Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.

You may elect to receive all future shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.

Not Federally Insured • No Financial Institution Guarantee • May Lose Value

Table of Contents

Fund at a Glance

Investment objective

The Fund seeks capital appreciation with an emphasis on absolute (positive) returns.

Portfolio management

AlphaSimplex Group, LLC

Alexander Healy, Ph.D.

Kathryn Kaminski, Ph.D., CAIA

Philippe Lüdi, Ph.D., CFA

John Perry, Ph.D.

Robert Rickard

AQR Capital Management, LLC

Clifford Asness, Ph.D., M.B.A.

John Liew, Ph.D., M.B.A.

Yao Hua Ooi

Ari Levine, M.S.

Manulife Investment Management (US) LLC

Daniel Janis III

Christopher Chapman, CFA

Thomas Goggins

Kisoo Park

TCW Investment Management Company LLC

Stephen Kane, CFA

Laird Landmann

Tad Rivelle

Bryan Whalen, CFA

Water Island Capital, LLC

Edward Chen

Roger Foltynowicz, CFA, CAIA

Gregg Loprete

Todd Munn

Average annual total returns (%) (for the period ended August 31, 2020)
		Inception	1 Year	5 Years	Life
Institutional Class*		01/03/17	2.34	0.79	1.60
FTSE Three-Month U.S. Treasury Bill Index			1.18	1.15	0.71

All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.

The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.

*

The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Returns shown for periods prior to the inception date of the Fund’s Institutional Class shares include the returns of the Fund’s Class A shares for the period from April 23, 2012 (the inception date of the Fund) through January 2, 2017. 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.

The FTSE Three-Month U.S. Treasury Bill Index, an unmanaged index, is representative of the performance of three-month Treasury bills.

Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.

Fund performance may be significantly negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.

Manager Discussion of Fund Performance

Multi-Manager Alternative Strategies Fund is currently managed by five independent money management firms and each invests a portion of the portfolio’s assets. As of August 31, 2020, AQR Capital Management, LLC (AQR), Water Island Capital, LLC (Water Island), TCW Investment Management Company, LLC (TCW), Manulife Investment Management (US) LLC (Manulife) and AlphaSimplex Group, LLC (AlphaSimplex) managed approximately 10.8%, 25.8%, 30.3%, 20.2% and 12.9% of the portfolio, respectively.

For the 12-month period that ended August 31, 2020, the Fund’s Institutional shares returned 2.34%. The Fund outperformed its benchmark, the FTSE Three-Month U.S. Treasury Bill Index, which returned 1.18% over the same period. The Fund’s outperformance can be attributed primarily to implementation of various alternative strategies.

Capital markets were resilient amid pandemic-sparked heightened volatility

From the fall of 2019, when the annual period began, into the first trading sessions of 2020, the dovish stance of global central banks overwhelmed any temporary disruptions and potential downside risks, leading to a fairly consistent risk rally. However, the longest equity bull market in U.S. history was brought to an end in the first quarter of 2020 with devastating speed, laid low by the global transmission of COVID-19 and the strict economic curbs invoked to slow its further spread. The consequent equity market volatility sent risk premiums soaring across the bond markets as well, with no sector spared the repricing, particularly as levered investor, or forced, sales and more routine redemptions tested liquidity in a fashion unhappily reminiscent of 2008. Assessing the damage, the S&P 500 Index saw all of its gains since 2016 erased in a near-20% first quarter 2020 loss, punctuated by an approximately 34% tumble from February 19 through March 23 and a one-day plummet of about 12% on March 16. Corporate bonds’ difficulties were nearly as staggering, posting intra-quarter peak-to-trough slides of approximately 15.4% in investment grade and close to 21% in high yield. In a testament to the volatility and unusual circumstances, the U.S. Treasury market rallied ferociously, with the 10-year and 30-year U.S. Treasury yields closing at record lows of 0.54% and just under 1%, respectively, on March 9. Foreshadowing a coming cascade of stimulus, the Federal Reserve (Fed) weighed in with two between-meeting cuts to its target federal funds rate, lopping it to near-zero. In addition, the Fed resumed its asset purchase programs, surpassing expectations in both size and speed with regard to its balance sheet expansion. The effect of these policies was an abundance of liquidity and investors impervious to downside potential, seemingly secure in a reliance on monetary policy to backstop markets, led to a significant risk market reversal from the troughs of March. Given this rally, the equity market clawed back its losses, and the S&P 500 Index returned 21.94% for the annual period, while the Bloomberg Barclays US Aggregate Bond Index was up 6.47%, largely due to the steep decline in interest rates, particularly for short-dated maturities.

Although certain capital market and economic data indicated a bounce-back, like housing and retail sales, the expiration of the enhanced employment benefit, an impasse on Capitol Hill with regard to a next-phase stimulus deal, and a contentious U.S. Presidential election on the horizon cast a cloud of uncertainty beyond that of the pandemic itself. The labor market, in particular, remained an area of concern, as approximately one million Americans filed for unemployment benefits each week, while nearly 20 million filed continuing claims, an order of magnitude higher than any seen since the Great Depression. The number of indicators signaling uncharted weakness was high, and even the more optimistic projections suggested a considerable time frame until U.S. gross domestic product recovers from recessionary first and second quarter 2020 negative growth rates. At the same time, corporations tapped into markets in unprecedented fashion, with investment-grade issuance reaching record levels, adding to already-elevated leverage metrics. The open markets for certain issuers and lofty general pricing levels belied what was an acceleration in downgrade and default experience, which, given the still-recessionary economy, may be hard to slow.

