ThZeal - The Zeal

At September 30, 2023 the Fund had the following unfunded loan commitment(s) for the loan agreement(s) noted, which could be extended at the option of the borrower:

Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2023

Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at September 30, 2023

Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2023

Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2023

OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at September 30, 2023

OTC Credit Default Swaps on Single-Name Issuer (Sell Protection) — Outstanding at September 30, 2023

Variance/Volatility Swaps (Buy Contracts) — Outstanding at September 30, 2023

Variance/Volatility Swaps (Sell Contracts) — Outstanding at September 30, 2023

Consolidated Statement of Assets and Liabilities As of September 30, 2023 (Unaudited)

Reconciliation of unrestricted and restricted cash to the Consolidated Statements of Assets and Liabilities

Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). During the six-months ended September 30, 2023, the Trust consisted of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. The Fund also offers Class D Shares, Class Y Shares and Class R Shares. Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of September 30, 2023, the Fund had not issued any Class R Shares. The Fund operates as a diversified open-end investment company as defined in the 1940 Act.

The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and has engaged BAIA to manage the Fund’s day-to-day investment activities pursuant to an investment management agreement. The Fund’s investment objective is to seek capital appreciation. In pursuing the Fund’s investment objective, the Investment Adviser seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets. The Investment Adviser seeks to achieve the Fund’s objective by allocating the Fund’s assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds generally employing alternative investment strategies. The Investment Adviser also manages a portion of the Fund’s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments. The Investment Adviser may allocate the Fund’s assets among discretionary and non-discretionary Sub-Advisers. Each discretionary Sub-Adviser is responsible for the day-to-day management of the portion of the Fund’s assets that the Investment Adviser allocates to it. Each non-discretionary Sub-Adviser implements its investment strategy in coordination with the Investment Adviser in the Investment Adviser’s discretion. The Investment Adviser has the responsibility to oversee each Sub-Adviser (subject to the ultimate oversight of the Board). The Investment Adviser also is responsible for recommending the hiring, termination, and replacement of Sub-Advisers.

The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The Consolidated Financial Statements include the Financial Statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.

The Fund and the Cayman Subsidiary are each a commodity pool under the Commodity Exchange Act (“CEA”) and are subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 under the CEA, respectively, from certain disclosure,

reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA is relying on CFTC No-Action Letter 12-38 with respect to the Domestic Subsidiary III and has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiary IV.

Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.

The Fund’s Consolidated Financial Statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of Consolidated Financial Statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.

The Fund is an investment company in accordance with Accounting Standards Codification 946, Financial Services—Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.

The Fund consolidates its investment in the Subsidiaries. Accordingly, the Consolidated Financial Statements include the assets and liabilities and the results of operations and cash flows of the Subsidiaries. All material intercompany balances and transactions have been eliminated.

The net asset values (“NAV”) of the Fund’s shares are calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).

For purposes of calculating the NAV for each class of shares, the Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at market value if market quotations are readily available, and otherwise at fair value as determined in good faith by the Board of the Fund, or its designee. The Board has delegated to the Custodian and the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. Effective August 4, 2022, and in accordance with Rule 2a-5 under the 1940 Act, the Board also designated the Investment Adviser as the “valuation designee” of the Fund. Each of the Board and the Investment Adviser has established procedures for determining the value of the Fund’s portfolio securities, including securities sold short, derivative financial instruments and other investments (together, the “investments”) (together, the “Valuation Procedures”). Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined by the Investment Adviser as the valuation designee, in good faith, and such determinations will be subject to oversight by the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.

A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Accordingly, a security will not be considered to have readily available market quotations if its value is not determined solely by reference to Level 1 inputs in the fair value hierarchy outlined in U.S. GAAP, including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the value of the Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Investment Adviser the responsibility for monitoring significant events that may materially affect the values of the Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events.

Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.

Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:

Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.

The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.

Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.

The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).

Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.

Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At September 30, 2023, the total fair value of Level 3 investments was $100,052,145. The appropriateness of fair values for these securities are monitored on an ongoing basis, including through backtesting, pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.

The significant inputs and assumptions required to determine the change in fair value of the investments of the Fund are discussed in more detail below.

A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:

Equity securities, including common stock, listed preferred stock, exchange-traded funds, special purpose acquisition companies, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.

The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger, as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of September 30, 2023, no Fair Value Factor was applied.

The Fund considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be short-term investments. At September 30, 2023, the Fund did not have any investment in short-term investments.

OTC derivative financial instruments, such as Forwards, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of OTC derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including industry standard pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the clearing exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.

Fixed income securities, including corporate and convertible bonds, U.S. government sponsored agency securities, municipal bonds, U.S. Treasury obligations, foreign debt obligations, and bank debt are normally valued by pricing service providers on the basis of last available bid price. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and in corporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

The fair value of investments in unaffiliated investment funds (collectively, the “Investee Funds”) is generally determined using the reported NAV per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported NAV per share or its equivalent if the reported NAV per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946. If the Investee Fund does not provide a reported NAV per share or its equivalent on a Business Day, the Investment Adviser shall estimate fair value in good faith and in a manner consistent with the Valuation Procedures.

The Fund may invest in bank debt including, for example, corporate loans, trade claims, loan participations, direct debt, revolvers, bank loans, and bridge loans. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in

the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third-party and the Fund typically will have a contractual relationship only with the third-party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third-party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Certain types of bank debt may have an associated partially funded or unfunded commitment. The unfunded commitments may or may not be funded by the Fund. At September 30, 2023, the Fund had an outstanding commitment of $782,441 related to held unfunded commitments.

The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations, collateralized loan obligations, and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment that consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, valuation liquidity, prepayment and extension risks.

The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.

Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short on the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations.

The Fund is permitted to invest in California Carbon Allowances (“CCAs”) or futures on CCAs, which are generally treated as commodity interests in this report. CCA and other allowances (collectively, “Allowances”) are valued according to their vintage based on market price or the number of Allowances delivered during the valuation month. ICE futures U.S., Inc. (“ICE”) will serve as the primary pricing source. When early vintage Allowances no longer have readily observable market prices from ICE, they will be valued using prices for later vintage Allowances. ICE lists widely-traded futures contracts for the Allowance

market. These contracts result in the delivery of an Allowance at expiry. The ICE CCA contracts permits delivery of Allowances issued by California or any linked program (at this time Quebec and Ontario). Trading in these futures contracts are subject to ICE’s market rules. ICE lists separate CCAs by vintage, (e.g. 2020 Vintage, 2022 Vintage and 2023 Vintage). The most traded ICE CCA contracts allow delivery of the indicated vintage or an earlier vintage; hence a 2022 Vintage Allowance can be delivered against the 2023 Vintage Contract. This flexibility means futures contracts on earlier vintages are usually more liquid than, and worth at least as much as, later vintages.

The Fund may invest in repurchase agreements, which are short term investments whereby the Fund acquires ownership of a debt security and the seller agrees to repurchase the security at a future date at a specified price. When entering into repurchase agreements, it is the Fund’s policy that the repurchase agreement be fully collateralized and that its custodian take possession of the underlying collateral securities. The repurchase counterparty has the ability to request additional collateral depending on the market value of the collateral security compared to the principal amount of the repurchase transaction in line with the agreement. To the extent that any repurchase transaction exceeds one Business Day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. The information required to be disclosed by FASB Accounting Standards Update No. 2011-11 for the Fund’s investments in repurchase agreements as of September 30, 2023, including the fair value of the repurchase agreement and the amount of collateral, can be found in the Fund’s Consolidated Schedule of Investments.

The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceeds the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term nature of the reverse repurchase agreement, face value approximates fair value. As of September 30, 2023, the face value of open reverse repurchase agreements for the Fund was $34,723,627. The weighted average daily balances of reverse repurchase agreements outstanding for the Fund during the six-months ended September 30, 2023 was approximately $37,342,380 at a weighted average weekly interest rate of 5.00%.

An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The Fund may not use reverse repurchase agreements and related collateral governed by an MRA to offset derivatives contracts and related collateral governed by an ISDA (see Note 4) or securities lending agreements (“SLA”) and related collateral governed by an SLA (See Securities Lending below).

The following tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.

Investment transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as of the date notified. Interest income, which includes amortization of premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an accrual basis and is accrued daily. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.

The Fund uses the adjusted prior day net assets for each class of shares, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and losses pro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.

At September 30, 2023, the Fund had $418,566,167 in domestic cash and $18,845,939 in foreign cash held at State Street Bank and Trust Company. These balances, at period end, exceeded insured limits.

The functional currency of the Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Fund does not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.

Under the Trust’s Amended and Restated Agreement and Declaration of Trust, the Fund’s officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund may enter into contracts that contain a variety of representations and indemnifications. To date, the Fund has not had claims or losses pursuant to these contracts, although there is no assurance that it will not incur losses in connection with these indemnifications in the future.

The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.

For the current open tax years ending on October 31, 2020, October 31, 2021, and October 31, 2022, with respect to all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the Consolidated Financial Statements. As a result, no income tax liability or expense, including interest and penalties, has been recorded within these Consolidated Financial Statements.

Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are generally declared and paid in December; however, the Fund may make additional distributions at other times consistent with Rule 19b-1 under the 1940 Act. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.

In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) and its staff require that the Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forwards, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or other guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, the Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) entered into between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments with collateral. At September 30, 2023, the Fund used the gross method of presentation in its Consolidated Financial Statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The segregated cash balance with counterparties for OTC derivatives disclosed on the Consolidated Statement of Assets and Liabilities includes amounts for various derivative types which are comingled per the Fund’s ISDA Master Agreements. These amounts are shown gross. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified as such in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.

The Fund manages counterparty risk by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in NAV. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of the risks of the Fund, including credit and counterparty risk.

The Fund may lend securities, through its agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next Business Day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The Fund will bear the risk of loss with respect to the investment of the cash collateral, as well as the possible loss of right to the collateral should the borrower fail financially. The advantage of such loans is that the Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investments in securities. As of September 30, 2023, there were no securities on loan.

The SLA entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.

The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

The Fund may transact in To Be Announced Securities (“TBAs”). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.

The Fund may purchase securities which are considered restricted. Restricted securities are securities that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended, or are subject to contractual restrictions on public sales. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. The Fund will not incur any registration costs upon such resales. The Fund cannot demand registration of restricted securities. The Fund’s restricted securities, like other securities, are priced in accordance with the Valuation Procedures. Restricted securities are identified in the Consolidated Schedule of Investments.

Certain jurisdictions are currently reforming or phasing out their benchmark interest rates, most notably the London Interbank Offered Rates (“LIBOR”) across multiple currencies. Most such reforms and phase outs, including all tenors of U.S. dollar LIBOR, became effective on or prior to June 30, 2023, though some rates may persist on a synthetic basis through September 2024. The Fund has taken steps to prepare for and mitigate the impact of changing base rates and continues to manage transition efforts and evaluate the impact of prospective changes on existing transactions and contractual arrangements.

In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to protect against exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g., inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Fund uses derivative financial instruments. The derivative financial instruments outstanding as of six months ended are disclosed in the Consolidated Schedule of Investments.

The Fund may enter into Forwards to obtain investment exposure, seek to enhance return or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forwards are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. The market value of a Forward fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is recorded as an unrealized gain or loss on Forwards. When a contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The use of Forwards does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although Forwards may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.

The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to seek to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts in the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.

Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.

Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.

The Fund may purchase or write interest rate swaption agreements, which are options to enter into a predefined swap agreement by some specific date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.

Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.

The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.

The Fund may enter into total return, interest rate, credit default, variance and volatility swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swaps are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange or swap execution facility (“centrally cleared swaps”). The Fund may enter into Swaps for the purposes of managing exposure to

interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective Swaps to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected in the Consolidated Statement of Assets and Liabilities.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into Swaps involves documentation risk resulting from the possibility that the parties to a Swap may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having an MNA between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty.

Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.

Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability and an upfront payment made by the Fund is recorded as an asset in the Consolidated Statement of Assets and Liabilities. Interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.

Total Return Swaps: The Fund may enter into total return swaps to obtain exposure to a security, index, market or other basket of securities without owning such security or investing directly in that security, index, market or other basket of securities or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.

