial Statements.

 

85


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

First Citizens BancShares, Inc. Class A (c)

     6,553            $ 1,645,262   

First Community Bancshares, Inc.

     1,200              23,808   

First Defiance Financial Corp.

     1,200              46,092   

First Financial Bancorp

     1,000              18,180   

First Financial Corp.

     400              13,684   

First Financial Northwest, Inc.

     1,700              22,389   

First Interstate BancSystem, Inc. Class A

     2,800              78,764   

First Niagara Financial Group, Inc. (c)

     191,736              1,856,004   

First Republic Bank

     45,377              3,023,923   

FirstMerit Corp.

     300              6,315   

Flushing Financial Corp.

     200              4,324   

FNB Corp.

     37              481   

Franklin Financial Network, Inc. (a)

     900              24,300   

Great Western Bancorp, Inc.

     24,200              659,934   

Guaranty Bancorp

     800              12,368   

Hanmi Financial Corp.

     200              4,404   

Heartland Financial USA, Inc.

     300              9,237   

Heritage Financial Corp.

     400              7,028   

Huntington Bancshares, Inc.

     11,500              109,710   

Independent Bank Corp.

     5,600              81,480   

Independent Bank Group, Inc.

     400              10,960   

Investors Bancorp, Inc.

     23,800              277,032   

KeyCorp

     132,700              1,465,008   

Lakeland Bancorp, Inc.

     2,400              24,360   

Mercantile Bank Corp.

     1,800              40,356   

National Bankshares, Inc.

     200              6,864   

Northrim BanCorp, Inc.

     1,000              23,910   

OceanFirst Financial Corp.

     900              15,912   

Opus Bank

     4,600              156,400   

Oritani Financial Corp.

     300              5,091   

Pacific Premier Bancorp, Inc. (a)

     5,500              117,535   

Park Sterling Corp.

     800              5,336   

Peapack Gladstone Financial Corp.

     500              8,450   

Peoples Bancorp, Inc.

     500              9,770   

PNC Financial Services Group, Inc. (c)

     53,092              4,489,990   

Preferred Bank

     800              24,200   

Regions Financial Corp. (c)

     122,200              959,270   

Southwest Bancorp, Inc.

     2,000              30,100   

Stonegate Bank

     1,100              32,956   

Sun Bancorp, Inc. (a)

     20              414   

SunTrust Banks, Inc.

     31,000              1,118,480   

SVB Financial Group (a)

     1,200              122,460   

Synovus Financial Corp.

     9,300              268,863   

Talmer Bancorp, Inc. Class A

     9,000              162,810   

TCF Financial Corp.

     7,700              94,402   

Trico Bancshares

     1,600              40,512   

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

     2,900              36,540   

 

See Notes to Consolidated Financial Statements.

 

86


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Triumph Bancorp, Inc. (a)

     2,200            $ 34,826   

TrustCo Bank Corp.

     200              1,212   

Umpqua Holdings Corp.

     2,900              45,994   

Union Bankshares Corp.

     100              2,463   

United Financial Bancorp, Inc.

     100              1,259   

Univest Corp. of Pennsylvania

     2,000              39,020   

Wells Fargo & Co.

     32,312              1,562,608   

Western Alliance Bancorp (a)

     2,181              72,802   

Wilshire Bancorp, Inc.

     7,200              74,160   

WSFS Financial Corp.

     400              13,008   

Yadkin Financial Corp.

     1,050              24,853   
          

 

 

 
             31,302,701   
          

 

 

 

Biotechnology & Pharmaceuticals — 5.9%

          

AbbVie, Inc. (c)

     207,700              11,863,824   

Acorda Therapeutics, Inc. (a)

     14,400              380,880   

Albany Molecular Research, Inc. (a)

     500              7,645   

Alexion Pharmaceuticals, Inc. (a),(b),(c)

     88,100              12,265,282   

Alkermes PLC (a)

     15,400              526,526   

Allergan PLC (a),(b)

     134,050              35,929,421   

Alnylam Pharmaceuticals, Inc. (a)

     1,500              94,155   

Amgen, Inc.

     14,900              2,233,957   

Amphastar Pharmaceuticals, Inc. (a)

     6,000              72,000   

Anacor Pharmaceuticals, Inc. (a),(c),(d)

     185,891              9,935,874   

Anika Therapeutics, Inc. (a)

     3,300              147,576   

Applied Genetic Technologies Corp. (a)

     400              5,592   

ArQule, Inc. (a)

     2,100              3,360   

Array BioPharma, Inc. (a)

     15,400              45,430   

Avalanche Biotechnologies, Inc. (a)

     400              2,068   

Baxalta, Inc. (c)

     652,296              26,352,758   

Biogen Idec, Inc. (a),(c)

     6,900              1,796,208   

BioMarin Pharmaceutical, Inc. (a)

     1,400              115,472   

BioSpecifics Technologies Corp. (a)

     100              3,482   

Bristol-Myers Squibb Co. (b),(c),(d)

     227,090              14,506,509   

Cara Therapeutics, Inc. (a)

     200              1,244   

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

     105,000              10,509,450   

ChemoCentryx, Inc. (a)

     100              249   

Chimerix, Inc. (a)

     500              2,555   

Corcept Therapeutics, Inc. (a)

     15,200              71,136   

Cytokinetics, Inc. (a)

     3,900              27,495   

Depomed, Inc. (a),(b),(d)

     4,305              59,969   

Eiger BioPharmaceuticals, Inc. (a)

     620              10,397   

Eli Lilly & Co.

     10,300              741,703   

Emergent Biosolutions, Inc. (a)

     2,000              72,700   

Endo International PLC (a),(d)

     271,045              7,629,917   

Exelixis, Inc. (a)

     63,900              255,600   

Five Prime Therapeutics, Inc. (a)

     100              4,063   

 

See Notes to Consolidated Financial Statements.

 

87


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Gilead Sciences, Inc. (b),(c)

     159,415            $ 14,643,862   

Ignyta, Inc. (a)

     200              1,354   

Impax Laboratories, Inc. (a)

     12,400              397,048   

Incyte Corp. (a),(c)

     74,700              5,413,509   

Inotek Pharmaceuticals Corp. (a)

     600              4,440   

Insys Therapeutics, Inc. (a)

     1,300              20,787   

Ionis Pharmaceuticals, Inc. (a)

     11,200              453,600   

Ironwood Pharmaceuticals, Inc. (a)

     300              3,282   

Lannett Co., Inc. (a)

     4,000              71,720   

Mallinckrodt PLC (a),(b)

     589,256              36,109,608   

Medicines Co. (a)

     800              25,416   

Medivation, Inc. (a),(b),(c)

     465,255              21,392,425   

Merrimack Pharmaceuticals, Inc. (a)

     100              837   

Momenta Pharmaceuticals, Inc. (a)

     100              924   

Mylan NV (a)

     800              37,080   

Neothetics, Inc. (a)

     1,100              671   

Omega Protein Corp. (a)

     11,300              191,422   

Osiris Therapeutics, Inc.

     100              571   

PDL BioPharma, Inc.

     47,400              157,842   

Pfizer, Inc. (b),(c),(d)

     421,570              12,495,335   

Phibro Animal Health Corp. Class A (c)

     2,000              54,080   

Portola Pharmaceuticals, Inc. (a)

     600              12,240   

pSivida Corp. (a)

     100              268   

PTC Therapeutics, Inc. (a)

     46,500              299,460   

Regeneron Pharmaceuticals, Inc. (a)

     28,900              10,416,716   

Repligen Corp. (a)

     300              8,046   

Retrophin, Inc. (a)

     7,700              105,182   

Rigel Pharmaceuticals, Inc. (a),(c)

     7,400              15,392   

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

     6,700              73,700   

Seattle Genetics, Inc. (a)

     300              10,527   

Sucampo Pharmaceuticals, Inc. Class A (a)

     2,400              26,232   

Tetraphase Pharmaceuticals, Inc. (a)

     500              2,315   

Threshold Pharmaceuticals, Inc. (a)

     11,400              5,244   

United Therapeutics Corp. (a)

     8,200              913,726   

USANA Health Sciences, Inc. (a)

     900              109,278   

Verastem, Inc. (a)

     2,300              3,634   

Vertex Pharmaceuticals, Inc. (a),(c)

     37,000              2,941,130   

Vical, Inc. (a)

     5,000              1,955   

XOMA Corp. (a),(c)

     61,200              47,308   

Zoetis, Inc. (b),(d)

     279,360              12,384,029   
          

 

 

 
             254,526,692   
          

 

 

 

Chemicals — 1.3%

          

Air Products & Chemicals, Inc. (c)

     42,900              6,179,745   

Axalta Coating Systems Ltd. (a)

     4,300              125,560   

Axiall Corp.

     1,300              28,392   

Celanese Corp.

     5,700              373,350   

 

See Notes to Consolidated Financial Statements.

 

88


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Chemours Co. (The)

     40,100            $ 280,700   

Dow Chemical Co.

     241,300              12,272,518   

EI du Pont de Nemours & Co. (c)

     235,000              14,880,200   

FutureFuel Corp.

     1,100              12,969   

Huntsman Corp.

     200              2,660   

Innophos Holdings, Inc.

     4,700              145,277   

Intrepid Potash, Inc. (a),(c)

     17,500              19,425   

KMG Chemicals, Inc.

     3,000              69,210   

Landec Corp. (a)

     300              3,150   

LSB Industries, Inc. (a)

     4,200              53,550   

LyondellBasell Industries NV Class A

     70,500              6,033,390   

Monsanto Co.

     64,900              5,694,326   

OMNOVA Solutions, Inc. (a)

     1,500              8,340   

Orion Engineered Carbons SA

     5,100              72,012   

PPG Industries, Inc. (c)

     60,200              6,711,698   

RPM International, Inc.

     25,300              1,197,449   

Stepan Co.

     2,300              127,167   

Trinseo SA (a)

     10,300              379,143   

Univar, Inc. (a)

     300              5,154   

WR Grace & Co. (a)

     17,600              1,252,768   
          

 

 

 
             55,928,153   
          

 

 

 

Commercial Services — 0.3%

          

AMN Healthcare Services, Inc. (a)

     6,600              221,826   

ARAMARK Holdings Corp.

     113,900              3,772,368   

ARC Document Solutions, Inc. (a)

     14,400              64,800   

Brady Corp. Class A

     2,900              77,836   

Brink’s Co.

     1,100              36,949   

Care.com, Inc. (a)

     100              615   

CBIZ, Inc. (a)

     3,800              38,342   

CDI Corp.

     4,700              29,516   

Collectors Universe, Inc.

     700              11,620   

Computer Task Group, Inc. (c)

     2,800              14,308   

CorVel Corp. (a)

     400              15,768   

CRA International, Inc. (a),(c)

     2,600              51,064   

Cross Country Healthcare, Inc. (a)

     4,600              53,498   

Ennis, Inc.

     800              15,640   

GP Strategies Corp. (a)

     100              2,740   

Hackett Group, Inc.

     1,900              28,728   

Heidrick & Struggles International, Inc.

     200              4,740   

HMS Holdings Corp. (a)

     1,400              20,090   

Information Services Group, Inc. (a)

     1,500              5,895   

Insperity, Inc. (c)

     7,700              398,321   

KAR Auction Services, Inc.

     44,700              1,704,858   

Kforce, Inc.

     700              13,706   

Navigant Consulting, Inc. (a)

     6,500              102,765   

Patriot National, Inc. (a)

     2,600              20,020   

 

See Notes to Consolidated Financial Statements.

 

89


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

PRGX Global, Inc. (a)

     5,300            $ 25,016   

Quad/Graphics, Inc.

     17,600              227,744   

Resources Connection, Inc.

     1,100              17,116   

Robert Half International, Inc.

     20,400              950,232   

RPX Corp. (a)

     6,800              76,568   

RR Donnelley & Sons Co.

     26,300              431,320   

ServiceMaster Global Holdings, Inc. (a),(c)

     68,500              2,581,080   

Sotheby’s

     3,900              104,247   

SP Plus Corp. (a)

     400              9,624   

Viad Corp.

     200              5,832   
          

 

 

 
             11,134,792   
          

 

 

 

Construction Materials — 0.1%

          

Advanced Drainage Systems, Inc.

     300              6,390   

Apogee Enterprises, Inc.

     6,700              294,063   

Boise Cascade Co. (a)

     3,000              62,160   

Carlisle Cos., Inc.

     7,700              766,150   

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

     28,000              519,680   

Eagle Materials, Inc.

     3,700              259,407   

Headwaters, Inc. (a),(c)

     29,200              579,328   

Owens Corning

     8,000              378,240   

Patrick Industries, Inc. (a)

     2,350              106,666   

Ply Gem Holdings, Inc. (a)

     100              1,405   

Universal Forest Products, Inc.

     4,200              360,444   

US Concrete, Inc. (a),(c)

     2,400              142,992   

Vulcan Materials Co.

     2,600              274,482   
          

 

 

 
             3,751,407   
          

 

 

 

Consumer Products — 0.7%

          

Amplify Snack Brands, Inc. (a)

     200              2,864   

Archer-Daniels-Midland Co.

     94,000              3,413,140   

Blue Buffalo Pet Products, Inc. (a)

     9,200              236,072   

Boston Beer Co., Inc. Class A (a)

     2,900              536,703   

Central Garden and Pet Co. Class A (a)

     4,700              76,563   

Clearwater Paper Corp. (a)

     1,100              53,361   

Colgate-Palmolive Co. (c)

     83,700              5,913,405   

Constellation Brands, Inc. Class A

     62,300              9,412,907   

Craft Brew Alliance, Inc. (a)

     100              823   

Darling Ingredients, Inc. (a)

     5,500              72,435   

Energizer Holdings, Inc.

     2,300              93,173   

Estee Lauder Cos., Inc. (The) Class A

     2,000              188,620   

Female Health Co. (a)

     900              1,683   

Herbalife Ltd. (a)

     27,500              1,692,900   

HRG Group, Inc. (a)

     7,700              107,261   

Jarden Corp. (a)

     24,000              1,414,800   

JM Smucker Co.

     6,400              830,976   

John B. Sanfilippo & Son, Inc.

     2,800              193,452   

 

See Notes to Consolidated Financial Statements.

 

90


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Kimberly-Clark Corp.

     17,300            $ 2,327,023   

Mondelez International, Inc. Class A

     18,200              730,184   

PepsiCo, Inc.

     15,100              1,547,448   

Philip Morris International, Inc.

     4,200              412,062   

PICO Holdings, Inc. (a)

     100              1,023   

Pilgrim’s Pride Corp. (a),(c)

     10,900              276,860   

Pinnacle Foods, Inc.

     10,100              451,268   

Post Holdings, Inc. (a)

     6,800              467,636   

Revlon, Inc. Class A (a)

     100              3,641   

Spectrum Brands Holdings, Inc.

     100              10,928   

Vector Group Ltd. (c)

     28,447              649,729   
          

 

 

 
          31,118,940   
          

 

 

 

Consumer Services — 0.0%

          

Aaron’s, Inc.

     100              2,510   

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

     4,300              88,709   

Apollo Education Group, Inc. (a)

     89,500              735,243   

Bridgepoint Education, Inc. (a)

     4,800              48,384   

Capella Education Co.

     5,200              273,728   

Career Education Corp. (a)

     2,100              9,534   

Carriage Services, Inc.

     3,500              75,635   

DeVry Education Group, Inc.

     14,300              246,961   

K12, Inc. (a)

     2,700              26,703   

Medifast, Inc.

     2,200              66,418   

Rent-A-Center, Inc.

     800              12,680   

Service Corp. International/US

     7,100              175,228   

Universal Technical Institute, Inc.

     3,100              13,361   
          

 

 

 
          1,775,094   
          

 

 

 

Containers & Packaging — 0.2%

          

AEP Industries, Inc.

     600              39,600   

Ball Corp.

     800              57,032   

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

     103,500              3,741,525   

Crown Holdings, Inc. (a)

     100              4,959   

Graphic Packaging Holding Co.

     262,600              3,374,410   

Myers Industries, Inc.

     300              3,858   

Owens-Illinois, Inc. (a)

     12,500              199,500   

Sealed Air Corp.

     26,400              1,267,464   

WestRock Co.

     1,900              74,157   
          

 

 

 
          8,762,505   
          

 

 

 

Design, Manufacturing & Distribution — 0.1%

          

Benchmark Electronics, Inc. (a)

     13,600              313,480   

Flextronics International Ltd. (a)

     237,900              2,869,074   

Sanmina Corp. (a),(c)

     12,200              285,236   
          

 

 

 
          3,467,790   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

91


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Distributors—Consumer Staples — 0.1%

          

Andersons, Inc.

     1,000            $ 31,410   

Bunge Ltd.

     30,600              1,734,102   

United Natural Foods, Inc. (a)

     2,400              96,720   
          

 

 

 
          1,862,232   
          

 

 

 

Distributors—Discretionary — 0.0%

          

Bassett Furniture Industries, Inc.

     1,300              41,418   

Insight Enterprises, Inc. (a)

     1,500              42,960   

ScanSource, Inc. (a)

     700              28,266   
          

 

 

 
          112,644   
          

 

 

 

Electrical Equipment — 0.5%

          

Acuity Brands, Inc.

     1,900              414,466   

Allegion PLC

     68,800              4,383,248   

Babcock & Wilcox Enterprises, Inc. (a)

     12,000              256,800   

Belden, Inc. (b),(d)

     10,320              633,442   

BWX Technologies, Inc.

     4,400              147,664   

Checkpoint Systems, Inc. (a)

     12,200              123,464   

Eaton Corp. PLC

     154,500              9,665,520   

Global Power Equipment Group, Inc. (a)

     200              400   

Houston Wire & Cable Co.

     6,900              48,231   

Ingersoll-Rand PLC

     82,700              5,128,227   

Itron, Inc. (a)

     600              25,032   

Lennox International, Inc. (b),(c),(d)

     11,545              1,560,768   

Littelfuse, Inc. (b),(d)

     2,329              286,723   

LSI Industries, Inc.

     3,200              37,600   

Powell Industries, Inc.

     500              14,905   

Stoneridge, Inc. (a)

     500              7,280   

Trimble Navigation Ltd. (a)

     1,900              47,120   
          

 

 

 
          22,780,890   
          

 

 

 

Engineering & Construction Services — 0.1%

          

Comfort Systems USA, Inc. (c)

     14,600              463,842   

Great Lakes Dredge & Dock Corp. (a)

     100              446   

Kratos Defense & Security Solutions, Inc. (a)

     1,700              8,415   

Layne Christensen Co. (a)

     100              719   

MasTec, Inc. (a)

     300              6,072   

Mistras Group, Inc. (a)

     3,400              84,218   

MYR Group, Inc. (a)

     6,400              160,704   

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

     4,700              24,346   

Quanta Services, Inc. (a),(c)

     57,400              1,294,944   

SBA Communications Corp. Class A (a)

     400              40,068   

Sterling Construction Co., Inc. (a)

     1,500              7,725   

Team, Inc. (a)

     1,100              33,418   

TopBuild Corp. (a)

     7,255              215,764   

 

See Notes to Consolidated Financial Statements.

 

92


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

TRC Cos., Inc. (a)

     200            $ 1,450   

Tutor Perini Corp. (a)

     2,100              32,634   
          

 

 

 
          2,374,765   
          

 

 

 

Forest & Paper Products — 0.0%

          

PH Glatfelter Co.

     600              12,438   

Resolute Forest Products, Inc. (a)

     5,000              27,550   
          

 

 

 
          39,988   
          

 

 

 

Gaming, Lodging & Restaurants — 0.8%

          

BJ’s Restaurants, Inc. (a)

     17,600              731,632   

Bloomin’ Brands, Inc. (c)

     24,800              418,376   

Bojangles’, Inc. (a)

     200              3,402   

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

     6,100              47,275   

Caesars Acquisition Co. Class A (a)

     700              4,284   

Caesars Entertainment Corp. (a)

     19,000              129,200   

Carrols Restaurant Group, Inc. (a)

     18,900              272,916   

Choice Hotels International, Inc.

     1,300              70,265   

Churchill Downs, Inc. (c)

     4,800              709,824   

Cracker Barrel Old Country Store, Inc.

     100              15,267   

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

     13,300              515,774   

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

     5,700              94,506   

Denny’s Corp. (a),(c)

     32,300              334,628   

Domino’s Pizza, Inc. (c)

     55,900              7,370,974   

Dunkin’ Brands Group, Inc.

     3,600              169,812   

El Pollo Loco Holdings, Inc. (a)

     1,600              21,344   

Eldorado Resorts, Inc. (a)

     14,800              169,312   

Famous Dave’s of America, Inc. (a)

     1,700              10,353   

Hilton Worldwide Holdings, Inc.

     155,300              3,497,356   

Hyatt Hotels Corp. Class A (a),(c)

     3,000              148,470   

International Game Technology PLC

     100              1,825   

Interval Leisure Group, Inc.

     2,800              40,432   

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

     28,600              400,400   

La Quinta Holdings, Inc. (a)

     12,900              161,250   

Marriott International, Inc. Class A

     54,400              3,872,192   

McDonald’s Corp.

     14,900              1,872,632   

MGM Resorts International (a)

     2,500              53,600   

Monarch Casino & Resort, Inc. (a)

     700              13,622   

Papa John’s International, Inc.

     4,600              249,274   

Penn National Gaming, Inc. (a)

     100              1,669   

Popeyes Louisiana Kitchen, Inc. (a)

     9,400              489,364   

Potbelly Corp. (a)

     1,900              25,859   

Royal Caribbean Cruises Ltd. (b),(d)

     19,325              1,587,549   

Ruth’s Hospitality Group, Inc.

     500              9,205   

Shake Shack, Inc. Class A (a)

     700              26,124   

Sonic Corp. (b),(d)

     46,355              1,629,842   

 

See Notes to Consolidated Financial Statements.

 

93


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Starwood Hotels & Resorts Worldwide, Inc.

     97,200            $ 8,109,396   

Wingstop, Inc. (a)

     2,500              56,700   

Wyndham Worldwide Corp.

     11,100              848,373   

Yum! Brands, Inc.

     6,600              540,210   
          

 

 

 
             34,724,488   
          

 

 

 

Hardware — 0.9%

          

A10 Networks, Inc. (a)

     1,400              8,288   

ADTRAN, Inc. (b),(d)

     44,300              895,746   

Apple, Inc.

     11,841              1,290,551   

Arista Networks, Inc. (a)

     3,400              214,540   

Brocade Communications Systems, Inc.

     12,500              132,250   

Clearfield, Inc. (a)

     100              1,607   

CommScope Holding Co., Inc. (a)

     200              5,584   

Comtech Telecommunications Corp. (c)

     2,400              56,088   

Cray, Inc. (a)

     2,300              96,393   

Daktronics, Inc.

     1,200              9,480   

Datalink Corp. (a)

     4,200              38,388   

Dolby Laboratories, Inc. Class A (c)

     34,100              1,481,986   

Eastman Kodak Co. (a)

     600              6,510   

Electronics For Imaging, Inc. (a),(b),(d)

     31,985              1,355,844   

EMC Corp. (b)

     6,556              174,718   

Emcore Corp. (a)

     20,100              100,500   

F5 Networks, Inc. (a)

     23,700              2,508,645   

Finisar Corp. (a)

     62,400              1,138,176   

Gigamon, Inc. (a)

     300              9,306   

Harmonic, Inc. (a)

     1,600              5,232   

HP, Inc.

     183,000              2,254,560   

Hutchinson Technology, Inc. (a)

     4,800              17,568   

Imation Corp. (a)

     900              1,395   

Immersion Corp. (a)

     5,000              41,300   

Imprivata, Inc. (a)

     5,300              66,939   

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

     63,100              1,013,386   

Infoblox, Inc. (a)

     4,900              83,790   

InterDigital, Inc.

     900              50,085   

Ixia (a)

     200              2,492   

Knowles Corp. (a)

     13              171   

KVH Industries, Inc. (a)

     700              6,685   

Lexmark International, Inc. Class A

     3,500              117,005   

Lumentum Holdings, Inc. (a)

     27,700              747,069   

Mercury Systems, Inc. (a)

     4,000              81,200   

Motorola Solutions, Inc.

     71,800              5,435,260   

Multi-Fineline Electronix, Inc. (a)

     3,300              76,593   

NETGEAR, Inc. (a)

     500              20,185   

Polycom, Inc. (a)

     1,300              14,495   

Rovi Corp. (a)

     59,800              1,226,498   

ShoreTel, Inc. (a)

     27,900              207,576   

 

See Notes to Consolidated Financial Statements.

 

94


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Skullcandy, Inc. (a)

     3,600            $ 12,816   

Sonus Networks, Inc. (a)

     20,400              153,612   

Stratasys Ltd. (a)

     15,871              411,376   

Telenav, Inc. (a),(c)

     2,600              15,340   

TTM Technologies, Inc. (a)

     11,500              76,475   

VeriFone Systems, Inc. (a),(c)

     15,500              437,720   

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

     38,600              264,796   

Vicor Corp. (a)

     500              5,240   

Vishay Precision Group, Inc. (a)

     5,300              74,253   

Vocera Communications, Inc. (a)

     6,800              86,700   

VOXX International Corp. (a),(c)

     1,800              8,046   

Western Digital Corp. (c)

     307,100              14,507,404   
          

 

 

 
             37,047,862   
          

 

 

 

Health Care Facilities & Services — 3.1%

          

Addus HomeCare Corp. (a)

     1,900              32,661   

Aetna, Inc. (b),(d)

     86,850              9,757,598   

Almost Family, Inc. (a)

     2,100              78,204   

Amedisys, Inc. (a)

     700              33,838   

AmerisourceBergen Corp. (b),(d)

     93,000              8,049,150   

Brookdale Senior Living, Inc. (a),(b),(c),(d)

     83,161              1,320,597   

Capital Senior Living Corp. (a)

     900              16,668   

Centene Corp. (a),(b)

     1,615              99,448   

Civitas Solutions, Inc. (a)

     100              1,743   

Community Health Systems, Inc. (a)

     5,200              96,252   

Digirad Corp. (c)

     1,900              9,424   

Envision Healthcare Holdings, Inc. (a),(c)

     14,200              289,680   

Enzo Biochem, Inc. (a)

     700              3,185   

Five Star Quality Care, Inc. (a)

     6,100              13,969   

Great Basin Scientific, Inc. (a)

     455              3,262   

HCA Holdings, Inc. (a),(b),(c)

     249,630              19,483,621   

Healthways, Inc. (a)

     12,100              122,089   

Humana, Inc. (b),(c),(d)

     84,823              15,518,368   

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

     1,400              57,694   

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

     207,430              24,296,276   

LHC Group, Inc. (a)

     700              24,892   

Magellan Health, Inc. (a)

     3,300              224,169   

McKesson Corp. (b),(c)

     47,900              7,532,275   

Molina Healthcare, Inc. (a)

     1,700              109,633   

PharMerica Corp. (a)

     1,400              30,954   

Premier, Inc. Class A (a)

     15,800              527,088   

Quest Diagnostics, Inc. (b),(d)

     301,150              21,517,167   

Quintiles Transnational Holdings, Inc. (a)

     22,300              1,451,730   

RadNet, Inc. (a),(c)

     5,500              26,565   

Select Medical Holdings Corp.

     100              1,181   

Surgical Care Affiliates, Inc. (a)

     1,000              46,280   

 

See Notes to Consolidated Financial Statements.

 

95


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

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

     17,500            $ 2,255,750   

Universal American Corp.

     8,200              58,548   

Universal Health Services, Inc. Class B (b),(c),(d)

     143,380              17,882,354   

VCA, Inc. (a),(c)

     9,100              524,979   
          

 

 

 
             131,497,292   
          

 

 

 

Home & Office Products — 0.3%

          

American Woodmark Corp. (a),(c)

     7,700              574,343   

Armstrong World Industries, Inc. (a)

     44,100              2,133,117   

Blount International, Inc. (a)

     5,100              50,898   

CalAtlantic Group, Inc.

     80              2,674   

Hooker Furniture Corp.

     1,400              45,990   

Interface, Inc.

     1,200              22,248   

Kimball International, Inc. Class B

     5,700              64,695   

Knoll, Inc.

     1,000              21,650   

La-Z-Boy, Inc.

     3,200              85,568   

Libbey, Inc.

     3,300              61,380   

Masco Corp. (c)

     263,400              8,283,930   

Masonite International Corp. (a)

     1,400              91,700   

Mohawk Industries, Inc. (a),(b),(c),(d)

     2,520              481,068   

NACCO Industries, Inc. Class A

     100              5,741   

Quanex Building Products Corp.

     3,400              59,024   

Scotts Miracle-Gro Co. Class A

     18,600              1,353,522   

Toll Brothers, Inc. (a)

     13,700              404,287   
          

 

 

 
          13,741,835   
          

 

 

 

Industrial Services — 0.2%

          

Electro Rent Corp.

     2,400              22,224   

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

     161,900              5,354,033   

McGrath RentCorp

     400              10,032   

Titan Machinery, Inc. (a)

     600              6,936   

United Rentals, Inc. (a)

     200              12,438   

Watsco, Inc.

     100              13,474   

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

     42,200              2,307,074   
          

 

 

 
          7,726,211   
          

 

 

 

Institutional Financial Services — 0.1%

          

BGC Partners, Inc. Class A

     5,400              48,870   

Evercore Partners, Inc. Class A

     21,273              1,100,878   

Goldman Sachs Group, Inc. (The) (c)

     6,017              944,548   

Houlihan Lokey, Inc.

     800              19,920   

INTL. FCStone, Inc. (a)

     600              16,038   

Investment Technology Group, Inc.

     300              6,630   

KCG Holdings, Inc. Class A (a)

     11,700              139,815   

Piper Jaffray Cos. (a)

     3,500              173,460   
          

 

 

 
          2,450,159   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

96


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Insurance — 0.4%

          

Allied World Assurance Co. Holdings AG

     900            $ 31,446   

American Equity Investment Life Holding Co.

     13,300              223,440   

American International Group, Inc. (c)

     97,705              5,280,955   

Arthur J Gallagher & Co.

     47,500              2,112,800   

Assured Guaranty Ltd.

     210,308              5,320,792   

Atlas Financial Holdings, Inc. (a)

     100              1,814   

Citizens, Inc. (a)

     200              1,448   

eHealth, Inc. (a)

     400              3,756   

Employers Holdings, Inc. (c)

     8,600              242,004   

Genworth Financial, Inc. Class A (a)

     34,900              95,277   

Greenlight Capital Re Ltd. A Shares (a)

     1,600              34,864   

Hartford Financial Services Group, Inc. (c)

     33,947              1,564,278   

Heritage Insurance Holdings, Inc.

     5,000              79,850   

Lincoln National Corp.

     34,500              1,352,400   

Maiden Holdings Ltd.

     2,700              34,938   

Old Republic International Corp.

     18,200              332,696   

OneBeacon Insurance Group Ltd. Class A

     7,400              94,202   

Principal Financial Group, Inc.

     7,000              276,150   

Prudential Financial, Inc. (c)

     12,026              868,518   

Radian Group, Inc.

     11,200              138,880   

State Auto Financial Corp.

     82              1,809   

State National Cos., Inc.

     1,500              18,900   

Universal Insurance Holdings, Inc.

     600              10,680   

Validus Holdings Ltd.

     1,100              51,909   

Voya Financial, Inc.

     2,700              80,379   
          

 

 

 
          18,254,185   
          

 

 

 

Iron & Steel — 0.1%

          

Allegheny Technologies, Inc.

     300              4,890   

Commercial Metals Co.

     500              8,485   

Nucor Corp.

     84,400              3,992,120   

Ryerson Holding Corp. (a)

     1,300              7,228   

Steel Dynamics, Inc.

     27,000              607,770   

SunCoke Energy, Inc.

     13,000              84,500   

United States Steel Corp.

     9,100              146,055   

Worthington Industries, Inc. (c)

     3,100              110,484   
          

 

 

 
          4,961,532   
          

 

 

 

Leisure Products — 0.0%

          

Black Diamond, Inc. (a)

     600              2,712   

Callaway Golf Co.

     1,200              10,944   

JAKKS Pacific, Inc. (a)

     500              3,720   

LeapFrog Enterprises, Inc. (a)

     9,200              9,154   

Malibu Boats, Inc. (a)

     100              1,640   
          

 

 

 
          28,170   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

97


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Machinery — 0.1%

          

Alamo Group, Inc.

     100            $ 5,571   

Colfax Corp. (a)

     16,300              466,017   

Columbus McKinnon Corp.

     1,400              22,064   

Federal Signal Corp.

     10,700              141,882   

Graham Corp.

     1,700              33,847   

Hyster-Yale Materials Handling, Inc.

     400              26,640   

Intevac, Inc. (a),(c)

     1,100              4,950   

Joy Global, Inc.

     97,000              1,558,790   

Kadant, Inc. (c)

     1,900              85,804   

Raven Industries, Inc.

     1,100              17,622   

Rofin-Sinar Technologies, Inc. (a),(c)

     2,200              70,884   

Sensata Technologies Holding NV (a)

     7,800              302,952   

SPX Corp.

     11,600              174,232   

SPX FLOW, Inc. (a)

     5,000              125,400   

Toro Co.

     500              43,060   

Xerium Technologies, Inc. (a)

     4,300              22,446   
          

 

 

 
          3,102,161   
          

 

 

 

Manufactured Goods — 0.0%

          

Aegion Corp. (a),(c)

     3,500              73,815   

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

     12,100              262,812   

Dynamic Materials Corp.

     1,900              12,312   

Gibraltar Industries, Inc. (a)

     8,400              240,240   

Global Brass & Copper Holdings, Inc.

     5,300              132,235   

Insteel Industries, Inc.

     3,400              103,938   

LB Foster Co. Class A

     7,000              127,120   

NCI Building Systems, Inc. (a)

     2,800              39,760   
          

 

 

 
          992,232   
          

 

 

 

Media — 2.8%

          

A H Belo Corp. Class A

     2,100              10,101   

Alphabet, Inc. Class C (a),(b),(c)

     2,767              2,061,277   

Autobytel, Inc. (a)

     2,300              39,928   

Bankrate, Inc. (a)

     13,900              127,463   

Blucora, Inc. (a)

     600              3,096   

Boingo Wireless, Inc. (a)

     6,800              52,496   

Cablevision Systems Corp. Class A (c)

     492,904              16,265,832   

CBS Corp. Class B (c)

     195,400              10,764,586   

Charter Communications, Inc. Class A (a),(c)

     74,800              15,141,764   

Clear Channel Outdoor Holdings, Inc. Class A

     8,700              40,890   

Comcast Corp. Class A (c)

     214,246              13,086,146   

DHI Group, Inc. (a)

     600              4,842   

Discovery Communications, Inc. Class A (a)

     200              5,726   

DISH Network Corp. Class A (a),(c)

     48,900              2,262,114   

EchoStar Corp. Class A (a)

     400              17,716   

 

See Notes to Consolidated Financial Statements.

 

98


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Entercom Communications Corp. Class A (a)

     3,700            $ 39,146   

Entravision Communications Corp. Class A

     500              3,720   

Eros International PLC (a)

     1,700              19,567   

Everyday Health, Inc. (a)

     800              4,480   

Expedia, Inc.

     74,716              8,055,879   

Gannett Co., Inc.

     200              3,028   

Gray Television, Inc. (a)

     14,300              167,596   

Harte-Hanks, Inc. (c)

     19,200              48,576   

IAC/InterActiveCorp

     3,600              169,488   

Interpublic Group of Cos., Inc.

     20,400              468,180   

Lee Enterprises, Inc. (a)

     300              540   

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

     2,779              161,627   

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

     7,005              405,940   

Liberty Media Corp. (a),(b)

     32,887              1,261,993   

Liberty TripAdvisor Holdings, Inc. Class A (a)

     10,900              241,544   

Marin Software, Inc. (a)

     100              302   

Match Group, Inc. (a)

     2,400              26,544   

McClatchy Co. Class A (a)

     2,000              2,100   

MDC Partners, Inc. Class A

     1,000              23,600   

MSG Networks, Inc. (a),(c)

     36,900              638,001   

National CineMedia, Inc.

     9,100              138,411   

New York Times Co. Class A

     9,000              112,140   

News Corp. Class A

     132,400              1,690,748   

RetailMeNot, Inc. (a)

     17,000              136,170   

Rubicon Project, Inc. (a)

     800              14,624   

Shutterfly, Inc. (a)

     3,300              153,021   

Stamps.com, Inc. (a)

     4,300              457,004   

Starz (a)

     12,700              334,391   

TechTarget, Inc. (a),(c)

     4,800              35,616   

TEGNA, Inc.

     100              2,346   

Time Warner Cable, Inc. (b),(c)

     150,941              30,885,547   

Townsquare Media, Inc. Class A (a)

     100              1,121   

VeriSign, Inc. (a),(c)

     27,100              2,399,434   

Viacom, Inc.

     18,000              743,040   

WebMD Health Corp. (a),(c)

     31,000              1,941,530   

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

     5,200              83,460   

Yahoo!, Inc. (a),(b),(c)

     228,800              8,422,128   

YuMe, Inc. (a)

     300              1,122   
          

 

 

 
             119,177,681   
          

 

 

 

Medical Equipment & Devices — 3.0%

          

Affymetrix, Inc. (a)

     11,200              156,912   

Agilent Technologies, Inc. (c)

     94,400              3,761,840   

AngioDynamics, Inc. (a)

     7,300              89,717   

AtriCure, Inc. (a)

     100              1,683   

Baxter International, Inc. (c)

     36,200              1,487,096   

Bruker Corp.

     8,200              229,600   

 

See Notes to Consolidated Financial Statements.

 

99


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

CONMED Corp.

     300            $ 12,582   

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

     61,925              12,550,340   

CryoLife, Inc.

     3,700              39,775   

Cutera, Inc. (a)

     2,100              23,625   

Dentsply Sirona, Inc. (c),(d)

     372,710              22,970,117   

Derma Sciences, Inc. (a)

     300              930   

DexCom, Inc. (a),(b),(c),(d)

     363,330              24,673,740   

Edwards Lifesciences Corp. (a),(b),(c)

     149,130              13,154,757   

Exactech, Inc. (a)

     1,800              36,468   

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

     3,800              94,126   

Harvard Bioscience, Inc. (a)

     500              1,510   

HeartWare International, Inc. (a)

     5,200              163,384   

Hologic, Inc. (a)

     56,200              1,938,900   

ICU Medical, Inc. (a)

     700              72,870   

IDEXX Laboratories, Inc. (a)

     100              7,832   

Inogen, Inc. (a)

     600              26,988   

Intuitive Surgical, Inc. (a)

     500              300,525   

LeMaitre Vascular, Inc.

     300              4,656   

Luminex Corp. (a),(c)

     8,000              155,200   

Masimo Corp. (a)

     500              20,920   

Medtronic PLC (b),(d)

     22,000              1,650,000   

Merit Medical Systems, Inc. (a)

     14,300              264,407   

Myriad Genetics, Inc. (a)

     1,600              59,888   

NuVasive, Inc. (a)

     2,500              121,625   

NxStage Medical, Inc. (a)

     5,800              86,942   

OraSure Technologies, Inc. (a)

     28,500              206,055   

Orthofix International NV (a)

     8,500              352,920   

QIAGEN NV (a)

     3,183              71,108   

ResMed, Inc.

     2,600              150,332   

RTI Surgical, Inc. (a)

     15,800              63,200   

St Jude Medical, Inc.

     23,700              1,303,500   

STAAR Surgical Co. (a)

     900              6,651   

SurModics, Inc. (a)

     2,800              51,548   

Teleflex, Inc.

     1,400              219,814   

Thermo Fisher Scientific, Inc. (b),(d)

     74,660              10,571,110   

VWR Corp. (a),(b),(c),(d)

     60,189              1,628,714   

Waters Corp. (a),(b)

     21,331              2,813,986   

Wright Medical Group NV (a)

     19,399              322,023   

Zeltiq Aesthetics, Inc. (a),(c)

     2,700              73,332   

Zimmer Holdings, Inc. (b),(c),(d)

     246,204              26,252,733   
          

 

 

 
             128,245,981   
          

 

 

 

Metals & Mining — 0.0%

          

Alcoa, Inc.

     7              67   

Century Aluminum Co. (a)

     13,200              93,060   

Encore Wire Corp.

     800              31,144   

Ferroglobe PLC

     4,800              42,288   

 

See Notes to Consolidated Financial Statements.

 

100


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Freeport-McMoRan, Inc.

     94,300            $ 975,062   

Harsco Corp.

     300              1,635   

McEwen Mining, Inc.

     1,700              3,196   

Newmont Mining Corp.

     13,200              350,856   

Royal Gold, Inc.

     1,800              92,322   

Stillwater Mining Co. (a)

     9,800              104,370   
          

 

 

 
             1,694,000   
          

 

 

 

Oil, Gas & Coal — 1.3%

          

Anadarko Petroleum Corp.

     3,500              162,995   

Apache Corp.

     2,600              126,906   

Archrock, Inc.

     5,000              40,000   

Atwood Oceanics, Inc.

     50,800              465,836   

Baker Hughes, Inc. (c)

     206,100              9,033,363   

Bill Barrett Corp. (a)

     1,300              8,086   

Bristow Group, Inc.

     2,100              39,732   

California Resources Corp.

     219,304              225,883   

Chesapeake Energy Corp.

     283,300              1,167,196   

Cimarex Energy Co.

     2,900              282,083   

Civeo Corp. (a)

     1,300              1,599   

Concho Resources, Inc. (a),(c)

     33,400              3,374,736   

CONSOL Energy, Inc.

     56,100              633,369   

Contango Oil & Gas Co. (a)

     300              3,537   

Continental Resources, Inc. (a)

     5,800              176,088   

CVR Energy, Inc.

     300              7,830   

Dawson Geophysical Co. (a)

     740              3,382   

Denbury Resources, Inc.

     102,300              227,106   

Diamond Offshore Drilling, Inc.

     10,000              217,300   

Dril-Quip, Inc. (a),(c)

     700              42,392   

Energen Corp.

     2,500              91,475   

Ensco PLC Class A

     400              4,148   

EP Energy Corp. Class A (a)

     4,100              18,532   

EQT Corp.

     25,100              1,688,226   

Evolution Petroleum Corp. (c)

     1,200              5,832   

FMC Technologies, Inc. (a),(c)

     279,700              7,652,592   

Forum Energy Technologies, Inc. (a)

     5,700              75,240   

Gulf Island Fabrication, Inc.

     4,000              31,400   

Gulfport Energy Corp. (a),(c)

     43,000              1,218,620   

Hallador Energy Co.

     600              2,742   

Halliburton Co. (c)

     306,400              10,944,608   

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

     44,300              248,080   

Hess Corp.

     19,500              1,026,675   

ION Geophysical Corp. (a)

     386              3,119   

Marathon Oil Corp.

     14,500              161,530   

Marathon Petroleum Corp. (b)

     80,141              2,979,642   

Matrix Service Co. (a)

     5,400              95,580   

McDermott International, Inc. (a)

     800              3,272   

 

See Notes to Consolidated Financial Statements.

 

101


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Mitcham Industries, Inc. (a)

     200            $ 612   

MRC Global, Inc. (a)

     4,900              64,386   

Nabors Industries Ltd.

     77,100              709,320   

Natural Gas Services Group, Inc. (a)

     1,700              36,771   

Newfield Exploration Co. (a)

     59,200              1,968,400   

Newpark Resources, Inc. (a)

     15,600              67,392   

Noble Energy, Inc.

     31,203              980,086   

NOW, Inc. (a)

     15,800              279,976   

Oasis Petroleum, Inc. (a)

     100              728   

Oceaneering International, Inc.

     10,300              342,372   

Oil States International, Inc. (a),(c)

     20,200              636,704   

Parsley Energy, Inc. Class A (a)

     3,600              81,360   

PBF Energy, Inc. Class A

     100              3,320   

PDC Energy, Inc. (a)

     15,000              891,750   

Peabody Energy Corp.

     7,680              17,818   

QEP Resources, Inc. (c)

     55,100              777,461   

Range Resources Corp.

     900              29,142   

Rowan Cos. PLC Class A

     1,500              24,150   

SemGroup Corp. Class A

     1,200              26,880   

SM Energy Co.

     14,300              267,982   

Southwestern Energy Co. (a),(c)

     315,400              2,545,278   

Stone Energy Corp. (a)

     23,200              18,328   

Tesco Corp.

     1,500              12,915   

Tesoro Corp. (b)

     20,382              1,753,056   

TETRA Technologies, Inc. (a)

     12,300              78,105   

TransAtlantic Petroleum Ltd. (a)

     300              225   

Transocean Ltd. (b)

     1,912              17,001   

Ultra Petroleum Corp. (a)

     24,400              12,151   

Unit Corp. (a)

     5,900              51,979   

VAALCO Energy, Inc. (a)

     4,000              3,760   

Weatherford International PLC (a)

     28,100              218,618   

Western Refining, Inc. (b)

     7,620              221,666   

Whiting Petroleum Corp. (a)

     136,453              1,088,895   

Williams Cos., Inc. (a)

     12,000              192,840   

World Fuel Services Corp.

     4,000              194,320   
          

 

 

 
             56,106,479   
          

 

 

 

Passenger Transportation — 0.2%

          

Delta Air Lines, Inc.

     24,600              1,197,528   

Era Group, Inc. (a)

     100              938   

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

     39,600              1,868,724   

SkyWest, Inc.

     300              5,997   

Southwest Airlines Co.

     15,500              694,400   

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

     76,700              3,680,066   

Virgin America, Inc. (a)

     3,900              150,384   
          

 

 

 
             7,598,037   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

102


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Real Estate — 1.6%

          

Agree Realty Corp.

     1,900            $ 73,093   

American Tower Corp. (b),(c),(d)

     32,717              3,349,239   

Apartment Investment & Management Co. Class A

     1,600              66,912   

Armada Hoffler Properties, Inc. (c)

     17,800              200,250   

Ashford Hospitality Prime, Inc.

     78              910   

Care Capital Properties, Inc.

     500              13,420   

CareTrust REIT, Inc.

     500              6,350   

CBRE Group, Inc. (a),(c)

     109,800              3,164,436   

Cedar Realty Trust, Inc.

     2,000              14,460   

Colony Starwood Homes

     498              12,326   

CorEnergy Infrastructure Trust, Inc.

     100              2,011   

Crown Castle International Corp.

     29,500              2,551,750   

Equinix, Inc.

     373              123,355   

Equity Commonwealth (a)

     3,900              110,058   

FelCor Lodging Trust, Inc.

     36,100              293,132   

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

     109,644              2,312,392   

Gaming and Leisure Properties, Inc.

     4,400              136,048   

Geo Group, Inc. (The)

     2,500              86,675   

Getty Realty Corp.

     1,700              33,711   

Gladstone Commercial Corp.

     7,900              129,402   

Gramercy Property Trust REIT

     61              515   

InfraREIT, Inc.

     8,000              136,400   

Investors Real Estate Trust

     400              2,904   

Iron Mountain, Inc.

     300              10,173   

Jones Lang LaSalle, Inc. (c)

     3,700              434,084   

Kennedy-Wilson Holdings, Inc. (c)

     131,155              2,872,295   

Lamar Advertising Co. Class A (c),(d)

     360,046              22,142,829   

Monmouth Real Estate Investment Corp. Class A

     200              2,378   

Monogram Residential Trust, Inc.

     2,300              22,678   

New York REIT, Inc. (c)

     1,034,775              10,451,227   

NexPoint Residential Trust, Inc.

     200              2,618   

NorthStar Realty Europe Corp. (c)

     69,508              806,293   

NorthStar Realty Finance Corp. (c)

     710,989              9,328,176   

One Liberty Properties, Inc.

     1,200              26,892   

Outfront Media, Inc.

     19,000              400,900   

Potlatch Corp.

     700              22,050   

Realogy Holdings Corp. (a),(c)

     130,900              4,726,799   

Ryman Hospitality Properties, Inc.

     200              10,296   

Saul Centers, Inc.

     100              5,302   

Silver Bay Realty Trust Corp.

     600              8,910   

Taubman Centers, Inc.

     27,200              1,937,456   

UDR, Inc.

     1,100              42,383   

Urstadt Biddle Properties, Inc. Class A

     1,500              31,425   

Winthrop Realty Trust

     13,300              174,629   

WP Carey, Inc.

     200              12,448   
          

 

 

 
             66,291,990   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

103


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Recreation Facilities & Services — 0.1%

          

AMC Entertainment Holdings, Inc. Class A

     100            $ 2,799   

Cinemark Holdings, Inc.

     5,800              207,814   

ClubCorp Holdings, Inc.

     1,000              14,040   

International Speedway Corp. Class A

     1,100              40,601   

Intrawest Resorts Holdings, Inc. (a)

     2,606              22,281   

Live Nation Entertainment, Inc. (a)

     2,600              58,006   

Marcus Corp.

     1,600              30,320   

Planet Fitness, Inc. Class A (a)

     100              1,624   

RCI Hospitality Holdings, Inc.

     200              1,772   

Regal Entertainment Group Class A

     13,300              281,162   

Six Flags Entertainment Corp.

     43,900              2,436,011   

Speedway Motorsports, Inc.

     1,600              31,728   

Town Sports International Holdings, Inc. (a)

     900              2,583   
          

 

 

 
          3,130,741   
          

 

 

 

Renewable Energy — 0.2%

          

Advanced Energy Industries, Inc. (a)

     1,500              52,185   

Ameresco, Inc. Class A (a)

     400              1,908   

Broadwind Energy, Inc. (a)

     200              602   

First Solar, Inc. (a),(c)

     104,000              7,120,880   

Renewable Energy Group, Inc. (a)

     12,800              120,832   
          

 

 

 
          7,296,407   
          

 

 

 

Retail—Consumer Staples — 0.2%

          

Chefs’ Warehouse, Inc. (The) (a)

     500              10,145   

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

     16,210              1,336,677   

Rite Aid Corp. (a),(b)

     67,081              546,710   

SpartanNash Co.

     1,900              57,589   

Sprouts Farmers Market, Inc. (a),(b),(d)

     126,025              3,659,766   

SUPERVALU, Inc. (a)

     120,600              694,656   

TravelCenters of America LLC (a)

     1,100              7,447   
          

 

 

 
          6,312,990   
          

 

 

 

Retail—Discretionary — 0.9%

          

1-800-Flowers.com, Inc. Class A (a)

     1,300              10,244   

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

     2,346              1,392,679   

American Eagle Outfitters, Inc.

     11,500              191,705   

AutoNation, Inc. (a)

     1,000              46,680   

Big 5 Sporting Goods Corp.

     6,600              73,326   

BMC Stock Holdings, Inc. (a)

     100              1,662   

Chegg, Inc. (a)

     500              2,230   

Christopher & Banks Corp. (a)

     100              239   

Citi Trends, Inc. (c)

     2,800              49,924   

Destination Maternity Corp.

     500              3,420   

Destination XL Group, Inc. (a)

     300              1,551   

 

See Notes to Consolidated Financial Statements.

 

104


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

eBay, Inc. (a)

     11,900            $ 283,934   

Etsy, Inc. (a)

     400              3,480   

EVINE Live, Inc. (a)

     1,800              2,106   

Express, Inc. (a)

     49,600              1,061,936   

Ezcorp, Inc. Class A (a)

     1,600              4,752   

Genesco, Inc. (a)

     100              7,225   

GNC Holdings, Inc. Class A

     31,600              1,003,300   

Hertz Global Holdings, Inc. (a)

     12,600              132,678   

Home Depot, Inc. (c)

     116,300              15,517,909   

Kirkland’s, Inc.

     6,500              113,815   

L Brands, Inc.

     20,300              1,782,543   

Lands’ End, Inc. (a)

     1,000              25,510   

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

     32,204              813,151   

Liquidity Services, Inc. (a)

     2,500              12,950   

Lululemon Athletica, Inc. (a),(b),(c),(d)

     16,035              1,085,730   

Michaels Cos., Inc. (a)

     7,400              206,978   

New York & Co., Inc. (a)

     400              1,584   

Office Depot, Inc. (a)

     200              1,420   

Restoration Hardware Holdings, Inc. (a)

     5,700              238,830   

Sally Beauty Holdings, Inc. (a),(c)

     53,400              1,729,092   

Sears Hometown and Outlet Stores, Inc. (a)

     400              2,568   

Signet Jewelers Ltd. (b),(d)

     14,900              1,848,047   

Staples, Inc.

     47,900              528,337   

Stein Mart, Inc.

     6,800              49,844   

Tile Shop Holdings, Inc. (a)

     9,700              144,627   

Tilly’s, Inc. Class A (a)

     300              2,007   

Tuesday Morning Corp. (a)

     400              3,272   

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

     41,800              8,098,332   

United Online, Inc. (a),(c)

     4,200              48,468   

Vera Bradley, Inc. (a)

     7,400              150,516   

Williams-Sonoma, Inc.

     500              27,370   
          

 

 

 
             36,705,971   
          

 

 

 

Semiconductors — 0.9%

          

Alpha & Omega Semiconductor Ltd. (a)

     5,400              63,990   

Amkor Technology, Inc. (a)

     29,100              171,399   

Analog Devices, Inc.

