Columbia Funds Series Trust II
Columbia Funds Series Trust II
02/08/2024 | Press release | Distributed by Public on 03/08/2024 01:00
Annual Report by Investment Company Form N CSR
8dcb0b65d441c1a
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number
811-21852
Columbia Funds Series Trust II
(Exact name of registrant as specified in charter)
290 Congress Street
Boston, MA 02210
(Address of principal executive offices) (Zip code)
Daniel J. Beckman
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
Ryan C. Larrenaga, Esq.
c/o Columbia Management Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
(800) 345-6611
Date of fiscal year end:
May 31
Date of reporting period:
May 31, 2024
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders
Multi-Manager Value Strategies Fund
Institutional Class / CZMVX
Annual Shareholder Report | May 31, 2024
This annual shareholder report contains important information about Multi-Manager Value Strategies Fund (the Fund) for the period of June 1, 2023 to May 31, 2024.You can find additional information about the Fund at
1-800-345-6611.
columbiathreadneedleus.com/resources/literature
. You can also request more information by contacting us at1-800-345-6611.
What were the Fund costs for the reporting period?
(Based on a hypothetical $10,000 investment)
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Institutional Class |
$
77
|
0.69
%
|
Management's Discussion of Fund Performance
Top Performance Contributors
Stock selection
| Selection in the financials, information technology and materials sectors boosted the Fund's results most during the annual period.
Allocations
| Underweights to the real estate and consumer staples sectors and an overweight to the industrials sectors positively impacted relative performance.
Individual holdings
| Positions in Parker-Hannifin, an electronics equipment manufacturer; American International Group and Allstate, diversified insurance providers; KKR & Co., an investment firm; and Caterpillar, a manufacturer of construction and mining equipment, were among the top contributors to Fund performance.
Top Performance Detractors
Stock selection
| Selection in the health care, consumer staples and energy sectors detracted from the Fund's results during the annual period.
Allocations
| Holding cash, an overweight to the consumer discretionary sector and an underweight to the financials sector detracted from performance.
Individual holdings
| Positions in Humana, a managed health care provider; PepsiCo, a beverage, food and snack company; and CarMax, a used car retailer were among the top detractors. Relative underweights to GE Aerospace, an aircraft company; and Micron Technology, a memory and storage solutions company, also detracted during the period.
Fund Performance
The following shows the change in value of a hypothetical $10,000 investment in Institutional Class shares of the Fund during the stated time period.
Growth of $10,000
| Average Annual Total Returns (%) | 1 year | 5 years | 10 years |
|
Institutional Class
(a),(b)
|
23.45 | 11.61 | 9.25 |
| Russell 1000 Value Index | 21.71 | 10.74 | 8.61 |
| Russell 1000 Index | 28.01 | 15.42 | 12.40 |
|
(a)
|
The returns shown for periods prior to January 3, 2017 (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of Class A. Class A shares were offered prior to the Fund's Institutional Class shares but have since been merged into the Fund's Institutional Class shares. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit
columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance
for more information.
|
|
(b)
|
The Fund's performance prior to October 1, 2016 reflects returns achieved pursuant to a different investment objective, principal investment strategies and/or management teams. If the Fund's current investment objective, strategies and/or management teams had been in place for the prior periods, results shown may have been different.
|
Past performance does not guarantee future performance
.Performance does not reflect the deduction of taxes that a shareholder may pay on fund distributions or on the redemptions of fund shares. Performance results reflect the effect of any fee waivers/expense reimbursements, if applicable. All results shown assume reinvestment of distributions. Visit
columbiathreadneedleus.com/investment-products/mutual-funds
for more recent performance information.
Key Fund Statistics
| Fund net assets |
$
5,294,390,205
|
| Total number of portfolio holdings | 421 |
|
Management services fees (represents 0.60% of Fund average net assets) |
$
27,850,697
|
| Portfolio turnover for the reporting period | 20% |
Graphical Representation of FundHoldings
The tables below show the investment makeup of the Fund represented as a percentage of Fund net assets. Derivatives are excluded from the tables unless otherwise noted. The Fund's portfolio composition is subject to change.
Top Holdings
|
JPMorgan Cha
se
& Co. |
3.0
%
|
| Exxon Mobil Corp. |
2.3
%
|
| Chevron Corp. |
2.2
%
|
| ConocoPhillips Co. |
2.0
%
|
| Bank of America Corp. |
1.9
%
|
| American International Group, Inc. |
1.7
%
|
| Abbott Laboratories |
1.7
%
|
| Wells Fargo & Co. |
1.6
%
|
| Parker-Hannifin Corp. |
1.4
%
|
| Texas Instruments, Inc. |
1.3
%
|
Asset Categories
Equity Sector Allocation
Availability of Additional Information
For additional information about the Fund: including its prospectus, financial information, holdings, federal tax information and proxy voting information, visit the Fund's website included at the beginning of this report.
The Fund is distributed by Columbia Management Investment Distributors, Inc., member
FIN
, and managed by Columbia Management Investment Advisers, LLC.Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
R
A
© 2024 Columbia Management Investment Distributors, Inc.
Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value
Item 2. Code of Ethics.
The registrant has adopted a code of ethics (the "Code") that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. During the period covered by this report, there were not any amendments to a provision of the Code that relates to any element of the code of ethics definition enumerated in paragraph (b) of Item 2 of Form N-CSR. During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the Code that relates to one or more of the items set forth in paragraph (b) of Item 2 of Form N-CSR. A copy of the Code is attached hereto.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that J. Kevin Connaughton, Brian J. Gallagher, Douglas A. Hacker, David M. Moffett and Sandra L. Yeager qualify as "audit committee financial experts," as such term is defined in Form N-CSR. Mr. Connaughton, Mr. Gallagher, Mr. Hacker, Mr. Moffett and Ms. Yeager, are also each "independent" members of the Audit Committee pursuant to paragraph (a)(2) of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The Registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for the series of the relevant registrant whose reports to shareholders are included in this annual filing.
| Amount billed to the registrant |
Amount billed to the registrant's investment advisor |
|||
| May 31, 2024 | May 31, 2023 | May 31, 2024 | May 31, 2023 | |
| Audit fees (a) | $31,493 | $30,090 | $0 | $0 |
| Audit-related fees (b) | $0 | $0 | $0 | $0 |
| Tax fees (c) | $12,850 | $13,850 | $0 | $0 |
| All other fees (d) | $0 | $0 | $0 | $0 |
| Non-audit fees (g) | $0 | $0 | $581,000 | $577,000 |
(a) Audit Fees include amounts related to the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported in Audit Fees above.
(c) Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice, tax planning and foreign tax filings, if applicable.
(d) All Other Fees include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above and typically include SOC-1 reviews.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant's Audit Committee is required to pre-approve the engagement of the registrant's independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the "Adviser") or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a "Control Affiliate") if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the "Policy"). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant's independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant ("Fund Services"); (ii) non-audit services to the registrant's Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund ("Fund-related Adviser Services"); and (iii) certain other audit and non-audit services to the registrant's Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund's independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC's rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre-designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund's Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre-approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre-approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund's Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
(e)(2) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
(h) The registrant's Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant's adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) The registrant's "Schedule I - Investments in securities of unaffiliated issuers" (as set forth in 17 CFR 210.12-12) is included in Item 7 of this Form N-CSR.
(b) Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Multi-Manager Value Strategies Fund
Annual Financial Statements and Additional Information
May 31, 2024
|
Not FDIC or NCUA Insured
|
No Financial Institution Guarantee
|
May Lose Value
|
Table of Contents
|
Portfolio of Investments
|
3
|
|
Statement of Assets and Liabilities
|
13
|
|
Statement of Operations
|
14
|
|
Statement of Changes in Net Assets
|
15
|
|
Financial Highlights
|
16
|
|
Notes to Financial Statements
|
17
|
|
Report of Independent Registered Public Accounting Firm
|
27
|
|
Federal Income Tax Information
|
28
|
Multi-Manager Value Strategies Fund | 2024
Portfolio of InvestmentsMay 31, 2024
(Percentages represent value of investments compared to net assets)
Investments in securities
|
Common Stocks 97.8%
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Communication Services 4.3%
|
||
|
Diversified Telecommunication Services 1.4%
|
||
|
AT&T, Inc.
|
2,275,606
|
41,461,541
|
|
GCI Liberty, Inc. Escrow(a),(b),(c)
|
8,656
|
0
|
|
Verizon Communications, Inc.
|
742,590
|
30,557,579
|
|
Total
|
72,019,120
|
|
|
Entertainment 0.7%
|
||
|
Electronic Arts, Inc.
