UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549


FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-23216


FS Series Trust

(Exact name of registrant as specified in charter)

201 Rouse Boulevard

Philadelphia, Pennsylvania

19112
(Address of principal executive offices) (Zip code)






Michael C. Forman

FS Series Trust

201 Rouse Boulevard

Philadelphia, Pennsylvania 19112

(Name and address of agent for service)






Registrant’s telephone number, including area code: (215) 495-1150



Date of fiscal year end: December 31



Date of reporting period: September 30, 2018













Item 1. Schedule of Investments.



FS Multi-Strategy Alternatives Fund (the “Fund”) is a series of FS Series Trust (the “Trust”), a Delaware statutory trust that is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, open-end management investment company. The Fund’s unaudited schedule of investments as of September 30, 2018 is set forth below:



2




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




Portfolio Company(a) Footnotes Industry Par(b) Cost Fair
Value(c)
Corporate Bonds—23.5%
Actuant Corp., 5.6%, 6/15/2022 Miscellaneous Manufacturing $ 350 $ 355 $ 356
AK Steel Corp., 7.5%, 7/15/2023 Iron/Steel 475 495 501
AMC Entertainment Holdings, Inc., 5.9%, 2/15/2022 Entertainment 500 509 505
Amkor Technology, Inc., 6.4%, 10/1/2022 Semiconductors 550 562 560
APX Group, Inc., 8.8%, 12/1/2020 Commercial Services 200 203 200
APX Group, Inc., 7.6%, 9/1/2023 Commercial Services 200 210 185
Beacon Roofing Supply, Inc., 6.4%, 10/1/2023 (d) Distribution/Wholesale 625 645 648
Bombardier, Inc., 8.8%, 12/1/2021 (e) Aerospace/Defense 550 606 608
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.1%, 7/1/2022 (e) Home Builders 200 201 201
Cablevision Systems Corp., 5.9%, 9/15/2022 Media Entertainment 375 376 383
Carlson Travel, Inc., 6.8%, 12/15/2023 (e) Leisure Time 200 199 201
Carrols Restaurant Group, Inc., 8.0%, 5/1/2022 Retail 125 130 130
CCO Holdings LLC / CCO Holdings Capital Corp., 5.1%, 2/15/2023 Media Entertainment 450 458 452
Century Communities, Inc., 6.9%, 5/15/2022 Home Builders 450 460 460
Chesapeake Energy Corp., 5.6%, 4/15/2019 Oil & Gas 378 378 379
Clear Channel Worldwide Holdings, Inc., 7.6%, 3/15/2020 Media Entertainment 358 361 360
Constellation Merger Sub, Inc., 8.5%, 9/15/2025 (e) Leisure Time 100 95 95
Core & Main LP, 6.1%, 8/15/2025 (e) Distribution/Wholesale 77 74 74
Covanta Holding Corp., 5.9%, 7/1/2025 Environmental Control 200 194 203
Covanta Holding Corp., 6.4%, 10/1/2022 Environmental Control 200 205 204
CyrusOne LP / CyrusOne Finance Corp., 5.4%, 3/15/2027 Real Estate Investment Trusts 450 451 461
Diamond Resorts International, Inc., 7.8%, 9/1/2023 (e) Lodging 350 365 360
DynCorp International, Inc., 11.9%, 11/30/2020 IT Services 400 416 417
Envision Healthcare Corp., 5.6%, 7/15/2022 (d) Healthcare-Services 563 571 579
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/2025 (e) Real Estate 300 306 302
GCI LLC, 6.8%, 6/1/2021 IT Services 245 248 248
Genesis Energy LP / Genesis Energy Finance Corp., 6.8%, 8/1/2022 Pipelines 275 282 281
Genesis Energy LP / Genesis Energy Finance Corp., 6.5%, 10/1/2025 Pipelines 200 194 195
GEO Group, Inc., 5.9%, 1/15/2022 Real Estate Investment Trusts 375 385 379
GEO Group, Inc., 6.0%, 4/15/2026 Real Estate Investment Trusts 375 367 361
GFL Environmental, Inc., 5.6%, 5/1/2022 (e) Environmental Control 350 339 340
HCA, Inc., 5.4%, 2/1/2025 Healthcare-Services 688 693 703
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.3%, 2/1/2022 Financial Services 350 360 360
Ingram Micro, Inc., 5.5%, 12/15/2024 Electronics 475 464 467
International Game Technology Plc, 6.5%, 2/15/2025 (e) Entertainment 200 209 208
Iron Mountain, Inc., 5.8%, 8/15/2024 Real Estate Investment Trusts 500 495 495
iStar, Inc., 4.6%, 9/15/2020 Real Estate Investment Trusts 400 399 400


See notes to unaudited consolidated schedule of investments.



3




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




Portfolio Company(a) Footnotes Industry Par(b) Cost Fair
Value(c)
KGA Escrow LLC, 7.5%, 8/15/2023 (e) Retail $ 200 $ 208 $ 208
Lamar Media Corp., 5.8%, 2/1/2026 Advertising 594 603 616
Level 3 Parent LLC, 5.8%, 12/1/2022 Telecommunications 688 693 696
LIN Television Corp., 5.9%, 11/15/2022 Media Entertainment 550 567 561
M/I Homes, Inc., 5.6%, 8/1/2025 Home Builders 400 391 376
M/I Homes, Inc., 6.8%, 1/15/2021 Home Builders 59 61 60
MPT Operating Partnership LP / MPT Finance Corp., 5.0%, 10/15/2027 Real Estate Investment Trusts 563 534 546
Navistar International Corp., 6.6%, 11/1/2025 (e) Auto Manufacturers 400 416 417
Nielsen Co. Luxembourg SARL, 5.5%, 10/1/2021 (e) Commercial Services 250 252 251
Pactiv LLC , 8.0%, 12/15/2025 (d) Packaging & Containers 255 287 274
Park Aerospace Holdings Ltd., 5.3%, 8/15/2022 (e) Trucking & Leasing 374 370 379
Rockpoint Gas Storage Canada Ltd., 7.0%, 3/31/2023 (e) Gas 200 199 203
Sprint Corp., 7.3%, 9/15/2021 Telecommunications 688 720 728
StandardAero Aviation Holdings, Inc., 10.0%, 7/15/2023 (e) Engineering & Construction 400 431 432
SUPERVALU, Inc., 7.8%, 11/15/2022 Food 142 147 148
TransDigm, Inc., 6.5%, 7/15/2024 Aerospace/Defense 530 542 544
TransDigm, Inc., 6.0%, 7/15/2022 Aerospace/Defense 200 201 204
Transocean Phoenix 2 Ltd., 7.8%, 10/15/2024 (e) Oil & Gas Services 255 270 270
Tribune Media Co., 5.9%, 7/15/2022 Media Entertainment 656 668 672
Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 8.3%, 10/15/2023 Real Estate Investment Trusts 188 188 182
USG Corp., 5.5%, 3/1/2025 (e) Construction Materials 200 206 205
Vector Group Ltd., 6.1%, 2/1/2025 (e) Agriculture 450 430 418
VFH Parent LLC / Orchestra Co-Issuer, Inc., 6.8%, 6/15/2022 (e) Diversified Financial Services 303 314 314
Vine Oil & GAS LP / FIN Co., 9.8%, 4/15/2023 (e) Exploration & Production 250 250 250
William Lyon Homes, Inc., 7.0%, 8/15/2022 (d) Home Builders 575 589 587
William Lyon Homes, Inc., 6.0%, 9/1/2023 Home Builders 250 246 242
Wyndham Destinations, Inc., 4.3%, 3/1/2022 Lodging 200 195 195
Total Corporate Bonds 23,238 23,239

Convertible Bonds—14.3%
Arbor Realty Trust, Inc., 5.3%, 7/1/2021 (e) Real Estate Investment Trusts $ 500 $ 512 $ 518
Ares Capital Corp., 4.4%, 1/15/2019 Investment Company Security 500 502 502
Atlassian, Inc., 0.6%, 5/1/2023 (e) Software 500 647 656
AXA SA, 7.3%, 5/15/2021 (e) Insurance 500 552 537
Blackstone Mortgage Trust, Inc., 4.8%, 3/15/2023 Real Estate Investment Trusts 500 497 500
Bristow Group, Inc., 4.5%, 6/1/2023 Oil & Gas Services 500 506 505
FireEye, Inc., 1.6%, 6/1/2035 Internet 500 460 460
Gannett Co., Inc., 4.8%, 4/15/2024 (e) Media Entertainment 250 252 262
Herbalife Nutrition Ltd., 2.6%, 3/15/2024 (e) Pharmaceuticals 500 538 537
IH Merger Sub LLC, 3.5%, 1/15/2022 Real Estate Investment Trusts 600 675 662
Invacare Corp., 5.0%, 2/15/2021 Healthcare-Products 500 582 543


See notes to unaudited consolidated schedule of investments.



