Form 485BPOS Blackstone Alternative

 

 

 

 

 

An investment in the Fund entails substantial risks and includes alternative investment and trading strategies not typically employed by traditional mutual funds. You 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 the principal risks of investing in the Fund, including the indirect risks associated with the Fund’s investments in the Subsidiaries and Investment Funds. Any decision to invest in the Fund should take into account that the Fund may make virtually any kind of investment, and be subject to related risks, which can be substantial.

 

 

 

Callodine Capital Management, LP

Catalio Capital Management, LP

Engelhart CTP Commodity Trading US, LLC

OT Research

To purchase, redeem, or exchange shares, or for more information about how to purchase, redeem, or exchange shares, you should contact your financial intermediary, or, if you hold your shares or plan to purchase shares through the Fund, you should contact the Fund by phone at 1‑855‑890‑7725, by email at [email protected], or by mail at 345 Park Avenue, 15th Floor, New York, NY 10154.

The Adviser, Blackstone Alternative Investment Advisors LLC, seeks to achieve the Fund’s objective principally by allocating the Fund’s assets among a variety of non‑traditional or alternative investment strategies. As noted above, the Adviser allocates the Fund’s assets among Sub‑Advisers and Investment Funds generally employing non‑traditional or alternative investment strategies. The 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. In pursuing the Fund’s investment objective, the Adviser seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets. The main strategies and sub‑strategies of the Fund and the Investment Funds are listed below. Such strategies and sub -strategies may be executed using quantitative, fundamental, or other techniques and may be expanded to include other strategies in the future.

The Adviser determines the allocations of the Fund’s assets and allocates a significant majority of the Fund’s assets among affiliated and unaffiliated Sub‑Advisers with expertise in non‑traditional or alternative investment strategies. A Sub‑Adviser may be engaged to employ two or more strategies with respect to its allocated portion of the Fund’s assets or to manage two or more separate allocated portions of the Fund’s assets. The Adviser is responsible for selecting the strategies, for identifying and retaining Sub‑Advisers with expertise in the selected strategies, and for determining the amount of Fund assets to allocate to each Sub‑Adviser. The Adviser will adjust allocations from time to time, among strategies or Sub‑Advisers based on its assessment of Sub‑Adviser performance, market conditions, and opportunities. The Adviser, from time to time, has chosen not to allocate to certain Sub‑Advisers, and there may be lengthy periods of time when there is no allocation to one or more Sub‑Advisers or strategies described in this Prospectus. In allocating the Fund’s assets among non‑traditional or alternative strategies, the Adviser reviews a number of quantitative and qualitative factors, including, without limitation, macroeconomic scenarios, market sentiment, diversification, strategy capacity, regulatory constraints, and the fees associated with the strategy. For additional information, see “More on Fund Management—Adviser and Sub‑Advisers—Selection of Sub‑Advisers.”

The Adviser may retain discretionary and non‑discretionary Sub‑Advisers for the Fund. Each discretionary Sub‑Adviser is responsible for the day‑to‑day management of the portion of the Fund’s assets that the Adviser allocates to it. A non‑discretionary Sub‑Adviser implements its investment strategy in coordination with the Adviser in the Adviser’s discretion. The Adviser has the responsibility to

oversee each Sub‑Adviser, subject to the ultimate oversight of the Fund’s Board of Trustees. The Adviser also is responsible for recommending the hiring, termination, and replacement of Sub‑Advisers. Although this could change at any time, as of the date of this Prospectus, there are currently no non‑discretionary Sub‑Advisers.

The investment strategy for each Sub‑Adviser listed above is its principal strategy and sub‑strategy, but the Sub‑Advisers may also implement other investment strategies with the portion(s) of the Fund’s assets allocated to them. There may be periods of time when there is no allocation to one or more Sub‑Advisers or strategies described above. For example, although this could change at any time, as of the date of this Prospectus, there is no allocation to Nephila Capital Ltd.

The Adviser may invest up to 25% of the Fund’s assets in unaffiliated hedge funds, funds traded publicly on foreign exchanges, funds that are UCITS funds, REITs, BDCs, open‑end and closed‑end registered investment companies (including without limitation UITs and ETFs), and other commingled investment vehicles (collectively, defined above as the “Investment Funds”). A portion of the Investment Funds (no more than 15% of the Fund’s net assets, taken together with any other illiquid assets held by the Fund) is expected to be “illiquid” (i.e., holdings that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment). The Investment Funds in which the Fund invests are not subject to the investment policies of the Fund and are expected to have different investment policies, which may be contrary to those of the Fund.

The Fund’s assets may be invested in one or more of its three wholly-owned and controlled Subsidiaries. The Fund’s Cayman Subsidiary is formed as an exempted company under the laws of the Cayman Islands and the Fund’s two Domestic Subsidiaries are formed as limited liability companies under the laws of the State of Delaware. The Cayman Subsidiary typically invests, directly or indirectly through the use of derivatives, in securities, commodities, and other assets. The Domestic Subsidiaries invest, directly or indirectly through the use of derivatives, in securities. Each of the Fund and the Cayman Subsidiary is a commodity pool under the CEA and the Adviser is registered as a “commodity pool operator” under the CEA with respect to the Fund and the Cayman Subsidiary. The pool operator of the Domestic Subsidiaries is exempt from registration as such with the CFTC with respect to the Domestic Subsidiaries. The Fund does not expect to invest more than 25% of its assets in the Cayman Subsidiary.

The Fund has investment exposure, directly or indirectly through the Subsidiaries, Basket Swaps, Basket Notes, or Investment Funds, to a broad range of instruments, markets, and asset classes economically tied to U.S. and foreign markets (including emerging markets). (Unless indicated otherwise, references to the investment exposure or risks of the Fund should be understood to refer to the Fund’s direct investment exposure and risks and its indirect investment exposure and risks through the Subsidiaries, Basket Swaps, Basket Notes, or Investment Funds.) Investments may include, but are not limited to, equity securities, fixed income securities, and derivative and commodity instruments. The Fund may take both long and short positions in any of its investments. The Fund has flexibility in its allocation to asset classes, market sectors, and instruments and will vary the percentage of its assets invested in each asset class, market sector, and instrument from time to time. Other than limits described herein and in the SAI, there is no limit on the amount of exposure the Fund may have to any specific asset class, market sector, or instrument. The Fund may purchase securities or other property throughout the world on recognized markets, in private placements, and through both initial and secondary underwritten offerings (including Rule 144 and 144A securities, which are securities that may be resold without registration under the 1933 Act, pursuant to an exemption from registration under the 1933 Act). To the extent permitted by the 1940 Act, the Fund may invest a significant portion of its assets in a variety of commodity and other instruments, including futures on CCAs. The Fund may have significant investment leverage (directly or indirectly) as a result of its use of derivatives, including Basket Swaps, its use of Basket Notes, or its investments in Investment Funds. Additionally, the Fund may lend its portfolio securities, and may use the collateral it receives for the securities on loan to purchase any investment, which may result in investment leverage. See “Leverage Risk” below.