|
36,939
|
4,908,454
|
|
Liberty Media Corp.-Liberty Formula One, Class A(b)
|
2,700
|
184,707
|
|
Liberty Media Corp.-Liberty Formula One, Class C(b)
|
20,074
|
1,488,287
|
|
Sphere Entertainment Co.(b)
|
476
|
17,374
|
|
Take-Two Interactive Software, Inc.(b)
|
19,789
|
3,173,364
|
|
Walt Disney Co. (The)
|
249,876
|
25,964,615
|
|
Warner Bros Discovery, Inc.(b)
|
298,230
|
2,457,415
|
|
Total
|
38,194,216
|
|
|
Interactive Media & Services 0.6%
|
||
|
Alphabet, Inc., Class A(b)
|
167,556
|
28,903,410
|
|
Meta Platforms, Inc., Class A
|
6,946
|
3,242,601
|
|
Total
|
32,146,011
|
|
|
Media 1.3%
|
||
|
Charter Communications, Inc., Class A(b)
|
3,879
|
1,113,739
|
|
Comcast Corp., Class A
|
1,356,701
|
54,308,741
|
|
Fox Corp., Class A
|
80,559
|
2,773,646
|
|
Fox Corp., Class B
|
64,046
|
2,045,629
|
|
Interpublic Group of Companies, Inc. (The)
|
128,172
|
4,020,756
|
|
Liberty Broadband Corp., Class A(b)
|
2,117
|
114,826
|
|
Liberty Broadband Corp., Class C(b)
|
15,540
|
840,559
|
|
Liberty Media Corp.-Liberty SiriusXM(b)
|
27,937
|
633,052
|
|
Liberty Media Corp.-Liberty SiriusXM, Class A(b)
|
12,333
|
280,329
|
|
News Corp., Class A
|
44,057
|
1,197,910
|
|
News Corp., Class B
|
21,231
|
591,920
|
|
Omnicom Group, Inc.
|
2,791
|
259,451
|
|
Paramount Global, Class A
|
3,915
|
80,923
|
|
Paramount Global, Class B
|
81,905
|
975,489
|
|
Total
|
69,236,970
|
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Wireless Telecommunication Services 0.3%
|
||
|
T-Mobile US, Inc.
|
100,741
|
17,625,645
|
|
Total Communication Services
|
229,221,962
|
|
|
Consumer Discretionary 8.6%
|
||
|
Automobile Components 0.7%
|
||
|
Aptiv PLC(b)
|
58,698
|
4,887,196
|
|
Autoliv, Inc.
|
16,495
|
2,104,267
|
|
BorgWarner, Inc.
|
71,551
|
2,551,509
|
|
Gentex Corp.
|
35,624
|
1,246,840
|
|
Lear Corp.
|
227,721
|
28,544,827
|
|
Phinia, Inc.
|
154
|
6,893
|
|
Total
|
39,341,532
|
|
|
Automobiles 1.5%
|
||
|
Ford Motor Co.
|
1,156,982
|
14,034,191
|
|
General Motors Co.
|
1,440,929
|
64,827,396
|
|
Total
|
78,861,587
|
|
|
Broadline Retail 1.0%
|
||
|
Amazon.com, Inc.(b)
|
235,191
|
41,497,100
|
|
eBay, Inc.
|
202,338
|
10,970,767
|
|
Total
|
52,467,867
|
|
|
Distributors 0.3%
|
||
|
Genuine Parts Co.
|
66,584
|
9,597,418
|
|
LKQ Corp.
|
104,488
|
4,496,118
|
|
Total
|
14,093,536
|
|
|
Hotels, Restaurants & Leisure 1.0%
|
||
|
Aramark
|
45,023
|
1,447,490
|
|
Caesars Entertainment, Inc.(b)
|
15,638
|
556,087
|
|
Carnival Corp.(b)
|
122,961
|
1,854,252
|
|
Hyatt Hotels Corp., Class A
|
5,864
|
864,764
|
|
McDonald's Corp.
|
76,996
|
19,933,494
|
|
MGM Resorts International(b)
|
82,729
|
3,323,224
|
|
Royal Caribbean Cruises Ltd.(b)
|
7,518
|
1,110,258
|
|
Starbucks Corp.
|
290,335
|
23,290,674
|
|
Total
|
52,380,243
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | 2024
3
Portfolio of Investments(continued)May 31, 2024
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Household Durables 1.5%
|
||
|
D.R. Horton, Inc.
|
81,202
|
12,001,656
|
|
Garmin Ltd.
|
36,640
|
6,003,464
|
|
Lennar Corp., Class A
|
68,929
|
11,052,765
|
|
Lennar Corp., Class B
|
6,374
|
932,261
|
|
NVR, Inc.(b)
|
4,703
|
36,122,473
|
|
PulteGroup, Inc.
|
82,663
|
9,698,023
|
|
Toll Brothers, Inc.
|
9,780
|
1,189,639
|
|
TopBuild Corp.(b)
|
670
|
280,027
|
|
Whirlpool Corp.
|
19,031
|
1,770,454
|
|
Total
|
79,050,762
|
|
|
Specialty Retail 2.4%
|
||
|
Best Buy Co., Inc.
|
7,996
|
678,221
|
|
CarMax, Inc.(b)
|
614,831
|
43,198,026
|
|
Dick's Sporting Goods, Inc.
|
1,132
|
257,688
|
|
Home Depot, Inc. (The)
|
199,031
|
66,649,511
|
|
Lithia Motors, Inc., Class A
|
3,067
|
776,380
|
|
Penske Automotive Group, Inc.
|
8,726
|
1,327,225
|
|
TJX Companies, Inc. (The)
|
145,036
|
14,953,212
|
|
Total
|
127,840,263
|
|
|
Textiles, Apparel & Luxury Goods 0.2%
|
||
|
Capri Holdings Ltd.(b)
|
1,180
|
40,769
|
|
NIKE, Inc., Class B
|
80,465
|
7,648,198
|
|
Ralph Lauren Corp.
|
6,915
|
1,292,275
|
|
Tapestry, Inc.
|
15,420
|
670,616
|
|
Total
|
9,651,858
|
|
|
Total Consumer Discretionary
|
453,687,648
|
|
|
Consumer Staples 6.6%
|
||
|
Beverages 1.8%
|
||
|
Coca-Cola Co. (The)
|
315,735
|
19,869,204
|
|
Constellation Brands, Inc., Class A
|
15,889
|
3,975,904
|
|
Keurig Dr. Pepper, Inc.
|
71,967
|
2,464,870
|
|
Molson Coors Beverage Co., Class B
|
26,873
|
1,472,909
|
|
PepsiCo, Inc.
|
385,692
|
66,686,147
|
|
Total
|
94,469,034
|
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Consumer Staples Distribution & Retail 2.7%
|
||
|
Albertsons Companies, Inc., Class A
|
16,463
|
339,796
|
|
Casey's General Stores, Inc.
|
3,258
|
1,080,939
|
|
Dollar Tree, Inc.(b)
|
53,524
|
6,313,156
|
|
Kroger Co. (The)
|
230,112
|
12,050,965
|
|
Performance Food Group, Inc.(b)
|
15,921
|
1,108,102
|
|
Sysco Corp.
|
536,930
|
39,099,242
|
|
Target Corp.
|
274,204
|
42,819,697
|
|
U.S. Foods Holding Corp.(b)
|
50,755
|
2,681,387
|
|
Walgreens Boots Alliance, Inc.
|
57,994
|
940,663
|
|
Walmart, Inc.
|
573,062
|
37,684,557
|
|
Total
|
144,118,504
|
|
|
Food Products 1.4%
|
||
|
Archer-Daniels-Midland Co.
|
79,684
|
4,975,469
|
|
Bunge Global SA
|
46,998
|
5,056,515
|
|
Campbell Soup Co.
|
27,033
|
1,199,725
|
|
ConAgra Foods, Inc.
|
70,682
|
2,111,978
|
|
Darling Ingredients, Inc.(b)
|
9,352
|
377,821
|
|
General Mills, Inc.
|
301,217
|
20,708,669
|
|
Hormel Foods Corp.
|
47,822
|
1,481,526
|
|
Ingredion, Inc.
|
349
|
41,035
|
|
JM Smucker Co. (The)
|
15,942
|
1,779,765
|
|
Kraft Heinz Co. (The)
|
54,974
|
1,944,430
|
|
McCormick & Co., Inc.
|
6,540
|
472,319
|
|
Mondelez International, Inc., Class A
|
431,534
|
29,573,025
|
|
Pilgrim's Pride Corp.(b)
|
284
|
10,204
|
|
Tyson Foods, Inc., Class A
|
60,666
|
3,473,128
|
|
Total
|
73,205,609
|
|
|
Household Products 0.6%
|
||
|
Procter & Gamble Co. (The)
|
205,575
|
33,825,310
|
|
Personal Care Products 0.1%
|
||
|
BellRing Brands, Inc.(b)
|
8,344
|
485,371
|
|
Coty, Inc., Class A(b)
|
9,303
|
96,379
|
|
Kenvue, Inc.
|
111,898
|
2,159,631
|
|
Total
|
2,741,381
|
|
|
Total Consumer Staples
|
348,359,838
|
The accompanying Notes to Financial Statements are an integral part of this statement.
