ThZeal - The Zeal

The Securities and Exchange Commission has adopted new regulations that will result in changes to the design and delivery of annual and semiannual shareholder reports beginning in July 2024.

If you have previously elected to receive shareholder reports electronically, you will continue to do so and need not take any action.

Otherwise, paper copies of the Fund’s shareholder reports will be mailed to you beginning in July 2024. If you would like to receive shareholder reports and other communications from the Fund electronically instead of by mail, you may make that request at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, enrolling at franklintempleton.com.

Visit franklintempleton.com for fund updates, to access your account, or to find helpful financial planning tools.

This semiannual report for K2 Alternative Strategies Fund covers the period ended November 30, 2023.

Fund Overview

Your Fund’s Goal and Main Investments

The Fund seeks capital appreciation with lower volatility relative to the broad equity markets by allocating its assets across multiple non-traditional or alternative strategies, including, but not limited to, some or all of the following strategies: long short equity, relative value, event driven and global macro. The Fund may invest in a wide range of securities and other investments including, but not limited to: equity securities including common stocks, preferred stocks, convertible securities, rights and warrants, private and registered investment vehicles and exchange-traded funds (ETFs); debt securities including bonds, notes, debentures, banker’s acceptances and commercial paper; loans and loan participations; and mortgage-backed or asset-backed securities, including collateralized debt obligations; as well as derivatives, commodities and currencies.

Performance Overview

The Fund’s Class A shares posted a +1.40% cumulative total return for the six months under review. For comparison, the Fund’s primary benchmark, the HFRX Global Hedge Fund Index, which is designed to be representative of the overall composition of the hedge fund universe, posted a +1.83% cumulative total return for the same period.¹ Also for comparison, the Fund’s secondary benchmark, the ICE BofA U.S. 3-Month Treasury Bill Index, which tracks the performance of short-term U.S. government securities with a remaining term to final maturity of less than three months, posted a +2.69% cumulative total return for the same period.¹You can find more of the Fund’s performance data in the Performance Summary beginning on page 4.

Performance data represent past performance, which does not guarantee future results. Investment return and principal value will fluctuate, and you may have a gain or loss when you sell your shares. Current performance may differ from figures shown. For most recent month-end performance, go to franklintempleton.com or call (800) 342-5236.


Strategy Allocation*

Based on Total Net Assets as of 11/30/23



Strategy	Long Positions		Short Positions
Long Short Equity		36.8%		-25.5%
Relative Value		42.9%		-39.7%
Event Driven		13.0%		-7.5%
Global Macro		79.5%		-139.7%
Conditional Risk Overlay (CRO)^#		0.0%		-0.0%

Total		172.2%		-212.4%

*Figures include the effect of gross notional exposure of derivatives.

^#The strategy was not active at period end.

1. Source: Morningstar. Hedge Fund Research, Inc. – www.hedgefundresearch.com. The HFRX Global Hedge Fund Index is being used under license from Hedge Fund Research, Inc., which does not endorse or approve of any of the contents of this report. Treasuries, if held to maturity, offer a fixed rate of return and a fixed principal value; their interest payments and principal are guaranteed.

The indexes are unmanaged and include reinvestment of any income or distributions. They do not reflect any fees, expenses or sales charges. One cannot invest directly in an index, and an index is not representative of the Fund’s portfolio. Unlike most asset class indexes, HFR Index returns reflect fees and expenses.

Important data provider notices and terms available at www.franklintempletondatasources.com.

The dollar value, number of shares or principal amount, and names of all portfolio holdings are listed in the Fund’s Consolidated Schedule of Investments (SOI). The Consolidated SOI begins on page 12.


Subadvisors

11/30/23

Long Short Equity

ActusRayPartners Limited Chilton Investment Company, Inc.

Electron Capital Partners, LLC

Jennison Associates, LLC

Relative Value

Apollo Credit Management LLC

DLD Asset Management, LP

Lazard Asset Management, LLC

Loomis Sayles & Company, L.P.

One River Asset Management, LLC

Event Driven

Bardin Hill Arbitrage IC Management LP

P. Schoenfeld Asset Management L.P.

Global Macro

Capital Fund Management S.A.

Graham Capital Management, L.P.

RBC Global Asset Management (UK) Limited (formerly, BlueBay Asset Management LLP)

RV Capital Management Private Ltd.

Thank you for your participation in K2 Alternative Strategies Fund. We look forward to continuing to serve your investment needs.

Brooks Ritchey

Co-Lead Portfolio Manager

Robert Christian

Co-Lead Portfolio Manager

Anthony Zanolla, CFA

Portfolio Manager

The performance table does not reflect any taxes that a shareholder would pay on Fund dividends, capital gain distributions, if any, or any realized gains on the sale of Fund shares. Total return reflects reinvestment of the Fund’s dividends and capital gain distributions, if any, and any unrealized gains or losses. Your dividend income will vary depending on dividends or interest paid by securities in the Fund’s portfolio, adjusted for operating expenses of each class. Capital gain distributions are net profits realized from the sale of portfolio securities.

Cumulative total return excludes sales charges. Average annual total return includes maximum sales charges. Sales charges will vary depending on the size of the investment and the class of share purchased. The maximum is 5.50% and the minimum is 0%. Class A: 5.50% maximum initial sales charge; Advisor Class: no sales charges. For other share classes, visit franklintempleton.com.

Each class of shares is available to certain eligible investors and has different annual fees and expenses, as described in the prospectus.

Events such as the spread of deadly diseases, disasters, and financial, political or social disruptions, may heighten risks and adversely affect performance.

All investments involve risks, including possible loss of principal. The Fund is actively managed and could experience losses if the investment manager’s and subadvisors’ judgment about particular investments made for the Fund’s portfolio prove to be incorrect. The allocation of assets among different strategies, asset classes and investments may not prove beneficial or produce the desired results. Some subadvisors may have little or no experience managing the assets of a registered investment company. International investments are subject to special risks, including currency fluctuations and social, economic and political uncertainties, which could increase volatility. These risks are magnified in emerging markets. Derivative instruments can be illiquid, may disproportionately increase losses, and have a potentially large impact on performance. Low-rated, high-yield bonds are subject to greater price volatility, illiquidity and possibility of default. Currency management strategies could result in losses to the Fund if currencies do not perform as expected. Short selling is a speculative strategy. Unlike the possible loss on a security that is purchased, there is no limit on the amount of loss on an appreciating security that is sold short. Investments in companies engaged in mergers, reorganizations or liquidations also involve special risks as pending deals may not be completed on time or on favorable terms. Liquidity risk exists when securities or other investments become more difficult to sell, or are unable to be sold, at the price at which they have been valued. These and other risks are discussed in the Fund’s prospectus.

1. Gross expenses are the Fund’s total annual operating expenses as of the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns. Net expenses reflect contractual fee waivers, expense caps and/or reimbursements, which cannot be terminated prior to 9/30/24 without Board consent. Additional amounts may be voluntarily waived and/or reimbursed and may be modified or discontinued at any time without notice.

2. Cumulative total return represents the change in value of an investment over the periods indicated.

3. Average annual total return represents the average annual change in value of an investment over the periods indicated. Return for less than one year, if any, has not been annualized.

4. Prior to 9/10/18, these shares were offered at a higher initial sales charge of 5.75%, thus actual returns (with sales charges) would have differed. Average annual total returns (with sales charges) have been restated to reflect the current maximum initial sales charge of 5.50%.

5. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Consolidated Financial Highlights sections in this report. In periods of market volatility, assets may decline significantly, causing total annual Fund operating expenses to become higher than the figures shown.

Important data provider notices and terms available at www.franklintempletondatasources.com.

As a Fund shareholder, you can incur two types of costs: (1) transaction costs, including sales charges (loads) on Fund purchases and redemptions; and (2) ongoing Fund costs, including management fees, distribution and service (12b-1) fees, and other Fund expenses. All mutual funds have ongoing costs, sometimes referred to as operating expenses. The table below shows ongoing costs of investing in the Fund and can help you understand these costs and compare them with those of other mutual funds. The table assumes a $1,000 investment held for the six months indicated.

The table below provides information about actual account values and actual expenses in the columns under the heading “Actual.” In these columns the Fund’s actual return, which includes the effect of Fund expenses, is used to calculate the “Ending Account Value” for each class of shares. You can estimate the expenses you paid during the period by following these steps (of course, your account value and expenses will differ from those in this illustration): Divide your account value by $1,000 (if your account had an $8,600 value, then $8,600 ÷ $1,000 = 8.6). Then multiply the result by the number in the row for your class of shares under the headings “Actual” and “Expenses Paid During Period” (if Actual Expenses Paid During Period were $7.50, then 8.6 x $7.50 = $64.50). In this illustration, the actual expenses paid this period are $64.50.

Under the heading “Hypothetical” in the table, information is provided 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 Fund’s actual return. This information may not be used to estimate the actual ending account balance or expenses you paid for the period, but it can help you compare ongoing costs of investing in the Fund with those of other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that expenses shown in the table are meant to highlight ongoing costs and do not reflect any transactional costs. Therefore, information under the heading “Hypothetical” is useful in comparing ongoing costs only, and will not help you compare total costs of owning different funds. In addition, if transactional costs were included, your total costs would have been higher.

1. Expenses are equal to the annualized expense ratio for the six-month period as indicated above—in the far right column—multiplied by the simple average account value over the period indicated, and then multiplied by 183/366 to reflect the one-half year period.

2. Reflects expenses after fee waivers and expense reimbursements. Does not include acquired fund fees and expenses.

^aThe amount shown for a share outstanding throughout the period may not correlate with the Consolidated Statement of Operations for the period due to the timing of sales and repurchases of the Fund’s shares in relation to income earned and/or fluctuating fair value of the investments of the Fund.

^cTotal return does not reflect sales commissions or contingent deferred sales charges, if applicable, and is not annualized for periods less than one year.

^eIncludes dividend and/or interest expense on securities sold short and security borrowing fees, if any. See below for the ratios of such expenses to average net assets for the periods presented. See Note 1(e).

^cTotal return does not reflect sales commissions or contingent deferred sales charges, if applicable, and is not annualized for periods less than one year.

^fIncludes dividend and/or interest expense on securities sold short and security borrowing fees, if any. See below for the ratios of such expenses to average net assets for the periods presented. See Note 1(e).

^#Notional amount is the number of contracts multiplied by contract size, and may be multiplied by the underlying price. May include currency units, bushels, shares, pounds, barrels or other units. Currency units are stated in U.S. dollars unless otherwise indicated.

^bA portion or all of the security is on loan at November 30, 2023. See Note 1(f).

^cA portion or all of the security has been segregated as collateral for securities sold short, open swap contracts, open forward exchange contracts, open futures contracts and/or open written option contracts. At November 30, 2023, the aggregate value of these securities and/or cash pledged amounted to $97,423,871, representing 14.1% of net assets.

^dA portion or all of the security is held in connection with written option contracts open at period end.

^eSecurity was purchased pursuant to Rule 144A or Regulation S under the Securities Act of 1933. 144A securities may be sold in transactions exempt from registration only to qualified institutional buyers or in public offering registered under the Securities Act of 1933. Regulation S securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At November 30, 2023, the net value of these securities was $66,968,495, representing 9.7% of net assets.

^fFair valued using significant unobservable inputs. See Note 13 regarding fair value measurements.

^mThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end.

^qA portion or all of the security is owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(g).

At November 30, 2023, the Fund had the following futures contracts outstanding. See Note 1(c).

^aA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(g).

At November 30, 2023, the Fund had the following forward exchange contracts outstanding. See Note 1(c).

^aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.

^bA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(g).

At November 30, 2023, the Fund had the following credit default swap contracts outstanding. See Note 1(c).

^aIn U.S. dollars unless otherwise indicated. For contracts to sell protection, the notional amount is equal to the maximum potential amount of the future payments and no recourse provisions have been entered into in association with the contracts.

^bBased on Standard and Poor’s (S&P) Rating for single name swaps and internal ratings for index swaps. Internal ratings based on mapping into equivalent ratings from external vendors.

^cPerformance triggers for settlement of contract include default, bankruptcy or restructuring for single name swaps and failure to pay or bankruptcy of the underlying securities for traded index swaps.

^dThe Fund enters contracts to sell protection to create a long credit position.

^eA portion or all of the security is owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(g).

At November 30, 2023, the Fund had the following interest rate swap contracts outstanding. See Note 1(c).

At November 30, 2023, the Fund had the following total return swap contracts outstanding. See Note 1(c).

^aThe Fund receives the total return on the underlying instrument and pays a variable financing rate.

^bFair valued using significant unobservable inputs. See Note 13 regarding fair value investments.

^cSee Note 9 regarding investments in Russian securities. Notional value rounds to less than 1.

^dThe Fund receives the variable financing rate and pays the total return on the underlying instrument.

^aRedemption price is equal to net asset value less contingent deferred sales charges, if applicable.

1. Organization and Significant Accounting Policies

Franklin Alternative Strategies Funds (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of one fund, K2 Alternative Strategies Fund (Fund). The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP), including, but not limited to, ASC 946. The Fund offers five classes of shares: Class A, Class C, Class R, Class R6 and Advisor Class. Class C shares automatically convert to Class A shares on a monthly basis, after they have been held for 8 years. Each class of shares may differ by its initial sales load, contingent deferred sales charges, voting rights on matters affecting a single class, its exchange privilege and fees due to differing arrangements for distribution and transfer agent fees.

Effective January 17, 2023, Franklin K2 Alternative Strategies Fund was renamed K2 Alternative Strategies Fund.

The following summarizes the Fund’s significant accounting policies.

a. Financial Instrument Valuation

The Fund’s investments in financial instruments are carried at fair value daily. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Fund calculates the net asset value (NAV) per share each business day as of 4 p.m. Eastern time or the regularly scheduled close of the New York Stock Exchange (NYSE), whichever is earlier. Under compliance policies and procedures approved by the Trust’s Board of Trustees (the Board), the Board has designated the Fund’s investment manager as the valuation designee and has responsibility for oversight of valuation. The investment manager is assisted by the Fund’s administrator in performing this responsibility, including leading the cross-functional Valuation Committee (VC). The Fund may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.