The equity securities in which the Fund may invest include equity securities of companies of any market capitalization throughout the world (on both U.S. and foreign markets (including emerging and frontier markets)), which may include common stocks, preferred stocks, convertible securities, depositary receipts, ETFs, REITs, and partnership interests, rights and warrants, or securities or other instruments whose price is linked to the value of the common stock.

The fixed income securities in which the Fund may invest include debt securities of governments throughout the world (on both U.S. and foreign markets (including emerging and frontier markets)) as well as their agencies and/or instrumentalities, debt securities of corporations throughout the world (on both U.S. and foreign markets (including emerging and frontier markets)), including inflation-indexed securities, debt securities of any duration, maturity, or credit rating (including below investment grade debt securities (commonly known as “junk bonds”)) or debt securities that are unrated, commercial and residential mortgage-backed securities, asset-backed securities (including those backed by consumer assets), adjustable rate securities, stripped securities (i.e., securities resulting from the separation of income and principal components of debt securities, such as interest-only debt securities), net interest margin securities (i.e., securities based on the value of excess cash flows received by underlying mortgage-backed securities), bank and direct loans, loan assignments and loan participations, bankruptcy or trade claims and event-linked instruments (including catastrophe bonds).

The derivative instruments in which the Fund may invest include futures and forward contracts, such as index, interest rate, commodity, or government bond futures and TBAs; swaps, such as basket swaps, credit default swaps, total return swaps, interest rate swaps (including constant maturity swaps), currency swaps, swaptions, volatility and variance swaps (which provide exposure to the future

volatility of an asset without exposure to the direction of price movements of that asset), and/or contracts for difference; call and put options, including writing (selling) calls against positions in the portfolio (“covered calls”) or writing (selling) puts, OTC options, currency options, and non‑standard options, including digital options (otherwise known as binary options or all‑or‑nothing options) and barrier options, which come into existence (“knock‑in”) or cease to exist (“knock‑out”) if the price of a reference asset reaches a particular threshold before the contract’s expiration; warrants and rights; and any derivative on a security issued by a SPAC. The Fund may invest in derivative instruments with various types of reference assets, including without limitation equities, bonds, or other securities, currencies, interest rates, physical commodities or commodity interests, market-based or other indices, or a combination of the foregoing. The Fund may also invest in foreign currency futures, forwards, or exchange contracts. Any of these derivatives may be used in an effort to gain economic exposure to one or more alternative investment strategies, to enhance returns, or to hedge the Fund’s positions by managing or adjusting the risk profile of the Fund or its individual positions. At times, the Fund invests a significant portion of its assets in derivative instruments. In addition to derivative instruments, the Fund may also invest in repurchase agreements, or reverse repurchase agreements, and purchase and sale contracts. See the Additional Information on Investment Techniques of the Fund and Related Risks—Swap Contracts and Other Two‑Party Contracts section of the SAI for more information.

The Fund may, from time to time, take temporary defensive positions in attempting to respond to adverse market, political or other conditions. For temporary defensive purposes, the Fund may invest all or some of its total assets in U.S. government securities, commercial paper, certificates of deposit, bankers’ acceptances, repurchase agreements, non‑convertible preferred stocks, corporate bonds, money market instruments, cash, cash equivalents and ETFs tracking the performance of high yield and investment grade bond indexes. To the extent the Fund’s assets are invested in these instruments, the Fund may not achieve its investment objective. In the event of failure of any of the financial institutions where the Fund maintains its cash and cash equivalents, there can be no assurance that the Fund would be able to access uninsured funds in a timely manner or at all, and the Fund may incur losses.

An investment in the Fund should be considered a speculative investment that entails substantial risks and includes alternative investment and trading strategies not typically employed by traditional mutual funds. You 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 description of the risks of investing in the Fund, including the indirect risks associated with the Fund’s investments in the Subsidiaries and Investment Funds. Any decision to invest in the Fund 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 SAI contains additional information about the risks of investing the Fund.

debt of several European Union (“EU”) countries, as well as uncertainty over the continued existence of the EU itself, has disrupted and may continue to disrupt markets in the United States and around the world. If a country changes its currency or if the EU dissolves, the world’s securities markets likely would be significantly disrupted. Concerns about the fiscal stability and growth prospects of certain European countries in the last economic downturn had a negative impact on most economies of the Eurozone and global markets and the current ongoing conflict between Russia and Ukraine could have a negative impact on those countries and others in the region. Other issuers or markets could be similarly affected by past or future geopolitical or other events or conditions, and the occurrence of similar crises in the future could cause increased volatility in the economies and financial markets of countries throughout a region, or even globally.

War, terrorism, economic uncertainty, and related geopolitical events, such as sanctions, tariffs, trade disputes, the imposition of exchange controls or other cross-border trade barriers, have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. For example, the U.S. has imposed economic sanctions, which consist of asset freezes, restrictions on dealings in debt and equity, and certain industry-specific restrictions. Sanctions impair the ability of the Fund to buy, sell, receive or deliver those securities and/or assets that are subject to the sanctions. Furthermore, if after investing in the Fund an investor is included on a sanctions list, the Fund may be required to cease any further dealings with the investor’s interest in the Fund until such sanctions are lifted or a license is sought under applicable law to continue dealings. Although the Adviser expends significant effort to comply with the sanctions regimes in the countries where it operates, one of these rules could be violated by the Adviser’s or the Fund’s activities or investors, which would adversely affect the Fund.