4
Multi-Manager Value Strategies Fund | 2024
Portfolio of Investments(continued)May 31, 2024
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Energy 9.9%
|
||
|
Energy Equipment & Services 0.2%
|
||
|
Baker Hughes Co.
|
247,758
|
8,294,938
|
|
Halliburton Co.
|
60,969
|
2,237,562
|
|
Schlumberger NV
|
38,345
|
1,759,652
|
|
TechnipFMC PLC
|
48,738
|
1,276,448
|
|
Total
|
13,568,600
|
|
|
Oil, Gas & Consumable Fuels 9.7%
|
||
|
Chesapeake Energy Corp.
|
18,472
|
1,679,659
|
|
Chevron Corp.
|
725,852
|
117,805,780
|
|
ConocoPhillips Co.
|
888,463
|
103,488,170
|
|
Coterra Energy, Inc.
|
163,154
|
4,653,152
|
|
Devon Energy Corp.
|
152,815
|
7,500,160
|
|
Diamondback Energy, Inc.
|
196,102
|
39,075,284
|
|
EOG Resources, Inc.
|
259,296
|
32,295,317
|
|
EQT Corp.
|
61,395
|
2,522,721
|
|
Exxon Mobil Corp.
|
1,047,828
|
122,868,311
|
|
Hess Corp.
|
888
|
136,841
|
|
HF Sinclair Corp.
|
18,010
|
994,692
|
|
Kinder Morgan, Inc.
|
429,786
|
8,376,529
|
|
Marathon Oil Corp.
|
145,822
|
4,223,005
|
|
Marathon Petroleum Corp.
|
76,090
|
13,438,255
|
|
Occidental Petroleum Corp.
|
91,230
|
5,701,875
|
|
ONEOK, Inc.
|
29,686
|
2,404,566
|
|
Ovintiv, Inc.
|
40,031
|
2,068,402
|
|
Phillips 66
|
56,617
|
8,045,842
|
|
Valero Energy Corp.
|
176,348
|
27,711,325
|
|
Williams Companies, Inc. (The)
|
187,151
|
7,768,638
|
|
Total
|
512,758,524
|
|
|
Total Energy
|
526,327,124
|
|
|
Financials 20.9%
|
||
|
Banks 8.4%
|
||
|
Bank of America Corp.
|
2,524,867
|
100,969,431
|
|
Citigroup, Inc.
|
134,770
|
8,397,519
|
|
Citizens Financial Group, Inc.
|
56,240
|
1,984,710
|
|
East West Bancorp, Inc.
|
8,684
|
644,266
|
|
Fifth Third Bancorp
|
154,923
|
5,797,219
|
|
First Citizens BancShares Inc., Class A
|
2,461
|
4,179,836
|
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
First Horizon Corp.
|
7,895
|
125,057
|
|
Huntington Bancshares, Inc.
|
279,599
|
3,892,018
|
|
JPMorgan Chase & Co.
|
781,772
|
158,410,460
|
|
KeyCorp
|
2,072,258
|
29,778,347
|
|
M&T Bank Corp.
|
35,593
|
5,395,899
|
|
PNC Financial Services Group, Inc. (The)
|
145,284
|
22,866,249
|
|
Prosperity Bancshares, Inc.
|
622
|
38,751
|
|
Regions Financial Corp.
|
250,269
|
4,842,705
|
|
Truist Financial Corp.
|
204,350
|
7,714,213
|
|
U.S. Bancorp
|
161,929
|
6,566,221
|
|
Webster Financial Corp.
|
7,806
|
345,181
|
|
Wells Fargo & Co.
|
1,369,207
|
82,042,883
|
|
Zions Bancorp
|
3,407
|
147,148
|
|
Total
|
444,138,113
|
|
|
Capital Markets 3.1%
|
||
|
Bank of New York Mellon Corp. (The)
|
405,638
|
24,180,081
|
|
BlackRock, Inc.
|
25,522
|
19,703,750
|
|
Blackstone, Inc.
|
51,956
|
6,260,698
|
|
Carlyle Group, Inc. (The)
|
18,356
|
788,574
|
|
CME Group, Inc.
|
111,965
|
22,726,656
|
|
Franklin Resources, Inc.
|
61,397
|
1,448,969
|
|
Goldman Sachs Group, Inc. (The)
|
32,476
|
14,825,944
|
|
Intercontinental Exchange, Inc.
|
12,617
|
1,689,416
|
|
Invesco Ltd.
|
14,455
|
227,088
|
|
Jefferies Financial Group, Inc.
|
13,256
|
616,669
|
|
Morgan Stanley
|
349,755
|
34,220,029
|
|
Nasdaq, Inc.
|
448,420
|
26,470,233
|
|
Northern Trust Corp.
|
16,119
|
1,357,865
|
|
Raymond James Financial, Inc.
|
47,626
|
5,846,091
|
|
State Street Corp.
|
40,788
|
3,083,165
|
|
T. Rowe Price Group, Inc.
|
25,762
|
3,035,536
|
|
Total
|
166,480,764
|
|
|
Consumer Finance 0.5%
|
||
|
Ally Financial, Inc.
|
100,437
|
3,914,030
|
|
Capital One Financial Corp.
|
64,368
|
8,858,968
|
|
Discover Financial Services
|
63,015
|
7,729,420
|
|
Synchrony Financial
|
118,486
|
5,189,686
|
|
Total
|
25,692,104
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | 2024
5
Portfolio of Investments(continued)May 31, 2024
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Financial Services 2.7%
|
||
|
Apollo Global Management, Inc.
|
5,640
|
655,142
|
|
Berkshire Hathaway, Inc., Class B(b)
|
170,072
|
70,477,837
|
|
Block, Inc., Class A(b)
|
24,653
|
1,579,764
|
|
Corebridge Financial, Inc.
|
33,174
|
967,686
|
|
Equitable Holdings, Inc.
|
219
|
9,086
|
|
Fidelity National Information Services, Inc.
|
105,378
|
7,996,083
|
|
Fiserv, Inc.(b)
|
47,951
|
7,181,142
|
|
Global Payments, Inc.
|
38,530
|
3,924,281
|
|
PayPal Holdings, Inc.(b)
|
8,120
|
511,479
|
|
Visa, Inc., Class A
|
183,625
|
50,030,467
|
|
Total
|
143,332,967
|
|
|
Insurance 6.2%
|
||
|
Aflac, Inc.
|
107,086
|
9,623,819
|
|
Allstate Corp. (The)
|
337,297
|
56,503,993
|
|
American Financial Group, Inc.
|
1,243
|
161,478
|
|
American International Group, Inc.
|
1,167,969
|
92,059,317
|
|
Arch Capital Group Ltd.(b)
|
96,111
|
9,863,872
|
|
Assurant, Inc.
|
6,544
|
1,135,188
|
|
Axis Capital Holdings Ltd.
|
98
|
7,240
|
|
Chubb Ltd.
|
138,821
|
37,595,503
|
|
Cincinnati Financial Corp.
|
12,916
|
1,518,663
|
|
Everest Group Ltd.
|
7,231
|
2,826,815
|
|
F&G Annuities & Life, Inc.
|
5,189
|
209,687
|
|
Fidelity National Financial, Inc.
|
76,310
|
3,842,972
|
|
Globe Life, Inc.
|
18,240
|
1,509,542
|
|
Hartford Financial Services Group, Inc. (The)
|
375,881
|
38,884,889
|
|
Loews Corp.
|
31,217
|
2,397,466
|
|
Markel Group, Inc.(b)
|
1,745
|
2,864,575
|
|
Marsh & McLennan Companies, Inc.
|
116,454
|
24,173,521
|
|
MetLife, Inc.
|
94,838
|
6,863,426
|
|
Old Republic International Corp.
|
20,324
|
645,897
|
|
Principal Financial Group, Inc.
|
54,334
|
4,457,561
|
|
Prudential Financial, Inc.
|
94,331
|
11,352,736
|
|
Reinsurance Group of America, Inc.
|
876
|
183,785
|
|
RenaissanceRe Holdings Ltd.
|
735
|
167,477
|
|
Travelers Companies, Inc. (The)
|
60,473
|
13,044,026
|
|
Unum Group
|
4,025
|
216,787
|
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Willis Towers Watson PLC
|
11,363
|
2,900,860
|
|
WR Berkley Corp.
|
24,720
|
2,003,062
|
|
Total
|
327,014,157
|
|
|
Total Financials
|
1,106,658,105
|
|
|
Health Care 14.2%
|
||
|
Biotechnology 1.7%
|
||
|
AbbVie, Inc.
|
335,121
|
54,034,910
|
|
Biogen, Inc.(b)
|
36,348
|
8,176,119
|
|
BioMarin Pharmaceutical, Inc.(b)
|
7,479
|
561,448
|
|
Gilead Sciences, Inc.