Equity securities, exchange traded funds and derivative financial instruments listed on an exchange or on the NASDAQ

National Market System are valued at the last quoted sale price or the official closing price of the day, respectively. Foreign equity securities are valued as of the close of trading on the foreign stock exchange on which the security is primarily traded or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Over-the-counter (OTC) securities are valued within the range of the most recent quoted bid and ask prices. Securities that trade in multiple markets or on multiple exchanges are valued according to the broadest and most representative market. Certain equity securities are valued based upon fundamental characteristics or relationships to similar securities.

Debt securities generally trade in the OTC market rather than on a securities exchange. The Fund’s pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the date that the values of the foreign debt securities are determined.

Investments in open-end mutual funds are valued at the closing NAV.

Certain derivative financial instruments are centrally cleared or trade in the OTC market. The Fund’s pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Fund’s net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.

The Fund has procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the Fund primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market

multiples, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.

Trading in securities on foreign securities stock exchanges and OTC markets may be completed before 4 p.m. Eastern time. In addition, trading in certain foreign markets may not take place on every Fund’s business day. Events can occur between the time at which trading in a foreign security is completed and 4 p.m. Eastern time that might call into question the reliability of the value of a portfolio security held by the Fund. As a result, differences may arise between the value of the Fund’s portfolio securities as determined at the foreign market close and the latest indications of value at 4 p.m. Eastern time. In order to minimize the potential for these differences, an independent pricing service may be used to adjust the value of the Fund’s portfolio securities to the latest indications of fair value at 4 p.m. Eastern time. At November 30, 2023, certain securities may have been fair valued using these procedures, in which case the securities were categorized as Level 2 within the fair value hierarchy (referred to as “market level fair value”). See the Fair Value Measurements note for more information.

When the last day of the reporting period is a non-business day, certain foreign markets may be open on those days that the Fund’s NAV is not calculated, which could result in differences between the value of the Fund’s portfolio securities on the last business day and the last calendar day of the reporting period. Any significant security valuation changes due to an open foreign market are adjusted and reflected by the Fund for financial reporting purposes.

Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against U.S.

dollars on the date of valuation. The Fund may enter into foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of securities, income and expense items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. Portfolio securities and assets and liabilities denominated in foreign currencies contain risks that those currencies will decline in value relative to the U.S. dollar. Occasionally, events may impact the availability or reliability of foreign exchange rates used to convert the U.S. dollar equivalent value. If such an event occurs, the foreign exchange rate will be valued at fair value using procedures established and approved by the Board.

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Consolidated Statement of Operations.

Realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period.

The Fund invested in derivative financial instruments in order to manage risk or gain exposure to various other investments or markets. Derivatives are financial contracts based on an underlying or notional amount, require no initial investment or an initial net investment that is smaller than would normally be required to have a similar response to changes in market factors, and require or permit net settlement. Derivatives contain various risks including the potential inability of the counterparty to fulfill their obligations under the terms of the contract, the potential for an illiquid secondary market, and/or the potential for market movements which expose the Fund to gains or losses in excess of the amounts shown in the Consolidated Statement of Assets and Liabilities. Realized gain and loss and unrealized appreciation and depreciation on these contracts for the period are included in the Consolidated Statement of Operations.

Derivative counterparty credit risk is managed through a formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk on OTC derivatives, whenever possible, by entering into International Swaps and Derivatives Association (ISDA) master agreements with certain counterparties. These agreements contain various provisions, including but not limited to collateral requirements, events of default, or early termination. Termination events applicable to the counterparty include certain deteriorations in the credit quality of the counterparty. Termination events applicable to the Fund include failure of the Fund to maintain certain net asset levels and/or limit the decline in net assets over various periods of time. In the event of default or early termination, the ISDA master agreement gives the non-defaulting party the right to net and close-out all transactions traded, whether or not arising under the ISDA agreement, to one net amount payable by one counterparty to the other. However, absent an event of default or early termination, OTC derivative assets and liabilities are presented gross and not offset in the Consolidated Statement of Assets and Liabilities. Early termination by the counterparty may result in an immediate payment by the Fund of any net liability owed to that counterparty under the ISDA agreement.

Collateral requirements differ by type of derivative. Collateral or initial margin requirements are set by the broker or exchange clearing house for exchange traded and centrally cleared derivatives. Initial margin deposited is held at the exchange and can be in the form of cash and/or securities. For OTC derivatives traded under an ISDA master agreement, posting of collateral is required by either the Fund or the applicable counterparty if the total net exposure of all OTC derivatives with the applicable counterparty exceeds the minimum transfer amount, which typically ranges from $100,000 to $250,000, and can vary depending on the counterparty and the type of agreement. Generally, collateral is determined at the close of Fund business each day and any additional collateral required due to changes in derivative values may be delivered by the Fund or the counterparty the next business day, or within a few business days. Collateral pledged and/or received by the Fund for OTC derivatives, if any, is held in segregated accounts with the Fund’s custodian/counterparty broker and can be in the form of cash and/or securities. Unrestricted cash may be invested according to the Fund’s investment objectives. To the extent that the amounts due to the Fund from its counterparties are not subject to collateralization or are not fully collateralized, the Fund bears the risk of loss from counterparty non-performance.

The Fund entered into exchange traded futures contracts primarily to manage and/or gain exposure to commodity price, interest rate, equity price and foreign exchange rate risk. A futures contract is an agreement between the Fund and a counterparty to buy or sell an asset at a specified price on a future date. Required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable in the Consolidated Statement of Assets and Liabilities.

The Fund entered into OTC forward exchange contracts primarily to manage and/or gain exposure to certain foreign currencies. A forward exchange contract is an agreement between the Fund and a counterparty to buy or sell a foreign currency at a specific exchange rate on a future date.

The Fund entered into credit default swap contracts primarily to manage and/or gain exposure to credit risk. A credit default swap is an agreement between the Fund and a counterparty whereby the buyer of the contract receives credit protection and the seller of the contract guarantees the credit worthiness of a referenced debt obligation. These agreements may be privately negotiated in the over-the-counter market (OTC credit default swaps) or may be executed in a multilateral trade facility platform, such as a registered exchange (centrally cleared credit default swaps). The underlying referenced debt obligation may be a single issuer of corporate or sovereign debt, a credit index, a basket of issuers or indices, or a tranche of a credit index or basket of issuers or indices. In the event of a default of the underlying referenced debt obligation, the buyer is entitled to receive the notional amount of the credit default swap contract from the seller in exchange for the referenced debt obligation, a net settlement amount equal to the notional amount of the credit default swap less the recovery value of the referenced debt obligation, or other agreed upon amount. For centrally cleared credit default swaps, required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable in the Consolidated Statement of Assets and Liabilities. Over the term of the contract, the buyer pays the seller a periodic stream of payments, provided that no event of default has occurred. Such periodic payments are accrued daily as an unrealized appreciation or depreciation until the payments are made, at which time they are realized. Upfront payments and receipts are reflected in the Consolidated Statement of Assets and Liabilities and represent compensating factors between stated terms of the credit default swap agreement

and prevailing market conditions (credit spreads and other relevant factors). These upfront payments and receipts are amortized over the term of the contract as a realized gain or loss in the Consolidated Statement of Operations.

The Fund entered into OTC cross-currency swap contracts primarily to manage and/or gain exposure to certain foreign currencies. A cross-currency swap is an agreement between the Fund and a counterparty to exchange cash flows (determined using either a fixed or floating rate) based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the opening of the contract. Cross-currency swaps may require the exchange of notional amounts at the opening and/or closing of the contract. Over the term of the contract, contractually required payments to be paid and to be received are accrued daily and recorded as unrealized appreciation or depreciation until the payments are made, at which time they are realized. Any upfront payments and receipts are reflected in the Consolidated Statement of Assets and Liabilities and represent compensating factors between stated terms of the cross-currency swap contract and prevailing market conditions (interest rate spreads and other relevant factors). These upfront payments and receipts are amortized over the term of the contract as a realized gain or loss in the Consolidated Statement of Operations, if any. At November 30, 2023, the Fund had no cross-currency swap contracts.

The Fund entered into interest rate swap contracts primarily to manage and/or gain exposure to interest rate risk. An interest rate swap is an agreement between the Fund and a counterparty to exchange cash flows based on the difference between two interest rates, applied to a notional amount. These agreements may be privately negotiated in the over-the-counter market (OTC interest rate swaps) or may be executed on a registered exchange (centrally cleared interest rate swaps). For centrally cleared interest rate swaps, required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable in the Consolidated Statement of Assets and Liabilities. Over the term of the contract, contractually required payments to be paid and to be received are accrued daily and recorded as unrealized appreciation or depreciation until the payments are made, at which time they are realized.

The Fund entered into OTC total return swap contracts primarily to manage and/or gain exposure to interest rate, foreign exchange rate and equity price risk of an underlying instrument such as a stock, bond, index or basket of securities or indices. A total return swap is an agreement between the Fund and a counterparty to exchange a return linked to an underlying instrument for a floating or fixed rate payment, both based upon a notional amount. Over the term of the contract, contractually required payments to be paid or received are accrued daily and recorded as unrealized appreciation or depreciation until the payments are made, at which time they are recognized as realized gain or loss.

The Fund purchased or wrote exchange traded and/or OTC option contracts primarily to manage and/or gain exposure to equity price, interest rate and foreign exchange rate risk. An option is a contract entitling the holder to purchase or sell a specific amount of shares or units of an asset or notional amount of a swap (swaption), at a specified price. When an option is purchased or written, an amount equal to the premium paid or received is recorded as an asset or liability, respectively. Upon exercise of an option, the acquisition cost or sales proceeds of the underlying investment is adjusted by any premium received or paid. Upon expiration of an option, any premium received or paid is recorded as a realized gain or loss. Upon closing an option other than through expiration or exercise, the difference between the premium received or paid and the cost to close the position is recorded as a realized gain or loss.

See Notes 6 and 11 regarding investment transactions and other derivative information, respectively.

At November 30, 2023, the Fund held restricted cash in connection with investments in certain derivative securities. Restricted cash is held in a segregated account with the Fund’s custodian and/or counterparty broker and is reflected in the Consolidated Statement of Assets and Liabilities.

The Fund is engaged in selling securities short, which obligates the Fund to replace a borrowed security with the same security at current fair value. The Fund incurs a loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund realizes a gain if the price of the security

declines between those dates. Gains are limited to the price at which the Fund sold the security short, while losses are potentially unlimited in size.

The Fund is required to establish a margin account with the broker lending the security sold short. While the short sale is outstanding, the broker retains the proceeds of the short sale to the extent necessary to meet margin requirements until the short position is closed out. A deposit must also be maintained with the Fund’s custodian/counterparty broker consisting of cash and/or securities having a value equal to a specified percentage of the value of the securities sold short. The Fund is obligated to pay fees for borrowing the securities sold short and is required to pay the counterparty any dividends and/or interest due on securities sold short. Such dividends and/or interest and any security borrowing fees are recorded as an expense to the Fund.

f. Securities Lending

The Fund participates in an agency based securities lending program to earn additional income. The Fund receives collateral in the form of cash and/or U.S. Government and Agency Securities against the loaned securities in an amount equal to at least 102% of the fair value of the loaned securities. Collateral is maintained over the life of the loan in an amount not less than 100% of the fair value of loaned securities, as determined at the close of Fund business each day; any additional collateral required due to changes in security values is delivered to the Fund on the next business day. Any cash collateral received is deposited into a joint cash account with other funds and is used to invest in a money market fund managed by Franklin Advisers, Inc., an affiliate of the Fund, and/or a joint repurchase agreement. Additionally, the Fund received $70,767 in U.S. Government and Agency Securities as collateral. These securities received as collateral are held in segregated accounts with the Fund’s custodian. The Fund cannot repledge or resell these securities received as collateral. As such, the non-cash collateral is excluded from the Consolidated Statement of Assets and Liabilities. The Fund may receive income from the investment of cash collateral, in addition to lending fees and rebates paid by the borrower. Income from securities loaned, net of fees paid to the securities lending agent and/or third party vendor, is reported separately in the Consolidated Statement of Operations. The Fund bears the market risk with respect to any cash collateral investment, securities loaned, and the risk that the agent may default on its obligation to the Fund. If the borrower defaults on its obligations to return the securities loaned, the Fund

has the right to repurchase the securities in the open market using the collateral received. The securities lending agent has agreed to indemnify the Fund in the event of default by a third party borrower.

g. Investments in K2 Holdings Investment Corp. (K2 Subsidiary)

The Fund invests in certain financial instruments and commodity-linked derivative investments through its investment in the K2 Subsidiary. The K2 Subsidiary is a Cayman Islands exempted company with limited liability, is a wholly-owned subsidiary of the Fund, and is able to invest in certain financial instruments and commodity-linked derivative investments consistent with the investment objective of the Fund. At November 30, 2023, the K2 Subsidiary’s investments, as well as any other assets and liabilities of the K2 Subsidiary, are reflected in the Fund’s Consolidated Schedule of Investments and Consolidated Statement of Assets and Liabilities. All intercompany transactions and balances have been eliminated. For tax purposes, the Fund is required to increase its taxable income by its share of the K2 Subsidiary’s income. Net losses incurred by the K2 Subsidiary cannot offset income earned by the Fund and cannot be carried back or forward by the K2 Subsidiary to offset income from prior or future years. At November 30, 2023, the net assets of the K2 Subsidiary were $52,957,118 representing 7.7% of the Fund’s consolidated net assets. The Fund’s investment in the K2 Subsidiary is limited to 25% of consolidated assets.

h. Senior Floating Rate Interests

The Fund invests in senior secured corporate loans that pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank, or the London Interbank Offered Rate (LIBOR), or the Secured Overnight Financing Rate (SOFR). Senior secured corporate loans often require prepayment of principal from excess cash flows, at the discretion of the borrower. As a result, actual maturity may be substantially less than the stated maturity. Senior secured corporate loans in which the Fund invests are generally readily marketable, but may be subject to certain restrictions on resale.

i. Income and Deferred Taxes

It is the Fund’s policy to qualify as a regulated investment company under the Internal Revenue Code. The Fund intends to distribute to shareholders substantially all of its

taxable income and net realized gains to relieve it from federal income and excise taxes. As a result, no provision for U.S. federal income taxes is required.