In addition, trade disputes may affect investor and consumer confidence and adversely affect financial markets and the broader economy, perhaps suddenly and to a significant degree. The U.S. government has indicated its intent to alter its approach to international trade policy and, in some cases, to renegotiate or potentially terminate certain existing bilateral or multilateral trade agreements and treaties with foreign countries and has made proposals and taken actions related thereto. In addition, the U.S. government has recently imposed tariffs on certain foreign goods and has indicated a willingness to impose tariffs on imports of other products. Some foreign governments, including China, have instituted retaliatory tariffs on certain U.S. goods and have indicated a willingness to impose additional tariffs on U.S. products. Other countries, including Mexico, have threatened retaliatory tariffs on certain U.S. products. Global trade disruption, significant introductions of trade barriers, and bilateral trade frictions, together with any future downturns in the global economy resulting therefrom, could adversely affect the financial performance of the Fund and its investments. U.S. trade policy has changed rapidly in the past, and may do so in the future, and it may be an ongoing source of instability, potentially resulting in significant currency fluctuations and/or having other adverse effects on international markets, international trade agreements, and/or other existing cross-border cooperation arrangements (whether economic, tax, fiscal, legal, regulatory, or otherwise). To the extent trade disputes escalate globally, there could be additional significant impacts on the sectors or industries in which the Fund invests and other adverse impacts on the Fund’s overall performance.

Natural and environmental disasters, epidemics or pandemics, and systemic market dislocations can be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and the market price of the Fund’s investments. During such market disruptions, the Fund’s exposure to the risks described elsewhere in this “Principal Investment Risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Fund from implementing its investment programs and achieving its investment objective. For example, a market disruption may adversely affect the orderly functioning of the securities markets and may cause the Fund’s derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices or to offer them on a more limited basis. To the extent the Fund has focused its investments in a particular region, adverse geopolitical and other events in that region could have a disproportionate impact on the Fund. As economies and financial markets worldwide become increasingly interconnected, the likelihood increases that geopolitical conflicts in one country or region will adversely impact markets or issuers in other countries or regions, including in ways that are difficult to predict or foresee. The impacts of these conflicts or events can be exacerbated by failures of governments and societies to respond adequately to a geopolitical conflict and subsequent emerging events or threats.

Outbreaks of contagious disease may exacerbate the risks that apply to the Fund. Macroeconomic effects from a pandemic or epidemic, including from supply and labor shortages, reductions in force in response to challenging economic conditions, or shifts in demand for products and services, may have an adverse impact on the Fund and its investments, particularly those in the hospitality, retail or travel sectors. The impact of such effects may disproportionately affect certain asset classes and geographic areas. The full extent of the impact and effects any future pandemics or epidemics will depend on future developments, including, among other factors, how rapidly variants develop, availability, acceptance and effectiveness of vaccines along with related travel advisories, quarantines and restrictions, the recovery time of the disrupted supply chains and industries, the impact of labor market interruptions, the impact of government interventions, and uncertainty with respect to the duration of the global economic slowdown.

Systemic risk events in the financial sectors and/or resulting government actions can negatively impact the Fund. Events involving limited liquidity, defaults, non‑performance of contractual obligations, or other adverse developments that affect financial institutions,

transactional counterparties, or other companies in the financial services industry or that affect the financial services industry generally, or concerns or rumors about any events of these kinds or other similar risks, have in the past led and could in the future lead to market-wide liquidity problems. For example, the shut‑down of certain regional U.S. banks and other financial institutions in March 2023 raised economic concerns over disruption in the U.S. banking system, which could result in losses to the Fund if economic conditions persist or worsen, including through contagion to other areas of the U.S. or global economies. These risks also may adversely affect financial intermediaries, such as clearing agencies, clearing houses, banks, securities firms, and exchanges, with which the Fund interacts. There can be no certainty that any actions taken by the U.S. government to strengthen public confidence in the U.S. banking system or financial markets will be effective in mitigating the effects of financial institution failures on the economy and restoring or maintaining public confidence. As a consequence, for example, the Fund could be delayed or prevented from accessing money, making any required payments under their own debt or other contractual obligations or pursuing key strategic initiatives, and investors could be impacted in their ability to receive distributions. In addition, in the event that a financial institution that provides credit facilities and/or other financing to the Fund closes or experiences distress, there can be no assurance that such bank will honor its obligations or that the Fund will be able to secure replacement financing or capabilities at all or on similar terms. There can be no assurances that the Fund will establish banking relationships with multiple financial institutions, and the Fund is expected to be subject to contractual obligations to maintain all or a portion of its respective assets with a particular bank (including, without limitation, in connection with a credit facility or other financing transaction). Uncertainty caused by recent bank failures—and general concern regarding the financial health and outlook for other financial institutions—could have an overall negative effect on banking systems and financial markets generally.

Although the Fund typically enters into futures contracts only if an active market exists for the contracts, no assurance can be given that an active market will exist for the contracts at any particular time. Certain futures exchanges do not permit trading in particular futures contracts at prices that represent a fluctuation in price during a single day’s trading beyond certain set limits. If price fluctuations during a single day’s trading reach those limits, the Fund could be prevented from promptly liquidating unfavorable positions and thus be subjected to substantial losses. Futures prices have occasionally moved to the daily limits for several consecutive days with little or no trading.

The Fund may take steps to attempt to reduce the exposure of its portfolio to interest rate changes; however, there can be no guarantee that the Fund will take such actions or that the Fund will be successful in reducing the impact of interest rate changes on the portfolio. In recent years, the U.S. Federal Reserve and other central banks have raised interest rates in an effort to combat high levels of inflation. These central banks may increase interest rates or, alternatively, decrease them as inflationary and market conditions change. Rising interest rates have negatively impacted certain U.S. banks and other financial institutions and raised concerns regarding economic conditions. Changes in government intervention may have adverse effects on investments, volatility, and illiquidity in debt markets. Fiscal, economic, monetary, or other governmental or central bank policies, actions, or measures have in the past, and may in the future, cause or exacerbate risks associated with interest rates, including fluctuations in interest rates.

The mortgage market in the United States has in the past experienced difficulties that adversely affected the performance and market value of certain of the Fund’s mortgage-related investments, and these difficulties could happen again. Ongoing developments in the residential and commercial mortgage markets may have additional consequences for the market for mortgage-backed securities. For example, certain types of real estate may be adversely affected by changing usage trends, such as office buildings as a result of work-from-home practices and commercial facilities as a result of an increase in online shopping, which could in turn result in defaults and declines in value of mortgage-backed securities secured by such properties. During the periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, with respect to securitizations involving mortgage loans. Many so‑called sub‑prime mortgage pools have become distressed during the periods of economic distress and may trade at significant discounts to their face value during such periods. Reduced investor demand for mortgage loans and mortgage-related securities and increased investor yield requirements have caused limited liquidity in the secondary market for mortgage-related securities, which can adversely affect the market value of mortgage-related securities. It is possible that such limited liquidity in such secondary markets could continue or worsen. In addition, there are fewer investors in mortgage- and asset-backed securities markets and those investors are more homogenous than in markets for other kinds of securities. If a number of market participants are impacted by negative economic conditions, forced selling of mortgage- or asset-backed securities unrelated to fundamental analysis could depress market prices and liquidity significantly and for a longer period of time than in markets with greater liquidity.