|
178,602
|
11,478,751
|
|
Incyte Corp.(b)
|
1,345
|
77,728
|
|
Moderna, Inc.(b)
|
32,456
|
4,626,603
|
|
Regeneron Pharmaceuticals, Inc.(b)
|
10,215
|
10,012,334
|
|
United Therapeutics Corp.(b)
|
5,531
|
1,521,744
|
|
Vertex Pharmaceuticals, Inc.(b)
|
1,230
|
560,068
|
|
Total
|
91,049,705
|
|
|
Health Care Equipment & Supplies 4.6%
|
||
|
Abbott Laboratories
|
853,857
|
87,255,647
|
|
Baxter International, Inc.
|
60,715
|
2,069,774
|
|
Becton Dickinson & Co.
|
245,921
|
57,046,294
|
|
Boston Scientific Corp.(b)
|
42,466
|
3,209,156
|
|
Cooper Cos, Inc. (The)
|
8,134
|
767,118
|
|
GE HealthCare Technologies, Inc.
|
112,768
|
8,795,904
|
|
Hologic, Inc.(b)
|
37,056
|
2,733,992
|
|
Medtronic PLC
|
645,093
|
52,491,217
|
|
Solventum Corp.(b)
|
1,661
|
98,564
|
|
STERIS PLC
|
14,388
|
3,206,797
|
|
Stryker Corp.
|
64,817
|
22,108,431
|
|
Teleflex, Inc.
|
2,191
|
458,072
|
|
Zimmer Biomet Holdings, Inc.
|
30,426
|
3,503,554
|
|
Total
|
243,744,520
|
|
|
Health Care Providers & Services 4.6%
|
||
|
Centene Corp.(b)
|
96,876
|
6,935,353
|
|
Cigna Group (The)
|
47,371
|
16,324,994
|
|
CVS Health Corp.
|
219,446
|
13,078,982
|
|
Elevance Health, Inc.
|
81,230
|
43,740,731
|
|
HCA Healthcare, Inc.
|
150,995
|
51,300,551
|
|
Henry Schein, Inc.(b)
|
38,024
|
2,636,584
|
The accompanying Notes to Financial Statements are an integral part of this statement.
6
Multi-Manager Value Strategies Fund | 2024
Portfolio of Investments(continued)May 31, 2024
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Humana, Inc.
|
78,568
|
28,136,772
|
|
Labcorp Holdings, Inc.
|
183,502
|
35,766,375
|
|
McKesson Corp.
|
5,309
|
3,023,953
|
|
Molina Healthcare, Inc.(b)
|
1,266
|
398,258
|
|
Quest Diagnostics, Inc.
|
43,722
|
6,207,212
|
|
UnitedHealth Group, Inc.
|
64,613
|
32,007,342
|
|
Universal Health Services, Inc., Class B
|
26,871
|
5,100,116
|
|
Total
|
244,657,223
|
|
|
Life Sciences Tools & Services 0.7%
|
||
|
Avantor, Inc.(b)
|
78,469
|
1,889,533
|
|
Bio-Rad Laboratories, Inc., Class A(b)
|
2,694
|
772,801
|
|
Charles River Laboratories International, Inc.(b)
|
7,719
|
1,608,948
|
|
Danaher Corp.
|
49,984
|
12,835,891
|
|
Revvity, Inc.
|
15,737
|
1,719,425
|
|
Thermo Fisher Scientific, Inc.
|
25,771
|
14,637,413
|
|
Total
|
33,464,011
|
|
|
Pharmaceuticals 2.6%
|
||
|
Bristol-Myers Squibb Co.
|
271,771
|
11,167,070
|
|
Catalent, Inc.(b)
|
6,266
|
337,048
|
|
Jazz Pharmaceuticals PLC(b)
|
11,725
|
1,234,056
|
|
Johnson & Johnson
|
261,814
|
38,400,259
|
|
Merck & Co., Inc.
|
258,349
|
32,433,134
|
|
Pfizer, Inc.
|
1,826,587
|
52,349,984
|
|
Viatris, Inc.
|
203,802
|
2,160,301
|
|
Total
|
138,081,852
|
|
|
Total Health Care
|
750,997,311
|
|
|
Industrials 15.2%
|
||
|
Aerospace & Defense 2.1%
|
||
|
General Dynamics Corp.
|
32,289
|
9,679,274
|
|
General Electric Co.
|
21,097
|
3,483,959
|
|
Howmet Aerospace, Inc.
|
40,121
|
3,396,243
|
|
Huntington Ingalls Industries, Inc.
|
5,304
|
1,342,442
|
|
L3Harris Technologies, Inc.
|
166,928
|
37,530,422
|
|
Lockheed Martin Corp.
|
33,407
|
15,712,648
|
|
Northrop Grumman Corp.
|
47,255
|
21,301,136
|
|
RTX Corp.
|
134,435
|
14,493,437
|
|
Textron, Inc.
|
54,703
|
4,792,530
|
|
Total
|
111,732,091
|
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Air Freight & Logistics 0.5%
|
||
|
FedEx Corp.
|
42,255
|
10,731,080
|
|
GXO Logistics, Inc.(b)
|
4,440
|
223,021
|
|
United Parcel Service, Inc., Class B
|
99,106
|
13,768,797
|
|
Total
|
24,722,898
|
|
|
Building Products 0.9%
|
||
|
Builders FirstSource, Inc.(b)
|
45,842
|
7,370,935
|
|
Carlisle Companies, Inc.
|
8,175
|
3,419,521
|
|
Carrier Global Corp.
|
45,752
|
2,891,069
|
|
Fortune Brands Innovations, Inc.
|
29,167
|
2,043,440
|
|
Johnson Controls International PLC
|
113,509
|
8,162,432
|
|
Owens Corning
|
26,387
|
4,777,894
|
|
Trane Technologies PLC
|
50,814
|
16,639,552
|
|
Total
|
45,304,843
|
|
|
Commercial Services & Supplies 1.1%
|
||
|
Republic Services, Inc.
|
61,142
|
11,322,887
|
|
Veralto Corp.
|
19,635
|
1,935,618
|
|
Waste Management, Inc.
|
222,148
|
46,813,248
|
|
Total
|
60,071,753
|
|
|
Construction & Engineering 0.3%
|
||
|
AECOM
|
28,741
|
2,510,239
|
|
Arcosa, Inc.
|
165
|
14,505
|
|
EMCOR Group, Inc.
|
3,436
|
1,335,436
|
|
Quanta Services, Inc.
|
39,874
|
11,002,831
|
|
Total
|
14,863,011
|
|
|
Electrical Equipment 1.1%
|
||
|
Acuity Brands, Inc.
|
34
|
8,827
|
|
AMETEK, Inc.
|
32,819
|
5,565,446
|
|
Eaton Corp. PLC
|
43,671
|
14,535,892
|
|
Emerson Electric Co.
|
28,115
|
3,153,379
|
|
GE Vernova, Inc.(b)
|
14,186
|
2,495,317
|
|
Hubbell, Inc.
|
361
|
140,389
|
|
NEXTracker, Inc., Class A(b)
|
14,242
|
785,731
|
|
nVent Electric PLC
|
5,281
|
429,768
|
|
Regal Rexnord Corp.
|
197,513
|
29,536,094
|
|
Sensata Technologies Holding
|
5,647
|
233,334
|
|
Total
|
56,884,177
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | 2024
7
Portfolio of Investments(continued)May 31, 2024
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Ground Transportation 1.5%
|
||
|
CSX Corp.
|
14,702
|
496,193
|
|
JB Hunt Transport Services, Inc.
|
6,779
|
1,089,724
|
|
Knight-Swift Transportation Holdings, Inc.
|
7,444
|
359,173
|
|
Norfolk Southern Corp.
|
35,480
|
7,975,904
|
|
U-Haul Holding Co.(b)
|
5,483
|
346,690
|
|
U-Haul Holding Co.
|
48,155
|
2,927,343
|
|
Union Pacific Corp.
|
281,676
|
65,579,806
|
|
Total
|
78,774,833
|
|
|
Industrial Conglomerates 0.9%
|
||
|
3M Co.
|
6,644
|
665,330
|
|
Honeywell International, Inc.
|
227,976
|
46,094,468
|
|
Total
|
46,759,798
|
|
|
Machinery 4.5%
|
||
|
AGCO Corp.
|
21,789
|
2,338,613
|
|
Caterpillar, Inc.
|
124,441
|
42,125,767
|
|
Cummins, Inc.
|
72,989
|
20,563,191
|
|
Deere & Co.
|
99,749
|
37,381,935
|
|
Dover Corp.
|
30,956
|
5,690,332
|
|
Fortive Corp.
|
43,377
|
3,228,984
|
|
IDEX Corp.
|
4,101
|
855,633
|
|
Illinois Tool Works, Inc.
|
49,896
|
12,112,254
|
|
Ingersoll Rand, Inc.
|
67,147
|
6,248,028
|
|
Otis Worldwide Corp.