     17,400              1,029,906   

Applied Materials, Inc. (c)

     578,900              12,261,102   

Applied Micro Circuits Corp. (a)

     100              646   

Axcelis Technologies, Inc. (a)

     11,000              30,800   

Cascade Microtech, Inc. (a)

     400              8,248   

CEVA, Inc. (a),(c)

     700              15,750   

Cohu, Inc.

     5,800              68,904   

Cree, Inc. (a),(c)

     38,600              1,123,260   

DSP Group, Inc. (a)

     2,900              26,448   

Electro Scientific Industries, Inc. (a)

     11,100              79,365   

 

See Notes to Consolidated Financial Statements.

 

105


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Exar Corp. (a)

     100            $ 575   

FormFactor, Inc. (a)

     11,300              82,151   

GSI Technology, Inc. (a)

     418              1,714   

II-VI, Inc. (a)

     2,900              62,959   

Inphi Corp. (a)

     500              16,670   

Intel Corp.

     19              614   

InvenSense, Inc. (a)

     12,400              104,160   

IXYS Corp.

     8,300              93,126   

Kemet Corp. (a)

     2,400              4,632   

KLA-Tencor Corp.

     100,500              7,317,405   

Lam Research Corp.

     86,300              7,128,380   

Lattice Semiconductor Corp. (a),(c)

     2,600              14,768   

Linear Technology Corp.

     9,400              418,864   

Maxim Integrated Products, Inc.

     19,500              717,210   

Micron Technology, Inc. (a),(c)

     170,000              1,779,900   

Oclaro, Inc. (a)

     22,800              123,120   

ON Semiconductor Corp. (a)

     65,100              624,309   

Park Electrochemical Corp.

     1,700              27,217   

Photronics, Inc. (a),(c)

     20,500              213,405   

Qualcomm, Inc.

     101,000              5,165,140   

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

     7,900              107,914   

Semtech Corp. (a)

     3,800              83,562   

SunEdison Semiconductor Ltd. (a)

     2,500              16,200   

Tessera Technologies, Inc.

     4,500              139,500   

Ultra Clean Holdings, Inc. (a)

     5,700              30,552   

Vishay Intertechnology, Inc.

     2,000              24,420   

Xcerra Corp. (a)

     300              1,956   

Xilinx, Inc.

     8,600              407,898   
          

 

 

 
             39,588,139   
          

 

 

 

Software — 1.0%

          

Activision Blizzard, Inc.

     3,200              108,288   

Adobe Systems, Inc. (a)

     3,000              281,400   

Agilysys, Inc. (a)

     700              7,147   

Akamai Technologies, Inc. (a)

     54,900              3,050,793   

Allscripts Healthcare Solutions, Inc. (a)

     300              3,963   

Apigee Corp. (a)

     1,400              11,634   

Autodesk, Inc. (a),(c)

     82,100              4,787,251   

AVG Technologies NV (a)

     900              18,675   

Bazaarvoice, Inc. (a)

     14,300              45,045   

Box, Inc. Class A (a)

     200              2,452   

Brightcove, Inc. (a)

     2,000              12,480   

Calix, Inc. (a)

     1,600              11,344   

Carbonite, Inc. (a)

     6,500              51,805   

ChannelAdvisor Corp. (a)

     1,300              14,625   

Citrix Systems, Inc. (a),(c)

     15,800              1,241,564   

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

     36,270              1,565,776   

 

See Notes to Consolidated Financial Statements.

 

106


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Cvent, Inc. (a)

     100            $ 2,140   

Digi International, Inc. (a)

     5,300              49,979   

Electronic Arts, Inc. (a),(b),(c),(d)

     41,855              2,767,034   

Five9, Inc. (a)

     1,700              15,113   

Fortinet, Inc. (a)

     14,300              438,009   

InnerWorkings, Inc. (a)

     300              2,385   

Interactive Intelligence Group, Inc. (a)

     300              10,926   

Intralinks Holdings, Inc. (a)

     8,900              70,132   

KEYW Holding Corp. (The) (a)

     300              1,992   

Limelight Networks, Inc. (a)

     14,800              26,788   

Lionbridge Technologies, Inc. (a)

     2,500              12,650   

LivePerson, Inc. (a)

     200              1,170   

Marketo, Inc. (a)

     100              1,957   

Mentor Graphics Corp.

     10,500              213,465   

Microsoft Corp.

     72,343              3,995,504   

MicroStrategy, Inc. Class A (a)

     4,000              718,880   

Model N, Inc. (a)

     3,500              37,695   

Monotype Imaging Holdings, Inc.

     2,000              47,840   

Nuance Communications, Inc. (a)

     40,700              760,683   

Paycom Software, Inc. (a),(b),(d)

     49,860              1,775,016   

PDF Solutions, Inc. (a)

     1,100              14,718   

QAD, Inc. Class A

     2,900              61,625   

Rackspace Hosting, Inc. (a)

     139,900              3,020,441   

Red Hat, Inc. (a),(b),(c)

     25,125              1,872,064   

salesforce.com, Inc. (a),(b),(c),(d)

     20,720              1,529,758   

SciQuest, Inc. (a)

     2,200              30,536   

Seachange International, Inc. (a)

     1,600              8,832   

SS&C Technologies Holdings, Inc. (c)

     30,696              1,946,740   

Support.com, Inc. (a)

     1,400              1,204   

Symantec Corp.

     18,500              340,030   

Tableau Software, Inc. Class A (a)

     400              18,348   

Take-Two Interactive Software, Inc. (a)

     23,900              900,313   

VASCO Data Security International, Inc. (a)

     500              7,700   

VMware, Inc. Class A (a),(c)

     167,000              8,735,770   

Web.com Group, Inc. (a)

     900              17,838   

Zendesk, Inc. (a)

     10,500              219,765   

Zynga, Inc. Class A (a)

     27,000              61,560   
          

 

 

 
             40,950,842   
          

 

 

 

Specialty Finance — 0.3%

          

AG Mortgage Investment Trust, Inc.

     13,900              181,673   

Aircastle Ltd.

     400              8,896   

Altisource Residential Corp.

     300              3,600   

American Capital Agency Corp. (c)

     38              708   

American Capital Mortgage Investment Corp.

     21,800              320,024   

Annaly Capital Management, Inc.

     7,300              74,898   

Anworth Mortgage Asset Corp.

     14,300              66,638   

 

See Notes to Consolidated Financial Statements.

 

107


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Apollo Commercial Real Estate Finance, Inc.

     14,000            $ 228,200   

Arbor Realty Trust, Inc.

     9,200              62,284   

Blackhawk Network Holdings, Inc. (a)

     400              13,720   

Blackstone Mortgage Trust, Inc. Class A

     600              16,116   

Capital One Financial Corp.

     36,582              2,535,498   

Cherry Hill Mortgage Investment Corp.

     600              8,496   

Chimera Investment Corp.

     11,558              157,073   

Consumer Portfolio Services, Inc. (a)

     1,400              5,922   

CoreLogic, Inc. (a)

     32,100              1,113,870   

Dynex Capital, Inc.

     1,400              9,310   

Ellie Mae, Inc. (a)

     1,600              145,024   

Ellington Residential Mortgage REIT

     3,500              41,895   

Enova International, Inc. (a)

     700              4,417   

Essent Group Ltd. (a)

     2,800              58,240   

Fidelity National Information Services, Inc. (b),(d)

     27,600              1,747,356   

First Data Corp. Class A (a)

     1,700              21,998   

FNF Group

     1,200              40,680   

HFF, Inc. Class A

     1,600              44,048   

Higher One Holdings, Inc. (a)

     3,700              14,467   

Ladder Capital Corp.

     52              647   

Meta Financial Group, Inc.

     1,300              59,280   

MFA Financial, Inc.

     46,700              319,895   

MGIC Investment Corp. (a)

     180,463              1,384,151   

MoneyGram International, Inc. (a)

     700              4,284   

Newcastle Investment Corp.

     8,033              34,783   

Newtek Business Services Corp.

     1,813              22,663   

Nicholas Financial, Inc. (a)

     700              7,553   

On Deck Capital, Inc. (a)

     600              4,674   

OneMain Holdings, Inc. (a),(c)

     55,662              1,526,809   

Regional Management Corp. (a)

     600              10,266   

Santander Consumer USA Holdings, Inc. (a)

     62,700              657,723   

Square, Inc. (a)

     8,200              125,296   

Synchrony Financial (a),(c)

     96,444              2,764,085   

Two Harbors Investment Corp.

     62,100              493,074   

ZAIS Financial Corp.

     1,900              28,348   
          

 

 

 
             14,368,582   
          

 

 

 

Technology Services — 0.4%

          

Black Box Corp.

     4,200              56,574   

CDW Corp.

     9,000              373,500   

Ciber, Inc. (a)

     3,800              8,018   

Cognizant Technology Solutions Corp. Class A (a),(b),(c)

     68,370              4,286,799   

CSG Systems International, Inc.

     600              27,096   

CSRA, Inc.

     3,200              86,080   

Forrester Research, Inc.

     100              3,361   

Hewlett Packard Enterprise Co.

     10,700              189,711   

 

See Notes to Consolidated Financial Statements.

 

108


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

ICF International, Inc. (a)

     200            $ 6,874   

IHS, Inc. Class A (a)

     600              74,496   

Leidos Holdings, Inc. (c)

     19,600              986,272   

MarketAxess Holdings, Inc. (b),(d)

     10,000              1,248,300   

Markit Ltd. (a)

     600              21,210   

MSCI, Inc. (c)

     25,240              1,869,779   

Perficient, Inc. (a)

     800              17,376   

PFSweb, Inc. (a)

     3,200              41,984   

Rightside Group Ltd. (a)

     200              1,610   

Sabre Corp. (c)

     187,900              5,434,068   

ServiceSource International, Inc. (a)

     600              2,556   

Teradata Corp. (a)

     700              18,368   

TransUnion (a),(b),(c)

     49,367              1,363,023   

Travelport Worldwide Ltd.

     25,500              348,330   
          

 

 

 
             16,465,385   
          

 

 

 

Telecommunications — 0.1%

          

8x8, Inc. (a)

     1,700              17,102   

Alaska Communications Systems Group, Inc. (a)

     6,200              11,036   

Cogent Communications Holdings, Inc.

     11,200              437,136   

DigitalGlobe, Inc. (a)

     4,900              84,770   

EarthLink Holdings Corp.

     600              3,402   

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

     4,500              66,960   

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

     5,600              102,592   

Hawaiian Telcom Holdco, Inc. (a)

     1,200              28,260   

IDT Corp. Class B

     7,800              121,602   

Inteliquent, Inc. (c)

     6,400              102,720   

Internap Network Services Corp. (a)

     3,700              10,101   

j2 Global, Inc. (b),(d)

     22,125              1,362,457   

Level 3 Communications, Inc. (a)

     20              1,057   

Lumos Networks Corp. (a)

     4,200              53,928   

Spok Holdings, Inc.

     2,700              47,277   

Telephone & Data Systems, Inc. (c)

     8,400              252,756   

Vonage Holdings Corp. (a)

     2,800              12,796   

West Corp. (c)

     20,700              472,374   

Zayo Group Holdings, Inc. (a)

     29,000              702,960   

Zix Corp. (a),(c)

     36,700              144,231   
          

 

 

 
          4,035,517   
          

 

 

 

Transportation & Logistics — 0.1%

          

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

     20,300              312,214   

ArcBest Corp.

     4,300              92,837   

Atlas Air Worldwide Holdings, Inc. (a)

     200              8,454   

Celadon Group, Inc.

     600              6,288   

Covenant Transportation Group, Inc. Class A (a)

     600              14,514   

CSX Corp.

     4,300              110,725   

Expeditors International of Washington, Inc.

     3,500              170,835   

 

See Notes to Consolidated Financial Statements.

 

109


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Hub Group, Inc. Class A (a)

     6,600            $ 269,214   

JB Hunt Transport Services, Inc.

     10,700              901,368   

Kirby Corp. (a)

     4,800              289,392   

Marten Transport Ltd.

     800              14,976   

ModusLink Global Solutions, Inc. (a)

     2,500              3,675   

Navios Maritime Acquisition Corp.

     9,300              14,787   

Roadrunner Transportation Systems, Inc. (a)

     800              9,968   

Ryder System, Inc. (c)

     33,400              2,163,652   

Saia, Inc. (a)

     4,800              135,120   

Swift Transportation Co. (a)

     68,600              1,278,018   

USA Truck, Inc. (a)

     700              13,188   

Werner Enterprises, Inc.

     400              10,864   

YRC Worldwide, Inc. (a)

     6,000              55,920   
          

 

 

 
          5,876,009   
          

 

 

 

Transportation Equipment — 0.3%

          

Accuride Corp. (a)

     7,700              11,935   

Allison Transmission Holdings, Inc. (c)

     38,800              1,046,824   

American Railcar Industries, Inc.

     800              32,584   

Commercial Vehicle Group, Inc. (a)

     1,700              4,505   

Cummins, Inc.

     119,000              13,082,860   

FreightCar America, Inc.

     900              14,022   

Greenbrier Cos., Inc. (The)

     4,800              132,672   

Spartan Motors, Inc. (c)

     200              790   

Trinity Industries, Inc.

     100              1,831   
          

 

 

 
          14,328,023   
          

 

 

 

Utilities — 0.0%

          

Cleco Corp. (b)

     5,465              301,723   

ITC Holdings Corp. (b)

     22,000              958,540   

Middlesex Water Co.

     500              15,425   

NRG Yield, Inc. Class C

     200              2,848   

Sempra Energy

     1,600              166,480   
          

 

 

 
             1,445,016   
          

 

 

 

Waste & Environmental Services & Equipment — 0.0%

  

Casella Waste Systems, Inc. Class A (a)

     11,300              75,710   

Covanta Holding Corp.

     5,700              96,102   

Waste Connections, Inc.

     45              2,907   

Waste Management, Inc. (c)

     24,500              1,445,500   
          

 

 

 
             1,620,219   
          

 

 

 

Total United States

             1,292,814,280   
          

 

 

 

TOTAL COMMON STOCK
(COST $1,547,679,696)

             1,550,124,985   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

110


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

ASSET-BACKED SECURITIES — 8.7%

          

Cayman Islands — 3.9%

          

ACIS CLO Ltd., Series 2015-6A, Class D,
4.39%, 05/01/27 (b),(e),(f)

   $ 2,300,000            $ 1,924,180   

Adirondack Park CLO Ltd., Series 2013-1A, Class E, 5.27%, 04/15/24 (b),(e),(f)

     373,000              286,128   

ALESCO Preferred Funding VII Ltd., Series 7A,
Class A1B, 1.02%, 07/23/35 (b),(e),(f)

     1,232,283              1,010,472   

ALESCO Preferred Funding XIIII Ltd., Series 13A, Class A2,
1.02%, 09/23/37 (b),(e),(f),(g)

     996,000              478,080   

Allegro CLO I Ltd., Series 2013-1A, Class C,
4.07%, 01/30/26 (b),(e),(f)

     4,000,000              3,478,000   

Allegro CLO II Ltd., Series 2014-1A, Class C,
4.77%, 01/21/27 (b),(e),(f)

     1,900,000              1,734,320   

AMMC CDO, Series 2015-16A, Class E,
6.22%, 04/14/27 (b),(e),(f)

     600,000              463,320   

APIDOS CLO, Series 2012-10A, Class E,
6.87%, 10/30/22 (b),(e),(f)

     1,000,000              880,000   

Ares CLO Ltd., Series 2012-2A, Class E,
6.42%, 10/12/23 (b),(e),(f)

     3,621,000              3,153,891   

ARES XII CLO Ltd., Series 2007-12A, Class E,
6.38%, 11/25/20 (b),(e),(f)

     1,351,071              1,285,950   

Ares XXVIII CLO Ltd., Series 2013-3A, Class D,
4.12%, 10/17/24 (b),(e),(f)

     650,000              563,420   

Atlas Senior Loan Fund II Ltd., Series 2012-2A, Class D, 4.87%, 01/30/24 (b),(e),(f)

     1,726,000              1,605,180   

Atlas Senior Loan Fund V Ltd., Series 2014-1A, Class C, 3.62%, 07/16/26 (b),(e),(f)

     1,100,000              1,065,240   

Attentus CDO III Ltd., Series 2007-3A, Class A1B, 0.88%, 10/11/42 (b),(e),(f),(g)

     792,317              713,085   

Babson CLO Ltd.,

          

Series 2013-IA, Class D, 4.12%, 04/20/25 (b),(e),(f)

     3,200,000              2,795,520   

Series 2015-2A, Class E, 6.17%, 07/20/27 (b),(e),(f)

     650,000              548,730   

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class D,
5.12%, 07/15/24 (b),(e),(f)

     2,823,000              1,933,755   

BlueMountain CLO Ltd., Series 2014-1A, Class D,
4.07%, 04/30/26 (b),(e),(f)

     1,388,000              1,221,718   

Bridgeport CLO Ltd., Series 2006-1A, Class C,
2.12%, 07/21/20 (b),(e),(f)

     500,000              459,750   

Canyon Capital CLO Ltd., Series 2012-1A, Class D, 4.92%, 01/15/24 (b),(e),(f)

     400,000              379,520   

 

See Notes to Consolidated Financial Statements.

 

111


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Carlyle Global Market Strategies CLO Ltd.,

          

Series 2014-2A, Class D, 4.12%, 05/15/25 (b),(e),(f)

   $ 1,900,000            $ 1,634,570   

Series 2014-3A, Class D1, 5.72%, 07/27/26 (b),(e),(f)

     660,000              514,008   

Catamaran CLO Ltd.,

          

Series 2015-1A, Class D, 4.27%, 04/22/27 (b),(e),(f)

     1,600,000              1,389,760   

Series 2015-1A, Class E, 5.77%, 04/22/27 (b),(e),(f)

     600,000              467,880   

Cathedral Lake CLO Ltd., Series 2013-1A, Class C, 4.27%, 01/15/26 (b),(e),(f)

     1,000,000              883,000   

Cedar Funding III CLO Ltd., Series 2014-3A, Class E, 5.52%, 05/20/26 (b),(e),(f)

     1,600,000              1,262,560   

CIFC Funding II Ltd., Series 2013-2A, Class A3L,
3.27%, 04/21/25 (b),(e),(f)

     1,000,000              954,400   

CIFC Funding III Ltd.,

          

Series 2012-3A, Class A3L, 3.62%, 01/29/25 (b),(e),(f)

     1,000,000              976,400   

Series 2014-3A, Class E, 5.37%, 07/22/26 (b),(e),(f)

     1,500,000              1,112,850   

Series 2015-3A, Class E, 6.67%, 10/19/27 (b),(e),(f)

     800,000              662,160   

CIFC Funding IV Ltd., Series 2015-4A, Class D,
6.12%, 10/20/27 (b),(e),(f)

     1,000,000              791,300   

CIFC Funding Ltd.,

          

Series 2012-2A, Class B2R, 6.39%, 12/05/24 (b),(e),(f)

     2,544,000              2,168,251   

Series 2013-1A, Class D, 5.86%, 04/16/25 (b),(e),(f)

     2,709,000              2,174,243   

Series 2014-4A, Class D, 4.02%, 10/17/26 (b),(e),(f)

     1,200,000              1,031,160   

Series 2015-1A, Class D, 4.62%, 01/22/27 (b),(e),(f)

     800,000              721,840   

ColumbusNova CLO IV Ltd., Series 2007-2A, Class D, 5.12%, 10/15/21 (b),(e),(f)

     250,000              244,025   

Crown Point CLO Ltd., Series 2012-1A, Class B1L, 5.62%, 11/21/22 (b),(e),(f)

     1,800,000              1,678,680   

Cutwater Ltd.,

  

Series 2014-1A, Class C, 4.32%, 07/15/26 (b),(e),(f)

     1,512,000              1,165,298   

Series 2015-1A, Class D1, 4.52%, 07/15/27 (b),(e),(f)

     4,500,000              3,721,500   

Series 2015-1A, Class E, 6.62%, 07/15/27 (b),(e),(f)

     733,000              528,713   

 

See Notes to Consolidated Financial Statements.

 

112


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

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

   $ 4,249,036            $ 4,158,956   

Dryden Senior Loan Fund, Series 2014-36A, Class D, 4.37%, 11/09/25 (b),(e),(f)

     3,150,000              2,786,490   

Duane Street CLO, Series 2007-5X, Class B, REG S, 8.37%, 10/14/21 (b),(f)

     467,000              463,311   

Eastland CLO Ltd., Series 2007-1A, Class C,
2.12%, 05/01/22 (b),(e),(f)

     400,000              333,280   

Flagship CLO VIII Ltd., Series 2014-8A, Class D,
4.32%, 01/16/26 (b),(e),(f)

     789,000              597,036   

Fore CLO Ltd., Series 2007-1A, Class D,
3.62%, 07/20/19 (b),(e),(f)

     1,332,899              1,253,192   

Galaxy XIV CLO Ltd.,

          

Series 2012-14A, Class D, 5.02%, 11/15/24 (b),(e),(f)

     1,400,000              1,304,520   

Series 2012-14A, Class E, 6.02%, 11/15/24 (b),(e),(f)

     4,057,000              3,383,944   

Golub Capital Partners CLO Ltd.,

          

Series 2011-10AR, Class DR, 4.17%, 10/20/21 (b),(e),(f)

     250,000              237,800   

Series 2015-22A, Class C, 4.77%, 02/20/27 (b),(e),(f)

     1,200,000              1,089,840   

Halcyon Loan Advisors Funding Ltd., Series 2014-2A, Class C,
4.12%, 04/28/25 (b),(e),(f)

     1,800,000              1,392,480   

Halcyon Loan Investors CLO I, Inc., Series 2006-1A, Class D,
4.12%, 11/20/20 (b),(e),(f)

     500,000              428,000   

Harbourview CDO III Ltd., Series 3A, Class A,
1.12%, 09/15/31 (b),(e),(f),(g)

     5,236,116              4,699,415   

ING IM CLO Ltd.,

          

Series 2013-1A, Class C,
4.12%, 04/15/24 (b),(e),(f)

     1,900,000              1,654,900   

Series 2013-2A, Class C, 4.12%, 04/25/25 (b),(e),(f)

     658,000              559,168   

Series 2013-2A, Class D, 5.62%, 04/25/25 (b),(e),(f)

     600,000              469,140   

Jamestown Ltd.,

          

Series 2015-7A, Class C, 4.37%, 07/25/27 (b),(e),(f)

     2,300,000              2,037,800   

Series 2015-7A, Class D, 6.12%, 07/25/27 (b),(e),(f)

     1,100,000              787,160   

Kingsland VI Ltd., Series 2013-6A, Class D,
4.27%, 10/28/24 (b),(e),(f)

     900,000              783,090   

KKR Financial CLO Ltd., Series 2012-1A, Class C, 5.13%, 12/15/24 (b),(e),(f)

     3,500,000              3,341,100   

 

See Notes to Consolidated Financial Statements.

 

113


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Kodiak CDO Ltd.,

          

Series 2006-1A, Class A1,
0.98%, 08/07/37 (b),(e),(f),(g)

   $ 5,351,016            $ 4,976,445   

Series 2006-1A, Class A2, 1.10%, 08/07/37 (b),(e),(f),(g)

     1,250,000              837,500   

LCM Ltd. Partnership, Series 9A, Class E,
4.82%, 07/14/22 (b),(e),(f)

     4,890,000              4,755,036   

LCM XI LP, Series 11A, Class D2,
4.57%, 04/19/22 (b),(e),(f)

     2,130,000              1,994,745   

Madison Park Funding X Ltd., Series 2012-10A, Class E, 5.87%, 01/20/25 (b),(e),(f)

     1,900,000              1,648,250   

Madison Park Funding XIV Ltd., Series 2014-14A, Class E,
5.37%, 07/20/26 (b),(e),(f)

     3,400,000              2,701,980   

Madison Park Funding XVI Ltd.,

          

Series 2015-16A, Class B, 3.62%, 04/20/26 (b),(e),(f)

     3,000,000              2,965,800   

Series 2015-16A, Class C, 4.32%, 04/20/26 (b),(e),(f)

     600,000              541,980   

Magnetite XV Ltd., Series 2015-15A, Class E,
6.99%, 10/25/27 (b),(e),(f)

     950,000              885,780   

MidOcean Credit CLO III,

          

Series 2014-3A, Class D, 4.37%, 07/21/26 (b),(e),(f)

     982,000              843,636   

Series 2014-3A, Class E, 5.87%, 07/21/26 (b),(e),(f)

     346,000              260,538   

Muir Grove CLO Ltd., Series 2007-1A, Class E,
8.62%, 03/25/20 (b),(e),(f)

     769,091              733,790   

Nelder Grove CLO Ltd., Series 2014-1A, Class D1, 5.16%, 08/28/26 (b),(e),(f)

     1,800,000              1,625,760   

Ocean Trails CLO IV, Series 2013-4A, Class D,
4.62%, 08/13/25 (b),(e),(f)

     300,000              266,400   

Ocean Trails CLO V,

          

Series 2014-5A, Class D, 4.58%, 10/13/26 (b),(e),(f)

     1,800,000              1,569,060   

Series 2014-5A, Class E, 5.97%, 10/13/26 (b),(e),(f)

     800,000              574,640   

Octagon Investment Partners X Ltd., Series 2006-10A, Class D,
2.02%, 10/18/20 (b),(e),(f)

     500,000              467,950   

Octagon Investment Partners XII Ltd., Series 2012-1AR, Class DR, 4.08%, 05/05/23 (b),(e),(f)

     1,400,000              1,315,020   

Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.62%, 01/15/24 (b),(e),(f)

     250,000              226,225   

 

See Notes to Consolidated Financial Statements.

 

114


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Octagon Investment Partners XVII Ltd., Series 2013-1A, Class E,
5.12%, 10/25/25 (b),(e),(f)

   $ 800,000            $ 567,120   

Octagon Investment Partners XX Ltd., Series 2014-1A, Class E,
5.87%, 08/12/26 (b),(e),(f)

     600,000              423,420   

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class D,
7.22%, 11/14/26 (b),(e),(f)

     1,100,000              851,180   

Octagon Investment Partners XXII Ltd., Series 2014-1A, Class E1, 5.87%, 11/25/25 (b),(e),(f)

     900,000              734,850   

OHA Loan Funding Ltd., Series 2013-1A, Class E,
5.77%, 07/23/25 (b),(e),(f)

     1,012,000              814,761   

OZLM Funding IV Ltd.,

          

Series 2013-4A, Class C, 3.82%, 07/22/25 (b),(e),(f)

     800,000              699,120   

Series 2013-4A, Class D, 5.27%, 07/22/25 (b),(e),(f)

     900,000              679,770   

OZLM Funding V Ltd., Series 2013-5A, Class D,
5.37%, 01/17/26 (b),(e),(f)

     2,050,000              1,691,865   

OZLM Ltd., Series 2015-13A, Class D,
6.07%, 07/30/27 (b),(e),(f)

     1,100,000              865,040   

OZLM VII Ltd., Series 2014-7A, Class C,
4.22%, 07/17/26 (b),(e),(f)

     1,500,000              1,304,250   

OZLM VIII Ltd., Series 2014-8A, Class B,
3.62%, 10/17/26 (b),(e),(f)

     3,000,000              2,902,800   

OZLM XI Ltd., Series 2015-11A, Class D,
6.02%, 01/30/27 (b),(e),(f)

     800,000              648,480   

Preferred Term Securities X Ltd. / Preferred Term Securities X, Inc.,
1.35%, 07/03/33 (b),(e),(f)

     232,184              197,357   

Preferred Term Securities XIX Ltd/Preferred Term Securities XIX, Inc.,
1.06%, 12/22/35 (b),(e),(f),(g)

     586,644              310,921   

Preferred Term Securities XVIII Ltd. / Preferred Term Securities XVIII, Inc.,
1.11%, 09/23/35 (b),(e),(f),(g)

     198,952              107,434   

Preferred Term Securities XXIV Ltd. / Preferred Term Securities XXIV, Inc.,
0.93%, 03/22/37 (b),(e),(f)

     936,986              651,206   

Preferred Term Securities XXIV Ltd/Preferred Term Securities XXIV, Inc.,
1.01%, 03/22/37 (b),(e),(f),(g)

     968,152              493,757   

Preferred Term Securities XXV Ltd/Preferred Term Securities XXV, Inc.,
0.98%, 06/22/37 (b),(e),(f),(g)

     276,341              146,461   

 

See Notes to Consolidated Financial Statements.

 

115


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Preferred Term Securities XXVI Ltd/Preferred Term Securities XXVI, Inc.,
1.00%, 09/22/37 (b),(e),(f),(g)

   $ 268,701            $ 139,725   

Sound Point CLO I Ltd.,

  

Series 2012-1A, Class D, 5.20%, 10/20/23 (b),(e),(f)

     900,000              877,050   

Series 2012-1A, Class E, 6.62%, 10/20/23 (b),(e),(f)

     300,000              271,350   

Sound Point CLO IX Ltd.,

  

Series 2015-2A, Class D, 4.17%, 07/20/27 (b),(e),(f)

     1,700,000              1,508,240   

Series 2015-2A, Class E, 6.12%, 07/20/27 (b),(e),(f)

     1,100,000              873,180   

Sound Point CLO V Ltd., Series 2014-1A, Class D, 4.02%, 04/18/26 (b),(e),(f)

     1,200,000              1,050,480   

Stone Tower CLO VI Ltd., Series 2007-6A, Class D, 4.22%, 04/17/21 (b),(e),(f)

     7,189,000              6,507,483   

Symphony CLO IV Ltd., Series 2007-4A, Class E,
6.12%, 07/18/21 (b),(e),(f)

     739,000              716,461   

Symphony CLO IX Ltd., Series 2012-9A, Class D,
4.87%, 04/16/22 (b),(e),(f)

     2,775,000              2,682,870   

Symphony CLO XI Ltd., Series 2013-11A, Class D, 4.62%, 01/17/25 (b),(e),(f)

     2,100,000              1,960,980   

Symphony CLO XII Ltd., Series 2013-12A, Class D, 4.12%, 10/15/25 (b),(e),(f)

     250,000              218,750   

Taberna Preferred Funding VII Ltd., Series 2006-7A, Class A1LA,
0.97%, 02/05/37 (b),(e),(f),(g)

     236,976              201,430   

Trapeza CDO XII Ltd., Series 2007-12A, Class A2, 0.96%, 04/06/42 (b),(e),(f),(g)

     375,000              180,000   

Trapeza CDO XIII Ltd., Series 2007-13A, Class A2A,
0.95%, 11/09/42 (b),(e),(f),(g)

     431,000              211,190   

Venture CDO Ltd.,

  

Series 2007-13A, Class A3, 1.05%, 11/09/42 (b),(e),(f),(g)

     270,000              126,900   

Series 2013-15A, Class C, 3.72%, 07/15/25 (b),(e),(f)

     5,700,000              5,491,950   

Series 2014-16A, Class B1L, 4.07%, 04/15/26 (b),(e),(f)

     5,800,000              4,639,420   

Venture X CLO Ltd., Series 2012-10A, Class D, 4.82%, 07/20/22 (b),(e),(f)

     500,000              446,900   

Venture XIII CLO Ltd., Series 2013-13A, Class D,
4.19%, 06/10/25 (b),(e),(f)

     5,000,000              4,414,000   

Venture XIV CLO Ltd., Series 2013-14A, Class D,
4.39%, 08/28/25 (b),(e),(f)

     1,775,000              1,461,003   

 

See Notes to Consolidated Financial Statements.

 

116


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Venture XIX CLO Ltd., Series 2014-19A, Class D,
4.62%, 01/15/27 (b),(e),(f)

   $ 2,500,000            $ 2,234,750   

Vibrant CLO Ltd., Series 2015-3A, Class C,
4.27%, 04/20/26 (b),(e),(f)

     1,082,000              933,982   

Voya CLO 2 Ltd., Series 2014-2A, Class D,
5.37%, 07/17/26 (b),(e),(f)

     700,000              484,050   

WhiteHorse Ltd., Series 2014-1A, Class D,
4.27%, 05/01/26 (b),(e),(f)

     2,912,100              2,180,289   
          

 

 

 

Total Cayman Islands

  

          164,916,239   
          

 

 

 

Ireland — 0.0%

  

Trade Maps Ltd., Series 2013-1A, Class D,
5.44%, 12/10/18 (b),(e),(f)

     2,000,000              1,982,800   
          

 

 

 

Total Ireland

  

          1,982,800   
          

 

 

 

United States — 4.8%

  

AmeriCredit Automobile Receivables, Series 2016-1, Class D, 3.59%, 02/08/22 (b)

     1,400,000              1,397,060   

AMPLIT Trust,

  

Series 2015-A, Class B, 6.75%, 09/15/21 (b),(e)

     1,207,000              1,193,119   

Series 2015-A, Class C, 8.75%, 09/15/21 (b),(e),(g)

     915,000              907,497   

Series 2015-A SEQ, Class A, 5.00%, 09/15/21 (b),(e)

     3,482,261              3,446,742   

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

     4,572,000              4,479,188   

Ascentium Equipment Receivables LLC,

  

Series 2015-1A, Class E, 5.92%, 06/12/23 (b),(e),(g)

     758,000              747,994   

Series 2015-2A, Class E, 6.52%, 10/12/21 (b),(e),(g)

     1,299,000              1,282,113   

Associates Manufactured Housing Pass-Through Certificates, Series 1997-2, Class B1, 7.15%, 03/15/28 (b),(f),(g)

     279,422              323,711   

AVANT Loans Funding Trust, Series 2016-A, Class B, 7.65%, 06/15/20 (b),(e)

     1,262,000              1,261,874   

Bayview Opportunity Master Fund Trust,

  

Series 2012-4NR3, Class A, 3.72%, 02/28/35 (b),(e),(f)

     3,409,673              3,400,126   

Series 2014-16RP, Class A, 3.84%, 11/28/29 (b),(e),(f)

     3,757,621              3,759,875   

Bear Stearns Asset-Backed Securities Trust, Series 2007-2, Class A2,
0.75%, 01/25/47 (b),(f)

     3,701,153              3,433,559   

 

See Notes to Consolidated Financial Statements.

 

117


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Capital Auto Receivables Asset, Series 2016-1, Class D, 4.03%, 08/21/23 (b)

   $ 2,800,000            $ 2,820,720   

Carlyle Global Market Strategies CLO Ltd.,

          

Series 2014-1A, Class D, 4.07%, 04/17/25 (b),(e),(f)

     1,700,000              1,500,590   

Series 2015-3A, Class D, 6.32%, 07/28/28 (b),(e),(f)

     1,100,000              924,990   

Chrysler Capital Auto Receivables Trust, Series 2015-BA, Class D, 4.17%, 01/16/23 (b),(e)

     5,300,000              5,267,670   

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

     813,000              813,000   

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

     397,703              414,367   

Countrywide Home Equity Loan Trust,

          

Series 2004-I, Class A, 0.73%, 02/15/34 (b),(f)

     1,084,174              976,733   

Series 2004-P, Class 2A, 0.76%, 03/15/34 (b),(f)

     24,183              20,892   

Series 2006-G, Class 2A, 0.59%, 10/15/36 (b),(f)

     253,932              214,725   

CPS Auto Receivables Trust,

          

Series 2014-B, Class D, 4.62%, 05/15/20 (b),(e)

     156,000              148,574   

Series 2014-C, Class D, 4.83%, 08/17/20 (b),(e)

     391,000              368,283   

Credit Suisse Mortgage Trust,

          

Series 2015-RPL2, Class A1A, 3.75%, 11/25/57 (b),(e),(f)

     6,614,756              6,502,966   

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

     6,763,921              6,666,521   

Series 2015-RPL5, Class A1, 3.51%, 11/26/55 (b),(e),(f)

     35,264,517              34,411,116   

Drive Auto Receivables Trust,

          

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

     5,300,000              5,221,030   

Series 2015-DA, Class C, 3.38%, 11/15/21 (b),(e)

     5,375,000              5,357,262   

Series 2015-DA, Class D, 4.59%, 01/17/23 (b),(e)

     2,500,000              2,453,000   

DT Auto Owner Trust,

          

Series 2014-3A, Class D, 4.47%, 11/15/21 (b),(e)

     600,000              593,280   

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

     1,000,000              989,200   

Education Funding LLC, Series 2006-1A, Class A2, 0.87%, 10/25/29 (b),(e),(f)

     5,898,195              5,465,268   

 

See Notes to Consolidated Financial Statements.

 

118


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Exeter Automobile Receivables Trust,

          

Series 2013-1A, Class C, 3.52%, 02/15/19 (b),(e)

   $ 2,700,000            $ 2,683,530   

Series 2013-1A, Class D, 5.05%, 10/15/19 (b),(e)

     3,300,000              3,239,610   

Series 2013-2A, Class D, 6.81%, 08/17/20 (b),(e)

     2,200,000              2,211,000   

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

     4,300,000              4,235,930   

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

     2,700,000              2,630,340   

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

     1,900,000              1,870,170   

Series 2014-3A, Class D, 5.69%, 04/15/21 (b),(e)

     3,000,000              2,939,400   

FFCA Secured Lending Corp., Series 1999-2, Class WA1C,
7.85%, 05/18/26 (b),(e),(g)

     920,595              925,383   

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

     1,800,000              1,706,040   

GE Business Loan Trust, Series 2005-1A, Class C,
1.14%, 06/15/33 (b),(e),(f)

     33,997              30,308   

HOA Funding LLC, Series 2015-1A, Class A2,
5.50%, 08/20/44 (b),(e),(g)

     2,255,665              2,036,189   

InCaps Funding II Ltd. / InCaps Funding II Corp.,
1.82%, 01/15/34 (b),(e),(f),(g)

     1,416,825              1,331,815   

Mid-State Trust XI, Series 11, Class B, 8.22%, 07/15/38 (b)

     33,326              35,742   

Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE3, Class A2C,
0.59%, 04/25/36 (b),(f)

     486,869              479,761   

Nationstar HECM Loan Trust,

          

Series 2015-2A, Class M2, 6.66%, 11/25/25 (b),(e)

     3,253,000              3,253,000   

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

     2,509,000              2,509,000   

Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV2,
0.56%, 06/25/37 (b),(f)

     947,477              924,169   

NCT Funding Ltd., Series 2013-6A, Class IMM2,
0.68%, 04/25/40 (b),(e),(f)

     573,000              550,080   

OneMain Financial Issuance Trust, Series 2015-2A SEQ, Class A,
2.57%, 07/18/25 (b),(e)

     1,200,000              1,185,000   

Pinnacle Park CLO Ltd., Series 2014-1A, Class C,
3.72%, 04/15/26 (b),(e),(f)

     800,000              796,000   

 

See Notes to Consolidated Financial Statements.

 

119


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Preferred Term Securities XVII Ltd. / Preferred Term Securities XVII, Inc., 1.14%, 06/23/35 (b),(e),(f),(g)

   $ 211,000            $ 109,720   

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

     8,271,000              8,285,061   

RMAT LLC, Series 2015-RPL1, Class A1,
3.97%, 05/26/20 (b),(e),(f),(h)

     3,140,446              3,104,958   

SLM Private Credit Student Loan Trust,

          

Series 2004-A, Class C, 1.58%, 06/15/33 (b),(f)

     2,833,789              2,607,086   

Series 2004-B, Class C, 1.50%, 09/15/33 (b),(f)

     2,396,232              2,214,358   

Series 2005-B, Class C, 1.33%, 06/15/39 (b),(f)

     2,826,907              2,610,366   

Soundview Home Loan Trust, Series 2007-OPT3, Class 2A2,
0.56%, 08/25/37 (b),(f)

     812,117              792,463   

Stone Tower CLO Ltd., Series 2006-5A, Class D,
4.37%, 07/16/20 (b),(e),(f)

     1,000,000              960,700   

US Residential Opportunity Fund Trust, Series 2015-1III, Class A,
3.72%, 01/27/35 (b),(e)

     2,477,936              2,456,378   

Vericrest Opportunity Loan Trust,

          

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

     5,186,740              5,131,761   

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

     1,786,299              1,768,615   

Series 2015-NPL9, Class A1, 3.50%, 06/26/45 (b),(e),(f),(h)

     9,600,877              9,511,589   

Vericrest Opportunity Loan XXXI LLC, Series 2015-NPL2, Class A1,
3.38%, 02/25/55 (b),(e),(f)

     1,562,399              1,535,214   

VOLT XXXVI LLC, Series 2015-NP10, Class A1,
3.63%, 07/25/45 (b),(e),(f),(h)

     21,070,627              20,908,384   

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

     2,361,140              2,341,070   
          

 

 

 

Total United States

             206,673,235   
          

 

 

 

TOTAL ASSET-BACKED SECURITIES
(COST $392,360,763)

             373,572,274   
          

 

 

 

BANK LOANS — 0.1%

          

Luxembourg — 0.0%

          

Aerospace & Defense — 0.0%

          

Silver II US Holdings LLC, 1.00%, 12/13/19 (b),(f),(g)

     135,029              117,475   
          

 

 

 

Total Luxembourg

             117,475   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

120


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Netherlands — 0.0%

          

Exploration & Production — 0.0%

          

Endeavour International Holding BV,
1.00%, 01/02/17 (b),(f),(g)

   $ 1,243,399            $ 130,557   
          

 

 

 

Total Netherlands

             130,557   
          

 

 

 

United Kingdom — 0.0%

          

Transportation & Logistics — 0.0%

          

Ceva Group PLC, 1.00%, 03/19/21 (b),(f),(g)

     48,595              39,929   

Ceva Intercompany BV, 1.00%, 03/19/21 (b),(f),(g)

     50,236              41,277   

Ceva Logistics Canada, 1.00%, 03/19/21 (b),(f),(g)

     8,661              7,117   

Ceva Logistics U.S. Holdings, 1.00%, 03/19/21 (b),(f),(g)

     69,292              56,935   
          

 

 

 

Total United Kingdom

             145,258   
          

 

 

 

United States — 0.1%

          

Advertising & Marketing — 0.0%

          

Affinion Group, Inc., 1.50%, 04/30/18 (b),(f),(g)

     103,633              91,641   
          

 

 

 

Manufactured Goods — 0.0%

          

WireCo WorldGroup, Inc., 1.25%, 02/15/17 (b),(f),(g)

     51,823              50,873   
          

 

 

 

Pharmaceuticals — 0.0%

          

Valeant Pharmaceuticals International, Inc.,
0.75%, 02/13/19 (b),(f),(g)

     72,189              68,183   
          

 

 

 

Pipeline — 0.0%

          

NGPL PipeCo LLC, 1.25%, 09/15/17 (b),(f),(g)

     513,227              493,555   
          

 

 

 

Publishing & Broadcasting — 0.0%

          

LBI Media, Inc., 1.00%, 03/31/18 (b),(f),(g)

     98,280              98,280   
          

 

 

 

Transportation & Logistics — 0.0%

          

OSG Bulk Ships, Inc., 1.00%, 08/05/19 (b),(f),(g)

     257,488              231,739   
          

 

 

 

Wireless Telecommunication Services — 0.1%

          

New Lightsquared LLC, 1.00%, 06/15/20 (b),(f),(g)

     1,632,805              1,439,595   
          

 

 

 

Total United States

             2,473,866   
          

 

 

 

TOTAL BANK LOANS
(COST $3,865,232)

             2,867,156   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

121


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

CONVERTIBLE BOND — 0.3%

          

Spain — 0.3%

          

Wireless Telecommunication Services — 0.3%

          

Telefonica Participacion Co. REG S,
4.90%, 09/25/17 (b)

     12,900,000       EUR      $ 13,184,595   
          

 

 

 

TOTAL CONVERTIBLE BOND
(COST $14,290,320)

             13,184,595   
          

 

 

 

CORPORATE BONDS & NOTES — 5.3%

          

Brazil — 0.4%

          

Integrated Oils — 0.4%

          

Petrobras Global Finance BV,

          

4.88%, 03/17/20

   $ 9,108,000              7,579,678   

6.85%, 06/05/15

     12,151,000              8,350,167   
          

 

 

 

Total Brazil

             15,929,845   
          

 

 

 

Canada — 0.0%

          

Aerospace & Defense — 0.0%

          

Bombardier, Inc., 7.50%, 03/15/25 (b),(e)

     1,850,000              1,424,500   
          

 

 

 

Electrical Equipment Manufacturing — 0.0%

          

NCSG Crane & Heavy Haul Services, Inc., 9.50%, 08/15/19 (b),(e)

     574,000              195,160   
          

 

 

 

Publishing & Broadcasting — 0.0%

          

Postmedia Network, Inc., 12.50%, 07/15/18 (b),(c)

     943,000              103,730   
          

 

 

 

Total Canada

             1,723,390   
          

 

 

 

Ecuador — 0.1%

          

Refining & Marketing — 0.1%

          

EP PetroEcuador via Noble Sovereign Funding I Ltd. REG S,
6.26%, 09/24/19 (f)

     5,442,316              4,721,209   
          

 

 

 

Total Ecuador

             4,721,209   
          

 

 

 

France — 0.4%

          

Oil & Gas Services & Equipment — 0.1%

          

CGG SA,

          

6.50%, 06/01/21 (b)

     7,400,000              2,997,000   

6.88%, 01/15/22 (b)

     2,600,000              1,014,000   
          

 

 

 
             4,011,000   
          

 

 

 

Property & Casualty Insurance — 0.1%

          

Groupama SA REG S, 6.38% (b),(f),(j)

     4,700,000       EUR        4,840,057   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

122


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Publishing & Broadcasting — 0.2%

          

PagesJaunes Finance & Co. SCA REG S, 8.88%, 06/01/18 (b)

     15,506,000       EUR      $ 9,545,552   
          

 

 

 

Total France

             18,396,609   
          

 

 

 

Germany — 0.1%

          

Banks — 0.1%

          

HSH Nordbank AG REG S,

          

MTN, 0.62%, 02/14/17 (b),(f)

     1,680,000       EUR        1,738,187   

MTN, 0.66%, 02/14/17 (b),(f)

     1,117,000       EUR        1,156,641   
          

 

 

 

Total Germany

             2,894,828   
          

 

 

 

Ireland — 0.1%

          

Banks — 0.1%

          

UT2 Funding PLC, 5.32%, 06/30/16 (b)

     4,645,000       EUR        5,318,579   
          

 

 

 

Total Ireland

             5,318,579   
          

 

 

 

Mexico — 0.1%

          

Exploration & Production — 0.1%

          

Petroleos Mexicanos,

          

4.25%, 01/15/25

   $ 2,129,000              1,971,986   

6.88%, 08/04/26

     1,655,000              1,791,538   
          

 

 

 

Total Mexico

             3,763,524   
          

 

 

 

New Zealand — 0.0%

          

Containers & Packaging — 0.0%

          

Beverage Packaging Holdings Luxembourg II SA / Beverage Packaging Holdings II Is, 5.63%, 12/15/16 (b),(d),(e)

     631,000              629,028   
          

 

 

 

Total New Zealand

             629,028   
          

 

 

 

Poland — 0.1%

          

Food & Beverage — 0.1%

          

CEDC Finance Corp. International, Inc., 10.00%, 04/30/18 (b),(f),(k)

     4,153,752              3,239,927   
          

 

 

 

Total Poland

             3,239,927   
          

 

 

 

Sweden — 0.1%

          

Chemicals — 0.1%

          

Perstorp Holding AB,

          

8.75%, 05/15/17 (b),(e)

     847,000              844,882   

11.00%, 08/15/17 (b),(e)

     2,200,000              2,057,000   
          

 

 

 

Total Sweden

             2,901,882   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

123


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

  Principal
Amount
           Value  

United Kingdom — 0.2%

        

Transportation & Logistics — 0.2%

        

Algeco Scotsman Global Finance PLC,

        

8.50%, 10/15/18 (b),(e)

  $ 5,419,000           $ 4,172,630   

9.00%, 10/15/18 (b)

    200,000      EUR        170,230   

10.75%, 10/15/19 (b),(e)

  $ 141,000             41,947   

CEVA Group PLC, 4.00%, 05/01/18 (b),(e)

    6,111,796             5,256,145   
        

 

 

 

Total United Kingdom

           9,640,952   
        

 

 

 

United States — 3.6%

        

Cable & Satellite — 0.1%

        

Cequel Communications Holdings I LLC / Cequel Capital Corp., 6.38%, 09/15/20 (b),(c),(d),(e)

    2,219,000             2,196,810   
        

 

 

 

Casinos & Gaming — 0.3%

        

Caesars Entertainment Operating Co., Inc.,

        

10.00%, 12/15/18 (a),(b),(i)

    3,632,577             1,489,356   

10.75%, 02/01/16 (a),(b),(i)

    7,000             3,325   

Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.50%, 07/01/19 (b),(e)

    5,952,000             5,684,160   

Golden Nugget Escrow, Inc., 8.50%, 12/01/21 (b),(c),(e)

    4,726,000             4,726,000   

International Game Technology PLC,
6.50%, 02/15/25 (b),(d),(e)

    3,319,000             3,285,810   
        

 

 

 
           15,188,651   
        

 

 

 

Commercial Finance — 0.1%

        

NewStar Financial, Inc., 7.25%, 05/01/20 (b)

    2,763,000             2,486,700   
        

 

 

 

Consumer Finance — 0.1%

        

DFC Finance Corp., 10.50%, 06/15/20 (b),(e)

    7,070,000             4,524,800   
        

 

 

 

Consumer Services — 0.0%

        

Constellis Holdings LLC / Constellis Finance Corp., 9.75%, 05/15/20 (b),(e)

    26,000             22,620   
        

 

 

 

Electrical Equipment Manufacturing — 0.0%

        

Dispensing Dynamics International, 12.50%, 01/01/18 (b),(e)

    7,000             6,248   
        

 

 

 

Entertainment Resources — 0.1%

        

Mohegan Tribal Gaming Authority, 9.75%, 09/01/21 (b),(d)

    1,560,000             1,599,000   

Production Resource Group, Inc., 8.88%, 05/01/19 (b),(g)

    2,064,000             1,424,160   
        

 

 

 
           3,023,160   
        

 

 

 

 

See Notes to Consolidated Financial Statements.

 

124


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Financial Services — 0.4%

          

MF Global Holdings Ltd.,

          

1.88%, 02/01/16 (a),(b),(g),(i)

   $ 18,687,000            $ 4,298,010   

3.38%, 08/01/18 (a),(b),(i),(g)

     4,776,000              1,098,480   

6.25%, 08/08/16 (a),(b),(g),(i)

     4,026,000              925,980   

ROC Finance LLC / ROC Finance 1 Corp., 12.13%, 09/01/18 (b),(c),(e)

     9,847,000              10,203,954   
          

 

 

 
             16,526,424   
          

 

 

 

Forest & Paper Products Manufacturing — 0.0%

          

Resolute Forest Products, Inc., 5.88%, 05/15/23 (b)

     726,000              490,050   
          

 

 

 

Hardware — 0.3%

          

Everi Payments, Inc., 10.00%, 01/15/22 (b),(c),(d)

     8,704,000              7,354,880   

Real Alloy Holding, Inc., 10.00%, 01/15/19 (b),(d),(e)

     3,549,000              3,549,000   
          

 

 

 
             10,903,880   
          

 

 

 

Health Care Facilities & Services — 0.5%

          

IASIS Healthcare LLC / IASIS Capital Corp., 8.38%, 05/15/19 (b)

     1,432,000              1,412,310   

inVentiv Health, Inc.,

          

10.00%, 08/15/18 (b),(c)

     6,956,000              6,880,770   

PIK, 10.00%, 08/15/18 (b),(e)

     2,670,596              2,697,302   

Kindred Healthcare, Inc., 8.75%, 01/15/23 (b)

     3,555,000              3,395,025   

Tenet Healthcare Corp., 8.13%, 04/01/22 (b)

     2,265,000              2,323,686   

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

     6,386,000              5,907,050   
          

 

 

 
             22,616,143   
          

 

 

 

Industrial Other — 0.0%

          

Michael Baker International LLC / CDL Acquisition Co., Inc., 8.25%, 10/15/18 (b),(e)

     14,000              12,040   
          

 

 

 

Managed Care — 0.0%

          

Opal Acquisition, Inc., 8.88%, 12/15/21 (b),(e)

     1,497,000              1,044,158   
          

 

 

 

Manufactured Goods — 0.0%

          

Wise Metals Group LLC / Wise Alloys Finance Corp., 8.75%, 12/15/18 (b),(e)

     1,469,000              1,292,720   
          

 

 

 

Medical Equipment & Devices Manufacturing — 0.0%

  

Immucor, Inc., 11.13%, 08/15/19 (b)

     532,000              489,440   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

125


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Metals & Mining — 0.1%

          

AK Steel Corp., 7.625%, 05/15/20 - 10/01/21 (b),(c)

   $ 5,569,000            $ 3,286,640   

Aleris International, Inc.,

          

7.63%, 02/15/18 (b)

     1,502,000              1,532,040   

7.88%, 11/01/20 (b)

     67,000              56,615   

Aleris International, Inc., 9.50%, 04/01/21 (b),(e)

     285,000              290,522   

Allegheny Technologies, Inc., 9.38%, 06/01/19 (b)

     255,000              242,250   
          

 

 

 
             5,408,067   
          

 

 

 

Pharmaceuticals — 0.0%

          

Valeant Pharmaceuticals International, Inc.,

          

6.13%, 04/15/25 (b),(e)

     72,000              55,440   

6.38%, 10/15/20 (b),(e)

     260,000              215,800   

6.75%, 08/15/18 (b),(e)

     441,000              400,207   

7.00%, 10/01/20 (b),(e)

     129,000              108,360   

7.25%, 07/15/22 (b),(e)

     127,000              101,600   

7.50%, 07/15/21 (b),(e)

     141,000              117,470   
          

 

 

 
             998,877   
          

 

 

 

Pipeline — 0.1%

          

Kinder Morgan, Inc., MTN, 8.05%, 10/15/30 (b)

     1,819,000              1,951,969   

NGPL PipeCo LLC,

          

7.12%, 12/15/17 (b),(e)

     1,004,000              970,115   

9.63%, 06/01/19 (b),(e)

     930,000              911,400   
          

 

 

 
             3,833,484   
          

 

 

 

Publishing & Broadcasting — 0.9%

          

American Media, Inc.,

          

7.00%, 07/15/20 (b),(e)

     13,589,139              12,502,008   

11.50%, 12/15/17 (b)

     331,000              340,103   

iHeartCommunications, Inc., 9.00%, 03/01/21 (b)

     425,000              295,906   

LBI Media, Inc.,

          

10.00%, 04/15/19 (b),(e)

     4,102,000              3,917,410   

13.50%, 04/15/20 (b),(e)

     4,064,631              3,780,107   

Lee Enterprises, Inc., 9.50%, 03/15/22 (b),(c),(d),(e)

     5,960,000              5,863,150   

McClatchy Co., 9.00%, 12/15/22 (b)

     4,908,000              4,573,642   

Time, Inc., 5.75%, 04/15/22 (b),(d),(e)

     6,835,000              6,066,062   
          

 

 

 
             37,338,388   
          

 

 

 

Retail—Consumer Discretionary — 0.3%

          

Claire’s Stores, Inc.,

          

6.13%, 03/15/20 (b),(e)

     471,000              294,375   

9.00%, 03/15/19 (b),(e)

     1,505,000              1,072,313   

 

See Notes to Consolidated Financial Statements.