In particular, with respect to counterparties who are subject to such proceedings in the United Kingdom or European Union, the liabilities of such counterparties to the Fund could be reduced, eliminated, or converted to equity in such counterparties (sometimes referred to as a “bail in”). In addition, regulations adopted by federal banking regulators under the Dodd-Frank Wall Street Reform and Consumer Protection Act require that certain qualified financial contracts (“QFCs”) with counterparties that are part of U.S. or foreign global systemically important banking organizations be amended to include contractual restrictions on close‑out and cross-default rights. QFCs include, but are not limited to, securities contracts, commodities contracts, forward contracts, repurchase agreements, securities lending agreements and swaps agreements, as well as related master agreements, security agreements, credit enhancements, and reimbursement obligations. If a covered counterparty of the Fund or certain of the covered counterparty’s affiliates were to become subject to certain insolvency proceedings, the Fund may be temporarily, or in some cases permanently, unable to exercise certain default rights, and the QFC may be transferred to another entity. Shareholders should assume that the insolvency of any counterparty would result in a loss to the Fund, which could be material.

Liquidity Risk. Liquidity risk exists when particular investments are difficult to sell without significantly changing the market value of the investments. Although most of the Fund’s investments must be liquid at the time of investment, the Fund also invests in less liquid and illiquid securities, such as restricted, distressed, non‑exchange traded, privately placed securities, credit instruments, and/or commodity-related investments. Investments in Investment Funds are often illiquid and some Investment Funds may not permit withdrawals or may make in‑kind distributions of illiquid securities when the Fund desires to divest. In addition, liquid investments may become illiquid after purchase by the Fund, particularly during periods of market turmoil and dealers may be unwilling or unable to make a market for certain securities. When the Fund holds illiquid investments, the portfolio may be harder to value, especially in changing markets, and if the Fund is forced to sell these investments to meet redemption requests or for other cash needs, the Fund may suffer a loss. In addition, when there is illiquidity in the market for an investment, the Fund, due to limitations on illiquid investments, may be unable to achieve its desired level of exposure to a certain sector.

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. In recent years, the U.S. Federal Reserve and other central banks have raised interest rates in an effort to combat high levels of inflation. These central banks may increase interest rates or, alternatively, decrease them as inflationary and market conditions change. 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.

Risks Specific to Investments in Investment Funds. In addition to risks relating to their direct investments, Investment Funds often involve additional risks not present in direct investments. These risks include:

 

California Carbon Allowance (CCA) Futures Risk. The Fund invests in futures on CCAs. Political, judicial, and regulatory developments in California or at the federal level may adversely affect the value of CCAs, including without limitation due to the revocation of CCAs or due to changes to or termination of the cap‑and‑trade program under which CCAs are traded (including changes to emission limits or a decision by California to not extend the program). There are relatively few laws, regulations, or rulings specifically addressing CCAs, although California is increasingly legislating the purchase and sale of carbon offsets and market disclosures related thereto. CCAs have no intrinsic value outside of the cap‑and‑trade program. At present, California state law does not view the ownership of CCAs as a property right. Therefore, California would not be obligated under the Takings Clause of the Constitution to compensate the holder of a CCA if it revoked the CCA. The cap‑and‑trade program has been subject to legal challenges in the past and may be subject to future challenges by various market participants and stakeholders, including the federal government. Adverse court rulings or successful legal challenges could materially affect CCA credit prices. Political developments in California or elsewhere (including at the federal level) could also have material impacts on the CCA market and the Fund’s investments in futures on CCAs. Political events such as voter reaction to volatility in energy prices and perceptions of impacts of the CCA market on retail gasoline and diesel prices could lead to pressure on regulatory agencies to amend program rules, or legislative or ballot proposition efforts to amend or repeal the regulations underpinning the CCA market. In addition, it is possible that a natural disaster affecting critical infrastructure may impact the CCA market, including without limitation due to a suspension of greenhouse gas‑related programs and regulation. Any disruptions to the auction platform through which CCAs are purchased, to the Compliance Instrument Tracking System Service (“CITSS”), the market tracking system through which CCAs are tracked and traded, or the third-party administrators that administrator the auctions and hold the bid guarantees, including without limitation disruptions resulting from cyberattacks or other cybersecurity incidents, could negatively affect the value of CCAs. The active trading market for CCA futures may be limited, and adverse market conditions may impair the liquidity of actively traded CCA futures. As a result, it may not always be possible for the Fund to liquidate CCA futures at an advantageous time or price, which may subject the Fund to additional liquidity risk. The trading, settlement, safekeeping, and valuation mechanisms and processes used in the CCA market generally are less developed than in equity markets, and transfers of CCAs may not be promptly processed by CITSS. Any resulting inefficiencies and risks in the underlying CCA market may subject the Fund to additional risks.

Commodities-Related Investments Risk. Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodities and commodity-linked derivative investments can be extremely volatile and exposure to commodities could cause the value of the Fund’s shares to decline or fluctuate in a more rapid and unpredictable manner. The value of commodities and commodity-linked derivative instruments may be directly or indirectly affected by many factors, including changes in overall market movements, commodity index volatility, increases or decreases in production of a commodity or in the volume of a commodity available for transportation, processing, storage or distribution, fluctuations in demand, changes in interest rates or foreign currency transaction rates, real or perceived inflationary trends, population growth or decline and changing demographics, or factors affecting a particular industry or commodity, such as drought, floods, or other catastrophes, weather, livestock disease, pandemics, depletion of natural reserves or deposits, insufficient storage capacity, competition from substitute products, transportation bottlenecks or shortages, war, terrorist or criminal activity, failures of infrastructure, embargoes, sanctions, tariffs and international economic, political and regulatory developments. Such events may have a disproportionate impact on the prices of commodities that are produced in a limited number of countries or that are controlled by a small number of producers. The active trading market for certain commodities may be limited, and adverse market conditions may impair the liquidity of actively traded commodities investments. As a result, it may not always be possible for the Fund to liquidate commodity-related investments at an advantageous time or price, which may subject the Fund to additional liquidity risk. Certain types of commodities instruments are subject to the risk that the counterparty to the transaction may not perform or be unable to perform in accordance with the terms of the instrument.