4




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




Portfolio Company(a) Footnotes Industry Par(b) Cost Fair
Value(c)
Ligand Pharmaceuticals, Inc., 0.8%, 5/15/2023 (e) Biotechnology $ 1,000 $ 1,198 $ 1,220
Medicines Co., 2.5%, 1/15/2022 Biotechnology 500 581 539
MongoDB, Inc., 0.8%, 6/15/2024 (e) Software 500 497 664
Nuance Communications, Inc., 1.0%, 12/15/2035 Software 141 126 133
Okta, Inc., 0.3%, 2/15/2023 (e) Internet 500 769 775
Redwood Trust, Inc., 4.8%, 8/15/2023 Real Estate Investment Trusts 300 290 288
Silicon Laboratories, Inc., 1.4%, 3/1/2022 Semiconductors 500 579 573
Splunk, Inc., 1.1%, 9/15/2025 (e) Software 500 500 517
Tesla, Inc., 1.3%, 3/1/2021 Auto Manufacturers 1,000 970 959
Twilio, Inc., 0.3%, 6/1/2023 (e) Internet 500 668 675
Twitter, Inc., 1.0%, 9/15/2021 Internet 1,000 929 923
Veeco Instruments, Inc., 2.7%, 1/15/2023 Semiconductors 500 446 426
Wright Medical Group N.V., 2.3%, 11/15/2021 Healthcare-Products 500 695 723
Total Convertible Bonds 13,971 14,097


Portfolio Company(a) Footnotes Industry Number of
Shares Cost Fair
Value(c)
Common Stock—0.0%
ON Semiconductor Corp. (f) Semiconductors 600 $ 11 $ 11
Total Common Stock 11 11
Convertible Preferred Stock—1.0%
CenterPoint Energy, Inc., 7%, 09/01/2021 Electric 20,000 $ 1,005 $ 1,010
Total Convertible Preferred Stock 1,005 1,010


Portfolio Company(a) Footnotes Yield Number of
Shares Cost Fair
Value(c)
Short-Term Investments—48.0%
State Street Institutional Liquid Reserves Fund - Premier Class (g) 2.14 % 47,489,798 $ 47,494 $ 47,494
Total Short-Term Investments 47,494 47,494


Portfolio Company(a) Counterparty Footnotes Industry Contracts Cost Fair
Value(c)
Put Options Purchased—0.0%
Bristow Group, Inc., $7.5, 12/18/2018 Morgan Stanley (f) Oil & Gas Services 8 $ 2 $ 2
Redwood Trust, Inc., $12.5, 10/19/2018 Morgan Stanley (f) Real Estate Investment Trusts 3 1 —
Wright Medical Group NV, $17.5, 11/16/2018 Morgan Stanley (f) Healthcare-Products 2 — —
Total Put Options Purchased 3 2
TOTAL INVESTMENTS—86.8% $ 85,722 $ 85,853
Other Assets in Excess of Liabilities—13.2% 12,990
Net Assets—100.0% $ 98,843


See notes to unaudited consolidated schedule of investments.



5




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




Investments Sold Short



Portfolio Company(a) Footnotes Industry Par(b) Cost Fair
Value(c)
Corporate Bonds Sold Short—(0.2)%
AMC Entertainment Holdings, Inc., 5.9%, 11/15/2026 Entertainment $ (100 ) $ (98 ) $ (96 )
CF Industries, Inc., 3.5%, 6/1/2023 Chemicals (73 ) (72 ) (70 )
Total Corporate Bonds Sold Short (170 ) (166 )


Portfolio Company(a) Footnotes Industry Number of
Shares(b) Cost Fair
Value(c)
Common Stock Sold Short—(7.6)%
Arbor Realty Trust, Inc. Real Estate Investment Trusts 22,100 $ (252 ) $ (254 )
Atlassian Corp. Plc Software 4,700 (446 ) (452 )
AXA Equitable Holdings, Inc. Insurance 18,500 (412 ) (397 )
Blackstone Mortgage Trust, Inc. Real Estate Investment Trusts 4,500 (150 ) (151 )
Bristow Group, Inc. Oil & Gas Services 25,600 (309 ) (311 )
CenterPoint Energy, Inc. Electric 23,200 (637 ) (641 )
Gannett Co., Inc. Media Entertainment 12,200 (119 ) (122 )
Herbalife Nutrition Ltd. Pharmaceuticals 5,600 (309 ) (305 )
Invacare Corp. Healthcare-Products 21,000 (349 ) (305 )
Invitation Homes, Inc. Real Estate Investment Trusts 17,100 (404 ) (392 )
Ligand Pharmaceuticals, Inc. Biotechnology 2,950 (789 ) (810 )
Medicines Co. Biotechnology 9,600 (328 ) (287 )
MongoDB, Inc. Software 5,650 (311 ) (461 )
Nuance Communications, Inc. Software 1,547 (22 ) (27 )
Okta, Inc. Internet 9,100 (636 ) (640 )
RedwoodTrust, Inc. Real Estate Investment Trusts 5,700 (94 ) (93 )
Silicon Laboratories, Inc. Semiconductors 3,800 (356 ) (349 )
Splunk, Inc. Software 2,200 (257 ) (266 )
Tesla, Inc. Auto Manufacturers 830 (224 ) (220 )
Twilio, Inc. Internet 5,600 (476 ) (483 )
Veeco Instruments, Inc. Semiconductors 3,429 (50 ) (35 )
Wright Medical Group N.V. Healthcare-Products 19,000 (525 ) (551 )
Total Common Stock Sold Short (7,455 ) (7,552 )
Total Investments Sold Short (7,625 ) (7,718 )


Counterparty Fund Pays Fund Receives Notional
Amount Expiration
Date Periodic
Payment
Frequency Premium
Paid
(Received) Fair
Value(c) Unrealized
Appreciation Unrealized
Depreciation
Total Return Equity Swaps(h)—0.0%
Deutsche Bank Nice Ltd. F - 0.4% USD 453 10/6/2018 Monthly $ — $ 7 $ 7 $ —
Deutsche Bank Veeco Instruments, Inc. LIBOR - 0.4% USD 15 12/7/2018 Monthly — — — —
Deutsche Bank ON Semiconductor Corp. LIBOR - 0.4% USD 219 5/16/2019 Monthly — 7 7 —
Deutsche Bank Redwood Trust, Inc. LIBOR - 0.4% USD 84 6/12/2019 Monthly — 1 1 —
Deutsche Bank Silicon Laboratories, Inc. LIBOR - 0.4% USD 228 6/12/2019 Monthly — 3 3 —
Total Total Return Equity Swaps $ — $ 18 $ 18 $ —


See notes to unaudited consolidated schedule of investments.