 

126


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

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

   $ 11,055,000            $ 9,562,575   

GameStop Corp., 6.75%, 03/15/21 (b),(d),(e)

     1,884,000              1,822,770   
          

 

 

 
             12,752,033   
          

 

 

 

Software & Services — 0.2%

          

iPayment, Inc., 9.50%, 12/15/19 (b),(c),(e)

     7,769,793              8,100,009   
          

 

 

 

Transportation & Logistics — 0.0%

          

Overseas Shipholding Group, Inc., 8.13%, 03/30/18 (b)

     240,000              237,900   
          

 

 

 

Wireline Telecommunication Services — 0.1%

          

Frontier Communications Corp.,

          

9.00%, 08/15/31 (b),(c),(d)

     2,515,000              2,144,037   

11.00%, 09/15/25 (b),(e)

     1,775,000              1,783,875   

Level 3 Financing, Inc., 5.25%, 03/15/26 (b),(e)

     253,000              254,898   
          

 

 

 
             4,182,810   
          

 

 

 

Total United States

             153,675,412   
          

 

 

 

Venezuela — 0.1%

          

Integrated Oils — 0.1%

          

Petroleos de Venezuela SA REG S, 6.00%, 11/15/26

     14,754,000              4,551,609   
          

 

 

 

Total Venezuela

             4,551,609   
          

 

 

 

TOTAL CORPORATE BONDS & NOTES
(COST $232,806,689)

             227,386,794   
          

 

 

 

MORTGAGE-BACKED SECURITIES — 20.5%

          

Cayman Islands — 0.9%

          

Collateralized Debt Obligation (Commercial) — 0.7%

  

Arbor Realty Collateralized Loan Obligation Ltd.,

          

Series 2014-1A, Class B,
4.94%, 05/15/24 (b),(e),(f),(g)

     250,000              228,875   

Series 2015-FL1A, Class B,
3.69%, 03/15/25 (b),(e),(f),(g)

     639,000              570,308   

Gramercy Real Estate CDO Ltd.,

          

Series 2005-1A, Class D, 1.42%, 07/25/35 (b),(e),(f)

     2,000,000              1,890,000   

Series 2005-1A, Class E, 1.52%, 07/25/35 (b),(e),(f)

     2,440,000              2,273,104   

Series 2006-1A, Class D, 1.18%, 07/25/41 (b),(e),(f)

     1,100,000              1,006,500   

Series 2006-1A, Class E, 1.32%, 07/25/41 (b),(e),(f)

     4,248,000              3,759,480   

Series 2007-1A, Class A1, 0.90%, 08/15/56 (b),(e),(f)

     1,876,222              1,660,456   

 

See Notes to Consolidated Financial Statements.

 

127


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Marathon Real Estate CDO Ltd., Series 2006-1A, Class B,
0.86%, 05/25/46 (b),(e),(f)

   $ 2,040,337            $ 1,946,073   

N-Star Real Estate CDO VI Ltd., Series 2006-6A, Class B,
1.08%, 06/16/41 (b),(e),(f)

     3,718,000              2,714,140   

RAIT Preferred Funding II Ltd., Series 2007-2A, Class A2,
0.88%, 06/25/45 (b),(e),(f)

     2,284,000              1,982,740   

Resource Capital Corp. Ltd., Series 2015-CRE3, Class D,
4.44%, 03/15/32 (b),(e),(f)

     1,500,000              1,372,500   

SRERS Funding Ltd., Series 2011-RS, Class A1B1, 0.69%, 05/09/46 (b),(e),(f)

     10,926,609              10,380,278   
          

 

 

 
             29,784,454   
          

 

 

 

Commercial Mortgage-Backed Securities — 0.2%

          

ACRE Commercial Mortgage Trust, Series 2014-FL2, Class D, 3.84%, 08/15/31 (b),(e),(f)

     2,200,000              2,113,100   

PFP III Ltd.,

          

Series 2014-1, Class D, 4.54%, 06/14/31 (b),(e),(f)

     1,000,000              947,000   

Series 2015-2, Class D, 4.44%, 07/14/34 (b),(e),(f)

     2,250,000              2,089,575   

Series 2015-2, Class E, 5.04%, 07/14/34 (b),(e),(f)

     2,400,000              2,199,840   
          

 

 

 
             7,349,515   
          

 

 

 

Total Cayman Islands

             37,133,969   
          

 

 

 

United States — 19.6%

          

Collateralized Debt Obligation (Commercial) — 0.0%

  

NCT VI Funding Ltd., Series 2013-6A, Class IMM1, 0.68%, 04/25/40 (b),(e),(f)

     305,617              302,561   
          

 

 

 

Collateralized Mortgage Obligation (Residential) — 9.0%

  

       

Banc of America Funding Corp., Series 2007-B, Class A1, 0.64%, 04/20/47 (b),(f)

     2,864,974              2,173,942   

Bellemeade Re Ltd., Series 2015-1A, Class M2,
4.73%, 07/25/25 (b),(e),(f),(g)

     6,214,000              6,085,370   

Chase Mortgage Finance Trust, Series 2007-A2, Class 3A2, 2.82%, 07/25/37 (b),(f)

     253,078              238,374   

CHL Mortgage Pass-Through Trust, Series 2005-HYB3, Class 3A2,
2.67%, 06/20/35 (b),(f)

     2,977,237              2,872,438   

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

     616,118              614,147   

Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A2,
2.74%, 08/25/35 (b),(f)

     3,223,253              3,020,188   

 

See Notes to Consolidated Financial Statements.

 

128


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Connecticut Avenue Securities,

          

Series 2014-C01, Class M2, 4.83%, 01/25/24 (b),(f),(h)

   $ 6,254,577            $ 6,237,690   

Series 2014-C02, Class 2M2, 3.03%, 05/25/24 (b),(f)

     5,577,000              5,036,589   

Series 2014-C02, Class 1M2,
3.03%, 05/25/24 (b),(f),(h)

     18,536,501              16,473,388   

Series 2014-C03, Class 2M2,
3.33%, 07/25/24 (b),(f),(h)

     9,722,522              8,904,858   

Series 2014-C03, Class 1M2,
3.43%, 07/25/24 (b),(f),(h)

     3,375,184              3,094,706   

Series 2014-C04, Class 1M2,
5.33%, 11/25/24 (b),(f),(h)

     3,803,000              3,831,523   

Series 2014-C04, Class 2M2,
5.43%, 11/25/24 (b),(f)

     4,895,492              4,974,309   

Series 2015-C01, Class 1M2,
4.73%, 02/25/25 (b),(f),(h)

     13,999,910              13,999,910   

Series 2015-C01, Class 2M2,
4.98%, 02/25/25 (b),(f),(h)

     13,399,257              13,553,348   

Series 2015-C02, Class 1M2,
4.43%, 05/25/25 (b),(f),(h)

     28,639,250              27,722,794   

Series 2015-C02, Class 2M2,
4.43%, 05/25/25 (b),(f),(h)

     15,534,000              15,072,640   

Series 2015-C03, Class 1M2,
5.43%, 07/25/25 (b),(f),(h)

     4,541,000              4,541,000   

Series 2015-C03, Class 2M2,
5.43%, 07/25/25 (b),(f),(h)

     7,283,000              7,323,785   

Series 2015-C04, Class 2M2,
5.98%, 04/25/28 (b),(f),(h)

     9,664,000              9,746,144   

Series 2015-C04, Class 1M2,
6.13%, 04/25/28 (b),(f),(h)

     7,759,000              7,852,884   

Series 2016-C01, Class 1M2,
7.18%, 08/25/28 (b),(f)

     12,291,000              13,273,051   

Series 2016-C01, Class 2M2,
7.38%, 08/25/28 (b),(f)

     15,363,000              16,618,157   

Series 2016-C02, Class 1M2,
6.44%, 09/25/28 (b),(f)

     24,303,000              24,947,029   

Countrywide Alternative Loan Trust,

          

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

     1,425,398              1,376,222   

Series 2005-J2, Class 1A5, 0.93%, 04/25/35 (b),(f)

     495,710              426,905   

Countrywide Asset-Backed Certificates,

          

Series 2005-15, Class 1AF6, 4.38%, 04/25/36 (b),(f)

     101,816              103,262   

 

See Notes to Consolidated Financial Statements.

 

129


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Series 2006-BC4, Class 2A2,
0.59%, 11/25/36 (b),(f)

   $ 534,311            $ 509,572   

Federal Home Loan Mortgage Corp., Series 2015-SC02, Class M3,
3.70%, 09/25/45 (b),(f)

     866,000              596,328   

Federal National Mortgage Association,
3.50%, 04/01/46 (b),(l)

     30,050,000              31,447,325   

First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 3A1, 2.43%, 11/25/35 (b),(f)

     3,356,144              2,814,798   

Invitation Homes Trust, Series 2015-SFR3, Class D, 3.19%, 08/17/32 (b),(e),(f)

     4,100,000              3,887,620   

JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1,
0.95%, 01/25/36 (b),(f)

     766,852              711,178   

Structured Adjustable Rate Mortgage Loan Trust, Series 2006-4, Class 6A,
3.87%, 05/25/36 (b),(f)

     1,870,495              1,530,626   

Structured Agency Credit Risk,

          

Series 2013-DN2, Class M2,
4.68%, 11/25/23 (b),(f),(h)

     23,777,000              23,489,298   

Series 2014-DN1, Class M3,
4.93%, 02/25/24 (b),(f),(h)

     2,013,142              2,000,459   

Series 2014-DN2, Class M3, 4.03%, 04/25/24 (b),(f)

     3,772,000              3,546,812   

Series 2014-DN4, Class M3, 4.98%, 10/25/24 (b),(f)

     2,423,624              2,384,361   

Series 2014-HQ2, Class M3, 4.18%, 09/25/24 (b),(f)

     1,743,835              1,614,966   

Series 2014-HQ3, Class M3, 5.18%, 10/25/24 (b),(f)

     783,000              787,620   

Series 2015-DN1, Class M3,
4.58%, 01/25/25 (b),(f),(h)

     4,938,785              4,965,948   

Series 2015-DNA1, Class M3,
3.73%, 10/25/27 (b),(f),(h)

     8,641,869              8,177,801   

Series 2015-DNA2, Class M2,
3.03%, 12/25/27 (b),(f),(h)

     5,000,000              4,991,500   

Series 2015-DNA3, Class M3,
5.13%, 04/25/28 (b),(f),(h)

     5,300,088              5,144,795   

Series 2015-HQ1, Class M3, 4.23%, 03/25/25 (b),(f)

     1,503,958              1,433,272   

Series 2015-HQA1, Class M3,
5.13%, 03/25/28 (b),(f)

     4,242,000              4,073,593   

Series 2015-HQA1, Class B,
9.23%, 03/25/28 (b),(f),(g)

     5,400,000              4,422,060   

 

See Notes to Consolidated Financial Statements.

 

130


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Series 2015-HQA2, Class M3,
5.23%, 05/25/28 (b),(f)

   $ 5,130,000            $ 4,941,729   

Series 2016-DNA1, Class M3,
5.98%, 07/25/28 (b),(f)

     35,921,000              36,265,842   

Tricon American Homes Trust, Series 2015-SFR1, Class D,
2.64%, 05/17/32 (b),(e),(f)

     4,297,000              3,981,171   

WaMu Mortgage Pass-Through Certificates Trust,

          

Series 2006-AR12, Class 1A2,
2.45%, 10/25/36 (b),(f)

     2,856,747              2,539,933   

Series 2006-AR17, Class 1A,
1.14%, 12/25/46 (b),(f)

     5,318,873              4,043,408   

Series 2006-AR18, Class 1A1,
1.97%, 01/25/37 (b),(f)

     2,806,096              2,375,922   

Series 2007-HY6, Class 2A3,
2.26%, 06/25/37 (b),(f)

     2,382,200              2,125,637   

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

     495,857              481,477   
          

 

 

 
             385,399,704   
          

 

 

 

Commercial Mortgage-Backed Securities — 9.9%

          

BAMLL Commercial Mortgage Securities Trust,

          

Series 2013-DSNY, Class F,
3.94%, 09/15/26 (b),(e),(f)

     1,000,000              959,800   

Series 2014-ICTS, Class E,
3.39%, 06/15/28 (b),(e),(f)

     3,150,000              2,934,225   

Series 2014-INLD, Class D,
3.93%, 12/15/29 (b),(e),(f)

     1,500,000              1,459,650   

BAMLL Mezzanine Securities Trust, Series 2015-ASMB, Class MZB, 9.36%, 01/09/17 (b),(e),(f),(g)

     19,075,000              18,712,575   

Banc of America Commercial Mortgage Trust,

          

Series 2006-6, Class B, 5.48%, 10/10/45 (b)

     3,935,000              3,812,228   

Series 2007-2, Class AJ, 5.62%, 04/10/49 (f),(h)

     2,406,779              2,191,372   

Banc of America Merrill Lynch,

          

Series 2013-FRR1, Class A1,
0.00%, 12/26/20 (b),(e),(g),(n)

     662,000              474,588   

Series 2013-FRR1, Class A2,
0.01%, 04/26/20 (b),(e),(g)

     935,000              682,924   

Banc of America Merrill Lynch,
Series 2016-ASMZ, Class MZA,
9.65%, 12/15/17 (b),(e),(f),(g)

     34,800,000              34,800,000   

Barclays Commercial Mortgage, Series 2015-RRI, Class F,
4.89%, 05/15/32 (b),(e),(f)

     4,989,000              4,683,174   

 

See Notes to Consolidated Financial Statements.

 

131


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

BBCMS Trust,

          

Series 2014-BXO, Class D,
3.44%, 08/15/27 (b),(e),(f)

   $ 4,320,000            $ 4,090,176   

Series 2014-BXO, Class E,
4.19%, 08/15/27 (b),(e),(f)

     1,000,000              957,300   

Series 2015-RRMZ, Class M1,
6.44%, 05/15/20 (b),(e),(f),(g)

     4,700,000              4,136,000   

Bear Stearns Commercial Mortgage Securities Trust,

          

Series 2005-PW10, Class AJ,
5.60%, 12/11/40 (b),(f),(h)

     11,920,714              11,626,272   

Series 2006-PW14, Class B, 5.33%, 12/11/38 (b),(e)

     879,000              773,520   

Series 2006-PW14 SEQ, Class AJ, 5.27%, 12/11/38 (b)

     1,826,000              1,752,412   

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

     3,818,441              3,666,085   

Series 2007-PW15, Class AM, 5.36%, 02/11/44 (h)

     3,958,091              3,950,175   

Series 2007-PW15, Class AMFX,
5.36%, 02/11/44 (e),(h)

     4,556,930              4,547,816   

Boca Hotel Portfolio Trust, Series 2013-BOCA, Class E, 4.19%, 08/15/26 (b),(e),(f)

     950,000              929,955   

CD Commercial Mortgage Trust,
Series 2007-CD4, Class AJ,
5.40%, 12/11/49 (b),(f)

     3,432,713              2,797,661   

CDGJ Commercial Mortgage Trust,

          

Series 2014-BXCH, Class DPB,
4.29%, 12/15/27 (b),(e),(f)

     5,046,442              4,833,483   

Series 2014-BXCH, Class EPA,
4.69%, 12/15/27 (b),(e),(f)

     2,800,000              2,682,680   

CFCRE Commercial Mortgage Trust,
Series 2016-C3, Class XB,
0.06%, 01/10/48 (f)

     33,288,517              302,926   

CGBAM Commercial Mortgage Trust,
Series 2014-HD, Class E,
3.44%, 02/15/31 (b),(e),(f),(h)

     900,000              845,550   

Citigroup Commercial Mortgage Trust,

          

Series 2006-C5, Class AJ, 5.48%, 10/15/49 (h)

     4,834,790              4,327,137   

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

     1,395,000              880,524   

Series 2015-GC31, Class D, 4.06%, 06/10/48 (b),(f)

     1,850,000              1,251,895   

Series 2015-P1, Class D, 3.23%, 09/15/48 (b),(e)

     1,193,000              811,837   

 

See Notes to Consolidated Financial Statements.

 

132


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Citigroup Mortgage Loan Trust, Inc.,
Series 2015-SHP2, Class E,
4.79%, 07/15/27 (b),(e),(f)

   $ 650,000            $ 599,040   

COBALT CMBS Commercial Mortgage Trust,

          

Series 2006-C1, Class AM SEQ,
5.25%, 08/15/48 (b),(h)

     7,356,480              7,323,376   

Series 2007-C3, Class C, 5.76%, 05/15/46 (b),(f)

     32,000              26,720   

Commercial Mortgage Loan Trust,
Series 2008-LS1, Class AM,
6.10%, 12/10/49 (f),(h)

     1,554,393              1,275,069   

Commercial Mortgage Trust,

          

Series 2006-C7, Class AJ, 5.87%, 06/10/46 (f)

     7,168,485              6,473,859   

Series 2007-C9, Class G, 5.81%, 12/10/49 (b),(e),(f)

     2,400,000              2,307,600   

Series 2014-PAT, Class E,
3.59%, 08/13/27 (b),(e),(f)

     1,800,000              1,726,740   

Series 2014-TWC, Class E,
3.68%, 02/13/32 (b),(e),(f)

     2,300,000              2,182,930   

Series 2015-CR23, Class D, 4.26%, 05/10/48 (b),(f)

     1,745,000              1,244,185   

Series 2015-CR26, Class C, 4.50%, 10/10/48 (b),(f)

     4,525,000              4,036,300   

Credit Suisse Commercial Mortgage Trust,

          

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

     1,897,865              1,911,909   

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

     17,337,024              17,097,773   

Series 2007-C2, Class AJ,
5.59%, 01/15/49 (b),(f),(h)

     12,840,254              12,471,739   

Series 2007-C5, Class AM,
5.87%, 09/15/40 (f),(h)

     718,641              690,255   

Series 2007-C5, Class A1AM,
5.87%, 09/15/40 (f),(h)

     686,943              660,015   

Series 2015-SAND, Class E,
4.29%, 08/15/30 (b),(e),(f)

     2,400,000              2,295,840   

Credit Suisse Mortgage Trust,

          

Series 2006-C4, Class AJ, 5.54%, 09/15/39 (f),(h)

     8,716,796              8,414,323   

Series 2007-C1, Class AMFL,
0.63%, 02/15/40 (b),(f)

     32,000              29,949   

Series 2007-C2, Class C,
5.59%, 01/15/49 (b),(e),(f),(g)

     883,000              813,066   

Series 2015-DEAL, Class D,
3.54%, 04/15/29 (b),(e),(f)

     3,025,000              2,918,520   

 

See Notes to Consolidated Financial Statements.

 

133


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Series 2015-DEAL, Class E,
4.44%, 04/15/29 (b),(e),(f)

   $ 2,900,000            $ 2,710,920   

CSAIL Commercial Mortgage Trust,

          

Series 2015-C2, Class D, 4.21%, 06/15/57 (b),(f)

     1,282,000              927,142   

Series 2015-C3, Class D, 3.36%, 08/15/48 (b),(f)

     732,000              508,154   

FHLMC Multi-Family Structured,

          

Series K011, Class X3, 2.58%, 12/25/43 (b),(f)

     11,453,000              1,151,027   

Series K043, Class X3, 1.64%, 02/25/43 (b),(f)

     6,874,000              653,030   

Great Wolf Trust,

          

Series 2015-WOLF, Class D,
3.94%, 05/15/34 (b),(e),(f)

     3,758,000              3,529,514   

Series 2015-WOLF, Class E,
4.89%, 05/15/34 (b),(e),(f)

     1,889,000              1,752,803   

Series 2015-WOLF, Class F,
5.44%, 05/15/34 (b),(e),(f)

     3,141,000              2,858,310   

GS Mortgage Securities Trust,

          

Series 2005-GG4, Class D, 4.94%, 07/10/39 (b),(f)

     194,512              184,300   

Series 2007-GG10, Class AM,
5.79%, 08/10/45 (f),(h)

     9,068,221              8,768,970   

Series 2015-GC32, Class C,
4.41%, 07/10/48 (b),(f),(h)

     1,205,000              1,099,924   

Hilton Mortgage Trust, Series 2014-ORL, Class F,
4.19%, 07/15/29 (e),(f),(h)

     2,467,268              2,173,663   

Hilton USA Trust,

          

Series 2013-HLF, Class EFL,
4.19%, 11/05/30 (b),(e),(f)

     1,858,764              1,836,088   

Series 2013-HLT, Class DFX,
4.41%, 11/05/30 (b),(e)

     800,000              800,880   

Series 2013-HLT, Class EFX,
5.22%, 11/05/30 (b),(e),(f)

     3,550,000              3,550,000   

Series 2014-ORL, Class E,
3.69%, 07/15/29 (b),(e),(f)

     280,000              255,724   

Hyatt Hotel Portfolio Trust, Series 2014-HYMZ, Class M,
6.66%, 11/15/16 (b),(e),(f),(g)

     3,990,000              3,711,498   

JP Morgan Chase Commercial Mortgage Securities Trust,

          

Series 2005-CB13, Class AJ,
5.48%, 01/12/43 (b),(f)

     4,519,983              4,285,847   

Series 2006-CB14, Class AJ,
5.59%, 12/12/44 (f),(h)

     776,859              738,016   

 

See Notes to Consolidated Financial Statements.

 

134


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

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

   $ 2,169,945            $ 2,168,860   

Series 2007-CB20, Class AJ,
6.08%, 02/12/51 (f),(h)

     8,387,271              8,170,879   

Series 2007-LD11, Class AM,
5.74%, 06/15/49 (b),(f),(h)

     13,707,175              13,672,907   

Series 2014-BXH, Class E,
4.19%, 04/15/27 (b),(e),(f)

     1,630,000              1,575,721   

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

     5,325,000              4,078,418   

Series 2014-CBM, Class E,
4.29%, 10/15/29 (b),(e),(f)

     7,100,000              6,609,390   

Series 2014-FL5, Class D,
3.94%, 07/15/31 (b),(e),(f)

     5,625,000              5,358,375   

Series 2014-INMZ, Class M,
6.66%, 06/15/29 (b),(e),(f),(g)

     8,990,000              8,431,721   

Series 2014-INN, Class E,
4.04%, 06/15/29 (b),(e),(f)

     8,195,000              7,635,281   

Series 2015-CSMO, Class E,
4.39%, 01/15/32 (b),(e),(f)

     6,000,000              5,741,400   

Series 2015-CSMO, Class D,
3.74%, 01/15/32 (b),(e),(f)

     10,400,000              10,103,600   

JPMBB Commercial Mortgage Securities Trust,

          

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

     5,074,000              3,523,386   

Series 2015-C30, Class D,
3.81%, 07/15/48 (b),(f)

     2,259,000              1,532,957   

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

     11,768,000              9,978,087   

JPMCC Commercial Mortgage Securities Trust, Series 2014-FRR1, Class B707,
2.01%, 01/27/47 (b),(e),(g)

     1,816,000              1,484,217   

LB UBS Commercial Mortgage Trust, Series 2008-C1, Class AM,
6.08%, 04/15/41 (f),(h)

     1,619,133              1,609,094   

Lone Star Portfolio Trust, Series 2015-LSP, Class E, 6.04%, 09/15/28 (b),(e),(f)

     7,789,514              7,593,997   

LSTAR Commercial Mortgage Trust,
Series 2015-3, Class D,
3.31%, 04/20/48 (b),(e),(f)

     3,194,000              2,005,832   

Merrill Lynch Mortgage Trust,

          

Series 2006-C2, Class AJ, 5.80%, 08/12/43 (f)

     2,795,757              2,750,466   

Series 2007-C1, Class AM,
5.84%, 06/12/50 (f),(h)

     7,043,396              6,939,154   

 

See Notes to Consolidated Financial Statements.

 

135


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

ML-CFC Commercial Mortgage Trust,

          

Series 2006-4, Class B, 5.30%, 12/12/49 (b),(f)

   $ 3,823,000            $ 3,566,859   

Series 2006-4, Class C,
5.32%, 12/12/49 (b),(f),(g)

     508,000              372,618   

Series 2007-7, Class AM,
5.74%, 06/12/50 (f),(h)

     5,852,398              5,740,032   

Series 2007-8, Class AMA,
5.86%, 08/12/49 (f),(h)

     4,910,938              4,937,948   

Morgan Stanley Bank of America Merrill Lynch Trust,

          

Series 2014-C19, Class D,
3.25%, 12/15/47 (b),(e)

     3,660,000              2,407,914   

Series 2015-C21, Class D,
4.16%, 03/15/48 (b),(e),(f),(h)

     6,557,000              4,955,781   

Series 2015-C23, Class D,
4.14%, 07/15/50 (b),(e),(f)

     2,195,000              1,624,959   

Series 2015-C25, Class D, 3.07%, 10/15/48 (b)

     1,023,000              676,203   

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

     1,466,500              918,322   

Morgan Stanley Capital I Trust,

          

Series 2007-IQ14, Class AM,
5.67%, 04/15/49 (f),(h)

     6,039,747              6,030,083   

Series 2007-IQ14, Class AMFX, 5.67%, 04/15/49 (f),(h)

     2,196,432              2,192,918   

Series 2015-UBS8, Class D,
3.18%, 12/15/48 (b),(e)

     1,523,000              1,084,224   

Wachovia Bank Commercial Mortgage Trust,

          

Series 2005-C22, Class D,
5.54%, 12/15/44 (b),(f),(g)

     107,763              107,730   

Series 2006-C25, Class D,
5.90%, 05/15/43 (b),(f)

     2,564,000              2,530,924   

Series 2006-C27, Class AJ,
5.83%, 07/15/45 (f),(h)

     6,766,191              6,637,633   

Series 2006-C29, Class AJ,
5.37%, 11/15/48 (b),(f)

     5,271,000              5,062,268   

Series 2006-C29, Class B,
5.43%, 11/15/48 (b),(f)

     1,663,000              1,468,429   

Wells Fargo Commercial Mortgage Trust,

          

Series 2015-C27, Class D,
3.77%, 02/15/48 (b),(e)

     5,238,000              3,499,508   

Series 2015-C31, Class D, 3.85%, 11/15/48 (b)

     2,440,000              1,671,644   

Series 2015-LC20, Class D,
4.37%, 04/15/50 (b),(e),(f),(h)

     1,740,000              1,255,236   

 

See Notes to Consolidated Financial Statements.

 

136


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Series 2015-NXS2, Class C,
4.25%, 07/15/58 (b),(f)

   $ 9,532,000            $ 8,419,616   

Series 2015-NXS4, Class E, 3.60%, 12/15/48 (b),(e),(f)

     2,629,000              1,651,801   

Series 2016-C32, Class XA,
1.37%, 01/15/59 (b),(f)

     35,433,623              3,288,240   

Wells Fargo REMIC Trust, Series 2013-FRR1, Class AK16, 0.01%, 12/27/43 (b),(e),(g)

     609,000              386,289   
          

 

 

 
             423,319,879   
          

 

 

 

Interest Only Commercial Mortgage-Backed Securities — 0.7%

  

Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class XA, 1.17%, 04/10/48 (b),(f),(h)

     14,441,012              1,015,203   

Commercial Mortgage Trust,

          

Series 2014-UBS4, Class XA,
1.27%, 08/10/47 (b),(f),(h)

     20,997,973              1,404,764   

Series 2014-UBS5, Class XA,
1.09%, 09/10/47 (b),(f)

     4,088,970              224,076   

Series 2015-CR23, Class XA,
1.01%, 05/10/48 (b),(f)

     12,462,605              729,062   

CSAIL Commercial Mortgage Trust,

          

Series 2015-C1, Class XA,
0.97%, 04/15/50 (b),(f)

     5,513,830              323,110   

Series 2015-C2, Class XA,
0.90%, 06/15/57 (b),(f)

     41,395,425              2,285,027   

Series 2015-C3, Class XA,
0.89%, 08/15/48 (b),(f)

     34,911,067              1,836,322   

GS Mortgage Securities Trust,

          

Series 2014-GC24, Class XA,
0.88%, 09/10/47 (b),(f)

     14,151,424              706,156   

Series 2015-GC32, Class XA, 0.90%, 07/10/48 (b),(f),(h)

     24,353,859              1,337,027   

JPMBB Commercial Mortgage Securities Trust,

          

Series 2014-C22, Class XA,
0.97%, 09/15/47 (b),(f)

     2,794,467              157,887   

Series 2015-C30, Class XA,
0.72%, 07/15/48 (b),(f)

     53,477,357              2,123,051   

Morgan Stanley Bank of America Merrill Lynch Trust,

          

Series 2014-C17, Class XA,
1.27%, 08/15/47 (b),(f)

     25,679,271              1,622,930   

Series 2014-C19, Class XA,
1.16%, 12/15/47 (b),(f)

     12,848,169              786,308   

Series 2015-C22, Class XA,
1.18%, 04/15/48 (b),(f),(h)

     40,161,149              2,787,184   

 

See Notes to Consolidated Financial Statements.

 

137


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Series 2015-C23, Class XA,
0.76%, 07/15/50 (b),(f),(h)

   $ 57,602,733            $ 2,482,678   

Series 2015-C25, Class XA,
1.15%, 10/15/48 (b),(f)

     36,580,496              2,769,144   

Morgan Stanley Capital I Trust,
Series 2015-UBS8, Class XA,
0.99%, 12/15/48 (b),(f)

     14,219,280              962,645   

Wells Fargo Commercial Mortgage Trust,

          

Series 2015-C28, Class XA, 0.78%, 05/15/48 (b),(f),(h)

     26,355,003              1,286,124   

Series 2015-C29, Class XA, 0.77%, 06/15/48 (b),(f),(h)

     124,142,851              6,033,343   

WFRBS Commercial Mortgage Trust, Series 2014-C22, Class XA,
0.95%, 09/15/57 (b),(f)

     1,863,337              98,571   
          

 

 

 
             30,970,612   
          

 

 

 

Total United States

             839,992,756   
          

 

 

 

TOTAL MORTGAGE-BACKED SECURITIES
(COST $899,195,150)

       877,126,725   
          

 

 

 

SOVEREIGN DEBT — 4.7%

          

Argentine Republic Government International Bond,

          

7.82%, 12/31/33 (a),(i)

     16,382,515       EUR        20,692,243   

8.28%, 12/31/33 (a),(i)

   $ 3,249,231              3,793,478   

8.75%, 06/02/17 (a),(i)

     10,368,690              12,260,976   

Bahrain Government International Bond,
7.00%, 01/26/26

     8,887,000              8,808,172   

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

     4,269,685       EUR        5,306,595   

Federal Republic of Brazil, 6.00%, 04/07/26

   $ 5,830,000              5,923,280   

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

     5,333,451       EUR        6,467,237   

Hellenic Republic Government Bond REG S,

          

3.00%, 02/24/23 - 02/24/42 (f),(k)

     27,892,000       EUR        19,470,320   

3.38%, 07/17/17 (e)

     16,231,000       EUR        17,175,370   

4.75%, 04/17/19 (e)

     13,701,000       EUR        13,689,588   

Japan Treasury Discount Bill, 0.00%, 06/20/16 (b),(n)

     3,000,000,000       JPY        26,660,776   

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

     135,050,000       MXN        10,034,737   

Mexico Government International Bond,
4.00%, 10/02/23

   $ 4,154,000              4,351,315   

Pakistan Government International Bond REG S,
6.75%, 12/03/19

     4,184,000              4,372,686   

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

     2,855,000              2,890,687   

 

See Notes to Consolidated Financial Statements.

 

138


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Principal
Amount
            Value  

Republic of Cyprus REG S, 3.88%, 05/06/22

     4,556,000       EUR      $ 5,290,031   

Republic of Indonesia REG S, 4.75%, 01/08/26

   $ 1,187,000              1,245,290   

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

     5,180,000              3,558,660   

Republic of Sri Lanka REG S, 6.85%, 11/03/25

     4,111,000              3,918,724   

Russian Federation REG S, 5.63%, 04/04/42

     10,200,000              10,311,058   

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

     9,611,872       GBP        15,265,092   
          

 

 

 

TOTAL SOVEREIGN DEBT
(COST $192,338,391)

             201,486,315   
          

 

 

 

U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 0.6%

    

United States — 0.6%

          

Inverse Interest Only Collateralized Mortgage Obligations — 0.6%

  

Federal National Mortgage Association,
Series 2015-13, Class ST,
5.17%, 03/25/45 (b),(f)

   $ 18,758,246              3,903,591   

Government National Mortgage Association,

          

Series 2009-106, Class SL, 5.67%, 04/20/36 (b),(f)

     15,013,464              2,606,337   

Series 2011-157, Class LS, 6.20%, 12/20/41 (b),(f)

     9,043,355              2,209,292   

Series 2012-96, Class SA, 5.67%, 08/20/42 (b),(f)

     9,216,855              1,971,485   

Series 2013-188, Class SA, 5.72%, 12/20/43 (b),(f)

     10,728,141              1,706,847   

Series 2015-148, Class SL, 5.25%, 10/20/45 (b),(f)

     24,359,669              5,091,171   

Series 2015-161, Class AS, 5.77%, 11/20/45 (b),(f)

     11,636,650              2,921,963   

Series 2015-162, Class LS, 5.77%, 11/20/45 (b),(f)

     16,832,914              4,174,563   
          

 

 

 

TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES
(COST $24,316,386)

             24,585,249   
          

 

 

 

U.S. TREASURY OBLIGATIONS — 1.7%

          

United States — 1.7%

          

U.S. Treasury Inflation Indexed Notes,

          

0.38%, 07/15/25 (b)

     46,952,530              47,987,551   

0.63%, 01/15/26 (b)

     23,928,480              25,023,950   
          

 

 

 

TOTAL U.S. TREASURY OBLIGATIONS
(COST $70,778,786)

             73,011,501   
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

139


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

EXCHANGE-TRADED FUNDS — 0.7%

          

SPDR Dow Jones International Real Estate ETF (b)

     137,030            $ 5,681,264   

SPDR S&P Regional Banking ETF (d)

     47,373              1,783,120   

Vanguard Global ex-U.S. Real Estate ETF (b)

     165,219              8,840,869   

Vanguard REIT ETF (b)

     160,655              13,462,889   
          

 

 

 

TOTAL EXCHANGE-TRADED FUNDS
(COST $28,137,319)

             29,768,142   
          

 

 

 

RIGHTS — 0.0%

          

United States — 0.0%

          

Vince Holding Corp. (a)

     15,300              2,887   
          

 

 

 

TOTAL RIGHTS
(COST $0)

             2,887   
          

 

 

 

INVESTMENT IN INVESTEE FUNDS — 2.9%

          

Cayman Islands — 0.7%

          

GCM Offshore Equity Partners LP (g)

     1              30,663,258   
          

 

 

 

Total Cayman Islands

             30,663,258   
          

 

 

 

United States — 2.2%

          

GCM Equity Partners LP (g)

     1              93,172,998   
          

 

 

 

Total United States

             93,172,998   
          

 

 

 

TOTAL INVESTMENT IN INVESTEE FUNDS
(COST $123,195,345)

             123,836,256   
          

 

 

 

Security Description

   Contracts             Value  

PURCHASED OPTIONS — 0.3%

          

Exchange-Traded Call Options — 0.1%

          

Apple, Inc. Strike Price 110.00 USD
Expires 04/15/16

     1,347              168,375   

Apple, Inc. Strike Price 110.00 USD
Expires 05/20/16

     2,694              940,206   

CBOE SPX Volatility Index Strike Price 29.00
USD Expires 04/20/16

     545              5,450   

CBOE SPX Volatility Index Strike Price 28.00
USD Expires 05/18/16

     691              31,786   

CBOE SPX Volatility Index Strike Price 40.00
USD Expires 06/15/16

     1,443              43,290   

Comerica, Inc. Strike Price 50.00 USD
Expires 04/15/16

     585              2,925   

DAX Index Strike Price 10,150.00 EUR
Expires 04/15/16

     643              285,351   

 

See Notes to Consolidated Financial Statements.

 

140


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

DAX Index Strike Price 10,500.00 EUR
Expires 04/15/16

     332            $ 21,911   

DAX Index Strike Price 10,600.00 EUR
Expires 06/17/16

     669              496,338   

Euro Stoxx 50 Strike Price 3,000.00 EUR
Expires 04/15/16

     124              68,998   

Euro Stoxx 50 Strike Price 3,100.00 EUR
Expires 04/15/16

     123              15,536   

Euro Stoxx 50 Strike Price 3,100.00 EUR
Expires 05/20/16

     252              87,172   

FTSE 100 Index Strike Price 6,200.00 GBP
Expires 06/17/16

     63              121,701   

iShares 20+ Year Treasury Bond Strike Price 133.00 USD Expires 09/16/16

     266              85,386   

Netflix, Inc. Strike Price 105.00 USD
Expires 04/22/16

     55              32,890   

S&P 500 Index Strike Price 2,050.00 USD
Expires 04/22/16

     136              380,800   

S&P 500 Index Strike Price 2,065.00 USD
Expires 04/08/16

     395              400,530   

S&P 500 Index Strike Price 2,075.00 USD
Expires 07/15/16

     126              611,100   

SPDR S&P 500 ETF Trust Strike Price 215.00 USD
Expires 12/16/16

     254              135,890   

SPDR S&P 500 ETF Trust Strike Price 225.00 USD
Expires 12/16/16

     702              124,254   

Vodafone Group PLC Strike Price 2.30 GBP
Expires 09/16/16

     2,062              222,116   
          

 

 

 
             4,282,005   
          

 

 

 

Exchange-Traded Put Options — 0.1%

          

FTSE 100 Index Strike Price 6,000.00 GBP
Expires 06/17/16

     63              126,225   

iShares Russell 2000 ETF Strike Price 104.00 USD
Expires 06/30/16

     428              83,460   

Marriott International, Inc. Strike Price 70.00 USD
Expires 04/15/16

     355              48,635   

Microsoft Corp. Strike Price 55.00 USD
Expires 01/19/18

     1,447              1,143,130   

S&P 500 Index Strike Price 1,900.00 USD
Expires 04/15/16

     177              14,691   

S&P 500 Index Strike Price 2,000.00 USD
Expires 04/29/16

     111              127,650   

S&P 500 Index Strike Price 2,040.00 USD
Expires 04/15/16

     16              19,760   

 

See Notes to Consolidated Financial Statements.

 

141


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

SPDR S&P 500 ETF Trust Strike Price 139.00 USD
Expires 04/15/16

     305            $ 153   

SPDR S&P 500 ETF Trust Strike Price 147.00 USD
Expires 05/20/16

     483              2,173   

SPDR S&P 500 ETF Trust Strike Price 189.00 USD
Expires 04/15/16

     1,333              10,664   

SPDR S&P 500 ETF Trust Strike Price 202.00 USD
Expires 04/08/16

     2,138              81,244   

SPDR S&P 500 ETF Trust Strike Price 205.00 USD
Expires 04/01/16

     2,138              64,140   

SPDR S&P 500 ETF Trust Strike Price 172.00 USD
Expires 06/17/16

     448              25,536   

SPDR S&P 500 ETF Trust Strike Price 180.00 USD
Expires 05/20/16

     407              15,059   

Telefonica SA Strike Price 9.89 EUR
Expires 03/17/17

     4,664              780,153   

Telefonica SA Strike Price 9.89 EUR
Expires 12/16/16

     660              100,636   
          

 

 

 
             2,643,309   
          

 

 

 

OTC Call Options — 0.0%

          

Bank of America Corp. Strike Price 14.00 USD Expires 05/20/16 Counterparty Deutsche Bank AG

     1,372,000              495,147   

Charles Schwab Corp. Strike Price 28.00 USD Expires 09/16/16 Counterparty Deutsche Bank AG

     497,600              1,216,653   

Charles Schwab Corp. Strike Price 30.00 USD Expires 06/17/16 Counterparty Deutsche Bank AG

     245,900              205,477   

SPDR S&P 500 ETF Trust Strike Price 206.00 USD Expires 04/15/16 Counterparty Morgan Stanley & Co. International plc

     57,600              93,909   
          

 

 

 
             2,011,186   
          

 

 

 

OTC Put Options — 0.1%

          

Allergan PLC Strike Price 260.00 USD Expires 04/15/16 Counterparty Morgan Stanley & Co. International plc

     76,200              367,842   

Financial Select Sector SPDR Strike Price 20.00 USD Expires 08/17/16 Counterparty Morgan Stanley & Co. International plc

     485,100              117,255   

iShares PHLX Semiconductor ETF Strike Price 87.00 USD Expires 01/20/17 Counterparty Morgan Stanley & Co. International plc

     109,600              695,574   

 

See Notes to Consolidated Financial Statements.

 

142


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Contracts             Value  

iShares PHLX Semiconductor ETF Strike Price 87.00 USD Expires 01/20/17 Counterparty Credit Suisse International

     163,400            $ 1,037,015   

KOSPI 200 Index Strike Price 171.29 KRW Expires 01/12/17 Counterparty JPMorgan Chase Bank, N.A.

     19,093,472              16,217   

Liberty Global, Inc. Strike Price 35.00 USD Expires 04/15/16 Counterparty Bank of America, N.A.

     357,600              38,940   

SPDR S&P 500 ETF Trust Strike Price 200.00 USD Expires 05/20/16 Counterparty Morgan Stanley & Co. International plc

     110,300              248,350   

SX5E Index Strike Price 2,399.39 EUR Expires 01/20/17 Counterparty JPMorgan Chase Bank, N.A.

     293              27,830   

SX5E Index Strike Price 2,428.69 EUR Expires 01/20/17 Counterparty Credit Suisse International

     286              28,882   
          

 

 

 
             2,577,905   
          

 

 

 

TOTAL PURCHASED OPTIONS
(PREMIUMS PAID $13,483,254)

             11,514,405   
          

 

 

 

Security Description

   Shares             Value  

SHORT-TERM INVESTMENT — MONEY MARKET FUND — 18.1%

    

State Street Institutional Liquid Reserves Fund, 0.45% (b),(m)

     774,303,004              774,303,004   
          

 

 

 

TOTAL SHORT-TERM INVESTMENT — MONEY MARKET FUND
(COST $774,303,004)

       774,303,004   
          

 

 

 

TOTAL INVESTMENTS IN SECURITIES — 100.0%
(COST $4,316,750,335) (o)

   

          4,282,770,288   
          

 

 

 

TOTAL SECURITIES SOLD SHORT — (25.8)%
(PROCEEDS $1,121,390,883)

             (1,104,445,099
          

 

 

 

Other Assets (p) — 25.8%

             1,105,124,970   
          

 

 

 

Net Assets — 100.0%

           $ 4,283,450,159   
          

 

 

 
     Shares             Value  

SECURITIES SOLD SHORT — (25.8)%

          

COMMON STOCK — (20.9)%

          

Australia — (0.0)%

          

Banking — (0.0)%

          

Westpac Banking Corp. ADR

     100              (2,326
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

143


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Iron & Steel — (0.0)%

          

BHP Billiton Ltd. ADR

     4,800            $ (124,320
          

 

 

 

Total Australia

             (126,646
          

 

 

 

Belgium — (0.0)%

          

Software — (0.0)%

          

Materialise NV ADR

     1,800              (13,680
          

 

 

 

Total Belgium

             (13,680
          

 

 

 

Bermuda — (0.1)%

          

Insurance — (0.1)%

          

Arch Capital Group Ltd.

     15,400              (1,094,940

RenaissanceRe Holdings Ltd.

     17,800              (2,132,974
          

 

 

 
             (3,227,914
          

 

 

 

Transportation & Logistics — (0.0)%

          

Golar LNG Ltd.

     68,700              (1,234,539

Teekay Tankers Ltd. Class A

     2,700              (9,909
          

 

 

 
             (1,244,448
          

 

 

 

Total Bermuda

             (4,472,362
          

 

 

 

Brazil — (0.1)%

          

Aerospace & Defense — (0.0)%

          

Embraer SA ADR

     3,500              (92,260
          

 

 

 

Banking — (0.1)%

          

Banco Bradesco SA ADR

     72,700              (541,615

Banco Santander Brasil SA ADR

     14,500              (67,425

Itau Unibanco Holding SA ADR

     34,700              (298,073
          

 

 

 
             (907,113
          

 

 

 

Chemicals — (0.0)%

          

Braskem SA ADR

     3,900              (50,349
          

 

 

 

Consumer Products — (0.0)%

          

AMBEV SA ADR

     12,800              (66,304
          

 

 

 

Iron & Steel — (0.0)%

          

Cia Siderurgica Nacional SA ADR

     99,000              (195,030

Vale SA ADR

     75,400              (317,434
          

 

 

 
             (512,464
          

 

 

 

Oil, Gas & Coal — (0.0)%

          

Petroleo Brasileiro SA ADR

     44,800              (261,632
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

144


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Passenger Transportation — (0.0)%

          

Gol Linhas Aereas Inteligentes SA ADR

     6,150            $ (46,309
          

 

 

 

Real Estate — (0.0)%

          

Gafisa SA ADR

     1,100              (1,562
          

 

 

 

Telecommunications — (0.0)%

          

Oi SA ADR

     15,719              (5,115

Telefonica Brasil SA ADR

     900              (11,241
          

 

 

 
             (16,356
          

 

 

 

Utilities — (0.0)%

          

Centrais Eletricas Brasileiras SA ADR

     1,300              (2,314

Cia de Saneamento Basico do Estado de Sao Paulo ADR

     900              (5,940

Cia Paranaense de Energia ADR

     3,100              (24,552

CPFL Energia SA ADR

     3,400              (37,026
          

 

 

 
             (69,832
          

 

 

 

Total Brazil

             (2,024,181
          

 

 

 

Canada — (1.2)%

          

Apparel & Textile Products — (0.0)%

          

Gildan Activewear, Inc.

     39,500              (1,205,145
          

 

 

 

Automotive — (0.0)%

          

Westport Innovations, Inc.

     12,100              (31,520
          

 

 

 

Banking — (0.3)%

          

Bank of Montreal

     17,500              (1,062,075

Bank of Nova Scotia

     20,700              (1,011,402

Canadian Imperial Bank of Commerce

     22,700              (1,695,917

Royal Bank of Canada

     53,500              (3,079,460

Royal Bank of Canada

     49,460              (2,849,734

Toronto-Dominion Bank

     102,100              (4,403,573
          

 

 

 
             (14,102,161
          

 

 

 

Biotechnology & Pharmaceuticals — (0.0)%

          

Aeterna Zentaris, Inc.

     14,305              (47,493

Aquinox Pharmaceuticals, Inc. (b)

     4,400              (38,808

Arbutus Biopharma Corp.

     25,300              (104,489

Concordia Healthcare Corp.

     300              (7,680
          

 

 

 
             (198,470
          

 

 

 

Chemicals — (0.0)%

          

BioAmber, Inc.

     500              (2,100

Methanex Corp.

     2,100              (67,452
          

 

 

 
             (69,552
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

145


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Consumer Products — (0.0)%

          

DavidsTea, Inc.

     3,600            $ (43,596
          

 

 

 

Design, Manufacturing & Distribution — (0.0)%

          

Celestica, Inc.

     2,700              (29,646
          

 

 

 

Engineering & Construction Services — (0.0)%

          

Stantec, Inc.

     200              (5,072
          

 

 

 

Hardware — (0.1)%

          

Blackberry Ltd. (b)

     322,285              (2,607,286

Sierra Wireless, Inc.

     5,200              (75,608
          

 

 

 
             (2,682,894
          

 

 

 

Industrial Services — (0.0)%

          

Ritchie Bros Auctioneers, Inc.

     23,000              (622,840
          

 

 

 

Insurance — (0.0)%

          

Manulife Financial Corp.

     13,100              (185,103

Sun Life Financial, Inc.

     14,200              (458,234
          

 

 

 
             (643,337
          

 

 

 

Media — (0.0)%

          

Shaw Communications, Inc. B Shares

     3,500              (67,585
          

 

 

 

Medical Equipment & Devices — (0.0)%

          

Alpha Pro Tech Ltd.

     200              (364

Novadaq Technologies, Inc.

     2,600              (28,834
          

 

 

 
             (29,198
          

 

 

 

Metals & Mining — (0.2)%

          

Agnico Eagle Mines Ltd.

     36,500              (1,319,840

B2GOLD Corp.

     1,200              (1,992

Barrick Gold Corp.

     12,200              (165,676

Endeavour Silver Corp.

     1,800              (4,428

First Majestic Silver Corp.

     26,900              (174,312

Franco-Nevada Corp.

     44,900              (2,755,962

Goldcorp, Inc.

     34,000              (551,820

New Gold, Inc.

     3,200              (11,936

NOVAGOLD Resources, Inc.

     25,300              (127,512

Pan American Silver Corp.

     95,000              (1,032,650

Pretium Resources, Inc.

     1,000              (5,350

Primero Mining Corp.

     7,100              (12,851

Seabridge Gold, Inc.

     23,700              (259,752

Silver Wheaton Corp.

     5,300              (87,874

Teck Resources Ltd.

     33,800              (257,218

 

See Notes to Consolidated Financial Statements.

 

146


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Yamana Gold, Inc.

     24,900            $ (75,696
          

 

 

 
             (6,844,869
          

 

 

 

Oil, Gas & Coal — (0.2)%

          

Baytex Energy Corp.

     17,000              (67,490

Bellatrix Exploration Ltd.

     2,900              (2,929

Canadian Natural Resources Ltd.

     7,000              (189,000

Cenovus Energy, Inc.

     55,800              (725,400

Crescent Point Energy Corp.

     9,600              (132,864

Enbridge, Inc.

     11,900              (463,029

Encana Corp.

     167,900              (1,022,511

Enerplus Corp.

     71,900              (282,567

Imperial Oil Ltd.

     2,900              (96,860

Pembina Pipeline Corp.

     27,700              (747,346

Pengrowth Energy Corp.

     44,300              (58,033

Penn West Petroleum Ltd.

     18,200              (16,924

Precision Drilling Corp.

     64,200              (269,640

Suncor Energy, Inc.

     4,300              (119,583

TransCanada Corp.

     88,700              (3,486,797

Vermilion Energy, Inc.

     2,900              (84,738
          

 

 

 
             (7,765,711
          

 

 

 

Real Estate — (0.1)%

          

Brookfield Asset Management, Inc. Class A

     58,650              (2,040,433
          

 

 

 

Renewable Energy — (0.0)%

          

Ballard Power Systems, Inc.

     31,800              (44,520

Hydrogenics Corp.

     300              (2,454
          

 

 

 
             (46,974
          

 

 

 

Software — (0.0)%

          

Descartes Systems Group, Inc. (The)

     100              (1,951

Open Text Corp.

     16,200              (839,160

Sphere 3D Corp.

     200              (248
          

 

 

 
             (841,359
          

 

 

 

Technology Services — (0.0)%

          

CGI Group, Inc. Class A

     15,400              (735,812
          

 

 

 

Telecommunications — (0.1)%

          

BCE, Inc.

     61,600              (2,805,264

Rogers Communications, Inc. B Shares

     32,800              (1,312,656

TELUS Corp.

     9,800              (318,794
          

 

 

 
             (4,436,714
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

147


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Transportation & Logistics — (0.2)%

          

Canadian National Railway Co.

     97,700            $ (6,102,342

Canadian Pacific Railway Ltd.

     800              (106,152
          

 

 

 
             (6,208,494
          

 

 

 

Utilities — (0.0)%

          

Fortis, Inc. (b)

     16,544              (522,476

Just Energy Group, Inc.

     6,800              (40,460

TransAlta Corp.