The Fund may be subject to foreign taxation related to income received, capital gains on the sale of securities and certain foreign currency transactions in the foreign jurisdictions in which it invests. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests. When a capital gain tax is determined to apply, the Fund records an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.

The Fund may recognize an income tax liability related to its uncertain tax positions under U.S. GAAP when the uncertain tax position has a less than 50% probability that it will be sustained upon examination by the tax authorities based on its technical merits. As of November 30, 2023, the Fund has determined that no tax liability is required in its consolidated financial statements related to uncertain tax positions for any open tax years (or expected to be taken in future tax years). Open tax years are those that remain subject to examination and are based on the statute of limitations in each jurisdiction in which the Fund invests.

Security transactions are accounted for on trade date. Realized gains and losses on security transactions are determined on a specific identification basis. Interest income and estimated expenses are accrued daily. Amortization of premium and accretion of discount on debt securities are included in interest income. Paydown gains and losses are recorded as an adjustment to interest income. The Fund may receive other income from investments in senior secured corporate loans or unfunded commitments, including amendment fees, consent fees or commitment fees. These fees are recorded as income when received by the Fund.

Facility fees are recognized as income over the expected term of the loan. Dividend income and dividends declared on securities sold short are recorded on the ex-dividend date except for certain dividends from securities where the dividend rate is not available. In such cases, the dividend is recorded as soon as the information is received by the Fund. Distributions to shareholders are recorded on the ex-dividend date. Distributable earnings are determined according to income tax regulations (tax basis) and may differ from earnings recorded in accordance with U.S. GAAP. These differences may be permanent or temporary. Permanent differences are reclassified among capital accounts to reflect their tax character. These reclassifications have no impact on net assets or the results of operations. Temporary differences are not reclassified, as they may reverse in subsequent periods.

Realized and unrealized gains and losses and net investment income, excluding class specific expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Differences in per share distributions by class are generally due to differences in class specific expenses.

The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Under the Trust’s organizational documents, its officers and trustees are indemnified by the Trust against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust, on behalf of the Fund, enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. Currently, the Trust expects the risk of loss to be remote.

At November 30, 2023, there were an unlimited number of shares authorized (without par value). Transactions in the Fund’s shares were as follows:

^aMay include a portion of Class C shares that were automatically converted to Class A.

Franklin Resources, Inc. is the holding company for various subsidiaries that together are referred to as Franklin Templeton. Certain officers and trustees of the Trust are also officers and/or directors of the following subsidiaries:

The Fund and K2 Subsidiary pay an investment management fee, calculated daily and paid monthly, to K2 Advisors based on the average daily net assets of the Fund and K2 Subsidiary as follows:

For the period ended November 30, 2023, the annualized gross effective management fee rate was 1.90% of the Fund’s average daily net assets.

Management fees paid by the Fund are reduced on assets invested in the K2 Subsidiary, in an amount equal to the management fees paid by the K2 Subsidiary.

Under each subadvisory agreement, the below entities provide subadvisory services to the Fund or K2 Subsidiary. The subadvisory fees are paid by K2 Advisors and are not an additional expense of the Fund or K2 Subsidiary. Each subadvisor is compensated for managing its respective portion of the average daily net assets of the Fund or K2 Subsidiary.

Under an agreement with K2 Advisors, FT Services provides administrative services to the Fund and K2 Subsidiary. The fee is paid by K2 Advisors based on the Fund’s and K2 Subsidiary’s average daily net assets, and is not an additional expense of the Fund or K2 Subsidiary.

The Board has adopted distribution plans for each share class, with the exception of Class R6 and Advisor Class shares, pursuant to Rule 12b-1 under the 1940 Act. Under the Fund’s Class A reimbursement distribution plan, the Fund reimburses Distributors for costs incurred in connection with the servicing, sale and distribution of the Fund’s shares up to the maximum annual plan rate. Under the Class A reimbursement distribution plan, costs exceeding the maximum for the current plan year cannot be reimbursed in subsequent periods. In addition, under the Fund’s Class C and R compensation distribution plans, the Fund pays Distributors for costs incurred in connection with the servicing, sale and distribution of the Fund’s shares up to the maximum annual plan rate for each class. The plan year, for purposes of monitoring compliance with the maximum annual plan rates, is February 1 through January 31.

The maximum annual plan rates, based on the average daily net assets, for each class, are as follows:

The Board has set the current rate at 0.25% per year for Class A shares until further notice and approval by the Board.

Front-end sales charges and contingent deferred sales charges (CDSC) do not represent expenses of the Fund. These charges are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. Distributors has advised the Fund of the following commission transactions related to the sales and redemptions of the Fund’s shares for the period:

Each class of shares pays transfer agent fees, calculated monthly and paid monthly, to Investor Services for its performance of shareholder servicing obligations. Effective October 1, 2023, the fees are based on a fixed margin earned by Investor Services and are allocated to the Fund based upon relative assets and relative transactions. Prior to October 1, 2023, the fees were based on an annualized asset based fee of 0.016% plus a transaction based fee. In addition, each class reimburses Investor Services for out of pocket expenses incurred and, except for Class R6, reimburses shareholder servicing fees paid to third parties. These fees paid to third parties are accrued and allocated daily based upon their relative proportion of such classes’ aggregate net assets. Class R6 pays Investor Services transfer agent fees allocated specifically to that class based upon its relative assets and relative transactions.

For the period ended November 30, 2023, the Fund paid transfer agent fees as noted in the Consolidated Statement of Operations, of which $109,034 was retained by Investor Services.

The Fund invests in one or more affiliated management investment companies. As defined in the 1940 Act, an investment is deemed to be a “Controlled Affiliate” of a fund when a fund owns, either directly or indirectly, 25% or more of the affiliated fund’s outstanding shares or has the power to exercise control over management or policies of such fund. The Fund does not invest for purposes of exercising a controlling influence over the management or policies. Management fees paid by the Fund are waived on assets invested in the affiliated management investment companies, as noted in the Consolidated Statement of Operations, in

an amount not to exceed the management and administrative fees paid directly or indirectly by each affiliate. During the period ended November 30, 2023, the Fund held investments in affiliated management investment companies as follows:

K2 Advisors has contractually agreed in advance to waive or limit its fees and to assume as their own expense certain expenses otherwise payable by the Fund so that the operating expenses (excluding interest expense, distribution fees, acquired fund fees and expenses, expenses related to securities sold short and certain non-routine expenses or costs, including those relating to litigation, indemnification, reorganizations and liquidations) for each class of the Fund do not exceed 1.90% based on the average net assets of each class until September 30, 2024. Total expenses waived or paid are not subject to recapture subsequent to the Fund’s fiscal year end.

Prior to July 1, 2023, the expenses (excluding certain fees and expenses as previously disclosed) for each class of the Fund were limited to 1.95% based on the average net assets of each class.

Transfer agent fees on Class R6 shares of the Fund have been capped so that transfer agent fees for that class do not exceed 0.03% based on the average net assets of the class until September 30, 2024.

The Fund has entered into an arrangement with its custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund’s custodian expenses. During the period ended November 30, 2023, the custodian fees were reduced as noted in the Consolidated Statement of Operations.

For tax purposes, capital losses may be carried over to offset future capital gains. At May 31, 2023, the Fund had short term and long term capital loss carryforwards not subject to expiration of $8,472,495 and $8,985,682, respectively.

At November 30, 2023, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:

Differences between income and/or capital gains as determined on a book basis and a tax basis are primarily due to differing treatments of foreign currency transactions, wash sales and investments in the K2 Subsidiary.

Purchases and sales of investments and securities sold short (excluding short term securities) for the period ended November 30, 2023, aggregated $752,810,428 and $916,371,512, respectively.

At November 30, 2023, in connection with securities lending transactions, the Fund loaned equity investments and corporate bonds and notes and received $1,010,000 of cash collateral. The gross amounts of recognized liability for such transactions are included in payable upon return of securities loaned in the Consolidated Statement of Assets and Liabilities. The agreements can be terminated at any time.

The Fund sold certain long positions held in the portfolio and simultaneously entered into total return swaps on the positions, retaining substantially all of the exposure to the economic return and the related risks on the long positions. At November 30, 2023, the transfers of financial assets accounted for as sales were as follows:

^a$10,483 of fair value of transferred assets are included as unrealized appreciation and depreciation on OTC swap contracts in the Consolidated Statement of Assets and Liabilities.

^bBalances are presented on a gross basis, based on each leg of the swap contract, before the application of counterparty and cash collateral offsetting.

See Notes 1(c) and 11 regarding derivative financial instruments and other derivative information, respectively.

At November 30, 2023, the Fund had 25.0% of its portfolio invested in high yield, senior secured floating rate loans, or other securities rated below investment grade and unrated securities. These securities may be more sensitive to economic conditions causing greater price volatility and are potentially subject to a greater risk of loss due to default than higher rated securities.

The Fund may purchase the pre-default or defaulted debt of distressed companies. Distressed companies are financially troubled and could be or are already involved in financial restructuring or bankruptcy. Risks associated with purchasing these securities include the possibility that the bankruptcy or other restructuring process takes longer than expected, or that distributions in restructuring are less than anticipated, either or both of which may result in unfavorable consequences to the Fund. If it becomes probable that the income on debt securities, including those of distressed companies, will not be collected, the Fund discontinues accruing income and recognizes an adjustment for uncollectible interest.

At November 30, 2023, the aggregate long value of distressed company securities for which interest recognition has been discontinued was $8,100,515, representing 1.2% of the Fund’s net assets. For information as to specific securities, see the accompanying Consolidated Schedule of Investments.

Investments in issuers domiciled or with significant operations in developing or emerging market countries may be subject to higher risks than investments in developed countries. These risks include fluctuating currency values, underdeveloped legal or business systems, and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Currencies of developing or emerging market countries may be subject to significantly greater risks than currencies of developed countries, including the potential inability to repatriate those currencies into U.S. dollars.

Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional

and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion. To the extent that the Fund has exposure to Russian investments or investments in countries affected by the invasion, the Fund’s ability to price, buy, sell, receive or deliver such investments was impaired. The Fund could determine at any time that certain of the most affected securities have little or no value. In addition, any exposure that the Fund may have to counterparties in Russia or in countries affected by the invasion could negatively impact the Fund’s portfolio. The extent and duration of Russia’s military actions and the repercussions of such actions (including any retaliatory actions or countermeasures that may be taken by those subject to sanctions) are impossible to predict, but could result in significant market disruptions, including in the oil and natural gas markets, and may negatively affect global supply chains, inflation and global growth. These and any related events could significantly impact the Fund’s performance and the value of an investment in the Fund, even beyond any direct exposure the Fund may have to Russian issuers or issuers in other countries affected by the invasion. The Valuation Committee determined that based on their analysis of the market and access to market participants, the Russian financial instruments held by the Fund had little or no value at November 30, 2023.

The Fund enters into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Consolidated Statement of Assets and Liabilities and the Consolidated Statement of Operations. Funded portions of credit agreements are presented in the Consolidated Schedule of Investments.

At November 30, 2023, the investments in derivative contracts are reflected in the Consolidated Statement of Assets and Liabilities as follows:

^aPurchased option contracts are included in investments in securities, at value in the Consolidated Statement of Assets and Liabilities.

^bThis amount reflects the cumulative appreciation (depreciation) of futures contracts and centrally cleared swap contracts as reported in the Consolidated Schedule of Investments. Only the variation margin receivable/payable at period end is separately reported within the Consolidated Statement of Assets and Liabilities. Prior variation margin movements were recorded to cash upon receipt or payment.

For the period ended November 30, 2023, the effect of derivative contracts in the Consolidated Statement of Operations was as follows:

^aPurchased option contracts are included in net realized gain (loss) from investments and net change in unrealized appreciation (depreciation) on investments in the Consolidated Statement of Operations.

For the period ended November 30, 2023, the average month end notional amount of futures contracts and swap contracts represented $666,202,104 and $1,177,719,532, respectively. The average month end fair value of options was $3,943,470. The average month end contract value of forward exchange contracts was $728,716,383.

^aAbsent an event of default or early termination, OTC derivative assets and liabilities are presented gross and not offset in the Consolidated Statement of Assets and Liabilities.

At November 30, 2023, OTC derivative assets, which may be offset against OTC derivative liabilities and collateral received from the counterparty, are as follows:

At November 30, 2023, OTC derivative liabilities, which may be offset against OTC derivative assets and collateral pledged to the counterparty, are as follows:

^aIn some instances, the collateral amounts disclosed in the table above were adjusted due to the requirement to limit the collateral amounts to avoid the effect of over collateralization. Actual collateral received and/or pledged may be more than the amounts disclosed herein.

^cRepresents derivatives owned by the K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(g).

See Notes 1(c) and 6 regarding derivative financial instruments and investment transactions, respectively.

The Fund, together with other U.S. registered and foreign investment funds (collectively, Borrowers), managed by Franklin Templeton, are borrowers in a joint syndicated senior unsecured credit facility totaling $2.675 billion (Global Credit Facility) which matures on February 2, 2024. This Global Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the ability to meet future unanticipated or unusually large redemption requests.

Under the terms of the Global Credit Facility, the Fund shall, in addition to interest charged on any borrowings made by the Fund and other costs incurred by the Fund, pay its share of fees and expenses incurred in connection with the implementation and maintenance of the Global Credit Facility, based upon its relative share of the aggregate net assets of all of the Borrowers, including an annual commitment fee of 0.15% based upon the unused portion of the Global Credit Facility. These fees are reflected in other expenses in the Consolidated Statement of Operations. During the period ended November 30, 2023, the Fund did not use the Global Credit Facility.

The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund’s financial instruments and are summarized in the following fair value hierarchy:

The input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level.

A summary of inputs used as of November 30, 2023, in valuing the Fund’s assets and liabilities carried at fair value, is as follows:

^aFor detailed categories, see the accompanying Consolidated Schedule of Investments.

^bIncludes common stocks and preferred stocks as well as other equity interests.

^cIncludes foreign securities valued at $13,401,731, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information.

^dIncludes foreign securities valued at $703,546, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information.