6




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




Counterparty Fund Pays Fund Receives Notional
Amount Expiration
Date Periodic
Payment
Frequency Premium
Paid
(Received) Fair
Value(c) Unrealized
Appreciation Unrealized
Depreciation
Total Return Debt Swaps(h)—0.0%
Deutsche Bank LIBOR + 0.9% Redwood Trust, Inc., 4.8%, 8/15/2023 USD 266 6/12/2019 Monthly $ — $ (2 ) $ — $ 2
Deutsche Bank LIBOR + 0.9% Veeco Instruments, Inc., 2.7%, 01/15/2023 USD 170 12/7/2018 Monthly 5 (2 ) — 7
Deutsche Bank LIBOR + 0.9% Silicon Laboratories, Inc., 1.4%, 3/1/2022 USD 375 6/12/2019 Monthly (2 ) (6 ) — 4
Deutsche Bank LIBOR + 0.9% Nice Ltd., 1.3%, 1/15/2024 USD 557 1/18/2019 Monthly (17 ) (11 ) 6 —
Deutsche Bank LIBOR + 0.9% ON Semiconductor Corp., 1.0%, 12/1/2020 USD 360 5/16/2019 Monthly (3 ) (13 ) — 10
Total Total Return Debt Swaps $ (17 ) $ (34 ) $ 6 $ 23


See notes to unaudited consolidated schedule of investments.



7




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




Counterparty Fund Pays Fund Receives Notional
Amount Expiration
Date Periodic
Payment
Frequency Premium
Paid
(Received) Fair
Value(c) Unrealized
Appreciation Unrealized
Depreciation
Total Return Index Swaps(h)—(0.4)%
Barclays Bank PLC Fixed rate of 0.68% Total return on Barclays Trendstar+ Alt Roll 2 Index(i) USD 5,800 5/31/2019 Quarterly $ — $ (25 ) $ — $ 25
Barclays Bank PLC Fixed rate of 0.10% Total return on Barclays Cross Asset Trend Index– Bond Index(j) USD 4,350 5/31/2019 Quarterly — (41 ) — 41
Barclays Bank PLC Fixed rate of 0.25% Total return on Barclays Cross Asset Trend Index – Developed FX Index(k) USD 1,740 5/31/2019 Quarterly — (28 ) — 28
Barclays Bank PLC Fixed rate of 0.25% Total return on Barclays Cross Asset Trend Index - Equity Index(l) USD 4,350 5/31/2019 Quarterly — (1 ) — 1
Barclays Bank PLC Fixed rate of 0.15% Total return on Barclays Cross Asset Trend Index –Money Market(m) USD 4,350 5/31/2019 Quarterly — (29 ) — 29
Barclays Bank PLC Fixed rate of 0.25% Total return on Barclays Cross Asset Trend Index – EM FX Index(n) USD 2,610 5/31/2019 Quarterly — (25 ) — 25
Deutsche Bank Total return on Deutsche Bank S&P 500 Mean Reversion Index(o) USD 2,432 5/31/2019 Monthly — 1 1 —
Deutsche Bank Total return on Deutsche Bank EU Fixed Income Long Vol Composite Index(p) EUR 4,160 5/31/2019 Quarterly 7 (36 ) — 43
Deutsche Bank Total return on Deutsche Bank US Fixed Income Long Vol Composite Index(q) USD 4,778 5/31/2019 Quarterly 18 (34 ) — 52
Goldman Sachs International Fixed rate of 0.45% Total return on Goldman Sachs FX Multi Factor(r) USD 3,295 5/31/2019 Monthly — — 0 —


See notes to unaudited consolidated schedule of investments.



8




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




Counterparty Fund Pays Fund Receives Notional
Amount Expiration
Date Periodic
Payment
Frequency Premium
Paid
(Received) Fair
Value(c) Unrealized
Appreciation Unrealized
Depreciation
Goldman Sachs International Fixed rate of 0.40% GS RP Equity World Long Short Series 88 Excess Return Strategy(s) USD 8,479 5/31/2019 Quarterly $ — $ (248 ) $ — $ 248
Goldman Sachs International Fixed rate of 0.15% Total Return on Goldman Sachs Cross Asset Trend Risk Parity(t) USD 5,847 5/31/2019 Quarterly — (130 ) — 130
JP Morgan Chase Bank, N.A. Fixed rate of 0.25% Total return on J. P. Morgan Government Bond Carry to–Risk Index(u) USD 34,750 5/31/2019 Quarterly — (133 ) — 133
JP Morgan Chase Bank, N.A. Fixed rate of 1.40% Total Return on JPM Commodity Carry Pairs Capped(v) USD 4,800 5/31/2019 Quarterly — — — —
JP Morgan Chase Bank, N.A. Fixed rate of 0.70% Total Return on JPM Commodity Curve(w) USD 10,800 5/31/2019 Quarterly — (93 ) — 93
JP Morgan Chase Bank, N.A. Total return on J.P. Morgan Equity Risk Premium – Global Balanced Multi-Factor Index(x) USD 7,248 5/31/2019 Monthly — — — —
JP Morgan Chase Bank, N.A. Fixed rate of 0.20% Total return on JPM US Conviction Mean Reversion Index(y) USD 2,992 5/31/2019 Monthly — — — —
JP Morgan Chase Bank, N.A. Total return on IBOXX USD Liquid High Yield Index Series 1 Version 1 3 Month Libor USD 1,500 12/20/2018 Quarterly — (15 ) — 15
JP Morgan Chase Bank, N.A. Total return on IBOXX USD Liquid High Yield Index Series 1 Version 1 3 Month Libor USD 1,500 3/20/2019 Quarterly — (6 ) — 6
Morgan Stanley Capital Services LLC Fixed rate of 0.40% Total return on Morgan Stanley Equity Risk Premia Multi-Factor Index(z) USD 5,951 5/31/2019 Quarterly — (144 ) — 144
Morgan Stanley Capital Services LLC Fixed rate of 0.50% Total return on Morgan Stanley eVol Hedge Index(aa) USD 2,400 7/26/2019 Quarterly — — — 0


See notes to unaudited consolidated schedule of investments.



9




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




Counterparty Fund Pays Fund Receives Notional
Amount Expiration
Date Periodic
Payment
Frequency Premium
Paid
(Received) Fair
Value(c) Unrealized
Appreciation Unrealized
Depreciation
Morgan Stanley Capital Services LLC Total return on Morgan Stanley Equity Growth Factor Index(bb) F + 0.15% USD 27,510 7/30/2019 Quarterly $ — $ (34 ) $ — $ 34
Morgan Stanley Capital Services LLC F + 0.30% Total return on Morgan Stanley Equity Value Factor Index(cc) USD 36,983 7/30/2019 — 612 612 —
Societe Generale Fixed rate of 0.15% Total return on SGI US Delta Capped Mean Reversion Index(dd) USD 2,000 5/31/2019 Quarterly — 21 21 —
Total Total Return Index Swaps $ 25 $ (388 ) $ 634 $ 1,047
Total $ 8 $ (404 ) $ 658 $ 1,070



(a) Security may be an obligation of one or more entities affiliated with the named company.


(b) Denominated in U.S. dollars unless otherwise noted.


(c) Fair value as of September 30, 2018 is determined by the board of trustees of FS Series Trust (the “Trust”).


(d) All or portion of security is pledged as collateral for short sales. Total market value of securities pledged as collateral on short sales amounts to $2,088, which represents approximately 2.1% of net assets as of September 30, 2018.


(e) Exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $12,097, which represents approximately 12.0% of net assets as of September 30, 2018.


(f) Non-income producing security.


(g) Rate represents the seven-day yield as of September 30, 2018.


(h) The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount.


(i) Aims to extract excess return from steepening/flattening trends in the USD swap curve. Designed to perform in both steepening/flattening environments.


Top Underlying Components Notional Percentage
of Notional
Cash
US Dollar 19,775 342.43 %
Future
90DAY EURO$ FUTURE Dec18 (19,775 ) (342.43 )%
Swap
Invt Swap Ind USD 2 YR TRI (25,550 ) (442.43 )%
Invt Swap Ind USD 10 YR TRI 5,775 100.00 %


See notes to unaudited consolidated schedule of investments.



10




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(j) Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.


Top Underlying Components Notional Percentage
of Notional
Futures
EURO-SCHATZ FUTURE Dec18 (4,309 ) (100.00 )%
US 2YR NOTE (CBT) FUTURE Dec18 (4,309 ) (100.00 )%
EURO-BOBL FUTURE Dec18 (1,658 ) (38.48 )%
LONG GILT FUTURE Dec18 (1,077 ) (25.00 )%


(k) Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.