|
54,838
|
5,439,930
|
|
PACCAR, Inc.
|
133,663
|
14,368,772
|
|
Parker-Hannifin Corp.
|
136,202
|
72,394,087
|
|
Pentair PLC
|
46,342
|
3,771,312
|
|
Snap-On, Inc.
|
18,739
|
5,113,124
|
|
Stanley Black & Decker, Inc.
|
19,711
|
1,718,208
|
|
Westinghouse Air Brake Technologies Corp.
|
25,049
|
4,239,042
|
|
Xylem, Inc.
|
12,952
|
1,826,491
|
|
Total
|
239,415,703
|
|
|
Passenger Airlines 0.3%
|
||
|
Delta Air Lines, Inc.
|
190,659
|
9,727,422
|
|
Southwest Airlines Co.
|
84,494
|
2,267,819
|
|
United Airlines Holdings, Inc.(b)
|
88,458
|
4,687,390
|
|
Total
|
16,682,631
|
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Professional Services 1.3%
|
||
|
Automatic Data Processing, Inc.
|
60,900
|
14,915,628
|
|
Booz Allen Hamilton Holding Corp.
|
54,922
|
8,359,678
|
|
Concentrix Corp.
|
3,614
|
221,647
|
|
Jacobs Solutions, Inc.
|
17,527
|
2,442,212
|
|
Leidos Holdings, Inc.
|
36,878
|
5,422,910
|
|
SS&C Technologies Holdings, Inc.
|
629,167
|
39,039,812
|
|
TransUnion
|
18,961
|
1,363,675
|
|
Total
|
71,765,562
|
|
|
Trading Companies & Distributors 0.7%
|
||
|
Ferguson PLC
|
122,549
|
25,213,231
|
|
United Rentals, Inc.
|
18,295
|
12,246,856
|
|
WESCO International, Inc.
|
3,671
|
658,908
|
|
Total
|
38,118,995
|
|
|
Total Industrials
|
805,096,295
|
|
|
Information Technology 8.9%
|
||
|
Communications Equipment 1.0%
|
||
|
Cisco Systems, Inc.
|
1,037,107
|
48,225,475
|
|
F5, Inc.(b)
|
3,013
|
509,107
|
|
Juniper Networks, Inc.
|
44,440
|
1,585,175
|
|
Total
|
50,319,757
|
|
|
Electronic Equipment, Instruments & Components 0.6%
|
||
|
Arrow Electronics, Inc.(b)
|
4,781
|
627,793
|
|
Avnet, Inc.
|
268
|
14,633
|
|
Corning, Inc.
|
255,656
|
9,525,743
|
|
Flex Ltd.(b)
|
81,764
|
2,708,841
|
|
IPG Photonics Corp.(b)
|
223
|
19,341
|
|
Jabil, Inc.
|
18,328
|
2,179,199
|
|
Keysight Technologies, Inc.(b)
|
6,931
|
959,805
|
|
TD SYNNEX Corp.
|
5,786
|
757,040
|
|
TE Connectivity Ltd.
|
85,286
|
12,767,314
|
|
Teledyne Technologies, Inc.(b)
|
5,258
|
2,087,163
|
|
Trimble Navigation Ltd.(b)
|
900
|
50,112
|
|
Zebra Technologies Corp., Class A(b)
|
2,449
|
764,921
|
|
Total
|
32,461,905
|
The accompanying Notes to Financial Statements are an integral part of this statement.
8
Multi-Manager Value Strategies Fund | 2024
Portfolio of Investments(continued)May 31, 2024
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
IT Services 1.0%
|
||
|
Accenture PLC, Class A
|
54,314
|
15,332,299
|
|
Akamai Technologies, Inc.(b)
|
28,159
|
2,597,386
|
|
Amdocs Ltd.
|
31,789
|
2,511,331
|
|
Cognizant Technology Solutions Corp., Class A
|
138,569
|
9,166,339
|
|
EPAM Systems, Inc.(b)
|
1,447
|
257,465
|
|
International Business Machines Corp.
|
137,608
|
22,959,895
|
|
Kyndryl Holdings, Inc.(b)
|
3,420
|
91,006
|
|
Okta, Inc.(b)
|
1,104
|
97,903
|
|
Twilio, Inc., Class A(b)
|
1,217
|
69,856
|
|
Total
|
53,083,480
|
|
|
Semiconductors & Semiconductor Equipment 4.8%
|
||
|
Advanced Micro Devices, Inc.(b)
|
20,509
|
3,422,952
|
|
Analog Devices, Inc.
|
190,655
|
44,706,691
|
|
Broadcom, Inc.
|
25,500
|
33,878,025
|
|
GlobalFoundries, Inc.(b)
|
4,926
|
241,374
|
|
Intel Corp.
|
288,639
|
8,904,513
|
|
KLA Corp.
|
37,022
|
28,119,320
|
|
Lam Research Corp.
|
25,425
|
23,707,287
|
|
Marvell Technology, Inc.
|
61,411
|
4,225,691
|
|
Microchip Technology, Inc.
|
171,226
|
16,648,304
|
|
Micron Technology, Inc.
|
78,380
|
9,797,500
|
|
ON Semiconductor Corp.(b)
|
100,779
|
7,360,898
|
|
Qorvo, Inc.(b)
|
14,142
|
1,391,431
|
|
Skyworks Solutions, Inc.
|
32,797
|
3,038,970
|
|
Texas Instruments, Inc.
|
363,863
|
70,956,924
|
|
Total
|
256,399,880
|
|
|
Software 1.3%
|
||
|
Dolby Laboratories, Inc., Class A
|
659
|
53,386
|
|
Microsoft Corp.
|
130,033
|
53,980,599
|
|
Roper Technologies, Inc.
|
3,927
|
2,092,149
|
|
Salesforce, Inc.
|
49,110
|
11,513,348
|
|
Total
|
67,639,482
|
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Technology Hardware, Storage & Peripherals 0.2%
|
||
|
Hewlett Packard Enterprise Co.
|
372,558
|
6,575,648
|
|
HP, Inc.
|
37,320
|
1,362,180
|
|
Western Digital Corp.(b)
|
42,930
|
3,232,200
|
|
Total
|
11,170,028
|
|
|
Total Information Technology
|
471,074,532
|
|
|
Materials 5.0%
|
||
|
Chemicals 2.1%
|
||
|
Air Products & Chemicals, Inc.
|
25,774
|
6,873,926
|
|
Albemarle Corp.
|
21,671
|
2,656,648
|
|
Celanese Corp., Class A
|
14,700
|
2,234,988
|
|
CF Industries Holdings, Inc.
|
46,117
|
3,676,908
|
|
Corteva, Inc.
|
54,866
|
3,069,204
|
|
Dow, Inc.
|
194,652
|
11,217,795
|
|
DuPont de Nemours, Inc.
|
47,436
|
3,897,342
|
|
Eastman Chemical Co.
|
43,390
|
4,396,709
|
|
FMC Corp.
|
1,431
|
87,219
|
|
International Flavors & Fragrances, Inc.
|
23,348
|
2,245,611
|
|
Linde PLC
|
85,830
|
37,380,682
|
|
LyondellBasell Industries NV, Class A
|
98,970
|
9,839,597
|
|
Mosaic Co. (The)
|
78,129
|
2,416,530
|
|
PPG Industries, Inc.
|
138,433
|
18,191,480
|
|
Westlake Corp.
|
19,870
|
3,190,327
|
|
Total
|
111,374,966
|
|
|
Construction Materials 0.6%
|
||
|
Martin Marietta Materials, Inc.
|
43,422
|
24,840,858
|
|
Vulcan Materials Co.
|
30,147
|
7,710,698
|
|
Total
|
32,551,556
|
|
|
Containers & Packaging 0.8%
|
||
|
Amcor PLC
|
187,657
|
1,908,472
|
|
Avery Dennison Corp.
|
36,801
|
8,375,540
|
|
Ball Corp.
|
53,776
|
3,733,668
|
|
Crown Holdings, Inc.
|
9,370
|
788,860
|
|
International Paper Co.
|
286,585
|
12,922,118
|
|
Packaging Corp. of America
|
61,495
|
11,283,717
|
|
Sonoco Products Co.
|
212
|
13,010
|
|
WestRock Co.
|
37,102
|
1,990,151
|
|
Total
|
41,015,536
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | 2024
9
Portfolio of Investments(continued)May 31, 2024
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Metals & Mining 1.5%
|
||
|
Cleveland-Cliffs, Inc.(b)
|
63,354
|
1,094,757
|
|
Freeport-McMoRan, Inc.
|
896,399
|
47,267,119
|
|
Newmont Corp.
|
142,589
|
5,980,183
|
|
Nucor Corp.
|
68,613
|
11,585,305
|
|
Reliance, Inc.
|
20,889
|
6,282,994
|
|
Royal Gold, Inc.
|
389
|
49,866
|
|
Steel Dynamics, Inc.