A reconciliation in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 assets and/or liabilities at the beginning and/or end of the period.

In March 2020, the FASB issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021 and December 2022, the FASB issued ASU No. 2021-01 and ASU No. 2022-06, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 for certain LIBOR settings and 2023 for the remainder. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact on the financial statements.

The Fund has evaluated subsequent events through the issuance of the consolidated financial statements and determined that no events have occurred that require disclosure.

Proxy Voting Policies and Procedures

The Fund’s investment manager has established Proxy Voting Policies and Procedures (Policies) that the Fund uses to determine how to vote proxies relating to portfolio securities. Shareholders may view the Fund’s complete Policies online at franklintempleton.com. Alternatively, shareholders may request copies of the Policies free of charge by calling the Proxy Group collect at (954) 527-7678 or by sending a written request to: Franklin Templeton Companies, LLC, 300 S.E. 2nd Street, Fort Lauderdale, FL 33301, Attention: Proxy Group. Copies of the Fund’s proxy voting records are also made available online at franklintempleton.com and posted on the U.S. Securities and Exchange Commission’s website at sec.gov and reflect the most recent 12-month period ended June 30.

Quarterly Schedule of Investments

The Trust, on behalf of the Fund, files a complete schedule of investments with the U.S. Securities and Exchange Commission for the first and third quarters for each fiscal year as an exhibit to its report on Form N-PORT. Shareholders may view the filed Form N-PORT by visiting the Commission’s website at sec.gov. The filed form may also be viewed and copied at the Commission’s Public Reference Room in Washington, DC. Information regarding the operations of the Public Reference Room may be obtained by calling (800) SEC-0330.

Householding of Reports and Prospectuses

You will receive, or receive notice of the availability of, the Fund’s financial reports every six months. In addition, you will receive an annual updated summary prospectus (detail prospectus available upon request). To reduce Fund expenses, we try to identify related shareholders in a household and send only one copy of the financial reports (to the extent received by mail) and summary prospectus. This process, called “householding,” will continue indefinitely unless you instruct us otherwise. If you prefer not to have these documents householded, please call us at (800) 632-2301. At any time you may view current prospectuses/summary prospectuses and financial reports on our website. If you choose, you may receive these documents through electronic delivery.

Authorized for distribution only when accompanied or preceded by a summary prospectus and/or prospectus. Investors should carefully consider a fund’s investment goals, risks, charges and expenses before investing. A prospectus contains this and other information; please read it carefully before investing.

To help ensure we provide you with quality service, all calls to and from our service areas are monitored and/or recorded.

(a) The Registrant has adopted a code of ethics that applies to its principal executive officers and principal financial and accounting officer.

(f) Pursuant to Item 13(a)(1), the Registrant is attaching as an exhibit a copy of its code of ethics that applies to its principal executive officers and principal financial and accounting officer.

(a)(1) The Registrant has an audit committee financial expert serving on its audit committee.

(2) The audit committee financial experts are Ann Torre Bates and David W. Niemiec, and they are “independent” as defined under the relevant Securities and Exchange Commission Rules and Releases.

There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that would require disclosure herein.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

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.

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.



Contents

Fund Overview			2
Performance Summary			4
Your Fund’s Expenses			6
Consolidated Financial Highlights and Consolidated Schedule of Investments			7
Consolidated Financial Statements			81
Notes to Consolidated Financial Statements			85
Shareholder Information			103


Share Class	Cumulative Total Return²		Average Annual Total Return³

A⁴
6-Month		+1.40%		-4.16%
1-Year		+1.35%		-4.22%
5-Year		+7.33%		+0.28%
10-Year		+23.78%		+1.58%
Since Inception (10/11/13)		+26.62%		+1.79%

Advisor
6-Month		+1.58%		+1.58%
1-Year		+1.71%		+1.71%
5-Year		+8.69%		+1.68%
10-Year		+27.10%		+2.43%
Since Inception (10/11/13)		+30.02%		+2.62%



Share Class	With Fee Waiver		Without Fee Waiver
A		2.62%		2.89%
Advisor		2.37%		2.64%



			Actual (actual return after expenses)				Hypothetical (5% annual return before expenses)
Share Class	Beginning Account Value 6/01/23		Ending Account Value 11/30/23		Expenses Paid During Period 6/01/23–11/30/23^1,2		Ending Account Value 11/30/23		Expenses Paid During Period 6/01/23–11/30/23^1,2		Net Annualized Expense Ratio²
A	$	1,000	$	1,014.00	$	13.04	$	1,012.05	$	13.03		2.59	%
C	$	1,000	$	1,009.70	$	16.78	$	1,008.30	$	16.77		3.34	%
R	$	1,000	$	1,013.00	$	14.29	$	1,010.80	$	14.28		2.84	%
R6	$	1,000	$	1,016.70	$	11.65	$	1,013.45	$	11.63		2.31	%
Advisor	$	1,000	$	1,015.80	$	11.79	$	1,013.30	$	11.78		2.34	%


	Six Months Ended November 30, 2023 (unaudited)		Year Ended May 31,
	Six Months Ended November 30, 2023 (unaudited)		2023			2022			2021			2020			2019

Class A
Per share operating performance (for a share outstanding throughout the period)

Net asset value, beginning of period	$	10.69	$	11.16		$	12.46		$	11.19		$	11.28		$	11.38


Income from investment operations^a:

Net investment income (loss)^b		0.10		0.15			(0.06	)		(0.08	)		(0.03	)		0.04

Net realized and unrealized gains (losses)		0.06		(0.32	)		(0.68	)		1.45			0.02			0.11


Total from investment operations		0.16		(0.17	)		(0.74	)		1.37			(0.01	)		0.15


Less distributions from:

Net investment income		—		(0.21	)		(0.06	)		—			(0.07	)		—

Net realized gains		—		(0.09	)		(0.50	)		(0.10	)		(0.01	)		(0.25	)


Total distributions		—		(0.30	)		(0.56	)		(0.10	)		(0.08	)		(0.25	)


Net asset value, end of period	$	10.85	$	10.69		$	11.16		$	12.46		$	11.19		$	11.28


Total return^c		1.40%		(1.48)%			(6.25)%			12.25%			(0.15)%			1.35%

Ratios to average net assets^d

Expenses before waiver, payments by affiliates and expense reduction^e		2.89%		2.82%			2.75%			2.82%			2.58%			2.73%

Expenses net of waiver, payments by affiliates and expense reduction^e		2.59%		2.64%			2.60%^f			2.64%			2.40%			2.56%

Expenses incurred in connection with securities sold short		0.44%		0.45%			0.40%			0.44%			0.20%			0.36%

Net investment income (loss)		1.77%		1.31%			(0.49)%			(0.67)%			(0.25)%			0.36%

Supplemental data

Net assets, end of period (000’s)		$66,353		$76,464			$94,580			$102,138			$90,205			$104,452

Portfolio turnover rate		128.86%		225.53%			177.61%			236.64%			271.51%			235.47%


Not FDIC Insured		\|		May Lose Value		\|		No Bank Guarantee



franklintempleton.com	The accompanying notes are an integral part of these consolidated financial statements. \| Semiannual Report	7



8	Semiannual Report \| The accompanying notes are an integral part of these consolidated financial statements.	franklintempleton.com



		Country		Shares/ Warrants/ Rights		Value
	Common Stocks and Other Equity Interests 26.5%
	Aerospace & Defense 0.0%^†
a	Eve Holding Inc., 5/09/27, wts.		United States		180,101	$	70,600
a	Satellogic Inc., 1/25/27, wts.		United States		2,058		291


							70,891

	Airlines 0.0%^†
	Southwest Airlines Co.		United States		1,830		46,793

	Auto Components 0.0%^†
	Patrick Industries Inc.		United States		72		5,907

	Automobile Components 0.3%
a	The Goodyear Tire & Rubber Co.		United States		117,000		1,625,130
a	Vitesco Technologies Group AG		Germany		6,854		700,484


							2,325,614

	Automobiles 0.1%
	General Motors Co.		United States		23,796		751,954
a	Livewire Group Inc., 9/27/27, wts.		United States		101,460		36,526
a	Next.e.GO NV		Netherlands		2,308		1,292


							789,772

	Beverages 0.2%
a	Monster Beverage Corp.		United States		13,102		722,575
	PepsiCo Inc.		United States		2,015		339,104
	Remy Cointreau SA		France		1,289		153,207


							1,214,886

	Biotechnology 3.3%
a	Abcam PLC, ADR		United Kingdom		35,391		848,322
a	Apellis Pharmaceuticals Inc.		United States		55,518		2,990,755
a	Argenx SE, ADR		Netherlands		3,657		1,647,881
a	Ascendis Pharma A/S, ADR		Denmark		7,882		791,589
a	BioMarin Pharmaceutical Inc.		United States		12,643		1,151,525
a	Exact Sciences Corp.		United States		845		54,080
a	Exelixis Inc.		United States		23,240		506,864
a	Immunogen Inc.		United States		3,969		116,490
a	Immunovant Inc.		United States		5,635		220,498
a,b	Ionis Pharmaceuticals Inc.		United States		1,092		54,021
a,c	Karuna Therapeutics Inc.		United States		5,679		1,085,882
a	Krystal Biotech Inc.		United States		13,180		1,373,751
a,c	Neurocrine Biosciences Inc.		United States		15,424		1,798,284
a,d	Point Biopharma Global Inc., A		United States		30,885		420,036
a	Praxis Precision Medicines Inc.		United States		4,217		76,743
a,c,d	Seagen Inc.		United States		28,515		6,079,683
a	Trisalus Life Sciences Inc., 8/10/28, wts.		United States		16,689		4,172
a	Vaxcyte Inc.		United States		28,963		1,499,415
a,c	Vertex Pharmaceuticals Inc.		United States		4,585		1,626,804
a	Xenon Pharmaceuticals Inc.		Canada		6,690		244,720


							22,591,515

	Capital Markets 0.1%
	Moody’s Corp.		United States		2,233		814,956

	Chemicals 0.5%
a	Aspen Aerogels Inc.		United States		15,730		164,850
a,e	Covestro AG, 144A		Germany		6,649		349,646
	The Sherwin-Williams Co.		United States		7,486		2,087,097
	Sociedad Quimica y Minera de Chile SA, ADR		Chile		18,587		933,811


							3,535,404



		Country		Principal Amount*			Value
	Convertible Bonds (continued)
	Consumer Non-Durables 0.2%
	Encore Capital Group Inc., senior note,
	3.25%, 10/01/25		United States		371,000		$	458,556
	^e 144A, 4.00%, 3/15/29		United States		643,000			588,023


								1,046,579

	Diversified Consumer Services 0.1%
	Chegg Inc., senior note, 0.125%, 3/15/25		United States		472,000			431,172
e	Nexi SpA, senior note, Reg S, 1.75%, 4/24/27		Italy		200,000	EUR		199,574


								630,746

	Diversified Financial Services 0.1%
e	Bread Financial Holdings Inc., senior note, 144A, 4.25%, 6/15/28		United States		399,000			376,057
	Lendingtree Inc., senior note, 0.50%, 7/15/25		United States		249,000			198,578
e	Wisdomtree Inc., senior note, 144A, 5.75%, 8/15/28		United States		148,000			147,556


								722,191

	Diversified Telecommunication Services 0.2%
c,e	Match Group Financeco 2 Inc., senior note, 144A, 0.875%, 6/15/26		United States		1,271,000			1,118,480

	Electric Utilities 0.1%
e	PG&E Corp., senior secured note, 144A, 4.25%, 12/01/27		United States		890,000			890,000

	Electrical Equipment 0.1%
c	Plug Power Inc., senior note, 3.75%, 6/01/25		United States		764,000			688,593

	Electronic Equipment, Instruments & Components 0.0%^†
e	Vishay Intertechnology Inc., senior note, 144A, 2.25%, 9/15/30		United States		23,000			21,562

	Energy Equipment & Services 0.4%
c	Helix Energy Solutions Group Inc., senior note, 6.75%, 2/15/26		United States		1,012,000			1,516,482
	Transocean Inc., senior note, 4.625%, 9/30/29		United States		660,000			1,366,596


								2,883,078

	Entertainment 0.3%
c	The Marcus Corp., senior note, 5.00%, 9/15/25		United States		473,000			674,261
c	Sea Ltd., senior note,
	2.375%, 12/01/25		Singapore		855,000			804,983
	0.25%, 9/15/26		Singapore		898,000			726,931


								2,206,175

	Equity Real Estate Investment Trusts (REITs) 0.2%
e	Hat Holdings I LLC / Hat Holdings II LLC, senior note, 144A,
	3.75%, 8/15/28		United States		150,000			160,320
	zero cpn., 5/01/25		United States		247,000			242,999
c	Pebblebrook Hotel Trust, senior note, 1.75%, 12/15/26		United States		962,000			792,688
b	Summit Hotel Properties Inc., senior note, 1.50%, 2/15/26		United States		310,000			262,260


								1,458,267

	Financial Services 0.2%
	Block Inc., senior note, 0.125%, 3/01/25		United States		1,431,000			1,365,746

	Food & Staples Retailing 0.1%
b,e	The Chefs’ Warehouse Inc., senior note, 144A, 2.375%, 12/15/28		United States		617,000			559,187

	Health Care Equipment & Supplies 0.3%
	CONMED Corp., senior note, 2.25%, 6/15/27		United States		243,000			239,233
	Cutera Inc., senior note, 2.25%, 6/01/28		United States		105,000			24,463
	Mesa Laboratories Inc., senior note, 1.375%, 8/15/25		United States		557,000			503,751
	NuVasive Inc., senior note, 0.375%, 3/15/25		United States		822,000			756,240
c	Varex Imaging Corp., senior note, 4.00%, 6/01/25		United States		773,000			878,824