The Fund may utilize total return swaps on baskets of securities (“Basket Swaps”) to a significant extent in order to obtain synthetic exposure to investment strategies. For a Basket Swap, the Fund or a Subsidiary makes payments to a counterparty (at either a fixed or variable rate) in exchange for receiving from the counterparty payments that reflect the return of a “basket” of securities, derivatives, and/or commodity interests identified by the Sub-Adviser (or the Investment Adviser). The Fund may also utilize structured notes (“Basket Notes”) in which the Fund or a Subsidiary purchases a note from an issuer in exchange for receiving from the issuer payments that reflect the return of an account through which the Sub-Adviser (or the Investment Adviser) manages a portfolio reflecting a basket of securities, derivatives, and/or commodity interests. The Sub-Adviser (or the Investment Adviser) will select and manage the securities, derivatives, and/or commodity interests underlying the Basket Swap or the Basket Note in a manner consistent with the Fund’s strategies. The Fund’s investment returns on Basket Swaps or Basket Notes generally will correspond to the Fund’s returns had the Sub-Adviser managed the notional equivalent of the Fund’s assets directly (although returns on Basket Swaps or Basket Notes will be reduced by financing charges and trading costs incurred by the Basket Swap counterparty or Basket Note issuer). The Fund may obtain a significant portion of its investment exposure through Basket Swaps and/or Basket Notes.

Credit Default Swaps: The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issuers and/or baskets of securities.

In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.

Variance Swaps: A variance swap is a negotiated contract used to hedge or speculate on the magnitude of a price movement of an underlying asset, which can include exchange rates, interest rates, commodity price or the price of an index, i.e. the variance is the difference between an expected result and the actual result.

Volatility Swaps: A volatility swap is a negotiated contract with a payoff based on the realized volatility of an underlying asset where the realized amount is the difference between the realized volatility and the volatility strike or predetermined fixed volatility level.

Interest rate swaps, total return swaps, credit default swaps, variance swaps, and volatility swaps outstanding at the six months ended are listed at the end of the Fund’s Consolidated Schedule of Investments.

At September 30, 2023, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:

The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the six-months ended September 30, 2023:

The Fund enters into ISDA Master Agreements that contain MNAs that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the

MNA and set-off amounts it owes across all transactions under a particular MNA and against collateral under such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset reverse repurchase agreements and related collateral governed by an MRA or SLAs and related collateral governed by an SLA (see Note 3).

The Fund has MNAs, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following table presents information related to derivative financial instruments and collateral related to securities loaned that are subject to an enforceable MNA and are not offset, as shown in the Consolidated Statement of Assets and Liabilities as of September 30, 2023.

The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of September 30, 2023:

The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of September 30, 2023:

Investments in Investee Funds that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Financial Statements.

Investments in Investee Funds that are non-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.

The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.

(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed when known.

(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments that were made at differing points in time.

The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with valuation methodology.

The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:

The following table summarizes the quantitative inputs and assumptions used for investments classified within Level 3 of the fair value hierarchy as of September 30, 2023.

The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. During the six-months ended September 30, 2023, only Class D Shares, Class I Shares and Class Y Shares were outstanding.

The Fund’s Class D Shares are offered primarily through broker-dealers and other financial intermediaries with whom Blackstone Securities Partners L.P. (the “Distributor”) has an agreement for the use of the Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. The Fund’s Class I Shares are offered to institutional investors and individual investors who are clients of financial intermediaries, broker-dealers, financial institutions or registered investment advisors that: have entered into an arrangement approved by the Distributor to provide certain administrative services to investors in the Fund’s Class I Shares. Shareholders of Class I Shares may be subject to additional advisory, administrative, servicing, account-level or other fees in addition to those described in the Fund’s Prospectus, which are paid to financial intermediaries to support the additional services they may provide. The Fund’s Class Y Shares are offered for institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares may also be offered to employees, officers and directors/trustees of the Investment Adviser, the Fund or their respective affiliates. In addition, Class Y Shares are offered for institutional investors and individuals who are clients of financial intermediaries, broker-dealers, financial institutions, or registered investment advisors that have entered into an arrangement approved by the Distributor and do not charge a fee to the Fund. The minimum investment in Class D Shares by an investor is $10,000, and the minimum subsequent investment in Class D Shares by an investor is $1,000. The minimum investment in Class I Shares by an investor is $100,000, and the minimum subsequent investment in Class I Shares by an investor is $10,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.

Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Fund Management Fee accrues daily in arrears and is paid quarterly. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of the Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.95% (annualized), and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.80% (annualized). During the six-months ended September 30, 2023, the Fund paid the Investment Adviser $40,486,234 in management fees. From this amount, the Investment Adviser paid $21,800,894 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 1.01% (annualized) of the Fund’s average daily net assets. The Investment Adviser paid $1,590,369 in sub-advisory fees with respect to the Fund to Blackstone Real Estate Special Situations Advisors L.L.C., Blackstone Liquid Credit Strategies LLC and Blackstone Strategic Alliance Master Fund XXI LP, respectively, both indirect wholly-owned subsidiaries of Blackstone and affiliates of the Investment Adviser, which amounted to 0.07% (annualized) of the Fund’s average daily net assets.

Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Fund Management Fee received by the Investment Adviser.

Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Distributor may pay all or a portion of the distribution and/or service fee to brokers, dealers, selling agents, other financial institutions, or other industry professionals (collectively, “intermediaries”) for distribution services, sales support services, personal services, and/or the maintenance of shareholder account services provided and related expenses incurred by such intermediaries. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.

The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Total Expense Cap”) (computed and applied on a monthly basis). Specified Expenses include all expenses incurred by the Fund with the exception of (i) distribution or servicing fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (in each case as determined in the sole discretion of BAIA).

To the extent the estimated annualized Specified Expenses for any month exceed the Total Expense Cap, the Investment Adviser will waive its fees and/or reimburse the Fund for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the Expense Limitation and Reimbursement Agreement at any time in its sole discretion after August 31, 2025 upon written notice to the Fund. This agreement cannot be terminated prior to August 31, 2025 without the Board’s consent. The Fund has agreed to repay the amounts borne by the Investment Adviser under the Expense Limitation and Reimbursement Agreement within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect with respect to the Fund. The repayment may not raise the level of estimated annualized Specified Expenses in the month of repayment to exceed the Total Expense Cap or any other expense limitation agreement then in effect. During the six-months ended September 30, 2023, there were no repayments or potential repayments to the Investment Adviser.

Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At six months ended September 30, 2023, the Fund has an amount payable to FINCO of $512,506.

Blackstone Administrative Services Partnership L.P. (“BASP”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses BASP for such expenses paid on behalf of the Fund. BASP does not charge any fees for providing such administrative services. At six months ended September 30, 2023, the Fund has an amount payable to BASP of $39,932.

The Investment Adviser utilizes technology offered by Arcesium LLC (“Arcesium”) to provide certain middle- and back-office services to the Fund, and the Fund bears the costs for such services. The parent company of a Sub-Adviser owns a controlling, majority interest in Arcesium and the Investment Adviser owns a non-controlling, minority interest in Arcesium. At six months ended September 30, 2023, the amounts related to Arcesium are included in the amount payable to FINCO and BAAM.

State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. U.S. Bank National Association (“U.S. Bank”) serves as custodian for certain of the Fund’s securities, commodities, cash, and other property. Blackstone Securities Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.

The investment program of the Fund entails substantial risks and includes alternative investment and trading strategies not employed by traditional mutual funds. An investor may lose part or all of your investment and/or your investment may not perform as well as other similar investments. An investment in the Fund should be viewed only as part of an overall investment program. No assurance can be given that the Fund’s investment program will be successful. The following is a summary description of some, but not all, of the principal risks of investing in the Fund, including the indirect risks associated with the Fund’s investments in the Subsidiaries and Investee Funds. Any decision to invest in the Fund should be made after a review of the full set of principal risks in the Fund’s prospectus and should take into account that the Fund may make virtually any kind of investment, and be subject to related risks, which can be substantial. The relative significance of the principal risks identified below, at any given time, will vary depending on the specific composition of the Fund’s investment portfolio from time to time and the allocation of the Fund’s assets among the various investment strategies, which may change frequently and/or significantly over time. As applicable, references in these Risks to the “Fund” mean any one or more of the Fund, Subsidiaries, and Investments in Investee Funds, and references to a “Manager” mean any one or more of the Investment Adviser, Sub-Advisers, and advisers to the Investee Funds.

Market Risk and Selection Risk. The Fund is subject to market risk and selection risk. Market risk is the risk that one or more markets in which the Fund invests will decline in value, including the possibility that the markets will decline sharply and unpredictably. While a Manager may make efforts to control the risks associated with market changes, and may attempt to identify changes as they occur, market environment changes can be sudden and extreme. Significant shocks to or disruptions of the financial markets, including those caused by epidemics and pandemics, economic, natural, and man-made disasters, government action, war, or significant geopolitical events, could adversely affect the liquidity and volatility of securities held by the Fund. Market environment changes may adversely affect the performance of a model and amplify losses. Selection risk is the risk that the securities held by the Fund will underperform the markets, the relevant indices, or the securities selected by other funds with similar investment objectives and investment strategies.

Counterparty Credit Risk. The stability and liquidity of many derivative and securities lending transactions depend in large part on the creditworthiness of the parties to the transactions. If a counterparty to such a transaction defaults, exercising contractual rights may involve delays or costs for the Fund. Furthermore,

there is a risk that a counterparty could become the subject of insolvency proceedings, and that the recovery of securities and other assets from such counterparty will be delayed or be of a value less than the value of the securities or assets originally entrusted to such counterparty. At times, including when the Fund has entered into a Basket Swap, the Fund will have significant exposure to a single counterparty.

Liquidity Risk. Some securities held by the Fund, including, but not limited to, restricted, distressed, non-exchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Investments in Investee Funds are sometimes illiquid and some Investee Funds may not permit withdrawals or may make in-kind distributions of illiquid securities when the Fund desires to divest. Illiquid securities may be difficult to value. If the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.

Equity Securities Risk. Common and preferred stocks represent equity ownership in a company. Stock markets are volatile. The prices of equity securities will fluctuate and can decline and reduce the value of a portfolio investing in equities. The value of equity securities purchased by the Fund could decline if the financial condition of the companies the Fund invests in decline or if overall market and economic conditions deteriorate. They may also decline due to factors that affect a particular industry or industries, such as labor shortages or an increase in production costs and competitive conditions within an industry. In addition, they may decline due to general market conditions that are not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or generally adverse investor sentiment.

Derivatives Risk. The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates, or indices. The Fund invests in derivatives for hedging and non-hedging purposes. Derivatives can be volatile and illiquid, are subject to counterparty credit risk, and may create investment exposure greater than the initial investment.

Structured Products Risk. Holders of structured products bear risks of the underlying investments, index, or reference obligation and are subject to counterparty credit, valuation, and liquidity risks. The Fund may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. Certain structured products may be thinly traded or have a limited trading market. In addition to the general risks associated with debt securities discussed herein, structured products carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the reference securities may decline in value or default; the possibility that changes in the reference instrument will reduce the interest rate and principal amount payable on maturity; and the possibility that the position is subordinate to other classes. Structured notes are based upon the movement of one or more factors, including currency exchange rates, interest rates, referenced bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured note to be reduced to zero. Structured products may be less liquid than other types of securities and more volatile than the reference instrument.

Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the present value of the Fund’s assets and distributions may decline. This risk is more prevalent with respect to debt securities held by the Fund. Inflation creates uncertainty over the future real value (after inflation) of an investment. Inflation rates may change frequently and drastically as a result of various factors, including unexpected shifts in the domestic or global economy (or expectations that such policies will change), and the Fund’s investments may not keep pace with inflation, which may result in losses to Fund investors or adversely affect the real value of

shareholders’ investments in the Funds. For example, wages and prices of inputs increase during periods of inflation, which can negatively impact returns on investments. In an attempt to stabilize inflation, countries may impose wage and price controls or otherwise intervene in the economy. Governmental efforts to curb inflation often have negative effects on the level of economic activity. Investors’ expectation of future inflation can also impact the current value of portfolio investments, resulting in lower asset values and potential losses. This risk is elevated compared to historical market conditions because of recent monetary policy measures, the current interest rate environment, and the historically high prevailing inflation rates.