     2,200              (10,230
          

 

 

 
             (573,166
          

 

 

 

Total Canada

             (49,224,548
          

 

 

 

Cayman Islands — (0.0)%

          

Biotechnology & Pharmaceuticals — (0.0)%

          

Theravance Biopharma, Inc.

     4,600              (86,480
          

 

 

 

Total Cayman Islands

             (86,480
          

 

 

 

Chile — (0.0)%

          

Banking — (0.0)%

          

Banco de Chile ADR

     100              (6,445
          

 

 

 

Passenger Transportation — (0.0)%

          

Latam Airlines Group SA ADR

     42,800              (299,600
          

 

 

 

Retail—Consumer Staples — (0.0)%

          

Cencosud SA ADR

     300              (2,304
          

 

 

 

Total Chile

             (308,349
          

 

 

 

China — (0.7)%

          

Automotive — (0.0)%

          

Kandi Technologies Group, Inc.

     20,700              (149,040
          

 

 

 

Chemicals — (0.0)%

          

Tantech Holdings Ltd.

     100              (583
          

 

 

 

Gaming, Lodging & Restaurants — (0.0)%

          

500.com Ltd. Class A ADR

     40,100              (669,670
          

 

 

 

Media — (0.2)%

          

58.com, Inc. ADR

     41,600              (2,315,040

Autohome, Inc. ADR

     1,900              (53,086

Renren, Inc. ADR

     1,700              (5,559

SouFun Holdings Ltd. ADR

     465,900              (2,790,741

Weibo Corp. ADR

     9,100              (163,345
          

 

 

 
             (5,327,771
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

148


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Oil, Gas & Coal — (0.0)%

          

CNOOC Ltd. ADR

     1,100            $ (128,766

Yanzhou Coal Mining Co. Ltd. ADR

     400              (2,108
          

 

 

 
             (130,874
          

 

 

 

Renewable Energy — (0.0)%

          

JinkoSolar Holding Co. Ltd. ADR

     21,400              (447,474

ReneSola Ltd. ADR

     7,500              (10,800

Yingli Green Energy Holding ADR

     6,840              (31,259
          

 

 

 
             (489,533
          

 

 

 

Retail—Discretionary — (0.5)%

          

Alibaba Group Holding Ltd. ADR (b)

     239,616              (18,936,852

JD.com, Inc. ADR

     2,300              (60,950

Jumei International Holding Ltd. ADR

     34,300              (223,293

LightInTheBox Holding Co. Ltd. ADR

     1,000              (2,400
          

 

 

 
             (19,223,495
          

 

 

 

Software — (0.0)%

          

iDreamsky Technology Ltd. ADR

     1,500              (20,610

Momo, Inc. ADR

     36,100              (405,764

NQ Mobile, Inc. ADR

     56,300              (257,854
          

 

 

 
             (684,228
          

 

 

 

Technology Services — (0.0)%

          

China Information Technology, Inc.

     100              (147
          

 

 

 

Telecommunications — (0.0)%

          

21Vianet Group, Inc. ADR

     47,100              (940,587
          

 

 

 

Total China

             (27,615,928
          

 

 

 

Colombia — (0.0)%

          

Banking — (0.0)%

          

Bancolombia SA ADR

     36,500              (1,247,570

Grupo Aval Acciones y Valores SA ADR

     4,900              (37,877
          

 

 

 
             (1,285,447
          

 

 

 

Oil, Gas & Coal — (0.0)%

          

Ecopetrol SA ADR

     800              (6,888
          

 

 

 

Passenger Transportation — (0.0)%

          

Avianca Holdings SA ADR

     8,700              (43,239
          

 

 

 

Total Colombia

             (1,335,574
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

149


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Denmark — (0.1)%

          

Biotechnology & Pharmaceuticals — (0.1)%

          

Novo Nordisk A/S ADR

     7,100            $ (384,749

Novo Nordisk A/S B Shares (b)

     36,630              (1,986,864
          

 

 

 

Total Denmark

             (2,371,613
          

 

 

 

Finland — (0.0)%

          

Hardware — (0.0)%

          

Nokia Oyj ADR

     134,200              (793,122
          

 

 

 

Total Finland

             (793,122
          

 

 

 

Germany — (0.1)%

          

Banking — (0.0)%

          

Deutsche Bank AG

     117,300              (1,987,062
          

 

 

 

Biotechnology & Pharmaceuticals — (0.0)%

          

Affimed NV

     4,500              (16,830
          

 

 

 

Hardware — (0.0)%

          

voxeljet AG ADR

     7,300              (44,530
          

 

 

 

Semiconductors — (0.0)%

          

Aixtron SE ADR

     100              (485
          

 

 

 

Software — (0.1)%

          

SAP SE ADR

     33,600              (2,702,112
          

 

 

 

Total Germany

             (4,751,019
          

 

 

 

Greece — (0.0)%

          

Oil, Gas & Coal — (0.0)%

          

Dryships, Inc. (a)

     32              (75
          

 

 

 

Transportation & Logistics — (0.0)%

          

Diana Containerships, Inc.

     200              (116

Diana Shipping, Inc.

     7,100              (18,957

Star Bulk Carriers Corp.

     11,900              (8,925
          

 

 

 
             (27,998
          

 

 

 

Total Greece

             (28,073
          

 

 

 

Hong Kong — ((0.1))%

          

Gaming, Lodging & Restaurants — (0.1)%

          

Melco Crown Entertainment Ltd. ADR

     222,400              (3,671,824
          

 

 

 

Total Hong Kong

             (3,671,824
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

150


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

India — (0.0)%

          

Banking — (0.0)%

          

HDFC Bank Ltd. ADR

     14,700            $ (905,961
          

 

 

 

Biotechnology & Pharmaceuticals — (0.0)%

          

Dr. Reddy’s Laboratories Ltd. ADR

     400              (18,076
          

 

 

 

Media — (0.0)%

          

MakeMyTrip Ltd.

     5,800              (104,922
          

 

 

 

Technology Services — (0.0)%

          

Infosys Ltd. ADR (b)

     26,126              (496,917

Wipro Ltd. ADR

     7,100              (89,318
          

 

 

 
             (586,235
          

 

 

 

Total India

             (1,615,194
          

 

 

 

Indonesia — (0.0)%

          

Telecommunications — (0.0)%

          

PT Telekomunikasi Indonesia Persero Tbk ADR

     3,300              (167,805
          

 

 

 

Total Indonesia

             (167,805
          

 

 

 

Ireland — (0.3)%

          

Biotechnology & Pharmaceuticals — (0.0)%

          

Amarin Corp. PLC ADR

     20,200              (30,906
          

 

 

 

Insurance — (0.1)%

          

XL Group PLC

     148,254              (5,455,747
          

 

 

 

Specialty Finance — (0.2)%

          

AerCap Holdings NV

     192,900              (7,476,804
          

 

 

 

Transportation & Logistics — (0.0)%

          

Ardmore Shipping Corp.

     5,100              (43,095
          

 

 

 

Total Ireland

             (13,006,552
          

 

 

 

Israel — (0.0)%

          

Aerospace & Defense — (0.0)%

          

RADA Electronic Industries Ltd.

     4,100              (1,640
          

 

 

 

Biotechnology & Pharmaceuticals — (0.0)%

          

Alcobra Ltd.

     3,800              (14,402

Neuroderm Ltd.

     3,700              (52,244

Oramed Pharmaceuticals, Inc.

     1,900              (12,654

Vascular Biogenics Ltd.

     1,800              (6,264
          

 

 

 
             (85,564
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

151


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Consumer Products — (0.0)%

          

SodaStream International Ltd. (b)

     19,257            $ (271,139
          

 

 

 

Hardware — (0.0)%

          

SuperCom Ltd.

     200              (796
          

 

 

 

Medical Equipment & Devices — (0.0)%

          

ReWalk Robotics Ltd.

     5,200              (48,880
          

 

 

 

Telecommunications — (0.0)%

          

magicJack VocalTec Ltd.

     400              (2,624
          

 

 

 

Total Israel

             (410,643
          

 

 

 

Italy — (0.0)%

          

Automotive — (0.0)%

          

Ferrari NV

     1,000              (41,700
          

 

 

 

Total Italy

             (41,700
          

 

 

 

Japan — (0.0)%

          

Automotive — (0.0)%

          

Toyota Motor Corp. ADR

     800              (85,056
          

 

 

 

Banking — (0.0)%

          

Sumitomo Mitsui Financial Group, Inc. ADR

     400              (2,404
          

 

 

 

Hardware — (0.0)%

          

Sony Corp. ADR

     38,900              (1,000,508
          

 

 

 

Media — (0.0)%

          

Yahoo Japan Corp. (b)

     81,100              (345,168
          

 

 

 

Telecommunications — (0.0)%

          

Nippon Telegraph & Telephone Corp. ADR

     1,400              (60,536

NTT Docomo, Inc. ADR

     2,500              (56,925
          

 

 

 
             (117,461
          

 

 

 

Total Japan

  

          (1,550,597
          

 

 

 

Jersey — (0.0)%

          

Metals & Mining — (0.0)%

          

Randgold Resources Ltd. ADR

     8,600              (780,966
          

 

 

 

Total Jersey

             (780,966
          

 

 

 

Monaco — (0.0)%

          

Transportation & Logistics — (0.0)%

          

GasLog Ltd.

     76,600              (746,084

Navios Maritime Holdings, Inc.

     24,400              (27,572

 

See Notes to Consolidated Financial Statements.

 

152


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Scorpio Tankers, Inc.

     110,100            $ (641,883
          

 

 

 

Total Monaco

  

          (1,415,539
          

 

 

 

Netherlands — (0.0)%

          

Insurance — (0.0)%

          

Aegon NV

     31              (170
          

 

 

 

Retail—Discretionary — (0.0)%

          

Cnova NV

     3,500              (10,500
          

 

 

 

Semiconductors — (0.0)%

          

ASML Holding NV New York Shares (b)

     2,740              (275,069
          

 

 

 

Telecommunications — (0.0)%

          

VimpelCom Ltd. ADR

     63,400              (270,084
          

 

 

 

Total Netherlands

  

          (555,823
          

 

 

 

Norway — (0.0)%

          

Oil, Gas & Coal — (0.0)%

          

North Atlantic Drilling Ltd.

     900              (2,466

Statoil ASA ADR

     1,100              (17,116
          

 

 

 
          (19,582
          

 

 

 

Transportation & Logistics — (0.0)%

          

Frontline Ltd.

     17,540              (146,810

Golden Ocean Group Ltd.

     15,300              (10,633

Nordic American Offshore Ltd.

     1,200              (5,376
          

 

 

 
          (162,819
          

 

 

 

Total Norway

  

          (182,401
          

 

 

 

Panama — (0.0)%

          

Banking — (0.0)%

          

Banco Latinoamericano de Comercio Exterior SA E Shares

     1,600              (38,752
          

 

 

 

Passenger Transportation — (0.0)%

          

Copa Holdings SA Class A

     18,100              (1,226,275
          

 

 

 

Total Panama

  

          (1,265,027
          

 

 

 

Peru — (0.1)%

  

Metals & Mining — (0.1)%

          

Southern Copper Corp.

     83,300              (2,308,243
          

 

 

 

Total Peru

  

          (2,308,243
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

153


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Puerto Rico — (0.0)%

          

Banking — (0.0)%

          

OFG Bancorp

     700            $ (4,893
          

 

 

 

Total Puerto Rico

  

          (4,893
          

 

 

 

Republic of Korea — (0.0)%

          

Banking — (0.0)%

          

KB Financial Group, Inc. ADR

     100              (2,759
          

 

 

 

Semiconductors — (0.0)%

          

Magnachip Semiconductor Corp.

     600              (3,264
          

 

 

 

Total Republic of Korea

  

          (6,023
          

 

 

 

Singapore — (0.0)%

          

Semiconductors — (0.0)%

          

Broadcom Ltd. (b)

     38              (5,871
          

 

 

 

Total Singapore

  

          (5,871
          

 

 

 

Spain — (0.0)%

          

Banking — (0.0)%

          

Banco Santander SA ADR

     64,248              (280,121
          

 

 

 

Telecommunications — (0.0)%

          

Telefonica SA ADR

     4,201              (46,757
          

 

 

 

Utilities — (0.0)%

          

Abengoa Yield PLC

     21,018              (373,700
          

 

 

 

Total Spain

  

          (700,578
          

 

 

 

Sweden — (0.0)%

          

Automotive — (0.0)%

          

Autoliv, Inc.

     700              (82,936
          

 

 

 

Total Sweden

  

          (82,936
          

 

 

 

Switzerland — (0.1)%

          

Asset Management — (0.0)%

          

UBS Group AG

     12,800              (205,056
          

 

 

 

Construction Materials — (0.0)%

          

LafargeHolcim Ltd.

     15,973              (751,348
          

 

 

 

Institutional Financial Services — (0.0)%

          

Credit Suisse Group AG ADR

     114,283              (1,614,819
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

154


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Retail—Consumer Staples — (0.1)%

          

Galenica AG (b)

     2,670            $ (4,015,205
          

 

 

 

Total Switzerland

  

          (6,586,428
          

 

 

 

Taiwan — (0.0)%

          

Semiconductors — (0.0)%

          

Taiwan Semiconductor Manufacturing Co. Ltd. ADR

     1,100              (28,820
          

 

 

 

Total Taiwan

  

          (28,820
          

 

 

 

United Kingdom — (0.1)%

          

Automotive — (0.0)%

          

Fiat Chrysler Automobiles NV

     27,400              (220,844
          

 

 

 

Banking — (0.0)%

          

Barclays PLC ADR

     1,004              (8,655

Lloyds Banking Group PLC ADR

     900              (3,555

Royal Bank of Scotland Group PLC ADR

     1,400              (8,932
          

 

 

 
          (21,142
          

 

 

 

Insurance — (0.0)%

          

Aviva PLC ADR

     200              (2,612
          

 

 

 

Iron & Steel — (0.0)%

          

Rio Tinto PLC ADR

     400              (11,308
          

 

 

 

Machinery — (0.1)%

          

CNH Industrial NV

     17,900              (121,004

Pentair PLC

     28,400              (1,540,984
          

 

 

 
             (1,661,988
          

 

 

 

Media — (0.0)%

          

WPP PLC ADR

     100              (11,643
          

 

 

 

Oil, Gas & Coal — (0.0)%

          

BP PLC ADR

     34              (1,026

Noble Corp. PLC

     45,700              (472,995
          

 

 

 
             (474,021
          

 

 

 

Semiconductors — (0.0)%

          

ARM Holdings PLC ADR (b)

     24,400              (1,066,036
          

 

 

 

Software — (0.0)%

          

Atlassian Corp. PLC Class A (b)

     5,000              (125,750
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

155


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Utilities — (0.0)%

          

National Grid PLC ADR

     1            $ (71
          

 

 

 

Total United Kingdom

  

          (3,595,415
          

 

 

 

United States — (17.9)%

          

Aerospace & Defense — (0.1)%

          

Boeing Co. (The)

     7,200              (913,968

Harris Corp.

     18              (1,402

Sturm Ruger & Co., Inc.

     4,100              (280,358

Taser International, Inc.

     95,100              (1,866,813

Teledyne Technologies, Inc.

     2,200              (193,908

Woodward, Inc.

     8,500              (442,170
          

 

 

 
             (3,698,619
          

 

 

 

Apparel & Textile Products — (0.4)%

          

Columbia Sportswear Co.

     800              (48,072

Crocs, Inc.

     3,700              (35,594

Deckers Outdoor Corp.

     1,000              (59,910

Iconix Brand Group, Inc.

     44,700              (359,835

Lakeland Industries, Inc.

     2,100              (25,767

Michael Kors Holdings Ltd.

     17,400              (991,104

Sequential Brands Group, Inc.

     1,700              (10,863

Steven Madden Ltd.

     8,300              (307,432

Tumi Holdings, Inc.

     8,100              (217,242

Under Armour, Inc. Class A (b)

     183,670              (15,580,726

VF Corp.

     2,500              (161,900

Wolverine World Wide, Inc.

     300              (5,526
          

 

 

 
             (17,803,971
          

 

 

 

Asset Management — (0.3)%

          

Acacia Research Corp.

     8,600              (32,594

American Capital Ltd.

     2,300              (35,052

Ameriprise Financial, Inc.

     21,403              (2,012,096

Artisan Partners Asset Management, Inc. Class A

     19,400              (598,296

BlackRock, Inc.

     800              (272,456

Eaton Vance Corp. (b)

     22,415              (751,351

Fifth Street Asset Management, Inc.

     1,900              (5,814

Franklin Resources, Inc. (b)

     12,025              (469,576

Full Circle Capital Corp.

     4,400              (11,352

Ladenburg Thalmann Financial Services, Inc.

     100              (250

Medley Capital Corp.

     16,600              (109,560

T Rowe Price Group, Inc.

     90,225              (6,627,928

Waddell & Reed Financial, Inc. Class A (b)

     17,935              (422,190

WisdomTree Investments, Inc.

     48,800              (557,784
          

 

 

 
             (11,906,299
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

156


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Automotive — (0.5)%

          

Cooper Tire & Rubber Co.

     5,300            $ (196,206

Dorman Products, Inc.

     2,400              (130,608

Federal-Mogul Holdings Corp.

     1,809              (17,873

Ford Motor Co.

     52,300              (706,050

Gentherm, Inc.

     5,100              (212,109

Harley-Davidson, Inc. (b)

     5,710              (293,094

Harman International Industries, Inc. (b)

     3,010              (268,011

Metaldyne Performance Group, Inc.

     300              (5,043

Mobileye NV

     66,000              (2,461,140

Tesla Motors, Inc.

     67,500              (15,509,475
          

 

 

 
             (19,799,609
          

 

 

 

Banking — (0.2)%

          

Banc of California, Inc.

     7,500              (131,250

Bank of America Corp.

     485,725              (6,567,002

Bank of Hawaii Corp.

     9,700              (662,316

BOK Financial Corp.

     2,200              (120,164

Commerce Bancshares, Inc.

     2,580              (115,971

Community Bank System, Inc.

     2,400              (91,704

ConnectOne Bancorp, Inc.

     23              (376

CVB Financial Corp.

     300              (5,235

Eagle Bancorp, Inc.

     2,000              (96,000

EverBank Financial Corp.

     6,200              (93,558

First Financial Bankshares, Inc.

     1,900              (56,202

Fulton Financial Corp.

     100              (1,338

Hilltop Holdings, Inc.

     200              (3,776

Home BancShares, Inc.

     1,000              (40,950

JPMorgan Chase & Co.

     3,600              (213,192

Kearny Financial Corp.

     7,100              (87,685

LegacyTexas Financial Group, Inc.

     2,700              (53,055

MB Financial, Inc.

     1,736              (56,333

Northwest Bancshares, Inc.

     3,100              (41,881

PacWest Bancorp

     1              (37

People’s United Financial, Inc.

     56,500              (900,045

Renasant Corp.

     200              (6,582

Sterling Bancorp

     44,108              (702,641

Texas Capital Bancshares, Inc.

     6,400              (245,632

TFS Financial Corp.

     18,552              (322,248

Towne Bank

     40              (768

UMB Financial Corp.

     1,100              (56,793

Valley National Bancorp

     4,700              (44,838

Webster Financial Corp.

     1,000              (35,900
          

 

 

 
             (10,753,472
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

157


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Biotechnology & Pharmaceuticals — (1.5)%

          

Abeona Therapeutics, Inc.

     600            $ (1,536

ACADIA Pharmaceuticals, Inc.

     26,600              (743,736

Acceleron Pharma, Inc.

     200              (5,278

AcelRx Pharmaceuticals, Inc.

     300              (924

Achillion Pharmaceuticals, Inc.

     62,500              (482,500

Actinium Pharmaceuticals, Inc.

     32,800              (65,272

Advaxis, Inc.

     16,600              (149,898

Aegerion Pharmaceuticals, Inc.

     36,400              (134,680

Aerie Pharmaceuticals, Inc.

     16,100              (195,776

Agenus, Inc.

     8,900              (37,024

Aimmune Therapeutics, Inc.

     500              (6,780

Akebia Therapeutics, Inc.

     22,500              (202,725

Alder Biopharmaceuticals, Inc.

     9,000              (220,410

Alimera Sciences, Inc.

     300              (525

Allergan PLC (b)

     8,830              (2,366,705

AMAG Pharmaceuticals, Inc.

     2,800              (65,520

Amicus Therapeutics, Inc.

     32,400              (273,780

Ampio Pharmaceuticals, Inc.

     17,400              (39,150

Anacor Pharmaceuticals, Inc.

     3,400              (181,730

Anavex Life Sciences Corp.

     22,500              (110,250

ANI Pharmaceuticals, Inc.

     800              (26,928

Anthera Pharmaceuticals, Inc.

     16,700              (60,454

Aratana Therapeutics, Inc.

     6,100              (33,672

Arena Pharmaceuticals, Inc.

     31,000              (61,070

ARIAD Pharmaceuticals, Inc.

     3,800              (24,282

Arrowhead Pharmaceuticals, Inc.

     78,300              (377,406

Atara Biotherapeutics, Inc.

     3,000              (57,090

AVEO Pharmaceuticals, Inc.

     5,200              (4,784

Axovant Sciences Ltd.

     400              (4,592

BIND Therapeutics, Inc.

     1,500              (3,300

Biocept, Inc.

     1,000              (1,290

BioCryst Pharmaceuticals, Inc.

     9,800              (27,734

BioDelivery Sciences International, Inc.

     79,800              (257,754

BioTime, Inc.

     200              (574

Bluebird Bio, Inc.

     7,400              (314,500

Blueprint Medicines Corp.

     4,700              (84,835

Brainstorm Cell Therapeutics, Inc.

     3,200              (8,544

Caladrius Biosciences, Inc.

     11,600              (8,700

Calithera Biosciences, Inc.

     1,200              (6,816

Cambrex Corp.

     500              (22,000

Catalyst Pharmaceutical Partners, Inc.

     2,500              (2,925

Celator Pharmaceuticals, Inc.

     5,500              (60,665

Celgene Corp. (b)

     1,500              (150,135

Celldex Therapeutics, Inc.

     39,200              (148,176

Cellular Biomedicine Group, Inc.

     100              (1,865

 

See Notes to Consolidated Financial Statements.

 

158


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Cempra, Inc.

     10,900            $ (190,968

Clovis Oncology, Inc.

     500              (9,600

Coherus Biosciences, Inc.

     1,400              (29,722

Conatus Pharmaceuticals, Inc.

     9,700              (20,758

CorMedix, Inc.

     1,200              (3,180

CTI BioPharma Corp.

     15,800              (8,396

CytRx Corp.

     49,000              (131,320

Dicerna Pharmaceuticals, Inc.

     2,800              (15,008

Discovery Laboratories, Inc.

     28              (46

Dynavax Technologies Corp.

     30              (577

Eagle Pharmaceuticals, Inc.

     25,900              (1,048,950

Egalet Corp.

     100              (686

Enanta Pharmaceuticals, Inc.

     13,600              (399,432

Endo International PLC

     29,700              (836,055

Endocyte, Inc.

     12,100              (37,510

EPIRUS Biopharmaceuticals, Inc.

     700              (1,883

Epizyme, Inc.

     7,900              (95,748

Esperion Therapeutics, Inc.

     8,500              (143,735

FibroGen, Inc.

     500              (10,645

Fortress Biotech, Inc.

     100              (310

Galectin Therapeutics, Inc.

     1,800              (2,574

Galena Biopharma, Inc.

     98,600              (134,096

Geron Corp.

     27,700              (80,884

Global Blood Therapeutics, Inc.

     1,500              (23,790

Heron Therapeutics, Inc.

     36,400              (691,236

Idera Pharmaceuticals, Inc.

     30,900              (61,182

ImmunoGen, Inc. (b)

     8,800              (74,976

Immunomedics, Inc.

     500              (1,250

Incyte Corp. (b)

     83,685              (6,064,652

Infinity Pharmaceuticals, Inc.

     100              (527

Inovio Pharmaceuticals, Inc.

     96,900              (843,999

Insmed, Inc.

     1,100              (13,937

Intercept Pharmaceuticals, Inc.

     1,200              (154,164

Intersect ENT, Inc.

     1,100              (20,900

Intra-Cellular Therapies, Inc.

     7,400              (205,720

Intrexon Corp.

     9,700              (328,733

Johnson & Johnson (b)

     42,810              (4,632,042

Juno Therapeutics, Inc.

     25,800              (982,722

Karyopharm Therapeutics, Inc.

     13,700              (122,204

Keryx Biopharmaceuticals, Inc.

     142,200              (664,074

Kite Pharma, Inc.

     16,600              (762,106

La Jolla Pharmaceutical Co.

     3,100              (64,821

Lexicon Pharmaceuticals, Inc.

     11,085              (132,466

Lion Biotechnologies, Inc.

     1,500              (7,620

Lipocine, Inc.

     900              (9,135

MannKind Corp.

     106,200              (170,982

 

See Notes to Consolidated Financial Statements.

 

159


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Mast Therapeutics, Inc.

     8,900            $ (2,439

Medivation, Inc.

     12,000              (551,760

MEI Pharma, Inc.

     6,300              (7,938

Mylan NV (b)

     122,220              (5,664,897

NanoViricides, Inc.

     400              (876

NantKwest, Inc.

     5,100              (41,922

Natural Health Trends Corp.

     8,700              (288,405

Nektar Therapeutics

     11,700              (160,875

Neuralstem, Inc.

     12,400              (9,300

NewLink Genetics Corp.

     5,100              (92,820

Northwest Biotherapeutics, Inc.

     6,500              (9,490

Novavax, Inc.

     200              (1,032

Ocular Therapeutix, Inc.

     800              (7,728

Ohr Pharmaceutical, Inc.

     13,000              (41,730

Omeros Corp.

     2,900              (44,486

OncoGenex Pharmaceuticals, Inc.

     1,000              (684

OncoMed Pharmaceuticals, Inc.

     200              (2,022

Oncothyreon, Inc.

     11,700              (14,859

Opexa Therapeutics, Inc.

     200              (464

Orexigen Therapeutics, Inc.

     37,398              (21,044

Organovo Holdings, Inc.

     91,700              (198,989

Otonomy, Inc.

     300              (4,476

OXiGENE, Inc.

     9,700              (7,703

Pacira Pharmaceuticals, Inc.

     800              (42,384

Peregrine Pharmaceuticals, Inc.

     4,800              (2,018

Pernix Therapeutics Holdings, Inc.

     50,700              (53,235

Perrigo Co. PLC (b)

     65,080              (8,325,684

Pfizer, Inc. (b)

     444,882              (13,186,302

Pluristem Therapeutics, Inc.

     800              (1,288

Progenics Pharmaceuticals, Inc.

     700              (3,052

Provectus Biopharmaceuticals, Inc. Class A

     1,400              (529

Puma Biotechnology, Inc.

     20,600              (605,022

Raptor Pharmaceutical Corp. (b)

     24,600              (113,160

Regeneron Pharmaceuticals, Inc. (b)

     7,620              (2,746,553

REGENXBIO, Inc.

     200              (2,160

Regulus Therapeutics, Inc.

     1,800              (12,474

Relypsa, Inc.

     9,700              (131,435

Repros Therapeutics, Inc.

     17,400              (16,878

Retrophin, Inc. (b)

     4,800              (65,568

Revance Therapeutics, Inc.

     6,000              (104,760

Rexahn Pharmaceuticals, Inc.

     26,600              (8,781

RXI Pharmaceuticals

     6,700              (1,809

Sage Therapeutics, Inc.

     2,700              (86,562

Sagent Pharmaceuticals, Inc.

     500              (6,085

Sarepta Therapeutics, Inc.

     20,200              (394,304

Seres Therapeutics, Inc. (b)

     3,400              (90,304

 

See Notes to Consolidated Financial Statements.

 

160


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Sorrento Therapeutics, Inc.

     1,900            $ (10,222

StemCells, Inc.

     10,300              (2,684

Sunesis Pharmaceuticals, Inc.

     1,400              (756

Supernus Pharmaceuticals, Inc.

     3,700              (56,425

Synergy Pharmaceuticals, Inc.

     31,800              (87,768

Synta Pharmaceuticals Corp.

     9,000              (2,160

Synthetic Biologics, Inc.

     40,400              (95,344

Teligent, Inc.

     18,200              (89,180

Tenax Therapeutics, Inc.

     1,700              (3,485

TESARO, Inc.

     500              (22,015

TG Therapeutics, Inc.

     11,000              (93,720

TherapeuticsMD, Inc.

     65,300              (417,920

Tonix Pharmaceuticals Holding Corp.

     7,900              (19,039

Trevena, Inc.

     100              (827

Ultragenyx Pharmaceutical, Inc.

     2,600              (164,606

Valeant Pharmaceuticals International, Inc.

     46,800              (1,230,840

Versartis, Inc.

     100              (802

Vertex Pharmaceuticals, Inc. (b)

     20,030              (1,592,185

Vitae Pharmaceuticals, Inc.

     2,500              (16,575

Vital Therapies, Inc.

     3,800              (34,466

VIVUS, Inc.

     57,900              (81,060

Xencor, Inc.

     1,500              (20,130

Zafgen, Inc.

     17,200              (114,896

ZIOPHARM Oncology, Inc.

     105,546              (783,151

Zogenix, Inc.

     7,925              (73,227
          

 

 

 
             (64,459,380
          

 

 

 

Chemicals — (0.1)%

          

Albemarle Corp.

     13,375              (855,064

Amyris, Inc.

     100              (111

Balchem Corp.

     7,200              (446,544

Ferro Corp.

     10,000              (118,700

HB Fuller Co.

     500              (21,225

iBio, Inc.

     10,800              (6,158

International Flavors & Fragrances, Inc.

     3,100              (352,687

Kronos Worldwide, Inc.

     2,100              (12,012

Marrone Bio Innovations, Inc.

     100              (90

Mosaic Co. (The)

     2,300              (62,100

Olin Corp.

     15,600              (270,972

Platform Specialty Products Corp.

     157,500              (1,354,500

PolyOne Corp.

     100              (3,025

Rayonier Advanced Materials, Inc.

     41,300              (392,350

Rentech, Inc.

     4,390              (9,746

Sensient Technologies Corp.

     400              (25,384

Tronox Ltd. Class A

     64,200              (410,238

Valspar Corp. (The)

     1,900              (203,338
          

 

 

 
             (4,544,244
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

161


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Commercial Services — (0.2)%

          

ADT Corp.

     140,000            $ (5,776,400

Advisory Board Co. (The)

     2,500              (80,625

Ascent Capital Group, Inc. Class A

     2,000              (29,620

Barrett Business Services, Inc.

     200              (5,750

CEB, Inc.

     3,300              (213,609

FTI Consulting, Inc.

     600              (21,306

H&R Block, Inc.

     3,400              (89,828

Healthcare Services Group, Inc.

     1,600              (58,896

Huron Consulting Group, Inc.

     100              (5,819

InterCloud Systems, Inc.

     21,940              (20,843

LifeLock, Inc.

     27,600              (333,132

On Assignment, Inc.

     400              (14,768

Rollins, Inc.

     50              (1,356

TriNet Group, Inc.

     5,900              (84,665
          

 

 

 
             (6,736,617
          

 

 

 

Construction Materials — (0.0)%

          

Louisiana-Pacific Corp.

     19,600              (335,552

Martin Marietta Materials, Inc.

     30              (4,785

Trex Co., Inc.

     1,300              (62,309
          

 

 

 
             (402,646
          

 

 

 

Consumer Products — (1.0)%

          

22nd Century Group, Inc.

     1,000              (783

Alliance One International, Inc.

     100              (1,756

Avon Products, Inc.

     293,700              (1,412,697

B&G Foods, Inc.

     2,700              (93,987

Boston Beer Co., Inc. (The) Class A (b)

     2,430              (449,720

Brown-Forman Corp. Class B (b)

     7,250              (713,908

Campbell Soup Co.

     700              (44,653

Coca-Cola Bottling Co. Consolidated

     100              (15,976

Coca-Cola Co. (The)

     50,900              (2,361,251

Coty, Inc. Class A

     51,680              (1,438,254

Dr Pepper Snapple Group, Inc. (b)

     2,300              (205,666

Elizabeth Arden, Inc.

     1,600              (13,104

Flowers Foods, Inc.

     18,400              (339,664

General Mills, Inc.

     88,900              (5,631,815

Hain Celestial Group, Inc. (b)

     5,970              (244,233

Helen of Troy Ltd.

     1,400              (145,166

Hormel Foods Corp.

     149,200              (6,451,408

Inventure Foods, Inc.

     300              (1,695

Kraft Heinz Co. (The)

     174,200              (13,685,152

Lancaster Colony Corp.

     1,700              (187,969

McCormick & Co., Inc.

     22,400              (2,228,352

 

See Notes to Consolidated Financial Statements.

 

162


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

National Beverage Corp.

     100            $ (4,232

Procter & Gamble Co.

     1,000              (82,310

Reynolds American, Inc.

     78,300              (3,939,273

Sanderson Farms, Inc.

     2,300              (207,414

Snyder’s-Lance, Inc.

     2,800              (88,144

Tootsie Roll Industries, Inc.

     2,575              (89,970

TreeHouse Foods, Inc.

     14,800              (1,283,900

Universal Corp.

     900              (51,129

WhiteWave Foods Co. (The)

     13,100              (532,384
          

 

 

 
             (41,945,965
          

 

 

 

Consumer Services — (0.0)%

          

Bright Horizons Family Solutions, Inc.

     100              (6,478

Grand Canyon Education, Inc.

     600              (25,644

ITT Educational Services, Inc.

     3,800              (11,742

Weight Watchers International, Inc.

     89,400              (1,298,982
          

 

 

 
             (1,342,846
          

 

 

 

Containers & Packaging — (0.0)%

          

3M Co.

     100              (16,663

International Paper Co.

     3,900              (160,056

KapStone Paper and Packaging Corp.

     4,800              (66,480

Packaging Corp. of America

     1,600              (96,640

ZAGG, Inc.

     100              (901
          

 

 

 
             (340,740
          

 

 

 

Design, Manufacturing & Distribution — (0.0)%

          

Jabil Circuit, Inc.

     7,900              (152,233

Sanmina Corp. (b)

     13,890              (324,748
          

 

 

 
             (476,981
          

 

 

 

Distributors—Consumer Staples — (0.0)%

          

Calavo Growers, Inc.

     100              (5,706

Core-Mark Holding Co., Inc.

     12,600              (1,027,656

Sysco Corp. (b)

     4,500              (210,285
          

 

 

 
             (1,243,647
          

 

 

 

Distributors—Discretionary — (0.1)%

          

Fastenal Co.

     50,100              (2,454,900

FTD Cos., Inc.

     1,600              (42,000

Ingram Micro, Inc. Class A

     1,200              (43,092

LKQ Corp.

     20,400              (651,372

Pool Corp.

     200              (17,548

Tech Data Corp. (b)

     2,800              (214,956
          

 

 

 
             (3,423,868
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

163


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Electrical Equipment — (0.1)%

          

Allied Motion Technologies, Inc.

     100            $ (1,800

Badger Meter, Inc.

     1,000              (66,510

Capstone Turbine Corp.

     1,585              (2,536

Cognex Corp.

     6,800              (264,860

Energous Corp.

     9,200              (92,920

Energy Focus, Inc.

     5,100              (37,893

General Cable Corp.

     31,500              (384,615

General Electric Co.

     40,400              (1,284,316

Giga-tronics, Inc.

     2,800              (4,088

Keysight Technologies, Inc.

     200              (5,548

Landauer, Inc.

     100              (3,307

Revolution Lighting Technology, Inc.

     860              (4,524

Roper Industries, Inc. (b)

     2,700              (493,479
          

 

 

 
             (2,646,396
          

 

 

 

Engineering & Construction Services — (0.0)%

          

AECOM

     2,080              (64,043

Dycom Industries, Inc.

     1,800              (116,406

Installed Building Products, Inc.

     200              (5,322

KBR, Inc.

     30,600              (473,688

Primoris Services Corp.

     100              (2,430

Willbros Group, Inc.

     1,100              (2,343
          

 

 

 
             (664,232
          

 

 

 

Forest & Paper Products — (0.0)%

          

Neenah Paper, Inc.

     200              (12,732

Schweitzer-Mauduit International, Inc.

     100              (3,148
          

 

 

 
             (15,880
          

 

 

 

Gaming, Lodging & Restaurants — (0.9)%

          

Brinker International, Inc.

     3,800              (174,610

Cheesecake Factory, Inc.

     12,700              (674,243

Chipotle Mexican Grill, Inc.

     32,100              (15,118,137

Fogo De Chao, Inc.

     1,700              (26,537

Jamba, Inc.

     6,700              (82,812

Las Vegas Sands Corp.

     88,900              (4,594,352

Morgans Hotel Group Co.

     900              (1,242

Norwegian Cruise Line Holdings Ltd.

     400              (22,116

Panera Bread Co. Class A

     7,800              (1,597,674

Papa Murphy’s Holdings, Inc.

     400              (4,780

Pinnacle Entertainment, Inc.

     16,200              (568,620

Rave Restaurant Group, Inc.

     500              (2,660

Scientific Games Corp. Class A

     51,800              (488,474

Wynn Resorts Ltd.

     164,100              (15,331,863

 

See Notes to Consolidated Financial Statements.

 

164


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Zoe’s Kitchen, Inc.

     18,700            $ (729,113
          

 

 

 
             (39,417,233
          

 

 

 

Hardware — (0.5)%

          

3D Systems Corp.

     69,000              (1,067,430

ADTRAN, Inc.

     800              (16,176

Aerohive Networks, Inc.

     2,800              (13,972

Apple, Inc.

     85,300              (9,296,847

ARRIS International PLC

     8,300              (190,236

Ciena Corp. (b)

     224,600              (4,271,892

Cisco Systems, Inc. (b)

     7,200              (204,984

Diebold, Inc.

     4,300              (124,313

Digital Ally, Inc.

     9,800              (48,510

ExOne Co.

     8,100              (106,434

Extreme Networks, Inc.

     3,800              (11,818

F5 Networks, Inc. (b)

     3,900              (412,815

FEI Co.

     16,200              (1,441,962

Fitbit, Inc.

     22,900              (346,935

GoPro, Inc. Class A

     175,100              (2,094,196

Identiv, Inc.

     1,700              (3,672

Imax Corp.

     7,900              (245,611

MicroVision, Inc.

     19,700              (36,839

Mitel Networks Corp.

     5,278              (43,174

Neonode, Inc.

     6,100              (12,444

NETGEAR, Inc. (b)

     4,700              (189,739

NetScout Systems, Inc.

     900              (20,673

Nimble Storage, Inc.

     15,500              (121,520

Novatel Wireless, Inc.

     8,200              (14,514

NXT-ID, Inc.

     400              (232

Plantronics, Inc.

     600              (23,514

Quantum Corp.

     1,100              (671

Ruckus Wireless, Inc.

     49,400              (484,614

Silicon Graphics International Corp.

     2,100              (14,952

Turtle Beach Corp.

     6,400              (7,296

Ubiquiti Networks, Inc.

     10,700              (355,989

ViaSat, Inc.

     3,400              (249,832

Violin Memory, Inc.

     8,300              (4,334

Zebra Technologies Corp. Class A

     100              (6,900
          

 

 

 
             (21,485,040
          

 

 

 

Health Care Facilities & Services — (1.2)%

          

AAC Holdings, Inc.

     400              (7,916

Acadia Healthcare Co., Inc.

     8,200              (451,902

Adeptus Health, Inc. Class A

     8,700              (483,198

Aetna, Inc.

     36,549              (4,106,280

Amsurg Corp.

     100              (7,460

 

See Notes to Consolidated Financial Statements.

 

165


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

BioScrip, Inc.

     40,000            $ (85,600

Brookdale Senior Living, Inc.

     44,891              (712,869

Charles River Laboratories International, Inc. (b)

     2,000              (151,880

Chemed Corp.

     200              (27,076

DaVita HealthCare Partners, Inc. (b)

     101,145              (7,422,020

Diplomat Pharmacy, Inc.

     39,700              (1,087,780

ExamWorks Group, Inc.

     8,500              (251,260

Express Scripts Holding Co. (b)

     178,150              (12,237,124

Genesis Healthcare, Inc.

     500              (1,160

HealthEquity, Inc.

     6,500              (160,355

Henry Schein, Inc. (b)

     65,700              (11,341,791

ICON PLC (b)

     6,900              (518,190

Kindred Healthcare, Inc.

     18,649              (230,315

MEDNAX, Inc.

     79,500              (5,137,290

Natera, Inc.

     300              (2,856

NeoGenomics, Inc.

     100              (674

Nobilis Health Corp.

     1,000              (3,120

OvaScience, Inc.

     9,200              (87,308

Owens & Minor, Inc.

     800              (32,336

PAREXEL International Corp. (b)

     4,900              (307,377

PRA Health Sciences, Inc. (b)

     4,800              (205,248

Quest Diagnostics, Inc. (b)

     7,175              (512,654

Quintiles Transnational Holdings, Inc. (b)

     2,300              (149,730

Signal Genetics, Inc.

     100              (51

Surgery Partners, Inc.

     300              (3,978

Teladoc, Inc.

     800              (7,680

Tenet Healthcare Corp.

     80,100              (2,317,293

UnitedHealth Group, Inc. (b)

     16,710              (2,153,919
          

 

 

 
             (50,205,690
          

 

 

 

Home & Office Products — (0.4)%

          

Beazer Homes USA, Inc.

     44,100              (384,552

Century Communities, Inc.

     2,700              (46,089

Green Brick Partners, Inc.

     2,300              (17,457

Hovnanian Enterprises, Inc. Class A

     173,700              (270,972

iRobot Corp.

     4,100              (144,730

KB Home

     59,000              (842,520

LGI Homes, Inc.

     12,500              (302,625

M/I Homes, Inc.

     3,200              (59,680

MDC Holdings, Inc.

     33,600              (842,016

PGT, Inc.

     300              (2,952

PulteGroup, Inc.

     4,500              (84,195

St Joe Co. (The)

     2,600              (44,590

Taylor Morrison Home Corp. Class A

     15,400              (217,448

Tempur Sealy International, Inc.

     67,400              (4,097,246

 

See Notes to Consolidated Financial Statements.

 

166


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

TRI Pointe Homes, Inc.

     156,300            $ (1,841,214

Whirlpool Corp.

     37,100              (6,690,614

William Lyon Homes Class A

     38,700              (560,763
          

 

 

 
             (16,449,663
          

 

 

 

Industrial Services — (0.1)%

          

DXP Enterprises, Inc.

     1,300              (22,828

Kaman Corp.

     800              (34,152

United Rentals, Inc. (b)

     2,290              (142,415

WW Grainger, Inc.

     14,778              (3,449,629
          

 

 

 
             (3,649,024
          

 

 

 

Institutional Financial Services — (0.3)%

          

CBOE Holdings, Inc.

     46,000              (3,005,180

FXCM, Inc. Class A

     1,850              (19,869

Goldman Sachs Group, Inc.

     75,400              (11,836,292

Morgan Stanley

     1,500              (37,515
          

 

 

 
             (14,898,856
          

 

 

 

Insurance — (0.4)%

          

Ambac Financial Group, Inc.

     800              (12,640

American International Group, Inc.

     42,200              (2,280,910

American National Insurance Co.

     100              (11,550

Assurant, Inc.

     600              (46,290

Berkshire Hathaway, Inc. Class B

     24,300              (3,447,684

CNO Financial Group, Inc.

     4,000              (71,680

Endurance Specialty Holdings Ltd.

     25              (1,633

Everest Re Group Ltd.

     13,800              (2,724,534

HCI Group, Inc.

     1,900              (63,270

MBIA, Inc.

     7,700              (68,145

National General Holdings Corp.

     300              (6,477

RLI Corp.

     9,800              (655,228

Torchmark Corp.

     3,649              (197,630

Travelers Cos., Inc.

     51,889              (6,055,965

Willis Towers Watson PLC

     12              (1,424
          

 

 

 
             (15,645,060
          

 

 

 

Iron & Steel — (0.0)%

          

AK Steel Holding Corp.

     225,800              (932,554

AM Castle & Co.

     1,700              (4,590

Cliffs Natural Resources, Inc.

     242,700              (728,100

TimkenSteel Corp.

     3,800              (34,580
          

 

 

 
             (1,699,824
          

 

 

 

 

See Notes to Consolidated Financial Statements.

 

167


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Leisure Products — (0.1)%

          

Arctic Cat, Inc.

     300            $ (5,040

Brunswick Corp.

     38,600              (1,852,028

Mattel, Inc.

     69,500              (2,336,590

Polaris Industries, Inc.

     200              (19,696

Thor Industries, Inc.

     800              (51,016

Winnebago Industries, Inc.

     13,700              (307,565
          

 

 

 
             (4,571,935
          

 

 

 

Machinery — (0.2)%

          

Actuant Corp. Class A

     900              (22,239

Caterpillar, Inc. (b)

     17,242              (1,319,703

CIRCOR International, Inc.

     300              (13,917

Colfax Corp. (b)

     8,143              (232,808

Deere & Co.

     24,900              (1,917,051

Dover Corp.

     27,300              (1,756,209

Graco, Inc.

     5,800              (486,968

IDEX Corp.

     200              (16,576

Kennametal, Inc.

     8,600              (193,414

Middleby Corp.

     4,100              (437,757

Milacron Holdings Corp.

     10,500              (173,145

MSA Safety, Inc.

     100              (4,835

NN, Inc.

     4,600              (62,928

Oshkosh Corp.

     200              (8,174

Parker-Hannifin Corp.

     5,500              (610,940

Power Solutions International, Inc.

     1,600              (22,080

Titan International, Inc.

     200              (1,076
          

 

 

 
             (7,279,820
          

 

 

 

Manufactured Goods — (0.0)%

          

AZZ, Inc.

     500              (28,300

Proto Labs, Inc.

     12,900              (994,461

Timken Co. (The)

     200              (6,698
          

 

 

 
             (1,029,459
          

 

 

 

Media — (0.9)%

          

Angie’s List, Inc.

     50,500              (407,535

Cablevision Systems Corp. Class A

     36,000              (1,188,000

Charter Communications, Inc. Class A (b)

     36,186              (7,325,132

Covisint Corp.

     35              (70

Cumulus Media, Inc. Class A

     25,200              (11,700

DraftDay Fantasy Sports, Inc.

     10,400              (2,496

DreamWorks Animation SKG, Inc. Class A

     17,900              (446,605

EW Scripps Co. Class A

     14,436              (225,057

Expedia, Inc. (b)

     1,000              (107,820

 

See Notes to Consolidated Financial Statements.

 

168


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Groupon, Inc.

     200            $ (798

GrubHub, Inc. (b)

     47,095              (1,183,497

Liberty Broadband Corp. Class C

     1,300              (75,335

LinkedIn Corp.

     2,600              (297,310

Lions Gate Entertainment Corp.

     14,800              (323,380

Live Ventures, Inc.

     5,800              (8,062

Media General, Inc.

     170,500              (2,780,855

MeetMe, Inc.

     500              (1,420

Monster Worldwide, Inc.

     2,500              (8,150

Netflix, Inc. (b)

     5,700              (582,711

New Media Investment Group, Inc.

     600              (9,984

Omnicom Group, Inc.

     2,600              (216,398

Pandora Media, Inc. (b)

     403,800              (3,614,010

Quotient Technology, Inc.

     3,500              (37,100

Rocket Fuel, Inc.

     28,500              (89,775

Scholastic Corp.

     500              (18,685

Sirius XM Holdings, Inc. (b)

     237,709              (938,951

Tribune Media Co.

     2,600              (99,710

TripAdvisor, Inc. (b)

     5,600              (372,400

TrueCar, Inc.

     12,100              (67,639

Twitter, Inc.

     662,100              (10,957,755

Walt Disney Co. (b)

     26,109              (2,592,885

World Wrestling Entertainment, Inc. Class A

     14,500              (256,070

Yelp, Inc. (b)

     113,800              (2,262,344

YOU On Demand Holdings, Inc.

     1,200              (2,172

Zillow Group, Inc. Class A

     65,023              (1,661,338
          

 

 

 
             (38,173,149
          

 

 

 

Medical Equipment & Devices — (1.8)%

          

Abaxis, Inc.

     200              (9,078

Abbott Laboratories (b)

     21,700              (907,711

Accelerate Diagnostics, Inc.

     17,000              (244,290

Accuray, Inc.

     7,600              (43,928

Alere, Inc.

     600              (30,366

Amedica Corp.

     1,100              (1,705

Analogic Corp.

     100              (7,901

Atossa Genetics, Inc.

     2,300              (791

Baxter International, Inc. (b)

     313,720              (12,887,617

Becton Dickinson and Co. (b)

     6,700              (1,017,194

Cepheid

     34,200              (1,140,912

Cerus Corp.

     13,700              (81,241

ConforMIS, Inc.

     3,800              (40,850

Cooper Cos., Inc. (b)

     32,110              (4,943,977

CR Bard, Inc. (b)

     1,195              (242,191

Cynosure, Inc. Class A (b)

     10,500              (463,260

Cytori Therapeutics, Inc.

     27,800              (5,924

 

See Notes to Consolidated Financial Statements.

 

169


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

CytoSorbents Corp.

     500            $ (1,960

Dentsply Sirona, Inc. (b)

     206,255              (12,711,496

DexCom, Inc.

     1,300              (88,283

EndoChoice Holdings, Inc.

     100              (521

EnteroMedics, Inc.

     60              (58

Exact Sciences Corp.

     36,300              (244,662

Fluidigm Corp.

     800              (6,456

Foundation Medicine, Inc.

     21,000              (381,780

Hansen Medical, Inc.

     1,400              (3,654

Illumina, Inc. (b)

     14,680              (2,379,775

ImmunoCellular Therapeutics Ltd.

     2,500              (725

Intuitive Surgical, Inc. (b)

     2,359              (1,417,877

InVivo Therapeutics Holdings Corp.

     2,600              (18,148

IsoRay, Inc.

     19,500              (17,550

LDR Holding Corp.

     2,100              (53,529

Medtronic PLC

     130,103              (9,757,725

MiMedx Group, Inc.

     500              (4,370

Nanosphere, Inc.

     90              (71

Navidea Biopharmaceuticals, Inc.

     500              (472

Neogen Corp.

     200              (10,070

Nevro Corp. (b)

     5,000              (281,300

Novocure Ltd.

     900              (13,032

Pacific Biosciences of California, Inc.

     8,000              (68,000

Penumbra, Inc.

     100              (4,600

Rockwell Medical, Inc.

     32,300              (242,573

Rosetta Genomics Ltd.

     2,900              (3,161

Second Sight Medical Products, Inc.

     28,400              (137,172

Sequenom, Inc.

     1,900              (2,679

Spectranetics Corp.

     10,500              (152,460

Stereotaxis, Inc.

     100              (110

Stryker Corp. (b)

     117,210              (12,575,461

Sunshine Heart, Inc.

     300              (252

Tandem Diabetes Care, Inc.

     200              (1,742

TearLab Corp.

     700              (441

TransEnterix, Inc.

     29,200              (124,100

Trovagene, Inc.

     4,200              (19,530

Unilife Corp.

     9,900              (6,732

Varian Medical Systems, Inc. (b)

     158,649              (12,695,093

West Pharmaceutical Services, Inc.

     1,100              (76,252

Zimmer Holdings, Inc. (b)

     7,475              (797,059
          

 

 

 
             (76,369,867
          

 

 

 

Metals & Mining — (0.1)%

          

Coeur Mining, Inc.

     264              (1,484

Compass Minerals International, Inc.

     16,600              (1,176,276

Gold Resource Corp.

     100              (233

 

See Notes to Consolidated Financial Statements.

 

170


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Hecla Mining Co.

     10,000            $ (27,800

Kaiser Aluminum Corp.

     300              (25,362

Tahoe Resources, Inc.

     62,900              (630,887

Ur-Energy, Inc.

     200              (100

Uranium Energy Corp.

     56,600              (42,337

US Silica Holdings, Inc.

     59,900              (1,360,928
          

 

 

 
             (3,265,407
          

 

 

 

Oil, Gas & Coal — (0.4)%

          

Abraxas Petroleum Corp.

     100              (101

Alon USA Energy, Inc.

     58,200              (600,624

Approach Resources, Inc.

     8,800              (10,208

Basic Energy Services, Inc.

     31,200              (86,112

Bonanza Creek Energy, Inc.

     100              (159

C&J Energy Services Ltd.

     24,200              (34,122

Callon Petroleum Co.

     200              (1,770

CARBO Ceramics, Inc.

     16,800              (238,560

Carrizo Oil & Gas, Inc.

     100              (3,092

Cheniere Energy, Inc.

     73,100              (2,472,973

Clayton Williams Energy, Inc.

     2,600              (23,192

Clean Energy Fuels Corp.

     27,900              (81,747

Cloud Peak Energy, Inc.

     3,800              (7,410

Cobalt International Energy, Inc.

     93,500              (277,695

Comstock Resources, Inc.

     8,400              (6,430

Core Laboratories NV

     3,700              (415,917

Eclipse Resources Corp.

     14,100              (20,304

Enbridge Energy Management LLC

     4,749              (85,245

Energy XXI Ltd.

     87,200              (54,317

EnLink Midstream LLC

     4,700              (52,875

EOG Resources, Inc.