The Fund may have investment exposure to the People’s Republic of China (“China”), including both Chinese equity and bond markets, as well as specific market factors such as Chinese interest rates, which introduces particular risks. Significant portions of the Chinese securities markets may become rapidly illiquid, as Chinese issuers have the ability to suspend the trading of their equity securities under certain circumstances, and have shown a willingness to exercise that option in response to market volatility, epidemics, pandemics, adverse economic, market or political events, and other events. In addition, there may be restrictions on investments in Chinese companies. Continued hostility and the potential for future political or economic disturbances between China and the U.S. may have an adverse impact on the values of investments in China, the U.S., and/or other countries. If the political climate between the U.S. and China does not improve or continues to deteriorate, if China were to attempt unification of Taiwan by force, or if other geopolitical conflicts develop or get worse, economies, markets, and individual securities may be severely affected both regionally and globally, and the value of the Fund’s assets may decline.

TBA Risk. In the TBA market, the seller agrees to deliver the mortgage-backed securities for an agreed-upon price on an agreed upon date, but makes no guarantee as to which or how many securities are to be delivered. The Fund relies on the seller to complete the transaction, and the seller’s failure to do so may cause the Fund to miss a price or yield considered advantageous to the Fund. In addition, the Fund bears the risk of loss in the event of the default or bankruptcy of the seller. The purchaser of TBA securities generally is subject to increased market risk relative to direct purchasers of mortgage-backed securities because the delivered securities may be less favorable than anticipated by the purchaser. Recently effective FINRA rules have implemented mandatory margin requirements for the TBA market that would require the Fund to post collateral in connection with its TBA transactions. The required collateralization of TBA trades could increase the cost of TBA transactions to the Fund and impose added operational complexity. Investments in TBAs may create leverage.

Market Capitalization Risk (Small-, Mid- and Large‑Cap Stocks Risk). To the extent the Fund focuses its investments in small-, mid‑, or large- cap stocks, it takes on the associated risks. At any given time, any of these market capitalizations may be out of favor with investors. Compared to small- and mid‑cap companies, large‑cap companies may be less responsive to changes and opportunities, but their returns have sometimes led those of smaller companies, often with lower volatility. The stocks of small- and mid‑cap companies may fluctuate more widely in price than the market as a whole, may be difficult to sell when the economy is not robust or during market downturns, and may be more affected than other types of stocks by the underperformance of a sector or during market downturns. In addition, compared to large‑cap companies, small- and mid‑cap companies may depend on a more limited management group, may have a shorter history of operations, and may have limited product lines, markets or financial resources. There may also be less trading in small- or mid‑cap stocks, which means that buy and sell transactions in those stocks could have a larger impact on a stock’s price than is the case with large‑cap stocks.

 

Large Purchase or Redemption Risk. Large purchase or redemption activity, either by a single or small number of shareholders or by a large number of shareholders collectively (such transactions are referred to as “large shareholder transactions”), could have adverse effects on performance if the Fund were required to sell securities, invest cash, or hold a relatively large amount of cash at times when it would not otherwise do so. Large shareholder transactions in the Fund may also result in increased expense ratios, higher levels of realized taxable income and/or capital gains or losses to shareholders with respect to the Fund’s portfolio securities, higher brokerage commissions and other transaction costs. The effects of taxable income and/or gains resulting from large shareholder transactions would particularly impact non‑redeeming shareholders who do not hold their Fund shares in an IRA, 401(k) plan or other tax‑advantaged plan. To the extent that such transactions result in short-term capital gains, such gains will generally be taxed at the ordinary income tax rate for shareholders who hold Fund shares in a taxable account. The Fund may be used as an investment in certain model portfolios or other asset allocation programs sponsored by financial intermediaries. The Fund may have all or a large percentage of its shares owned by such programs or other large shareholders from time to time. Should such financial intermediary or other large shareholder change investment strategies or investment allocations such that fewer assets are invested in the Fund or the Fund is no longer used as an investment, the Fund could experience large redemptions of its shares, potentially requiring the Fund to dispose of its assets at disadvantageous prices. A number of other circumstances may also cause the Fund to experience large redemptions, such as changes in the eligibility criteria for the Fund or share class of the Fund; liquidations, reorganizations, repositionings, or other announced Fund events; or changes in investment objectives, strategies, policies, risks, or investment personnel.

 

 

Cybersecurity and Data Protection The operations of Blackstone, the Fund, the Managers and Investment Funds, their service providers and other market participants are highly dependent on their technology platforms, and they rely heavily on their analytical, financial, accounting, communications and other data processing systems. Their systems face ongoing cybersecurity threats and attacks, which could result in the loss of confidentiality, integrity, or availability of such systems and the data held by such systems. Attacks on Blackstone’s, the Fund’s, the Managers’ and Investment Funds’, and their respective service providers’ systems could

involve, and in some instances have in the past involved, attempts intended to obtain unauthorized access to their proprietary information, destroy data or disable, degrade or sabotage their systems or divert or otherwise steal funds, including through the introduction of computer viruses, “phishing” attempts and other forms of social engineering. Attacks on Blackstone’s, the Fund’s, the Managers’, Investment Funds’ and their respective service providers’ systems could also involve ransomware or other forms of cyber extortion. Cyberattacks and other security threats could originate from a wide variety of external sources, including cyber criminals, nation state hackers, hacktivists and other outside parties. Cyberattacks and other security threats could also originate from the malicious or accidental acts of insiders, such as employees, consultants, independent contractors or other service providers. Cyberattacks could also be employed against Blackstone’s, the Fund’s, the Managers’, Investment Funds’ and their respective service providers’ various stakeholders or other third parties, including by impersonating Blackstone, the Managers or their respective service providers or employees, which could cause similar security impacts to Blackstone’s, the Fund’s, Managers’ and Investment Funds’ and their respective service providers’ stakeholders and other third parties and materially and adversely impact Blackstone, the Fund, the Managers and Investment Funds and their respective service providers.