Risks Specific to Investments in Investee Funds. In addition to risks relating to their direct investments, Investee Funds often involve additional special risks not present in direct investments. Investors in the Fund bear two layers of fees and expenses at both the Fund level and the Investee Fund level. The Fund’s investments in Investee Funds are priced, in the absence of readily available market values, based on estimates of fair value, which may prove to be inaccurate; these valuations are used to calculate fees payable to the Investment Adviser and the net asset value of the Fund’s shares. The Investment Adviser is also dependent on information, including performance information, provided by the Investee Funds, which if inaccurate could adversely affect the Investment Adviser’s ability to accurately value the Fund’s shares. Some Investee Funds are not registered as investment companies under the 1940 Act, and therefore, the Fund is not able to avail itself of the protections of the 1940 Act with respect to such investments. Certain Investee Funds, including unaffiliated hedge funds and UCITS funds, are also subject to transfer or redemption restrictions that impair the liquidity of these investments, and some Investee Funds may suspend the withdrawal rights of their shareholders, including the Fund, from time to time. Incentive fees charged by advisors of Investee Funds also may create incentives for such advisors to make investments that are riskier or more speculative than in the absence of these fees. To the extent an Investee Fund invests in a special situation investment (an investment in securities or other instruments that an Investee Fund determines to be illiquid or lacking a readily ascertainable fair value and which the Investee Fund designates as a special situation investment), the Fund’s ownership interest with respect to such special situation investment generally may not be withdrawn until the special situation investment, or a portion thereof, is realized or deemed realized. The Fund also may purchase non-voting securities of, or to contractually forego the right to vote in respect of, Investee Funds in order to prevent the Fund from becoming an “affiliated person” of the Investee Fund for purposes of the 1940 Act and becoming subject to the prohibitions on transactions with affiliated persons contained in the 1940 Act. Consequently, the Fund will not be able to vote to the full extent of its economic interest on matters that require approval of investors in each Investee Fund, including matters that could adversely affect the Fund’s investment.

The aggregate cost of purchases and proceeds of sales of investments in securities (excluding short-term debt securities with maturities at the time of acquisition of one year or less (if applicable)), for the six-months ended September 30, 2023 were as follows:

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Code. The Fund has adopted a tax year-end of October 31, therefore the Consolidated Financial Statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2022. The Fund intends to

distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Fund makes no provision for U.S. federal income or excise taxes.

The Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at NAV, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Fund’s U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

As of September 30, 2023, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments, securities sold short, and derivatives were as follows:

As of September 30, 2023, the Fund had a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) in an aggregate principal amount of up to $400,000,000, subject to a maximum loan value of not more than 25% of the Fund’s NAV (the “Aggregate Commitment Amount”). The aggregate principal amount was reduced from $500,000,000 to $400,000,000 upon renewal of the credit agreement on April 6, 2023. Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the Fund. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Fund to the Bank. Outstanding borrowings bear interest at a rate equal to 1.35% plus the Overnight Bank Funding Rate (5.32% at September 30, 2023). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than April 4, 2024, the termination date of the Facility at which time the Fund and the Bank can agree to extend the existing agreement. For the six-months ended September 30, 2023, the Fund made no borrowings under the Facility.

The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the Consolidated Financial Statements.

As a shareholder of the Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the six months-ended September 30, 2023. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund or the Investment Adviser (the “Independent Trustees”). The Trustees and the Fund’s officers (“Officers”) are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Amended and Restated Declaration of Trust. All Trustees were elected by the initial shareholder of the Trust, except for Mr. Gilbert who was appointed to serve as Trustee by the Board.

During the six-month period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Fund and/or to one or more Subsidiaries.

Each of the Independent Trustees is paid by the Fund Complex (as defined below) at the annualized equivalent of the rates included below per fiscal year in the aggregate for services to the Fund Complex

(including the Subsidiaries). Mr. Brown is treated as an “interested person” (as defined in the 1940 Act) of the Fund (an “Interested Trustee”) due to a family member’s relationship with a Sub-Adviser. For his service to the Fund as an Interested Trustee, Mr. Brown is paid by the Fund Complex (excluding the Subsidiaries) rate of $129,000 per fiscal year in the aggregate.

The Chairpersons of the Board of Trustees and the Audit Committee are paid by the Fund Complex an additional $35,000 and $15,000, respectively, per fiscal year. These payments are allocated to the Fund and any other funds in the Fund Complex on the basis of assets under management. The Fund Complex pays for the Trustees’ travel expenses related to Board of Trustees meetings. The Trustees do not receive any pension or retirement benefits from the Fund Complex. The Trust has adopted a deferred compensation plan (the “Deferred Compensation Plan”) to allow each Independent Trustee to align his or her interest with the Fund and the Fund’s shareholders without purchasing shares of the Fund. Certain of the Independent Trustees currently participate in the Deferred Compensation Plan. Under the Deferred Compensation Plan, each participating Independent Trustee defers payment of all or part of the compensation payable for such Trustee’s services and thereby shares in the experience alongside the Fund’s shareholders as the compensation deferred increases or decreases depending on the investment performance of the Fund. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Trust’s Deferred Compensation Plan. Pursuant to the Deferred Compensation Plan, payments due under the Deferred Compensation Plan are unsecured obligations of the Trust.

The Fund Complex also paid for a portion of the compensation of the Fund’s Chief Compliance Officer during the six months ended September 30, 2023. No other officers of the Fund received compensation from the Fund Complex during the period. The following tables set forth information regarding the total compensation payable by the Fund and the Fund Complex, during the six months ended September 30, 2023, to the persons who served as Trustees and Officers of the Fund during the period:

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Holdings and allocations shown on any Form N-PORT are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.

A description of the policies and procedures used to vote proxies related to the Fund’s portfolio securities and information regarding how the Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.

At meetings of the Board held in-person on May 16-17, 2023, virtually on July 19, 2023, and in-person on August 15-16, 2023, the Board, including a majority of the Independent Trustees, considered and approved for the Fund (i) the continuation of certain investment sub-advisory agreements (“Continued Sub-Advisory Agreements”) and (ii) certain new investment sub-advisory agreements (the “New Sub-Advisory Agreements” and together with the Continued Sub-Advisory Agreements, the “Sub-Advisory Agreements”) between BAIA and each of the following sub-advisers (the “Sub-Advisers”):

The Board held its July 2023 meeting virtually by video conference following BAIA’s determination that it was necessary and appropriate to hold the meeting via video conference in order to allow the Fund to promptly enter into a sub-advisory agreement without incurring unnecessary delay or expense. The Board noted that, in holding the July 2023 meeting virtually, BAIF and BAIA relied on an exemptive order that BAIF and BAIA have obtained from the SEC, pursuant to which the Board may approve a new sub-advisory agreement or a material amendment to an existing sub-advisory agreement at a meeting that is not in person, provided that the Trustees are able to participate in the meeting using a means of communication that allows them to hear each other simultaneously during the meeting and the other conditions in the exemptive order are met. The Board noted that BAIA and the Fund additionally relied on a separate exemptive order from the SEC that permits the Fund to hire, and make material amendments to sub-advisory agreements with, discretionary or non-discretionary sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approve the new sub-advisers and material amendments, and certain other conditions are met. The Independent Trustees were assisted in their review of the applicable sub-advisory arrangements by their independent legal counsel, and before the meetings, the Board received materials prepared by the Independent Trustees’ independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements between BAIA and each of the Sub-Advisers. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. Prior to the meetings, the Board had requested and received materials prepared by BAIA relating to each Sub-Adviser.

The information the Board received in connection with the consideration of the Continued Sub-Advisory Agreements for each of the Sub-Advisers considered at the May meeting and the August meeting generally included, among other things:

The information the Board received in connection with the consideration of the New Sub-Advisory Agreements at its July 2023 meeting and August 2023 meeting generally included:

Additionally, for each New Sub-Adviser, the Board received a copy of the Sub-Adviser’s compliance program under Rule 38a-1 under the 1940 Act and code of ethics.

At the meetings, the Board and BAIA discussed the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with the Independent Trustees’ independent legal counsel to consider the information provided. In evaluating each Sub-Advisory Agreement, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the investment management fee it receives from the Fund and would not increase the fees or expenses otherwise incurred by the Fund or its shareholders.

Following this discussion, the Board, including a majority of the Independent Trustees, determined to approve each Continued Sub-Advisory Agreement and each New Sub-Advisory Agreement on the basis of the following factors, among others, for each Sub-Adviser:

Except as otherwise noted, the Board considered with respect to each Sub-Adviser, (either at the relevant meeting or by reference to the most recent approval of the Sub-Adviser’s prior sub-advisory agreement):

The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve or continue the Sub-Advisory Agreements.

The Board considered the investment performance of each Sub-Adviser. With respect to each Sub-Adviser that previously had been allocated a portion of the Fund’s assets, the Board considered information about the performance record of the Fund’s assets managed by such Sub-Adviser (net of trading expenses and sub-advisory fees but gross of investment management fees paid to BAIA and other Fund operating expenses over various periods, including in many cases the year-to-date period, recent calendar month and year periods, and the inception-to-date period), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Sub-Advisers, the Sub-Adviser’s hedge fund strategy. In addition the Board considered information about performance and risk measurements of the assets that are or were managed by the Sub-Adviser, if any, the custom index, and, if applicable, the Sub-Adviser’s hedge fund strategy, such as annualized return, standard deviation (which is a common measure of volatility), Sharpe ratio, and alpha and beta statistics (where available). On the basis of the Board’s assessment, while recognizing that there can be no assurance of any particular investment outcome, the Board concluded that the investment performance generated by the applicable Sub-Advisers was generally satisfactory and that the Sub-Advisers were capable of providing reasonable investment performance to the Fund. The Board noted that, because Varick and Maren had not yet managed assets of the Fund, there was no prior performance with respect to the Fund assets to consider.

In analyzing the cost of services and profitability of each Sub-Adviser, the Board considered (i) each Sub-Adviser’s sub-advisory fee or proposed sub-advisory fee for managing the allocated Fund assets, including any fee breakpoints or fulcrum fee arrangements; (ii) each Sub-Adviser’s resources devoted or expected to be devoted to the Fund; and (iii) any information provided in response to inquiries regarding the profitability to each Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Sub-Adviser devoted or expected to devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Sub-Adviser’s investment process is or would be scalable. The Board also took into account the entrepreneurial, business, and other risks each Sub-Adviser has undertaken, or would undertake, in serving as a sub-adviser to the Fund.

The Board noted that the compensation paid to each Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of each Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of each Sub-Adviser’s Sub-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Sub-Adviser. The Board considered information comparing the sub-advisory fees to the fees that each Sub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining the Sub-Advisers as sub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of all sub-advisory fee rates that BAIA pays the Sub-Advisers based on allocations of Fund assets among all the Sub-Advisers. The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.

The Board considered various financial and economic considerations relating to the arrangement with each Sub-Adviser, including economies of scale and the current and proposed breakpoints in the sub-advisory fees for certain Sub-Advisers. The Board noted challenges in identifying and measuring economies of scale, both generally and given the Fund’s multi-manager structure and the different sub-adviser fee levels and fee structures. The Board noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Sub-Adviser, with respect to different asset sizes of the portfolio, in the future. The Board also noted that although not directly related to the sub-advisory fees payable to the Sub-Advisers, certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels, although the Fund’s expenses were sufficiently limited at the time of the meetings such that the expense cap did not currently result in BAIA bearing any of the Fund’s expenses.

The Board considered other potential benefits that each Sub-Adviser may receive from serving as a sub-adviser to the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Fund’s shareholders and BAIA or BAAM, as applicable. The Board noted that each Sub-Adviser benefited from its relationship with BAIA or BAAM. The Board concluded that other ancillary or “fall out” benefits derived by each Sub-Adviser from its relationship with BAIA, BAAM, or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and its shareholders, and were consistent with industry practice and the best interests of the Fund and its shareholders.

The Board reviewed and considered certain terms and conditions of each Sub-Adviser’s Sub-Advisory Agreement. After discussion, the Board concluded that the terms of each Sub-Adviser’s Sub-Advisory Agreement were reasonable and fair. It was noted that the Board would have the opportunity to periodically re-examine the terms of each Sub-Adviser’s Sub-Advisory Agreement in the future.

The Board, including a majority of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that each Sub-Adviser provides or were proposed to provide to the Fund and in light of the other factors described above that the Board deemed relevant. The Board noted that both BAIA and the Board had previously determined, or determined at the meetings, that each Sub-Adviser’s compliance program was reasonably designed to prevent the violation of federal securities laws within the meaning of Rule 38a-1 under the 1940 Act and that each Sub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule 17j-1 under the 1940 Act) from engaging in any act, practice, or course of business prohibited by Rule 17j-1(b) under the 1940 Act. The Board based its approval or continuation of each Sub-Adviser’s Sub-Advisory Agreement on a comprehensive consideration of all relevant information presented to the Board at its meetings throughout the year, as applicable, and not on any single controlling factor. The Board also gave due consideration to the recommendations of BAIA, which in each case recommended continuation or approval (as applicable) of the proposed sub-advisory arrangements as in the best interests of the Fund and its shareholders, and BAIA’s belief that the arrangements do not present any conflict of interest from which BAIA or any Sub-Adviser derives an inappropriate advantage. The Board was assisted by the advice of independent legal counsel in approving each Sub-Adviser’s Sub-Advisory Agreement.