|
69,270
|
9,273,175
|
|
Total
|
81,533,399
|
|
|
Total Materials
|
266,475,457
|
|
|
Real Estate 2.0%
|
||
|
Industrial REITs 0.2%
|
||
|
Prologis, Inc.
|
67,678
|
7,477,742
|
|
Real Estate Management & Development 0.2%
|
||
|
CBRE Group, Inc., Class A(b)
|
77,682
|
6,841,454
|
|
Jones Lang LaSalle, Inc.(b)
|
12,564
|
2,538,807
|
|
Zillow Group, Inc., Class C(b)
|
10,447
|
427,805
|
|
Total
|
9,808,066
|
|
|
Residential REITs 0.1%
|
||
|
AvalonBay Communities, Inc.
|
38,109
|
7,342,842
|
|
Specialized REITs 1.5%
|
||
|
Extra Space Storage, Inc.
|
257,229
|
37,239,042
|
|
Public Storage
|
23,800
|
6,517,154
|
|
SBA Communications Corp.
|
178,213
|
35,050,933
|
|
Total
|
78,807,129
|
|
|
Total Real Estate
|
103,435,779
|
|
|
Utilities 2.2%
|
||
|
Electric Utilities 0.9%
|
||
|
American Electric Power Co., Inc.
|
114,874
|
10,367,378
|
|
Entergy Corp.
|
86,696
|
9,752,433
|
|
NextEra Energy, Inc.
|
110,535
|
8,845,011
|
|
NRG Energy, Inc.
|
40,128
|
3,250,368
|
|
Southern Co. (The)
|
201,173
|
16,122,004
|
|
Total
|
48,337,194
|
|
Common Stocks (continued)
|
||
|
Issuer
|
Shares
|
Value ($)
|
|
Independent Power and Renewable Electricity Producers 0.1%
|
||
|
Vistra Corp.
|
41,094
|
4,071,594
|
|
Multi-Utilities 1.2%
|
||
|
Ameren Corp.
|
91,306
|
6,699,121
|
|
CMS Energy Corp.
|
99,942
|
6,289,350
|
|
Dominion Energy, Inc.
|
551,379
|
29,730,356
|
|
DTE Energy Co.
|
44,007
|
5,128,136
|
|
Public Service Enterprise Group, Inc.
|
94,804
|
7,182,351
|
|
WEC Energy Group, Inc.
|
93,274
|
7,557,992
|
|
Total
|
62,587,306
|
|
|
Total Utilities
|
114,996,094
|
|
|
Total Common Stocks
(Cost $4,025,661,409)
|
5,176,330,145
|
|
|
|
||
|
Money Market Funds 2.0%
|
||
|
|
Shares
|
Value ($)
|
|
Columbia Short-Term Cash Fund, 5.547%(d),(e)
|
107,125,751
|
107,104,326
|
|
Total Money Market Funds
(Cost $107,101,081)
|
107,104,326
|
|
|
Total Investments in Securities
(Cost: $4,132,762,490)
|
5,283,434,471
|
|
|
Other Assets & Liabilities, Net
|
10,955,734
|
|
|
Net Assets
|
5,294,390,205
|
The accompanying Notes to Financial Statements are an integral part of this statement.
10
Multi-Manager Value Strategies Fund | 2024
Portfolio of Investments(continued)May 31, 2024
Notes to Portfolio of Investments
|
(a)
|
Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At May 31, 2024, the total value of these securities amounted to $0, which represents less than 0.01% of total net assets.
|
|
(b)
|
Non-income producing investment.
|
|
(c)
|
Valuation based on significant unobservable inputs.
|
|
(d)
|
The rate shown is the seven-day current annualized yield at May 31, 2024.
|
|
(e)
|
As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company's outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2024 are as follows:
|
|
Affiliated issuers
|
Beginning
of period($)
|
Purchases($)
|
Sales($)
|
Net change in
unrealized
appreciation
(depreciation)($)
|
End of
period($)
|
Realized gain
(loss)($)
|
Dividends($)
|
End of
period shares
|
|
Columbia Short-Term Cash Fund, 5.547%
|
||||||||
|
|
79,035,885
|
652,835,473
|
(624,770,899
)
|
3,867
|
107,104,326
|
22,346
|
5,370,796
|
107,125,751
|
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund's assumptions about the information market participants would use in pricing an investment. An investment's level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset's or liability's fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
■
Level 1 - Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
■
Level 2 - Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
■
Level 3 - Valuations based on significant unobservable inputs (including the Fund's own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment's fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
The Fund's Board of Trustees (the Board) has designated the Investment Manager, through its Valuation Committee (the Committee), as valuation designee, responsible for determining the fair value of the assets of the Fund for which market quotations are not readily available using valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager's organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. Representatives of Columbia Management Investment Advisers, LLC report to the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund's investments at May 31, 2024:
|
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Total ($)
|
|
Investments in Securities
|
||||
|
Common Stocks
|
||||
|
Communication Services
|
229,221,962
|
-
|
0
*
|
229,221,962
|
|
Consumer Discretionary
|
453,687,648
|
-
|
-
|
453,687,648
|
|
Consumer Staples
|
348,359,838
|
-
|
-
|
348,359,838
|
|
Energy
|
526,327,124
|
-
|
-
|
526,327,124
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | 2024
11
Portfolio of Investments(continued)May 31, 2024
Fair value measurements (continued)
|
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Total ($)
|
|
Financials
|
1,106,658,105
|
-
|
-
|
1,106,658,105
|
|
Health Care
|
750,997,311
|
-
|
-
|
750,997,311
|
|
Industrials
|
805,096,295
|
-
|
-
|
805,096,295
|
|
Information Technology
|
471,074,532
|
-
|
-
|
471,074,532
|
|
Materials
|
266,475,457
|
-
|
-
|
266,475,457
|
|
Real Estate
|
103,435,779
|
-
|
-
|
103,435,779
|
|
Utilities
|
114,996,094
|
-
|
-
|
114,996,094
|
|
Total Common Stocks
|
5,176,330,145
|
-
|
0
*
|
5,176,330,145
|
|
Money Market Funds
|
107,104,326
|
-
|
-
|
107,104,326
|
|
Total Investments in Securities
|
5,283,434,471
|
-
|
0
*
|
5,283,434,471
|
|
*
|
Rounds to zero.
|
See the Portfolio of Investments for all investment classifications not indicated in the table.
The Fund does not hold any significant investments (greater than one percent of net assets) categorized as Level 3.
The accompanying Notes to Financial Statements are an integral part of this statement.
12
Multi-Manager Value Strategies Fund | 2024
Statement of Assets and LiabilitiesMay 31, 2024
|
Assets
|
|
|
Investments in securities, at value
|
|
|
Unaffiliated issuers (cost $4,025,661,409)
|
$5,176,330,145
|
|
Affiliated issuers (cost $107,101,081)
|
107,104,326
|
|
Receivable for:
|
|
|
Investments sold
|
1,274,747
|
|
Capital shares sold
|
3,047,282
|
|
Dividends
|
11,322,435
|
|
Expense reimbursement due from Investment Manager
|
2,167
|
|
Prepaid expenses
|
15,433
|
|
Total assets
|
5,299,096,535
|
|
Liabilities
|
|
|
Due to custodian
|
94
|
|
Payable for:
|
|
|
Investments purchased
|
781,387
|
|
Capital shares redeemed
|
3,165,966
|
|
Management services fees
|
84,078
|
|
Transfer agent fees
|
321,155
|
|
Compensation of board members
|
6,208
|
|
Other expenses
|
141,553
|
|
Deferred compensation of board members
|
205,889
|
|
Total liabilities
|
4,706,330
|
|
Net assets applicable to outstanding capital stock
|
$5,294,390,205
|
|
Represented by
|
|
|
Paid in capital
|
3,985,506,028
|
|
Total distributable earnings (loss)
|
1,308,884,177
|
|
Total - representing net assets applicable to outstanding capital stock
|
$5,294,390,205
|
|
Institutional Class
|
|
|
Net assets
|
$5,294,390,205
|
|
Shares outstanding
|
328,536,657
|
|
Net asset value per share
|
$16.12
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | 2024
13
Statement of OperationsYear Ended May 31, 2024
|
Net investment income
|
|
|
Income:
|
|
|
Dividends - unaffiliated issuers
|
$105,989,645
|
|
Dividends - affiliated issuers
|
5,370,796
|
|
Total income
|
111,360,441
|
|
Expenses:
|
|
|
Management services fees
|
27,850,697
|
|
Transfer agent fees
|
|
|
Institutional Class
|
4,290,492
|
|
Custodian fees
|
42,384
|
|
Printing and postage fees
|
291,626
|
|
Registration fees
|
141,782
|
|
Accounting services fees
|
32,192
|
|
Legal fees
|
63,528
|
|
Compensation of chief compliance officer
|
874
|
|
Compensation of board members
|
64,101
|
|
Deferred compensation of board members
|
44,568
|
|
Other
|
73,104
|
|
Total expenses
|
32,895,348
|
|
Fees waived or expenses reimbursed by Investment Manager and its affiliates
|
(663,573
)
|
|
Total net expenses
|
32,231,775
|
|
Net investment income
|
79,128,666
|
|
Realized and unrealized gain (loss) - net
|
|
|
Net realized gain (loss) on:
|
|
|
Investments - unaffiliated issuers
|
245,875,090
|
|
Investments - affiliated issuers
|
22,346
|
|
Foreign currency translations
|
(4,299
)
|
|
Futures contracts
|
(520,495
)
|
|
Net realized gain
|
245,372,642
|
|
Net change in unrealized appreciation (depreciation) on:
|
|
|
Investments - unaffiliated issuers
|
658,620,514
|
|
Investments - affiliated issuers
|
3,867
|
|
Foreign currency translations
|
4,399
|
|
Net change in unrealized appreciation (depreciation)
|
658,628,780
|
|
Net realized and unrealized gain
|
904,001,422
|
|
Net increase in net assets resulting from operations
|
$983,130,088
|
The accompanying Notes to Financial Statements are an integral part of this statement.