There has been an increase in the frequency and sophistication of the cyber and data security threats Blackstone faces, with attacks ranging from those common to businesses generally to those that are more advanced and persistent, which could target Blackstone because, as an alternative asset management firm, Blackstone holds a significant amount of confidential and sensitive information about the Fund, the Managers and Investment Funds, their service providers and other market participants, potential investments and the Fund’s shareholders. Blackstone, the Fund, the Managers, and the Investment Funds are also subject to various risks and costs associated with the collection, storage, transmission and other processing of personally identifiable information; this data is wide ranging and relates to Blackstone’s investors, employees, contractors and other counterparties and third parties. As a result, Blackstone could face a heightened risk of a security breach or disruption with respect to this information. There can be no assurance that measures Blackstone takes to ensure the integrity of its systems will provide adequate protection, especially because cyberattack techniques are continually evolving, and it is possible cyberattacks will persist undetected over extended periods of time and/or will not be mitigated in a timely manner to prevent or minimize the impact of an attack on Blackstone, the Fund, the Managers, Investment Funds and their respective service providers and investments . If Blackstone’s systems or those of third-party service providers are compromised, either as a result of malicious activity or through inadvertent transmittal or other loss of data, do not operate properly or are disabled, or Blackstone fails to provide the appropriate regulatory or other notifications in a timely manner, Blackstone could suffer financial loss, increased costs, a disruption of Blackstone’s businesses, liability to Blackstone’s counterparties, the Fund and their respective investors, regulatory intervention and/or reputational damage. It can be expected that costs related to certain cyber or other data security threats or disruptions will not be fully insured or indemnified by other means.

In addition, Blackstone could also suffer losses in connection with updates to, or the failure to timely update, the technology platforms on which it relies. Blackstone is reliant on third-party service providers for certain aspects of its business, including for the administration of the Fund, as well as for certain technology platforms, including cloud-based services. These third-party service providers could also face ongoing cybersecurity threats and compromises of their systems and as a result, unauthorized individuals could gain, and in some past instances have gained, access to certain confidential data.

Cybersecurity and data protection have become top priorities for regulators around the world, and rapidly developing and changing privacy, data protection and cybersecurity laws and regulations could further increase compliance costs and subject Blackstone, the Fund, the Managers and Investment Funds to enforcement risk and reputational damage. Many jurisdictions in which Blackstone, the Fund, the Managers and Investment Funds, their service providers operate have laws and regulations relating to privacy, data protection and cybersecurity, including, as examples the General Data Protection Regulation (“GDPR”) in the European Union, the U.K. Data Protection Act, and the California Privacy Rights Act (“CPRA”), as well as recently adopted SEC rules. Additional regulatory requirements related to cybersecurity and data protection could increase compliance costs and potential regulatory liability related to cybersecurity for Blackstone, the Fund, the Managers, and the Investment Funds. Some jurisdictions have also enacted or proposed laws requiring companies to notify individuals and government agencies of data security breaches involving certain types of personal data.

Breaches in Blackstone’s, the Fund’s and/or the Managers’ and Investment Funds’ security or in the security of third-party service providers, whether malicious in nature or through inadvertent transmittal or other loss of data, could potentially jeopardize Blackstone’s, the Fund’s, the Managers’, the Investment Funds’, or their respective employees’, their respective investors’ and/or counterparties’ confidential, proprietary and other information processed and stored in, and transmitted through, their respective computer systems and networks, or otherwise cause interruptions or malfunctions in Blackstone’s, the Fund’s, the Managers’ or the Investment Funds’ data or that of Fund, their respective employees’, their respective investors’ and/or counterparties’ or third partis’ business and operations, which could result in significant financial losses, increased costs, liability to the Fund’s investors and other counterparties, regulatory intervention and reputational damage. Furthermore, if Blackstone fails to comply with the relevant laws and regulations or fails to provide the appropriate regulatory or other notifications of breach in a timely manner, it could result in regulatory investigations and penalties, which could lead to negative publicity and reputational harm and could cause the Fund’s investors and clients to lose confidence in the effectiveness of Blackstone’s security measures and Blackstone more generally. Third-parties may also attempt to fraudulently induce employees, customers, third-party service providers, or other users of Blackstone’s, the Fund’s, the Managers’, Investment Funds’, or their respective service providers’ systems to disclose sensitive information in order to gain access to Blackstone’s, the Fund’s, the Managers’, and/or Investment Funds’ data or that of Fund shareholders and may request ransom payments in exchange for not disclosing client or customer information or restoring access to digital infrastructure or other infrastructure assets. The U.S. federal government has issued public warnings that indicate that infrastructure assets might be specific tar-

The Fund, the Managers and Investment Funds also rely on data processing systems and the secure processing, storage and transmission of information, including payment and health information, which in some instances are provided by third parties. A disruption or compromise of these systems could have a material adverse effect on the value of these businesses. The Fund, the Managers and Investment Funds, could invest in strategic assets having a national or regional profile or in infrastructure, the nature of which could expose them to a greater risk of being subject to a terrorist attack or a security breach than other assets or businesses. Such an event could have material adverse consequences on Blackstone’s and/or the portfolio managers’ investment or assets of the same type or could require the Fund to increase preventative security measures or expand insurance coverage.

Finally, the Fund’s, the Managers’, and Investment Funds’ technology platforms, data, and intellectual property are also subject to a heightened risk of theft or compromise to the extent Blackstone, the Fund, the Manager, or the Investment Funds engage in operations outside the United States, in particular in those jurisdictions that do not have comparable levels of protection of proprietary information and assets such as intellectual property, trademarks, trade secrets, know‑how and customer information and records. In addition, Blackstone, the Fund, the Managers and Investment Funds, could be required to compromise protections or forego rights to technology, data and intellectual property in order to operate in or access markets in a foreign jurisdiction. Any such direct or indirect compromise of these assets could have a material adverse impact on Blackstone, the Fund, the Managers and Investment Funds.