The Fund’s Statement of Additional Information includes additional information about the Trustees. The Statement of Additional Information is available upon request, without charge, by calling toll free 1-855-890-7725.

Copies of this annual shareholder report are available upon request to prior shareholders of the Fund, without charge, by calling toll free 1-855-890-7725.

Please read the information below carefully. It explains how and why Personal Data is processed by us.

Blackstone is committed to protecting and respecting your privacy. Blackstone is a global financial services firm with offices, branches, operations and entities globally, including as described at this link: https://www.blackstone.com/privacy#appendixA

When you provide us with your Personal Data, each Fund Party that decides how and why Personal Data is processed acts as a “data controller”. In simple terms, this means that the Fund Party makes certain decisions on how to use and protect your Personal Data – but only to the extent that we have informed you about the use or are otherwise permitted by law.

Where your Personal Data is processed by an entity controlled by, or under common control with, the Blackstone entity/ies managing a Fund for its own purposes, this entity will also be a data controller.

The types of Personal Data that we collect and share depends on the product or service you have with us and the nature of your investment.

The Personal Data collected about you will help us to provide you with a better service and facilitate our business relationship.

We may combine Personal Data that you provide to us with Personal Data that we collect from you, or about you from other sources, in some circumstances. This will include Personal Data collected in an online or offline context.

As a result of our relationship with you as an investor, in the past 12 months we may have collected Personal Data concerning you in the following categories:

We collect, and have collected, Personal Data about you from a number of sources, including from you directly:

We monitor communications where the law requires us to do so. We will also monitor where we are required to do so to comply with regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.

For California residents, in the preceding 12 months, we may have disclosed Personal Data listed in any of the categories in “What Personal Data do we collect about you?” above for a business purpose (in particular, as described in this section).

We have not sold Personal Data in the 12 months preceding the date of this Data Privacy Notice.

Unless otherwise indicated, you should assume that we require the Personal Data for business and/or compliance purposes.

Some of the Personal Data that we request is necessary for us to perform our contract with you and if you do not wish to provide us with this Personal Data, it will affect our ability to provide our services to you and manage your investment.

We may transfer your Personal Data between different countries to recipients in countries other than the country in which the information was originally collected (including to our affiliates and group members, members of the Fund’s partnership, transaction counterparties, and third-party service providers). Where you are based in the UK, the EU, or another country which imposes data transfer restrictions outside of its territory, this includes transfers outside of the UK and the European Economic Area (“EEA”) or that geographical area, to those countries in which our affiliates, group members, service providers and business partners operate. Those countries may not have the same data protection laws as the country in which you initially provided the information.

Where we transfer Personal Data outside of the UK, the EEA, or other territories subject to data transfer restrictions to other members of our group, our service providers or another third party recipient, we will ensure that our arrangements with them are governed by data transfer agreements or appropriate safeguards, designed to ensure that your Personal Data is protected as required under applicable data protection law (including, where appropriate, under an agreement on terms approved for this purpose by the European Commission or by obtaining your consent).

Please contact us if you would like to know more about these agreements or receive a copy of them. Please see the ‘Contact Us’ section for details.

Except as may otherwise be required by local law, we do not generally rely on obtaining your consent to process your Personal Data. In particular, we do not generally rely on obtaining your consent where our processing of your Personal Data is subject only to the data protection laws of the UK/EEA (in these circumstances we will usually rely on another legal basis more appropriate in the circumstances, including those set out in “Why do we process your Personal Data?” above). If we do rely on consent for processing of your Personal Data, you have the right to withdraw this consent at any time. Please contact us or send us an email at PrivacyQueries@Blackstone.com at any time if you wish to do so.

Where required by applicable law, we will obtain your consent for the processing of your Personal Data for direct marketing purposes. If you do receive direct marketing communications from us (for example, by post, email, fax or telephone), you may opt-out by clicking the link in the relevant communication, completing the forms provided to you (where relevant), or by contacting us (see the ‘Contact Us’ section for details).

We keep your Personal Data for as long as it is required by us for our legitimate business purposes, to perform our contractual obligations or, where longer, such longer period as is required or permitted by law or regulatory obligations which apply to us. We will generally:

As a general principle, we do not retain your Personal Data for longer than we need it.

We will usually delete your Personal Data (at the latest) after you cease to be an investor in any fund and there is no longer any legal / regulatory requirement, or business purpose, for retaining your Personal Data.

You may, subject to certain limitations, have data protection rights depending on the data protection laws that apply to our processing of your Personal Data, including the right to:

You also have the right in some circumstances to request us to “port” your Personal Data in a portable, re-usable format to other organizations (where this is possible).

California residents may also request certain information about our disclosure of Personal Data during the prior year, including category information (as defined above).

We review and verify requests to protect your Personal Data, and will action data protection requests fairly and in accordance with applicable data protection laws and principles.

If you wish to exercise any of these rights, please see the ‘Contact Us’ section for details.

We take your concerns very seriously. We encourage you to bring to our attention any concerns you have about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Please see the ‘Contact Us’ section for details.

Please also contact us via any of the contact methods listed below if you have a disability and require an alternative format of this Data Privacy Notice.

If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. In particular:

Please contact us if you have any questions about this Data Privacy Notice or the Personal Data we hold about you.

A list of country-specific addresses and contacts for locations where we operate is available at https://www.blackstone.com/privacy#appendixA.

We keep this Data Privacy Notice under regular review. Please check regularly for any updates at our investor portal (www.bxaccess.com).

Trustees

John M. Brown

Frank J. Coates, Chair

Paul J. Lawler

Kristen M. Leopold

Peter Koffler

Peter M. Gilbert

Investment Adviser

Blackstone Alternative Investment Advisors LLC

345 Park Avenue

New York, New York 10154

Administrator

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Custodians

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

U.S. Bank N.A.

U.S. Bank Tower

425 Walnut Street

Cincinnati, OH 45202

Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Officers

Brian F. Gavin, Co-President (Co-Principal Executive Officer)

Sarah Kassman, Secretary

Peter Koffler, Co-President (Co-Principal Executive Officer)

Stephen Adams, Chief Legal Officer

Thomas Procida, Treasurer (Principal Financial and Accounting Officer)

William Renahan, Chief Compliance Officer

Sherilene Sibadan, Anti-Money Laundering Officer

Stacey Weckstein, Interim Secretary

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, New York 10112

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199-3600

This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.

You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.bxmix.com. You can also get this information at no cost by calling the Fund at 1-855-890-7725.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.

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.


Portfolio Information				1
Consolidated Schedule of Investments				5
Consolidated Statement of Assets and Liabilities				266
Consolidated Statement of Operations				268
Consolidated Statement of Changes in Net Assets				269
Consolidated Statement of Cash Flows				270
Consolidated Financial Highlights				272
Notes to Consolidated Financial Statements				275
Shareholder Fee Example				306
Supplemental Information				307


Geographic Breakdown	Percentage of Total Net Assets
North America		110.1	%
Europe		2.8
Asia		1.8
South America		1.6
Middle East		1.0
Oceania		0.1
Africa		0.1
Other^1,2		19.2
Securities Sold Short		(31.3	)
Other Assets and Liabilities³		(5.4	)

Total		100.0	%


Sovereign Debt Geographic Breakdown	Percentage of Total Net Assets
Middle East		1.2	%
South America		0.8
North America		0.8
Europe		0.6
Africa		0.5
Asia		0.1

Total		4.0	%


Portfolio Composition	Percentage of Total Net Assets
Mortgage-Backed Securities¹		64.8	%
Common Stock		16.5
Corporate Bonds & Notes		12.4
Investments in Investee Funds		9.8
Asset-Backed Securities		5.1
U.S. Treasury Notes		4.7
Undertakings For Collective Investment in Transferable Securities		4.1
Bank Debt		4.0
Sovereign Debt		4.0
Repurchase Agreements		3.1
Exchange-Traded Funds		1.2
Preferred Stock		0.2
Warrants		0.0	²


Portfolio Composition	Percentage of Total Net Assets
Convertible Bonds		0.0	²%
Municipals		0.0	²
Rights		0.0	²
Other³		6.8
Securities Sold Short		(31.3	)
Other Assets and Liabilities⁴		(5.4	)

Total		100.0	%


Credit Quality Allocation¹	Percentage of Total Net Assets
Not Rated but Agency-Guaranteed²		56.3	%
AAA/Aaa		0.6
AA/Aa		0.0	³
A		0.3
BBB/Baa		1.8
BB/Ba		2.9
B		3.7
CCC/Caa		0.9
CC/Ca		1.5
C		0.2
D		0.0	³
Not Rated		26.7
Other⁴		5.1

Total Investments		100.0	%


Industry	Percentage of Total Net Assets
Banks		2.5	%
Oil & Gas		2.0
Software & Services		1.7
Capital Goods		1.6
Financial Services		1.4
Holding Companies-Diversified		1.3
Software		1.2
Semiconductors & Semiconductor Equipment		1.0
Pharmaceuticals, Biotechnology & Life Sciences		1.0
Media & Entertainment		1.0
Investment Company Security		1.0
Transportation		0.8
Healthcare-Services		0.8
Diversified Financial Services		0.8
Retail		0.7
Technology Hardware & Equipment		0.7
Insurance		0.7
Consumer Services		0.7
Health Care Equipment & Services		0.6
Healthcare-Products		0.6
Machinery-Diversified		0.6
Pipelines		0.5
Mining		0.5
Automobiles & Components		0.4
Leisure Time		0.4
Consumer Discretionary Distribution & Retail		0.4
Auto Manufacturers		0.4
Electric		0.4
Internet		0.4
Food Service		0.4
Chemicals		0.4
Media		0.4
Commercial Banks		0.3
Food		0.3
Engineering & Construction		0.3
Energy		0.3
Iron/Steel		0.3
Consumer Durables & Apparel		0.3
Real Estate		0.3
Commercial & Professional Services		0.2
Household Products/Wares		0.2
Materials		0.2
Cosmetics Personal Care		0.2
Entertainment		0.2
Telecommunication Services		0.2
Packaging & Containers		0.2


Industry	Percentage of Total Net Assets
Agriculture		0.2	%
Hand/Machine Tools		0.2
Energy-Alternate Sources		0.2
Household & Personal Products		0.2
Trucking & Leasing		0.1
Food, Beverage & Tobacco		0.1
Airlines		0.1
Advertising		0.1
Pharmaceuticals		0.1
Utilities		0.1
Miscellaneous Manufacturing		0.1
Lodging		0.1
Multi-National		0.1
Real Estate Investment Trusts		0.1
Sovereign		0.1
Housewares		0.1
Home Furnishings		0.1
Equity Real Estate Investment Trusts (REIT’s)		0.1
Consumer Staples Distribution		0.1
Commercial Services		0.0	¹
Environmental Control		0.0	¹
Auto Parts & Equipment		0.0	¹
Computers		0.0	¹
Apparel		0.0	¹
Aerospace/Defense		0.0	¹
Real Estate Management & Development		0.0	¹
Beverages		0.0	¹
Other²		103.6
Securities Sold Short		(31.3	)
Other Assets and Liabilities³		(5.4	)

Total Investments		100.0	%


Security Description	Shares		Value

INVESTMENTS IN SECURITIES — 126.8%
COMMON STOCK — 16.5%
Africa — 0.0%
Materials — 0.0%
IAMGOLD Corp. (a)		80,000	$	172,000
Sasol Ltd., ADR		500		6,835

				178,835

Total Africa				178,835

Asia — 0.3%
Automobiles & Components — 0.1%
Kandi Technologies Group, Inc. (a)		400		1,384
Li Auto, Inc., ADR (a)		110,600		3,942,890

				3,944,274

Capital Goods — 0.0%
China Yuchai International Ltd.		245		2,475
Euro Tech Holdings Co. Ltd. (a)		150		210
Textainer Group Holdings Ltd.		1,600		59,600

				62,285

Commercial & Professional Services — 0.0%
TaskUS, Inc., Class A (a)		2,900		30,102
WNS Holdings Ltd., ADR (a)		600		41,076

				71,178

Consumer Discretionary Distribution & Retail — 0.0%
Baozun, Inc., ADR (a)		4,400		13,640
JD.com, Inc., ADR		10,600		308,778
MINISO Group Holding Ltd., ADR		3,800		98,420

				420,838

Consumer Services — 0.1%
Melco Resorts & Entertainment Ltd., ADR (a)		5,700		56,373
New Oriental Education & Technology Group, Inc., ADR (a)		19,910		1,165,730
TAL Education Group, ADR (a)		33,400		304,274