								2,402,511



	Number of Contracts		Notional Amount^#		Value
Options Purchased (continued)
Calls – Exchange-Traded (continued)
Manchester United PLC, A, December Strike Price $25.00, Expires 12/15/23		70		136,430	$	840
Match Group Inc., January Strike Price $32.50, Expires 1/19/24		12		38,856		1,956
Maxeon Solar Technologies Ltd., December Strike Price $10.00, Expires 12/15/23		49		20,237		196
Nikola Corp., January Strike Price $3.00, Expires 1/19/24		60		5,834		60
Nikola Corp., January Strike Price $3.50, Expires 1/19/24		20		1,945		20
Nikola Corp., January Strike Price $2.00, Expires 1/17/25		82		7,974		1,968
Nikola Corp., January Strike Price $3.00, Expires 1/17/25		20		1,945		300
NIO Inc., December Strike Price $8.00, Expires 12/15/23		25		18,175		550
NIO Inc., December Strike Price $8.50, Expires 12/22/23		25		18,175		375
Plug Power Inc., December Strike Price $5.00, Expires 12/15/23		124		50,096		744
Plug Power Inc., January Strike Price $5.00, Expires 1/19/24		310		125,240		7,130
Plug Power Inc., March Strike Price $5.00, Expires 3/15/24		124		50,096		6,200
Point Biopharma Global Inc., January Strike Price $12.50, Expires 1/19/24		223		303,280		30,105
Porch Group Inc., January Strike Price $2.50, Expires 1/19/24		21		3,192		105
Redfin Corp., January Strike Price $13.00, Expires 1/19/24		47		32,759		141
Sea Ltd., January Strike Price $50.00, Expires 1/19/24		115		416,530		2,070
Silicon Motion Technology Corp., January Strike Price $65.00, Expires 1/19/24		178		1,046,640		6,230
Sirius XM Holdings Inc., January Strike Price $6.00, Expires 1/19/24		37		17,316		500
Sovos Brands Inc., February Strike Price $25.00, Expires 2/16/24		32		70,112		160
Spirit Airlines Inc., January Strike Price $20.00, Expires 1/19/24		353		523,146		76,601
Stride Inc., December Strike Price $60.00, Expires 12/15/23		6		36,348		876
Structure Therapeutics Inc., December Strike Price $60.00, Expires 12/15/23		34		189,346		21,760
Sunnova Energy International Inc., December Strike Price $12.00, Expires 12/15/23		37		42,920		2,812
Teck Resources Ltd., January Strike Price $43.00, Expires 1/19/24		11		41,415		374
Teck Resources Ltd., January Strike Price $45.00, Expires 1/19/24		43		161,895		688
Telephone and Data Systems Inc., February Strike Price $20.00, Expires 2/16/24		18		35,460		4,950
United States Steel Corp., December Strike Price $36.00, Expires 12/15/23		68		244,120		8,228
United States Steel Corp., January Strike Price $36.00, Expires 1/19/24		8		28,720		1,392
Viper Energy Inc., December Strike Price $32.00, Expires 12/15/23		230		708,860		5,980
Vodafone Group PLC, September Strike Price 0.75 GBP, Expires 9/20/24		171		152,190		12,953


						434,375

Calls – Over-the-Counter 0.0%^†
ASX Ltd., Counterparty GSCO, December Strike Price 6,970.00 AUD, Expires 12/05/23		130		526,994		10,639
EURO STOXX 50 Index, Counterparty BNPP, December Strike Price 4,300.00 EUR, Expires 12/15/23		121		530,279		13,673
S&P 500 Index, Counterparty GSCO, December Strike Price $4,345.00, Expires 12/05/23		117		534,433		25,713
Taiwan Stock Exchange Weighted Index, Counterparty JPHQ, December Strike Price 17,130.00 TWD, Expires 12/18/23		856		14,923,376		9,934


						59,959

Puts – Exchange-Traded 0.1%
3M Co., January Strike Price $75.00, Expires 1/19/24		56		554,792		392
Anavex Life Sciences Corp., December Strike Price $5.00, Expires 12/15/23		589		424,669		7,657



		Country		Shares		Value
v	Securities Sold Short (continued)
	Common Stocks (continued)
	Capital Markets (continued)
	Greenhill & Co. Inc.		United States		31,108	$	(466,309	)
	Oaktree Specialty Lending Corp.		United States		17,233		(344,660	)
	Wisdomtree Inc.		United States		9,478		(61,702	)


							(2,680,241	)

	Chemicals (0.3)%
	Albemarle Corp.		United States		4,317		(523,523	)
	Danimer Scientific Inc.		United States		30,283		(33,008	)
	Livent Corp.		United States		46,568		(640,776	)
	Purecycle Technologies Inc.		United States		8,704		(35,164	)
	The Sherwin-Williams Co.		United States		2,365		(659,362	)


							(1,891,833	)

	Communications Equipment (0.1)%
	Harmonic Inc.		United States		41,937		(463,823	)

	Construction & Engineering (0.0)%^†
	Granite Construction Inc.		United States		1,964		(90,246	)

	Construction Materials (0.2)%
	Martin Marietta Materials Inc.		United States		2,754		(1,279,481	)

	Consumer Finance (0.2)%
	Encore Capital Group Inc.		United States		14,364		(643,507	)
	EZCORP Inc., A		United States		59,036		(484,095	)
	SoFi Technologies Inc.		United States		4,545		(33,133	)
	Zip Co. Ltd.		Australia		22,641		(6,054	)


							(1,166,789	)

	Diversified Financial Services (0.0)%^†
	Bread Financial Holdings Inc.		United States		10,215		(287,042	)

	Electric Utilities (0.1)%
	American Electric Power Co. Inc.		United States		4,454		(354,316	)
	PG&E Corp.		United States		2,475		(42,496	)


							(396,812	)

	Electrical Equipment (0.3)%
	Array Technologies Inc.		United States		727		(11,247	)
	Bloom Energy Corp., A		United States		14,489		(209,221	)
	Eaton Corp. PLC		United States		1,056		(240,441	)
	Nextracker Inc., A		United States		6,078		(247,010	)
	Plug Power Inc.		United States		172,191		(695,651	)
	Rockwell Automation Inc.		United States		1,571		(432,716	)


							(1,836,286	)

	Electronic Equipment, Instruments & Components (0.0)%^†
	Vishay Intertechnology Inc.		United States		427		(9,492	)

	Energy Equipment & Services (0.3)%
	Helix Energy Solutions Group Inc.		United States		133,221		(1,241,620	)
	Transocean Ltd.		United States		177,545		(1,129,186	)


							(2,370,806	)

	Entertainment (0.1)%
	Live Nation Entertainment Inc.		United States		3,680		(309,930	)
	The Marcus Corp.		United States		41,117		(571,937	)
	Sea Ltd., ADR		Singapore		1,945		(70,448	)
	Spotify Technology SA		United States		23		(4,258	)


							(956,573	)


Futures Contracts

Description	Type		Number of Contracts		Notional Amount*		Expiration Date		Value/Unrealized Appreciation (Depreciation)
Commodity Contracts^a
Aluminum		Long		32	$	1,732,808		12/18/23	$	(75,758	)
Aluminum		Short		32		1,732,808		12/18/23		48,725
Aluminum		Long		7		385,218		3/18/24		(1,225	)
Aluminum		Short		19		1,045,593		3/18/24		31,552
Brent Crude Oil		Long		19		1,536,340		12/28/23		(11,210	)
Canola		Long		29		299,329		1/12/24		1,282
Canola		Long		11		114,365		3/14/24		(175	)
Canola		Long		1		10,484		5/14/24		201
Canola		Long		1		10,565		7/12/24		25
Canola		Long		1		10,434		11/14/24		82
Cocoa		Short		1		45,196		12/12/23		(2,486	)
Cocoa		Long		13		583,934		3/13/24		36,819
Cocoa		Short		65		2,814,418		3/13/24		(264,176	)
Cocoa		Short		13		555,241		5/15/24		(40,753	)
Cocoa		Short		2		84,080		7/16/24		(1,850	)
Coffee		Long		15		1,038,938		3/18/24		90,008
Coffee		Long		1		67,781		5/20/24		2,644
Copper		Long		19		3,994,512		12/18/23		76,927
Copper		Short		19		3,994,512		12/18/23		(39,461	)
Copper		Short		10		2,119,687		3/18/24		(71,108	)
Copper		Short		11		1,058,888		3/26/24		(15,400	)
Corn		Short		131		3,162,012		3/14/24		37,729
Corn		Short		11		272,250		5/14/24		1,550
Corn		Short		9		226,913		7/12/24		2,550
Corn		Short		2		50,650		9/13/24		350
Corn		Short		6		153,675		12/13/24		375
Cotton		Long		10		400,300		3/06/24		(4,046	)
Cotton		Long		1		40,350		5/08/24		(365	)
Feeder Cattle		Short		13		1,429,675		1/25/24		146,675
Feeder Cattle		Short		7		779,013		3/28/24		64,013
Feeder Cattle		Short		2		226,675		4/25/24		7,500
Feeder Cattle		Short		1		115,250		5/23/24		3,413
Frozen Concentrate Orange Juice		Long		1		60,150		1/10/24		1,658
Gasoline		Long		10		913,836		12/29/23		(7,108	)
Gasoline		Short		4		365,534		12/29/23		13,402
Gasoline		Short		1		91,468		1/31/24		3,910
Gasoline		Short		1		92,072		2/29/24		916
Gold 100 Oz		Short		10		2,057,200		2/27/24		(28,717	)
Hard Red Winter Wheat		Long		15		482,250		3/14/24		(28,275	)
Hard Red Winter Wheat		Short		23		739,450		3/14/24		509
Hard Red Winter Wheat		Long		2		64,750		5/14/24		25
Hard Red Winter Wheat		Long		2		65,250		7/12/24		(2,837	)
Lean Hogs		Short		6		165,060		12/14/23		7,670
Lean Hogs		Short		26		743,340		2/14/24		41,910
Lean Hogs		Short		9		278,460		4/12/24		13,530
Lean Hogs		Short		3		111,000		6/14/24		1,920
Live Cattle		Short		49		3,367,770		2/29/24		160,700
Live Cattle		Short		14		976,780		4/30/24		59,290
Live Cattle		Short		8		544,640		6/28/24		17,070
Low Sulphur Gas Oil		Long		3		240,450		12/12/23		(19,700	)
Low Sulphur Gas Oil		Long		31		2,438,150		1/11/24		(52,164	)
Low Sulphur Gas Oil		Long		2		156,250		2/12/24		(2,575	)
Milling Wheat		Long		10		123,137		3/11/24		(6,095	)
Milling Wheat		Long		3		37,676		5/10/24		(1,183	)


Futures Contracts (continued)

Description	Type		Number of Contracts		Notional Amount*		Expiration Date		Value/Unrealized Appreciation (Depreciation)
Commodity Contracts^a (continued)
Milling Wheat		Long		1	$	12,586		9/10/24	$	(432	)
Milling Wheat		Long		1		12,803		12/10/24		(352	)
Natural Gas		Long		8		224,160		12/27/23		(50,930	)
Natural Gas		Short		45		1,260,900		12/27/23		169,420
Natural Gas		Long		3		82,890		1/29/24		(21,350	)
Natural Gas		Long		2		52,740		2/27/24		(16,730	)
Natural Gas		Long		1		25,950		3/26/24		(4,800	)
Natural Gas		Long		1		26,580		4/26/24		(1,190	)
Nickel		Long		3		296,748		12/18/23		(31,487	)
Nickel		Short		3		296,748		12/18/23		82,282
Nickel		Long		2		200,508		3/18/24		(21	)
Nickel		Short		2		200,508		3/18/24		22,245
NY Harbor Ultra Low Sulfur Diesel		Long		20		2,313,528		12/29/23		(15,148	)
NY Harbor Ultra Low Sulfur Diesel		Long		2		228,161		1/31/24		(5,586	)
NY Harbor Ultra Low Sulfur Diesel		Long		1		112,384		2/29/24		(1,079	)
Palladium		Short		5		510,200		3/26/24		35,670
Platinum		Long		22		1,029,490		1/29/24		(1,085	)
Platinum		Long		1		47,145		4/26/24		70
Rapeseed		Short		1		24,532		1/31/24		(1,099	)
Robusta Coffee		Long		14		365,540		1/25/24		38,720
Robusta Coffee		Long		13		330,980		3/22/24		28,770
Robusta Coffee		Long		3		75,090		5/24/24		6,070
Silver		Short		8		1,026,400		3/26/24		(36,697	)
Soybean Meal		Long		2		84,800		1/12/24		(2,510	)
Soybean Meal		Long		19		786,980		3/14/24		(37,121	)
Soybean Meal		Long		1		40,800		5/14/24		(1,260	)
Soybean Oil		Short		22		689,832		1/12/24		4,698
Soybean Oil		Short		23		718,290		3/14/24		(12,484	)
Soybean Oil		Short		4		124,752		5/14/24		6,792
Soybean Oil		Short		3		93,330		7/12/24		(2,310	)
Soybean Oil		Short		1		30,864		8/14/24		(1,020	)
Soybeans		Short		12		805,650		1/12/24		(7,675	)
Soybeans		Long		8		544,900		3/14/24		(11,435	)
Soybeans		Short		8		544,900		3/14/24		(3,937	)
Soybeans		Short		3		206,288		5/14/24		(350	)
Soybeans		Short		3		207,113		7/12/24		(1,262	)
Sugar		Long		38		1,108,262		2/29/24		(27,693	)
Sugar		Short		53		1,545,734		2/29/24		40,062
Sugar		Short		7		196,314		4/30/24		(1,254	)
Sugar		Short		3		81,446		6/28/24		918
UK Natural Gas		Short		10		419,264		12/28/23		52,410
Wheat		Short		66		1,973,400		3/14/24		(28,180	)
Wheat		Short		5		153,188		5/14/24		(5,913	)
Wheat		Short		5		156,188		7/12/24		2,988
Wheat		Short		1		31,938		9/13/24		275
White Sugar		Short		15		537,825		2/14/24		14,145
White Sugar		Short		3		104,835		4/15/24		3,735
White Sugar		Short		1		33,945		7/16/24		1,130
WTI Crude Oil		Long		19		1,443,240		12/19/23		(18,833	)
WTI Crude Oil		Short		4		303,840		12/19/23		16,190
WTI Crude Oil		Short		1		76,050		1/22/24		490
Zinc		Long		23		1,422,981		12/18/23		(65,524	)
Zinc		Short		23		1,422,981		12/18/23		(5,314	)
Zinc		Long		10		619,437		3/18/24		(16,917	)
Zinc		Short		9		557,493		3/18/24		23,483