     800              (58,064

Erin Energy Corp.

     700              (1,316

EXCO Resources, Inc.

     127,000              (125,616

Exxon Mobil Corp.

     62,200              (5,199,298

Fairmount Santrol Holdings, Inc.

     24,700              (61,997

Flotek Industries, Inc.

     82,800              (606,924

Gastar Exploration, Inc.

     10,100              (11,110

Geospace Technologies Corp.

     700              (8,638

Gulfmark Offshore, Inc. Class A

     12,500              (77,125

Halcon Resources Corp.

     10,960              (10,534

Harvest Natural Resources, Inc.

     2,500              (1,507

HollyFrontier Corp.

     2,800              (98,896

Jones Energy, Inc.

     15,300              (50,949

Key Energy Services, Inc.

     45,200              (16,697

Kinder Morgan, Inc.

     3,932              (70,225

Kosmos Energy Ltd.

     32,200              (187,404

Laredo Petroleum, Inc.

     1,700              (13,481

 

See Notes to Consolidated Financial Statements.

 

171


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

LinnCo LLC

     14,900            $ (5,327

Matador Resources Co.

     7,600              (144,096

National Oilwell Varco, Inc.

     4,600              (143,060

Northern Oil and Gas, Inc.

     66,700              (266,133

Occidental Petroleum Corp.

     32,600              (2,230,818

ONEOK, Inc.

     35,200              (1,051,072

Pacific Drilling SA

     18,300              (8,967

Par Pacific Holdings, Inc.

     600              (11,256

PetroQuest Energy, Inc.

     1,900              (1,151

Resolute Energy Corp.

     500              (255

Rex Energy Corp.

     19,300              (14,828

Ring Energy, Inc.

     400              (2,020

RPC, Inc.

     11,500              (163,070

Sanchez Energy Corp.

     92,200              (506,178

Seventy Seven Energy, Inc.

     30,300              (17,577

Synergy Resources Corp.

     38,200              (296,814

Targa Resources Corp.

     46,200              (1,379,532

Thermon Group Holdings, Inc.

     1,300              (22,828

Tidewater, Inc.

     31,900              (217,877

Triangle Petroleum Corp.

     40,400              (21,909

W&T Offshore, Inc.

     76,800              (168,192

Warren Resources, Inc.

     1,600              (273

Westmoreland Coal Co.

     33,700              (242,977

WPX Energy, Inc.

     3,300              (23,067
          

 

 

 
             (18,011,911
          

 

 

 

Real Estate — (0.8)%

          

American Homes 4 Rent

     60,300              (958,770

Apple Hospitality REIT, Inc.

     3,300              (65,373

Ashford Hospitality Trust, Inc.

     47,800              (304,964

AvalonBay Communities, Inc.

     9,100              (1,730,820

Bluerock Residential Growth REIT, Inc.

     7,200              (78,336

Boston Properties, Inc.

     3,200              (406,656

Camden Property Trust

     4,600              (386,814

Chatham Lodging Trust

     1,900              (40,717

Columbia Property Trust, Inc.

     19,900              (437,601

Communications Sales & Leasing, Inc.

     7,700              (171,325

Corporate Office Properties Trust

     5,700              (149,568

CyrusOne, Inc.

     30,200              (1,378,630

DCT Industrial Trust, Inc.

     200              (7,894

Douglas Emmett, Inc.

     24,300              (731,673

Duke Realty Corp.

     3,600              (81,144

Education Realty Trust, Inc.

     30,666              (1,275,706

Extra Space Storage, Inc.

     24,087              (2,251,171

Farmland Partners, Inc.

     2,700              (28,971

Global Net Lease, Inc.

     7,500              (64,200

 

See Notes to Consolidated Financial Statements.

 

172


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Government Properties Income Trust

     50,900            $ (908,565

Hannon Armstrong Sustainable Infrastructure Capital, Inc.

     2,400              (46,128

Healthcare Realty Trust, Inc.

     26,600              (821,674

Hersha Hospitality Trust

     8,100              (172,854

Highwoods Properties, Inc.

     29,700              (1,419,957

Host Hotels & Resorts, Inc.

     22,700              (379,090

iStar, Inc.

     4,600              (44,436

Kennedy-Wilson Holdings, Inc.

     2,600              (56,940

LaSalle Hotel Properties

     32,800              (830,168

Medical Properties Trust, Inc.

     35,500              (460,790

Mid-America Apartment Communities, Inc.

     5,100              (521,271

New Senior Investment Group, Inc.

     63,101              (649,940

New York REIT, Inc.

     11,900              (120,190

NorthStar Realty Finance Corp.

     351,550              (4,612,336

Omega Healthcare Investors, Inc.

     40              (1,412

Parkway Properties Inc/Md

     15,200              (238,032

Pennsylvania REIT

     10,400              (227,240

Physicians Realty Trust

     38,700              (719,046

Piedmont Office Realty Trust, Inc. Class A

     15,900              (322,929

Public Storage

     20,188              (5,568,456

RE/MAX Holdings, Inc. Class A

     1,377              (47,231

Realty Income Corp.

     18,800              (1,175,188

Regency Centers Corp.

     15,500              (1,160,175

STAG Industrial, Inc.

     35,300              (718,708

STORE Capital Corp.

     7,000              (181,160

Sunstone Hotel Investors, Inc.

     7,867              (110,138

Tier REIT, Inc.

     100              (1,344

Ventas, Inc.

     100              (6,296

Vereit, Inc. REIT

     304,800              (2,703,576

Welltower, Inc.

     200              (13,868

Weyerhaeuser Co.

     20              (620
          

 

 

 
             (34,790,091
          

 

 

 

Recreation Facilities & Services — (0.0)%

          

Carmike Cinemas, Inc.

     300              (9,012

Live Nation Entertainment, Inc. (b)

     5,510              (122,928

Vail Resorts, Inc.

     200              (26,740
          

 

 

 
             (158,680
          

 

 

 

Renewable Energy — (0.2)%

          

Enphase Energy, Inc.

     14,500              (33,785

FuelCell Energy, Inc.

     12,158              (82,310

Gevo, Inc.

     31,106              (8,398

Green Plains, Inc.

     10,400              (165,984

Pacific Ethanol, Inc.

     7,500              (35,100

 

See Notes to Consolidated Financial Statements.

 

173


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Plug Power, Inc.

     227,500            $ (466,375

Real Goods Solar, Inc. Class A

     100              (72

REX American Resources Corp.

     1,500              (83,205

Silver Spring Networks, Inc.

     5,000              (73,750

SolarCity Corp.

     211,400              (5,196,212

SolarEdge Technologies, Inc.

     2,200              (55,308

Solazyme, Inc.

     8,000              (16,240

SunEdison, Inc.

     679,700              (367,174

Sunrun, Inc.

     1,700              (11,016

Sunworks, Inc.

     3,100              (8,587

TerraForm Global, Inc. Class A

     2,300              (5,474

Vivint Solar, Inc.

     20,800              (55,120
          

 

 

 
             (6,664,110
          

 

 

 

Retail—Consumer Staples — (0.6)%

          

Casey’s General Stores, Inc.

     1,100              (124,652

Dollar General Corp.

     15,600              (1,335,360

Dollar Tree, Inc.

     21,400              (1,764,644

Fairway Group Holdings Corp.

     3,900              (1,366

Five Below, Inc.

     11,600              (479,544

Fresh Market, Inc.

     5,500              (156,915

Natural Grocers by Vitamin Cottage, Inc.

     100              (2,127

PriceSmart, Inc.

     900              (76,122

Target Corp.

     59,900              (4,928,572

Wal-Mart Stores, Inc. (b)

     225,720              (15,459,563

Whole Foods Market, Inc. (b)

     3,030              (94,263
          

 

 

 
             (24,423,128
          

 

 

 

Retail—Discretionary — (1.5)%

          

Abercrombie & Fitch Co. Class A

     105,100              (3,314,854

Advance Auto Parts, Inc.

     64,800              (10,390,032

Aeropostale, Inc.

     3,200              (635

Ascena Retail Group, Inc.

     63,300              (700,098

Barnes & Noble, Inc.

     20,100              (248,436

bebe stores, Inc.

     4,800              (2,639

Bed Bath & Beyond, Inc.

     47,800              (2,372,792

Bon-Ton Stores, Inc.

     9,000              (20,430

Boot Barn Holdings, Inc.

     14,000              (131,600

Buckle, Inc.

     24,700              (836,589

Build-A-Bear Workshop, Inc.

     1,800              (23,382

Burlington Stores, Inc.

     21,400              (1,203,536

Cabela’s, Inc.

     53,100              (2,585,439

CarMax, Inc.

     10,600              (541,660

Cato Corp. Class A

     1,900              (73,245

Chico’s FAS, Inc.

     77,900              (1,033,733

Children’s Place, Inc.

     17,700              (1,477,419

 

See Notes to Consolidated Financial Statements.

 

174


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Coach, Inc.

     164,100            $ (6,578,769

Conn’s, Inc.

     18,700              (233,002

Container Store Group, Inc.

     4,900              (28,763

Dick’s Sporting Goods, Inc.

     1,500              (70,125

DSW, Inc. Class A

     117,600              (3,250,464

eBay, Inc. (b)

     6,000              (143,160

Finish Line, Inc. Class A

     20,000              (422,000

Foot Locker, Inc.

     31,600              (2,038,200

Francesca’s Holdings Corp.

     8,200              (157,112

Freshpet, Inc.

     5,400              (39,582

GameStop Corp. Class A

     400              (12,692

Gap, Inc.

     241,100              (7,088,340

Guess?, Inc.

     95,100              (1,785,027

Hibbett Sports, Inc. (b)

     15,625              (560,938

JC Penney Co., Inc.

     43,900              (485,534

Kohl’s Corp. (b)

     55,805              (2,601,071

Lithia Motors, Inc. Class A

     13,200              (1,152,756

Lumber Liquidators Holdings, Inc.

     19,500              (255,840

Macy’s, Inc.

     30,400              (1,340,336

Monro Muffler Brake, Inc.

     9,300              (664,671

Net Element International, Inc.

     9,900              (3,136

Outerwall, Inc.

     300              (11,097

Overstock.com, Inc.

     200              (2,876

Pacific Sunwear of California, Inc.

     900              (113

Party City Holdco, Inc.

     800              (12,032

Pier 1 Imports, Inc.

     102,200              (716,422

Ross Stores, Inc.

     44,300              (2,564,970

Rush Enterprises, Inc. Class A

     1,000              (18,240

Sears Holdings Corp.

     54,200              (829,802

Select Comfort Corp.

     200              (3,878

Sonic Automotive, Inc. Class A (b)

     6,100              (112,728

Stage Stores, Inc.

     9,900              (79,794

Tailored Brands, Inc.

     62,700              (1,122,330

Tiffany & Co. (b)

     9,890              (725,728

TJX Cos., Inc.

     24,000              (1,880,400

Tractor Supply Co.

     41,900              (3,790,274

Wayfair, Inc. Class A

     11,000              (475,420

Williams-Sonoma, Inc. (b)

     2,715              (148,619

Zumiez, Inc.

     2,600              (51,792
          

 

 

 
             (66,414,552
          

 

 

 

Semiconductors — (0.3)%

          

Advanced Micro Devices, Inc.

     438,400              (1,249,440

Ambarella, Inc.

     62,700              (2,802,690

Analog Devices, Inc. (b)

     11,725              (694,003

Applied Materials, Inc. (b)

     13,410              (284,024

 

See Notes to Consolidated Financial Statements.

 

175


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Applied Optoelectronics, Inc.

     6,600            $ (98,406

Cypress Semiconductor Corp.

     270,935              (2,346,297

IPG Photonics Corp. (b)

     7,555              (725,884

MaxLinear, Inc. Class A

     40              (740

Microchip Technology, Inc.

     46,376              (2,235,323

Microsemi Corp.

     55,400              (2,122,374

Monolithic Power Systems, Inc.

     4,700              (299,108

Pixelworks, Inc.

     10,500              (22,995

Power Integrations, Inc.

     300              (14,898

Qorvo, Inc.

     23              (1,160

QuickLogic Corp.

     5,000              (5,300

Rambus, Inc.

     800              (11,000

Rubicon Technology, Inc.

     900              (657

Synaptics, Inc.

     3,200              (255,168
          

 

 

 
             (13,169,467
          

 

 

 

Software — (0.6)%

          

2U, Inc.

     35,500              (802,300

ACI Worldwide, Inc.

     2,500              (51,975

Adobe Systems, Inc. (b)

     1,300              (121,940

Allscripts Healthcare Solutions, Inc. (b)

     41,400              (546,894

Amber Road, Inc.

     2,400              (12,984

ANSYS, Inc.

     5,300              (474,138

Appfolio, Inc.

     100              (1,224

Aspen Technology, Inc.

     17,400              (628,662

athenahealth, Inc.

     800              (111,024

Autodesk, Inc. (b)

     2,000              (116,620

Avid Technology, Inc.

     2,900              (19,604

Barracuda Networks, Inc.

     5,000              (77,000

Benefitfocus, Inc.

     6,300              (210,105

Black Knight Financial Services, Inc. Class A

     800              (24,824

CA, Inc. (b)

     22,290              (686,309

Callidus Software, Inc.

     5,200              (86,736

Castlight Health, Inc. Class B

     20,100              (66,933

Cerner Corp.

     77,200              (4,088,512

Cornerstone OnDemand, Inc. (b)

     5,900              (193,343

Datawatch Corp.

     800              (3,960

Demandware, Inc.

     22,300              (871,930

Digital Turbine, Inc.

     3,100              (3,689

Envestnet, Inc.

     13,700              (372,640

FireEye, Inc. (b)

     130,200              (2,342,298

FleetMatics Group PLC

     11,500              (468,165

Glu Mobile, Inc.

     95,200              (268,464

Guidance Software, Inc.

     200              (860

Guidewire Software, Inc. (b)

     7,400              (403,152

Hortonworks, Inc.

     3,000              (33,900

 

See Notes to Consolidated Financial Statements.

 

176


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

HubSpot, Inc. (b)

     6,200            $ (270,444

Imperva, Inc.

     10,600              (535,300

inContact, Inc.

     1,000              (8,890

Intuit, Inc. (b)

     1,200              (124,812

LogMeIn, Inc. (b)

     3,400              (171,564

Marketo, Inc. (b)

     5,300              (103,721

MobileIron, Inc.

     2,600              (11,752

NetSuite, Inc. (b)

     1,800              (123,282

New Relic, Inc. (b)

     7,600              (198,208

Opower, Inc.

     7,600              (51,756

Oracle Corp. (b)

     17,585              (719,402

Palo Alto Networks, Inc. (b)

     11,900              (1,941,366

Paycom Software, Inc.

     24,000              (854,400

Paylocity Holding Corp.

     3,800              (124,412

Press Ganey Holdings, Inc.

     1,300              (39,104

Proofpoint, Inc.

     14,600              (785,188

PROS Holdings, Inc. (b)

     41,615              (490,641

Q2 Holdings, Inc.

     2,100              (50,484

Qualys, Inc.

     2,500              (63,275

Rapid7, Inc.

     5,700              (74,499

Rosetta Stone, Inc.

     1,400              (9,394

salesforce.com, Inc.

     6,200              (457,746

ServiceNow, Inc. (b)

     4,900              (299,782

Splunk, Inc. (b)

     24,700              (1,208,571

Tableau Software, Inc. Class A (b)

     2,600              (119,262

Textura Corp.

     2,800              (52,164

TubeMogul, Inc.

     11,300              (146,222

Tyler Technologies, Inc.

     7,500              (964,575

Varonis Systems, Inc.

     400              (7,300

Veeva Systems, Inc. Class A

     21,900              (548,376

VirnetX Holding Corp.

     35,700              (163,863

VMware, Inc. Class A (b)

     581              (30,392

Vringo, Inc.

     4,150              (6,806

Workday, Inc. Class A (b)

     7,870              (604,731
          

 

 

 
             (24,451,869
          

 

 

 

Specialty Finance — (0.5)%

          

Alliance Data Systems Corp.

     45              (9,900

Ally Financial, Inc.

     284,600              (5,327,712

Altisource Portfolio Solutions SA

     17,000              (410,550

American Express Co.

     6,400              (392,960

Apollo Residential Mortgage, Inc.

     23,100              (310,002

Ares Commercial Real Estate Corp.

     1,400              (15,330

Arlington Asset Investment Corp. Class A

     10,800              (135,324

ARMOUR Residential REIT, Inc.

     55,762              (1,200,556

Cardtronics, Inc.

     12,700              (457,073

 

See Notes to Consolidated Financial Statements.

 

177


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

CIT Group, Inc.

     300            $ (9,309

Encore Capital Group, Inc.

     17,500              (450,450

Euronet Worldwide, Inc.

     1,400              (103,754

Everi Holdings, Inc.

     4,100              (9,389

Flagstar Bancorp, Inc.

     900              (19,314

FNFV Group

     33              (358

GATX Corp.

     2,100              (99,750

HomeStreet, Inc.

     300              (6,243

Impac Mortgage Holdings, Inc.

     300              (4,161

Invesco Mortgage Capital, Inc.

     109,867              (1,338,180

Jack Henry & Associates, Inc.

     32,900              (2,782,353

JAVELIN Mortgage Investment Corp.

     4,500              (32,310

JG Wentworth Co. Class A

     2,400              (2,928

LendingClub Corp.

     265,100              (2,200,330

Nationstar Mortgage Holdings, Inc.

     103,400              (1,023,660

New Residential Investment Corp.

     300              (3,489

New York Mortgage Trust, Inc.

     15,700              (74,418

Ocwen Financial Corp.

     194,700              (480,909

Orchid Island Capital, Inc.

     27,500              (285,175

PayPal Holdings, Inc. (b)

     2,600              (100,360

PennyMac Mortgage Investment Trust

     800              (10,912

PHH Corp.

     19,000              (238,260

PRA Group, Inc.

     700              (20,573

RAIT Financial Trust

     56,000              (175,840

Resource Capital Corp. REIT

     20,300              (228,375

Santander Consumer USA Holdings, Inc.

     27,300              (286,377

SLM Corp.

     50,400              (320,544

Stonegate Mortgage Corp.

     1,200              (6,888

Walter Investment Management Corp.

     27,600              (210,864

Western Asset Mortgage Capital Corp.

     56,700              (569,835
          

 

 

 
             (19,354,715
          

 

 

 

Technology Services — (0.5)%

          

Booz Allen Hamilton Holding Corp.

     1,100              (33,308

Bottomline Technologies de, Inc.

     1,000              (30,490

Computer Sciences Corp.

     13,900              (478,021

comScore, Inc.

     1,470              (44,159

CoStar Group, Inc.

     1,800              (338,706

DST Systems, Inc.

     1,100              (124,047

Endurance International Group Holdings, Inc.

     300              (3,159

EPAM Systems, Inc.

     4,600              (343,482

FactSet Research Systems, Inc.

     2,100              (318,213

Fair Isaac Corp.

     19,100              (2,026,319

Gartner, Inc.

     8,600              (768,410

IMS Health Holdings, Inc. (b)

     66,370              (1,762,123

International Business Machines Corp. (b)

     29,700              (4,498,065

 

See Notes to Consolidated Financial Statements.

 

178


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Luxoft Holding, Inc.

     2,100            $ (115,563

MarketAxess Holdings, Inc.

     10,700              (1,335,681

MAXIMUS, Inc.

     21,300              (1,121,232

Medidata Solutions, Inc.

     4,700              (181,937

Morningstar, Inc.

     100              (8,827

Spherix, Inc.

     26              (47

Thomson Reuters Corp.

     53,200              (2,153,536

Unisys Corp.

     400              (3,080

Verisk Analytics, Inc. Class A

     55,000              (4,395,600
          

 

 

 
             (20,084,005
          

 

 

 

Telecommunications — (0.1)%

          

AT&T, Inc.

     80,219              (3,142,178

Global Eagle Entertainment, Inc.

     2,900              (24,708

Globalstar, Inc.

     162,100              (238,287

Gogo, Inc.

     7,100              (78,171

GTT Communications, Inc.

     3,400              (56,236

HC2 Holdings, Inc.

     600              (2,292

Intelsat SA

     1,000              (2,520

Iridium Communications, Inc.

     9,900              (77,913

RingCentral, Inc. Class A (b)

     6,700              (105,525

Sprint Corp.

     204,500              (711,660

Straight Path Communications, Inc.

     11,600              (359,948

Verizon Communications, Inc.

     11,800              (638,144

Voltari Corp.

     4,800              (18,912

WidePoint Corp.

     1,300              (780

Windstream Holdings, Inc.

     42,100              (323,328
          

 

 

 
             (5,780,602
          

 

 

 

Transportation & Logistics — (0.1)%

          

DHT Holdings, Inc.

     25,200              (145,152

Dorian LPG Ltd.

     9,200              (86,480

Eagle Bulk Shipping, Inc.

     1,200              (432

Echo Global Logistics, Inc.

     1,000              (27,160

Forward Air Corp.

     500              (22,660

Knight Transportation, Inc.

     8,900              (232,735

Macquarie Infrastructure Co. LLC

     15,100              (1,018,344

Nordic American Tankers Ltd.

     102,500              (1,444,225

Odyssey Marine Exploration, Inc.

     66              (448

Scorpio Bulkers, Inc.

     7,300              (23,944

Union Pacific Corp.

     1,200              (95,460

XPO Logistics, Inc.

     65,200              (2,001,640
          

 

 

 
             (5,098,680
          

 

 

 

Transportation Equipment — (0.0)%

          

Clean Diesel Technologies, Inc.

     11,800              (8,496

 

See Notes to Consolidated Financial Statements.

 

179


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Cummins, Inc. (b)

     1,665            $ (183,050

Navistar International Corp.

     118,300              (1,481,116

Wabash National Corp.

     100              (1,320
          

 

 

 
             (1,673,982
          

 

 

 

Utilities — (0.8)%

          

Alliant Energy Corp.

     36,100              (2,681,508

Ameren Corp.

     4,200              (210,420

American States Water Co., Inc.

     3,400              (133,824

American Water Works Co., Inc.

     38,400              (2,646,912

Aqua America, Inc.

     28,100              (894,142

Atlantic Power Corp.

     34,900              (85,854

California Water Service Group

     100              (2,672

Calpine Corp.

     100              (1,517

CenterPoint Energy, Inc.

     52,300              (1,094,116

Consolidated Edison, Inc.

     11,100              (850,482

Duke Energy Corp.

     13,600              (1,097,248

Dynegy, Inc.

     112,800              (1,620,936

Genie Energy Ltd. Class B

     2,000              (15,220

Great Plains Energy, Inc.

     86,300              (2,783,175

IDACORP, Inc.

     2,900              (216,311

Laclede Group, Inc.

     16,100              (1,090,775

MGE Energy, Inc.

     200              (10,450

New Jersey Resources Corp.

     1,300              (47,359

NextEra Energy, Inc.

     20,000              (2,366,800

NiSource, Inc.

     7,200              (169,632

NorthWestern Corp.

     21,600              (1,333,800

NRG Energy, Inc.

     98,700              (1,284,087

ONE Gas, Inc.

     3,700              (226,070

Pattern Energy Group, Inc.

     72,500              (1,382,575

PNM Resources, Inc.

     26,900              (907,068

Portland General Electric Co.

     20,900              (825,341

Questar Corp.

     20,500              (508,400

SCANA Corp.

     1,200              (84,180

South Jersey Industries, Inc.

     2,400              (68,280

Southern Co.

     500              (25,865

Southwest Gas Corp.

     5,800              (381,930

TerraForm Power, Inc.

     22,200              (192,030

WEC Energy Group, Inc.

     126,371              (7,591,106

Westar Energy, Inc.

     3,500              (173,635

WGL Holdings, Inc.

     1,000              (72,370

Xcel Energy, Inc.

     4,700              (196,554
          

 

 

 
             (33,272,644
          

 

 

 

Waste & Environmental Services & Equipment — (0.1)%

  

Cantel Medical Corp.

     2,800              (199,808

 

See Notes to Consolidated Financial Statements.

 

180


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Energy Recovery, Inc.

     4,600            $ (47,564

MagneGas Corp.

     9,600              (9,984

Stericycle, Inc. (b)

     36,550              (4,612,245

US Ecology, Inc.

     100              (4,416

Vertex Energy, Inc.

     600              (1,170
             (4,875,187
          

 

 

 

Total United States

             (764,569,062
          

 

 

 

TOTAL COMMON STOCK
(PROCEEDS $912,851,999)

             (895,703,915
          

 

 

 

Security Description

   Principal
Amount
            Value  

CORPORATE BONDS & NOTES — (0.1)%

          

Canada — (0.0)%

          

Aerospace & Defense — (0.0)%

          

Bombardier, Inc. (b),(e)

   $ 452,000              (348,040
          

 

 

 

Total Canada

             (348,040
          

 

 

 

United States — (0.1)%

          

Cable & Satellite — (0.0)%

          

CCO Holdings LLC / CCO Holdings Capital Corp., 5.88%, 04/01/24 (b),(e)

     361,000              (379,953
          

 

 

 

Department Store — (0.0)%

          

Macy’s Retail Holdings, Inc., 6.38%, 03/15/37 (b)

     316,000              (312,811
          

 

 

 

Exploration & Production — (0.0)%

          

Carrizo Oil & Gas, Inc., 7.50%, 09/15/20 (b)

     121,000              (114,042
          

 

 

 

Medical Equipment & Devices Manufacturing — (0.0)%

  

Crimson Merger Sub, Inc., 6.63%, 05/15/22 (b),(e)

     181,000              (137,560
          

 

 

 

Semiconductors — (0.0)%

          

Amkor Technology, Inc., 6.38%, 10/01/22 (b)

     361,000              (345,658
          

 

 

 

Software & Services — (0.1)%

          

Italics Merger Sub, Inc., 7.13%, 07/15/23 (b),(e)

     497,000              (484,575
          

 

 

 

Total United States

             (1,774,599
          

 

 

 

TOTAL CORPORATE BONDS & NOTES
(PROCEEDS $1,960,730)

             (2,122,639
          

 

 

 

Security Description

   Shares             Value  

EXCHANGE-TRADED FUNDS — (4.8)%

          

Consumer Discretionary Select Sector SPDR Fund

     346,334              (27,377,703

Consumer Staples Select Sector SPDR Fund

     264,246              (14,018,250

Financial Select Sector SPDR Fund

     369,817              (8,324,581

 

See Notes to Consolidated Financial Statements.

 

181


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Security Description

   Shares             Value  

Health Care Select Sector SPDR Fund (b)

     296,609            $ (20,104,158

iShares iBoxx $ Investment Grade Corporate Bond ETF

     18,294              (2,173,693

iShares Nasdaq Biotechnology ETF (b)

     162,329              (42,337,027

iShares Russell 1000 Growth ETF (b)

     57,526              (5,739,944

iShares Russell 2000 ETF (b)

     107,665              (11,909,902

iShares U.S. Healthcare ETF (b)

     35,600              (5,003,580

iShares U.S. Healthcare Providers ETF (b)

     26,505              (3,233,080

iShares US Real Estate ETF

     226,069              (17,601,732

SPDR S&P 500 ETF Trust (b)

     103,182              (21,210,092

SPDR S&P Biotech ETF (b)

     109,390              (5,651,087

SPDR S&P Regional Banking ETF

     250,043              (9,411,619

Vanguard FTSE Developed Markets ETF

     349,194              (12,522,097
          

 

 

 

TOTAL EXCHANGE-TRADED FUNDS
(PROCEEDS $206,578,154)

   

          (206,618,545
          

 

 

 

TOTAL SECURITIES SOLD SHORT — (25.8)%
(PROCEEDS $1,121,390,883)

   

        $ (1,104,445,099
          

 

 

 

Footnote Legend:

  (a) Non-income producing.
  (b) Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund.
  (c) All or a portion of this security is pledged as collateral for derivative financial instruments.
  (d) All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. In addition, “Other Assets” may include pending sales that are also on loan.
  (e) Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration.
  (f) Variable/floating interest rate security. Rate presented is as of March 31, 2016.
  (g) Security considered illiquid.
  (h) All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements.
  (i) Security is currently in default due to bankruptcy or failure to make payment of principal or interest.
  (j) Security is perpetual in nature and has no stated maturity.
  (k) Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of March 31, 2016. Maturity date presented is the ultimate maturity.
  (l) When issued or delayed delivery security.
  (m) Rate disclosed, the 7 day net yield, is as of March 31, 2016.
  (n) Non-interest bearing bond.
  (o) The cost of investments for federal tax purposes amounts to $4,363,296,624.
  (p) Assets, other than investments in securities, less liabilities other than securities sold short.

 

See Notes to Consolidated Financial Statements.

 

182


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Options Written Contracts Outstanding at March 31, 2016

 

   

Strike

   

Expiration
Date

 

Contracts

   

Premium
Received

   

Market
Value

   

Unrealized
Appreciation
(Depreciation)

 

Exchange-Traded Call Options Written

       

Apple, Inc.

    115.00 USD      05/20/16     2,694      $ (314,140   $ (441,816   $ (127,676

Imperial Brands PLC

    39.00 GBP      05/20/16     37        (42,522     (62,175     (19,653

Netflix, Inc.

    120.00 USD      04/22/16     55        (10,118     (8,800     1,318   
                             
        $ (366,780   $ (512,791   $     (146,011
                             

Exchange-Traded Put Options Written

       

Apple, Inc.

    100.00 USD      05/20/16     1,347      $ (262,884   $ (184,539   $ 78,345   

Comerica, Inc.

    40.00 USD      04/15/16     229        (27,699     (62,975     (35,276

DAX Index

    9,100.00 EUR      04/15/16     643        (391,986     (54,143     337,843   

DAX Index

    8,900.00 EUR      06/17/16     669        (496,425     (430,109     66,316   

Imperial Brands PLC

    36.00 GBP      05/20/16     37        (45,713     (21,257     24,456   

iShares Russell 2000 ETF

    92.00 USD      06/30/16     428        (23,094     (22,684     410   

Netflix, Inc.

    80.00 USD      04/22/16     55        (6,488     (5,225     1,263   

S&P 500 Index

    1,675.00 USD      04/15/16     93        (203,387     (1,395     201,992   

Vodafone Group PLC

    1.90 GBP      09/16/16     2,062        (242,671     (140,673     101,998   
                             
        $     (1,700,347   $     (923,000   $ 777,347   
                             

 

   

Counterparty

 

Strike

   

Expiration
Date

   

Contracts

   

Premium
Received

   

Market
Value

   

Unrealized
Appreciation
(Depreciation)

 

OTC Put Options Written

  

Financial Select Sector SPDR

  Morgan Stanley & Co. International plc     16.75 USD        08/17/16        485,100      $ (101,673   $ (10,254   $ 91,419   

SPDR S&P 500 ETF Trust

  Morgan Stanley & Co. International plc     190.00 USD        05/20/16        220,600        (176,480     (189,908     (13,428
                               
          $ (278,153   $ (200,162   $ 77,991   
                               

Total Options Written Outstanding

  

  $     (2,345,280   $     (1,635,953   $     709,327   
                               

 

See Notes to Consolidated Financial Statements.

 

183


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reverse Repurchase Agreements Outstanding at March 31, 2016

 

Counterparty

  Interest
Rate
  Trade
Date
  Maturity
Date
    Face
Value
    Face Value
Including
Accrued
Interest
 

BNP Paribas Securities Corp.

  1.89%   03/04/16     04/04/16      $ 4,134,000      $ 4,140,063   

BNP Paribas Securities Corp.

  2.23%   03/09/16     04/11/16        3,829,000        3,834,467   

BNP Paribas Securities Corp.

  2.24%   03/04/16     04/04/16        960,000        961,669   

Credit Suisse Securities (USA) LLC

  2.12%   02/04/16     05/04/16        927,000        930,110   

Credit Suisse Securities (USA) LLC

  2.37%   02/16/16     05/12/16        4,824,000        4,838,280   

Credit Suisse Securities (USA) LLC

  2.37%   02/16/16     05/12/16        11,478,000        11,511,978   

Credit Suisse Securities (USA) LLC

  2.37%   02/16/16     05/12/16        5,112,000        5,127,133   

Credit Suisse Securities (USA) LLC

  2.39%   03/31/16     05/27/16        1,119,000        1,119,074   

Credit Suisse Securities (USA) LLC

  2.47%   02/04/16     04/20/16        1,888,000        1,895,381   

Credit Suisse Securities (USA) LLC

  2.47%   01/22/16     04/21/16        4,154,000        4,173,961   

Credit Suisse Securities (USA) LLC

  2.47%   01/22/16     04/21/16        2,709,000        2,722,018   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        1,221,000        1,227,041   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        1,352,000        1,358,689   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        188,000        188,930   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        653,000        656,231   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        1,455,000        1,462,199   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        952,000        956,710   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        493,000        495,439   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        1,295,000        1,301,407   

Credit Suisse Securities (USA) LLC

  2.47%   01/20/16     04/20/16        348,000        349,722   

Credit Suisse Securities (USA) LLC

  2.47%   03/24/16     04/20/16        1,930,000        1,931,061   

Credit Suisse Securities (USA) LLC

  2.48%   03/15/16     06/13/16        2,340,000        2,342,745   

Credit Suisse Securities (USA) LLC

  2.49%   03/01/16     05/27/16        625,000        626,337   

Credit Suisse Securities (USA) LLC

  2.49%   03/16/16     06/14/16        7,208,000        7,215,975   

Credit Suisse Securities (USA) LLC

  2.58%   03/15/16     06/13/16        577,000        577,704   

JPMorgan Chase Bank, N.A.

  2.12%   02/18/16     05/16/16        1,320,000        1,323,340   

JPMorgan Chase Bank, N.A.

  2.12%   02/18/16     05/16/16        2,793,000        2,800,066   

JPMorgan Chase Bank, N.A.

  2.12%   03/21/16     05/16/16        2,461,000        2,462,593   

JPMorgan Chase Bank, N.A.

  2.13%   03/18/16     04/15/16        1,557,000        1,558,291   

JPMorgan Chase Bank, N.A.

  2.13%   03/30/16     04/28/16        826,000        826,098   

JPMorgan Chase Bank, N.A.

  2.21%   03/31/16     05/27/16        3,531,000        3,531,217   

JPMorgan Chase Bank, N.A.

  2.32%   03/08/16     05/16/16        4,620,000        4,627,140   

JPMorgan Chase Bank, N.A.

  2.32%   01/21/16     04/20/16        1,366,000        1,372,254   

JPMorgan Chase Bank, N.A.

  2.32%   01/21/16     04/20/16        2,992,000        3,005,698   

JPMorgan Chase Bank, N.A.

  2.34%   02/29/16     05/27/16        1,569,000        1,572,257   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.13%   03/28/16     04/28/16        966,000        966,229   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.13%   03/21/16     04/21/16        283,000        283,184   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.14%   03/16/16     04/18/16        433,000        433,412   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.14%   03/16/16     04/18/16        1,414,000        1,415,345   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.17%   01/29/16     04/15/16        1,431,000        1,436,434   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.18%   03/28/16     04/28/16        1,478,000        1,478,358   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.18%   03/28/16     04/28/16        191,000        191,046   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.22%   01/29/16     04/15/16        1,150,000        1,154,468   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.24%   03/08/16     04/08/16        1,351,000        1,353,017   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.24%   03/08/16     04/08/16        476,000        476,711   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.24%   03/08/16     04/08/16        967,000        968,444   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.24%   03/29/16     04/08/16        2,105,000        2,105,393   

 

See Notes to Consolidated Financial Statements.

 

184


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Counterparty

  Interest
Rate
  Trade
Date
  Maturity
Date
    Face
Value
    Face Value
Including
Accrued
Interest
 

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.27%   02/05/16     05/05/16      $ 1,227,000      $ 1,231,333   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.27%   02/05/16     05/05/16        1,911,000        1,917,748   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.27%   02/05/16     05/05/16        1,897,000        1,903,699   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.32%   01/26/16     04/26/16        1,358,000        1,363,776   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.32%   01/13/16     04/13/16        1,954,000        1,963,948   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.32%   01/13/16     04/13/16        432,000        434,199   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.32%   01/14/16     04/14/16        837,000        841,207   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.32%   01/19/16     04/19/16        107,000        107,503   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.32%   01/26/16     04/26/16        1,666,000        1,673,086   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.32%   01/19/16     04/19/16        134,000        134,630   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.37%   01/28/16     04/15/16        5,006,000        5,027,092   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.37%   01/27/16     04/18/16        6,461,000        6,488,648   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.37%   01/27/16     04/18/16        5,033,000        5,054,537   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.37%   01/28/16     04/15/16        15,300,000        15,364,464   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.37%   01/28/16     04/15/16        7,179,000        7,209,248   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.39%   03/18/16     06/20/16        2,363,000        2,365,196   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.41%   01/05/16     04/05/16        1,031,000        1,037,005   

Merrill Lynch, Pierce, Fenner & Smith, Inc.

  2.43%   03/23/16     04/25/16        7,800,000        7,804,739   

Royal Bank of Canada

  1.67%   10/20/15     04/20/16        709,000        714,389   

Royal Bank of Canada

  1.72%   02/05/16     05/05/16        1,061,000        1,063,840   

Royal Bank of Canada

  1.78%   03/04/16     04/04/16        4,895,000        4,901,777   

Royal Bank of Canada

  1.79%   11/12/15     05/12/16        694,000        698,870   

Royal Bank of Canada

  1.81%   11/23/15     05/23/16        3,063,000        3,083,039   

Royal Bank of Canada

  1.81%   11/23/15     05/23/16        2,173,000        2,187,217   

Royal Bank of Canada

  1.81%   11/23/15     05/23/16        479,000        482,134   

Royal Bank of Canada

  1.82%   02/17/16     05/17/16        1,742,000        1,745,871   

Royal Bank of Canada

  1.97%   11/09/15     05/06/16        625,000        629,927   

Royal Bank of Canada

  2.06%   03/28/16     04/27/16        2,190,000        2,190,502   

Royal Bank of Canada

  2.10%   03/11/16     04/11/16        1,050,000        1,051,285   

Royal Bank of Canada

  2.10%   03/11/16     04/11/16        784,000        784,960   

Royal Bank of Canada

  2.10%   03/11/16     04/11/16        2,017,000        2,019,469   

Royal Bank of Canada

  2.12%   02/03/16     08/03/16        4,348,000        4,362,816   

Royal Bank of Canada

  2.12%   02/03/16     08/03/16        3,338,000        3,349,374   

Royal Bank of Canada

  2.16%   02/05/16     08/05/16        884,000        886,974   

Royal Bank of Canada

  2.31%   03/28/16     04/27/16        8,378,000        8,380,153   

Royal Bank of Canada

  2.31%   02/08/16     08/08/16        517,000        518,762   

Royal Bank of Canada

  2.37%   02/03/16     08/03/16        3,662,000        3,675,953   

Royal Bank of Canada

  2.37%   02/03/16     08/03/16        414,000        415,577   

Royal Bank of Canada

  2.37%   02/03/16     08/03/16        1,039,000        1,042,959   

Royal Bank of Canada

  2.40%   03/11/16     04/11/16        651,000        651,911   

Royal Bank of Canada

  2.40%   03/11/16     04/11/16        913,000        914,277   

Wells Fargo Securities LLC

  2.43%   03/29/16     04/29/16        825,000        825,167   

Wells Fargo Securities LLC

  2.44%   03/16/16     04/15/16        1,069,000        1,070,157   

Wells Fargo Securities LLC

  2.44%   03/16/16     04/15/16        526,000        526,570   
                     

Total Reverse Repurchase Agreements Outstanding

  

  $     206,793,000      $     207,381,307   
                     

 

See Notes to Consolidated Financial Statements.

 

185


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Futures Contracts Outstanding at March 31, 2016

 

Description

 

Contracts

   

Exchange

   

Notional
Amount

   

Expiration
Date

   

Unrealized
Appreciation
(Depreciation)

 

Long Futures

         

90 Day Eurodollar

    1        CME        245,250 USD        03/15/21      $ 12   

Amsterdam Index

    19        Euronext        1,674,417 EUR        04/15/16        (4,048

Australian 10-Year Bond

    125        SFE        16,143,187 AUD        06/15/16        173,280   

CAC40 10 Euro

    263        Euronext        11,725,868 EUR        04/15/16        (224,466

Canada 10-Year Bond

    44        CDE        6,242,830 CAD        06/21/16        (27,187

Cocoa

    235        ICE        6,974,031 USD        07/14/16        (20,381

Coffee

    186        ICE        9,064,582 USD        07/19/16        (28,469

Copper

    10        COMEX        535,732 USD        05/26/16        10,018   

Corn

    1,002        CBOT        18,338,008 USD        05/13/16        (727,858

Cotton No. 2

    810        ICE        25,164,011 USD        05/06/16        (1,495,811

Cotton No. 2

    291        ICE        8,196,821 USD        07/07/16        287,284   

DAX Index

    77        Eurex        19,188,081 EUR        06/17/16        70,457   

Euro FX

    99        CME        13,860,268 USD        06/13/16        262,082   

Euro Stoxx 50

    961        Eurex        28,739,962 EUR        06/17/16        (652,076

Euro-Bund

    883        Eurex        143,223,034 EUR        06/08/16        1,124,843   

FTSE 100 Index

    38        ICE        2,311,970 GBP        06/17/16        15,755   

FTSE/MIB Index

    258        IDEM        23,854,019 EUR        06/17/16        (1,167,689

Gasoline RBOB

    91        NYMEX        5,300,582 USD        04/29/16        228,706   

Gasoline RBOB

    51        NYMEX        2,670,353 USD        09/30/16        38,634   

Gold 100 Oz

    184        COMEX        22,504,925 USD        06/28/16        230,115   

H-Shares Index

    26        HKFE        11,463,861 HKD        04/28/16        30,776   

Hang Seng Index

    34        HKFE        34,664,149 HKD        04/28/16        91,236   

Japan 10-Year Bond

    13        OSE        1,964,974,050 JPY        06/13/16        17,113   

Japanese Yen Currency

    265        CME        29,370,939 USD        06/13/16        123,561   

Live Cattle

    208        CME        10,549,580 USD        06/30/16        (230,700

Long Gilt

    22        ICE        2,657,632 GBP        06/28/16        13,226   

Mex Bolsa Index

    1,275        Mex Der        569,245,582 MXN        06/17/16        941,861   

MSCI Singapore Index

    58        SGX        1,854,960 SGD        04/28/16        (3,962

MSCI Taiwan Index

    78        SGX        2,504,799 USD        04/28/16        6,801   

Nasdaq100 E-Mini

    9        CME        783,437 USD        06/17/16        22,288   

Natural Gas

    10        NYMEX        289,287 USD        02/24/17        (7,087

Natural Gas

    5        NYMEX        147,046 USD        12/28/16        (3,646

Natural Gas

    106        NYMEX        2,091,850 USD        04/27/16        (15,310

Nikkei 225

    85        OSE        1,428,818,550 JPY        06/09/16        (37,483

NY Harbor ULSD

    10        NYMEX        520,899 USD        04/29/16        (22,989

OMXS30 Index

    1,640        Nasdaq OMX        225,049,979 SEK        04/15/16        (560,709

Platinum

    10        NYMEX        476,882 USD        07/27/16        11,868   

Russell 2000 Mini

    16        ICE        1,708,949 USD        06/17/16        66,411   

S&P 500 E-Mini

    249        CME        24,946,322 USD        06/17/16        594,852   

S&P/TSX 60 Index

    30        CDE        4,698,652 CAD        06/16/16        17,977   

Silver

    7        COMEX        532,952 USD        05/26/16        8,287   

SPI 200

    46        SFE        5,860,861 AUD        06/16/16        (26,799

 

See Notes to Consolidated Financial Statements.

 

186


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Description

 

Contracts

   

Exchange

   

Notional
Amount

   

Expiration
Date

   

Unrealized
Appreciation
(Depreciation)

 

Sugar 11

    76        ICE        1,296,314 USD        04/29/16      $ 10,277   

Swiss Franc Currency

    110        CME        14,029,166 USD        06/13/16        331,334   

Swiss Market Index

    113        Eurex        8,809,640 CHF        06/17/16        (147,065

TOPIX Index

    117        OSE        1,549,714,411 JPY        06/09/16        238,665   

U.S. Treasury 10-Year Note

    2,459        CBOT        318,464,889 USD        06/21/16        2,165,657   

Wheat

    171        CBOT        3,836,135 USD        05/13/16        212,290   

WTI Crude

    10        NYMEX        375,842 USD        06/21/16        31,058   

WTI Crude

    58        NYMEX        2,707,436 USD        05/20/16        (401,936

WTI Crude

    135        NYMEX        6,245,585 USD        11/20/17        (57,185
         

 

 

 
          $ 1,513,868   
         

 

 

 

Short Futures

         

90 Day Eurodollar

    89        CME        21,958,072 USD        03/13/17      $ (98,353

90 Day Eurodollar

    51        CME        12,505,932 USD        06/18/18        (96,168

90 Day Eurodollar

    49        CME        12,014,947 USD        09/17/18        (84,990

90 Day Eurodollar

    14        CME        3,414,214 USD        03/16/20        (28,736

90 Day Eurodollar

    143        CME        35,463,851 USD        06/13/16        (39,474

90 Day Eurodollar

    81        CME        19,959,099 USD        06/19/17        (104,601

90 Day Eurodollar

    8        CME        1,951,800 USD        06/15/20        (14,300

90 Day Eurodollar

    14        CME        3,430,708 USD        03/18/19        (21,692

90 Day Eurodollar

    16        CME        3,912,040 USD        12/17/18        (35,960

90 Day Eurodollar

    16        CME        3,911,922 USD        06/17/19        (30,878

90 Day Eurodollar

    138        CME        34,171,961 USD        09/19/16        (65,839

90 Day Eurodollar

    120        CME        29,662,645 USD        12/19/16        (89,855

90 Day Eurodollar

    64        CME        15,720,153 USD        12/18/17        (114,247

90 Day Eurodollar

    73        CME        17,972,901 USD        09/18/17        (100,074

90 Day Eurodollar

    59        CME        14,478,139 USD        03/19/18        (111,086

90 Day Eurodollar

    15        CME        3,660,374 USD        12/16/19        (30,751

90 Day Eurodollar

    16        CME        3,907,540 USD        09/16/19        (32,660

90 Day Eurodollar

    3        CME        735,742 USD        12/14/20        (495

90 Day Eurodollar

    6        CME        1,467,735 USD        09/14/20        (5,790

90 Day Eurodollar

    1        CME        244,675 USD        06/14/21        (425

AUD/USD Currency

    243        CME        18,030,085 USD        06/13/16        (559,415

Australian 10-Year Bond

    475        SFE        61,669,556 AUD        06/15/16        (408,994

Brent Crude

    15        ICE        660,375 USD        04/29/16        55,425   

Brent Crude

    46        ICE        2,517,243 USD        10/31/16        530,043   

British Pound Currency

    171        CME        15,224,130 USD        06/13/16        (137,014

Canada 10-Year Bond

    577        CDE        81,196,055 CAD        06/21/16        (159,465

Canadian Currency

    186        CME        13,936,248 USD        06/14/16        (398,772

CBOE Volatility Index

    774        CFE        15,324,581 USD        05/18/16        1,682,831   

Copper

    145        COMEX        7,970,984 USD        05/26/16        57,609   

DAX Index

    105        Eurex        26,347,884 EUR        06/17/16        111,382   

Euro Stoxx 50

    10,172        Eurex        303,158,334 EUR        06/17/16        5,708,859   

Euro-BOBL

    42        Eurex        5,518,342 EUR        06/08/16        13,817   

 

See Notes to Consolidated Financial Statements.

 

187


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Description

 

Contracts

   

Exchange

   

Notional
Amount

   

Expiration
Date

   

Unrealized
Appreciation
(Depreciation)

 

Euro-BTP

    254        Eurex        35,362,177 EUR        06/08/16      $ (404,299

Euro-Bund

    42        Eurex        6,819,044 EUR        06/08/16        (45,966

Euro-Oat

    408        Eurex        63,679,648 EUR        06/08/16        (1,003,938

FTSE 100 Index

    240        ICE        14,620,723 GBP        06/17/16        (72,497

FTSE/JSE Top 40

    368        Safex        171,288,860 ZAR        06/15/16        (61,595

Gasoline RBOB

    18        NYMEX        1,208,467 USD        05/31/16        103,724   

IBEX 35 Index

    97        MEFF        8,765,163 EUR        04/15/16        382,288   

Lean Hogs

    93        CME        3,089,573 USD        06/14/16        81,953   

Long Gilt

    406        ICE        48,984,330 GBP        06/28/16        (331,759

Low Sulphur Gasoil

    76        ICE        2,905,832 USD        10/12/16        (33,468

Low Sulphur Gasoil

    107        ICE        3,810,850 USD        05/12/16        (25,100

Nasdaq 100 E-Mini

    15        CME        1,307,113 USD        06/17/16        (35,762

Natural Gas

    88        NYMEX        2,275,538 USD        09/28/16        261,218   

Natural Gas

    396        NYMEX        9,611,930 USD        10/27/16        (149,470

Natural Gas

    300        NYMEX        5,402,303 USD        04/27/16        (474,697

NY Harbor ULSD

    108        NYMEX        5,618,727 USD        11/30/16        (387,845

NY Harbor ULSD

    12        NYMEX        785,602 USD        05/31/16        179,946   

Platinum

    70        NYMEX        3,351,424 USD        07/27/16        (69,826

S&P 500

    19        CME        9,457,220 USD        06/16/16        (287,405

S&P 500 E-Mini

    3,940        CME        394,108,927 USD        06/17/16        (10,036,573

S&P/TSX 60 Index

    267        CDE        41,940,793 CAD        06/16/16        (65,453

SGX Nifty 50

    5,059        SGX        78,073,878 USD        04/28/16        (720,047

Silver

    102        COMEX        7,653,193 USD        05/26/16        (233,447

Soybean Meal

    17        CBOT        457,014 USD        05/13/16        (2,496

Soybean Oil

    517        CBOT        9,478,485 USD        05/13/16        (1,136,560

SPI 200

    297        SFE        37,891,863 AUD        06/16/16        212,191   

TOPIX Index

    495        OSE        6,529,213,350 JPY        06/09/16        (1,252,047

U.S. Treasury 10-Year Note

    141        CBOT        18,376,764 USD        06/21/16        (8,314

U.S. Treasury 2-Year Note

    62        CBOT        13,526,510 USD        06/30/16        (35,990

U.S. Treasury 5-Year Note

    15        CBOT        1,816,033 USD        06/30/16        (1,428

U.S. Treasury Long Bond

    71        CBOT        11,677,086 USD        06/21/16        2,023   

WTI Crude

    119        NYMEX        4,246,134 USD        04/20/16        (316,326

WTI Crude

    89        NYMEX        3,902,104 USD        11/21/16        73,324   
         

 

 

 
    $     (10,505,709
         

 

 

 

Total Futures Contracts Outstanding

  

    $ (8,991,841
         

 

 

 

 

See Notes to Consolidated Financial Statements.

 

188


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Forward Foreign Currency Exchange Contracts Outstanding at March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

AUD

    566,098        USD        423,181      Morgan Stanley & Co. LLC     06/15/16      $ 9,335   

AUD

    15,587,000        USD        11,597,507      State Street Bank and Trust
Company
    06/15/16        311,422   

AUD

    1,085,000        USD        824,977      JPMorgan Chase Bank, N.A.     04/29/16        5,771   

BRL

    59,943,087        USD        14,521,800      State Street Bank and Trust
Company
    06/02/16        1,888,858   

BRL

    8,503,000        USD        2,115,174      State Street Bank and Trust
Company
    06/02/16        212,698   

BRL

    33,591,327        USD        8,759,147      Morgan Stanley Capital
Services LLC
    04/04/16        583,066   

BRL

    23,543,483        USD        6,164,829      Morgan Stanley Capital
Services LLC
    04/04/16        382,939   

CAD

    161,874        USD        122,434      Morgan Stanley & Co. LLC     06/15/16        2,214   

CAD

    17,742,811        USD        13,288,753      State Street Bank and Trust
Company
    06/15/16        373,565   

CHF

    7,425,654        USD        7,486,943      Morgan Stanley & Co. LLC     06/15/16        260,210   

CHF

    2,129,081        USD        2,150,000      State Street Bank and Trust
Company
    06/13/16        71,155   

CHF

    3,251,758        USD        3,325,178      Morgan Stanley & Co. LLC     06/15/16        67,367   

CHF

    4,630,606        USD        4,713,285      Morgan Stanley & Co. LLC     06/15/16        117,807   

CHF

    2,075,000        USD        2,112,604      State Street Bank and Trust
Company
    06/15/16        52,234   

CHF

    4,745,454        USD        4,931,580      Morgan Stanley & Co. LLC     06/15/16        19,332   

CHF

    3,010,656        USD        3,123,424      Morgan Stanley & Co. LLC     06/15/16        17,580   

CHF

    2,462,823        USD        2,542,190      Morgan Stanley & Co. LLC     06/15/16        27,262   

CNH

    17,667,000        USD        2,600,000      State Street Bank and Trust
Company
    05/13/16        129,685   

CZK

    24,268,000        USD        999,670      State Street Bank and Trust
Company
    06/15/16        23,135   

DKK

    9,475,250        USD        1,403,258      Morgan Stanley & Co. LLC     06/15/16        46,922   

DKK

    2,109,160        USD        317,408      Morgan Stanley & Co. LLC     06/15/16        5,397   

DKK

    2,261,730        USD        338,213      Morgan Stanley & Co. LLC     06/15/16        7,943   

EUR

    10,319,556        USD        11,353,421      State Street Bank and Trust
Company
    06/15/16        414,972   

EUR

    225,785        USD        250,000      State Street Bank and Trust
Company
    06/13/16        7,461   

EUR

    5,681        USD        6,448      Morgan Stanley & Co. LLC     06/15/16        31   

EUR

    541,138        USD        608,582      Morgan Stanley & Co. LLC     06/15/16        8,530   

EUR

    820,000        USD        920,573      Morgan Stanley & Co. LLC     06/15/16        14,531   

EUR

    4,900,000        USD        5,501,279      Morgan Stanley & Co. LLC     06/15/16        86,539   

EUR

    1,300,000        USD        1,478,958      Morgan Stanley & Co. LLC     06/15/16        3,524   

EUR

    5,050,000        USD        5,761,646      Morgan Stanley & Co. LLC     06/15/16        (2,773

GBP

    209,856        USD        301,986      Morgan Stanley & Co. LLC     06/15/16        (518

GBP

    40,000        USD        57,273      Morgan Stanley & Co. LLC     06/15/16        189   

GBP

    5,857        USD        8,479      Morgan Stanley & Co. LLC     06/15/16        (65

GBP

    4,184        USD        5,946      Morgan Stanley & Co. LLC     06/15/16        64   

 

See Notes to Consolidated Financial Statements.