				1,526,377

Financial Services — 0.0%
FinVolution Group, ADR		6,600		32,868
LexinFintech Holdings Ltd., ADR (a)		11,100		24,531
Lufax Holding Ltd., ADR		2,100		2,226
Noah Holdings Ltd., ADR		1,200		14,964


Security Description	Principal Amount		Value

ASSET-BACKED SECURITIES — 5.1%
Europe — 0.1%
Ares LXVI CLO Ltd., Series 2022-66A, 12.35%, 07/25/36 (b),(d),(e)	$	1,000,000	$	952,137
Bain Capital Credit CLO Ltd.,
Class C, 8.29%, 10/20/33 (b),(d),(e)		575,000		572,125
Series 2023-1A, 9.64%, 04/16/36 (b),(d),(e)		1,000,000		992,408
Dryden 107 CLO Ltd., Series 2023-107A, 13.13%, 08/15/35 (b),(d),(e)		500,000		485,676
KKR CLO Ltd., Series 2022-43A, 13.84%, 07/15/34 (b),(d),(e)		1,625,000		1,616,964

Total Europe				4,619,310

North America — 5.0%
ACE Securities Corp. Home Equity Loan Trust,
Series 2005-AG1, 6.12%, 08/25/35 (b),(e)		763,230		576,546
Series 2006-ASP6, 5.75%, 12/25/36 (b),(e)		2,510,664		839,928
AIMCO CLO, Series 2015-AA, 8.62%, 10/17/34 (b),(d),(e)		1,700,000		1,664,633
Allegro CLO XI Ltd., Series 2019-2A, 9.53%, 01/19/33 (b),(d),(e)		1,500,000		1,469,308
Allegro CLO XII Ltd., Series 2020-1A, 12.70%, 01/21/32 (b),(d),(e)		2,250,000		2,143,532
AMMC CLO 24 Ltd., Series 2021-24A, 12.16%, 01/20/35 (b),(d),(e)		1,000,000		933,447
AMSR Trust, Series 2022-SFR3, 4.00%, 10/17/39 (b),(d)		118,000		102,702
Apidos CLO XVIII Ltd., Series 2018-18A, 7.81%, 10/22/30 (b),(d),(e)		1,500,000		1,486,182
Ares LIV CLO Ltd., Series 2019-54A, 12.91%, 10/15/32 (b),(d),(e)		250,000		236,955
Ares LXI CLO Ltd., Series 2021-61A, 11.84%, 10/20/34 (b),(d),(e)		1,000,000		903,564
Ares LXVIII CLO Ltd., Series 2023-68A, 13.63%, 04/25/35 (b),(d),(e)		1,000,000		993,560
Ares XLIII CLO Ltd., Series 2017-43A, 12.43%, 07/15/34 (b),(d),(e)		1,500,000		1,401,349
Bain Capital Credit CLO Ltd.,
Series 2022-1A, 6.63%, 04/18/35 (b),(d),(e)		7,000,000		6,899,585
Series 2023-2A, 13.71%, 07/18/36 (b),(d),(e)		1,000,000		990,078
Balboa Bay Loan Funding Ltd.,
Series 2020-1A, 8.75%, 01/20/32 (b),(d),(e)		1,185,000		1,151,726
Series 2021-1A, 11.75%, 07/20/34 (b),(d),(e)		1,000,000		888,230
Series 2023-1A, 10.38%, 04/20/35 (b),(d),(e)		1,000,000		1,004,696
Series 2023-2A, 0.00%, 10/20/36 (b),(d),(f)		1,250,000		1,250,000
Series 2022-20A, 0.00%, 07/15/34 (b),(d),(e),(f)		3,500,000		3,500,000


	Strike	Expiration Date	Contracts		Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)

PURCHASED OPTIONS — 1.0%

Exchange-Traded Call Options — 0.2%
CRUDE OIL FUT OPT DEC23	100.00 USD	11/15/23		20		2,000	$	22,736	$	15,800	$	(6,936	)
NAT GAS EURO OPT APR24	5.00 USD	4/01/24		1		5		1,123		635		(488	)
NAT GAS EURO OPT APR25	5.00 USD	4/01/25		10		50		66,029		28,510		(37,519	)
NAT GAS EURO OPT AUG24	5.00 USD	8/01/24		1		5		1,123		1,231		108
NAT GAS EURO OPT AUG25	5.00 USD	8/01/25		10		50		66,029		37,350		(28,679	)
NAT GAS EURO OPT DEC25	5.00 USD	12/01/25		10		50		66,029		81,610		15,581
NAT GAS EURO OPT FEB25	5.00 USD	2/01/25		10		50		66,029		70,500		4,471
NAT GAS EURO OPT JAN25	5.00 USD	1/01/25		10		50		66,029		70,120		4,091
NAT GAS EURO OPT JUL24	5.00 USD	7/01/24		1		5		1,123		1,079		(44	)
NAT GAS EURO OPT JUL25	5.00 USD	7/01/25		10		50		66,029		34,980		(31,049	)
NAT GAS EURO OPT JAN24	5.00 USD	6/01/24		1		5		1,123		811		(312	)
NAT GAS EURO OPT JAN25	5.00 USD	6/01/25		10		50		66,029		30,350		(35,679	)
NAT GAS EURO OPT MAR25	5.00 USD	3/01/25		10		50		66,029		56,980		(9,049	)
NAT GAS EURO OPT MAY24	5.00 USD	5/01/24		1		5		1,123		629		(494	)
NAT GAS EURO OPT MAY25	5.00 USD	5/01/25		10		50		66,029		26,600		(39,429	)
NAT GAS EURO OPT NOV25	5.00 USD	11/01/25		10		50		66,029		59,590		(6,439	)
NAT GAS EURO OPT OCT24	5.00 USD	10/01/24		1		5		1,123		1,733		610
NAT GAS EURO OPT OCT25	5.00 USD	10/01/25		10		50		66,029		42,090		(23,939	)
NAT GAS EURO OPT SEP24	5.00 USD	9/01/24		1		5		1,123		1,364		241
NAT GAS EURO OPT SEP25	5.00 USD	9/01/25		10		50		66,029		37,440		(28,589	)
CRUDE OIL FUT OPT DEC23	150.00 USD	11/15/23		60		9,000		92,506		600		(91,906	)
NAT GAS EURO OPT JAN24	7.00 USD	12/26/23		120		840		384,351		50,280		(334,071	)
NAT GAS EURO OPT DEC23	3.75 USD	11/27/23		115		431		461,866		203,205		(258,661	)


	Counterparty	Strike		Expiration Date		Contracts		Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)

OTC Call Options — 0.2%
LME Nickel 3Mo Call	Morgan Stanley Capital Services LLC		4,000.00 USD		12/04/24		1,260		5,040,000	$	2,431,800	$	218,206	$	(2,213,594	)
LME Copper 3Mo Call	Morgan Stanley Capital Services LLC		16,500.00 USD		12/04/24		7,500		123,750,000		2,430,000		94,726		(2,335,274	)
iShares China Large-Cap ETF Option Call 38.85 12/15/23	Goldman Sachs International		38.85 USD		12/15/23		1,146,566		44,544,089		1,868,903		8,252		(1,860,651	)
RTY VS NDX OUTPERFORMANCE (RTY-NDX) OPT DEC23	Bank of America, N.A.		3.00 USD		12/15/23		69,520,000		208,560,000		2,120,360		3,330		(2,117,030	)
USD CNH FX Option Call 7.25 12/14/23	Citibank N.A.		7.25 USD		12/14/23		2,610,000		18,922,500		247,950		1,443,833		1,195,883
USD CNH FX Option Call 7.3 12/14/23	Citibank N.A.		7.30 USD		12/14/23		2,610,000		19,053,000		276,660		1,118,923		842,263
EUR JPY FX Option Call 158 10/24/23	Nomura Securities International, Inc.		158.00 EUR		10/24/23		87,000,000		13,746,000,000		845,127		643,902		(201,225	)
Dual Digital Option S&P 500 Index 4183.05 & SOFR 1y 5.55%	Goldman Sachs International		4,183.05 USD		12/15/23		14,863,000		62,172,672,150		1,099,862		932,271		(167,591	)


Security Description	Principal Amount		Value
South America — (0.0)%
Oil & Gas — (0.0)%
Ecopetrol SA, 8.88%, 01/13/33 (b)	$	923,000	$	(901,578	)

TOTAL CORPORATE BONDS & NOTES (PROCEEDS $31,926,821)				(30,109,900	)


	Shares		Value

EXCHANGE-TRADED FUNDS — (0.2)%
Energy Select Sector SPDR Fund (b)		4,216		(381,084	)
SPDR S&P 500 ETF Trust		21,800		(9,319,064	)
SPDR S&P Biotech ETF (b)		32		(2,337	)
SPDR S&P Regional Banking ETF		24,563		(1,025,997	)

TOTAL EXCHANGE-TRADED FUNDS (PROCEEDS $11,103,868)				(10,728,482	)


	Principal Amount		Value

Mortgage-Backed Securities — (17.0)%
North America — (17.0)%
Collateralized Mortgage Obligation (Residential) — 0.0%
Alternative Loan Trust, Series 2006-OA16, Class A4B, 1 mo. TSFR + .61%, 5.93%, 10/25/46(b),(e)	$	1,344		(1,361	)

U.S. Government Sponsored Agency Security — (17.0)%
Federal National Mortgage Association, TBA, 30 Year Maturity, 6.00%, 10/01/53		700,000,000		(691,140,800	)

Total North America				(691,142,161	)

TOTAL MORTGAGE-BACKED SECURITIES (PROCEEDS $692,468,158)				(691,142,161	)

SOVEREIGN DEBT — (2.0)%
Bahrain Government International Bonds, 7.50%, 09/20/47 (b),(j)		3,215,000		(2,845,275	)
Brazilian Government International Bond,
5.00%, 01/27/45 (b)		827,000		(611,372	)
5.63%, 02/21/47 (b)		3,619,000		(2,864,508	)
6.00%, 10/20/33 (b)		4,125,000		(3,891,471	)
China Government International Bonds,
1.20%, 10/21/30 (b),(j)		1,000,000		(795,433	)
2.13%, 12/03/29 (b)		4,300,000		(3,726,740	)
Colombia Government International Bonds,
5.63%, 02/26/44 (b)		4,738,000		(3,383,777	)
8.00%, 04/20/33 (b)		2,997,000		(2,959,187	)


Borrower	Unfunded Loan Commitment			Value			Unrealized Appreciation (Depreciation)
ATI Holdings Acquisition, Inc. , 2023 2nd Lien Delayed Draw Term Loan, , 0.00, , 09/30/27		$	782,441		$	782,441		$	0

Total Unfunded Loan Commitment		$	782,441		$	782,441		$	0


Counterparty	Interest Rate	Trade Rate	Maturity Date		Face Value		Face Value Including Accrued Interest
Barclays Capital, Inc.	4.08%	6/8/2023		10/3/2023	$	2,094,477	$	2,121,537
Barclays Capital, Inc.	5.60%	9/20/2023		10/2/2023		4,536,614		4,543,671
JPMorgan Chase Bank, N.A.	5.39%	9/28/2023		10/4/2023		756,272		756,612


Security Description	Shares		Value
Up Fintech Holding Ltd., ADR (a)		1,300	$	6,656

				81,245

Holding Companies—Diversified — 0.1%
Embrace Change Acquisition Corp. (a),(b)		129,000		1,389,330
L Catterton Asia Acquisition Corp., Class A (a),(b)		100,000		1,063,000

				2,452,330

Insurance — 0.0%
NIPPON INSURE Co. Ltd. (a)		1,727		9,361

Media & Entertainment — 0.0%
Autohome, Inc., ADR		4,500		136,575
DouYu International Holdings Ltd., ADR (a)		100		97
GigaMedia Ltd. (a)		100		135
Hello Group, Inc., ADR		25,300		176,594
HUYA, Inc., ADR (a)		1,400		3,976
Tencent Music Entertainment Group, ADR (a)		43,700		278,806
Weibo Corp., ADR		2,700		33,858

				630,041

Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
I-Mab, ADR (a)		7,100		9,372
Sinovac Biotech Ltd. (a),(c)		200		1,294

				10,666

Semiconductors & Semiconductor Equipment — 0.0%
Allegro MicroSystems, Inc. (a)		3,200		102,208
ChipMOS Technologies, Inc., ADR		200		4,610
Himax Technologies, Inc., ADR		4,200		24,528
Magnachip Semiconductor Corp. (a)		4,600		38,226
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (b)		11,610		1,008,909

				1,178,481


Security Description	Shares		Value
Europe — 0.2%
Capital Goods — 0.1%
AerCap Holdings NV (a)		14,285	$	895,241
Airbus Group NV (b)		11,613		1,559,041
Luxfer Holdings PLC, ADR		2,800		36,540