14
Multi-Manager Value Strategies Fund | 2024
Statement of Changes in Net Assets
|
|
Year Ended
May 31, 2024
|
Year Ended
May 31, 2023
|
|
Operations
|
||
|
Net investment income
|
$79,128,666
|
$71,597,997
|
|
Net realized gain
|
245,372,642
|
196,625,980
|
|
Net change in unrealized appreciation (depreciation)
|
658,628,780
|
(506,496,549
)
|
|
Net increase (decrease) in net assets resulting from operations
|
983,130,088
|
(238,272,572
)
|
|
Distributions to shareholders
|
||
|
Net investment income and net realized gains
|
||
|
Institutional Class
|
(297,380,148
)
|
(459,910,497
)
|
|
Institutional 3 Class
|
(172
)
|
(297
)
|
|
Total distributions to shareholders
|
(297,380,320
)
|
(459,910,794
)
|
|
Increase in net assets from capital stock activity
|
437,160,933
|
280,464,948
|
|
Total increase (decrease) in net assets
|
1,122,910,701
|
(417,718,418
)
|
|
Net assets at beginning of year
|
4,171,479,504
|
4,589,197,922
|
|
Net assets at end of year
|
$5,294,390,205
|
$4,171,479,504
|
|
|
Year Ended
|
Year Ended
|
||
|
|
May 31, 2024
|
May 31, 2023
|
||
|
|
Shares
|
Dollars ($)
|
Shares
|
Dollars ($)
|
|
Capital stock activity
|
||||
|
Institutional Class
|
||||
|
Shares sold
|
72,910,420
|
1,111,477,137
|
60,652,201
|
897,414,259
|
|
Distributions reinvested
|
20,550,817
|
297,380,148
|
31,671,423
|
459,910,497
|
|
Shares redeemed
|
(63,961,386
)
|
(971,693,628
)
|
(71,142,459
)
|
(1,076,859,808
)
|
|
Net increase
|
29,499,851
|
437,163,657
|
21,181,165
|
280,464,948
|
|
Institutional 3 Class
|
||||
|
Shares redeemed
|
(173
)
|
(2,724
)
|
-
|
-
|
|
Net decrease
|
(173
)
|
(2,724
)
|
-
|
-
|
|
Total net increase
|
29,499,678
|
437,160,933
|
21,181,165
|
280,464,948
|
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund | 2024
15
Financial Highlights
The following table is intended to help you understand the Fund's financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The ratios of expenses and net investment income are annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund's portfolio turnover rate may be higher.
|
Institutional Class
|
Year Ended May 31,
|
||||
|
2024
|
2023
|
2022
|
2021
|
2020
|
|
|
Per share data
|
|||||
|
Net asset value, beginning of period
|
$13.95
|
$16.52
|
$17.67
|
$12.48
|
$12.83
|
|
Income (loss) from investment operations:
|
|||||
|
Net investment income
|
0.26
|
0.25
|
0.23
|
0.21
|
0.24
|
|
Net realized and unrealized gain (loss)
|
2.89
|
(1.12
)
|
0.02
(a)
|
5.34
|
(0.06
)(a)
|
|
Total from investment operations
|
3.15
|
(0.87
)
|
0.25
|
5.55
|
0.18
|
|
Distributions to shareholders
|
|||||
|
Distributions from net investment income
|
(0.25
)
|
(0.25
)
|
(0.22
)
|
(0.21
)
|
(0.23
)
|
|
Distributions from net realized gains
|
(0.73
)
|
(1.45
)
|
(1.18
)
|
(0.15
)
|
(0.30
)
|
|
Total distributions to shareholders
|
(0.98
)
|
(1.70
)
|
(1.40
)
|
(0.36
)
|
(0.53
)
|
|
Net asset value, end of period
|
$16.12
|
$13.95
|
$16.52
|
$17.67
|
$12.48
|
|
Total return
|
23.45
%
|
(5.54
%)
|
1.22
%
|
45.16
%
|
1.07
%
|
|
Ratios to average net assets
|
|||||
|
Total gross expenses(b)
|
0.70
%
|
0.72
%(c)
|
0.69
%(c)
|
0.71
%(c)
|
0.76
%
|
|
Total net expenses(b),(d)
|
0.69
%
|
0.72
%(c)
|
0.69
%(c)
|
0.71
%(c)
|
0.74
%
|
|
Net investment income
|
1.69
%
|
1.69
%
|
1.31
%
|
1.41
%
|
1.78
%
|
|
Supplemental data
|
|||||
|
Net assets, end of period (in thousands)
|
$5,294,390
|
$4,171,477
|
$4,589,195
|
$5,055,717
|
$3,589,152
|
|
Portfolio turnover
|
20
%
|
23
%
|
22
%
|
29
%
|
19
%
|
|
Notes to Financial Highlights
|
|
|
(a)
|
Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to timing of Fund shares sold and redeemed in relation to fluctuations in the market value of the portfolio.
|
|
(b)
|
In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund's reported expense ratios.
|
|
(c)
|
Ratios include interfund lending expense which is less than 0.01%.
|
|
(d)
|
Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
|
The accompanying Notes to Financial Statements are an integral part of this statement.
16
Multi-Manager Value Strategies Fund | 2024
Notes to Financial StatementsMay 31, 2024
Note 1. Organization
Multi-Manager Value Strategies Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares
The Trust may issue an unlimited number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers the share class listed in the Statement of Assets and Liabilities which is not subject to any front-end sales charge or contingent deferred sales charge.
The Fund's Board of Trustees approved a proposal to liquidate Institutional 3 Class shares of the Fund. Effective on March 11, 2024, Institutional 3 Class shares of the Fund were closed to new and existing investors and effective on April 19, 2024, Institutional 3 Class shares of the Fund were liquidated. For federal tax purposes, this liquidation was treated as a redemption of fund shares.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies(ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy approved by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Multi-Manager Value Strategies Fund | 2024
17
Notes to Financial Statements(continued)May 31, 2024
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund's Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes in individual markets. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund's risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty provides some protection in the case of clearing member default. The clearinghouse or central counterparty stands between the buyer and the seller of the contract; therefore, failure of the clearinghouse or central counterparty may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker's customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at
18
Multi-Manager Value Strategies Fund | 2024
Notes to Financial Statements(continued)May 31, 2024
that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the central counterparty or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing broker's customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instruments' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or central counterparty for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker or receive interest income on cash collateral pledged to the broker. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund's net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement. In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in
Multi-Manager Value Strategies Fund | 2024
19
Notes to Financial Statements(continued)May 31, 2024
unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended May 31, 2024:
|
Amount of realized gain (loss) on derivatives recognized in income
|
|
|
Risk exposure category
|
Futures
contracts
($)
|
|
Equity risk
|
(520,495
)
|
The following table is a summary of the average daily outstanding volume by derivative instrument for the year ended May 31, 2024:
|
Derivative instrument
|
Average notional
amounts ($)
|
|
Futures contracts - long
|
614,627
|
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager's estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
20
Multi-Manager Value Strategies Fund | 2024
Notes to Financial Statements(continued)May 31, 2024
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust's organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund's contracts with its service providers contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund's subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund's daily net assets that declines from 0.72% to 0.52% as the Fund's net assets increase. The effective management services fee rate for the year ended May 31, 2024 was 0.60% of the Fund's average daily net assets.
Subadvisory agreements
The Investment Manager has entered into Subadvisory Agreements with Diamond Hill Capital Management, Inc. and Dimensional Fund Advisors LP, each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of redemptions, are allocated in accordance with the Investment Manager's determination. Each subadviser's proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund's assets.