										309,848


Forward Exchange Contracts

Currency	Counterparty^a		Type		Quantity		Contract Amount*			Settlement Date		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Exchange Contracts
Australian Dollar		MSCO		Buy		220,000		142,921			12/08/23	$	2,484	$	—
Australian Dollar		MSCO		Sell		832,000		528,260			12/08/23		—		(21,637	)
Turkish Lira		JPHQ		Buy		10,076,008		409,981			12/11/23		—		(64,559	)
Turkish Lira		JPHQ		Sell		10,076,008		440,963			12/11/23		95,540		—
British Pound		MSCO		Sell		497,000		628,649			12/15/23		1,116		—
Chilean Peso		MSCO		Buy		598,206,466		649,268			12/15/23		35,873		—
Chilean Peso		MSCO		Sell		1,443,176,450		1,626,400			12/15/23		—		(26,508	)
Chinese Yuan		MSCO		Buy		6,617,814		930,264			12/15/23		2,700		(3,507	)
Chinese Yuan		MSCO		Sell		6,617,813		918,114			12/15/23		—		(11,343	)
Australian Dollar		BZWS		Buy		7,548,000		4,842,059			12/20/23		148,747		—
Australian Dollar		BZWS		Sell		12,216,000		7,898,539			12/20/23		1,284		(180,075	)
British Pound		BZWS		Buy		2,116,000		2,607,953			12/20/23		63,969		(38	)
British Pound		BZWS		Sell		6,479,000		8,032,964			12/20/23		2		(148,107	)
British Pound		JPHQ		Sell		570,000		706,349			12/20/23		—		(13,393	)
Danish Krone		BZWS		Buy		14,784,000		2,105,308			12/20/23		55,872		—
Danish Krone		BZWS		Sell		14,784,000		2,126,489			12/20/23		—		(34,692	)
Euro		BZWS		Buy		524,000		555,064			12/20/23		15,899		(35	)
Euro		BZWS		Sell		2,812,000		3,029,964			12/20/23		4,344		(38,211	)
Euro		JPHQ		Buy		114,400		124,713			12/20/23		—		(68	)
Euro		JPHQ		Sell		1,144,000		1,222,912			12/20/23		—		(23,539	)
Norwegian Krone		BZWS		Buy		6,014,000		557,505			12/20/23		3,013		(4,341	)
Norwegian Krone		BZWS		Sell		22,032,000		2,056,315			12/20/23		19,112		(330	)
Swiss Franc		BNYM		Buy		444,068		497,045			12/20/23		11,286		—
Swiss Franc		BNYM		Sell		929,900		1,046,516			12/20/23		—		(17,955	)
Australian Dollar^b		MSCO		Buy		6,949,000		4,515,320			12/22/23		82,329		(2,591	)
Australian Dollar^b		MSCO		Sell		8,198,000		5,269,495			12/22/23		—		(151,475	)
British Pound^b		MSCO		Buy		8,725,000		10,857,556			12/22/23		161,612		(1,839	)
British Pound^b		MSCO		Sell		9,744,000		11,932,066			12/22/23		—		(371,985	)
Canadian Dollar^b		MSCO		Buy		5,633,000		4,134,721			12/22/23		26,806		(8,657	)
Canadian Dollar^b		MSCO		Sell		15,964,000		11,685,592			12/22/23		10,867		(94,563	)
Euro^b		MSCO		Buy		5,026,000		5,401,547			12/22/23		77,430		(2,344	)
Euro^b		MSCO		Sell		10,502,000		11,247,366			12/22/23		7,434		(203,680	)
Japanese Yen^b		MSCO		Buy		336,986,000		2,273,782			12/22/23		12,700		(5,020	)
Japanese Yen^b		MSCO		Sell		1,402,391,000		9,624,683			12/22/23		138,776		(8,562	)
Mexican Peso^b		MSCO		Buy		68,365,000		3,920,216			12/22/23		2,125		(415	)
Mexican Peso^b		MSCO		Sell		11,543,000		650,365			12/22/23		54		(11,882	)
New Zealand Dollar^b		MSCO		Buy		5,583,000		3,351,002			12/22/23		88,214		(809	)
New Zealand Dollar^b		MSCO		Sell		9,408,000		5,542,037			12/22/23		—		(252,075	)
Swiss Franc^b		MSCO		Buy		3,582,000		4,026,028			12/22/23		75,334		—
Swiss Franc^b		MSCO		Sell		9,152,000		10,221,363			12/22/23		32		(257,633	)
Australian Dollar		BNYM		Sell		180,000		115,770			12/27/23		—		(3,277	)
Canadian Dollar		BNYM		Sell		1,109,000		824,391			12/27/23		6,719		—
Euro		BNYM		Buy		959,000		1,017,147			12/27/23		28,090		—
Euro		BNYM		Sell		3,546,000		3,767,873			12/27/23		—		(96,998	)
Hong Kong Dollar		BNYM		Sell		9,897,000		1,267,985			12/27/23		942		—
Chilean Peso		JPHQ		Buy		3,366,147,009		3,718,042			1/18/24		127,687		—
Chilean Peso		JPHQ		Sell		1,424,778,303		1,517,243			1/18/24		—		(110,526	)
Chinese Yuan		JPHQ		Buy		13,795,273		1,920,000			1/18/24		24,416		—
Chinese Yuan		JPHQ		Sell		13,774,436		1,908,425			1/18/24		—		(33,054	)
Colombian Peso		JPHQ		Sell		22,464,992,394		5,167,490			1/18/24		—		(366,289	)
Czech Koruna		JPHQ		Sell		167,833		6,808	EUR		1/18/24		195		(273	)
Hungarian Forint		JPHQ		Sell		28,756,785		72,722	EUR		1/18/24		2,089		(4,631	)
Polish Zloty		JPHQ		Sell		20,566,999		4,620,000	EUR		1/18/24		43,239		(136,126	)
Euro		JPHQ		Buy		99,000		105,075			1/18/24		2,934		—
Euro		JPHQ		Sell		1,820,344		1,940,160			1/18/24		—		(45,841	)



		Country		Shares/ Warrants/ Rights		Value
	Common Stocks and Other Equity Interests (continued)
	Diversified Financial Services (continued)
a	Investcorp Europe Acqusition Corp. I, A, 11/23/28, wts.		United States		116,809	$	17,522
a	Jaws Mustang Acquisition Corp., A, 1/30/26, wts.		United States		8,196		90
a	Keen Vision Acquisition Corp.		United States		32,220		166,432
a	Landcadia Holdings IV Inc., A, 3/29/28, wts.		United States		1,171		41
a	Learn CW Investment Corp., A, 12/31/28, wts.		United States		9,863		267
a,f	Live Oak Crestview Climate Acquisition Corp., A, 9/27/28, wts.		United States		452		—
a	M3-Brigade Acquisition II Corp., A, 3/09/26, wts.		United States		7,608		20
a	Nabors Energy Transition Corp. II		United States		7,058		73,121
a	Nabors Energy Transition Corp. II, 9/05/28, wts.		United States		20,137		2,668
a	Nabors Energy Transition Corp. II, A		United States		40,275		415,235
a	Northern Star Investment Corp. II, A, 1/31/28, wts.		United States		3,083		55
a,c	Oak Woods Acquisition Corp., A		Canada		46,800		490,932
a	Oak Woods Acquisition Corp., A, 3/23/28, wts.		Canada		46,800		1,544
a	Oak Woods Acquisition Corp., Contingent Value, rts., 2/20/49		Canada		46,800		6,084
a	Patria Latin American Opportunity Acquisition Corp.		Cayman Islands		13,116		144,997
a,f	Pegasus Acquisition Co. Europe BV, A		Netherlands		5,997		—
a,f	Pershing Square Tontine Holdings Ltd., A		United States		42,829		8,566
f	Pershing Square Tontine Holdings Ltd., Contingent Value, rts., 12/31/33		United States		10,707		—
a	Rigel Resource Acquisition Corp., A, 11/05/26, wts.		United States		4,071		528
a	RMG Acquisition Corp. III, A, 12/31/27, wts.		United States		557		39
a	Screaming Eagle Acquisition Corp., A		United States		18,936		199,964
a	Screaming Eagle Acquisition Corp., A, 12/15/27, wts.		United States		20,384		1,634
a	Slam Corp., A, 12/31/27, wts.		United States		7,928		694
a	Social Leverage Acquisition Corp. I, A		United States		13,866		142,404
a	Social Leverage Acquisition Corp. I, A, 2/17/28, wts.		United States		3,466		73
a	Southport Acquisition Corp., 5/24/28, wts.		United States		4,946		62
a	Spree Acquisition Corp. 1 Ltd., 12/22/28, wts.		Israel		3,069		55
a	Target Global Acquisition I Corp., A, 12/31/27, wts.		Israel		3,516		202
a	Teract SA, 11/16/25, wts.		France		3,920		105
a	Twelve Seas Investment Co. II, A, 3/02/28, wts.		United States		1,629		49


							4,157,843

	Electric Utilities 3.1%



		Country		Shares/ Warrants/ Rights		Value
	Common Stocks and Other Equity Interests (continued)
	Hotels, Restaurants & Leisure 0.0%^†
a	F45 Training Holdings Inc.		United States		120,050	$	6,603
a	HomeToGo SE, 12/31/25, wts.		Luxembourg		716		8
a	Sonder Holdings Inc., 1/31/28, wts.		United States		3,948		86


							6,697

	Independent Power & Renewable Electricity Producers 1.0%
	The AES Corp.		United States		137,161		2,360,541
	Clearway Energy Inc., C		United States		17,189		429,209
c	NextEra Energy Partners LP		United States		12,711		299,217
a,c	Sunnova Energy International Inc.		United States		129,190		1,498,604
	Vistra Corp.		United States		60,430		2,139,826


							6,727,397

	Industrial Conglomerates 0.6%
c	General Electric Co.		United States		22,061		2,687,030
	Hitachi Ltd.		Japan		19,359		1,346,056


							4,033,086

	Industrial REITs 0.1%
	Intervest Offices & Warehouses NV		Belgium		25,296		567,215

	Insurance 0.7%
a	American Equity Investment Life Holding Co.		United States		21,630		1,193,111
a	Aon PLC, A		United States		4,199		1,379,330
	Arthur J Gallagher & Co.		United States		2,850		709,650
	The Progressive Corp.		United States		4,697		770,449
	W.R. Berkley Corp.		United States		10,488		760,904



		Country		Shares/ Warrants/ Rights		Value
	Common Stocks and Other Equity Interests (continued)
	Media 0.2%
a	Altice USA Inc., A		United States		56,100	$	129,030
a	Clear Channel Outdoor Holdings Inc., A		United States		192,601		279,271
a	Dish Network Corp., A		United States		12,042		44,074
a	Iheartmedia Inc., A		United States		33,414		87,545
a	Innovid Corp., A, 11/30/26, wts.		Israel		69		4
a,d	Liberty Media Corp.-Liberty SiriusXM		United States		32,000		863,680


							1,403,604

	Metals & Mining 0.2%
a	Iamgold Corp.		Burkina Faso		172,926		439,232
	Teck Resources Ltd., B		Canada		3,737		140,698
d	United States Steel Corp.		United States		20,201		725,216


							1,305,146

	Oil, Gas & Consumable Fuels 0.7%
a	Euronav NV		Belgium		35,791		643,880
a,f,g	Gazprom PJSC		Russia		615,160		—
c	New Fortress Energy Inc., A		United States		39,184		1,507,801
c,d	Pioneer Natural Resources Co.		United States		8,608		1,993,957
c	Targa Resources Corp.		United States		4,567		413,085


							4,558,723

	Personal Products 0.3%
	The Estee Lauder Cos. Inc., A		United States		1,473		188,087
	L’Oreal SA		France		4,037		1,896,952


							2,085,039



		Country		Shares/ Warrants/ Rights		Value
	Common Stocks and Other Equity Interests (continued)
	Semiconductors & Semiconductor Equipment (continued)
a	Tower Semiconductor Ltd.		Israel		1,374	$	37,620


							1,587,710

	Software 0.8%
e	ALFA Financial Software Holdings PLC, 144A		United Kingdom		189,977		359,755
a	Altair Engineering Inc., A		United States		1,413		102,386
	Bentley Systems Inc., B		United States		1,337		69,604
a,c	Dropbox Inc., A		United States		3,013		84,906
a	Esi Group		France		2,197		368,281
	Infomedia Ltd.		Australia		497,543		491,058
	Microsoft Corp.		United States		7,422		2,812,270
a	Nutanix Inc., A		United States		2,541		109,492
a	Roadzen Inc., 11/30/28, wts.		Virgin Islands		3,958		198
a,c	Splunk Inc.		United States		8,716		1,320,823


							5,718,773

	Specialized REITs 0.2%
	Digital Realty Trust Inc.		United States		5,076		704,447
	Equinix Inc.		United States		866		705,799


							1,410,246

	Specialty Retail 0.5%
a	Autozone Inc.		United States		307		801,249
a	Carvana Co., A		United States		1		31
	The Home Depot Inc.		United States		6,142		1,925,456
	Murphy USA Inc.		United States		2,106		778,272
	Musti Group OYJ		Finland		8,218		235,633


Forward Exchange Contracts (continued)