Model and Technology Risk. Certain Managers use investment programs that are fundamentally dependent on proprietary or licensed technology through such Manager’s use of, among other things, certain hardware, software, model-based strategies, data gathering systems, order execution and trade allocation systems, and/or risk management systems, including strategies and systems that utilize forms of artificial intelligence, such as machine learning. These strategies and systems may not be successful on an ongoing basis, could contain inaccuracies, omissions, imperfections, or malfunctions, or could be degraded, corrupted, manipulated, or compromised. In addition, a Manager’s strategies and systems may operate effectively in isolation, but may generate unintended consequences when interfacing with trading, risk, or other investment tools, models, systems, or databases. Any inaccuracies, omissions, imperfections, malfunctions, degradations, corruptions, manipulations, or compromises in strategies or systems could affect the ability of the Manager to implement its investment program. Despite testing, monitoring and independent safeguards, these inaccuracies may result in, among other things, execution, allocation, and optimization failures and failures to properly gather, organize, and analyze large amounts of data from third-parties and other external sources. These errors could have a significant impact on Fund performance. Defects in algorithmic trading systems are often extremely difficult to detect and some may go undetected for long periods of time or may never be detected. The adverse impact caused by such defects can compound over time. For strategies that involve high or ultra-high frequency trading, the compounding of adverse impact could be accelerated and create significant losses before the trading can be interrupted. There is no guarantee that safety mechanisms like “circuit breakers” or other automatic interruption mechanisms at a Manager or at an exchange will prevent significant losses. More specifically, as it is not possible or practicable for a Manager to factor all relevant, available data into quantitative model forecasts and/or trading decisions, Managers (and/or affiliated licensors of such data) will use their discretion to determine what data to gather with respect to an investment strategy and what subset of that data the models will take into account to produce forecasts that may have an impact on ultimate investment and trading decisions. The model may be more effective with certain instruments than others, and Managers may not be able to identify or quantify all factors driving the instruments’ prices. Shareholders should be aware that there is no guarantee that a Manager that uses quantitative techniques will use any specific data or type of data in generating forecasts or making trading decisions on behalf of the Fund, nor is there any guarantee that the data actually utilized in generating forecasts or making trading decisions on behalf of the Fund will be (i) the most accurate data available; (ii) free from inaccuracies, corruptions, or interruptions; or (iii) delivered or accessible in a timely manner. In addition, the use by certain Managers of predictive or algorithmic models often have inherent risks because the construction of the model is dependent on historical data supplied by third-parties and the success of such models depends heavily on the accuracy and reliability of the supplied historical data. Errors are often extremely difficult to detect and some may go undetected for long periods of time and some may never be detected. The adverse impact caused by these errors can compound over time. A Manager (and/or the licensor of the models or technology) may detect certain errors that it chooses, in its sole discretion, not to address or fix. Alternatively, at times a Manager may manually override or shut down the operations of a quantitative model. This generally would be done in an effort to mitigate the damage from a deteriorating or malfunctioning model or a model that is reacting negatively to unforeseen market conditions. Such an override or intervention could result in greater losses than would be the case if there had been no intervention and/or could result in the model being overridden or inactive at a time when the model would have achieved gains for the Fund. By necessity, models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. The Fund bears the risk that the quantitative models used by a Manager will not be successful in forecasting movements in industries, sectors or companies and/or in determining the size, direction,

The U.S. government, the UK, the EU, and certain other jurisdictions have enacted a variety of regulations for the derivatives market, including clearing, margin, leverage, reporting, and registration requirements. These and other rules and regulations could, among other things, further restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or otherwise limiting liquidity. In addition, Rule 18f‑4 under the 1940 Act applies to the Fund’s use of derivative investments and certain financing transactions (e.g., reverse repurchase agreements). As required by Rule 18f‑4, the Fund has adopted and implemented a derivatives risk management program governing its use of derivatives through, among other things, the application of a value‑at‑risk based limit to the Fund’s derivatives exposure.

The Fund and its Managers may also be subject to regulation in jurisdictions in which they engage in business, which, in turn, could have a material adverse impact on the value of the investments of the Fund, or such regulations could change in ways unfavorable to the Fund’s investments. For instance, if a country changes its currency or leaves the EU or if the EU dissolves, the world’s securities markets likely will be significantly disrupted. On January 31, 2020, the UK formally withdrew from the EU (commonly known as “Brexit”). Certain aspects of Brexit have had an adverse impact on the region, leading to increased inflation, labor shortages, and business closures, among others. Any further exits from the EU, or the possibility of such exits, or the abandonment of the Euro, may cause additional market disruption globally and introduce new legal and regulatory uncertainties.

AI Technologies Developments Risk. Blackstone, the Fund, the Managers, Investment Funds, the issuers in which they invest, their service providers, and other market participants may utilize AI Technologies in business operations. It is possible that the information provided through use of AI Technologies could be insufficient, incomplete, inaccurate, or biased-leading to adverse effects for the Fund, including, potentially, operational errors and investment losses. Moreover, recent technological developments in, and the increasingly widespread use of, AI Technologies may pose risks to the Adviser, Sub‑Advisers, and the Fund. For instance, the economy may be significantly impacted by the advanced development and increased regulation of AI Technologies. As AI Technologies are used more widely, the profitability and growth of the Fund’s holdings may be impacted, which could significantly impact the overall performance of the Fund. The legal and regulatory frameworks within which AI Technologies operate continue to rapidly evolve, and it is not possible to predict the full extent of current or future risks related thereto.

Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Adviser”) is the Fund’s investment adviser with approximately $3.9 billion in assets under management as of March 31, 2025. BAIA, a registered investment adviser formed in 2013 and located at 345 Park Avenue, 15^th Floor, New York, New York 10154, is a member of the Blackstone Multi-Asset Investing, which has approximately $87.8 billion in assets under management as of March 31, 2025 and is an indirect wholly-owned subsidiary of Blackstone, a publicly traded corporation that has shares that trade on the New York Stock Exchange under the symbol “BX.”

For the fiscal year ended March 31, 2025, the Fund paid the Adviser an effective Management Fee of 1.90% of average net assets.

The Fund’s Form N‑CSR filings for the periods ended September 30, 2024 and March 31, 2025 each contain a discussion regarding the basis for the approval of the Fund’s investment advisory and sub‑advisory agreements by the Board of Trustees during the respective periods.

The portfolio managers of the Fund are members of the Adviser’s Investment Committee and have day‑to‑day management responsibilities for the Fund. Information regarding the portfolio managers is set forth below.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Adviser has voluntarily entered into an “Expense Limitation and Reimbursement Agreement” with the Fund to limit the amount of the Fund’s “Specified Expenses” (as described below) to an amount not to exceed 2.40% (for Class D, I, and Y Shares) and 2.55% (for Class R Shares) per annum of the Fund’s net assets (the “Expense Cap”) (computed and applied on a monthly basis). “Specified Expenses” is defined to include all expenses incurred in the business of 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 the Adviser). As of March 31, 2025, the Specified Expenses were 2.48% for Class D, 2.48% for Class I, and 2.37% for Class Y. The amount of specified expenses may vary from time to time. To the extent that Specified Expenses for the Fund for any month exceed the Expense Cap, BAIA will waive its fees and/or reimburse the Fund for expenses to the extent necessary to eliminate such excess. BAIA may discontinue its obligations under the Expense Limitation and Reimbursement Agreement at any time in its sole discretion after August 31, 2027 upon appropriate notice to the Fund. This arrangement cannot be terminated prior to August 31, 2027 without the Board of Trustees’ consent.