Top Underlying Components Notional Percentage
of Notional
Futures
USD/CHF CURRENCY FUTURE DEC 18 515 30.07 %
USD/JPY CURRENCY FUTURE DEC 18 (461 ) (26.91 )%
AUD/USD CURRENCY FUTURE DEC 18 (318 ) (18.55 )%


(l) Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.


Top Underlying Components Notional Percentage
of Notional
Cash
US Dollar 4,349 100.00 %
Futures
S&P 500 FUTURE Dec18 835 19.20 %
NASDAQ 100 E-MINI Dec18 509 11.71 %
FTSE 100 IDX FUTURE Dec18 (501 ) (11.53 )%
NIKKEI 225 (OSE) Dec18 501 11.52 %
HANG SENG IDX FUTURE Oct18 (390 ) (8.97 )%


See notes to unaudited consolidated schedule of investments.



11




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(m) Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.


Top Underlying Components Notional Percentage
of Notional
Futures
3MO EURO EURIBOR FUTURE Mar20 (6,481 ) (150.00 )%
3MO EURO EURIBOR FUTURE Jun20 (6,481 ) (150.00 )%
3MO EURO EURIBOR FUTURE Sep20 (6,481 ) (150.00 )%
3MO EURO EURIBOR FUTURE Dec20 (6,481 ) (150.00 )%
90DAY STERLING FUTURE Mar20 (3,241 ) (75.00 )%
90DAY STERLING FUTURE Jun20 (3,241 ) (75.00 )%
90DAY STERLING FUTURE Sep20 (3,241 ) (75.00 )%
90DAY STERLING FUTURE Dec20 (3,241 ) (75.00 )%


(n) Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.


Top Underlying Components Notional Percentage
of Notional
Futures
USD/PHP CURRENCY FUTURE OCT 18 (935 ) (36.17 )%
USD/TWD CURRENCY FUTURE OCT 18 (757 ) (29.28 )%
USD/SGD CURRENCY FUTURE NOV 18 (645 ) (24.95 )%
USD/INR CURRENCY FUTURE OCT 18 (582 ) (22.51 )%
USD/KRW CURRENCY FUTURE DEC 18 (471 ) (18.24 )%
USD/IDR CURRENCY FUTURE NOV 18 (368 ) (14.23 )%
USD/HUF CURRENCY FUTURE DEC 18 (296 ) (11.44 )%
USD/RUB CURRENCY FUTURE DEC 18 (232 ) (8.96 )%
USD/MXN CURRENCY FUTURE DEC 18 227 8.79 %
USD/BRL CURRENCY FUTURE NOV 18 (174 ) (6.72 )%
USD/ZAR CURRENCY FUTURE DEC 18 (156 ) (6.05 )%
USD/TRY CURRENCY FUTURE OCT 18 (73 ) (2.83 )%


(o) Seeks to monetize the tendency for the equity market to mean revert over short periods of time.


Top Underlying Components Notional Percentage
of Notional
Index
S&P 500 Total Return Index (122 ) (5.00 )%


(p) Seeks to take advantage of the structural imbalance in supply and demand in rates space by owning a long volatility position with positive carry.


Top Underlying Components Notional Percentage
of Notional
Swaps
EURO 10YR/20YR SWAPTION € 6,518 157.88 %
EURO 10YR/20YR SWAP € (2,333 ) (56.51 )%


See notes to unaudited consolidated schedule of investments.



12




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(q) Seeks to take advantage of the structural imbalance in supply and demand in rates space by owning a long volatility position with positive carry.


Top Underlying Components Notional Percentage
of Notional
Swaps
US DOLLAR 10YR/20YR SWAPTION 9,811 206.84 %
US DOLLAR 10YR/20YR SWAP (2,334 ) (49.20 )%


(r) Seeks to buy currencies with higher interest rates and sell currencies with lower interest rates (i.e. ""Carry"") and monetize the tendency for foreign exchange rates to revert to fair value in the long run (i.e. ""Value"").


Top Underlying Components Notional Percentage
of Notional
Forwards
EUR/USD 1MO FORWARD (1,280 ) (38.84 )%
USD/TRY 1MO FORWARD 1,134 34.40 %
USD/CHF 1MO FORWARD (1,120 ) (34.00 )%
USD/MXN 1MO FORWARD 990 30.04 %
USD/ZAR 1MO FORWARD 851 25.83 %
USD/KRW 1MO FORWARD (703 ) (21.33 )%
USD/NOK 1MO FORWARD 702 21.31 %
USD/SGD 1MO FORWARD (695 ) (21.09 )%
USD/IDR 1MO FORWARD 691 20.97 %
USD/INR 1MO FORWARD 657 19.93 %
USD/HUF 1MO FORWARD (656 ) (19.91 )%
USD/TWD 1MO FORWARD (645 ) (19.58 )%
USD/ILS 1MO FORWARD (636 ) (19.30 )%
USD/PHP 1MO FORWARD 546 16.57 %
USD/SEK 1MO FORWARD 432 13.11 %
NZD/USD 1MO FORWARD (279 ) (8.45 )%
USD/JPY 1MO FORWARD (203 ) (6.16 )%
USD/BRL 1MO FORWARD 198 6.00 %
USD/CNH 1MO FORWARD 98 2.98 %
USD/CLP 1MO FORWARD 46 1.39 %
USD/RUB 1MO FORWARD 20 0.62 %
GBP/USD 1MO FORWARD (2 ) (0.06 )%
USD/PLN 1MO FORWARD 0 0.00 %
USD/CAD 1MO FORWARD 0 0.00 %
AUD/USD 1MO FORWARD 0 0.00 %


See notes to unaudited consolidated schedule of investments.



13




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(s) Provides exposure with a long position in the GS EFI Index and a short beta adjusted position in MSCI World Index. Geared towards optimal exposure to global equities exhibiting favorable factors of low beta, value, quality, momentum, and size.


Top Underlying Components Shares Notional Percentage
of Notional
Common Stock
Microsoft Corp (2,796 ) (320 ) (3.88 )%
Amazon.com Inc (157 ) (314 ) (3.82 )%
Apple Inc (1,374 ) (310 ) (3.77 )%
HollyFrontier Corp 4,256 298 3.61 %
Host Hotels & Resorts Inc 14,039 296 3.60 %
Micron Technology Inc 6,496 294 3.57 %
Ross Stores Inc 2,946 292 3.55 %
Progressive Corp/The 4,108 292 3.55 %
JPMorgan Chase & Co (2,582 ) (291 ) (3.54 )%
Eaton Corp PLC 3,341 290 3.52 %
Centene Corp 1,996 289 3.51 %
Fifth Third Bancorp 10,229 286 3.47 %
Citizens Financial Group Inc 7,385 285 3.46 %
Alphabet Inc (238 ) (284 ) (3.45 )%
WW Grainger Inc 790 282 3.43 %
Johnson & Johnson (2,034 ) (281 ) (3.41 )%
Humana Inc 823 279 3.38 %
Regions Financial Corp 15,151 278 3.38 %
Exelon Corp 6,342 277 3.36 %
Michael Kors Holdings Ltd 4,024 276 3.35 %
Intuit Inc 1,213 276 3.35 %
Alphabet Inc (226 ) (273 ) (3.32 )%
Exxon Mobil Corp (3,211 ) (273 ) (3.32 )%
Phillips 66 2,418 273 3.31 %
Marathon Petroleum Corp 3,408 273 3.31 %
BNP Paribas SA 4,444 272 3.30 %
T Rowe Price Group Inc 2,481 271 3.29 %
Valero Energy Corp 2,373 270 3.28 %
Fastenal Co 4,637 269 3.27 %
LyondellBasell Industries NV 2,615 268 3.26 %
F5 Networks Inc 1,237 247 3.00 %
Akamai Technologies Inc 3,362 246 2.99 %
Align Technology Inc 621 243 2.95 %
Archer-Daniels-Midland Co 4,804 241 2.93 %
CA Inc 5,409 239 2.90 %
Aflac Inc 4,974 234 2.84 %
Public Service Enterprise Grou 4,348 230 2.79 %
Accenture PLC 1,348 229 2.79 %
Kohl's Corp 3,056 228 2.77 %
Estee Lauder Cos Inc/The 1,563 227 2.76 %
Monster Beverage Corp 3,866 225 2.74 %
Anthem Inc 821 225 2.73 %
Astellas Pharma Inc 12,715 222 2.69 %
L'Oreal SA 919 221 2.69 %
Discovery Inc 6,836 219 2.66 %
Bank of America Corp (7,304 ) (215 ) (2.61 )%
Tyson Foods Inc 3,609 215 2.61 %
Deutsche Lufthansa AG 8,732 214 2.60 %
Zoetis Inc 2,324 213 2.59 %
Koninklijke Ahold Delhaize NV 9,211 211 2.56 %


See notes to unaudited consolidated schedule of investments.