Currency	Counterparty^a		Type		Quantity		Contract Amount*			Settlement Date		Unrealized Appreciation		Unrealized Depreciation
OTC Forward Exchange Contracts (continued)
Hungarian Forint		JPHQ		Sell		168,940,628		457,165			1/18/24	$	—	$	(23,876	)
Indian Rupee		JPHQ		Buy		149,938,758		1,800,000			1/18/24		—		(4,245	)
Indian Rupee		JPHQ		Sell		149,912,931		1,790,000			1/18/24		—		(5,446	)
Indonesian Rupiah		JPHQ		Buy		67,904,703,033		4,309,999			1/18/24		66,052		—
Indonesian Rupiah		JPHQ		Sell		68,691,466,272		4,392,053			1/18/24		4,716		(39,415	)
Japanese Yen		JPHQ		Buy		614,967,011		4,192,866			1/18/24		—		(10,438	)
Japanese Yen		JPHQ		Sell		582,075,547		3,929,346			1/18/24		—		(29,385	)
Kazakhstan Tenge		CITI		Buy		281,445,408		574,848			1/18/24		30,809		—
Malaysian Ringgit		BZWS		Buy		6,865,308		1,485,097			1/18/24		—		(6,683	)
Malaysian Ringgit		GSCO		Buy		1,918,095		414,903			1/18/24		—		(1,850	)
Mexican Peso		JPHQ		Buy		66,190,128		3,617,554			1/18/24		161,666		—
Peruvian Nuevo Sol		JPHQ		Buy		10,229,145		2,690,000			1/18/24		41,339		—
Peruvian Nuevo Sol		JPHQ		Sell		15,652,161		4,147,106			1/18/24		4,988		(37,250	)
Euro		JPHQ		Sell		4,948,307		22,546,978	PLN		1/18/24		365,343		(136,456	)
Polish Zloty		JPHQ		Sell		2,071,115		474,989			1/18/24		—		(41,941	)
Romanian Leu		JPHQ		Buy		1,144,225		242,391			1/18/24		8,088		—
South African Rand		JPHQ		Buy		52,299,000		2,772,305			1/18/24		—		(10,192	)
South African Rand		JPHQ		Sell		73,553,621		3,815,438			1/18/24		16,887		(86,101	)
South Korean Won		JPHQ		Buy		2,492,359,000		1,910,000			1/18/24		27,677		—
South Korean Won		JPHQ		Sell		88,151,280		65,566			1/18/24		—		(2,967	)
Taiwan Dollar		JPHQ		Buy		59,296,744		1,879,999			1/18/24		29,346		—
Thai Baht		JPHQ		Sell		1,563,768		42,528			1/18/24		—		(2,133	)
Turkish Lira		JPHQ		Buy		12,599,160		420,000			1/18/24		—		(2,192	)
Turkish Lira		JPHQ		Sell		16,546,003		543,384			1/18/24		—		(5,307	)
Brazilian Real		JPHQ		Buy		20,477,311		4,078,676			2/02/24		55,144		(4,121	)
South Korean Won		MSCO		Buy		1,141,836,253		885,791			2/15/24		3,325		—
British Pound		MSCO		Sell		1,450,000		1,831,677			2/29/24		—		(71	)
Danish Krone		MSCO		Sell		300,000		44,291			2/29/24		270		—
Euro		MSCO		Sell		1,000,000		1,099,689			2/29/24		6,814		—
Polish Zloty		MSCO		Buy		3,700,000		926,484			2/29/24		—		(3,556	)
Swedish Krona		MSCO		Buy		800,000		76,906			2/29/24		—		(432	)
Euro		JPHQ		Sell		116,000		126,965			3/20/24		78		—
Euro		JPHQ		Sell		2,900,000		3,396,074			3/31/25		169,408		—

Total Forward Exchange Contracts												$	2,373,215	$	(3,212,940	)

Net unrealized appreciation (depreciation)														$	(839,725	)


Credit Default Swap Contracts

Description	Annual Payment Rate Received (Paid)		Payment Frequency		Maturity Date		Notional Amount^a			Value			Upfront Payments (Receipts)			Unrealized Appreciation (Depreciation)			Rating^b
Centrally Cleared Swap Contracts
Contracts to Buy Protection^c
Single Name
Air France-KLM		(5.00)%		Quarterly		12/20/27		27,000	EUR	$	(2,250	)	$	2,291		$	(4,541	)
Air France-KLM		(5.00)%		Quarterly		12/20/27		38,000	EUR		(3,167	)		3,154			(6,321	)
Air France-KLM		(5.00)%		Quarterly		12/20/27		70,000	EUR		(5,834	)		4,253			(10,087	)
Air France-KLM		(5.00)%		Quarterly		12/20/27		80,000	EUR		(16,671	)		6,326			(22,997	)
Air France-KLM		(5.00)%		Quarterly		12/20/27		132,000	EUR		(11,002	)		8,421			(19,423	)
Air France-KLM		(5.00)%		Quarterly		6/20/24		200,000	EUR		(5,136	)		1,324			(6,460	)
Air France-KLM		(5.00)%		Quarterly		6/20/24		100,000	EUR		(2,568	)		801			(3,369	)
Alstom SA		(1.00)%		Quarterly		12/20/28		73,000	EUR		3,638			4,065			(427	)
Alstom SA		(1.00)%		Quarterly		12/20/28		147,000	EUR		7,326			7,933			(607	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/24		143,000			(1,778	)		1,651			(3,429	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/24		286,000			(3,556	)		6,625			(10,181	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/24		178,000			(2,213	)		7,028			(9,241	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/25		72,000			(315	)		5,386			(5,701	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/25		288,000			(1,258	)		20,448			(21,706	)
American Airlines Inc.		(5.00)%		Quarterly		12/20/23		216,000			(169	)		190			(359	)
American Airlines Inc.		(5.00)%		Quarterly		12/20/23		66,000			(51	)		203			(254	)
American Airlines Inc.		(5.00)%		Quarterly		12/20/23		155,000			(121	)		348			(469	)
American Airlines Inc.		(5.00)%		Quarterly		12/20/23		483,000			(377	)		378			(755	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/24		41,000			(510	)		1,190			(1,700	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/24		189,000			(2,350	)		6,019			(8,369	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/25		71,000			(310	)		519			(829	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/25		72,000			(315	)		700			(1,015	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/25		72,000			(315	)		1,630			(1,945	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/25		144,000			(629	)		3,599			(4,228	)
American Airlines Inc.		(5.00)%		Quarterly		6/20/25		144,000			(629	)		3,767			(4,396	)
American Axle & Manufacturing Inc.		(5.00)%		Quarterly		6/20/27		155,000			(6,349	)		(3,822	)		(2,527	)
American Axle & Manufacturing Inc.		(5.00)%		Quarterly		6/20/27		73,000			(2,611	)		(2,611	)		—
American Axle & Manufacturing Inc.		(5.00)%		Quarterly		6/20/27		134,000			(5,489	)		(1,693	)		(3,796	)


Credit Default Swap Contracts (continued)

Description	Annual Payment Rate Received (Paid)		Payment Frequency		Maturity Date		Notional Amount^a			Value			Upfront Payments (Receipts)			Unrealized Appreciation (Depreciation)			Rating^b
Centrally Cleared Swap Contracts (continued)
Contracts to Buy Protection^c (continued)
Single Name (continued)
American Axle & Manufacturing Inc.		(5.00)%		Quarterly		6/20/27		62,000		$	(2,539	)	$	506		$	(3,045	)
Assicurazioni Generali SpA		(1.00)%		Quarterly		12/20/28		144,000	EUR		3,191			3,768			(577	)
BMW AG		(1.00)%		Quarterly		12/20/28		579,000	EUR		(11,392	)		(7,858	)		(3,534	)
BMW AG		(1.00)%		Quarterly		12/20/28		178,000	EUR		(3,502	)		(2,416	)		(1,086	)
BMW AG		(1.00)%		Quarterly		12/20/28		94,000	EUR		(1,849	)		(1,386	)		(463	)
Boparan Finance PLC		(5.00)%		Quarterly		6/20/24		72,000	EUR		1,790			6,778			(4,988	)
Carnival Corp.		(1.00)%		Quarterly		6/20/27		66,000			6,205			16,219			(10,014	)
Carnival Corp.		(1.00)%		Quarterly		6/20/27		104,000			9,778			25,484			(15,706	)
Carnival Corp.		(1.00)%		Quarterly		6/20/27		328,000			30,838			65,492			(34,654	)
Carnival Corp.		(1.00)%		Quarterly		12/20/25		44,000			1,705			2,706			(1,001	)
Carnival Corp.		(1.00)%		Quarterly		12/20/25		73,000			2,829			3,523			(694	)
Carnival Corp.		(1.00)%		Quarterly		12/20/25		72,000			2,790			4,684			(1,894	)
Carnival Corp.		(1.00)%		Quarterly		12/20/25		72,000			2,790			4,821			(2,031	)
Carnival Corp.		(1.00)%		Quarterly		12/20/25		144,000			5,581			8,313			(2,732	)
Carnival Corp.		(1.00)%		Quarterly		6/20/27		73,000			6,863			7,787			(924	)
Carnival Corp.		(1.00)%		Quarterly		6/20/27		67,000			6,299			8,892			(2,593	)
Carnival Corp.		(1.00)%		Quarterly		6/20/27		67,000			6,299			8,892			(2,593	)
Carnival Corp.		(1.00)%		Quarterly		6/20/27		67,000			6,299			9,059			(2,760	)
Carnival Corp.		(1.00)%		Quarterly		6/20/27		144,000			13,539			16,928			(3,389	)
Ceconomy AG		(1.00)%		Quarterly		12/20/23		26,000	EUR		31			(171	)		202
Ceconomy AG		(1.00)%		Quarterly		12/20/23		26,000	EUR		31			(63	)		94
Ceconomy AG		(1.00)%		Quarterly		12/20/23		12,000	EUR		14			10			4
Ceconomy AG		(1.00)%		Quarterly		12/20/23		26,000	EUR		31			31			—
Ceconomy AG		(1.00)%		Quarterly		12/20/23		28,000	EUR		33			65			(32	)
Ceconomy AG		(1.00)%		Quarterly		6/20/25		86,000	EUR		5,720			11,299			(5,579	)
Continental AG		(1.00)%		Quarterly		12/20/28		3,000	EUR		1			63			(62	)
Continental AG		(1.00)%		Quarterly		12/20/28		711,000	EUR		280			14,892			(14,612	)
Daimler Truck Holding AG		(1.00)%		Quarterly		12/20/28		326,000	EUR		(6,413	)		(4,364	)		(2,049	)
Daimler Truck Holding AG		(1.00)%		Quarterly		12/20/28		292,000	EUR		(5,744	)		(3,924	)		(1,820	)
Daimler Truck Holding AG		(1.00)%		Quarterly		12/20/28		146,000	EUR		(2,872	)		(1,973	)		(899	)
Daimler Truck Holding AG		(1.00)%		Quarterly		12/20/28		94,000	EUR		(1,849	)		(1,386	)		(463	)
Ford Motor Co.		(5.00)%		Quarterly		12/20/28		728,000			(83,305	)		(64,447	)		(18,858	)
Ford Motor Co.		(5.00)%		Quarterly		12/20/28		131,000			(14,990	)		(11,309	)		(3,681	)
Government of Italy		(1.00)%		Quarterly		6/20/24		132,000			(625	)		344			(969	)
Government of Italy		(1.00)%		Quarterly		6/20/24		218,000			(1,032	)		264			(1,296	)
HSBC Holdings PLC		(1.00)%		Quarterly		12/20/28		288,000	EUR		2,077			4,162			(2,085	)
Iceland Bondco		(5.00)%		Quarterly		6/20/25		36,000	EUR		(1,471	)		3,118			(4,589	)
Iceland Bondco		(5.00)%		Quarterly		6/20/25		24,000	EUR		(980	)		527			(1,507	)
Intesa Sanpaolo SpA		(1.00)%		Quarterly		12/20/28		84,000	EUR		4,185			6,045			(1,860	)



Assets:
Investments in securities:
Cost – Unaffiliated issuers	$	585,446,723
Cost – Non-controlled affiliates (Note 3f)		1,010,000

Value – Unaffiliated issuers^†	$	599,701,637
Value – Non-controlled affiliates (Note 3f)		1,010,000
Cash		21,631,271
Restricted cash for OTC derivatives (Note 1d)		2,450,000
Foreign currency, at value (cost $11,156,504)		11,285,624
Receivables:
Investment securities sold		13,472,849
Capital shares sold		17,825,915
Dividends and interest		5,205,850
Deposits with brokers for:
Securities sold short		119,786,559
OTC derivative contracts		49,658,416
Futures contracts		12,154,221
Centrally cleared swap contracts		4,153,971
Due from brokers		5,739,330
Variation margin on futures contracts		29,113
OTC swap contracts (upfront payments $3,587,632)		2,764,183
Unrealized appreciation on OTC forward exchange contracts		2,373,215
Unrealized appreciation on OTC swap contracts		14,664,175
Other assets		185,812

Total assets		884,092,141

Liabilities:
Payables:
Investment securities purchased		13,886,767
Capital shares redeemed		18,483,572
Management fees		924,907
Distribution fees		23,063
Trustees’ fees and expenses		5,219
Transfer agent fees		385,370
Deposits from brokers for:
OTC derivative contracts		2,450,000
Due to brokers		17,206,045
Variation margin on centrally cleared swap contracts		62,153
OTC swap contracts (upfront receipts $137,304)		128,537
Options written, at value (premiums received $535,068)		382,840
Securities sold short, at value (proceeds $128,452,480)		121,453,065
Payable upon return of securities loaned (Note 1f)		1,010,000
Unrealized depreciation on OTC forward exchange contracts		3,212,940
Unrealized depreciation on OTC swap contracts		15,269,086
Unrealized depreciation on unfunded loan commitments (Note 10)		40,305
Accrued expenses and other liabilities		367,328

Total liabilities		195,291,197

Net assets, at value	$	688,800,944

Net assets consist of:
Paid-in capital	$	702,970,844
Total distributable earnings (loss)		(14,169,900	)

Net assets, at value	$	688,800,944

^†Includes securities loaned	$	1,047,230



Class A:
Net assets, at value	$	66,353,363

Shares outstanding		6,118,241

Net asset value per sharea	$	10.85

Maximum offering price per share (net asset value per share ÷ 94.50%)	$	11.48


Class C:
Net assets, at value	$	10,978,028

Shares outstanding		1,049,060

Net asset value and maximum offering price per sharea	$	10.46


Class R:
Net assets, at value	$	304,236

Shares outstanding		27,966

Net asset value and maximum offering price per share	$	10.88


Class R6:
Net assets, at value	$	41,505,722

Shares outstanding		3,786,078

Net asset value and maximum offering price per share	$	10.96


Advisor Class:
Net assets, at value	$	569,659,595

Shares outstanding		52,087,136

Net asset value and maximum offering price per share	$	10.94



Investment income:
Dividends: (net of foreign taxes)*
Unaffiliated issuers	$	7,073,769
Interest: (net of foreign taxes)~
Unaffiliated issuers		10,060,641
Income from securities loaned:
Unaffiliated entities (net of fees and rebates)		(13,251	)
Non-controlled affiliates (Note 3f)		41,687