Upon the redemption or sale of your shares in the Fund, the Fund, if you purchase your shares directly from the Fund, or a financial intermediary, if you purchase your shares through a financial intermediary, generally will be required to provide you and the IRS with cost basis information. Please see the Fund’s website at www.bxmix.com or contact the Fund at 1‑855‑890‑7725, or consult your financial intermediary, as appropriate, for more information regarding available methods for cost basis reporting and how to select a particular method. All references to Blackstone’s website are intended to allow public access to information regarding the Fund and do not, and are not intended to, incorporate Blackstone’s website into this Prospectus. Please consult your tax advisor to determine which available cost basis method is best for you.

Each year, the Fund will notify you of the tax status of dividends and other distributions.

The Fund intends to gain exposure to commodities and commodity-related instruments in whole or in part through investments in commodity-linked notes and/or investments in the Cayman Subsidiary. The Fund intends to take the position that income from its investments in commodity-linked notes and in the Cayman Subsidiary will constitute “qualifying income” for purposes of RIC qualification. However, under current law, this result is uncertain. It is possible that the IRS will take the position that all or a portion of the Fund’s income from its investments in commodity-linked notes and/or the Cayman Subsidiary does not constitute qualifying income, including retroactively; if the IRS were successful in this position the Fund would likely not meet the 90% gross income requirement.

The Cayman Subsidiary is wholly owned by the Fund. A U.S. person, including the Fund, that owns (directly, indirectly or constructively) 10% or more of the total combined voting power of all classes of stock of a foreign corporation or 10% or more of the total value of shares of all classes of stock of a foreign corporation is a “U.S. Shareholder” for purposes of the controlled foreign corporation (“CFC”) provisions of the Code. A foreign corporation is a CFC if, on any day of its taxable year, more than 50% of the voting power or value of its stock is owned (directly, indirectly or constructively) by “U.S. Shareholders.” Because the Fund is a U.S. person that owns all of the stock of the Cayman Subsidiary, the Fund is a “U.S. Shareholder” with respect to the Cayman Subsidiary and the Cayman Subsidiary is a CFC. As a “U.S. Shareholder,” the Fund is required to include in gross income for U.S. federal income tax purposes for each taxable year all of the Cayman Subsidiary’s “subpart F income” (defined below) for the Cayman Subsidiary’s taxable year ending with or within the Fund’s taxable year, whether or not such income is distributed by the Cayman Subsidiary. Under Treasury regulations, “subpart F income” included in the Fund’s annual income for U.S. federal income purposes will constitute qualifying income to the extent it is either (i) timely and currently repatriated or (ii) derived with respect to the Fund’s business of investing in stock, securities or currencies. It is expected that all of the Cayman Subsidiary’s income will be “subpart F income.” “Subpart F income” generally includes interest, original issue discount, dividends, net gains from the disposition of stocks or securities, receipts with respect to securities loans, net gains from transactions (including futures, forward and similar transactions) in commodities, and net payments received with respect to equity swaps and similar derivatives. The Fund’s recognition of the Cayman Subsidiary’s “subpart F income” will increase the Fund’s tax basis in the shares of the Cayman Subsidiary. Distributions by the Cayman Subsidiary to the Fund will be tax‑free, to the extent of the Cayman Subsidiary’s previously undistributed “subpart F income,” and will correspondingly reduce the Fund’s tax basis in the shares of the Cayman Subsidiary. To the extent the Fund recognizes “subpart F income” in excess of actual cash distributions from the Cayman Subsidiary, if any, it may be required to sell assets (including when it is not advantageous to do so) to generate the cash necessary to distribute as dividends to its shareholders all of its income and gains and therefore to eliminate any tax liability at the Fund level. “Subpart F income” is generally treated as ordinary income, regardless of the character of the Cayman Subsidiary’s underlying income. Net losses incurred by the Cayman Subsidiary during a tax year do not flow through to the Fund and thus will not be available to offset income or capital gain generated from the Fund’s other investments. In addition, net losses incurred by the Cayman Subsidiary during a tax year generally cannot be carried forward by the Cayman Subsidiary to offset gains realized by it in subsequent tax years. Further, if a net loss is realized by an Investment Fund or other investment vehicle that is treated as a corporation for U.S. federal income tax purposes, such net loss generally is not available to offset the income earned from other sources by the Fund or Subsidiary that invests in such investment vehicle.

In addition, if any income earned by the Cayman Subsidiary or by an underlying investment vehicle in which the Cayman Subsidiary invests were ECI, such income would be subject to both a so‑called “branch profits tax” and a federal income tax at the rates applicable to U.S. corporations, at the level of the Cayman Subsidiary. If, for U.S. federal income tax purposes, the Cayman Subsidiary were to earn ECI in connection with its direct investment activities, or were deemed to earn ECI in respect of the activities of an underlying investment vehicle, a portion or all of the Cayman Subsidiary’s income would be subject to these U.S. taxes. The Fund expects that, in general, the activities of the Cayman Subsidiary will be conducted in such a manner that it (and the underlying investment vehicles in which it invests) will not be treated as engaged in a U.S. trade or business, but there can be no assurance that these entities will not recognize any ECI. The imposition of U.S. taxes on ECI, at either the Cayman Subsidiary level or the level of an underlying investment vehicle in which the Cayman Subsidiary invests, could significantly reduce shareholders’ returns on their investments in the Fund.

The financial highlights table is intended to help you understand the Fund’s financial performance for the past 5 years. Certain information reflects financial results for a single Fund share. The total returns in the table represent the rate that an investor would have earned or lost on an investment in the Fund (assuming reinvestment of all dividends and distributions). This information has been audited by Deloitte & Touche LLP, whose report, along with the Fund’s financial statements, is included in the Fund’s filing on Form N‑CSR for the fiscal year ended March 31, 2025, which is available free of charge upon request.