14




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(t) Futures-based liquid and fully transparent strategy that is composed of four Goldman Sachs' proprietary strategies across four asset classes - FX Trend, Rates & Bonds Trend, Equity Trend, and Commodity trend.


Top Underlying Components Notional Percentage
of Notional
Futures
US 2YR NOTE (CBT) Dec18 (7,238 ) (126.60 )%
3MO EURO EURIBOR Dec19 5,422 94.84 %
3MO EURO EURIBOR Mar20 5,418 94.77 %
90DAY STERLING FUTURE Mar19 5,376 94.03 %
90DAY EURO$ FUTURE Mar19 (5,266 ) (92.11 )%
90DAY EURO$ FUTURE Jun19 (5,258 ) (91.97 )%
90DAY EURO$ FUTURE Mar20 (5,252 ) (91.87 )%
90DAY EURO$ FUTURE Dec19 (5,252 ) (91.87 )%
3MO EURO EURIBOR Jun19 4,972 86.97 %
3MO EURO EURIBOR Mar19 4,450 77.83 %
90DAY STERLING FUTURE Jun19 2,912 50.93 %
90DAY STERLING FUTURE Dec19 (2,907 ) (50.85 )%
90DAY STERLING FUTURE Mar20 (2,906 ) (50.83 )%
US 5YR NOTE (CBT) Dec18 (2,873 ) (50.25 )%
EURO-BOBL FUTURE Dec18 1,826 31.93 %
JPN 10Y BOND(OSE) Dec18 (1,531 ) (26.78 )%
US 10YR NOTE (CBT)Dec18 (1,438 ) (25.16 )%
USD/PHP CURRENCY FUTURE OCT 18 (1,114 ) (19.48 )%
EURO-BUND FUTURE Dec18 1,045 18.27 %
USD/TWD CURRENCY FUTURE OCT 18 (995 ) (17.41 )%
USD/SGD CURRENCY FUTURE NOV 18 (806 ) (14.09 )%
US LONG BOND(CBT) Dec18 (722 ) (12.62 )%
EURO-SCHATZ FUTURE Dec18 (651 ) (11.39 )%
USD/ILS CURRENCY FUTURE DEC 18 (618 ) (10.81 )%
USD/JPY CURRENCY FUTURE DEC 18 (558 ) (9.75 )%
USD/INR CURRENCY FUTURE OCT 18 (545 ) (9.53 )%
USD/KRW CURRENCY FUTURE DEC 18 (521 ) (9.12 )%
S&P500 EMINI FUTURE Dec18 500 8.74 %
SPI 200 FUTURE Oct18 500 8.74 %
USD/IDR CURRENCY FUTURE NOV 18 (498 ) (8.71 )%
S&P/TSX 60 IX FUTURE Dec18 496 8.67 %
USD/CNH CURRENCY FUTURE DEC 18 (474 ) (8.29 )%
USD/CAD CURRENCY FUTURE DEC 18 (451 ) (7.90 )%
EUR/USD CURRENCY FUTURE DEC 18 (451 ) (7.90 )%
SWISS MKT IX FUTURE Dec18 447 7.82 %
OMXS30 IND FUTURE Oct18 438 7.66 %
E-Mini Russ 2000 Dec18 427 7.47 %
GBP/USD CURRENCY FUTURE DEC 18 (425 ) (7.43 )%
IBEX 35 INDX FUTURE Oct18 (420 ) (7.34 )%
KOSPI2 INX FUTURE Dec18 (416 ) (7.28 )%
CAC40 10 EURO FUTURE Oct18 414 7.24 %
AUD/USD CURRENCY FUTURE DEC 18 (398 ) (6.97 )%
USD/NOK CURRENCY FUTURE DEC 18 (398 ) (6.97 )%
LONG GILT FUTURE Dec18 393 6.87 %
USD/CZK CURRENCY FUTURE DEC 18 (382 ) (6.69 )%
NASDAQ 100 E-MINI Dec18 377 6.60 %
NZD/USD CURRENCY FUTURE DEC 18 (372 ) (6.50 )%
DAX INDEX FUTURE Dec18 (360 ) (6.29 )%
SET50 FUTURE Dec18 322 5.63 %
USD/SEK CURRENCY FUTURE DEC 18 (319 ) (5.57 )%


See notes to unaudited consolidated schedule of investments.



15




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(u) Seeks to deliver enhanced returns by allocating exposure to assets from a set of government bond futures by computing the ratio of implied carry to three-month realized volatility, allocating evenly weighted risk exposure to all assets with a ratio above the set threshold.


Top Underlying Components Notional Percentage
of Notional
Futures
JPN 10Y BOND(OSE) Dec18 19,736 57.01 %
US 2YR NOTE (CBT) Dec18 19,736 57.01 %
EURO-SCHATZ FUTURE Dec18 19,735 57.01 %
US 5YR NOTE (CBT) Dec18 7,401 21.38 %
US 10YR NOTE (CBT)Dec18 3,701 10.69 %
EURO-BUND FUTURE Dec18 3,700 10.69 %


(v) Seeks to take advantage of the convexity that exists within commodity term structures by going long deferred futures contracts and short nearby futures contracts within the same commodity.


Top Underlying Components Notional Percentage
of Notional
Futures
BRENT CRUDE FUTURE Mar19 997 20.77 %
NY Harb ULSD FUTURE Feb19 (995 ) (20.73 )%
SUGAR #11 (WORLD) Mar19 (977 ) (20.36 )%
BRENT CRUDE FUTURE Dec18 956 19.92 %
NY Harb ULSD FUTURE Nov18 (953 ) (19.84 )%
LME COPPER FUTURE Nov18 881 18.36 %
COPPER FUTURE Dec18 (881 ) (18.35 )%
COPPER FUTURE Mar19 (717 ) (14.94 )%
LME COPPER FUTURE Feb19 717 14.93 %
SILVER FUTURE Dec18 (565 ) (11.78 )%
GOLD 100 OZ FUTURE Dec18 549 11.44 %
WHITE SUGAR (ICE) Mar19 527 10.99 %
WTI CRUDE FUTURE Feb19 517 10.76 %
LIVE CATTLE FUTURE Feb19 (485 ) (10.10 )%
LIVE CATTLE FUTURE Dec18 (484 ) (10.09 )%
CATTLE FEEDER FUTURE Mar19 484 10.08 %
CATTLE FEEDER FUTURE Nov18 483 10.06 %
SILVER FUTURE Mar19 (463 ) (9.64 )%
WTI CRUDE FUTURE Nov18 456 9.49 %
GASOLINE RBOB FUTURE Nov18 (455 ) (9.49 )%
GASOLINE RBOB FUTURE Feb19 (452 ) (9.42 )%
WHITE SUGAR (ICE) Dec18 450 9.37 %
GOLD 100 OZ FUTURE Feb19 449 9.36 %
SOYBEAN FUTURE Mar19 (364 ) (7.58 )%
SOYBEAN FUTURE Nov18 (363 ) (7.57 )%
SOYBEAN MEAL FUTURE Dec18 361 7.52 %
SOYBEAN MEAL FUTURE Mar19 360 7.50 %
RED WHEAT FUTURE MGE Dec18 354 7.37 %
KC HRW WHEAT FUTURE Dec18 (352 ) (7.34 )%
RED WHEAT FUTURE MGE Mar19 316 6.59 %
KC HRW WHEAT FUTURE Mar19 (316 ) (6.57 )%
Low Su Gasoil G Feb19 (65 ) (1.36 )%


See notes to unaudited consolidated schedule of investments.