Total investment income		17,162,846

Expenses:
Management fees (Note 3a)		7,463,316
Distribution fees: (Note 3c)
Class A		89,172
Class C		67,429
Class R		815
Transfer agent fees: (Note 3e)
Class A		48,671
Class C		9,207
Class R		222
Class R6		4,090
Advisor Class		449,053
Custodian fees (Note 4) .		180,013
Reports to shareholders fees		51,740
Registration and filing fees		57,774
Professional fees		268,799
Trustees’ fees and expenses		183,185
Dividends and interest on securities sold short		1,710,830
Other		79,224

Total expenses		10,663,540
Expense reductions (Note 4)		(149,553	)
Expenses waived/paid by affiliates (Note 3f and 3g)		(1,157,215	)

Net expenses		9,356,772

Net investment income		7,806,074

Realized and unrealized gains (losses):
Net realized gain (loss) from:
Investments:
Unaffiliated issuers		7,866,485
Written options		898,825
Foreign currency transactions		213,278
Forward exchange contracts		(2,921,846	)
Futures contracts		(1,127,044	)
Securities sold short		6,301,424
Swap contracts		(1,466,340	)

Net realized gain (loss)		9,764,782

Net change in unrealized appreciation (depreciation) on:
Investments:
Unaffiliated issuers		(922,430	)
Written options		(90,032	)
Translation of other assets and liabilities denominated in foreign currencies		132,620
Forward exchange contracts		795,033
Futures contracts		85,603
Securities sold short		(7,722,456	)
Swap contracts		3,146,689

Net change in unrealized appreciation (depreciation)		(4,574,973	)

Net realized and unrealized gain (loss)		5,189,809

Net increase (decrease) in net assets resulting from operations	$	12,995,883

* Foreign taxes withheld on dividends	$	10,267
~ Foreign taxes withheld on interest	$	13,410



	Six Months Ended November 30, 2023 (unaudited)			Year Ended May 31, 2023
Increase (decrease) in net assets:
Operations:
Net investment income	$	7,806,074		$	15,741,185
Net realized gain (loss)		9,764,782			(11,553,755	)
Net change in unrealized appreciation (depreciation)		(4,574,973	)		(20,733,832	)

Net increase (decrease) in net assets resulting from operations		12,995,883			(16,546,402	)

Distributions to shareholders:
Class A		—			(2,298,782	)
Class C		—			(366,579	)
Class R		—			(6,760	)
Class R6		—			(1,623,691	)
Advisor Class		—			(25,006,493	)

Total distributions to shareholders		—			(29,302,305	)

Capital share transactions: (Note 2)
Class A		(11,224,603	)		(14,390,545	)
Class C		(4,913,247	)		(7,897,223	)
Class R		(51,449	)		(443,340	)
Class R6		(3,439,861	)		(1,408,481	)
Advisor Class		(152,266,813	)		(349,425,448	)

Total capital share transactions		(171,895,973	)		(373,565,037	)

Net increase (decrease) in net assets		(158,900,090	)		(419,413,744	)
Net assets:
Beginning of period		847,701,034			1,267,114,778

End of period	$	688,800,944		$	847,701,034



	Six Months Ended November 30, 2023						Year Ended May 31, 2023

	Shares			Amount			Shares			Amount

Class A Shares:
Shares sold^a		478,411		$	5,183,445			1,184,496		$	12,884,556
Shares issued in reinvestment of distributions		—			—			197,144			2,107,467
Shares redeemed		(1,515,286	)		(16,408,048	)		(2,702,826	)		(29,382,568	)

Net increase (decrease)		(1,036,875	)	$	(11,224,603	)		(1,321,186	)	$	(14,390,545	)


Class C Shares:
Shares sold		14,980		$	157,329			112,939		$	1,186,468
Shares issued in reinvestment of distributions		—			—			30,061			312,336
Shares redeemed^a		(484,231	)		(5,070,576	)		(892,790	)		(9,396,027	)

Net increase (decrease)		(469,251	)	$	(4,913,247	)		(749,790	)	$	(7,897,223	)


Class R Shares:
Shares sold		104		$	1,131			5,131		$	55,176
Shares issued in reinvestment of distributions		—			—			629			6,760
Shares redeemed		(4,815	)		(52,580	)		(45,962	)		(505,276	)

Net increase (decrease)		(4,711	)	$	(51,449	)		(40,202	)	$	(443,340	)


Class R6 Shares:
Shares sold		1,057,333		$	11,509,419			1,973,905		$	21,789,501
Shares issued in reinvestment of distributions		—			—			127,748			1,375,848
Shares redeemed		(1,370,762	)		(14,949,280	)		(2,249,882	)		(24,573,830	)

Net increase (decrease)		(313,429	)	$	(3,439,861	)		(148,229	)	$	(1,408,481	)


Advisor Class Shares:
Shares sold		3,067,615		$	33,505,508			13,145,615		$	144,459,116
Shares issued in reinvestment of distributions		—			—			1,667,367			17,940,869
Shares redeemed		(17,031,851	)		(185,772,321	)		(46,582,302	)		(511,825,433	)

Net increase (decrease)		(13,964,236	)	$	(152,266,813	)		(31,769,320	)	$	(349,425,448	)



Subsidiary		Affiliation
K2/D&S Management Co., L.L.C. (K2 Advisors)		Investment manager
Franklin Templeton Services, LLC (FT Services)		Administrative manager
Franklin Distributors, LLC (Distributors)		Principal underwriter
Franklin Templeton Investor Services, LLC (Investor Services)		Transfer agent



Annualized Fee Rate		Net Assets
1.90%		Up to and including $1 billion
1.85%		Over $1 billion, up to and including $1.5 billion
1.80%		Over $1.5 billion, up to and including $3 billion
1.75%		In excess of $3 billion


Sales charges retained net of commissions paid to unaffiliated brokers/dealers	$	896
CDSC retained	$	364



	Value at Beginning of Period		Purchases		Sales			Realized Gain (Loss)		Net Change in Unrealized Appreciation (Depreciation)		Value at End of Period		Number of Shares Held at End of Period		Income from Securities Loaned
Non-Controlled Affiliates
Institutional Fiduciary Trust Money Market Portfolio, 5.04%	$	3,348,000	$	13,999,000	$	(16,337,000	)	$	—	$	—	$	1,010,000		1,010,000	$	41,687


Cost of investments	$	472,110,981

Unrealized appreciation	$	64,432,990
Unrealized depreciation		(55,633,695	)

Net unrealized appreciation (depreciation)	$	8,799,295


	At Original Transactions Dates				At Period Ended November 30, 2023

	Cost Basis of Positions Sold		Gross Cash Received for Positions Sold		Fair Value of Transferred Assets^a		Gross Derivative Assets Recorded^b		Gross Derivative Liabilities Recorded^b
Sales and total return swaps	$	472,588	$	484,652	$	495,135	$	496,231	$	(485,748	)



Borrower	Unfunded Commitment
Bausch Health Cos. Inc., Term Loan B	$	391,589
CommScope Holding Company Inc., Initial Term Loan		359,479
CSC Holdings LLC, Term Loan B		151,900
CSC Holdings LLC, Term Loan B		331,390
Euro Garage Ltd., Term Loan B-1		30,092
ICP Group, Bank Debt Term Loan		361,679
K. Hovnanian Enterprises Inc., Term Loan RC		500,000
Oldcastle BuildingEnvelope Inc., Term Loan RC		251,807
Upfield Group BV, Term Loan RC		212,579

	$	2,590,515



Derivative Contracts Not Accounted for as Hedging Instruments	Consolidated Statement of Operations Location	Net Realized Gain (Loss) for the Period			Consolidated Statement of Operations Location	Net Change in Unrealized Appreciation (Depreciation) for the Period
	Net realized gain (loss) from:				Net change in unrealized appreciation (depreciation) on:

Interest rate contracts	Investments	$	322,705	^a	Investments	$	(121,732	)^a
	Written options		(177,676	)	Written options		114,124
	Futures contracts		2,126,779		Futures contracts		165,210
	Swap contracts		3,382,949		Swap contracts		(471,869	)

Foreign exchange contracts	Investments		(97,667	)^a	Investments		76,572	^a
	Written options		10,334		Written options		(7,640	)
	Forward exchange contracts		(2,921,846	)	Forward exchange contracts		795,033
	Futures contracts		(170,486	)	Futures contracts		(296,501	)
	Swap contracts		(54,629	)	Swap contracts		(577	)

Credit contracts	Swap contracts		184,293		Swap contracts		199,045

Equity contracts	Investments		(3,641,061	)^a	Investments		(117,810	)^a
	Written options		1,066,167		Written options		(196,516	)
	Futures contracts		(2,352,978	)	Futures contracts		1,109,293
	Swap contracts		(4,978,953	)	Swap contracts		3,420,090

Commodity contracts	Futures contracts		(730,359	)	Futures contracts		(892,399	)

Totals		$	(8,032,428	)		$	3,774,323



	Gross Amounts of Assets and Liabilities Presented in the Consolidated Statement of Assets and Liabilities

	Assets^a		Liabilities^a
Forward Exchange Contracts	$	2,373,215	$	3,212,940
Options Purchased		66,240		—
Swap Contracts		17,428,358		15,397,623

Total	$	19,867,813	$	18,610,563



			Amounts Not Offset in the Consolidated Statement of Assets and Liabilities

	Gross Amounts of Assets Presented in the Consolidated Statement of Assets and Liabilities		Financial Instruments Available for Offset			Financial Instruments Collateral Received^a			Cash Collateral Received^a			Net Amount (Not less than zero)
Counterparty
BNPP	$	15,683	$	—		$	—		$	—		$	15,683
BNYM		47,037		(47,037	)		—			—			—
BOFA		144,382		(133,919	)		(10,463	)		—			—
BZWS		984,715		(572,820	)		(411,895	)		—			—
CITI		879,673		(81,250	)		—			(710,000	)		88,423
DBAB		—		—			—			—			—
GSCO		2,229,430		(494,028	)		—			(1,735,402	)		—
JPHQ		4,578,926		(4,578,926	)		—			—			—
JPHQ^b		1,077,346		—			—			—			1,077,346
MSCO		157,985		(71,690	)		—			—			86,295
MSCO^b		56,388		—			—			—			56,388
MSCO^c		670,890		(670,890	)		—			—			—
MSCS		6,301,131		(6,301,131	)		—			—			—
NOMU		11,204		(11,204	)		—			—			—
SEBA		2,713,023		(2,532,732	)		—			—			180,291

Total	$	19,867,813	$	(15,495,627	)	$	(422,358	)	$	(2,445,402	)	$	1,504,426



			Amounts Not Offset in the Consolidated Statement of Assets and Liabilities

	Gross Amounts of Liabilities Presented in the Consolidated Statement of Assets and Liabilities		Financial Instruments Available for Offset			Financial Instruments Collateral Pledged^a		Cash Collateral Pledged^a			Net Amount (Not less than zero)
Counterparty
BNPP	$	—	$	—		$	—	$	—		$	—
BNYM		118,230		(47,037	)		—		(60,000	)		11,193
BOFA		133,919		(133,919	)		—		—			—
BZWS		572,820		(572,820	)		—		—			—
CITI		81,250		(81,250	)		—		—			—
DBAB		—		—			—		—			—
GSCO		494,028		(494,028	)		—		—			—
JPHQ		4,624,985		(4,578,926	)		—		(46,059	)		—
JPHQ^b		1,202,764		—			—		—			1,202,764
MSCO		71,690		(71,690	)		—		—			—
MSCO^b		779,122		—			—		—			779,122
MSCO^c		1,373,530		(670,890	)		—		(702,640	)		—
MSCS		6,540,631		(6,301,131	)		—		(239,500	)		—
NOMU		84,862		(11,204	)		—		(73,658	)		—
SEBA		2,532,732		(2,532,732	)		—		—			—

Total	$	18,610,563	$	(15,495,627	)	$	—	$	(1,121,857	)	$	1,993,079



	Level 1		Level 2			Level 3			Total

Assets:
Investments in Securities:^a
Equity Investments^b	$	167,933,705	$	14,639,905		$	8,583		$	182,582,193
Convertible Bonds		—		92,366,490			236,693			92,603,183
Convertible Bonds in Reorganization		—		117,725			16,528			134,253
Corporate Bonds and Notes		—		38,996,125			1,467,500			40,463,625
Corporate Bonds and Notes in Reorganization		—		1,559,964			—			1,559,964
Senior Floating Rate Interests		—		7,840,398			—			7,840,398
Foreign Government and Agency Securities		—		39,933,968			—			39,933,968
Foreign Government and Agency Securities in Reorganization		—		6,406,298			—			6,406,298
U.S. Government and Agency Securities		—		11,142,893			—			11,142,893
Options Purchased		1,352,072		67,291			—			1,419,363
Short Term Investments		213,637,381		2,988,118			—			216,625,499

Total Investments in Securities	$	382,923,158	$	216,059,175	^c	$	1,729,304		$	600,711,637

Other Financial Instruments:
Futures Contracts	$	3,822,355	$	—		$	—		$	3,822,355
Forward Exchange Contracts		—		2,373,215			—			2,373,215
Swap Contracts		—		15,771,450			—			15,771,450

Total Other Financial Instruments	$	3,822,355	$	18,144,665		$	—		$	21,967,020


Liabilities:
Other Financial Instruments:
Options Written	$	382,840	$	—		$	—		$	382,840
Securities Sold Short^a		87,986,286		33,466,779	^d		—			121,453,065
Futures Contracts		3,529,599		—			—			3,529,599
Forward Exchange Contracts		—		3,212,940			—			3,212,940
Swap Contracts		—		16,187,115			—	^e		16,187,115
Unfunded Loan Commitments		—		40,305			—	^e		40,305

Total Other Financial Instruments	$	91,898,725	$	52,907,139		$	—		$	144,805,864