 

189


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

GBP

    800,000        USD        1,128,456      Morgan Stanley & Co. LLC     06/15/16      $ 20,784   

HKD

    600,000        USD        77,412      Morgan Stanley & Co. LLC     06/15/16        (29

HKD

    12,000,000        USD        1,548,541      Morgan Stanley & Co. LLC     06/15/16        (868

HKD

    5,789,000        USD        746,578      Morgan Stanley & Co. LLC     06/15/16        46   

HKD

    6,490,000        USD        837,540      Morgan Stanley & Co. LLC     06/15/16        (507

HUF

    11,717,271,000        USD        41,409,637      State Street Bank and Trust
Company
    06/15/16        1,019,396   

HUF

    2,669,161,000        USD        9,569,869      State Street Bank and Trust
Company
    06/15/16        95,344   

ILS

    3,574,000        USD        919,764      State Street Bank and Trust
Company
    06/15/16        33,277   

JPY

    1,270,267,836        USD        11,226,208      State Street Bank and Trust
Company
    06/15/16        83,541   

JPY

    50,000,000        USD        440,956      Morgan Stanley & Co. LLC     06/15/16        4,237   

JPY

    1,312,025,000        USD        11,641,748      State Street Bank and Trust
Company
    06/15/16        39,783   

JPY

    100,000,000        USD        887,430      Morgan Stanley & Co. LLC     06/15/16        2,957   

JPY

    130,000,000        USD        1,169,696      Morgan Stanley & Co. LLC     06/15/16        (12,193

JPY

    65,000,000        USD        583,101      Morgan Stanley & Co. LLC     06/15/16        (4,349

JPY

    96,000,000        USD        861,211      State Street Bank and Trust
Company
    06/13/16        (6,508

JPY

    65,000,000        USD        578,189      Morgan Stanley & Co. LLC     06/15/16        562   

JPY

    1,700,000,000        USD        15,045,712      Morgan Stanley & Co. LLC     06/15/16        90,862   

JPY

    90,000,000        USD        796,185      Morgan Stanley & Co. LLC     06/15/16        5,163   

JPY

    150,000,000        USD        1,336,779      Morgan Stanley & Co. LLC     06/15/16        (1,199

JPY

    90,000,000        USD        802,432      Morgan Stanley & Co. LLC     06/15/16        (1,084

MXN

    123,337,668        USD        6,866,207      Morgan Stanley Capital
Services LLC
    06/15/16        227,471   

MXN

    329,207,211        USD        18,432,139      State Street Bank and Trust
Company
    06/15/16        500,280   

MXN

    77,785,227        USD        4,357,583      Morgan Stanley Capital
Services LLC
    06/15/16        116,179   

NZD

    1,511,876        USD        1,023,903      State Street Bank and Trust
Company
    06/13/16        17,291   

NZD

    2,827,000        USD        1,870,032      State Street Bank and Trust
Company
    06/15/16        76,789   

RUB

    50,481,096        USD        695,045      State Street Bank and Trust
Company
    06/15/16        42,913   

SEK

    106,149,602        USD        12,582,931      State Street Bank and Trust
Company
    06/15/16        526,113   

SGD

    220,000        USD        161,407      JPMorgan Chase Bank, N.A.     04/29/16        1,816   

TRY

    108,745,750        USD        36,721,061      State Street Bank and Trust
Company
    06/15/16        1,095,515   

ZAR

    168,776,358        USD        10,905,684      State Street Bank and Trust
Company
    06/15/16        365,080   

USD

    54,551,246        AUD        73,149,999      State Street Bank and Trust
Company
    06/15/16        (1,337,517

USD

    203,834        AUD        267,815      Morgan Stanley & Co. LLC     06/15/16        (784

 

See Notes to Consolidated Financial Statements.

 

190


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

USD

    12,825        AUD        16,914      Morgan Stanley & Co. LLC     06/15/16      $ (98

USD

    396,251        BRL        1,501,000      State Street Bank and Trust
Company
    06/02/16        (14,678

USD

    6,513,621        BRL        23,543,483      Morgan Stanley Capital
Services LLC
    04/04/16        (34,147

USD

    2,000,000        BRL        8,144,000      State Street Bank and Trust
Company
    06/02/16        (229,588

USD

    1,000,000        BRL        4,083,500      State Street Bank and Trust
Company
    06/02/16        (117,942

USD

    8,378,979        BRL        33,591,327      Morgan Stanley Capital
Services LLC
    04/04/16        (963,234

USD

    13,389,588        CAD        17,742,811      State Street Bank and Trust
Company
    06/15/16        (272,730

USD

    5,634,021        CHF        5,570,300      State Street Bank and Trust
Company
    06/13/16        (177,173

USD

    3,305,896        CHF        3,240,074      Morgan Stanley & Co. LLC     06/15/16        (74,459

USD

    47,312,745        CHF        46,991,018      State Street Bank and Trust
Company
    06/15/16        (1,712,782

USD

    9,914,459        CHF        9,694,854      Morgan Stanley & Co. LLC     06/15/16        (200,635

USD

    4,920,035        CHF        4,811,400      Morgan Stanley & Co. LLC     06/15/16        (99,678

USD

    4,857,000        CHF        4,771,800      Morgan Stanley & Co. LLC     06/15/16        (121,399

USD

    4,859,506        CHF        4,676,100      Morgan Stanley & Co. LLC     06/15/16        (19,049

USD

    888,586        CHF        875,000      State Street Bank and Trust
Company
    06/13/16        (24,254

USD

    2,391,389        CHF        2,305,050      Morgan Stanley & Co. LLC     06/15/16        (13,460

USD

    1,976,794        CHF        1,920,447      Morgan Stanley & Co. LLC     06/15/16        (26,800

USD

    826,708        CHF        810,000      State Street Bank and Trust
Company
    06/13/16        (18,322

USD

    5,387,135        CNH        35,209,159      Morgan Stanley Capital
Services LLC
    06/15/16        (44,103

USD

    3,000,000        CNH        19,432,500      State Street Bank and Trust
Company
    05/13/16        (2,468

USD

    7,392,317        CNH        50,282,543      Morgan Stanley Capital
Services LLC
    08/22/16        (337,520

USD

    4,207,427        CNH        27,790,053      Morgan Stanley Capital
Services LLC
    08/22/16        (64,684

USD

    2,770,557        CNH        18,415,337      Morgan Stanley Capital
Services LLC
    08/22/16        (60,397

USD

    7,878,490        CNH        51,352,000      State Street Bank and Trust
Company
    05/13/16        (55,782

USD

    9,966,272        CZK        245,100,525      State Street Bank and Trust
Company
    06/15/16        (363,796

USD

    72,437        DKK        476,190      Morgan Stanley & Co. LLC     06/15/16        (444

USD

    17,666        DKK        117,216      Morgan Stanley & Co. LLC     06/15/16        (274

USD

    4,429,280        EUR        4,000,000      State Street Bank and Trust
Company
    06/13/16        (131,900

USD

    6,164,384        EUR        5,566,689      State Street Bank and Trust
Company
    06/13/16        (183,284

 

See Notes to Consolidated Financial Statements.

 

191


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

USD

    464,259        EUR        420,684      Morgan Stanley & Co. LLC     06/15/16      $ (15,488

USD

    27,803,805        EUR        24,847,011      Morgan Stanley & Co. LLC     06/15/16        (531,004

USD

    20,663,583        EUR        18,555,582      Morgan Stanley Capital
Services LLC
    06/15/16        (496,663

USD

    5,026,064        EUR        4,513,329      Morgan Stanley Capital
Services LLC
    06/15/16        (120,805

USD

    48,943,119        EUR        43,950,173      Morgan Stanley Capital
Services LLC
    06/15/16        (1,176,381

USD

    1,557,710        EUR        1,400,000      Morgan Stanley & Co. LLC     06/15/16        (38,809

USD

    10,930,769        EUR        9,815,000      State Street Bank and Trust
Company
    06/15/16        (262,229

USD

    1,843,862        EUR        1,660,000      State Street Bank and Trust
Company
    06/13/16        (49,028

USD

    79,010,820        EUR        70,000,000      State Street Bank and Trust
Company
    04/21/16        (683,092

USD

    8,031,287        EUR        7,155,000      JPMorgan Chase Bank, N.A.     04/29/16        (116,399

USD

    527,104        EUR        468,689      Morgan Stanley & Co. LLC     06/15/16        (7,388

USD

    2,924,610        EUR        2,600,000      State Street Bank and Trust
Company
    04/25/16        (35,798

USD

    339,781        EUR        303,821      Morgan Stanley Capital
Services LLC
    06/15/16        (6,688

USD

    1,929,376        EUR        1,720,000      State Street Bank and Trust
Company
    06/13/16        (31,932

USD

    1,541,066        EUR        1,377,972      Morgan Stanley Capital
Services LLC
    06/15/16        (30,333

USD

    11,166,662        GBP        7,869,000      State Street Bank and Trust
Company
    06/13/16        (137,430

USD

    75,676        GBP        53,197      Morgan Stanley & Co. LLC     06/15/16        (745

USD

    14,188,280        GBP        9,969,000      State Street Bank and Trust
Company
    06/15/16        (132,893

USD

    11,746,408        GBP        8,257,000      State Street Bank and Trust
Company
    06/15/16        (115,355

USD

    1,057,887        GBP        730,000      Morgan Stanley & Co. LLC     06/15/16        9,205   

USD

    1,891,182        GBP        1,340,000      State Street Bank and Trust
Company
    06/13/16        (33,774

USD

    7,196,885        GBP        5,000,000      State Street Bank and Trust
Company
    04/21/16        15,272   

USD

    7,907,381        GBP        5,565,000      JPMorgan Chase Bank, N.A.     04/29/16        (85,893

USD

    2,668,063        GBP        1,842,000      State Street Bank and Trust
Company
    06/13/16        21,966   

USD

    2,480,318        GBP        1,740,000      Morgan Stanley & Co. LLC     06/15/16        (19,280

USD

    14,204,754        HKD        110,160,000      Morgan Stanley & Co. LLC     06/15/16        (2,881

USD

    71,392,060        ILS        277,522,353      State Street Bank and Trust
Company
    06/15/16        (2,611,860

USD

    416,896        JPY        46,801,610      State Street Bank and Trust
Company
    06/13/16        214   

USD

    238,284        JPY        27,000,000      Morgan Stanley & Co. LLC     06/15/16        (2,120

USD

    91,682,147        JPY        10,391,896,311      Morgan Stanley & Co. LLC     06/15/16        (845,922

 

See Notes to Consolidated Financial Statements.

 

192


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Currency
Purchased

 

Amount in
Currency
Purchased

   

Currency
Sold

   

Amount in
Currency
Sold

   

Counterparty

 

Settlement
Date

   

Unrealized
Appreciation
(Depreciation)

 

USD

    5,213,981        JPY        591,167,057      Morgan Stanley Capital
Services LLC
    06/15/16      $ (49,692

USD

    273,513        JPY        31,000,000      Morgan Stanley & Co. LLC     06/15/16        (2,507

USD

    26,990,796        JPY        3,000,000,000      State Street Bank and Trust
Company
    06/20/16        273,821   

USD

    171,242        JPY        19,226,000      JPMorgan Chase Bank, N.A.     04/28/16        285   

USD

    13,794,470        KRW        16,605,093,000      State Street Bank and Trust
Company
    06/15/16        (673,948

USD

    8,193,073        KRW        9,800,144,819      Morgan Stanley Capital
Services LLC
    04/18/16        (363,666

USD

    11,351,328        KRW        13,563,702,000      State Street Bank and Trust
Company
    06/15/16        (467,052

USD

    7,145,293        MXN        128,883,223      State Street Bank and Trust
Company
    06/13/16        (268,569

USD

    2,079,580        MXN        37,447,000      State Street Bank and Trust
Company
    06/15/16        (73,964

USD

    1,718,975        MXN        31,000,000      State Street Bank and Trust
Company
    06/13/16        (64,265

USD

    5,794,210        MXN        100,523,753      Morgan Stanley Capital
Services LLC
    06/15/16        12,658   

USD

    5,816,324        MXN        100,599,141      Morgan Stanley Capital
Services LLC
    06/15/16        30,436   

USD

    26,113,221        NZD        39,308,196      State Street Bank and Trust
Company
    06/15/16        (956,476

USD

    5,091,722        RUB        368,437,000      State Street Bank and Trust
Company
    06/15/16        (294,271

USD

    10,746,941        SAR        41,268,255      Morgan Stanley Capital
Services LLC
    01/19/17        (183,792

USD

    833,564        SEK        6,936,000      State Street Bank and Trust
Company
    06/15/16        (23,004

USD

    2,177,621        TRY        6,434,000      State Street Bank and Trust
Company
    06/15/16        (59,816

USD

    886,749        ZAR        14,155,000      State Street Bank and Trust
Company
    06/15/16        (58,511
           

 

 

 

Total Forward Foreign Currency Exchange Contracts Outstanding

  

  $     (7,982,203
           

 

 

 

 

See Notes to Consolidated Financial Statements.

 

193


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Centrally Cleared Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at March 31, 2016

 

Reference

Obligation

 

The
Fund
Fixed
Deal
(Pay)
Rate

   

Maturity
Date

   

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

Federative Republic of Brazil

    (1.00)%        06/20/20     

Credit Suisse Securities (USA) LLC

    4,722,000 USD      $ 382,161      $ 328,236      $ 53,925   

Republic of South Africa

    (1.00)%        06/20/21     

Credit Suisse Securities (USA) LLC

    6,200,000 USD        576,120        567,549        8,571   

Republic of Turkey

    (1.00)%        09/20/20     

Credit Suisse Securities (USA) LLC

    4,178,000 USD        217,816        333,473        (115,657)   

Republic of Turkey

    (1.00)%        12/20/20     

Credit Suisse Securities (USA) LLC

    9,719,000 USD        571,924        660,064        (88,140)   
                               

Total Centrally Cleared Credit Default Swaps on Single-Name Issues (Buy Protection)

   

  $     1,748,021      $     1,889,322      $     (141,301)   
                               

Centrally Cleared Credit Default Swaps on Single-Name Issues (Sell Protection) — Outstanding at March 31, 2016

 

Reference

Obligation

 

The
Fund
Fixed
Deal
(Pay)
Rate

   

Maturity
Date

   

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

Russian Federation

    1.00%        09/20/20     

Credit Suisse Securities (USA) LLC

    6,551,141 USD      $ (414,739)      $ (750,762)      $ 336,023   
                               

Total Centrally Cleared Credit Default Swap on Single-Name Issues (Sell Protection)

   

  $     (414,739)      $     (750,762)      $     336,023   
                               

Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2016

 

Reference

Obligation

 

The
Fund
Fixed
Deal
(Pay)
Rate

   

Maturity
Date

   

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

CDX.NA.HY.25

    (5.00)%        12/20/20     

Credit Suisse Securities (USA) LLC

    20,878,862 USD      $ (597,263)      $ 573,405      $ (1,170,668)   
                               

Total Centrally Cleared Credit Default Swaps on Index (Buy Protection)

  

  $     (597,263)      $     573,405      $     (1,170,668)   
                               

 

See Notes to Consolidated Financial Statements.

 

194


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2016

 

Reference

Obligation

 

The
Fund
Fixed
Deal
(Pay)
Rate

   

Maturity
Date

   

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

CDX.NA.HY.25

    5.00%        12/20/20     

Merrill Lynch, Pierce, Fenner & Smith, Inc.

    28,750,000 USD      $ 822,425      $ 271,750      $ 550,675   

CDX.NA.IG.25

    1.00%        12/20/20     

Merrill Lynch, Pierce, Fenner & Smith, Inc.

    62,250,000 USD        306,309        273,200        33,109   

iTraxx Europe Crossover Series 24 Version 1

    5.00%        12/20/20     

Merrill Lynch, Pierce, Fenner & Smith, Inc.

    25,125,000 EUR        2,106,492        1,806,041        300,451   

iTraxx Europe Series 24 Version 1

    1.00%        12/20/20     

Merrill Lynch, Pierce, Fenner & Smith, Inc.

    21,250,000 EUR        301,685        147,212        154,473   
                               

Total Centrally Cleared Credit Default Swaps on Index (Sell Protection)

  

  $   3,536,911      $   2,498,203      $   1,038,708   
                               

OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2016

 

Reference

Obligation

 

The
Fund
Fixed
Deal
(Pay)
Rate

   

Maturity
Date

   

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

CMBX.NA.AAA.6

    (0.50)%        05/11/63     

JPMorgan Chase Bank, N.A.

    86,772,151 USD      $ 1,773,717      $ 1,692,034      $ 81,683   

CMBX.NA.AAA.8

    (0.50)%        10/17/57     

JPMorgan Chase Bank, N.A.

    105,061,955 USD        4,730,533        4,831,367        (100,834)   

CMBX.NA.AAA.8

    (0.50)%        10/17/57     

Credit Suisse International

    29,872,422 USD        1,345,040        1,310,295        34,745   

CMBX.NA.AAA.8

    (0.50)%        10/17/57     

Deutsche Bank AG

    4,635,362 USD        208,712        238,899        (30,187)   

CMBX.NA.AAA.8

    (0.50)%        10/17/57     

Morgan Stanley Capital Services LLC

    13,032,023 USD        586,782        620,020        (33,238)   

CMBX.NA.BBB-.7

    (3.00)%        01/17/47     

JPMorgan Chase Bank, N.A.

    7,433,840 USD        673,858        828,922        (155,064)   

CMBX.NA.BBB-.7

    (3.00)%        01/17/47     

Credit Suisse International

    1,019,600 USD        92,424        176,557        (84,133)   

CMBX.NA.BBB-.7

    (3.00)%        01/17/47     

Deutsche Bank AG

    4,813,338 USD        436,316        471,561        (35,245)   
                               

Total OTC Credit Default Swaps on Index (Buy Protection)

  

  $   9,847,382      $   10,169,655      $   (322,273)   
                               

 

See Notes to Consolidated Financial Statements.

 

195


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2016

 

Reference

Obligation

 

The
Fund
Fixed
Deal
(Pay)
Rate

   

Maturity
Date

   

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

CMBX.NA.A.8

    2.00%        10/17/57     

Credit Suisse International

    6,248,000 USD      $ (635,099)      $ (844,810)      $ 209,711   

CMBX.NA.A.8

    2.00%        10/17/57     

Morgan Stanley Capital Services LLC

    2,800,000 USD        (284,616)        (188,750)        (95,866)   

CMBX.NA.AA.6

    1.50%        05/11/63     

Credit Suisse International

    2,845,549 USD        (92,106)        (176,908)        84,802   

CMBX.NA.AA.7

    1.50%        01/17/47     

Credit Suisse International

    7,635,867 USD        (339,481)        (642,904)        303,423   

CMBX.NA.AAA.8

    0.50%        10/17/57     

Credit Suisse International

    47,000,000 USD        (2,116,228)        (2,532,991)        416,763   

CMBX.NA.AAA.9

    0.50%        09/17/58     

Morgan Stanley Capital Services LLC

    10,500,000 USD        (662,281)        (699,173)        36,892   

CMBX.NA.BBB-.8

    3.00%        10/17/57     

Credit Suisse International

    8,455,000 USD        (1,467,806)        (951,016)          (516,790)   
                               

Total OTC Credit Default Swaps on Index (Sell Protection)

  

  $   (5,597,617)      $   (6,036,552)      $ 438,935   
                               

OTC Total Return Swaps Outstanding at March 31, 2016

 

Reference
Instrument

 

Termination
Date

   

Counterparty

 

Notional
Amount

   

Unrealized
Appreciation
(Depreciation)

 

Buys

  

Adecco SA REG

    12/27/16      Credit Suisse Securities (Europe) Limited     7,094,005 CHF      $ (23,477

Advance Auto Parts, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     8,672,949 USD        59,969   

Airbus Group

    12/19/16      Credit Suisse Securities (Europe) Limited     3,612,215 EUR        (132,262

Allergan PLC

    05/24/17      Morgan Stanley Capital Services LLC     15,361,615 USD        (737,630

Alphabet, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     4,978,797 USD        79,230   

Alphabet, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     16,030,871 USD        250,178   

Altice NV

    11/07/16      Credit Suisse Securities (Europe) Limited     1,867,630 EUR        (1,427

Altice NV

    05/24/17      Morgan Stanley Capital Services LLC     781,973 EUR        (641

Altice NV

    11/07/16      Credit Suisse Securities (Europe) Limited     3,588,739 EUR        (15,092

Altice NV

    05/24/17      Morgan Stanley Capital Services LLC     80,189 EUR        (314

Amadeus IT Holding SA

    12/20/16      Credit Suisse Securities (Europe) Limited     7,946,556 EUR        154,957   

Amazon.com, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     7,566,678 USD        209,412   

Amazon.com, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     4,135,986 USD        114,476   

Atlantia SpA

    06/26/17      Credit Suisse Securities (Europe) Limited     9,868,736 EUR        78,886   

Atos

    12/19/16      Credit Suisse Securities (Europe) Limited     23,951,362 EUR        700,421   

Bayer AG

    12/19/16      Credit Suisse Securities (Europe) Limited     8,263,700 EUR        310,308   

 

See Notes to Consolidated Financial Statements.

 

196


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reference
Instrument

 

Termination
Date

   

Counterparty

 

Notional
Amount

   

Unrealized
Appreciation
(Depreciation)

 

Beazer Homes USA, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     2,033,273 USD      $ 106,624   

Beazer Homes USA, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     38,927 USD        1,970   

BNP Paribas SA

    12/19/16      Credit Suisse Securities (Europe) Limited     11,914,024 EUR        (803,066

Cadence Design Systems, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     960,049 USD        36,017   

Cadence Design Systems, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     5,802,858 USD        218,955   

Casino Guiichard Perrachon

    12/19/16      Credit Suisse Securities (Europe) Limited     5,119,025 EUR        301,583   

Compagnie de Saint Gobain

    12/19/16      Credit Suisse Securities (Europe) Limited     5,168,847 EUR        115,356   

Credit Agricole SA

    12/19/16      Credit Suisse Securities (Europe) Limited     7,782,725 EUR        (696,132

Criteo SA ADR

    08/25/16      Credit Suisse Securities (Europe) Limited     7,811,243 USD        940,223   

Croda International PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     4,709,354 GBP        398,287   

Dassault Aviation SA

    12/19/16      Credit Suisse Securities (Europe) Limited     6,226,307 EUR        308,116   

Delhaize Group

    06/13/16      Credit Suisse Securities (Europe) Limited     8,955,659 EUR        (212,078

Dollar General Corp.

    10/25/16      Credit Suisse Securities (Europe) Limited     15,804,151 USD        69,855   

Dollar General Corp.

    05/24/17      Morgan Stanley Capital Services LLC     5,549,879 USD        16,433   

Endesa SA

    12/20/16      Credit Suisse Securities (Europe) Limited     7,909,967 EUR        (238,912

Enel SpA

    06/26/17      Credit Suisse Securities (Europe) Limited     3,759,557 EUR        8,798   

ENI SpA Italia

    06/26/17      Credit Suisse Securities (Europe) Limited     3,530,063 EUR        30,431   

Ferrovial SA

    09/25/17      Credit Suisse Securities (Europe) Limited     5,366,548 EUR        2,839   

Fresenius Medical Care AG & Co. KgaA

    12/19/16      Credit Suisse Securities (Europe) Limited     12,931,673 EUR        158,595   

GlaxoSmithKline PLC

    06/23/16      Morgan Stanley Capital Services LLC     2,294,864 GBP        98,038   

HCA Holdings, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     3,115,346 USD        157,759   

HCA Holdings, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     8,279,014 USD        492,089   

Home Depot, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     11,599,434 USD        323,470   

Home Depot, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     9,028,734 USD        222,501   

iBoxx Liquid High Yield Index

    06/20/16      JPMorgan Chase Bank, N.A.     5,548,000 USD        18,325   

Imperial Tobacco Group PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     11,297,524 GBP        457,802   

ING Groep NV

    12/19/16      Credit Suisse Securities (Europe) Limited     11,601,717 EUR        (1,103,926

Intercontinental Hotels Group

    12/19/16      Credit Suisse Securities (Europe) Limited     7,529,100 GBP        341,934   

Intesa San Paolo

    06/26/17      Credit Suisse Securities (Europe) Limited     3,250,169 EUR        (301,452

Koninklijke DSM NV

    12/19/16      Credit Suisse Securities (Europe) Limited     8,021,636 EUR        (944

 

See Notes to Consolidated Financial Statements.

 

197


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reference
Instrument

 

Termination
Date

   

Counterparty

 

Notional
Amount

   

Unrealized
Appreciation
(Depreciation)

 

Koninklijke Philips NV

    12/19/16      Credit Suisse Securities (Europe) Limited     6,129,236 EUR      $ 196,201   

Linde AG

    12/19/16      Credit Suisse Securities (Europe) Limited     7,017,240 EUR        (71,073

Lloyds Banking Group PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     5,477,281 GBP        (135,261

Masonite International Corp.

    10/25/16      Credit Suisse Securities (Europe) Limited     3,276,385 USD        243,258   

Masonite International Corp.

    05/24/17      Morgan Stanley Capital Services LLC     5,569,655 USD        346,305   

Mead Johnson Nutrition Co.

    08/25/16      Credit Suisse Securities (Europe) Limited     9,290,993 USD        125,637   

Microsoft Corp.

    05/24/17      Morgan Stanley Capital Services LLC     8,642,253 USD        266,015   

Nokia Oyj

    10/17/16      Credit Suisse Securities (Europe) Limited     14,713,080 EUR        (749,871

Numericable SFR

    11/07/16      Credit Suisse Securities (Europe) Limited     6,685,351 EUR        (190,883

Numericable SFR

    05/24/17      Morgan Stanley Capital Services LLC     4,773,519 EUR        (143,863

Orange

    12/19/16      Credit Suisse Securities (Europe) Limited     5,060,596 EUR        (319,718

Pilgrim’s Pride Corp.

    05/24/17      Morgan Stanley Capital Services LLC     137,747 USD        5,763   

Prudential PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     6,121,816 GBP        (110,114

Publicis Groupe

    12/19/16      Credit Suisse Securities (Europe) Limited     5,180,288 EUR        105,001   

Pultegroup, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     11,890,438 USD        323,955   

Pultegroup, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     7,371,927 USD        181,674   

Puma SE

    12/19/16      Credit Suisse Securities (Europe) Limited     520,482 EUR        (1,370

Renault SA

    12/19/16      Credit Suisse Securities (Europe) Limited     7,408,335 EUR        327,970   

Roche Holding AG Genusschein

    12/27/16      Credit Suisse Securities (Europe) Limited     9,106,205 CHF        (372,818

Royal Dutch Shell PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     10,236,783 GBP        349,745   

RSA Insurance Group PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     11,429,841 GBP        604,691   

Sanofi Aventis

    07/07/16      Morgan Stanley Capital Services LLC     2,923,567 EUR        (141,779

Sanofi Aventis

    12/19/16      Credit Suisse Securities (Europe) Limited     10,181,613 EUR        (520,019

Shire PLC

    12/28/16      Credit Suisse Securities (Europe) Limited     5,880,260 GBP        53,055   

Six Flags Entertainment Corp.

    10/25/16      Credit Suisse Securities (Europe) Limited     13,204,602 USD        636,214   

Six Flags Entertainment Corp.

    05/24/17      Morgan Stanley Capital Services LLC     11,911,229 USD        501,662   

Skandinaviska Enskilda Banken AB

    12/19/16      Credit Suisse Securities (Europe) Limited     61,138,639 SEK        (935,529

Smith & Nephew PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     17,851,862 GBP        594,147   

 

See Notes to Consolidated Financial Statements.

 

198


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reference
Instrument

 

Termination
Date

   

Counterparty

 

Notional
Amount

   

Unrealized
Appreciation
(Depreciation)

 

Starwood Hotels & Resorts

    08/25/16      Credit Suisse Securities (Europe) Limited     17,760,855 USD      $ 974,686   

TDC A/S

    06/06/16      Credit Suisse Securities (Europe) Limited     26,225,220 DKK        579   

Tim Participacoes ADR

    08/25/16      Credit Suisse Securities (Europe) Limited     5,987,623 USD        661,284   

TripAdvisor, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     1,190,376 USD        (5,346

TripAdvisor, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     21,449,932 USD        326,025   

TUI AG DI

    12/19/16      Credit Suisse Securities (Europe) Limited     6,049,377 EUR        206,792   

UBM PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     8,239,490 GBP        79,290   

Union Pacific Corp.

    10/25/16      Credit Suisse Securities (Europe) Limited     7,954,587 USD        (10,963

Union Pacific Corp.

    05/24/17      Morgan Stanley Capital Services LLC     11,557,848 USD        (67,805

United Rentals, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     5,585,345 USD        238,437   

United Rentals, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     4,121,868 USD        119,241   

Visa, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     8,275,522 USD        499,181   

Visa, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     5,849,108 USD        306,231   

Vodafone Group PLC

    12/28/16      Credit Suisse Securities (Europe) Limited     12,502,946 GBP        103,235   

Vodafone Group PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     9,355,751 GBP        79,438   
       

 

 

 

Total Buys

        $ 7,195,784   
       

 

 

 

Sells

  

ABB Ltd. REG

    12/27/16      Credit Suisse Securities (Europe) Limited     8,685,502 CHF      $ (319,392

Air Liquide SA

    12/19/16      Credit Suisse Securities (Europe) Limited     3,853,637 EUR        (26,114

Allianz SE REG

    12/19/16      Credit Suisse Securities (Europe) Limited     5,460,488 EUR        133,966   

Altran Technologies SA

    12/19/16      Credit Suisse Securities (Europe) Limited     552,133 EUR        (16,408

America Movil ADR

    09/01/16      Credit Suisse Securities (Europe) Limited     560,592 USD        (43,152

Atlas Copco AB

    12/19/16      Credit Suisse Securities (Europe) Limited     34,710,562 SEK        (63,720

AXA SA

    12/19/16      Credit Suisse Securities (Europe) Limited     6,101,067 EUR        332,264   

Blackberry Ltd.

    10/25/16      Credit Suisse Securities (Europe) Limited     5,157,585 USD        (217,112

Blackberry Ltd.

    05/24/17      Morgan Stanley Capital Services LLC     6,244,502 USD        (169,088

Bovespa Index

    04/13/16      Morgan Stanley Capital Services LLC     27,205,374 BRL        (401,432

British American Tobacco PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     850,863 GBP        11,249   

Bureau Veritas SA

    12/19/16      Credit Suisse Securities (Europe) Limited     3,625,336 EUR        (173,487

Cap Gemini

    12/19/16      Credit Suisse Securities (Europe) Limited     504,575 EUR        (29,775

Chesapeake Energy Corp.

    10/25/16      Credit Suisse Securities (Europe) Limited     1,078,829 USD        15,276   

Chesapeake Energy Corp.

    05/24/17      Morgan Stanley Capital Services LLC     1,973,637 USD        23,509   

CSL LTD

    03/02/17      Morgan Stanley Capital Services LLC     9,270,030 AUD        (199,112

Danone

    12/19/16      Credit Suisse Securities (Europe) Limited     252,786 EUR        (218

Deere & Co.

    10/25/16      Credit Suisse Securities (Europe) Limited     12,318,427 USD        552,738   

Deere & Co.

    05/24/17      Morgan Stanley Capital Services LLC     8,563,136 USD        370,630   

 

See Notes to Consolidated Financial Statements.

 

199


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reference
Instrument

 

Termination
Date

   

Counterparty

 

Notional
Amount

   

Unrealized
Appreciation
(Depreciation)

 

Distribuidora Internacional

    12/20/16      Credit Suisse Securities (Europe) Limited     2,242,762 EUR      $ 18,312   

Elekta AB

    12/19/16      Credit Suisse Securities (Europe) Limited     34,284,085 SEK        151,064   

Ericsson LM

    12/19/16      Credit Suisse Securities (Europe) Limited     3,728,810 SEK        (12,370

Fresenius Medical Care AG & Co. KgaA

    07/07/16      Morgan Stanley Capital Services LLC     5,209,503 EUR        (136,777

Groupon, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     7,742,527 USD        (86,858

Groupon, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     6,257,564 USD        (34,502

Guess?, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     1,208,848 USD        164,185   

Guess?, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     8,265,448 USD        855,165   

International Business Machines Corp.

    05/24/17      Morgan Stanley Capital Services LLC     8,278,076 USD        (153,449

iShares MSCI Brazil Capped ETF

    08/25/16      Credit Suisse Securities (Europe) Limited     822,863 USD        (50,718

Italcementi SpA

    06/26/17      Credit Suisse Securities (Europe) Limited     891,449 EUR        (6,922

J.C. Penney Co., Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     4,826,079 USD        56,067   

J.C. Penney Co., Inc.

    05/24/17      Morgan Stanley Capital Services LLC     4,455,170 USD        54,009   

K S AG REG

    11/07/16      Credit Suisse Securities (Europe) Limited     1,693,580 EUR        (6,189

K S AG REG

    05/24/17      Morgan Stanley Capital Services LLC     2,184,794 EUR        (11,760

KOSPI 200 Index

    06/13/16      Morgan Stanley Capital Services LLC     33,317,105,400 KRW        (599,943

L’Oreal

    12/19/16      Credit Suisse Securities (Europe) Limited     778,003 EUR        1,123   

Marriott International

    08/25/16      Credit Suisse Securities (Europe) Limited     6,373,270 USD        19,744   

Mattel, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     3,997,888 USD        (167,597

Mattel, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     2,184,391 USD        (90,776

Merck KgaA

    07/07/16      Morgan Stanley Capital Services LLC     3,358,112 EUR        588,442   

Mosaic Co.

    05/24/17      Morgan Stanley Capital Services LLC     14,031,110 USD        719,651   

Mosaic Co.

    10/25/16      Credit Suisse Securities (Europe) Limited     7,661,642 USD        285,026   

Nestle SA REG

    12/27/16      Credit Suisse Securities (Europe) Limited     444,465 CHF        (2,913

Philp Morris International

    08/25/16      Credit Suisse Securities (Europe) Limited     1,717,693 USD        (29,744

Pilgrim’s Pride Corp.

    10/25/16      Credit Suisse Securities (Europe) Limited     5,073,250 USD        (319,728

Potash Corp. of Saskatchewan

    10/25/16      Credit Suisse Securities (Europe) Limited     7,310,460 USD        354,999   

Potash Corp. of Saskatchewan

    05/24/17      Morgan Stanley Capital Services LLC     8,310,689 USD        543,306   

Procter & Gamble Co.

    10/25/16      Credit Suisse Securities (Europe) Limited     9,128,780 USD        (58,086

Procter & Gamble Co.

    05/24/17      Morgan Stanley Capital Services LLC     10,413,654 USD        (116,429

Sainsbury (J) PLC

    12/19/16      Credit Suisse Securities (Europe) Limited     2,077,758 GBP        13,975   

 

See Notes to Consolidated Financial Statements.

 

200


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

Reference
Instrument

 

Termination
Date

   

Counterparty

 

Notional
Amount

   

Unrealized
Appreciation
(Depreciation)

 

Sandvik AB

    12/19/16      Credit Suisse Securities (Europe) Limited     36,756,950 SEK      $ (217,487

SAP SE

    12/19/16      Credit Suisse Securities (Europe) Limited     545,151 EUR        (4,986

Siemens AG REG

    12/19/16      Credit Suisse Securities (Europe) Limited     4,038,091 EUR        (132,981

Sprint Corp.

    10/25/16      Credit Suisse Securities (Europe) Limited     2,891,023 USD        (51,853

Sprint Corp.

    05/24/17      Morgan Stanley Capital Services LLC     5,079,320 USD        76,413   

Stora Enso Oyj

    11/07/16      Credit Suisse Securities (Europe) Limited     4,784,365 EUR        (52,034

Stora Enso Oyj

    05/24/17      Morgan Stanley Capital Services LLC     3,363,275 EUR        (32,330

Telefonica Brasil

    08/25/16      Credit Suisse Securities (Europe) Limited     3,261,291 USD        (475,730

Telefonica SA

    12/20/16      Credit Suisse Securities (Europe) Limited     5,642,000 EUR        94,938   

Twitter, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     2,497,675 USD        (89,306

Twitter, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     16,105,250 USD        (427,356

United States Steel Corp.

    10/25/16      Credit Suisse Securities (Europe) Limited     2,215,977 USD        (266,878

United States Steel Corp.

    05/24/17      Morgan Stanley Capital Services LLC     1,842,001 USD        (154,539

UPM-Kymmene Oyj

    11/07/16      Credit Suisse Securities (Europe) Limited     5,815,089 EUR        (55,553

UPM-Kymmene Oyj

    05/24/17      Morgan Stanley Capital Services LLC     5,801,747 EUR        12,107   

Whole Foods Market, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     187,105 USD        12,018   

Whole Foods Market, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     8,870,524 USD        476,548   

Wynn Resorts Ltd.

    05/24/17      Morgan Stanley Capital Services LLC     2,563,203 USD        (242,313

Yelp, Inc.

    10/25/16      Credit Suisse Securities (Europe) Limited     3,613,129 USD        (37,415

Yelp, Inc.

    05/24/17      Morgan Stanley Capital Services LLC     6,831,053 USD        (44,604
       

 

 

 

Total Sells

    $ 107,588   
       

 

 

 

Total OTC Total Return Swaps Outstanding

    $ 7,303,372   
       

 

 

 

Centrally Cleared Interest Rate Swaps Outstanding at March 31, 2016

 

The
Fund
Pays/
Receives
Floating
Rate

 

Floating
Rate
Index

 

Fixed
Rate

   

Maturity
Date

 

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

Receives

  Three-Month
LIBOR
    1.095%      04/06/20   Morgan
Stanley & Co.
LLC
    3,000,000 USD      $ (2,061)      $      $ (2,061)   

Receives

  Three-Month
LIBOR
    1.175%      02/24/20   Merrill Lynch,
Pierce, Fenner
& Smith, Inc.
    23,000,000 USD        (11,314)               (11,314)   

Receives

  Three-Month
LIBOR
    1.297%      08/13/18   Morgan
Stanley & Co.
LLC
    5,500,000 USD        (52,072)               (52,072)   

 

See Notes to Consolidated Financial Statements.

 

201


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

The
Fund
Pays/
Receives
Floating
Rate

 

Floating
Rate
Index

 

Fixed
Rate

   

Maturity
Date

 

Counterparty

 

Notional
Amount

   

Market
Value

   

Upfront
Premium
Paid
(Received)

   

Unrealized
Appreciation
(Depreciation)

 

Receives

  Three-Month
LIBOR
    1.772%      10/25/21   Merrill Lynch,
Pierce, Fenner
& Smith, Inc.
    18,500,000 USD      $ (417,453)      $      $ (417,453)   

Receives

  Three-Month
LIBOR
    1.861%      12/11/20   Merrill Lynch,
Pierce, Fenner
& Smith, Inc.
    15,000,000 USD        (371,908)               (371,908)   

Receives

  Three-Month
LIBOR
    1.919%      09/30/19   Morgan
Stanley & Co.
LLC
    2,311,250 USD        (72,004)               (72,004)   

Receives

  Three-Month
LIBOR
    2.043%      10/27/25   Morgan
Stanley & Co.
LLC
    3,900,000 USD        (144,595)               (144,595)   

Receives

  Three-Month
LIBOR
    2.268%      01/26/26   Morgan
Stanley & Co.
LLC
    2,000,000 USD        (114,454)               (114,454)   

Receives

  Three-Month
LIBOR
    2.304%      01/27/25   Morgan
Stanley & Co.
LLC
    2,430,000 USD        (148,735)               (148,735)   

Receives

  Three-Month
LIBOR
    2.331%      08/26/25   Morgan
Stanley & Co.
LLC
    38,000,000 USD        (2,408,276)               (2,408,276)   

Receives

  Three-Month
LIBOR
    2.534%      09/25/24   Morgan
Stanley & Co.
LLC
    2,130,000 USD        (170,234)               (170,234)   
                                 

Total Centrally Cleared Interest Rate Swaps Outstanding

  

  $     (3,913,106)      $     —      $     (3,913,106)   
                                 

 

Abbreviation Legend:
  ADR  

American Depository Receipt

  CBOT  

Chicago Board of Trade

  CDE  

Montreal Exchange

  CFE  

CBOE Futures Exchange

  CME  

Chicago Mercantile Exchange

  COMEX  

Commodities Exchange Center

  Eurex  

Eurex Exchange

  Euronext  

Euronext Paris

  HKFE  

Hong Kong Futures Exchange Ltd.

  ICE  

Ice Futures Europe

  IDEM  

Italian Derivatives Exchange Market

  LIBOR  

London Interbank Offered Rate

  MEFF  

MEFF Renta Variable

  MTN  

Medium Term Note

  NYMEX  

New York Mercantile Exchange

  OSE  

Osaka Exchange

  OTC  

Over the Counter

 

See Notes to Consolidated Financial Statements.

 

202


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments (Continued)

March 31, 2016

 

  PIK  

Payment in Kind

  REG S  

Regulation-S

  REIC  

Real Estate Investment Company

  REIT  

Real Estate Investment Trust

  Safex  

South African Futures Exchange

  SFE  

ASX Trade24

  SGX  

Singapore Exchange

Currency Legend:

  AUD  

Australian Dollar

  BRL  

Brazilian Real

  CAD  

Canadian Dollar

  CHF  

Swiss Franc

  CNH  

Chinese Renminbi

  CZK  

Czech Koruna

  DKK  

Danish Krone

  EUR  

Euro

  GBP  

British Pound

  HKD  

Hong Kong Dollar

  HUF  

Hungarian Forint

  ILS  

Israeli Shekel

  JPY  

Japanese Yen

  KRW  

South Korean Won

  MXN  

Mexican Peso

  NZD  

New Zealand Dollar

  RUB  

Russian Ruble

  SAR  

Saudi Arabian Riyal

  SEK  

Swedish Krona

  SGD  

Singapore Dollar

  TRY  

Turkish Lira

  USD  

United States Dollar

  ZAR  

South African Rand

 

See Notes to Consolidated Financial Statements.

 

203


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Statement of Assets and Liabilities

As of March 31, 2016

 

   

Multi-Manager
Fund

   

Multi-Strategy
Fund

 

Assets:

   

Total investments in securities, at value (cost of $179,919,278 and $4,316,750,335, respectively)1

  $ 177,311,454      $ 4,282,770,288   

Cash

    329,423,891        69,940,159   

Cash denominated in foreign currencies (cost of $0 and $20,765,094, respectively)

           21,396,145   

Segregated cash balance with broker for securities sold short

    163,691,483        1,119,271,433   

Segregated cash balance with custodian for derivative financial instruments

    9,064,214        125,609,593   

Segregated cash balance with broker for futures contracts

    9,592,289        116,162,131   

Segregated cash balance with counterparties for swaps, other derivative financial instruments and reverse repurchase agreements

    1,927,053        53,909,865   

Unrealized appreciation on forward foreign currency exchange contracts

    1,673,134        9,880,994   

Income receivable

    1,148,077        16,505,761   

Receivable for investments sold2

    147,837,992        91,072,601   

Receivable for Fund shares sold

    2,663        8,858,019   

Receivable for periodic payments from swap contracts

    2,172,677        1,890,508   

Variation margin receivable

    2,295,503        9,015,210   

Swap contracts, premium paid

           10,169,655   

Unrealized appreciation on swap contracts

    521,341        22,344,292   

Receivable from Investment Adviser

    156,932          

Prepaid expenses and other assets

    47,964        84,245   
 

 

 

   

 

 

 

Total Assets

    846,866,667        5,958,880,899   
 

 

 

   

 

 

 

Liabilities:

   

Securities sold short, at value (proceeds of $90,451,992 and $1,121,390,883, respectively)

    75,772,554        1,104,445,099   

Securities lending collateral payable

    23,898,259        120,918,878   

Cash received as collateral with broker for swaps and reverse repurchase agreements

    1,250,659        3,542,433   

Cash received as collateral with custodian for derivative financial instruments

           1,162,865   

Options written, at value (premiums received $128,954 and $2,345,280, respectively)

    102,590        1,635,953   

Unrealized depreciation on forward foreign currency exchange contracts

    2,120,731        17,863,197   

Payable for reverse repurchase agreements

    4,652,534        207,381,307   

Payable for investments purchased

    99,459,772        151,693,314   

Payable for Fund shares redeemed

    415,078        11,789,432   

Swap contracts, premium received

           6,037,320   

Unrealized depreciation on swap contracts

    572,989        14,924,258   

Variation margin payable

    188,270        3,123,518   

Payable for periodic payments from swap contracts

    656,198        5,548,251   

Dividend and interest income payable on securities sold short

    862,566        3,163,466   

Management fee payable

    5,277,039        19,272,351   

Accrued expenses and other liabilities

    1,006,564        2,929,098   
 

 

 

   

 

 

 

Total Liabilities

    216,235,803        1,675,430,740   
 

 

 

   

 

 

 

Net Assets

  $ 630,630,864      $ 4,283,450,159   
 

 

 

   

 

 

 

 

See Notes to Consolidated Financial Statements.

 

204


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Statement of Assets and Liabilities (Continued)

As of March 31, 2016

 

   

Multi-Manager
Fund

   

Multi-Strategy
Fund

 

Net Assets Consist of:

   

Paid-in capital

  $ 748,605,375      $ 4,477,582,233   

Accumulated undistributed net investment loss

    (14,546,062     (19,592,526

Accumulated undistributed net realized loss

    (113,923,655     (146,143,542

Net unrealized appreciation (depreciation)

    10,495,206        (28,396,006
 

 

 

   

 

 

 

Net Assets

  $ 630,630,864      $ 4,283,450,159   
 

 

 

   

 

 

 

Net Asset Value:

   

Class I Shares

   

Net Assets

  $ 630,630,864      $ 3,921,026,505   

Class I Shares outstanding, no par value, unlimited shares authorized

    66,129,773        399,185,175   
 

 

 

   

 

 

 

Net asset value per share

  $ 9.54      $ 9.82   
 

 

 

   

 

 

 

Class D Shares3

   

Net Assets

    $ 22,810,934   

Class D Shares outstanding, no par value, unlimited shares authorized

      2,325,127   
   

 

 

 

Net asset value per share

    $ 9.81   
   

 

 

 

Class Y Shares3

   

Net Assets

    $ 339,612,720   

Class Y Shares outstanding, no par value, unlimited shares authorized

      34,829,511   
   

 

 

 

Net asset value per share

    $ 9.75   
   

 

 

 

 

1  Includes $5,816,914 and $116,876,693, respectively, of investments in securities on loan.
2  Includes $17,479,265 of securities on loan pending sale for Multi-Manager Fund. These securities will be released from loan prior to the contractual settlement date.
3  Class D Shares and Class Y Shares are offered only by the Multi-Strategy Fund. See Note 6.

 

See Notes to Consolidated Financial Statements.

 

205


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Statement of Operations

For the Year Ended March 31, 2016

 

   

Multi-Manager
Fund

   

Multi-Strategy
Fund

 

Investment Income:

   

Interest

  $ 30,262,746      $ 60,831,747   

Dividends (including net foreign taxes withheld of $135,780 and $247,774, respectively)

    8,585,295        19,852,739   
 

 

 

   

 

 

 

Total income

    38,848,041        80,684,486   
 

 

 

   

 

 

 

Expenses:

   

Management fees

  $ 24,775,275      $ 54,840,602   

Administration fees

    2,445,785        3,713,160   

Custodian fees

    1,520,545        2,186,452   

Trustees’ fees

    101,733        97,439   

Distribution fees – Class D

           34,559   

Shareholder service fees

    103,889        3,129,134   

Registration fees

    32,114        368,093   

Printing and postage fees

    493,770        320,212   

Professional fees

    932,316        1,199,341   

Dividends and interest on securities sold short

    7,134,438        15,729,940   

Financing fees on securities sold short

    4,694,510        7,405,586   

Line of credit fee

    111,569        73,674   

Interest fees

    2,699,729        2,555,568   

Offering costs

           52,107   

Other

    163,684        217,426   
 

 

 

   

 

 

 

Total expenses

    45,209,357        91,923,293   
 

 

 

   

 

 

 

Expenses recouped (reimbursed) by Investment Adviser

    548,252        1,245,166   
 

 

 

   

 

 

 

Net expenses

    45,757,609        93,168,459   
 

 

 

   

 

 

 

Net investment income (loss)

    (6,909,568     (12,483,973
 

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss):

   

Net realized gain (loss) on investments in securities

    (108,639,391     (155,889,892

Net realized gain (loss) on securities sold short

    59,685,577        76,332,087   

Net realized gain (loss) on forward foreign currency exchange contracts

    (405,288     (10,880,138

Net realized gain (loss) on foreign currency transactions

    (1,083,308     (2,200,019

Net realized gain (loss) on futures contracts

    21,180,192        38,038,271   

Net realized gain (loss) on options written

    6,711,186        10,787,442   

Net realized gain (loss) on swap contracts

    590,585        (22,671,202

Net change in unrealized appreciation (depreciation) on investments in securities

    (25,421,276     (51,253,700

Net change in unrealized appreciation (depreciation) on securities sold short

    2,773,380        13,102,770   

Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts

    (1,508,659     (8,699,686

Net change in unrealized appreciation (depreciation) on foreign currency translations

    118,804        1,408,668   

Net change in unrealized appreciation (depreciation) on futures contracts

    (1,733,665     (9,970,671

Net change in unrealized appreciation (depreciation) on options written

    19,197        518,736   

Net change in unrealized appreciation (depreciation) on swap contracts

    (645,330     3,909,519   
 

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    (48,357,996     (117,467,815
 

 

 

   

 

 

 

Net decrease in net assets resulting from operations

  $ (55,267,564   $ (129,951,788
 

 

 

   

 

 

 

 

See Notes to Consolidated Financial Statements.

 

206


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Statement of Changes in Net Assets

 

    Multi-Manager Fund  
    Year
Ended
3/31/2016
    Year
Ended
3/31/2015
 

Increase (Decrease) in Net Assets

   

Operations:

   

Net investment loss

  $ (6,909,568   $ (6,748,871

Net realized gain (loss)

    (21,960,447     71,174,284   

Net unrealized appreciation (depreciation)

    (26,397,549     1,137,196   
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (55,267,564     65,562,609   
 

 

 

   

 

 

 

Distributions:

   

Distributions from net investment income

    (3,476,913     (9,088,938

Distributions from net realized capital gains

    (49,254,177     (93,347,991
 

 

 

   

 

 

 

Total distributions to shareholders

    (52,731,090     (102,436,929
 

 

 

   

 

 

 

Capital Transactions:

   

Proceeds from sale of Class I Shares

    177,595,213        253,883,210   

Net asset value of Class I Shares issued to shareholders in payment of distributions declared

    52,731,090        102,434,576   

Cost of Class I Shares redeemed

    (821,055,681     (172,989,869
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from capital transactions

    (590,729,378     183,327,917   
 

 

 

   

 

 

 

Net increase (decrease) in net assets

    (698,728,032     146,453,597   
 

 

 

   

 

 

 

Net Assets:

   

Beginning of period

    1,329,358,896        1,182,905,299   
 

 

 

   

 

 

 

End of period

  $ 630,630,864      $ 1,329,358,896   
 

 

 

   

 

 

 
Accumulated undistributed net investment loss   $ (14,546,062   $ (14,761,581
 

 

 

   

 

 

 

Share Transactions:

   

Beginning of period

    128,717,599        110,951,809   

Class I Shares sold

    17,293,030        23,965,692   

Class I Shares reinvested

    5,353,410        10,301,507   

Class I Shares redeemed

    (85,234,266     (16,501,409
 

 

 

   

 

 

 

Net change in shares resulting from share transactions

    (62,587,826     17,765,790   
 

 

 

   

 

 

 

End of period

    66,129,773        128,717,599   
 

 

 

   

 

 

 

 

See Notes to Consolidated Financial Statements.