16




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(w) Seeks to go long commodities with the most downward sloping term structures and short commodities with the most upward sloping term structures to monetize the relative roll-yields that exists across different commodities.


Top Underlying Components Notional Percentage
of Notional
Futures
BRENT CRUDE FUTURE Dec18 2,124 19.83 %
BRENT CRUDE FUTURE Jan19 (2,017 ) (18.84 )%
NATURAL GAS FUTURE Nov18 (1,897 ) (17.71 )%
NATURAL GAS FUTURE Apr19 1,696 15.84 %
COPPER FUTURE Mar19 1,354 12.65 %
CORN FUTURE Dec18 (1,344 ) (12.55 )%
COPPER FUTURE Dec18 (1,343 ) (12.54 )%
CORN FUTURE Jul19 1,300 12.14 %
SOYBEAN FUTURE Jul19 1,201 11.22 %
SOYBEAN FUTURE Nov18 (1,121 ) (10.47 )%
LIVE CATTLE FUTURE Dec18 (928 ) (8.67 )%
NY Harb ULSD FUTURE Mar19 922 8.61 %
LME PRI ALUM FUTURE Nov18 (915 ) (8.55 )%
NY Harb ULSD FUTURE Nov18 (910 ) (8.50 )%
LME PRI ALUM FUTURE Jan19 901 8.41 %
SOYBEAN MEAL FUTURE Jul19 643 6.00 %
SOYBEAN MEAL FUTURE Dec18 (629 ) (5.88 )%
LME NICKEL FUTURE Dec18 610 5.70 %
LME NICKEL FUTURE Nov18 (598 ) (5.59 )%
LME ZINC FUTURE Dec18 543 5.08 %
LME ZINC FUTURE Nov18 (527 ) (4.92 )%
SOYBEAN OIL FUTURE Jul19 523 4.88 %
SOYBEAN OIL FUTURE Dec18 (510 ) (4.76 )%
LIVE CATTLE FUTURE Feb19 473 4.42 %
WHEAT FUTURE(CBT) Dec18 (452 ) (4.22 )%
COFFEE 'C' FUTURE Dec18 (449 ) (4.19 )%
COFFEE 'C' FUTURE May19 447 4.17 %
WHEAT FUTURE(CBT) Dec19 383 3.58 %
LEAN HOGS FUTURE Dec18 (364 ) (3.40 )%
LIVE CATTLE FUTURE Apr19 346 3.23 %
COTTON NO.2 FUTURE Mar19 329 3.07 %
COTTON NO.2 FUTURE Dec18 (307 ) (2.87 )%
LEAN HOGS FUTURE Feb19 192 1.79 %
KC HRW WHEAT FUTURE Dec18 (181 ) (1.69 )%
KC HRW WHEAT FUTURE Dec19 152 1.42 %
LEAN HOGS FUTURE Apr19 142 1.33 %
LIVE CATTLE FUTURE Jun19 133 1.24 %
LEAN HOGS FUTURE Jun19 65 0.60 %
GOLD 100 OZ FUTURE Dec18 (29 ) (0.27 )%
SUGAR #11 (WORLD) Mar19 26 0.25 %
SILVER FUTURE Dec18 5 0.05 %
WTI CRUDE FUTURE Nov18 5 0.05 %
GASOLINE RBOB FUTURE Nov18 4 0.04 %


See notes to unaudited consolidated schedule of investments.



17




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(x) Market neutral strategy that seeks to provide exposure to 5 well-known and researched equity risk premia: Low Beta, Size, Value, Momentum and Quality.


Top Underlying Components Shares Notional Percentage
of Notional
Common Stock
ABIOMED Inc 197 88 1.22 %
Alexion Pharmaceuticals Inc (626 ) (87 ) (1.20 )%
thyssenkrupp AG (3,321 ) (84 ) (1.16 )%
Shopify Inc (500 ) (82 ) (1.13 )%
SES SA (3,738 ) (82 ) (1.13 )%
Concho Resources Inc (536 ) (82 ) (1.13 )%
Glencore PLC (189 ) (82 ) (1.13 )%
Komatsu Ltd (2,686 ) (82 ) (1.13 )%
John Wood Group PLC (80 ) (81 ) (1.11 )%
Yakult Honsha Co Ltd (984 ) (81 ) (1.11 )%
Konica Minolta Inc 7,583 81 1.11 %
Under Armour Inc (3,794 ) (81 ) (1.11 )%
Activision Blizzard Inc (966 ) (80 ) (1.11 )%
Daifuku Co Ltd (1,578 ) (80 ) (1.11 )%
AIA Group Ltd (8,994 ) (80 ) (1.11 )%
Marubeni Corp 8,773 80 1.11 %
Vistra Energy Corp 3,225 80 1.11 %
Vertex Pharmaceuticals Inc (414 ) (80 ) (1.10 )%
Encana Corp (6,076 ) (80 ) (1.10 )%
Parsley Energy Inc (2,720 ) (80 ) (1.10 )%
SoftBank Group Corp (788 ) (80 ) (1.10 )%
Ono Pharmaceutical Co Ltd (2,810 ) (79 ) (1.10 )%
Under Armour Inc (4,077 ) (79 ) (1.09 )%
Juniper Networks Inc 2,645 79 1.09 %
Apache Corp (1,661 ) (79 ) (1.09 )%
Porsche Automobil Holding SE 1,175 79 1.09 %
Symantec Corp (3,712 ) (79 ) (1.09 )%
Baker Hughes a GE Co (2,334 ) (79 ) (1.09 )%
Alkermes PLC (1,856 ) (79 ) (1.09 )%
Netflix Inc (210 ) (79 ) (1.09 )%
ConocoPhillips 1,017 79 1.09 %
Kakaku.com Inc 4,020 79 1.08 %
Keyence Corp (135 ) (78 ) (1.08 )%
TechnipFMC PLC (2,511 ) (78 ) (1.08 )%
Sprint Corp (11,992 ) (78 ) (1.08 )%
Mitsui & Co Ltd 4,412 78 1.08 %
Cooper Cos Inc/The 283 78 1.08 %
Oracle Corp (1,517 ) (78 ) (1.08 )%
Occidental Petroleum Corp 952 78 1.08 %
Reckitt Benckiser Group PLC (9 ) (78 ) (1.08 )%
Nintendo Co Ltd (214 ) (78 ) (1.08 )%
Liberty Global PLC (2,698 ) (78 ) (1.08 )%
Fortinet Inc 845 78 1.08 %
Lululemon Athletica Inc 480 78 1.08 %
Computershare Ltd 5,405 78 1.07 %
Electronic Arts Inc (646 ) (78 ) (1.07 )%
Methanex Corp 985 78 1.07 %
Broadcom Inc (315 ) (78 ) (1.07 )%
Autodesk Inc (497 ) (78 ) (1.07 )%
Brookfield Property REIT Inc 3,704 78 1.07 %


(y) Seeks to monetize the tendency for the equity market to mean revert over short periods of time.


Top Underlying Components Notional Percentage
of Notional
Cash
US DOLLAR 2,992 100.00 %


See notes to unaudited consolidated schedule of investments.



18




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(z) Global developed markets equity strategy designed to allocate to rewarding style factors in a risk-controlled framework. Rule based market-neutral long/short index strategy combining equity value, quality, size, low volatility, and momentum factor exposures using a conditional risk parity allocation framework.