				2,490,822

Energy — 0.1%
Ardmore Shipping Corp.		5,300		68,953
BP Amoco PLC (b)		8,665		56,180
Eni SpA (b)		13,488		217,553
Equinor ASA (b)		2,780		91,262
Euronav NV		2,800		46,004
Frontline PLC		45,100		846,978
Scorpio Tankers, Inc.		1,300		70,356
SEADRILL Ltd. (a)		4,800		214,992
Shell PLC (b)		45,721		1,474,567
StealthGas, Inc. (a)		1,300		6,546
TechnipFMC PLC		3,500		71,190
TORM PLC, Class A		6,300		173,376
TotalEnergies SE (b)		9,434		621,486
Tsakos Energy Navigation Ltd.		4,800		99,744

				4,059,187

Food, Beverage & Tobacco — 0.0%
Nomad Foods Ltd. (a)		5,400		82,188

Holding Companies—Diversified — 0.0%
Data Knights Acquisition Corp., Class A (a),(b)		65,700		745,695

Materials — 0.0%
ArcelorMittal SA		37,400		936,122
Orion SA		3,600		76,608

				1,012,730


Security Description	Shares		Value
Bicycle Therapeutics PLC, ADR (a)		2,800	$	56,252
Immunocore Holdings PLC, ADR (a)		700		36,330
Merus NV (a)		3,600		84,888
MorphoSys AG, ADR (a)		100		672
ProQR Therapeutics NV (a)		4,300		5,590
Prothena Corp. PLC (a)		5,000		241,250
Verona Pharma PLC, ADR (a)		3,100		50,530

				541,209

Software & Services — 0.0%
Endava PLC, ADR (a)		700		40,145
Materialise NV, ADR (a)		1,000		5,490

				45,635

Transportation — 0.0%
Aduro Biotech, Inc. (a),(c)		1,040		0
Golden Ocean Group Ltd.		100		788

				788

Total Europe				9,022,328

Middle East — 0.0%
Capital Goods — 0.0%
Kornit Digital Ltd. (a)		4,000		75,640

Consumer Discretionary Distribution & Retail — 0.0%
D-MARKET Elektronik Hizmetler ve Ticaret AS, ADR (a)		300		399

Materials — 0.0%
Eldorado Gold Corp. (a)		21,700		193,347

Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
Compugen Ltd. (a)		5,600		5,208
GALMED PHARMACEUTICALS Ltd. (a)		500		310
Oramed Pharmaceuticals, Inc. (a)		4,800		12,528


Security Description	Shares		Value
Technology Hardware & Equipment — 0.0%
AudioCodes Ltd.		1,100	$	11,121
Ituran Location & Control Ltd.		200		5,980
Radware Ltd. (a)		1,700		28,764
Silicom Ltd. (a)		100		2,610

				48,475

Total Middle East				900,420

North America — 16.0%
Automobiles & Components — 0.3%
Adient PLC (a)		1,600		58,720
Atmus Filtration Technologies, Inc. (a)		27,042		563,826
Cooper-Standard Holdings, Inc. (a)		2,600		34,892
Ford Motor Co.		283,400		3,519,828
General Motors Co.		2,300		75,831
Gentex Corp.		2,800		91,112
Gentherm, Inc. (a)		1,800		97,668
Motorcar Parts of America, Inc. (a)		200		1,618
Standard Motor Products, Inc.		1,100		36,982
Stoneridge, Inc. (a)		1,200		24,084
Superior Industries International, Inc. (a)		1,300		3,952
Tesla, Inc. (a)		36,900		9,233,118

				13,741,631

Banks — 2.5%
1st Source Corp.		300		12,627
ACNB Corp.		100		3,161
Ameris Bancorp		161,839		6,212,999
Ames National Corp.		300		4,977
Arrow Financial Corp.		722		12,288
Atlantic Union Bankshares Corp.		6,778		195,071
Banc of California, Inc.		100		1,238
Bank of America Corp.		30,682		840,073
Bank of Hawaii Corp.		13,997		695,511
Bank of Marin Bancorp		5,301		96,902


Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Michon Basis		31		ICE		22,475 USD		06/30/25	$	5,425
Michon Basis		31		ICE		22,475 USD		07/31/25		4,456
Michon Basis		30		ICE		21,750 USD		08/29/25		(6,375	)
Michon Basis		31		ICE		22,475 USD		09/30/25		(6,588	)
MSCI Emerging Market Index		42		NYMEX		2,067,435 USD		12/15/23		(60,885	)
NASDAQ 100 E-Mini		96		CME		32,143,789 USD		12/15/23		(329,479	)
Natural Gas		10		NYMEX		322,300 USD		10/26/23		(29,400	)
Natural Gas		347		NYMEX		10,181,085 USD		10/27/23		(17,455	)
Natural Gas		104		NYMEX		3,318,325 USD		11/01/23		(272,165	)
Natural Gas		588		NYMEX		25,217,579 USD		01/01/24		(4,255,379	)
Natural Gas		31		NYMEX		1,101,010 USD		01/29/24		(16,940	)
Natural Gas		217		NYMEX		10,283,803 USD		02/01/24		(2,695,313	)
Natural Gas		65		NYMEX		2,184,672 USD		02/27/24		(91,672	)
Natural Gas		368		NYMEX		18,600,455 USD		03/01/24		(6,750,855	)
Natural Gas		103		NYMEX		3,226,727 USD		03/26/24		(141,877	)
Natural Gas		186		NYMEX		8,864,796 USD		04/01/24		(3,294,096	)
Natural Gas		19		NYMEX		1,352,966 USD		04/26/24		(25,927	)
Natural Gas		201		NYMEX		9,275,074 USD		05/01/24		(3,212,914	)
Natural Gas		273		NYMEX		11,620,027 USD		06/01/24		(3,017,797	)
Natural Gas		249		NYMEX		10,938,384 USD		07/01/24		(2,748,774	)
Natural Gas		9		NYMEX		323,614 USD		07/29/24		(24,904	)
Natural Gas		221		NYMEX		10,021,274 USD		08/01/24		(2,686,284	)
Natural Gas		7		NYMEX		396,834 USD		08/28/24		(1,314	)
Natural Gas		221		NYMEX		10,006,274 USD		09/01/24		(2,722,114	)
Natural Gas		105		NYMEX		4,621,350 USD		09/26/24		(59,700	)
Natural Gas		298		NYMEX		13,177,556 USD		10/01/24		(3,108,136	)
Natural Gas		67		NYMEX		3,418,990 USD		10/29/24		(166,060	)
Natural Gas		196		NYMEX		9,512,937 USD		11/01/24		(2,184,497	)
Natural Gas		123		NYMEX		5,795,725 USD		11/26/24		(683,845	)
Natural Gas		196		NYMEX		9,512,937 USD		12/01/24		(1,367,177	)
Natural Gas		45		NYMEX		2,044,676 USD		01/29/25		(104,276	)
Natural Gas		32		NYMEX		971,555 USD		02/01/25		408,285
Natural Gas		45		NYMEX		2,034,740 USD		02/26/25		(268,040	)
Natural Gas		32		NYMEX		971,555 USD		03/01/25		284,765
Natural Gas		37		NYMEX		1,680,524 USD		03/27/25		(384,784	)
Natural Gas		28		NYMEX		919,648 USD		04/01/25		60,912
Natural Gas		37		NYMEX		1,520,830 USD		04/28/25		(230,270	)
Natural Gas		28		NYMEX		919,648 USD		05/01/25		56,992
Natural Gas		38		NYMEX		1,735,267 USD		05/28/25		(357,767	)
Natural Gas		28		NYMEX		919,648 USD		06/01/25		95,352
Natural Gas		38		NYMEX		1,735,267 USD		06/26/25		(304,567	)
Natural Gas		28		NYMEX		919,648 USD		07/01/25		134,552
Natural Gas		39		NYMEX		1,780,469 USD		07/29/25		(294,959	)


Currency Purchased	Amount in Currency Purchased		Currency Sold	Amount in Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD		10,875,000	ZAR		208,076,812	Goldman Sachs International		10/02/23	$	(114,731	)
XAU		1,740	USD		3,236,694	JPMorgan Chase Bank, N.A.		10/02/23		(20,078	)
BRL		7,500,000	USD		1,530,175	State Street Bank and Trust Company		10/03/23		(38,098	)
BRL		47,244,060	EUR		9,068,010	JPMorgan Chase Bank, N.A.		10/03/23		(188,250	)
EUR		8,848,770	BRL		47,231,195	JPMorgan Chase Bank, N.A.		10/03/23		(40,982	)
USD		1,488,095	BRL		7,500,000	State Street Bank and Trust Company		10/03/23		(3,982	)
BRL		65,243,781	USD		13,432,800	JPMorgan Chase Bank, N.A.		10/04/23		(455,106	)
ZAR		251,328,061	USD		13,309,260	JPMorgan Chase Bank, N.A.		10/04/23		(36,279	)
GBP		39,585,000	USD		48,467,518	JPMorgan Chase Bank, N.A.		10/04/23		(169,583	)
USD		2,176,740	ZAR		41,761,120	JPMorgan Chase Bank, N.A.		10/04/23		(28,722	)
USD		49,677,016	GBP		40,890,000	JPMorgan Chase Bank, N.A.		10/04/23		(213,157	)
JPY		1,725,720,913	EUR		10,962,000	JPMorgan Chase Bank, N.A.		10/06/23		(37,548	)
CHN		67,127,711	USD		9,181,980	JPMorgan Chase Bank, N.A.		10/10/23		17,125
EUR		4,350,000	JPY		681,847,623	JPMorgan Chase Bank, N.A.		10/10/23		32,568
USD		1,006,103	EUR		957,000	JPMorgan Chase Bank, N.A.		10/10/23		(5,971	)
BRL		47,321,098	EUR		8,848,770	JPMorgan Chase Bank, N.A.		10/13/23		40,445
USD		1,209,752	EUR		1,072,000	Citibank N.A.		10/17/23		75,732
USD		3,814,970	EUR		3,566,892	JPMorgan Chase Bank, N.A.		10/18/23		41,560
EUR		174,000	USD		184,720	Barclays Bank PLC		10/18/23		(645	)
BRL		21,663,000	USD		4,350,000	Citibank N.A.		10/24/23		(53,295	)
BRL		43,674,832	USD		8,700,000	JPMorgan Chase Bank, N.A.		10/24/23		(37,402	)
USD		9,145,400	EUR		8,193,000	State Street Bank And Trust Company		10/25/23		475,534
JPY		4,152,301,200	EUR		26,970,000	Nomura International PLC		10/26/23		(653,127	)


Reference Obligation	Financing Fee		Payment Frequency		Maturity Date	Counterparty		Notional Amount		Market Value		Upfront Premium Paid(Received)		Unrealized Appreciation (Depreciation)
Mexico Government International Bonds		1.00		3M	12/20/28		Intercontinental Exchange, Inc.		1,600,000 USD		18,485		3,837		14,648

Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection)										$	18,485	$	3,837	$	14,648


The Fund Pays/Receives Floating Rate	Floating Rate Index	Fixed Rate		Pay/ Receive Payment Frequency	Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Receives	USD SOFR		4.32%	M/M	10/10/2033	Barclays Bank PLC		(2,783,772) USD	$	11,621	$	—	$	11,621
Pays	USD SOFR		4.23%	M/M	10/10/2033	Morgan Stanley & Co. LLC		4,602,503 USD		12,630		—		12,630
Receives	USD SOFR		4.26%	M/M	10/10/2033	Morgan Stanley & Co. LLC		(4,602,503) USD		(8,187)		—		(8,187)

Total Centrally Cleared Interest Rate Swaps Outstanding									$	11,390,793	$	(28,040)	$	11,418,833


Abbreviation Legend:
	M	Monthly
	1Y	Yearly
	3M	Quarterly
	ADR	American Depository Receipt
	ASX	Australian Securities Exchange
	CBOE	Chicago Board Options Exchange
	CBOT	Chicago Board of Trade
	CDE	Montreal Exchange
	CME	Chicago Mercantile Exchange
	CNY-CNREPOFIX	CFXS-Reuters to the floating-rate-index
	COMEX	Commodities Exchange Center
	ETF	Exchange-Traded Fund
	Eurex	Eurex Exchange
	EURIBOR	Euro Interbank Offered Rate
	FTSE	Financial Times and Stock Exchange
	FX	Foreign Exchange
	HKFE	Hong Kong Futures Exchange Ltd.
	ICE	Ice Futures Europe
	LIBOR	London Interbank Offered Rate
	LIFFE	London International Financial Futures and Options Exchange
	LME	London Metal Exchange
	MTN	Medium Term Note
	Nasdaq-OMX	NASDAQ OMX Stockholm
	NYMEX	New York Mercantile Exchange
	OSE	Osaka Exchange
	OTC	Over the Counter
	PIK	Payment in Kind
	REIT	Real Estate Investment Trust
	S&P	Standard and Poor
	SFE	ASX Trade24
	SGX	Singapore Exchange
	SPDR	Standard and Poor’s Depository Receipt
	SICAV	Société d’investissement à Capital Variable