 

207


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Statement of Changes in Net Assets (Continued)

 

    Multi-Strategy Fund  
    Year
Ended
3/31/2016
    Period
Ended
3/31/20151
 

Increase (Decrease) in Net Assets

   

Operations:

   

Net investment loss

  $ (12,483,973   $ (5,395,359

Net realized gain (loss)

    (66,483,451     20,941,539   

Net unrealized appreciation (depreciation)

    (50,984,364     22,588,358   
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (129,951,788     38,134,538   
 

 

 

   

 

 

 

Distributions:

   

Distributions from net investment income:

   

Class I Shares

    (3,702,838     (1,545,443

Class D Shares

           (2,255

Class Y Shares

    (488,507       

Distributions from net realized capital gains:

   

Class I Shares

    (73,631,835     (2,768,920

Class D Shares

    (441,956     (7,654

Class Y Shares

    (7,796,834       
 

 

 

   

 

 

 

Total distributions to shareholders

    (86,061,970     (4,324,272
 

 

 

   

 

 

 

Capital Transactions:

   

Shareholder subscriptions:

 

Proceeds from sale of Class I Shares

    3,910,819,502        1,227,560,311   

Proceeds from sale of Class D Shares

    22,137,119        5,979,685   

Proceeds from sale of Class Y Shares

    526,320,778        103,401,481   

Shareholder reinvestments:

 

Net asset value of Class I Shares issued to shareholders in payment of distributions declared

    51,201,807        3,060,022   

Net asset value of Class D Shares issued to shareholders in payment of distributions declared

    433,787        9,908   

Net asset value of Class Y Shares issued to shareholders in payment of distributions declared

    8,117,600          

Shareholder redemptions:

 

Cost of Class I Shares redeemed

    (947,827,550     (164,142,829

Cost of Class D Shares redeemed

    (4,664,169     (126,526

Cost of Class Y Shares redeemed

    (276,627,275       
 

 

 

   

 

 

 

Net increase in net assets resulting from capital transactions

    3,289,911,599        1,175,742,052   
 

 

 

   

 

 

 

Net increase in net assets

    3,073,897,841        1,209,552,318   
 

 

 

   

 

 

 

Net Assets:

   

Beginning of period

    1,209,552,318          
 

 

 

   

 

 

 

End of period

  $ 4,283,450,159      $ 1,209,552,318   
 

 

 

   

 

 

 
Accumulated undistributed net investment loss   $ (19,592,526   $ (4,814,384
 

 

 

   

 

 

 

 

See Notes to Consolidated Financial Statements.

 

208


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Statement of Changes in Net Assets (Continued)

 

    Multi-Strategy Fund  
    Year
Ended
3/31/2016
    Period
Ended
3/31/20151
 

Share Transactions:

   

Class I Shares

   

Beginning of period

    105,770,058          

Shares issued

    382,065,472        121,648,983   

Reinvestment in Shares

    5,074,510        306,002   

Shares redeemed

    (93,724,865     (16,184,927
 

 

 

   

 

 

 

Net change in shares resulting from share transactions

    293,415,117        105,770,058   
 

 

 

   

 

 

 

End of period

    399,185,175        105,770,058   
 

 

 

   

 

 

 

Class D Shares

   

Beginning of period

    579,311          

Shares issued

    2,170,565        590,597   

Reinvestment in Shares

    43,034        990   

Shares redeemed

    (467,783     (12,276
 

 

 

   

 

 

 

Net change in shares resulting from share transactions

    1,745,816        579,311   
 

 

 

   

 

 

 

End of period

    2,325,127        579,311   
 

 

 

   

 

 

 

Class Y Shares

   

Beginning of period

    10,263,435          

Shares issued

    50,691,043        10,263,435   

Reinvestment in Shares

    810,949          

Shares redeemed

    (26,935,916       
 

 

 

   

 

 

 

Net change in shares resulting from share transactions

    24,566,076        10,263,435   
 

 

 

   

 

 

 

End of period

    34,829,511        10,263,435   
 

 

 

   

 

 

 

 

1  For the period June 16, 2014 (commencement of operations) to March 31, 2015.

 

See Notes to Consolidated Financial Statements.

 

209


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Statement of Cash Flows

 

    Multi-Manager Fund  
   

Year
Ended
3/31/2016

 

Cash Flows from Operating Activities:

 

Net decrease in net assets resulting from operations

  $ (55,267,564

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used for operating activities:

 

Purchases of investments in securities

    (3,456,050,347

Proceeds from disposition of investments in securities

    4,217,186,196   

Proceeds from securities sold short

    1,311,559,427   

Payments to cover securities sold short

    (1,390,010,140

Premiums paid on closing options written

    (5,816,759

Proceeds from premiums received from options written

    10,592,436   

Net realized loss on investments in securities

    108,639,391   

Net realized gain on securities sold short

    (59,685,577

Net realized gain on options written

    (6,711,186

Net change in accretion of bond discount and amortization of bond and swap premium

    (2,562,558

Net change in unrealized depreciation on investments in securities

    25,421,276   

Net change in unrealized appreciation on securities sold short

    (2,773,380

Net change in unrealized appreciation on options written

    (19,197

Changes in assets and liabilities:

 

(Increase) decrease in assets:

 

Segregated cash balance with broker for securities sold short

    126,144,386   

Segregated cash balance with custodian for derivative financial instruments

    7,150,013   

Segregated cash balance with broker for futures contracts

    17,544,877   

Segregated cash balance with counterparties for swaps, other derivative financial instruments and reverse repurchase agreements

    2,935,653   

Unrealized appreciation on forward foreign currency exchange contracts

    1,311,262   

Income receivable

    4,035,941   

Receivable for periodic payments from swap contracts

    (1,689,531

Variation margin receivable

    304,294   

Swap contracts, premium paid

    160,433   

Unrealized appreciation on swap contracts

    3,583,363   

Receivable from Investment Adviser

    382,046   

Prepaid expenses and other assets

    (28,300

Increase (decrease) in liabilities:

 

Securities lending collateral payable

    (51,051,136

Cash received as collateral with broker for swaps and reverse repurchase agreements

    (455,149

Unrealized depreciation on forward foreign currency exchange contracts

    197,397   

Swap contracts, premium received

    (103,385

Unrealized depreciation on swap contracts

    (2,726,214

Variation margin payable

    167,427   

Payable for periodic payments from swap contracts

    482,328   

Dividend and interest income payable on securities sold short

    460,893   

Interest payable on reverse repurchase agreements

    (123,053

Management fee payable

    (1,050,301

Accrued expenses and other liabilities

    (516,873
 

 

 

 

Net cash from in operating activities

    801,618,389   
 

 

 

 

Cash Flows from Financing Activities:

 

Proceeds from shares sold

    178,519,671   

Cost of shares repurchased

    (821,337,179

Proceeds from reverse repurchase agreements

    842,254,089   

Repayment of reverse repurchase agreements

    (957,224,195
 

 

 

 

Net cash provided by financing activities

    (757,787,614
 

 

 

 

Net increase (decrease) in cash and foreign currency

    43,830,775   

Cash and foreign currency, beginning of period

    285,593,116   
 

 

 

 

Cash and foreign currency, end of period

  $ 329,423,891   
 

 

 

 

Supplemental disclosure of cash flow information:

 

Cash paid during the period for interest

  $ 2,238,836   
 

 

 

 

Non-Cash Financing Activities:

 

Capital shares issued in reinvestment of distribution

  $ 52,731,090   
 

 

 

 

 

See Notes to Consolidated Financial Statements.

 

210


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Statement of Cash Flows (Continued)

 

    Multi-Strategy Fund  
   

Year
Ended
3/31/2016

 

Cash Flows from Operating Activities:

 

Net decrease in net assets resulting from operations

  $ (129,951,788

Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used for operating activities:

 

Purchases of investments in securities

    (10,221,295,722

Proceeds from disposition of investments in securities

    6,657,824,139   

Proceeds from securities sold short

    3,281,611,220   

Payments to cover securities sold short

    (2,318,187,810

Premiums paid on closing options written

    (12,063,631

Proceeds from premiums received from options written

    24,100,864   

Net realized loss on investments in securities

    155,889,892   

Net realized gain on securities sold short

    (76,332,087

Net realized gain on options written

    (10,787,442

Net change in accretion of bond discount and amortization of bond and swap premium

    (6,526,059

Net change in unrealized depreciation on investments in securities

    51,253,700   

Net change in unrealized appreciation on securities sold short

    (13,102,770

Net change in unrealized appreciation on options written

    (518,736

Changes in assets and liabilities:

 

(Increase) decrease in assets:

 

Segregated cash balance with broker for securities sold short

    (863,796,985

Segregated cash balance with custodian for derivative financial instruments

    (111,442,999

Segregated cash balance with broker for futures contracts

    (92,364,843

Segregated cash balance with counterparties for swaps, other derivative financial instruments and reverse repurchase agreements

    (52,610,968

Unrealized appreciation on forward foreign currency exchange contracts

    (7,546,059

Income receivable

    (12,976,766

Receivable for periodic payments from swap contracts

    (1,483,504

Variation margin receivable

    (7,124,779

Swap contracts, premium paid

    (10,071,440

Unrealized appreciation on swap contracts

    (19,417,124

Receivable from Investment Adviser

    356,446   

Prepaid expenses and other assets

    (9,495

Increase (decrease) in liabilities:

 

Securities lending collateral payable

    49,559,504   

Cash received as collateral with broker for swaps and reverse repurchase agreements

    2,290,555   

Cash received as collateral with custodian for derivative financial instruments

    1,162,865   

Unrealized depreciation on forward foreign currency exchange contracts

    16,245,745   

Swap contracts, premium received

    5,975,305   

Unrealized depreciation on swap contracts

    11,993,419   

Variation margin payable

    3,083,819   

Payable for periodic payments from swap contracts

    5,408,793   

Dividend and interest income payable on securities sold short

    2,865,802   

Interest payable on reverse repurchase agreements

    545,539   

Management fee payable

    14,628,871   

Accrued expenses and other liabilities

    970,777   
 

 

 

 

Net cash used in operating activities

    (3,681,843,752
 

 

 

 

Cash Flows from Financing Activities:

 

Proceeds from shares sold

    4,484,304,921   

Cost of shares repurchased

    (1,235,654,103

Proceeds from reverse repurchase agreements

    987,321,866   

Repayment of reverse repurchase agreements

    (815,817,576

Distributions paid (net of reinvestment)

    (26,308,776
 

 

 

 

Net cash provided by financing activities

    3,393,846,332   
 

 

 

 

Net increase (decrease) in cash and foreign currency

    (287,997,420

Cash and foreign currency, beginning of period

    379,333,724   
 

 

 

 

Cash and foreign currency, end of period

  $ 91,336,304   
 

 

 

 

Supplemental disclosure of cash flow information:

 

Cash received during the period for interest

  $ (310,234
 

 

 

 

Non-Cash Financing Activities:

 

Capital shares issued in reinvestment of distribution

  $ 59,753,194   
 

 

 

 

 

See Notes to Consolidated Financial Statements.

 

211


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Financial Highlights

(For a Share Outstanding Throughout the Period)

 

    Multi-Manager Fund—Class I  
   

Year
Ended
3/31/2016

   

Year
Ended
3/31/2015

   

Period
Ended
3/31/20141

 

Net Asset Value, Beginning of Period

  $ 10.33      $ 10.66      $ 10.00   

Income From Investment Operations:

     

Net investment loss2

    (0.06 )      (0.06 )      (0.05 ) 

Net realized and unrealized gain (loss)

    (0.31     0.59        0.75   
 

 

 

   

 

 

   

 

 

 

Total From Investment Operations

    (0.37     0.53        0.70   
 

 

 

   

 

 

   

 

 

 

Less Distributions to Shareholders:

     

From net investment income

    (0.03     (0.08     (0.04

From net realized capital gains

    (0.39     (0.78       
 

 

 

   

 

 

   

 

 

 

Total Distributions

    (0.42     (0.86     (0.04
 

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Period

  $ 9.54      $ 10.33      $ 10.66   
 

 

 

   

 

 

   

 

 

 

Total Return

    (3.71 )%      5.24     7.04 %3 
 

 

 

   

 

 

   

 

 

 

Ratios to Average Net Assets:4

     

Total expenses before recoupment (reimbursement) from Investment Adviser

    3.56     3.08     3.33 %5 

Recoupment (reimbursement) from Investment Adviser

    0.04     0.04     (0.27 )%5 
 

 

 

   

 

 

   

 

 

 

Net expenses after recoupment (reimbursement) from Investment Adviser

    3.60     3.12     3.06 %5 

Excluded Expenses6

    (1.20 )%      (0.72 )%      (0.66 )%5 
 

 

 

   

 

 

   

 

 

 

Expenses, net of impact of excluded expenses

    2.40     2.40     2.40 %5 
 

 

 

   

 

 

   

 

 

 

Net investment loss

    (0.54 )%      (0.54 )%      (0.69 )%5 
 

 

 

   

 

 

   

 

 

 

Supplemental Data:

     

Net assets, end of period (in thousands)

  $ 630,631      $ 1,329,359      $ 1,182,905   

Portfolio turnover

    200     265     135 %3 

 

1  For the period August 6, 2013 (commencement of operations) to March 31, 2014.
2  Calculated using average shares outstanding during the period.
3  Percentage represents the results for the period and is not annualized.
4  The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund.
5  Financial ratios have been annualized except for non-recurring costs.
6  Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement, except for Management Fees. See Note 7.

 

See Notes to Consolidated Financial Statements.

 

212


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Financial Highlights (Continued)

(For a Share Outstanding Throughout the Period)

 

     Multi-Strategy Fund—Class I   
   

Year

Ended

3/31/2016

   

Period

Ended

3/31/20151

 

Net Asset Value, Beginning of Period

  $ 10.38      $ 10.00   

Income From Investment Operations:

   

Net investment loss2

    (0.05     (0.09 ) 

Net realized and unrealized gain (loss)

    (0.26     0.53   
 

 

 

   

 

 

 

Total From Investment Operations

    (0.31     0.44   
 

 

 

   

 

 

 

Less Distributions to Shareholders:

   

From net investment income

    (0.01     (0.02

From net realized capital gains

    (0.24     (0.04
 

 

 

   

 

 

 

Total Distributions

    (0.25     (0.06
 

 

 

   

 

 

 

Net Asset Value, End of Period

  $ 9.82      $ 10.38   
 

 

 

   

 

 

 

Total Return

    (3.01 )%      4.43 %3 
 

 

 

   

 

 

 

Ratios to Average Net Assets:4

   

Total expenses before recoupment (reimbursement) from Investment Adviser

    3.22     3.41 %5 

Recoupment (reimbursement) from Investment Adviser

    0.05     (0.24 )%5 
 

 

 

   

 

 

 

Net expenses after recoupment (reimbursement) from Investment Adviser

    3.27     3.17 %5 

Excluded expenses6

    (0.93 )%      (0.77 )%5 
 

 

 

   

 

 

 

Expenses, net of impact of excluded expenses

    2.34     2.40 %5 
 

 

 

   

 

 

 

Net investment loss

    (0.45 )%      (1.11 )%5 
 

 

 

   

 

 

 

Supplemental Data:

   

Net assets, end of period (in thousands)

  $ 3,921,027      $ 1,097,917   

Portfolio turnover

    172     194 %3 

 

1  For the period June 16, 2014 (commencement of operations) to March 31, 2015.
2  Calculated using average shares outstanding during the period.
3  Percentage represents the results for the period and is not annualized.
4  The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds.
5  Financial ratios have been annualized except for non-recurring costs.
6  Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement, except for Management Fees. See Note 7.

 

See Notes to Consolidated Financial Statements.

 

213


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Financial Highlights (Continued)

(For a Share Outstanding Throughout the Period)

 

    Multi-Strategy Fund—Class D  
   

Year
Ended
3/31/2016

   

Period

Ended

3/31/20151

 

Net Asset Value, Beginning of Period

  $ 10.38      $ 10.00   

Income From Investment Operations:

   

Net investment loss2

    (0.07     (0.05 ) 

Net realized and unrealized gain (loss)

    (0.26     0.48   
 

 

 

   

 

 

 

Total From Investment Operations

    (0.33     0.43   
 

 

 

   

 

 

 

Less Distributions to Shareholders:

   

From net investment income

           (0.01

From net realized capital gains

    (0.24     (0.04
 

 

 

   

 

 

 

Total Distributions

    (0.24     (0.05
 

 

 

   

 

 

 

Net Asset Value, End of Period

  $ 9.81      $ 10.38   
 

 

 

   

 

 

 

Total Return

    (3.22 )%      4.32 %3 
 

 

 

   

 

 

 

Ratios to Average Net Assets:4

   

Total expenses before recoupment (reimbursement) from Investment Adviser

    3.47     3.54 %5 

Recoupment (reimbursement) from Investment Adviser

    0.02     (0.14 )%5 
 

 

 

   

 

 

 

Net expenses after recoupment (reimbursement) from Investment Adviser

    3.49     3.40 %5 

Excluded expenses6

    (1.18 )%      (1.00 )%5 
 

 

 

   

 

 

 

Expenses, net of impact of excluded expenses

    2.31     2.40 %5 
 

 

 

   

 

 

 

Net investment loss

    (0.66 )%      (1.29 )%5 
 

 

 

   

 

 

 

Supplemental Data:

   

Net assets, end of period (in thousands)

  $     22,811      $       6,012   

Portfolio turnover

    172     194 %3 

 

1  For the period November 17, 2014 (commencement of operations) to March 31, 2015.
2  Calculated using average shares outstanding during the period.
3  Percentage represents the results for the period and is not annualized.
4  The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds.
5  Financial ratios have been annualized except for non-recurring costs.
6  Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement, except for Management Fees. See Note 7.

 

See Notes to Consolidated Financial Statements.

 

214


Blackstone Alternative Investment Funds and Subsidiaries

Consolidated Financial Highlights (Continued)

(For a Share Outstanding Throughout the Period)

 

    Multi-Strategy Fund—Class Y  
   

Year
Ended
3/31/2016

   

Period

Ended

3/31/20151

 

Net Asset Value, Beginning of Period

  $ 10.29      $ 10.00   

Income From Investment Operations:

   

Net investment loss2

    (0.03     (0.02 ) 

Net realized and unrealized gain (loss)

    (0.25     0.31   
 

 

 

   

 

 

 

Total From Investment Operations

    (0.28     0.29   
 

 

 

   

 

 

 

Less Distributions to Shareholders:

   

From net investment income

    (0.02       

From net realized capital gains

    (0.24       
 

 

 

   

 

 

 

Total Distributions

    (0.26       
 

 

 

   

 

 

 

Net Asset Value, End of Period

  $ 9.75      $ 10.29   
 

 

 

   

 

 

 

Total Return

    (2.90 )%      2.90 %3 
 

 

 

   

 

 

 

Ratios to Average Net Assets:4

   

Total expenses before recoupment (reimbursement) from Investment Adviser

    3.12     3.26 %5 

Recoupment (reimbursement) from Investment Adviser

    0.00 %6      (0.07 )%5 
 

 

 

   

 

 

 

Net expenses after recoupment (reimbursement) from Investment Adviser

    3.12     3.19 %5 

Excluded expenses7

    (0.92 )%      (0.79 )%5 
 

 

 

   

 

 

 

Expenses, net of impact of excluded expenses

    2.20     2.40 %5 
 

 

 

   

 

 

 

Net investment loss

    (0.34 )%      (1.03 )%5 
 

 

 

   

 

 

 

Supplemental Data:

   

Net assets, end of period (in thousands)

  $ 339,613      $ 105,624   

Portfolio turnover

    172     194 %3 

 

1  For the period January 28, 2015 (commencement of operations) to March 31, 2015.
2  Calculated using average shares outstanding during the period.
3  Percentage represents the results for the period and is not annualized.
4  The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds.
5  Financial ratios have been annualized except for non-recurring costs.
6  Represents less than 0.01%.
7  Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement, except for Management Fees. See Note 7.

 

See Notes to Consolidated Financial Statements.

 

215


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements

For the Year Ended March 31, 2016

 

1. Organization

Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust consists of two series, Blackstone Alternative Multi-Manager Fund (“Multi-Manager Fund”) and Blackstone Alternative Multi-Strategy Fund (“Multi-Strategy Fund”) (each individually referred to as a “Fund”, and collectively, the “Funds”). The Multi-Manager Fund and the Multi-Strategy Fund are non-diversified funds that commenced operations offering Class I Shares on August 6, 2013 and June 16, 2014, respectively. The Multi-Strategy Fund also offers Class D Shares, Class Y Shares and Class R Shares, of which, Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively.

The investment adviser of the Funds is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of each Fund’s affairs and, pursuant to an investment management agreement, has engaged BAIA to manage each Fund’s day-to-day investment activities. Each Fund’s investment objective is to seek capital appreciation. The Investment Adviser seeks to achieve the Funds’ objectives by allocating the Funds’ assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Funds’ assets and allocates a majority of the Funds’ assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds, and may also manage a portion of the Funds’ assets directly. Each Sub-Adviser is responsible for the day-to-day management of the Funds’ assets that the Investment Adviser allocates to it. The Investment Adviser has the responsibility to oversee each Sub-Adviser (subject to the oversight of the Board).

Each Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the Subsidiaries), each of which has the same investment objective as the Funds. One of each Fund’s Subsidiaries, Blackstone Alternative Multi-Manager Sub Fund II Ltd. and Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiaries), is a Cayman Islands exempted company. Each of the other Subsidiaries, Blackstone Alternative Multi-Manager Sub Fund III L.L.C. and Blackstone Alternative Multi-Strategy Sub Fund III L.L.C., (the “Domestic Subsidiaries III”), and Blackstone Alternative Multi-Manager Sub Fund IV L.L.C. and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiaries IV”), are Delaware limited liability companies. The Cayman Subsidiaries invest, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiaries III and the Domestic Subsidiaries IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated financial statements include the financial statements of the Multi-Manager Fund and its applicable Subsidiaries and the Multi-Strategy Fund and its applicable Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.

The Funds and the Cayman Subsidiaries are each a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Funds and the Cayman Subsidiaries, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 of the Commodity Exchange Act (“CEA”), respectively, from certain disclosure, reporting, and recordkeeping requirements otherwise applicable to commodity pools. None of the Domestic Subsidiaries III and Domestic Subsidiaries IV intend to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiaries III and the Domestic Subsidiaries IV, and such pools are not subject to regulation by the CFTC.

 

216


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the respective Prospectus of each of the Funds.

2. Basis of Presentation

Each Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars. All inter-company accounts and transactions have been eliminated in consolidation. The preparation of financial statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.

The Funds are investment companies in accordance with Accounting Standards Codification 946, Financial Services – Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.

3. Significant Accounting Policies

The net asset value (“NAV”) of each Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).

Valuation Policy

For purposes of calculating the NAV, each Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at fair value. U.S. GAAP defines fair value as the price that each Fund would receive to sell an asset or pay to transfer a liability (i.e. the exit price) in an orderly transaction between market participants at the measurement date. The Board has established procedures for determining the fair value of securities, including securities sold short, and derivative financial instruments and other investments (together the “investments”) (the “Valuation Procedures”). The Board has delegated to the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. The Investment Adviser’s management has formed the Fair Value Committee (the “FVC”), which provides oversight of the valuation and pricing function of each Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined, in good faith by the FVC, and such determinations shall be reported to the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.

Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations), including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the values of a Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the FVC and the Investment Adviser the responsibility for monitoring significant events that may materially affect the values of each Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events. There were no instances of such determination made as of March 31, 2016.

 

217


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Fair Value Measurements

Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The hierarchy established under the fair value guidance gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.

Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:

Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Funds do not adjust the quoted price for these investments.

The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, and derivative financial instruments actively traded on recognized exchanges.

Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.

The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts.

Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause an investment to be reclassified between Level 1, Level 2, or Level 3.

A description of the valuation techniques applied to each Fund’s major categories of investments measured at fair value on a recurring basis are as follows:

Exchange-Traded Securities

Equity securities, including common stock, listed preferred stock, exchange-traded funds, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price

 

218


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

(or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.

The Funds may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger (“Fair Value Trigger”) as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of March 31, 2016, certain foreign equity securities were classified in Level 2 as a Fair Value Factor was applied to the prices of these securities.

Short-Term Investments

Short-term investments, such as money market funds, are valued at NAV. These securities are categorized as Level 1 within the fair value hierarchy.

OTC Derivative Financial Instruments

Derivative financial instruments, such as forward foreign currency exchange contracts, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.

Fixed Income Securities

Fixed income securities, including corporate and convertible bonds, U.S. Treasury obligations, foreign debt obligations, bank loans, and trade claims, are normally valued by pricing service providers on the basis of last available bid price. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models to determine the reported price. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

 

219


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Mortgage-related and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Level 3 securities are valued by broker quotes or pricing services that may employ valuation techniques with unobservable inputs. At March 31, 2016, the values of these Level 3 securities for Multi-Manager Fund and Multi-Strategy Fund were $326,210 and $460,576, respectively. The appropriateness of fair values for these securities are monitored on an ongoing basis which may include results of backtesting, results of pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.

Investment in Investee Fund

The fair value of investments in unaffiliated hedge funds, funds traded publicly on foreign exchanges, funds that are Undertakings for Collective Investment in Transferable Securities, and open-end and closed-end management investment companies in which the Funds may invest (collectively, the “Investee Funds”) is generally determined using the reported net asset value per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If there is no quoted price available, the Funds may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported net asset value per share or its equivalent if the reported net asset value per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946.

Securities and Other Investments

Bank Loans

The Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. Each Fund invests in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Funds may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third-party and the Fund typically will have a contractual relationship only with the third-party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third-party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults.

 

220


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Mortgage-Related and Other Asset-Backed Securities

The Funds may invest in mortgage-related securities (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations (“CMO”), commercial mortgage-backed securities (“CMBS”), residential mortgage-backed securities (“RMBS”), collateralized debt obligations (“CDO”) and other securities that directly or indirectly represent a participation, or are secured by and payable from mortgage loans on real property. Mortgage related and other ABS represent interests in pools of mortgages, loans or other assets. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. Although ABS and CMBS generally experience less prepayment risk than RMBS, each of RMBS, CMBS and ABS, like traditional fixed-income securities, are subject to credit, interest rate, prepayment and extension risks.

Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities. The Funds’ investments in ABS are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets. These securities also are subject to the risk of default on the underlying mortgage or assets, particularly during periods of economic downturn. The timely payment of principal and interest of certain mortgage-related securities is guaranteed by the full faith and credit of the U.S. Government.

Mortgage-backed securities may be either pass-through securities or CMO. Pass-through securities represent a right to receive principal and interest payments collected on a pool of mortgages, which are passed through to security holders. CMO are created by dividing the principal and interest payments collected on a pool of mortgages into several revenue streams (tranches) with different priority rights to portions of the underlying mortgage payments. Certain CMO tranches may represent a right to receive interest only (“IOs”), principal only (“POs”) or an amount that remains after floating-rate tranches are paid (an “inverse floater”). These securities may be extremely sensitive to changes in interest rates. Interest rates on inverse floaters, for example, vary inversely with a short-term floating rate (which may be reset periodically). Interest rates on inverse floaters will decrease when short-term rates increase, and will increase when short-term rates decrease. These securities have the effect of providing a degree of investment leverage. In response to changes in market interest rates or other market conditions, the value of an inverse floater may increase or decrease at a multiple of the increase or decrease in the value of the underlying securities. If a Fund invests in

CMO tranches (including CMO tranches issued by government agencies) and interest rates move in a manner not anticipated by the Investment Adviser, it is possible that the Fund could lose all or substantially all of its investment.

Securities Sold Short

The Funds may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby a Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby a Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Funds are obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.

Upon entering into a Short Sale, the Funds establish a liability which is recorded as securities sold short in the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Funds are liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on

 

221


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

securities sold short in the Consolidated Statement of Operations. Unrealized appreciation or depreciation for the difference between the proceeds received and the fair value of the open Short Sale position is recorded as net unrealized appreciation or depreciation from investments on securities sold short in the Consolidated Statement of Operations. A realized gain or loss is recognized when the short position is closed as a net realized gain or loss from investments on securities sold short in the Consolidated Statement of Operations.

Investment Transactions and Related Investment Income

Investment transactions are recorded as of the trade date for financial reporting purposes. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, when notified. Interest income, which includes amortization of premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an accrual basis. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.

Cash

At March 31, 2016, the Multi-Manager Fund and the Multi-Strategy Fund had $329,423,891 and $69,940,159, respectively, in domestic cash and $0 and $21,396,145, respectively, in foreign cash held at a major U.S. bank.

Foreign Currency

The functional currency of each Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Funds do not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and deprecation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.

Contingencies

Under the Trust’s Declaration of Trust, each of the Funds’ officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds may enter into contracts that contain a variety of representations and indemnifications. The Funds expect the risk of loss pursuant to these indemnifications to be remote.

Income Taxes

The Funds’ policy is to comply with the provisions of the Internal Revenue Code, as amended, applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Funds plan to file U.S. federal and various state and local tax returns.

For the open tax years and all major jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements.

 

222


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Organization Costs

Organizational expenses associated with the establishment of the Funds were expensed by the Funds as incurred and reimbursed by the Investment Adviser in accordance with the terms of the Expense Limitation and Reimbursement Agreement (see Note 7).

Offering Costs

Offering costs are amortized over 12 months on a straight-line basis beginning on the date of commencement of operations.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of net realized capital gains of the Funds, if any, are generally declared and paid in December, however, the Funds may make additional distributions at other times. Dividends and capital gain distributions paid by the Funds will be reinvested in additional Shares (see Note 6) of the Funds or, if elected by the Shareholder, paid in cash.

Segregation and Collateralization

In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) and its staff require that a Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forward foreign currency exchange contracts, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or certain interpretive guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, a Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) implemented between each Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Funds to offset certain derivative financial instruments’ with collateral. At March 31, 2016, the Funds used the gross method of presentation in their consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Funds is segregated by the Funds’ custodian and identified as such in each Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Funds and the applicable counterparty. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.

The Funds manage counterparty risk by entering into agreements only with counterparties that are believed to have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Funds may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of a Fund, a decrease in net asset value. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to

 

223


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

terminate the contract. See Note 9 for a further discussion of the risks of a Fund, including Credit and Counterparty Risk.

Reverse Repurchase Agreements

The Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. As of March 31, 2016, the face values of open reverse repurchase agreements for Multi-Manager Fund and Multi-Strategy Fund were $4,630,000 and $206,793,000, respectively. The weighted average daily balances of reverse repurchase agreements outstanding during the year ended March 31, 2016 for Multi-Manager Fund and Multi-Strategy Fund were approximately $128,422,032 and $155,231,786, respectively, at a weighted average weekly interest rate of 1.89% and 1.97%, respectively.

An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The following tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.

Multi-Manager Fund

 

Counterparty

  Reverse
Repurchase
Agreements
  Fair Value of
Non-Cash
Collateral(1)
  Cash
Collateral
Pledged(1)
  Net
Amount

Credit Suisse Securities (USA) LLC

    $ (4,497,142 )     $ 4,497,142       $       $  

JPMorgan Chase Bank, N.A.

      (155,392 )       155,392                  
   

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $ (4,652,534 )     $ 4,652,534       $       $  
   

 

 

     

 

 

     

 

 

     

 

 

 

 

(1)  Additional required collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash and cash collateral pledged at March 31, 2016 was $6,041,388 and $1,055,296, respectively.

 

224


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

 

    Remaining Contractual Maturity of the Agreements
As of March 31, 2016
   

Overnight
and
Continuous

 

<30 days

 

Between
30 & 90
days

 

>90 days

 

Total

Reverse Repurchase Agreements

  

               

Mortgage-Backed Securities

    $       $ 3,816,628       $ 144,062       $       $ 3,960,690  

Cash

              691,844                         691,844  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $       $ 4,508,472       $ 144,062       $       $ 4,652,534  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements

                    $ 4,652,534  
                   

 

 

 

Multi-Strategy Fund

 

Counterparty

  Reverse
Repurchase
Agreements
  Fair Value of
Non-Cash
Collateral(1)
  Cash
Collateral
Pledged(1)
  Net
Amount

BNP Paribas Securities Corp.

    $ (8,936,199 )     $ 8,936,199       $       $  

Credit Suisse Securities (USA) LLC

      (53,008,125 )       53,008,125                  

JPMorgan Chase Bank, N.A.

      (23,078,954 )       23,078,954                  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      (74,184,099 )       74,184,099                  

Royal Bank of Canada

      (45,752,036 )       45,752,036                  

Wells Fargo Securities LLC

      (2,421,894 )       2,421,894                  
   

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $ (207,381,307 )     $ 207,381,307       $       $  
   

 

 

     

 

 

     

 

 

     

 

 

 

 

(1)  Additional required collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash and cash collateral pledged at March 31, 2016 was $284,447,501 and $6,960,834, respectively.

 

    Remaining Contractual Maturity of the Agreements
As of March 31, 2016
   

Overnight
and
Continuous

 

<30 days

 

Between
30 & 90
days

 

>90 days

 

Total

Reverse Repurchase Agreements

  

               

Mortgage-Backed Securities

    $       $ 124,706,696       $ 42,401,993       $ 11,043,433       $ 178,152,122  

Asset-Backed Securities

                      24,275,494                 24,275,494  

Cash

              4,953,691                         4,953,691  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $       $ 129,660,387       $ 66,677,487       $ 11,043,433       $ 207,381,307  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements

                    $ 207,381,307  
                   

 

 

 

Securities Lending

The Funds may lend securities, through their agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to each Fund on the next Business Day. The initial collateral received by each Fund should have a value of at least 102%

 

225


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The risk of borrower default will be borne by the Fund’s agent; the Funds will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that each Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investment in securities. Income from securities lending is included in investment income on the Consolidated Statement of Operations. As of March 31, 2016, the market value of securities loaned for Multi-Manager Fund and Multi-Strategy Fund amounted to $23,296,179 and $116,876,693, respectively, and each Fund had received cash collateral of $23,898,259 and $120,918,878, respectively. The market value of securities on loan are classified as common stock, corporate and convertible bonds and notes in each Fund’s Consolidated Schedule of Investments and as a component of investments in securities, at value in the Consolidated Statement of Assets and Liabilities. In addition, the value of the related collateral is shown separately as securities lending collateral payable in the Consolidated Statement of Assets and Liabilities. All of the security lending agreements are continuous.

The securities lending agreement entered into by each Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Funds can reinvest cash collateral.

The following tables present the securities lending agreements by borrower/counterparty, which are subject to offset under the securities lending agreement, as well as the collateral delivered related to those securities lending agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.

Multi-Manager Fund

 

Borrower/Counterparty

  Securities Loaned
at Value
  Cash Collateral
Received(1)
  Net Amount(2)

BNP Paribas Prime Brokerage, Inc.

    $ 171,226       $ (171,226 )     $  

Citigroup Global Markets, Inc.

      1,786,475         (1,786,475 )        

Credit Suisse Securities (USA) LLC

      775,852         (775,852 )        

Deutsche Bank Securities, Inc.

      4,105,655         (4,105,655 )        

Goldman Sachs & Co.

      1,558,294         (1,558,294 )        

Janney Montgomery Scott LLC

      526,538         (526,538 )        

Jefferies LLC

      10,808         (10,808 )        

JP Morgan Clearing Corp.

      1,309,726         (1,309,726 )        

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      971,880         (971,880 )        

Mitsubishi UFJ Securities (USA) Inc.

      12,276         (12,276 )        

Pershing LLC

      349,860         (349,860 )        

RBC Capital Markets, LLC

      358,810         (358,810 )        

State Street Bank and Trust Company

      10,350,359         (10,350,359 )        

Timber Hill LLC

      662,870         (662,870 )        

UBS Securities LLC

      118,801         (118,801 )        

Wedbush Securities, Inc.

      226,749         (226,749 )        
   

 

 

 

Total

    $ 23,296,179       $ (23,296,179 )     $  
   

 

 

 

 

226


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

 

    Remaining Contractual Maturity of the Agreements
As of March 31, 2016
   

Overnight
and
Continuous

 

<30 days

 

Between
30 & 90
days

 

>90 days

 

Total

Securities Lending Agreements

                   

Common Stock

    $ (23,223,609 )     $       $       $       $ (23,223,609 )

Exchange-Traded Funds

      (72,570 )                               (72,570 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $ (23,296,179 )     $       $       $       $ (23,296,179 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Gross amount of recognized liabilities for securities lending agreements

  

    $ (23,296,179 )
                   

 

 

 

Multi-Strategy Fund

 

Borrower/Counterparty

  Securities Loaned
at Value
  Cash Collateral
Received(1)
  Net Amount(2)

BNP Paribas Prime Brokerage, Inc.

    $ 111,650       $ (111,650 )     $  

BNP Paribas Securities Corp.

      16,646,704         (16,646,704 )        

Citadel Clearing LLC

      2,142,608         (2,142,608 )        

Citigroup Global Markets, Inc.

      14,230,309         (14,230,309 )        

Deutsche Bank Securities, Inc.

      14,684,296         (14,684,296 )        

Goldman Sachs & Co.

      12,026,453         (12,026,453 )        

Janney Montgomery Scott LLC

      1,405,451         (1,405,451 )        

JP Morgan Clearing Corp.

      5,257,279         (5,257,279 )        

JP Morgan Securities LLC

      498,438         (498,438 )        

Merrill Lynch International

      2,120,813         (2,120,813 )        

Merrill Lynch, Pierce, Fenner & Smith, Inc.

      11,887,744         (11,887,744 )        

Morgan Stanley & Co. LLC

      10,799,815         (10,799,815 )        

National Financial Services LLC

      3,794,667         (3,794,667 )        

Natixis Securities Americas, LLC

      49,612         (48,900 )       712  

Pershing LLC

      377,730         (375,950 )       1,780  

Sanford C. Bernstein & Co. LLC

      100         (100 )        

SG Americas Securities, LLC

      9,997,638         (9,997,638 )        

TD Ameritrade Clearing, Inc.

      107         (107 )        

Timber Hill LLC

      4,451,926         (4,451,926 )        

UBS Securities LLC

      1,446,912         (1,446,912 )        

Wedbush Securities, Inc.

      2,553,653         (2,553,653 )        

Wells Fargo Bank National Association

      406,258         (406,258 )        

Wells Fargo Securities, Inc.

      1,986,530         (1,986,530 )        
   

 

 

 

Total

    $ 116,876,693       $ (116,874,201 )     $ 2,492  
   

 

 

 

 

 

227


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

 

    Remaining Contractual Maturity of the Agreements
As of March 31, 2016
   

Overnight
and
Continuous

 

<30 days

 

Between
30 & 90
days

 

>90 days

 

Total

Securities Lending Agreements

                   

Common Stock

    $ (101,518,616 )     $       $       $       $ (101,518,616 )

Corporate Bonds & Notes

      (13,611,543 )                               (13,611,543 )

Exchange-Traded Funds

      (1,746,534 )                               (1,746,534 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $ (116,876,693 )     $       $       $       $ (116,876,693 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Gross amount of recognized liabilities for securities lending agreements

  

    $ (116,876,693 )
                   

 

 

 

 

(1)  Additional required collateral received from the individual counterparty is not shown for financial reporting purposes.
(2)  The net amount represents additional collateral to be allocated to each Fund on the next business day.

When-Issued and Delayed-Delivery Transactions

The Funds may engage in when-issued or delayed-delivery transactions. The Funds record when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

The Funds may transact in To Be Announced Securities (TBAs). As with other delayed delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Funds agree to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Funds record TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Funds.

Recent Accounting Pronouncements

In January 2016, the Financial Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities. The new guidance is intended to enhance the reporting model for financial instruments to provide users of financial statements with more decision-useful information and addresses certain aspects of the recognition, measurement, presentation, and disclosure of financial instruments. The new standard affects all entities that hold financial assets or owe financial liabilities. The new guidance is effective for public companies for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. The adoption of ASU No. 2016-01 is not expected to have a material impact on the consolidated financial statements.

In May 2015, the FASB issued ASU No. 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). The amendment removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the NAV as a practical expedient. The guidance is effective for fiscal years beginning after December 15, 2016 and for interim periods within those years and early adoption is permitted. The Funds have elected to early adopt and

 

228


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

apply this guidance as of year-end. Prior to the issuance of the amended guidance, investments that were fair valued using the NAV as a practical expedient were categorized within the fair value hierarchy based on the Funds’ ability to redeem its investment on the measurement date. As of year-end, all of the Funds’ investments in Investee Funds were valued using the practical expedient. As a result of adoption of this guidance, disclosure of investments in Investee Funds within the fair value hierarchy is excluded.

In August 2014, the FASB issued ASU No. 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. The amendment provides guidance on management’s responsibility in evaluating whether there is substantial doubt about a Fund’s ability to continue as a going concern and related footnote disclosures. For each reporting period, management is required to evaluate whether there are conditions or events, in the aggregate, that raise substantial doubt about a Fund’s ability to continue as a going concern within one year from the date the financial statements are issued or are available to be issued. This evaluation should include consideration of conditions and events that are either known or are reasonably knowable at the date the financial statements are issued or are available to be issued, as well as whether it is probable that management’s plans to address the substantial doubt will be implemented and, if so, whether it is probable that the plans will alleviate the substantial doubt. The guidance is effective for annual periods ending after December 15, 2016, and interim periods and annual periods thereafter. Early adoption is permitted. The adoption of this guidance did not have a material impact on the consolidated financial statements with the exception of additional disclosure reflected in Note 13.

In June 2014, the FASB issued ASU No. 2014-11, Transfers and Servicing (Topic 860) – Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The guidance requires that repurchase-to-maturity transactions and repurchase agreements executed as a repurchase financing be accounted for as secured borrowings. The guidance also requires new disclosure for transactions economically similar to repurchase agreements in which the transferor retains substantially all of the exposure to the economic return on the transferred financial assets throughout the term of the transaction and expanded disclosures about the nature of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for interim and annual periods beginning after December 15, 2014. The adoption of this guidance did not have a material impact on the consolidated financial statements with exception of additional disclosure reflected in Note 3.

4. Derivative Financial Instruments

In the normal course of business, the Funds enter into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Funds or to protect against exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g. inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Funds use derivative financial instruments. The derivative financial instruments outstanding as of period end are disclosed in the Consolidated Schedule of Investments.

Forward Foreign Currency Exchange Contracts

The Funds may enter into forward foreign currency exchange contracts to obtain investment exposure, to seek enhanced returns or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forward foreign currency exchange contracts are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed upon price on an agreed upon future date. The market value of a forward foreign currency contract fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is recorded as an unrealized gain or loss on forward foreign currency exchange contracts. When a contract is

 

229


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

closed, each Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities of the Funds, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency exchange contracts may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Funds could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. Each Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.

Futures Contracts

The Funds may enter into futures contracts to maintain investment exposure to a target asset class or to seek enhanced returns. The Funds may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security, or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. A Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts on the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Funds is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

Options Contracts

The Funds purchase and write call and put options. An option contract purchased by a Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by a Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by a Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Funds may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.

Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. A Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the

 

230


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.

Equity, foreign currency or index options that may be purchased or sold by the Funds may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of a Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.

Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When a Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When a Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.

The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or a Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.

Options Written

Each Fund’s transactions in written call and put options during the year ended March 31, 2016 were as follows:

Multi-Manager Fund

 

    Calls   Puts
    Contracts   Notional   Premiums   Contracts   Notional   Premiums

Options Outstanding, March 31, 2015

      2,634         50,315,600       $ 1,210,896         525,564         7,285,400       $ 853,569  

Options written

      631,173         6,674,400         4,260,456         40,980,310                 6,331,980  

Options bought back

      (599,863 )       (56,990,000 )       (3,087,091 )       (40,634,384 )       (7,285,400 )       (4,616,649 )

Options expired

      (33,758 )               (2,358,442 )       (857,381 )               (2,465,765 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Options Outstanding, March 31, 2016

      186               $ 25,819         14,109               $ 103,135  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

231


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Multi-Strategy Fund

 

    Calls   Puts
    Contracts   Notional   Premiums   Contracts   Notional   Premiums

Options Outstanding, March 31, 2015

      2,015         10,960,000       $ 543,384         448,893         3,170,000       $ 552,105  

Options written

      2,011,683         17,700,000         9,153,398         108,891,826                 14,947,466  

Options bought back

      (1,927,249 )       (28,660,000 )       (5,219,602 )       (1,904,255 )       (3,170,000 )       (8,778,324 )

Options expired

      (83,663 )               (4,110,400 )       (106,725,201 )               (4,742,747 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Options Outstanding, March 31, 2016

      2,786               $ 366,780         711,263               $ 1,978,500  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Swap Agreements

The Funds may enter into total return, interest rate, and credit default swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between a Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). A Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Funds as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by a Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected on the Consolidated Statement of Assets and Liabilities.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. A Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty. Counterparty risk related to centrally cleared swaps is mitigated due to the protection against defaults provided by the exchange on which these contracts trade.

Interest Rate Swaps: The Funds may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Funds are subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Funds may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. A Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.

 

232


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by a Fund is recorded as a liability on the Fund’s Consolidated Statement of Assets and Liabilities and an upfront payment made by a Fund is recorded as an asset on the Consolidated Statement of Assets and Liabilities. Interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.

Total Return Swaps: The Funds may enter into total return swap agreements to obtain exposure to a security, index or market without owning such security or investing directly in that security, index or market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.

Credit Default Swaps: The Funds may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issues and/or baskets of securities.

In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by a Fund or made by a Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.

Interest rate swaps, total return swaps and credit default swaps outstanding at period end are listed after the Funds’ Consolidated Schedule of Investments.

 

233


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

At March 31, 2016, the Multi-Manager Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:

Multi-Manager Fund

 

   

Asset Derivatives

   

Liability Derivatives

 

Risk Exposure

 

Consolidated Statement of
Assets &
Liabilities Location

  Fair
Value
   

Consolidated Statement of
Assets &
Liabilities Location

  Fair
Value
 

Interest Rate

  Centrally cleared swaps, at fair value (b)   $      Centrally cleared swaps, at fair value (b)   $   
  Unrealized appreciation on futures contracts (b)     261,409      Unrealized depreciation on futures contracts (b)     (328,485

Equity

  Swap contracts, at fair value (a)     521,341      Swap contracts, at fair value (a)     (572,989
  Unrealized appreciation on futures contracts (b)     795,652      Unrealized depreciation on futures contracts (b)     (1,049,979
  Purchased options, at fair value (c)     662,963      Options written, at value     (102,590

Commodity

  Unrealized appreciation on futures contracts (b)     132,584      Unrealized depreciation on futures contracts (b)     (458,610

Credit

  Swap contracts, at fair value (a)          Swap contracts, at fair value (a)       
  Centrally cleared swaps, at fair value (b)          Centrally cleared swaps, at fair value (b)     (125,552

Foreign Exchange

  Unrealized appreciation on forward foreign currency exchange contracts     1,673,134      Unrealized depreciation on forward foreign currency exchange contracts     (2,120,731
  Unrealized appreciation on futures contracts (b)     143,734      Unrealized depreciation on futures contracts (b)     (230,923
   

 

 

     

 

 

 

Total

  $ 4,190,817        $ (4,989,859
   

 

 

     

 

 

 

Amounts not subject to MNA(1)

    (1,867,813       2,579,823   
   

 

 

     

 

 

 

Total gross amounts subject to MNA

  $ 2,323,004        $ (2,410,036
   

 

 

     

 

 

 

 

(1)  See below for disclosure of financial instruments assets and liabilities subject to offset enforceable master netting arrangements.

 

234


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the year ended March 31, 2016:

 

Consolidated
Statement of
Operations
Location—Net
Realized Gain
(Loss)

  Average
Notional USD(1)
  Commodity   Interest   Credit   Equity   Foreign
Exchange
  Total

Swap contracts

    $ 521,754,402       $       $ (208,339 )     $ 380,794       $ 418,130       $       $ 590,585  

Future contracts

      968,108,417         (2,078,383 )       (3,830,208 )               25,334,344         1,754,439         21,180,192  

Purchased options (c),(d)

      41,840,924                                 (18,542,353 )       60,974         (18,481,379 )

Options Written (e)

      47,900,800                                 6,595,045         116,141         6,711,186  

Forward foreign currency exchange contracts

      508,398,419                                         (405,288 )       (405,288 )
       

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 
        $ (2,078,383 )     $ (4,038,547 )     $ 380,794       $ 13,805,166       $ 1,526,266       $ 9,595,296  
       

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

(1)  Averages are generally based on monthly activity levels during the year ended March 31, 2016.

 

Consolidated Statement of
Operations Location—
Net Change in Unrealized
Appreciation (Depreciation)

  Commodity   Interest Rate   Credit   Equity   Foreign
Exchange
  Total

Swap contracts (b)

    $       $ 507,546       $ (230,013 )     $ (922,863 )     $       $ (645,330 )

Future contracts (b)

      (510,096 )       (63,748 )               (1,072,632 )       (87,189 )       (1,733,665 )

Purchased options (c)

                              332,637         (434,321 )       (101,684 )

Options Written

                              (132,698 )       151,895         19,197  

Forward foreign currency exchange contracts

                                      (1,508,659 )       (1,508,659 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 
    $ (510,096 )     $ 443,798       $ (230,013 )     $ (1,795,556 )     $ (1,878,274 )     $ (3,970,141 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

At March 31, 2016, the Multi-Strategy Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:

Multi-Strategy Fund

 

   

Asset Derivatives

   

Liability Derivatives

 

Risk Exposure

 

Consolidated Statement of
Assets &
Liabilities Location

  Fair
Value
   

Consolidated Statement of
Assets &
Liabilities Location

  Fair
Value
 

Interest Rate

  Centrally cleared swaps, at fair value (b)   $      Centrally cleared swaps, at fair value (b)   $ (3,913,106
  Unrealized appreciation on futures contracts (b)     3,509,971      Unrealized depreciation on futures contracts (b)     (3,533,714

Equity

  Swap contracts, at fair value (a)     21,176,273      Swap contracts, at fair value (a)     (13,872,901
  Unrealized appreciation on futures contracts (b)     10,194,630      Unrealized depreciation on futures contracts (b)     (15,355,676
  Purchased options, at fair value (c)     11,514,405      Options written, at value     (1,635,953

 

235


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

   

Asset Derivatives

   

Liability Derivatives

 

Risk Exposure

 

Consolidated Statement of
Assets &
Liabilities Location

  Fair
Value
   

Consolidated Statement of
Assets &
Liabilities Location

  Fair
Value
 

Commodity

  Unrealized appreciation on futures contracts (b)   $ 2,411,779      Unrealized depreciation on futures contracts (b)   $ (5,840,607

Credit

  Swap contracts, at fair value (a)     9,847,382      Swap contracts, at fair value (a)     (5,597,617
  Centrally cleared swaps, at fair value (b)     5,284,932      Centrally cleared swaps, at fair value (b)     (1,012,002

Foreign Exchange

  Unrealized appreciation on forward foreign currency exchange contracts     9,880,994      Unrealized depreciation on forward foreign currency exchange contracts     (17,863,197
  Unrealized appreciation on futures contracts (b)     716,977      Unrealized depreciation on futures contracts (b)     (1,095,201
   

 

 

     

 

 

 

Total

  $ 74,537,343        $ (69,719,974
   

 

 

     

 

 

 

Amounts not subject to MNA(1)

    (29,872,196       34,232,906   
   

 

 

     

 

 

 

Total gross amounts subject to MNA

  $ 44,665,147        $ (35,487,068
   

 

 

     

 

 

 

 

(1) See below for disclosure of financial instruments assets and liabilities subject to offset enforceable master netting arrangements.

The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the year ended March 31, 2016:

 

Consolidated
Statement of
Operations
Location—Net
Realized Gain
(Loss)

  Average
Notional USD(1)
  Commodity   Interest
Rate
  Credit   Equity   Foreign
Exchange
  Total

Swap contracts

    $ 1,131,017,799       $       $ (1,241,143 )     $ 2,373,921       $ (23,803,980 )     $       $ (22,671,202 )

Future contracts

      2,258,737,995         (3,350,395 )       (8,032,640 )               45,917,879         3,503,427         38,038,271  

Purchased options (c),(d)

      11,151,574                                 (37,919,662 )       (38,245 )       (37,957,907 )

Options Written (e)

      13,764,000                                 10,760,711         26,731         10,787,442  

Forward foreign currency exchange contracts

      1,113,797,292                                         (10,880,138 )       (10,880,138 )
       

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 
        $ (3,350,395 )     $ (9,273,783 )     $ 2,373,921       $ (5,045,052 )     $ (7,388,225 )     $ (22,683,534 )
       

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

(1)  Averages are generally based on monthly activity levels during the year ended March 31, 2016.