Top Underlying Components Shares Notional Percentage
of Notional
Cash
US DOLLAR 5,863 100.97 %
Common Stock
Sempra Energy (1,337 ) (152 ) (2.62 )%
Liberty Global PLC (5,222 ) (147 ) (2.53 )%
Liberty Global PLC (5,060 ) (146 ) (2.52 )%
Tesla Inc (548 ) (145 ) (2.50 )%
PG&E Corp (3,127 ) (144 ) (2.48 )%
ABIOMED Inc 317 143 2.46 %
Barrick Gold Corp (12,337 ) (137 ) (2.35 )%
RioCan Real Estate Investment 6,526 125 2.15 %
Crown Castle International Cor (1,118 ) (124 ) (2.14 )%
H&R Real Estate Investment Tru 8,081 124 2.14 %
Nektar Therapeutics 2,034 124 2.14 %
Valero Energy Corp 1,025 117 2.01 %
Liberty Media Corp-Liberty For (3,099 ) (115 ) (1.98 )%
Interpublic Group of Cos Inc/T 5,038 115 1.98 %
MercadoLibre Inc (323 ) (110 ) (1.90 )%
Brookfield Property REIT Inc 5,223 109 1.88 %
United Therapeutics Corp 850 109 1.87 %
Western Union Co/The 5,638 107 1.85 %
Arconic Inc (4,881 ) (107 ) (1.85 )%
Seagate Technology PLC 2,220 105 1.81 %
H&R Block Inc 4,066 105 1.80 %
General Electric Co (9,164 ) (103 ) (1.78 )%
American Express Co (966 ) (103 ) (1.77 )%
Concho Resources Inc (653 ) (100 ) (1.72 )%
Alnylam Pharmaceuticals Inc (1,108 ) (97 ) (1.67 )%
Equinix Inc (223 ) (97 ) (1.67 )%
Vistra Energy Corp (3,881 ) (97 ) (1.66 )%
Cadence Design Systems Inc 2,119 96 1.65 %
Facebook Inc (583 ) (96 ) (1.65 )%
Robert Half International Inc 1,318 93 1.60 %
Charles Schwab Corp/The (1,881 ) (92 ) (1.59 )%
Walmart Inc (978 ) (92 ) (1.58 )%
Phillips 66 799 90 1.55 %
Coca-Cola Co/The (1,945 ) (90 ) (1.55 )%
DENTSPLY SIRONA Inc (2,375 ) (90 ) (1.54 )%
SmartCentres Real Estate Inves 3,781 89 1.54 %
HollyFrontier Corp 1,272 89 1.53 %
eBay Inc (2,686 ) (89 ) (1.53 )%
Arrow Electronics Inc 1,200 88 1.52 %
Philip Morris International In (1,078 ) (88 ) (1.51 )%
First Capital Realty Inc 5,749 87 1.50 %
Honeywell International Inc (530 ) (84 ) (1.45 )%
Xerox Corp 3,078 83 1.43 %
Keyera Corp 3,080 83 1.42 %
Inter Pipeline Ltd 4,752 82 1.42 %
Under Armour Inc (4,229 ) (82 ) (1.42 )%
Jack Henry & Associates Inc 511 82 1.41 %
Metro Inc 2,604 81 1.40 %
DXC Technology Co 863 81 1.39 %


(aa) Dynamic strategy designed to provide a hedge in times of equity market stress. The strategy buys VIX futures when risk-off signal is triggered with the size dependent on the magnitude of the risk-off signal.


Top Underlying Components Notional Percentage
of Notional
Cash
US DOLLAR 2,400 100.00 %


See notes to unaudited consolidated schedule of investments.



19




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(bb) Seeks to provide directional exposure that is short Wilshire US Large Cap Growth Equities.


Top Underlying Components Shares Notional Percentage
of Notional
Common Stock
Apple Inc (6,678 ) (1,507 ) (5.47 )%
Amazon.com Inc (737 ) (1,477 ) (5.36 )%
Alphabet Inc (1,117 ) (1,333 ) (4.84 )%
Berkshire Hathaway Inc (5,684 ) (1,217 ) (4.42 )%
Facebook Inc (5,585 ) (918 ) (3.33 )%
Bank of America Corp (24,706 ) (728 ) (2.64 )%
Visa Inc (4,423 ) (664 ) (2.41 )%
UnitedHealth Group Inc (2,217 ) (590 ) (2.14 )%
Home Depot Inc/The (2,718 ) (563 ) (2.04 )%
Mastercard Inc (2,305 ) (513 ) (1.86 )%
Citigroup Inc (6,748 ) (484 ) (1.76 )%
Boeing Co/The (1,298 ) (483 ) (1.75 )%
Walt Disney Co/The (3,759 ) (440 ) (1.60 )%
Comcast Corp (10,980 ) (389 ) (1.41 )%
NVIDIA Corp (1,333 ) (375 ) (1.36 )%
Netflix Inc (819 ) (306 ) (1.11 )%
Honeywell International Inc (1,898 ) (302 ) (1.10 )%
Adobe Inc (1,086 ) (293 ) (1.06 )%
NIKE Inc (3,039 ) (257 ) (0.93 )%
Costco Wholesale Corp (1,055 ) (248 ) (0.90 )%
Thermo Fisher Scientific Inc (966 ) (236 ) (0.86 )%
Gilead Sciences Inc (3,030 ) (234 ) (0.85 )%
salesforce.com Inc (1,457 ) (232 ) (0.84 )%
Goldman Sachs Group Inc/The (975 ) (219 ) (0.79 )%
Lockheed Martin Corp (630 ) (218 ) (0.79 )%
Booking Holdings Inc (105 ) (208 ) (0.75 )%
Lowe's Cos Inc (1,808 ) (208 ) (0.75 )%
PayPal Holdings Inc (2,266 ) (199 ) (0.72 )%
United Parcel Service Inc (1,691 ) (197 ) (0.72 )%
Starbucks Corp (3,376 ) (192 ) (0.70 )%
EOG Resources Inc (1,362 ) (174 ) (0.63 )%
Celgene Corp (1,937 ) (173 ) (0.63 )%
TJX Cos Inc/The (2,996 ) (168 ) (0.61 )%
Anthem Inc (594 ) (163 ) (0.59 )%
Walgreens Boots Alliance Inc (2,106 ) (154 ) (0.56 )%
Biogen Inc (430 ) (152 ) (0.55 )%
Danaher Corp (1,379 ) (150 ) (0.54 )%
Charles Schwab Corp/The (3,042 ) (150 ) (0.54 )%
American Tower Corp (1,024 ) (149 ) (0.54 )%
Charter Communications Inc (445 ) (145 ) (0.53 )%
Aetna Inc (702 ) (142 ) (0.52 )%
Colgate-Palmolive Co (2,074 ) (139 ) (0.50 )%
BlackRock Inc (288 ) (136 ) (0.49 )%
FedEx Corp (559 ) (135 ) (0.49 )%
Activision Blizzard Inc (1,576 ) (131 ) (0.48 )%
Bank of New York Mellon Corp/T (2,504 ) (128 ) (0.46 )%
S&P Global Inc (618 ) (121 ) (0.44 )%
Express Scripts Holding Co (1,237 ) (118 ) (0.43 )%
Intuitive Surgical Inc (203 ) (117 ) (0.42 )%
Cigna Corp (559 ) (116 ) (0.42 )%


See notes to unaudited consolidated schedule of investments.



20




FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)




(cc) Seeks to provide directional exposure that is long Wilshire US Large Cap Value Equities.