	SOFR	Secured Overnight Financing Rate
	SONIA	Sterling Overnight Index Average
	T	At Maturity
	TBA	To Be Announced
Currency Legend:
	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	CHF	Swiss Franc
	CLP	Chilean Peso
	CNY	Chinese Yuan
	COP	Colombian Peso
	CZK	Czech Koruna
	DKK	Danish Krone
	EUR	Euro
	GBP	British Pound
	HKD	Hong Kong Dollar
	HUF	Hungarian Forint
	IDR	Indonesian Rupiah
	ILS	Israeli Shekel
	INR	Indian Rupee
	JPY	Japanese Yen
	KRW	South Korean Won
	MXN	Mexican Peso
	NOK	Norwegian Krone
	PEN	Peruvian Nuevo Sol
	PHP	Philippine Peso
	PLN	Polish Zloty
	SEK	Swedish Krona
	SGD	Singapore Dollar
	THB	Thai Baht
	TRY	Turkish Lira
	TWD	Taiwanese Dollar
	USD	United States Dollar
	XAU	Gold Spot
	ZAR	South African Rand


Assets:
Investments in securities, at fair value (cost $5,579,260,997)	$	5,578,707,493
Cash		418,566,167
Cash denominated in foreign currencies (cost of $19,103,860)		18,845,939
Segregated cash balance with broker for securities sold short		474,040,339
Segregated cash balance with custodian for derivative financial instruments		436,074,068
Segregated cash balance with counterparties for futures contracts		131,844,245
Segregated cash balance with counterparties for centrally cleared derivatives		12,247,099
Segregated cash balance with counterparties for OTC Derivatives		6,258,319
Segregated cash balance with counterparties for TBAs		32,506,253
Unrealized appreciation on forward foreign currency exchange contracts		3,198,255
Income receivable		29,061,938
Receivable for investments sold		2,234,286,734
Receivable for Fund shares sold		1,461,887
Receivable for periodic payments from swap contracts		14,418,365
Variation margin receivable on futures		11,995,107
Variation margin receivable on centrally cleared swaps		13,818,594
Swap contracts, at fair value (net premiums paid $2,338,215)		18,455,577
Prepaid expenses and other assets		183,775

Total assets		9,435,970,154

Liabilities:
Securities sold short, at fair value (proceeds of $1,302,901,952)		1,278,124,259
Cash received as collateral from custodian for derivative financial instruments		24,004,195
Cash received as collateral from counterparty for centrally cleared derivatives		43,913,799
Cash received as collateral from counterparty for futures contracts		685
Cash received as collateral for repurchase agreements		1,618,000
Cash received as collateral from counterparty for OTC derivatives		2,514,844
Options written, at fair value (premiums received $19,161,876)		12,606,723
Unrealized depreciation on forward foreign currency exchange contracts		2,927,010
Payable for reverse repurchase agreements		34,835,003
Payable for investments purchased		3,870,053,470
Payable for Fund shares redeemed		7,645,172
Payable for periodic payments from swap contracts		1,054,790
Variation margin payable on futures		27,207,417
Variation margin payable on centrally cleared swaps		1,975,458
Swap contracts, at fair value (net premiums received $1,681,047)		8,927,904
Dividend and interest income payable on securities sold short		3,441,818
Management fee payable		20,027,211
Payable to Affiliate		552,438
Accrued expenses and other liabilities		14,093,867

Total liabilities		5,355,524,063

Net assets	$	4,080,446,091


Net Assets Consist of:
Paid-in capital	$	4,947,192,291
Total distributable earnings (loss)		(866,746,200	)

Net assets	$	4,080,446,091

Net Asset Value:
Class I Shares
Net Assets	$	2,873,996,261
Class I Shares outstanding, no par value, unlimited shares authorized		272,338,866

Net asset value per share	$	10.55

Class D Shares
Net Assets	$	18,137,158
Class D Shares outstanding, no par value, unlimited shares authorized		1,725,853

Net asset value per share	$	10.51

Class Y Shares
Net Assets	$	1,188,312,672
Class Y Shares outstanding, no par value, unlimited shares authorized		113,272,325

Net asset value per share	$	10.49


Investment Income:
Interest (including net foreign taxes withheld of $50,041)	$	99,870,108
Dividends (including net foreign taxes withheld of $57,582)		4,445,414
Other Income		12,627,859

Total income		116,943,381

Expenses:
Management fees	$	40,486,325
Administration fees		2,584,159
Custodian fees		737,406
Trustees’ fees		505,508
Distribution fees - Class D		23,724
Shareholder service fees		1,459,341
Registration fees		99,226
Printing and postage fees		304,391
Professional fees		2,832,269
Dividends and interest on securities sold short		12,637,193
Line of credit fee		702,501
Interest fees		544,409
Other		3,917,964

Total expenses		66,834,416

Net investment income		50,108,965

Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments in securities		(116,891,183	)
Net realized gain (loss) on securities sold short		14,857,454
Net realized gain (loss) on forward foreign currency exchange contracts		4,652,125
Net realized gain (loss) on foreign currency transactions		(42,401	)
Net realized gain (loss) on futures contracts		94,461,316
Net realized gain (loss) on options written		(10,310,519	)
Net realized gain (loss) on swap contracts		3,200,180
Net change in unrealized appreciation (depreciation) on investments in securities		103,884,217
Net change in unrealized appreciation (depreciation) on securities sold short		12,060,291
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		(1,120,500	)
Net change in unrealized appreciation (depreciation) on foreign currency translations		(3,116,622	)
Net change in unrealized appreciation (depreciation) on futures contracts		(31,462,731	)
Net change in unrealized appreciation (depreciation) on options written		17,947,881
Net change in unrealized appreciation (depreciation) on swap contracts		9,946,218

Net realized and unrealized gain		98,065,726

Net increase in net assets resulting from operations	$	148,174,691


	Six-Months Ended 9/30/2023 (unaudited)			Year Ended 3/31/2023
Increase (Decrease) in Net Assets
Operations:
Net investment income (loss)	$	50,108,965		$	7,487,839
Net realized gain (loss)		(10,073,028	)		(227,423,568	)
Net change in unrealized appreciation (depreciation)		108,138,754			67,193,679

Net increase (decrease) in net assets resulting from operations		148,174,691			(152,742,050	)

Capital Transactions:
Shareholder subscriptions:
Proceeds from sale of Class I Shares		210,694,459			961,246,522
Proceeds from sale of Class D Shares		2,079,734			8,860,599
Proceeds from sale of Class Y Shares		189,687,438			100,379,829
Shareholder redemptions:
Cost of Class I Shares redeemed		(802,948,365	)		(1,445,051,982	)
Cost of Class D Shares redeemed		(4,754,962	)		(13,507,148	)
Cost of Class Y Shares redeemed		(92,633,962	)		(260,497,584	)

Net increase (decrease) in net assets resulting from capital transactions		(497,875,658	)		(648,569,764	)

Net increase (decrease) in net assets		(349,700,967	)		(801,311,814	)

Net Assets:
Beginning of period		4,430,147,058			5,231,458,872

End of period	$	4,080,446,091		$	4,430,147,058


Share Transactions:
Class I Shares
Beginning of period		329,480,464			377,678,111
Shares issued		20,426,079			94,823,586
Shares redeemed		(77,567,677	)		(143,021,233	)

Net change in shares resulting from share transactions		(57,141,598	)		(48,197,647	)

End of period		272,338,866			329,480,464

Class D Shares
Beginning of period		1,985,357			2,445,310
Shares issued		202,394			879,179
Shares redeemed		(461,898	)		(1,339,132	)

Net change in shares resulting from share transactions		(259,504	)		(459,953	)

End of period		1,725,853			1,985,357

Class Y Shares
Beginning of period		103,832,078			119,885,251
Shares issued		18,449,010			9,990,118
Shares redeemed		(9,008,763	)		(26,043,291	)

Net change in shares resulting from share transactions		9,440,247			(16,053,173	)

End of period		113,272,325			103,832,078


Cash Flows from Operating Activities:
Net increase in net assets resulting from operations	$	148,174,691
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash (used) by operating activities:
Purchases of investments in securities		(20,985,576,276	)
Proceeds from disposition of investments in securities		20,743,065,792
Proceeds from securities sold short		5,537,039,759
Payments to cover securities sold short		(5,642,593,389	)
Purchase of short-term investments, net		(1,505,163	)
Premiums paid on closing options written		(103,655,125	)
Proceeds from premiums received from options written		90,031,594
Net realized loss on investments in securities		116,891,183
Net realized gain on securities sold short		(14,857,454	)
Net realized loss on options written		10,310,519
Net change in accretion of bond discount and amortization of bond and swap premium		1,474,551
Net change in unrealized appreciation on investments in securities		(103,884,217	)
Net change in unrealized appreciation on securities sold short		(12,060,291	)
Net change in unrealized appreciation on options written		(17,947,881	)
Net change in unrealized depreciation on repurchase agreements		230,614
Changes in assets and liabilities:
(Increase) decrease in assets:
Unrealized appreciation on forward foreign currency exchange contracts		1,420,272
Income receivable		(5,057,500	)
Receivable for periodic payments from swap contracts		11,663,741
Variation margin receivable on futures		28,070,541
Variation margin receivable on centrally cleared swaps		(13,070,898	)
Swap contracts, at fair value		6,516,563
Prepaid expenses and other assets		(37,425	)
Increase (decrease) in liabilities:
Cash received as collateral for repurchase agreements		402,000
Cash received as collateral from custodian for derivative financial instruments		19,345,379
Cash received as collateral from counterparty for OTC derivatives		1,575,281
Cash received as collateral from counterparty for centrally cleared derivatives		1,866,536
Cash received as collateral from counterparty for futures contracts		(3,742,929	)
Unrealized depreciation on forward foreign currency exchange contracts		(299,772	)
Swap contracts, at fair value		(10,491,768	)
Variation margin payable on futures		24,820,342
Variation margin payable on centrally cleared swaps		(38,300,163	)
Payable for periodic payments from swap contracts		(33,446,517	)
Dividend and interest income payable on securities sold short		141,744
Interest payable on reverse repurchase agreements		(57,944	)
Management fee payable		(1,182,873	)
Payable to Affiliate		(271,667	)
Accrued expenses and other liabilities		3,994,557

Net cash (used) by operating activities	$	(241,003,593	)

Cash Flows from Financing Activities
Proceeds from shares sold		406,685,844
Cost of shares repurchased		(900,372,382	)
Proceeds from reverse repurchase agreements		871,392,000
Repayment of reverse repurchase agreements		(896,071,845	)

Net cash provided (used) by financing activities		(518,366,383	)

Net increase (decrease) in unrestricted and restricted cash and foreign currency		(759,369,976	)
Unrestricted and restricted cash and foreign currency, beginning of period		2,289,752,405

Unrestricted and restricted cash and foreign currency, end of period	$	1,530,382,429

Supplemental disclosure of cash flow information:
Cash paid during the period for interest	$	602,353


	Six Months Ended September 30, 2023			Year Ended March 31, 2023
Cash		$	418,566,167		$	1,216,386,090
Foreign currency at value			18,845,939			23,963,340
Cash Pledged
Securities sold short			474,040,339			491,909,326
Derivative financial instruments			436,074,068			342,241,522
Futures contracts			131,844,245			133,818,926
Centrally cleared derivatives			12,247,099			69,211,729
OTC derivatives			6,258,319			12,155,472
TBAs			32,506,253			—
Reverse repurchase agreements			—			66,000

		$	1,530,382,429		$	2,289,752,405


	Class I
	Six Months Ended 9/30/2023 (unaudited)			Year Ended 3/31/2023			Year Ended 3/31/2022			Year Ended 3/31/2021			Year Ended 3/31/2020			Year Ended 3/31/2019
Net Asset Value, Beginning of Period	$	10.19		$	10.48		$	10.44		$	9.08		$	10.76		$	10.67
Income (Loss) From Investment Operations:
Net investment income (loss)¹		0.12			0.01			(0.09	)		0.08			0.15			0.10
Net realized and unrealized gain (loss)		0.24			(0.30	)		0.31			1.60			(1.44	)		0.19