 

236


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

 

Consolidated Statement of
Operations Location—
Net Change in Unrealized
Appreciation (Depreciation)

  Commodity   Interest Rate   Credit   Equity   Foreign
Exchange
  Total

Swap contracts (b)

    $       $ (3,573,489 )     $ 217,246       $ 7,265,762       $       $ 3,909,519  

Future contracts (b)

      (3,649,531 )       (175,403 )               (5,767,513 )       (378,224 )       (9,970,671 )

Purchased options (c)

                              (1,474,074 )       (28,280 )       (1,502,354 )

Options Written

                              578,526         (59,790 )       518,736  

Forward foreign currency exchange contracts

                                      (8,699,686 )       (8,699,686 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 
    $ (3,649,531 )     $ (3,748,892 )     $ 217,246       $ 602,701       $ (9,165,980 )     $ (15,744,456 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

(a) Includes swap contracts premium paid/received and unrealized appreciation/depreciation on swap contracts.

 

(b) Includes unrealized appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities.

 

(c) Includes options purchased that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain (loss) on investments in securities and net unrealized appreciation (depreciation) on investments in securities as shown in the Consolidated Statement of Operations.

 

(d) The notional of FX OTC options purchased is disclosed above. Additionally, the average number of Exchange-Traded Options and other OTC options purchased for Multi-Manager Fund and Multi-Strategy Fund were contracts of approximately 21,145,979 and 41,427,897, respectively, for the year ended March 31, 2016.

 

(e) The notional of FX OTC options written is disclosed above. Additionally, the average number of Exchange-Traded Options and other OTC options written for Multi-Manager Fund and Multi-Strategy Fund were contracts of approximately 6,998,858 and 18,306,411, respectively, for the year ended March 31, 2016.

Netting Arrangements

The Funds use master netting arrangements, which allow certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure.

 

237


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Multi-Manager Fund

The following table represents the Multi-Manager Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Multi-Manager Fund as of March 31, 2016:

 

        Gross Amounts Not Offset in the
Consolidated Statement of Assets
and Liabilities
   
   

Gross Amounts of
Assets Presented
in Consolidated
Statement of
Assets
and Liabilities

 

Derivative
Financial
Instruments
Available to
Offset

 

Cash
Collateral
Received(4)

 

Non-Cash
Collateral

 

Net
Amount(2)

By Counterparty(1)

               

Bank of America, N.A.

    $ 2,218       $       $       $         —       $ 2,218  

Credit Suisse International

      78,696                                 78,696  

Credit Suisse Securities (Europe) Limited

      47,366         (2,044 )       (45,322 )                

Deutsche Bank AG

      118,878                 (118,878 )                

Morgan Stanley & Co. International plc

      80,610         (11,880 )                       68,730  

Cayman Subsidiary

                   

State Street Bank and Trust Company

      1,519,296         (1,519,296 )                        

Domestic Subsidiary III

                   

Credit Suisse Securities (Europe) Limited

      404,616         (373,976 )                       30,640  

State Street Bank and Trust Company

      1,965         (1,965 )                        

Domestic Subsidiary IV

                   

Morgan Stanley Capital Services LLC

      69,359         (46,424 )       (14,189 )               8,746  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $ 2,323,004       $ (1,955,585 )     $ (178,389 )     $       $ 189,030  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

238


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

 

        Gross Amounts Not Offset in the
Consolidated Statement of Assets
and Liabilities
   
   

Gross Amounts of
Liabilities in
Consolidated
Statement of
Assets
and Liabilities

 

Derivative
Financial
Instruments
Available to
Offset

 

Cash
Collateral
Pledged(5)

 

Non-Cash
Collateral

 

Net
Amount(3)

By Counterparty (1)

                   

Credit Suisse Securities (Europe) Limited

    $ (2,044 )     $ 2,044       $       $         —       $  

Morgan Stanley & Co. International plc

      (11,880 )       11,880                          

Cayman Subsidiary

                   

Morgan Stanley Capital Services LLC

      (150,545 )               150,545                  

State Street Bank and Trust Company

      (1,790,729 )       1,519,296         271,433                  

Domestic Subsidiary III

                   

Credit Suisse Securities (Europe) Limited

      (373,976 )       373,976                          

State Street Bank and Trust Company

      (34,438 )       1,965                         (32,473 )

Domestic Subsidiary IV

                   

Morgan Stanley Capital Services LLC

      (46,424 )       46,424                          
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $ (2,410,036 )     $ 1,955,585       $ 421,978       $       $ (32,473 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

239


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Multi-Strategy Fund

The following table represents the Multi-Strategy Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Multi-Strategy Fund as of March 31, 2016:

 

        Gross Amounts Not Offset in the
Consolidated Statement of Assets
and Liabilities
   
   

Gross Amounts of
Assets Presented
in Consolidated
Statement of
Assets
and Liabilities

 

Derivative
Financial
Instruments
Available to
Offset

 

Cash
Collateral
Received(4)

 

Non-Cash
Collateral

 

Net
Amount(2)

By Counterparty (1)

                   

Bank of America, N.A.

    $ 38,940       $       $       $         —       $ 38,940  

Credit Suisse International

      2,503,361         (431,587 )       (1,130,000 )               941,774  

Credit Suisse Securities (Europe) Limited

      4,329,900         (1,632,320 )                       2,697,580  

Deutsche Bank AG

      2,562,305                 (2,139,673 )               422,632  

JPMorgan Chase Bank, N.A.

      7,230,027         (202,292 )       (1,162,865 )               5,864,870  

Morgan Stanley & Co. International plc

      1,522,930         (200,162 )                       1,322,768  

Morgan Stanley Capital Services LLC

      8,693,306         (6,359,505 )                       2,333,801  

Cayman Subsidiary

                   

State Street Bank and Trust Company

      7,676,508         (7,676,508 )                        

Domestic Subsidiary III

                   

Credit Suisse Securities (Europe) Limited

      9,387,793         (8,334,139 )                       1,053,654  

JPMorgan Chase Bank, N.A.

      18,325                                 18,325  

State Street Bank and Trust Company

      15,272         (15,272 )                        

Domestic Subsidiary IV

                   

Morgan Stanley Capital Services LLC

      686,480         (477,668 )       (208,812 )                
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $ 44,665,147       $ (25,329,453 )     $ (4,641,350 )     $       $ 14,694,344  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

240


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

 

        Gross Amounts Not Offset in the
Consolidated Statement of Assets
and Liabilities
   
   

Gross Amounts of
Liabilities
in Consolidated
Statement of
Assets and
Liabilities

 

Derivative
Financial
Instruments
Available to
Offset

 

Cash
Collateral
Pledged(5)

 

Non-Cash
Collateral

 

Net
Amount(3)

By Counterparty (1)

                   

Credit Suisse International

    $ (431,587 )     $ 431,587       $       $         —       $  

Credit Suisse Securities (Europe) Limited

      (1,632,320 )       1,632,320                          

JPMorgan Chase Bank, N.A.

      (202,292 )       202,292                          

Morgan Stanley & Co. International plc

      (200,162 )       200,162                          

Morgan Stanley Capital Services LLC

      (6,359,505 )       6,359,505                          

Cayman Subsidiary

                   

Credit Suisse International

      (2,116,228 )               2,116,228                  

Morgan Stanley Capital Services LLC

      (1,948,271 )               1,948,271                  

State Street Bank and Trust Company

      (10,615,571 )       7,676,508         2,490,000                 (449,063 )

Domestic Subsidiary III

                   

Credit Suisse International

      (2,102,905 )               2,102,905                  

Credit Suisse Securities (Europe) Limited

      (8,334,139 )       8,334,139                          

State Street Bank and Trust Company

      (1,030,622 )       15,272         710,000                 (305,350 )

Domestic Subsidiary IV

                   

Morgan Stanley Capital Services LLC

      (477,668 )       477,668                          

State Street Bank and Trust Company

      (35,798 )                               (35,798 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total

    $ (35,487,068 )     $ 25,329,453       $ 9,367,404       $       $ (790,211 )
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

(1)  The Fund and each Subsidiary are subject to separate MNA’s with each individual counterparty.

 

(2)  Net amount represents the net amount receivable from the counterparty in the event of default.

 

(3)  Net amount represents the net amount payable to the individual counterparty in the event of default.

 

(4)  Additional required collateral received from the individual counterparty is not shown for financial reporting purposes.

 

(5)  Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

241


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

5. Fair Value Measurements

The following table presents information about the classification of each Fund’s investments measured at fair value within the fair value hierarchy as of March 31, 2016.

Multi-Manager Fund

 

Assets:   Level 1   Level 2   Level 3   Total

Investments in Securities:

               

Common Stock

    $ 103,827,697       $       $       $ 103,827,697  

Asset-Backed Securities

              959,440                 959,440  

Convertible Bond

              1,328,680                 1,328,680  

Bank Loans

              10,318,933         326,210         10,645,143  

Corporate Bonds & Notes

              2,150,965                 2,150,965  

Mortgage-Backed Securities

              19,495,939                 19,495,939  

Exchange-Traded Funds

      110,323                         110,323  

Rights

      2,170                         2,170  

Purchased Options

      382,561         280,402                 662,963  

Short-Term Investment – Money Market Fund

      38,128,134                         38,128,134  

Total Investments in Securities

    $ 142,450,885       $ 34,534,359       $ 326,210       $ 177,311,454  

Forward Foreign Currency Exchange Contracts

              1,673,134                 1,673,134  

Futures Contracts

      1,333,379                         1,333,379  

OTC Total Return Swaps

              521,341                 521,341  

Total Assets

    $ 143,784,264       $ 36,728,834       $ 326,210       $ 180,839,308  
                                         
Liabilities:   Level 1   Level 2   Level 3   Total

Securities Sold Short

    $ 75,772,554       $       $       $ 75,772,554  

Options Written

      90,710         11,880                 102,590  

Reverse Repurchase Agreements

              4,652,534                 4,652,534  

Securities Lending Collateral Payable

              23,898,259                 23,898,259  

Forward Foreign Currency Exchange Contracts

              2,120,731                 2,120,731  

Futures Contracts

      2,067,997                         2,067,997  

Centrally Cleared Credit Default Swaps

              125,552                 125,552  

OTC Total Return Swaps

              572,989                 572,989  

Total Liabilities

    $ 77,931,261       $ 31,381,945       $       $ 109,313,206  
                                         

As a result of an amendment to fair value guidance, investments that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Schedule of Investments.

During the year ended March 31, 2016, the amount of transfers from Level 2 to Level 1 was $7,992,085 and $(1,425,346) for Common Stock and Securities Sold Short, respectively, as a result of the Fair Value Trigger. As of March 31, 2016, no Fair Value Factor was applied as price movements did not meet the Fair Value Trigger. For more detail on the fair value of foreign equity securities, please refer to the discussion of fair value measurements for exchange-traded securities in Note 3.

 

242


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into Level 3 were primarily related to a decrease in observable activity and inputs and transfers out of Level 3 were primarily related to an update to the valuation methodology that is based on observable inputs.

The changes in investments measured at fair value for which the Multi-Manager Fund used Level 3 inputs to determine fair value are as follows:

Multi-Manager Fund

 

Assets:

Investment in Securities

  Bank Loans   Mortgage-
Backed
Securities
  Total

Balance as of March 31, 2015

    $       $ 11,930,962       $ 11,930,962  

Transfers In

      2,063,127                 2,063,127  

Transfers Out

              (11,930,962 )       (11,930,962 )

Purchases

      175,282                 175,282  

Sales

      (30,108 )               (30,108 )

Amortization

                       

Net realized gain (loss)

                       

Net change in unrealized appreciation (depreciation)

      (1,882,091 )               (1,882,091 )
   

 

 

     

 

 

     

 

 

 

Balance as of March 31, 2016

    $ 326,210       $       $ 326,210  
   

 

 

     

 

 

     

 

 

 

Net change in unrealized appreciation (depreciation) related to investments still held as of March 31, 2016

    $ (1,882,091 )     $       $ (1,882,091 )
   

 

 

     

 

 

     

 

 

 

The following table summarizes the quantitative inputs and assumptions used for investments in securities classified within Level 3 of the fair value hierarchy as of March 31, 2016.

 

Assets

 

Fair Value at
March 31,
2016

 

Valuation

Technique

 

Unobservable

Inputs

 

Range of inputs

(Weighted
Average)

Bank Loans

    $ 326,210     Broker-dealer
Quotations
  Indicative
Bid
      N/A  

 

243


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Multi-Strategy Fund

 

Assets:   Level 1   Level 2   Level 3   Total

Investments in Securities:

           

Common Stock

    $ 1,550,124,985       $       $       $ 1,550,124,985  

Asset-Backed Securities

              373,572,274                 373,572,274  

Convertible Bond

              13,184,595                 13,184,595  

Bank Loans

              2,406,580         460,576         2,867,156  

Corporate Bonds & Notes

              227,386,794                 227,386,794  

Sovereign Debt

              201,486,315                 201,486,315  

Mortgage-Backed Securities

              877,126,725                 877,126,725  

U.S. Government Sponsored Agency Securities

              24,585,249                 24,585,249  

U.S. Treasury Obligations

              73,011,501                 73,011,501  

Exchange-Traded Funds

      29,768,142                         29,768,142  

Rights

      2,887                         2,887  

Purchased Options

      6,925,314         4,589,091                 11,514,405  

Short-Term Investment – Money Market Fund

      774,303,004                         774,303,004  

Subtotal

    $ 2,361,124,332       $ 1,797,349,124       $ 460,576       $ 4,158,934,032  

Investments Valued at NAV

                                    123,836,256  

Total Investments in Securities

                                  $ 4,282,770,288  

Forward Foreign Currency Exchange Contracts

              9,880,994                 9,880,994  

Futures Contracts

      16,833,357                         16,833,357  

Centrally Cleared Credit Default Swaps

              5,284,932                 5,284,932  

OTC Credit Default Swaps

              9,847,382                 9,847,382  

OTC Total Return Swaps

              21,176,273                 21,176,273  

Total Assets

    $ 2,377,957,689       $ 1,843,538,705       $ 460,576       $ 4,345,793,226  
                                         
Liabilities:   Level 1   Level 2   Level 3   Total

Securities Sold Short

    $ 1,102,322,460,       $ 2,122,639       $       $ 1,104,445,099  

Options Written

      1,435,791         200,162                 1,635,953  

Reverse Repurchase Agreements

              207,381,307                 207,381,307  

Securities Lending Collateral Payable

              120,918,878                 120,918,878  

Forward Foreign Currency Exchange Contracts

              17,863,197                 17,863,197  

Futures Contracts

      25,825,198                         25,825,198  

Centrally Cleared Credit Default Swaps

              1,012,002                 1,012,002  

OTC Credit Default Swaps

              5,597,617                 5,597,617  

OTC Total Return Swaps

              13,872,901                 13,872,901  

Centrally Cleared Interest Rate Swaps

              3,913,106                 3,913,106  

Total Liabilities

    $ 1,129,583,449       $ 372,881,809       $       $ 1,502,465,258  
                                         

 

244


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

As a result of an amendment to fair value guidance, investments that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Schedule of Investments.

During the year ended March 31, 2016, the amount of transfers from Level 2 to Level 1 was $24,509,411 and $(1,249,180) for Common Stock and Securities Sold Short, respectively, as a result of the Fair Value Trigger. As of March 31, 2016, no Fair Value Factor was applied as price movements did not meet the Fair Value Trigger. For more detail on the fair value of foreign equity securities, please refer to the discussion of fair value measurements for exchange-traded securities in Note 3.

The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into Level 3 were primarily related to a decrease in observable activity and inputs and transfers out of Level 3 were primarily related to an update to the valuation methodology that is based on observable inputs.

The changes in investments measured at fair value for which the Multi-Strategy Fund used Level 3 inputs to determine fair value are as follows:

Multi-Strategy Fund

 

Assets:

Investment in Securities

  Bank
Loans
  Mortgage-
Backed
Securities
  Total

Balance as of March 31, 2015

    $       $ 19,084,537       $ 19,084,537  

Transfers In

      825,713                 825,713  

Transfers Out

              (19,084,537 )       (19,084,537 )

Purchases

      410,419                 410,419  

Sales

      (31,989 )               (31,989 )

Amortization

      841                 841  

Net realized gain (loss)

      2,253                 2,253  

Net change in unrealized appreciation (depreciation)

      (746,661 )               (746,661 )
   

 

 

     

 

 

     

 

 

 

Balance as of March 31, 2016

    $ 460,576       $       $ 460,576  
   

 

 

     

 

 

     

 

 

 

Net change in unrealized appreciation (depreciation) related to investments still held as of March 31, 2016

    $ (746,661 )     $       $ (746,661 )
   

 

 

     

 

 

     

 

 

 

The following table summarizes the quantitative inputs and assumptions used for investments in securities classified within Level 3 of the fair value hierarchy as of March 31, 2016.

 

Assets

 

Fair Value at
March 31,
2016

 

Valuation

Technique

 

Unobservable

Inputs

 

Range of inputs

(Weighted
Average)

Bank Loans

    $ 460,576     Broker-
dealer
Quotations
  Indicative
Bid
      N/A  

6. Purchase and Sale of Fund Shares

The Multi-Manager Fund currently offers Class I Shares and the Multi-Strategy Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. For the year ended March 31, 2016, only Class D Shares, Class I Shares and Class Y Shares are outstanding.

 

245


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Multi-Manager Fund Class I Shares are offered to investors who are clients of investment advisors, consultants, broker-dealers or other financial intermediaries who: (a) charge such clients fees for advisory, investment, consulting or similar services and (b) have entered into an agreement with Blackstone Advisory Partners L.P. (the “Distributor”) to offer shares. Multi-Manager Fund Class I Shares may also be offered for investment by personnel of the Investment Adviser, and as otherwise may be determined by the Board. Class I Shares of Multi-Manager Fund are held exclusively by a single financial advisor who holds shares on behalf of its clients.

Multi-Strategy Fund Class D Shares are offered primarily through broker-dealers and other financial intermediaries that have entered into an agreement with the Distributor for the use of the Multi-Strategy Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. Multi-Strategy Fund Class I Shares are offered to institutional investors (e.g. banks, insurance companies, corporations, and other financial institutions) and individual investors who are clients of financial intermediaries, broker-dealers, financial institutions or registered investment advisors that: (a) may charge such clients fees for advisory, investment, consulting or similar services and (b) have entered into an arrangement approved by the Distributor to provide certain administrative services to investors. Multi-Strategy Fund Class Y Shares are offered for institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares of Multi-Strategy Fund may also be offered to employees, officers and directors/trustees of the Adviser, the Fund or their respective affiliates. Class Y Shares have no investment minimum requirements. Multi-Strategy Class R Shares do not have a minimum investment requirement and are generally available only to certain benefit plans.

Shares of the Funds may be purchased or redeemed each Business Day.

7. Investment Adviser Fees and Other Transactions with Affiliates

Management Fee

Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Funds, each Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on each Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of each Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee shall be 1.95% (annualized) and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee shall be 1.80% (annualized). During the year ended March 31, 2016, the Multi-Manager Fund paid the Investment Adviser $24,775,275 in management fees. From this amount, the Investment Adviser paid $12,595,664 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Multi-Manager Fund, which amounted to 1.00% of the Fund’s average daily net assets. The Investment Adviser also paid $727,675 in sub-advisory fees to Blackstone Senfina Advisors LLC (“Senfina”), a Sub-Adviser that, during the year ended March 31, 2016, was an affiliate of the Investment Adviser, with respect to the Multi-Manager Fund, which amounted to 0.06% of the Fund’s average daily net assets. During the year ended March 31, 2016, the Multi-Strategy Fund paid the Investment Adviser $54,840,602 in management fees. From this amount, the Investment Adviser paid $27,001,737 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Multi-Strategy Fund, which amounted to 0.94% of the Fund’s average daily net assets. The Investment Adviser also paid $1,267,874 in sub-advisory fees to Senfina with respect to the Multi-Strategy Fund, which amounted to 0.04% of the Fund’s average daily net assets.

 

246


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

Sub-Advisory Fees

Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Funds by the Investment Adviser from the Management Fee received by the Investment Adviser.

Distribution and Service Fees

Pursuant to the amended and restated Distribution and Service Plan, Multi-Strategy Fund Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. Multi-Manager Fund Class I Shares and Multi-Strategy Fund Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.

Expense Limitation and Reimbursement

The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement (the “Multi-Manager Fund Agreement”) with the Multi-Manager Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 0.45% per annum of the Fund’s net assets (the “Multi-Manager Fund Total Expense Cap”). Specified Expenses include all expenses incurred by the Multi-Manager Fund with the exception of (i) the Management Fee, (ii) the distribution and service fees, (iii) acquired fund fees and expenses, (iv) brokerage and trading costs, (v) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (vi) taxes, (vii) dividends and interest on short positions, and (viii) extraordinary expenses (as determined in the sole discretion of BAIA) (together, the “Multi-Manager Fund Excluded Expenses”).

The Investment Adviser has also entered into an Expense Limitation and Reimbursement Agreement (the “Multi-Strategy Fund Agreement”) with the Multi-Strategy Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Multi-Strategy Total Expense Cap”). Specified Expenses include all expenses incurred by the Multi-Strategy Fund with the exception of (i) the distribution or service fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (as determined in the sole discretion of BAIA) (together, the “Multi-Strategy Excluded Expenses”).

To the extent the estimated annualized specified expenses for any month exceeds the total expense cap, the Investment Adviser will waive its fees and/or make payments to the Funds for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the agreements at any time in its sole discretion after August 21, 2018 upon written notice to a Fund. The Funds have agreed to repay the amounts borne by the Investment Adviser under their respective agreements within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect. The repayment may not raise the level of estimated annualized specified expenses in the month of repayment to exceed the total expense cap.

During the year ended March 31, 2016, repayments to the Investment Adviser were as follows:

 

Multi-Manager Fund - Class I

    $ 548,252  

Multi-Strategy Fund - Class I

      1,226,650  

Multi-Strategy Fund - Class D

      2,288  

Multi-Strategy Fund - Class Y

      16,228  

 

247


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

As of March 31, 2016, the repayments that potentially may be made by the Funds are as follows:

 

    Expenses subject to repayment
until maximum
expiration date of March 31,
    2017(a)   2018(b)   2019(c)

Multi-Manager Fund - Class I

    $ 1,965,653       $  —       $  —  

Multi-Strategy Fund - Class I(1)

      N/A                  

Multi-Strategy Fund - Class D(2)

      N/A                  

Multi-Strategy Fund - Class Y(3)

      N/A                  

 

(1) Multi-Strategy Fund - Class I commenced operations on June 16, 2014.

 

(2) Multi-Strategy Fund - Class D commenced operations on November 17, 2014.

 

(3) Multi-Strategy Fund - Class Y commenced operations on January 28, 2015.

 

(a) Expenses reimbursed in fiscal period ending March 31, 2014.

 

(b) Expenses reimbursed in fiscal period ending March 31, 2015.

 

(c) Expenses reimbursed in fiscal period ending March 31, 2016.

Interfund Trades

The Funds may purchase from or sell securities to other affiliated Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. For the year ended March 31, 2016, these purchases and sales were as follows:

 

    Purchases   Sales

Multi-Manager Fund

    $       $ 75,082,613  

Multi-Strategy Fund

    $ 75,082,613       $  

8. Other Agreements

State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Funds. Blackstone Advisory Partners L.P., an affiliate of the Investment Adviser, serves as the Funds’ distributor.

9. Financial Instruments and Off-Balance Sheet Risk

Market Risk: In the normal course of business, the Funds invest in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit and counterparty risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations.

Credit and Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. The potential loss could exceed the value of the financial assets and liabilities recorded in the consolidated financial statements. Financial assets that potentially expose the Funds to credit and counterparty risk consist principally of cash due from counterparties and investments. The Funds manage counterparty risk by entering into agreements only with

 

248


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. The Funds’ Investment Adviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non-standard settlement trades, the Funds restrict exposure to credit and counterparty losses by entering into master netting agreements with counterparties (approved brokers) with whom they undertake a significant volume of transactions. Collateral requirements may differ by type of derivative or investment, as applicable. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for OTC traded derivatives (e.g., forward foreign currency exchange contracts, swap agreements and OTC options). For derivatives traded under an ISDA Master Agreement or similar master agreement, the collateral requirements may be netted across all transactions traded under such agreement and certain counterparties may allow one amount to be posted from one party to the other to collateralized such obligations. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives each Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and may permit net amounts owed under each transaction to be netted to derive one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Fund’s credit risk to such counterparty equal to any amounts payable by the Fund under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction. Cash collateral that has been pledged to cover obligations of a Fund under derivative financial instrument contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Consolidated Schedule of Investments.

Foreign Investment Risk: The investments by the Funds in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in, require settlement in and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency exchange contracts with respect to the potential inability of counterparties to meet the terms of their contracts.

Liquidity Risk: Some securities held by the Funds may be difficult to sell, or illiquid, particularly during times of market turmoil. Illiquid securities may also be difficult to value. If a Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.

Non-Diversification Risk: Each Fund is classified as a “non-diversified” investment company, which means that the percentage of its assets that may be invested in the securities of a single issuer is not limited by the 1940 Act. As a result, the Funds’ investment portfolios may be subject to greater risk and volatility than if investments had been made in the securities of a broad range of issuers.

Additional risks associated with each type of investment are described within the respective security type notes. Each Fund’s Prospectus includes a discussion of the principal risks of investing in the Fund.

 

249


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

10. Investment Transactions

The aggregate cost of purchases and proceeds of sales of investments in securities (excluding U.S. Treasury obligations and U.S. government sponsored agency securities) (including maturities), other than short-term investments (if applicable), for the year ended March 31, 2016 were as follows:

 

   

Multi-Manager
Fund

 

Multi-Strategy
Fund

Purchases

    $ 2,101,074,391       $ 6,345,468,041  

Sales

    $ 2,947,351,969       $ 3,729,358,503  

11. Income Tax Information

The Funds intend to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Funds have adopted a tax year-end of October 31, therefore the consolidated financial statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2015. The Funds intend to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Funds make no provision for U.S. federal income or excise taxes.

Each Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Funds, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Funds on the ex-dividend date.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

The Funds made the following reclassification at March 31, 2016 due to permanent book and tax differences primarily attributable to gain or loss from passive foreign investment companies, certain derivative financial instrument transactions, certain shareholder redemption activity treated as distributions for tax and income from the wholly-owned Cayman Subsidiaries from their tax year-ended October 31, 2015:

 

   

Paid-in Capital

 

Accumulated Investment
Income/(Loss)

 

Accumulated Net Realized
Gain/(Loss)

Multi-Manager Fund

    $ 53,010,810       $ 10,602,000       $ (63,612,810 )

Multi-Strategy Fund

    $ 13,347,200       $ 1,897,176       $ (15,244,376 )

 

250


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

The tax basis components of distributable earnings of the Funds at their tax year-ended October 31, 2015 was:

 

   

Undistributed
Ordinary Income

 

Undistributed Long-
Term Capital Gains

 

Capital Loss
Carryforward

Multi-Manager Fund

    $ 50,255,979       $       $  

Multi-Strategy Fund

    $ 82,501,163       $       $  

In addition, the tax character of distributions paid to shareholders for the tax year-ended October 31, 2015 by the Funds are as follows:

 

   

Ordinary Income

 

Long-Term Capital
Gains

Multi-Manager Fund

    $ 102,436,929       $  

Multi-Strategy Fund

    $ 4,324,263       $  

As of March 31, 2016, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

 

   

Aggregate Cost

 

Gross Unrealized
Appreciation

 

Gross Unrealized
(Depreciation)

 

Net Unrealized
Appreciation
(Depreciation)

Multi-Manager Fund

    $ 203,381,511       $ 8,595,703       $ (34,665,760 )     $ (26,070,057 )

Multi-Strategy Fund

    $ 4,363,296,624       $ 104,757,838       $ (185,284,174 )     $ (80,526,336 )

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds’ understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds’ U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

12. Borrowings Under Credit Facility

The Funds have a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) in an aggregate principal amount of up to $30,000,000 for each Fund or $60,000,000 for both Funds, subject to a maximum loan value of not more than 25% of the Fund’s NAV (the “Aggregate Commitment Amount”). Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the respective borrowing Fund. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Funds to the Bank. Outstanding borrowings bear interest at a rate equal to 1.25% plus the One-Month LIBOR Rate per

 

251


Blackstone Alternative Investment Funds and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2016

 

annum (1.69% at March 31, 2016). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than January 30, 2017, the termination date of the Facility at which time the Funds and the Bank can agree to extend the existing agreement. For the year ended March 31, 2016, the Funds made no borrowings under each Fund’s respective Facility. Effective April 5, 2016, the Multi-Manager Fund was terminated from the Facility, the Multi-Strategy Fund’s Aggregate Commitment Amount was increased to a total of $60,000,000.

13. Subsequent Events

The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance.

On April 4, 2016, the Board of Trustees of BAIF approved a plan to liquidate the Multi-Manager Fund on or about May 31, 2016 (“Liquidation Date”). Any shares of the Fund outstanding on the Liquidation Date are to be automatically redeemed on that date.

On May 24, 2016, a liquidating distribution of $212,987,318 was made to the shareholders of the Multi-Manager Fund.

 

252


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Shareholders of Blackstone Alternative Multi-Manager Fund and Blackstone Alternative Multi-Strategy Fund and Board of Trustees of Blackstone Alternative Investment Funds:

We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of Blackstone Alternative Investment Funds (the “Funds”) comprising the Blackstone Alternative Multi-Manager Fund and Subsidiaries and Blackstone Alternative Multi-Strategy Fund and Subsidiaries as of March 31, 2016, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statement of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2016, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the consolidated financial position of Blackstone Alternative Multi-Manager Fund and Blackstone Alternative Multi-Strategy Fund, each of Blackstone Alternative Investment Funds, as of March 31, 2016, the consolidated results of their operations and their cash flows for the year then ended, the consolidated changes in their net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Emphasis of Matter Regarding Blackstone Alternative Multi-Manager Fund’s Ability to Continue as a Going Concern

As discussed in Note 13 to the consolidated financial statements, on April 4, 2016, the Board of Trustees approved a plan to liquidate Blackstone Alternative Multi-Manager Fund on or about May 31, 2016 (“Liquidation Date”). Any shares outstanding on the Liquidation Date are to be automatically redeemed on that date. Our opinion is not modified with respect to this matter.

Deloitte & Touche LLP

New York, New York

May 26, 2016

 

 

253


Blackstone Alternative Multi-Manager Fund and Subsidiaries

Shareholder Fee Example (Unaudited)

As a shareholder of the Multi-Manager Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Actual Expenses

The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the year ended March 31, 2016. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

    Beginning
Account Value
10/1/2015
  Ending
Account Value
3/31/2016
  Expenses Paid
During Period1
  Annualized
Expense Ratio

Actual

      $1,000.00          $   962.90          $18.60          3.79%   

Hypothetical (assuming a 5% return before expenses)

      $1,000.00          $1,006.05          $19.01          3.79%   

 

1  Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half-year period).

 

254


Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Shareholder Fee Example (Unaudited)

As a shareholder of the Multi-Strategy Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

Actual Expenses

The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the year ended March 31, 2016. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

    Beginning
Account Value
10/1/2015
  Ending
Account Value
3/31/2016
  Expenses Paid
During Period1
  Annualized
Expense Ratio

Class I

               

Actual

    $ 1,000.00        $ 970.90        $ 16.21          3.29%   

Hypothetical (assuming a 5% return before expenses)

    $ 1,000.00        $ 1,008.55        $ 16.52          3.29%   

Class D

               

Actual

    $ 1,000.00        $ 969.70        $ 17.33          3.52%   

Hypothetical (assuming a 5% return before expenses)

    $ 1,000.00        $ 1,007.40        $ 17.67          3.52%   

Class Y

               

Actual

    $ 1,000.00        $ 971.90        $ 15.73          3.19%   

Hypothetical (assuming a 5% return before expenses)

    $ 1,000.00        $ 1,009.05        $ 16.02          3.19%   

 

1  For each class of the Multi-Strategy Fund, expenses are calculated using the annualized expense ratio for the respective class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half-year period).

 

255


Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information

March 31, 2016

 

Management of the Fund

The Funds’ operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Funds (the “Independent Trustees”). The Trustees and the Funds’ officers are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Declaration of Trust. The Trustees were elected by the initial shareholder of the Trust.

Sub-Advisers

During the period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Funds or to one or more Subsidiaries.

 

    AlphaParity, LLC
    Bayview Asset Management, LLC
    Blackstone Senfina Advisors L.L.C.
    Boussard & Gavaudan Investment Management, LLP
    BTG Pactual Asset Management US, LLC (until December 15, 2015)
    Caspian Capital LP
    Cerberus Sub-Advisory I, LLC
    Chatham Asset Management, LLC
    D.E. Shaw Investment Management, L.L.C.
    Emso Partners Limited
    Good Hill Partners LP
    GS Investment Strategies, LLC
    HealthCor Management, L.P.
    IPM Informed Portfolio Management AB
    Nephila Capital, Ltd.
    Rail-Splitter Capital Management, LLC
    Sorin Capital Management, LLC
    Two Sigma Advisers, LLC
    Union Point Advisors, LLC (until July 15, 2015)
    Verde Serviços Internacionais S.A. (until October 15, 2015)
    Waterfall Asset Management, LLC
    Wellington Management Company LLP

Trustees and Officers

The following tables set forth information concerning the Trustees and officers (“Officers”) of the Funds. Unless otherwise noted, the business address of each Officer and Trustee is c/o Blackstone Alternative Investment Advisors LLC, 345 Park Avenue, 28th Floor, New York, NY 10154.

 

256


Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2016

 

Independent Trustees:

 

Name and

Year of

Birth of

Trustee

  Position
Held with
the Funds
 

Term of
Office1
and

Length of
Time Served

  Principal
Occupation(s)
During Past 5 Years
  Number of
Portfolios in
Fund
Complex2
Overseen
by Trustee
  Other Trusteeships
Held by Trustee

John M. Brown

(1959)

  Trustee   March 2013 to present   Retired (2012 – Present) Independent Consultant
(2010 – 2012)
  5   None

Frank J. Coates

(1964)

  Trustee   March 2013 to present   CEO, Wheelhouse Analytics, LLC (2010 – Present) (Technology Solutions)   5   Member of Board of Managers of Evermore Global Advisors, LLC

Peter M. Gilbert

(1947)

  Trustee   February 2016 to present   Chief Investment Officer, Lehigh University Endowment Fund (2007 – 2015)   5   None

Paul J. Lawler

(1948)

  Trustee   March 2013 to present   Retired (2010 –Present)   5   Trustee, First Eagle Variable Funds (1 portfolio); Trustee, First Eagle Funds (8 portfolios)

Kristen Leopold

(1967)

  Trustee   March 2013 to present  

CFO, KL Associates LLC (Hedge Fund Consulting)
(2007 – Present)

CFO, WFL Real Estate Services, LLC

(2007 – Present)

  5   Trustee, CPG Alternative Strategies Fund LLC; Trustee, CPG Carlyle Fund LLC; Trustee, CPG Carlyle Master Fund, LLC

 

257


Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2016

 

Interested Trustee:

 

Name and
Year of

Birth of
Trustee

 

Position
Held with
Fund

 

Term of

Office1
and
Length of

Time

Served

 

Principal

Occupation(s)

During Past 5 Years

 

Number of

Portfolios in

Fund

Complex2

Overseen by

Trustee

 

Other Trusteeships

Held by Trustee

Peter Koffler3

(1956)

  Trustee   August 2012 to present   Senior Managing Director,4 Blackstone Alternative Asset Management L.P. (“BAAM”) (2012 – Present); Chief Compliance Officer, The Blackstone Group L.P. (2013 – Present); General Counsel, Blackstone Alternative Investment Advisors LLC (“BAIA”) and BAAM (2010 – Present); Managing Director,4 BAAM (2006 – 2011); Chief Compliance Officer, BAAM (2008 –
2012)
  5   None

 

1  Term of office of each Trustee is indefinite until his or her resignation, removal, or death. Any Trustee of the Funds may be removed from office in accordance with the provisions of the Trust’s Agreement and Declaration of Trust and Bylaws.

 

2  The “Fund Complex” consists of the Funds, Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, and Blackstone Alternative Alpha Master Fund.

 

3  Mr. Koffler is an “interested person” of the Trust, as defined in the 1940 Act, due to his position with BAIA and its affiliates.

 

4  Executive title, not a board directorship.

 

258


Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2016

 

Officers:

 

Name and Year of
Birth of Officer
  Position(s) Held
with the Fund
  Term of
Office1 and Length
of Time Served
  Principal Occupation(s)
During Past 5 Years

Stephen Buehler

(1977)

  Secretary   August 2012 to present   Managing Director,2 BAAM (2014 – Present); Vice President, BAAM (2012 – 2013); Associate, BAAM (2010 – 2011)

Brian F. Gavin

(1969)

  President (Principal Executive Officer)   August 2012 to present   Chief Operating Officer & Senior Managing Director,2 BAAM (2007 – Present)

Hayley Stein

(1977)

  Chief Compliance Officer and Anti- Money Laundering Officer   March 2013 to present   Managing Director,2 BAAM (2011 – Present); Chief Compliance Officer, BAIA and BAAM (2013 – Present); Vice President, BAAM (2006 – 2010)

Arthur Liao

(1972)

  Treasurer (Principal Financial and Accounting Officer)   August 2012 to present   Senior Managing Director,2 (2016 – Present) Chief Financial Officer, BAIA and BAAM (2007 – Present) Managing Director,2 BAAM (2007 – 2015)

James Hannigan

(1983)

  Chief Legal Officer   March 2015 to present   Vice President, BAAM (2014 – Present); Associate, BAAM (2012 – 2013); Assistant Vice President, FRM Americas LLC (2011 – 2012); Associate, Willkie Farr & Gallagher LLP (2008 – 2011)

 

1  Term of office of each officer is indefinite until his or her death, resignation, removal, or disqualification.

 

2  Executive title, not a board directorship.

Compensation for Trustees

The Trust pays no compensation to any of its officers or to Trustees who are not Independent Trustees. Each Independent Trustee is paid $72,000 per fiscal year for his or her services to the Trust, and the Chairpersons of the Board and the Audit Committee are each paid an additional $3,000 per fiscal year from the Trust. Trustees are reimbursed by the Trust for their travel expenses related to Board meetings, continuing education and conferences.

 

259


Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2016

 

Form N-Q Filings

The Funds file complete schedules of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Holdings and allocations shown on any Form N-Q are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.

Proxy Voting Policies

A description of the policies and procedures used to vote proxies related to the Funds’ portfolio securities and information regarding how the Funds voted proxies relating to their portfolio securities during the 12-month period ended June 30, 2015 will be available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.

Board Approval of the Sub-Advisory Agreements

At meetings of the Board held in person on November 17, 2015 and February 23-24, 2016, the Board, including all of the Independent Trustees, considered and unanimously approved the sub-advisory agreements for the Funds (“Amended and Restated Sub-Advisory Agreements” and “Renewed Sub-Advisory Agreements,” together the “Sub-Advisory Agreements”) between BAIA and each of the following Sub-Advisers:

Amended and Restated Sub-Advisory Agreements

 

    Cerberus Sub-Advisory I, LLC (at November meeting)
    Wellington Management Company LLP (at November meeting)
    Bayview Asset Management, LLC (at February meeting)
    Chatham Asset Management, LLC (at February meeting)
    HealthCor Management L.P. (at February meeting)

Renewed Sub-Advisory Agreements

 

    AlphaParity, LLC (at February meeting)
    Emso Partners Limited (at February meeting)
    GS Investment Strategies, LLC (at February meeting)

The Independent Trustees were assisted in their review of the Sub-Advisory Agreements by independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. The Board noted that BAIA and the Funds rely on an exemptive order from the SEC that permitted the Funds to add or replace Sub-Advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approves the new Sub-Advisers and certain other conditions are met.

Before the meetings, the Board received, among other things, (a) materials prepared by independent legal counsel regarding the relevant factors to consider in evaluating the Sub-Advisory Agreements; (b) materials prepared by BAIA and BAAM relating to each Sub-Adviser, including (1) summary information regarding: the investment thesis; strengths; performance and positioning; a firm-wide risk evaluation and a strategy risk

 

260


Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2016

 

evaluation; an assessment of business infrastructure and relevant valuation, liquidity, trade execution, allocation, and compliance matters; and a summary of the key terms of the relevant Sub-Advisory Agreement; (2) a Manager Investment Review, which covered, in greater detail, each Sub-Adviser’s investment thesis, organizational history and ownership, quantitative analysis, peer group analysis, risk review, business and financial evaluation, and personnel (and for certain Sub-Advisers, investment strategy, investment process, and portfolio construction); (3) a Back Office Review, which covered, among other things, information regarding the Sub-Adviser’s product offerings and personnel, business viability, related entities, product and operational complexity, valuation procedures, internal controls, counterparties, service providers, and regulatory and compliance infrastructure; (4) information regarding updates to each Sub-Adviser’s compliance program; and (5) information regarding the role of each Sub-Adviser as part of the Funds’ portfolios; and (c) materials prepared by each Sub-Adviser that addressed, among other things: (1) general financial information; (2) services and personnel; (3) material business dealings with Blackstone and the Funds’ service providers; (4) the Sub-Adviser’s business plan for the Funds for the coming year; (5) costs, fees, other benefits, and profitability; and (6) risk management and regulatory compliance matters.

With respect to the Amended and Restated Sub-Advisory Agreements, the Board received, among other things, information about the changes from the original sub-advisory agreements, as well as copies of the information reviewed in connection with the approvals of that Sub-Adviser’s original sub-advisory agreements.

At the meetings, there was discussion regarding the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with their independent legal counsel to consider the information provided. In evaluating the Sub-Advisory Agreements, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the investment management fee it receives from the Funds and would not increase the fees or expenses otherwise incurred by the Funds or their shareholders. In the case of the Amended and Restated Sub-Advisory Agreements, the Board also took into account its recent consideration and approval of the original sub-advisory agreements with those Sub-Advisers, and the fact that the proposed changes to the original sub-advisory agreements were not substantive, and were not expected to result in any change in the nature, extent and quality of the services provided to the Funds. Following this discussion, the Board, including all of the Independent Trustees, determined to approve all of the Sub-Advisory Agreements on the basis of the following considerations, among others:

Nature, Extent, and Quality of the Services

The Board discussed and considered with respect to each Sub-Adviser (1) personnel, operations, and financial condition; (2) investment expertise and strengths; (3) percentage of assets that are allocated to the Sub-Adviser; (4) investment return on the assets that are managed by the Sub-Adviser and related investment risks; (5) the Sub-Adviser’s experience and performance as a sub-adviser to the Funds; (6) where applicable, the Sub-Adviser’s experience and performance in managing hedge funds and the extent to which the Sub-Adviser’s strategy for the Funds would overlap with its hedge fund strategy; and (7) the experience and depth of the Sub-Adviser’s portfolio management team and its ability to manage risk. Where applicable, the Board also considered information about the experience of BAIA’s affiliates in investing in hedge funds managed by the Sub-Adviser. The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve the Sub-Advisory Agreements.

 

261


Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2016

 

Costs of Services and Profitability

In analyzing the cost of services and profitability of each Sub-Adviser, the Board discussed the following factors: the proposed sub-advisory fee for managing the allocated Fund assets, including any breakpoints, the Sub-Adviser’s resources devoted to the Funds, and (where available) the information provided by each Sub-Adviser regarding the anticipated profitability to the Sub-Adviser from providing sub-advisory services to the Funds. Where applicable, the Board reviewed the performance of the Sub-Adviser’s comparable hedge fund as compared to a custom index defined by BAIA and/or another comparable fund, as well as information about the management fees borne by those funds. The Board noted that the compensation paid to the Sub-Adviser was paid by BAIA, not the Funds, and, accordingly, that the retention of the Sub-Adviser did not increase the fees or expenses otherwise incurred by the Funds’ shareholders. The Board also considered information about the anticipated average sub-advisory fees that BAIA would pay in light of expected portfolio allocations and the resulting division of fees as between BAIA and the Sub-Advisers. On the basis of the Board’s review of the fees to be charged by each Sub-Adviser for investment sub-advisory services, the relatively unique and highly specialized nature of the portfolio that the Sub-Adviser would manage, and (where available) the costs associated with managing the portfolio, the Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided. It was noted that all of the Sub-Advisory Agreements were the result of arms-length negotiations.

Economies of Scale

The Board discussed various financial and economic considerations relating to the proposed arrangement with each Sub-Adviser, including economies of scale and the breakpoints in place for certain Sub-Advisers. The Board also noted that although not directly related to the sub-advisory fees payable to the Sub-Advisers, certain expenses of the Funds would be subject to an expense cap. The Board noted that it would have the opportunity to periodically re-examine whether each of the Funds had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Sub-Adviser, with respect to different asset sizes of the portfolio managed by such Sub-Adviser, in the future.

Investment Performance of the Sub-Advisers

The Board considered the investment performance of the Sub-Advisers. Where applicable, the Board considered information about the year-to-date, 2015 and inception-to-date investment return of the Funds’ assets that are managed by each Sub-Adviser (net of trading expenses but gross of investment management fees and fund operating expenses), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Sub-Advisers, such Sub-Adviser’s hedge fund strategy. In addition, the Board considered information about performance risk measurements of the assets that are managed by the Sub-Adviser, the custom index and the Sub-Adviser’s strategy such as annualized return, volatility, Sharpe ratio, beta statistics, and alpha statistics. On the basis of the Board’s assessment, the Board concluded that the investment performance generated by the Sub-Advisers was generally satisfactory and that the Sub-Advisers were capable of generating an appropriate level of services to the Funds.

Other Benefits

The Board discussed other potential benefits that each Sub-Adviser might receive from the Funds, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Funds’ shareholders. The Board concluded that other benefits (including ancillary or “fall out” benefits) derived by each Sub-Adviser from its relationship with BAIA, BAAM, or the Funds, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Funds and investors therein, and were consistent with industry practice and the best interests of the Funds and their shareholders.

 

262


Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2016

 

Conclusion

The Board, including all of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that the relevant Sub-Adviser would provide to the Funds and in light of the other factors described above and additional factors that the Board deemed relevant. The Board noted that both BAIA and the Board had previously determined that each Sub-Adviser’s compliance program was reasonably designed to prevent the violation of federal securities laws within the meaning of Rule 38a-1 under the 1940 Act. After review and consideration of certain terms and conditions of the Sub-Advisory Agreements, the Board concluded that the terms of each Sub-Advisory Agreement were reasonable and fair and noted that they would have the opportunity to periodically re-examine the terms of the Sub-Advisory Agreements in the future. The Board based its approval on a comprehensive consideration of all information presented to the Board at its meetings throughout the year and not as a result of any single controlling factor. The Board was assisted by the advice of independent counsel in making these determinations.

Additional Information

The Funds’ Statement of Additional Information includes additional information about the Trustees. The Statement of Additional Information is available upon request, without charge, by calling toll free 1-855-890-7725.

Copies of this annual shareholder report are available upon request to prior shareholders of the Multi-Manager Fund, without charge, by calling toll free 1-855-890-7725.

 

263


Blackstone Registered Funds

Privacy Notice

 

FACTS

  WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION?

 

Why?

  Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

 

What?

 

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

n    Social Security number and income

n    Assets and investment experience

n    Risk tolerance and transaction history

 

How?

  All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing.

 

Reasons we can share your personal
information
  Do Blackstone
Registered Funds
share?
  Can you limit
this sharing?
     

For our everyday business purposes—

such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus

  Yes   No
     

For our marketing purposes—

to offer our products and services to you

  Yes   No
     
For joint marketing with other financial companies   No   We don’t share
     

For our affiliates’ everyday business purposes—

information about your transactions and experiences

  No   We don’t share
     

For our affiliates’ everyday business purposes—

information about your creditworthiness

  No   We don’t share
     
For our affiliates to market to you   No   We don’t share
     
For nonaffiliates to market to you   No   We don’t share

 

   
Questions?   Email us at GLB.privacy@blackstone.com

 

264


Blackstone Registered Funds Privacy Notice (Continued)

 

Who we are
Who is providing this notice?   Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Manager Fund and Blackstone Alternative Multi-Strategy Fund, and the GSO Funds, consisting of Blackstone/GSO Senior Floating Rate Term Fund, Blackstone/GSO Long-Short Credit Income Fund and Blackstone/GSO Strategic Income Fund
What we do
How do Blackstone Registered Funds protect my personal information?   To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
How do Blackstone Registered Funds collect my personal information?  

We collect your personal information, for example, when you:

n    open an account or give us your income information

n    provide employment information or give us your contact information

n    tell us about your investment or retirement portfolio

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

Why can’t I limit all sharing?  

Federal law gives you the right to limit only:

n    sharing for affiliates’ everyday business purposes— information about your creditworthiness

n    affiliates from using your information to market to you

n    sharing for nonaffiliates to market to you

State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law.

What happens when I limit sharing for an account I hold jointly with someone else?   Your choices will apply to everyone on your account—unless you tell us otherwise.
Definitions
Affiliates  

Companies related by common ownership or control. They can be financial and nonfinancial companies.

n    Our affiliates include companies with a Blackstone name and financial companies such as GSO Capital Partners LP and Strategic Partners Fund Solutions.

Nonaffiliates  

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

n    Blackstone Registered Funds do not share with nonaffiliates so they can market to you.

Joint marketing  

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

n    Our joint marketing partners include financial services companies.

   
Other important information

California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law.

Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident.

 

265


Blackstone Alternative Multi-Manager Fund

Blackstone Alternative Multi-Strategy Fund

Series of Blackstone Alternative Investment Funds

 

Trustees

John M. Brown, Chairman

Frank J. Coates

Peter M. Gilbert

Paul J. Lawler

Kristen M. Leopold

Peter Koffler

Investment Manager

Blackstone Alternative Investment Advisors LLC

345 Park Avenue

New York, New York 10154

Administrator and Custodian

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Transfer Agent

State Street Bank and Trust Company

One Heritage Drive

North Quincy, MA 02171

Officers

Brian F. Gavin, President and Principal Executive Officer

Arthur Liao, Treasurer and Principal Financial and Accounting Officer

Hayley Stein, Chief Compliance Officer

James Hannigan, Chief Legal Officer

Stephen Buehler, Secretary

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, New York 10112

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199-3600

 

 

This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Manager Fund and Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Funds or any securities mentioned in this report.

You can find each Fund’s prospectus and other information about the Funds, including each Fund’s statements of additional information, on the Funds’ website at www.blackstone.com/blackstone-alternative-investment-funds. You can also get this information at no cost by calling the Funds at 1-855-890-7725.


Item 2. Code of Ethics.

(a) The registrant, as of the end of the period covered by the report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12(a)(1).

(b) During the period covered by the report, with respect to the registrant’s code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, there have been no amendments to, nor any waivers granted from, a provision that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item 2.

 

Item 3. Audit Committee Financial Expert.

(a)(1) The registrant’s Board of Trustees has determined that the registrant has at least one audit committee financial expert serving on its Audit Committee (the “Committee”).

(b)(2) The audit committee financial expert is Kristen M. Leopold, who is “independent” for purposes of this Item 3 of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

          Current Year    Previous Year

(a)

  

Audit Fees

   $290,000    $300,000

(b)

  

Audit-Related Fees

   $           0    $           0

(c)

  

Tax Fees(1)

   $  70,800    $  70,800

(d)

  

All Other Fees

   $           0    $           0

 

(1)  The nature of the services includes tax compliance, tax advice and tax planning.

(e)(1) Disclose the Committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

The charter for the Committee requires that the Committee pre-approve (i) all audit and non-audit services that the registrant’s independent auditors provide to the registrant, and (ii) all non-audit services that the registrant’s independent auditors provide to Blackstone Alternative Investment Advisors LLC, the investment adviser of the registrant (“BAIA”), and any entity controlling, controlled by, or under common control with BAIA that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant; provided that the Committee may implement policies and procedures by which such services are approved other than by the full Committee prior to their ratification by the Committee.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this item that were approved by the Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

Current Year

  

Previous Year

0%    0%

(f) Not applicable.


(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

 

Current Year

  

Previous Year

$0    $0

(h) Not applicable.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable.

 

Item 6. Schedule of Investments.

(a) The registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under item 1 of this form.

(b) Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

 

Item 8. Portfolio Managers of Closed-End Investment Management Companies.

Not applicable.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

 

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees.

 

Item 11. Controls and Procedures.

 

(a) The registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.


Item 12. Exhibits.

 

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

 

(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.

 

(a)(3) Not applicable.

 

(b) Certifications pursuant to Rule 30a-2(b) are attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)  

Blackstone Alternative Investment Funds

 

By (Signature and Title)  

/s/ Brian F. Gavin

  Brian F. Gavin, President (Principal Executive Officer)
Date   June 2, 2016            

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)  

/s/ Brian F. Gavin

  Brian F. Gavin, President (Principal Executive Officer)
Date   June 2, 2016            

 

By (Signature and Title)  

/s/ Arthur Liao

  Arthur Liao, Treasurer (Principal Financial and Accounting Officer)
Date   June 2, 2016            

Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-CSR’ Filing    Date    Other Filings
8/21/18
12/15/17
3/31/17
1/30/17
12/15/16
Filed on / Effective on:6/2/16
5/31/16
5/26/1640-APP/A
5/24/16
4/6/16497,  497K
4/5/16
4/4/16
For Period End:3/31/16NSAR-B
12/15/15
11/17/15
10/31/15
10/15/15
7/15/15
6/30/15N-PX,  N-Q
4/1/15
3/31/1524F-2NT,  N-CSR,  NSAR-B
1/28/15
12/15/14
11/17/14
6/16/14
3/31/1424F-2NT,  N-CSR,  NSAR-B
8/6/13
 List all Filings 
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