Compensation of Board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund's liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan
Multi-Manager Value Strategies Fund | 2024
21
Notes to Financial Statements(continued)May 31, 2024
constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees' fees deferred during the current period as well as any gains or losses on the Trustees' deferred compensation balances as a result of market fluctuations, is included in "Deferred compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer's total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with SS&C GIDS, Inc. (SS&C GIDS) to serve as sub-transfer agent. The Transfer Agent pays the fees of SS&C GIDS for services as sub-transfer agent and SS&C GIDS is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund's shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 3 Class shares are subject to an annual limitation of not more than 0.02% of the average daily net assets attributable to Institutional 3 Class shares. As a result of Institutional 3 Class shares of the Fund being liquidated, April 19, 2024 was the last day the Fund paid a transfer agency fee for Institutional 3 Class shares.
For the year ended May 31, 2024, the Fund's effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
|
|
Effective rate (%)
|
|
Institutional Class
|
0.09
|
|
Institutional 3 Class
|
0.02
(a)
|
|
(a)
|
Unannualized.
|
Distribution and service fees
The Fund has an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund does not pay the Distributor a fee for the distribution services it provides to the Fund.
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund's net operating expenses, after giving effect to fees waived/expensesreimbursed and any balance credits and/or overdraft charges from the Fund's custodian, do not exceed the following annual rate(s) as a percentage of the classes' average daily net assets:
|
|
October 1, 2023
through
September 30, 2024 (%)
|
Prior to
October 1, 2023 (%)
|
|
Institutional Class
|
0.69
|
0.74
|
22
Multi-Manager Value Strategies Fund | 2024
Notes to Financial Statements(continued)May 31, 2024
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At May 31, 2024, these differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees' deferred compensation, foreign currency transactions, earnings and profits distributed to shareholders on the redemption of shares and miscellaneous adjustments. To the extent these differences were permanent, reclassifications were made among the components of the Fund's net assets.
Temporary differences do not require reclassifications.
|
Undistributed net
investment
income ($)
|
Accumulated
net realized
gain ($)
|
Paid in
capital ($)
|
|
(4,299
)
|
(10,672,701
)
|
10,677,000
|
Net investment income (loss) and net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions paid during the years indicated was as follows:
|
Year Ended May 31, 2024
|
Year Ended May 31, 2023
|
||||
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total ($)
|
Ordinary
income ($)
|
Long-term
capital gains ($)
|
Total ($)
|
|
76,531,369
|
220,848,951
|
297,380,320
|
78,103,251
|
381,807,543
|
459,910,794
|
Short-term capital gain distributions, if any, are considered ordinary income distributions for tax purposes.
At May 31, 2024, the components of distributable earnings on a tax basis were as follows:
|
Undistributed
ordinary income ($)
|
Undistributed
long-term
capital gains ($)
|
Capital loss
carryforwards ($)
|
Net unrealized
appreciation ($)
|
|
23,639,111
|
152,579,547
|
-
|
1,132,871,408
|
At May 31, 2024, the cost of all investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
|
Federal
tax cost ($)
|
Gross unrealized
appreciation ($)
|
Gross unrealized
(depreciation) ($)
|
Net unrealized
appreciation ($)
|
|
4,150,563,063
|
1,261,872,766
|
(129,001,358
)
|
1,132,871,408
|
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Multi-Manager Value Strategies Fund | 2024
23
Notes to Financial Statements(continued)May 31, 2024
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management's conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $1,102,848,754 and $913,078,857, respectively, for the year ended May 31, 2024. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Brokerage commissions paid to brokers affiliated with the Investment Manager of the Fund were $450 for the year ended May 31, 2024.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. The Securities and Exchange Commission has adopted amendments to money market fund rules requiring institutional prime money market funds like the Affiliated MMF to be subject to a discretionary liquidity fee of up to 2% if the imposition of such a fee is determined to be in the best interest of the Affiliated MMF and, by October 2, 2024, to a mandatory liquidity fee if daily net redemptions exceed 5% of net assets.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager's relationship with each Participating Fund.
The Fund did not borrow or lend money under the Interfund Program during the year ended May 31, 2024.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 26, 2023 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $900 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate plus, in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 26, 2023 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings
24
Multi-Manager Value Strategies Fund | 2024
Notes to Financial Statements(continued)May 31, 2024
up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.10% and (iii) the overnight bank funding rate plus, in each case, 1.00%.
The Fund had no borrowings during the year ended May 31, 2024.
Note 9. Significant risks
Financial sector risk
The Fund is vulnerable to the particular risks that may affect companies in the financial services sector. Companies in the financial services sector are subject to certain risks, including the risk of regulatory change, decreased liquidity in credit markets and unstable interest rates. Such companies may have concentrated portfolios, such as a high level of loans to one or more industries or sectors, which makes them vulnerable to economic conditions that affect such industries or sectors. Performance of such companies may be affected by competitive pressures and exposure to investments, agreements and counterparties, including credit products that, under certain circumstances, may lead to losses (e.g., subprime loans). Companies in the financial services sector are subject to extensive governmental regulation that may limit the amount and types of loans and other financial commitments they can make, and interest rates and fees that they may charge. In addition, profitability of such companies is largely dependent upon the availability and the cost of capital.
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund's ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, other conflicts, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events - or the potential for such events - could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock markets, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could continue to be significant. Market disruption caused by the Russian military action, and any countermeasures or responses thereto (including international sanctions, a downgrade in a country's credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could continue to have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, restricted cross-border payments and limited access to investments and/or assets in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
Shareholder concentration risk
At May 31, 2024, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Fund shares sold to or redeemed by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Multi-Manager Value Strategies Fund | 2024
25
Notes to Financial Statements(continued)May 31, 2024
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of their activities as part of a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provide services to the Fund.
26
Multi-Manager Value Strategies Fund | 2024
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Columbia Funds Series Trust II and Shareholders of Multi-Manager Value Strategies Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Multi-ManagerValue Strategies Fund (one of the funds constituting Columbia Funds Series Trust II, referred to hereafter as the "Fund") as of May 31, 2024, the related statement of operations for the year ended May 31, 2024, the statement of changes in net assets for each of the two years in the period ended May 31, 2024, including the related notes, and the financial highlights for each of the five years in the period ended May 31, 2024 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2024, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2024 and the financial highlights for each of the five years in the period ended May 31, 2024 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2024 by correspondence with the custodian, transfer agent and broker; when replies were not received from the broker, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 23, 2024
We have served as the auditor of one or more investment companies within the Columbia Funds Complex since 1977.
Multi-Manager Value Strategies Fund | 2024
27
Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for the fiscal year ended May 31, 2024. Shareholders will be notified in early 2025 of the amounts for use in preparing 2024 income tax returns.
|
Qualified
dividend
income
|
Dividends
received
deduction
|
Capital
gain
dividend
|
|
100.00%
|
100.00%
|
$244,649,912
|
Qualified dividend income. For taxable, non-corporate shareholders, the percentage of ordinary income distributed during the fiscal year that represents qualified dividend income subject to reduced tax rates.
Dividends received deduction. The percentage of ordinary income distributed during the fiscal year that qualifies for the corporate dividends received deduction.
Capital gain dividend. The Fund designates as a capital gain dividend the amount reflected above, or if subsequently determined to be different, the net capital gain of such fiscal period.
28
Multi-Manager Value Strategies Fund | 2024
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
Multi-Manager Value Strategies Fund
P.O. Box 219104
Kansas City, MO 64121-9104
Please read and consider the investment objectives, risks, charges and expenses for any fund carefully before investing. For a prospectus and summary prospectus, which contains this and other important information about the Fund, go to
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Columbia Threadneedle Investments (Columbia Threadneedle) is the global brand name of the Columbia and Threadneedle group of companies. All rights reserved.
© 2024 Columbia Management Investment Advisers, LLC.
columbiathreadneedleus.com/investor/
ANN116_05_P01_(07/24)
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies is included in Item 7 of this Form N-CSR.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors implemented since the registrant last provided disclosure as to such procedures in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K or Item 15 of Form N-CSR.
Item 16. Controls and Procedures.
(a) The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b) There was no change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
(a)(1) Code of ethics required to be disclosed under Item 2 of Form N-CSR attached hereto as Exhibit 99.CODE ETH.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) attached hereto as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (registrant) | Columbia Funds Series Trust II |
|
|
|
| By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer | |
|
|
|
| Date | July 23, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title) | /s/ Daniel J. Beckman |
| Daniel J. Beckman, President and Principal Executive Officer | |
|
|
|
| Date | July 23, 2024 |
|
|
|
| By (Signature and Title) | /s/ Michael G. Clarke |
| Michael G. Clarke, Chief Financial Officer, | |
| Principal Financial Officer and Senior Vice President | |
|
|
|
| Date | July 23, 2024 |
|
|
|
| By (Signature and Title) | /s/ Charles H. Chiesa |
| Charles H. Chiesa, Treasurer, Chief Accounting | |
| Officer and Principal Financial Officer | |
|
|
|
| Date | July 23, 2024 |