Top Underlying Components Shares Notional Percentage
of Notional
Common Stock
Microsoft Corp 22,325 2,553 6.79 %
JPMorgan Chase & Co 10,216 1,153 3.07 %
Johnson & Johnson 8,042 1,111 2.96 %
Exxon Mobil Corp 12,648 1,075 2.86 %
Pfizer Inc 17,336 764 2.03 %
Cisco Systems Inc 14,727 716 1.91 %
Chevron Corp 5,734 701 1.86 %
Wells Fargo & Co 12,923 679 1.81 %
Intel Corp 13,503 639 1.70 %
Verizon Communications Inc 11,881 634 1.69 %
Procter & Gamble Co/The 7,301 608 1.62 %
AT&T Inc 17,607 591 1.57 %
Merck & Co Inc 7,909 561 1.49 %
Coca-Cola Co/The 11,127 514 1.37 %
Oracle Corp 9,592 495 1.32 %
DowDuPont Inc 7,419 477 1.27 %
PepsiCo Inc 3,974 444 1.18 %
Walmart Inc 4,570 429 1.14 %
AbbVie Inc 4,143 392 1.04 %
McDonald's Corp 2,336 391 1.04 %
International Business Machine 2,548 385 1.02 %
3M Co 1,751 369 0.98 %
Abbott Laboratories 4,957 364 0.97 %
Philip Morris International In 4,454 363 0.97 %
Union Pacific Corp 2,196 358 0.95 %
Amgen Inc 1,715 355 0.95 %
Altria Group Inc 5,428 327 0.87 %
United Technologies Corp 2,291 320 0.85 %
Bristol-Myers Squibb Co 4,745 295 0.78 %
General Electric Co 25,614 289 0.77 %
Eli Lilly & Co 2,640 283 0.75 %
Texas Instruments Inc 2,628 282 0.75 %
QUALCOMM Inc 3,866 278 0.74 %
ConocoPhillips 3,521 273 0.72 %
Caterpillar Inc 1,693 258 0.69 %
US Bancorp 4,671 247 0.66 %
CVS Health Corp 2,971 234 0.62 %
Schlumberger Ltd 3,769 230 0.61 %
American Express Co 2,059 219 0.58 %
NextEra Energy Inc 1,285 215 0.57 %
Allergan PLC 1,015 193 0.51 %
PNC Financial Services Group I 1,402 191 0.51 %
Automatic Data Processing Inc 1,253 189 0.50 %
Mondelez International Inc 4,344 187 0.50 %
Occidental Petroleum Corp 2,251 185 0.49 %
Becton Dickinson and Co 668 174 0.46 %
Simon Property Group Inc 982 174 0.46 %
Raytheon Co 818 169 0.45 %
CSX Corp 2,253 167 0.44 %
Duke Energy Corp 2,083 167 0.44 %


(dd) Seeks to monetize the tendency for the equity market to mean revert over short periods of time.



Top Underlying Components Notional Percentage
of Notional
Index
S&P 500 Index (54 ) (2.67 )%


F - Federal Funds Effective Rate (As of September 30, 2018, F was 2.18%)


LIBOR - London Interbank Offered Rate (As of September 30, 2018, One Month LIBOR was 2.26%)


USD—US Dollar, JPY—Japanese Yen, CHF—Swiss Franc, CAD—Canadian Dollar, SEK—Swedish Krona, NOK—Norwegian Krone, IDR—Indonesian Rupiah, INR—India Rupee, KRW—South Korean Won, PLN—Polish Zloty, MXN—Mexican Peso, ZAR—South African Rand, SGD—Singapore Dollar, CNH—Chinese Yuan, PHP—Philippine Peso, ILS—Israeli Shekel, CZK—Czech Koruna, EUR—Euro, HUF—Hungarian Forint, RUB—Russian Ruble, NZD—New Zealand Dollar, GBP—British Pound, TRY—Turkish Lira, TWD—Taiwan Dollar, CLP—Chilean Peso, BRL—Brazilian Real, AUD—Australian Dollar



See notes to unaudited consolidated schedule of investments.



21




Investment Portfolio



The information contained in this section should be read in conjunction with the Fund’s audited financial statements contained in its annual report for the period from May 16, 2017 (Commencement of Operations) to December 31, 2017.



The following table summarizes the composition of the Fund’s investment portfolio at cost and fair value as of September 30, 2018:



Amortized Cost(1) Fair Value Percentage
of Portfolio
Corporate Bonds $ 23,238 $ 23,239 27 %
Convertible Bonds 13,971 14,097 17 %
Convertible Preferred Stock 1,005 1,010 1 %
Common Stock 11 11 0 %
Short-Term Investments 47,494 47,494 55 %
Put Options Purchased 3 2 0 %
$ 85,722 $ 85,853 100 %



(1) Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on investments.


In general, under the 1940 Act, the Fund would be presumed to “control” a portfolio company if it owned more than 25% of its voting securities or it had the power to exercise control over the management or policies of such portfolio company, and would be an “affiliated person” of a portfolio company if it owned 5% or more of its voting securities.



As of September 30, 2018, the Fund was not deemed to “control” any of its portfolio companies and was not deemed to be an “affiliated person” of any of its portfolio companies, each as defined in the 1940 Act.



The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets in such industries as of September 30, 2018:



22




Industry Classification Fair Value Percentage
of Portfolio
Short-Term Investments $ 47,494 55.3 %
Real Estate Investment Trusts 4,792 5.6 %
Internet 2,833 3.3 %
Media Entertainment 2,690 3.1 %
Software 1,970 2.3 %
Home Builders 1,926 2.3 %
Biotechnology 1,759 2.1 %
Semiconductors 1,570 1.8 %
Telecommunications 1,424 1.7 %
Auto Manufacturers 1,376 1.6 %
Aerospace/Defense 1,356 1.6 %
Healthcare-Services 1,282 1.5 %
Healthcare-Products 1,266 1.5 %
Electric 1,010 1.2 %
Oil & Gas Services 777 0.9 %
Environmental Control 747 0.9 %
Distribution/Wholesale 722 0.8 %
Entertainment 713 0.8 %
IT Services 665 0.8 %
Commercial Services 636 0.7 %
Advertising 616 0.7 %
Lodging 555 0.7 %
Insurance 537 0.6 %
Pharmaceuticals 537 0.6 %
Investment Company Security 502 0.6 %
Iron/Steel 501 0.6 %
Pipelines 476 0.6 %
Electronics 467 0.5 %
Engineering & Construction 432 0.5 %
Agriculture 418 0.5 %
Oil & Gas 379 0.4 %
Trucking & Leasing 379 0.4 %
Financial Services 360 0.4 %
Miscellaneous Manufacturing 356 0.4 %
Retail 338 0.4 %
Diversified Financial Services 314 0.4 %
Real Estate 302 0.4 %
Leisure Time 296 0.3 %
Packaging & Containers 274 0.3 %
Exploration & Production 250 0.3 %
Construction Materials 205 0.2 %
Gas 203 0.2 %
Food 148 0.2 %
$ 85,853 100.0 %


Under existing accounting guidance, fair value is defined as the price that the Fund would receive upon selling an investment or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances.



23




The Fund classifies the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:



Level 1: Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities.

Level 2: Inputs that are quoted prices for similar assets or liabilities in active markets.

Level 3: Inputs that are unobservable for an asset or liability.



A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.



As of September 30, 2018, the Fund’s investments were categorized as follows in the fair value hierarchy:



Valuation Inputs
Level 1—Price quotations in active markets $ 1,023
Level 2—Significant other observable inputs 84,830
Level 3—Significant unobservable inputs -
$ 85,853


As of September 30, 2018, the Fund’s investments sold short were categorized as follows in the fair value hierarchy:



Valuation Inputs
Level 1—Price quotations in active markets $ (7,552 )
Level 2—Significant other observable inputs (166 )
Level 3—Significant unobservable inputs -
$ (7,718 )


As of September 30, 2018, the Fund’s total return swaps were categorized as follows in the fair value hierarchy (amount shown represents unrealized gain (loss) at period end):



Valuation Inputs Assets Liabilities
Level 1—Price quotations in active markets $ - $ -
Level 2—Significant other observable inputs 658 1,070
Level 3—Significant unobservable inputs - -
$ 658 $ 1,070


24




Item 2. Controls and Procedures.


(a) The Trust’s principal executive officer and principal financial officer have evaluated the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) as of a date within 90 days of the filing of this Form N-Q and have concluded that the Trust’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Trust in this Form N-Q was recorded, processed, summarized and reported timely.



(b) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.



Item 3. Exhibits.


The certifications of the Trust’s principal executive officer and principal financial officer required by Rule 30a-2(a) under the 1940 Act are attached hereto.



25




SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.



FS Series Trust


By: /s/ Michael C. Forman
Name: Michael C. Forman
Title: President
Date: November 29, 2018


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By: /s/ Michael C. Forman
Name: Michael C. Forman
Title: President
(Principal Executive Officer)
Date: November 29, 2018


By: /s/ William Goebel
Name: William Goebel
Title: Chief Financial Officer
(Principal Financial Officer)
Date: November 29, 2018

https://www.sec.gov/Archives/edgar/data/1691167/000114420418062338/tv507989_nq.htm