Total From Investment Operations		0.36			(0.29	)		0.22			1.68			(1.29	)		0.29

Less Distributions to Shareholders:
From net investment income		—			—			—			(0.32	)		(0.21	)		(0.13	)
From net realized capital gains		—			—			(0.18	)		—			(0.18	)		(0.07	)

Total Distributions		—			—			(0.18	)		(0.32	)		(0.39	)		(0.20	)

Net Asset Value, End of Period	$	10.55		$	10.19		$	10.48		$	10.44		$	9.08		$	10.76

Total Return		3.53	%²		(2.77	)%		2.09	%		18.34	%		(12.32	)%		2.76	%


Ratios to Average Net Assets:³
Total expenses before recoupment (reimbursement) from Investment Adviser		1.25	%⁴		1.51	%		0.96	%		0.80	%		0.94	%		1.33	%
Management Fees		1.89	%⁴		1.88	%		1.87	%		1.87	%		1.85	%		1.86	%

Net expenses after recoupment (reimbursement) from Investment Adviser⁵		3.14	%⁴		3.39	%		2.83	%		2.67	%		2.79	%		3.19	%

Net investment income (loss)		2.32	%⁴		0.13	%		(0.83	)%		0.77	%		1.43	%		0.94	%

Supplemental Data:
Net assets, end of period (in thousands)	$	2,873,996		$	3,358,347		$	3,958,328		$	3,637,018		$	4,734,372		$	5,292,572
Portfolio turnover		395	%⁶		846	%⁶		193	%		135	%		193	%		203	%


	Class D
	Six Months Ended 9/30/2023 (unaudited)			Year Ended 3/31/2023			Year Ended 3/31/2022			Year Ended 3/31/2021			Year Ended 3/31/2020			Year Ended 3/31/2019
Net Asset Value, Beginning of Period	$	10.16		$	10.48		$	10.47		$	9.10		$	10.73		$	10.64
Income (Loss) From Investment Operations:
Net investment income (loss)¹		0.10			(0.01	)		(0.12	)		0.05			0.13			0.06
Net realized and unrealized gain (loss)		0.25			(0.31	)		0.31			1.60			(1.46	)		0.20

Total From Investment Operations		0.35			(0.32	)		0.19			1.65			(1.33	)		0.26

Less Distributions to Shareholders:
From net investment income		—			—			—			(0.28	)		(0.12	)		(0.10	)
From net realized capital gains		—			—			(0.18	)		—			(0.18	)		(0.07	)

Total Distributions		—			—			(0.18	)		(0.28	)		(0.30	)		(0.17	)

Net Asset Value, End of Period	$	10.51		$	10.16		$	10.48		$	10.47		$	9.10		$	10.73

Total Return		3.44	%²		(3.05	)%		1.70	%		18.07	%		(12.60	)%		2.50	%


Ratios to Average Net Assets:³
Total expenses before recoupment (reimbursement) from Investment Adviser		1.53	%⁴		1.78	%		1.27	%		1.07	%		1.18	%		1.71	%
Management Fees		1.89	%⁴		1.88	%		1.87	%		1.87	%		1.85	%		1.86	%

Net expenses after recoupment (reimbursement) from Investment Adviser⁵		3.42	%⁴		3.66	%		3.14	%		2.94	%		3.03	%		3.57	%

Net investment income (loss)		2.04	%⁴		(0.14	)%		(1.14	)%		0.51	%		1.19	%		0.57	%

Supplemental Data:
Net assets, end of period (in thousands)	$	18,137		$	20,179		$	25,626		$	27,031		$	40,987		$	297,086
Portfolio turnover		395	%⁶		846	%⁶		193	%		135	%		193	%		203	%


	Class Y
	Six Months Ended 9/30/2023 (unaudited)			Year Ended 3/31/2023			Year Ended 3/31/2022			Year Ended 3/31/2021			Year Ended 3/31/2020			Year Ended 3/31/2019
Net Asset Value, Beginning of Period	$	10.13		$	10.41		$	10.36		$	9.02		$	10.68		$	10.59
Income From Investment Operations:
Net investment income (loss)¹		0.12			0.02			(0.08	)		0.08			0.16			0.09
Net realized and unrealized gain (loss)		0.24			(0.30	)		0.31			1.59			(1.42	)		0.21

Total From Investment Operations		0.36			(0.28	)		0.23			1.67			(1.26	)		0.30

Less Distributions to Shareholders:
From net investment income		—			—			—			(0.33	)		(0.22	)		(0.14	)
From net realized capital gains		—			—			(0.18	)		—			(0.18	)		(0.07	)

Total Distributions		—			—			(0.18	)		(0.33	)		(0.40	)		(0.21	)

Net Asset Value, End of Period	$	10.49		$	10.13		$	10.41		$	10.36		$	9.02		$	10.68

Total Return		3.55	%²		(2.69	)%		2.10	%		18.49	%		(12.25	)%		2.85	%


Ratios to Average Net Assets:³
Total expenses before recoupment (reimbursement) from Investment Adviser		1.17	%⁴		1.44	%		0.86	%		0.72	%		0.83	%		1.39	%
Management Fees		1.89	%⁴		1.88	%		1.87	%		1.87	%		1.85	%		1.86	%

Net expenses after recoupment (reimbursement) from Investment Adviser⁵		3.06	%⁴		3.32	%		2.73	%		2.59	%		2.68	%		3.25	%

Net investment income (loss)		2.39	%⁴		0.22	%		(0.72	)%		0.85	%		1.54	%		0.89	%

Supplemental Data:
Net assets, end of period (in thousands)	$	1,188,313		$	1,051,621		$	1,247,505		$	1,341,439		$	1,752,913		$	1,619,797
Portfolio turnover		395	%⁶		846	%⁶		193	%		135	%		193	%		203	%


Counterparty	Reverse Repurchase Agreements				Fair Value of Non-Cash Collateral^(1),(2)			Cash Collateral Pledged⁽¹⁾			Net Amount⁽³⁾
Barclays Capital		$	(6,665,208	)		$	6,665,208		$	—		$	—
JPMorgan Chase Bank, N.A.			(28,169,795	)			28,110,979			58,816			—

Total		$	(34,835,003	)		$	34,776,187		$	58,816		$	—


	Remaining Contractual Maturity of the Agreements As of September 30, 2023
	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Reverse Repurchase Agreements
Corporate Bonds & Notes	$	—	$	6,182,276	$	—	$	—	$	6,182,276
Sovereign Debt		—		7,044,332		—		—		7,044,332
U.S. Treasury Obligations		—		21,549,579		—		—		21,549,579
Collateral Cash		58,816		—		—		—		58,816

Total	$	58,816	$	34,776,187	$	—	$	—	$	34,835,003

Gross amount of recognized liabilities for reverse repurchase agreements									$	34,835,003


	Asset Derivatives			Liability Derivatives
	Consolidated Statement of Assets & Liabilities Location	Fair Value		Consolidated Statement of Assets & Liabilities Location	Fair Value
Interest Rate	Centrally cleared swaps, at fair value^(c)		14,560,889	Centrally cleared swaps, at fair value^(c)		(3,170,096	)
	Swap contracts, at fair value^(b)		5,451	Swap contracts, at fair value^(b)		(2,924,901	)
	Unrealized appreciation on futures contracts^(c)		16,105,377	Unrealized depreciation on futures contracts^(c)		(1,317,646	)
	Purchased options, at fair value^(d)		6,151,985	Options written, at value		(55,180	)
Equity	Swap contracts, at fair value^(b)		16,769,262	Swap contracts, at fair value^(b)		(5,020,075	)
	Unrealized appreciation on futures contracts^(c)		1,285,015	Unrealized depreciation on futures contracts^(c)		(7,123,684	)
	Purchased options, at fair value^(d)		17,827,616	Options written, at value		(6,552,245	)
Commodity	Swap contracts, at fair value^(b)		7,859	Swap contracts, at fair value^(b)		—
	Unrealized appreciation on futures contracts^(c)		68,956,910	Unrealized depreciation on futures contracts^(c)		(93,723,997	)
	Purchased options, at fair value^(d)		7,952,131	Options written, at value		(5,585,975	)
Credit	Centrally cleared swaps, at fair value^(c)		20,030,659	Centrally cleared swaps, at fair value^(c)		(6,732,569	)
	Swap contracts, at fair value^(b)		1,664,200	Swap contracts, at fair value^(b)		(982,931	)
Foreign Exchange	Unrealized appreciation on forward foreign currency exchange contracts		3,198,255	Unrealized depreciation on forward foreign currency exchange contracts		(2,927,010	)
	Unrealized appreciation on futures contracts^(c)		736,543	Unrealized depreciation on futures contracts^(c)		(130,828	)
	Swap contracts, at fair value^(b)		8,808	Swap contracts, at fair value^(b)		—
	Purchased options, at fair value^(d)		8,318,032	Options written, at value		(413,323	)

Total		$	183,578,992		$	(136,660,460	)

Amounts not subject to MNA⁽¹⁾			132,719,841			(122,185,331	)

Total Gross amounts subject to MNA		$	50,859,151		$	(14,475,129	)


Primary Underlying Risk	Average Number of Contracts^(a)			Average Notional USD^(a)			Net Realized Gain (Loss)				Net Change in Unrealized Appreciation (Depreciation)
Interest Rate
Swap contracts		—			310,172,407				(2,165,580	)			(472,381	)
Future contracts		—			2,574,314,296				50,367,539				11,728,847
Purchased options^(d)		4,678,022,857			519,591				4,290,562				(1,607,839	)
Options written		(4,378,180,000	)		(215,113	)			(367,403	)			827,021
Equity
Swap contracts		—			1,011,650,434				24,632,395				2,517,897
Future contracts		—			229,969,275				(1,001,132	)			(3,412,146	)
Purchased options^(d)		123,681,587			(6,200,796	)			(7,012,902	)			12,218,967
Options written		(2,767,143	)		1,017,558				(4,081,687	)			(1,216,069	)
Commodity
Swap contracts		—			20,891				—				7,859
Future contracts		—			1,840,939,420				44,627,060				(40,255,553	)
Purchased options^(d)		17,399			(8,272,439	)			(16,373,494	)			307,959
Options written		(9,420	)		(3,313,781	)			(7,050,014	)			18,202,888
Credit
Swap contracts		—			467,378,509				(19,225,878	)			7,884,035
Foreign Exchange
Forward foreign currency exchange Contracts		—			267,571,349				4,652,125				(1,120,500	)
Swap Contracts		—			70,584				(40,757	)			8,808
Future contracts		—			57,145,898				467,849				476,121
Purchased options^(d)		185,006,023			(1,967,960	)			(4,952,256	)			213,612
Options written		(67,114,286	)		(449,288	)			1,188,585				134,041

Total								$	67,955,012			$	6,443,567


			Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
	Gross Amount of Assets Presented in Consolidated Statement of Assets and Liabilities		Derivative Financial Instruments Available to Offset			Cash Collateral Received⁽⁴⁾			Non-Cash Collateral		Net Amount⁽²⁾

By Counterparty⁽¹⁾
Bank of America, N.A.	$	10,282	$	—		$	—		$	—	$	10,282
Deutsche Bank AG		1,940,575		—			—			—		1,940,575
Goldman Sachs International		15,047,996		(731	)		(4,230,000	)		—		10,817,265
Morgan Stanley & Co. LLC		5,982,595		(55,179	)		(2,513,061	)		—		3,414,355
Morgan Stanley Capital Services LLC		1,125,537		(106,545	)		(1,018,992	)		—		—

Cayman Subsidiary
Bank of America N.A.		27,989		—			—			—		27,989
Barclays Bank PLC		6,794		(645	)		—			—		6,149
Citibank N.A.		6,896,880		(516,105	)		(522,601	)		—		5,858,174
Goldman Sachs & Co., LLC		1,393,497		—			—			—		1,393,497
Goldman Sachs International		682,196		(157,328	)		(524,868	)		—		—
HSBC Bank PLC		20,314		(16,786	)		—			—		3,528
Intercontinental Exchange, Inc.		457,086		(404,422	)							52,664
J.P. Morgan Securities LLC		634,605		—			—			—		634,605
JPMorgan Chase Bank, N.A.		3,021,444		(1,650,978	)		—			—		1,370,466
Morgan Stanley & Co. LLC		27,838		—			—			—		27,838
Morgan Stanley Capital Services LLC		967,090		(637,658	)		—			—		329,432
Nomura Securities International, Inc.		643,902		—			—			—		643,902
Prime CODEX		57,415		(57,415	)							—
State Street Bank and Trust Company		1,591,017		(855,346	)		—			—		735,671