Money management firms delivered results based on variety of alternative strategies

AQR: Our portion of the Fund, which pursues an active managed futures strategy, underperformed the benchmark during the annual period. We invest in a diverse portfolio of futures and forward contracts, both long and short, across the global equity, fixed income, commodity and currency markets. In implementing our strategy, we utilize both short-term and long-term trend-following signals to attempt to profit from different types of trends that occur in each of these markets. Trend following can be simply described as taking long positions in markets that are rising in price and taking short positions in markets that are falling in price. In addition to trend-following signals, we also incorporate signals that seek to identify over-extended trends and seek to reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies. Our portion of the Fund posted negative returns during the annual period due to

6	Multi-Manager Alternative Strategies Fund | Annual Report 2020

Manager Discussion of Fund Performance  (continued)

several major market reversals. Buoyant global financial markets reversed and fell sharply into a crisis in response to the COVID-19 pandemic, only to quickly reverse again and recover in the latter months of the annual period. Despite the losses, our portion of the Fund exhibited strong gains in the first quarter of 2020 with its strongest returns during the peak of the COVID-19 pandemic in March. This demonstrated the strong diversification potential of the strategy in the context of traditional asset classes. At the peak of the COVID-19 pandemic, markets exhibited significant increases in volatility across asset classes, and market outcomes were generally consistent with risk-off sentiment, with equities and commodities falling and fixed income and the U.S. dollar rallying. Positioning within our portion of the Fund reflected these risk-off dynamics, but as markets and broader risk sentiment thereafter reversed sharply, this caused losses for our portion of the Fund.

By asset class, currencies and equities detracted from our portion of the Fund’s results, while commodities and fixed income contributed positively. By signal, long-term trend following signals drove losses, while short-term trend-following signals detracted to a lesser extent. Overextended trend signals, which attempt to identify trends that have gone too far and are due for reversals, contributed positively.

TCW: Our portion of the Fund, which implements an unconstrained bond strategy, outperformed the benchmark during the annual period, largely due to its duration positioning of approximately 1.7 years, which was rewarded as U.S. Treasury rates fell dramatically. During the annual period, the 10-year U.S. Treasury yield fell more than 79 basis points. (A basis point is 1/100th of a percentage point.) From a sector perspective, given the considerable remediation in corporate credit spreads from March 2020 lows, our portion of the Fund’s allocation to and tactical shifts within both investment-grade and high-yield credit sectors was additive to relative returns. Contributions were led by consumer non-cyclicals, communications and banking issues. Outside of credit, agency-backed commercial mortgage-backed securities (CMBS) holdings contributed positively, as the sector considerably outpaced non-agency CMBS.

Partially detracting from these positive contributors was exposure to securitized products, which weighed on performance, especially non-agency CMBS and non-agency mortgage-backed securities holdings that experienced considerable markdowns amidst market volatility. Another headwind came from our portion of the Fund’s modest allocation to emerging markets debt, which detracted given the sector’s weak performance during the early 2020 risk-off environment. Within our portion of the Fund’s corporate credit exposure, a modest allocation to airline credits weighed on returns, as consumer travel demand plummeted due to the COVID-19 pandemic.

Water Island: Our portion of the Fund, which employs a variety of alternative event-driven strategies, outperformed the benchmark during the annual period. All three of the sub-strategies we employ, merger arbitrage, credit opportunities and equity special situations, contributed positively to our portion of the Fund’s results during the annual period, though the merger arbitrage sub-strategy comprised the bulk of the portfolio during the annual period and was thus responsible for most of its performance. The top performing investment in the merger arbitrage sleeve was our portion of the Fund’s position in the acquisition of Caesars Entertainment by Eldorado Resorts.

The sectors that contributed most to returns were consumer discretionary, health care and information technology. The Caesars Entertainment/Eldorado Resorts deal was the top performer in consumer discretionary, while the top performers in health care and information technology were the merger of Abbvie and Allergan and NVIDIA’s acquisition of Mellanox Technologies, respectively. The majority of our portion of the Fund’s return during the annual period was derived from corporate events in the U.S.

The sector that dampened results most was real estate, where our portion of the Fund’s merger arbitrage position in the acquisition of Taubman Centers by Simon Property Group was the top detractor. The materials sector and our broad market hedges also detracted modestly from relative results. Other significant detractors from our portion of the Fund’s results were our merger arbitrage positions in Gilat Satellite Networks’ acquisition by Comtech Telecommunications and in Fitbit’s acquisition by Alphabet, via its subsidiary Google. The country that detracted most from our portion of the Fund’s performance was Israel, as a result of the losses experienced in our portion of the Fund’s investment in Comtech Telecommunications’ bid for Israel-based Gilat Satellite Networks.

Manulife: Our portion of the Fund outperformed the benchmark during the annual period. Our portion of the Fund, employing a strategic fixed-income opportunity strategy, primarily seeks to add alpha, or value, through security selection, sector rotation, regional allocation and opportunistic currency investments. During the annual period, the low yield environment and

Multi-Manager Alternative Strategies Fund | Annual Report 2020

7

Manager Discussion of Fund Performance  (continued)

the weakness in the U.S. dollar seen in the latter months of the annual period were the primary factors driving relative performance, with the largest positive contributors being duration positioning and currency management. Sector allocation modestly detracted, as riskier sectors generally underperformed during the annual period.

Relative to the benchmark, the single largest driver of our portion of the Fund’s performance during the annual period was our long duration profile, which helped as yields moved sharply lower when governments and global central banks enacted measures to help mitigate the impact of the COVID-19 pandemic on the global economy. From a sector perspective, allocations to convertibles, investment-grade corporate bonds and emerging markets sovereign debt contributed most positively. The largest contributors to performance from a non-U.S. country perspective were local market positioning in Canada, Brazil and Indonesia, as yields there moved sharply lower.

Only partially offsetting these positive contributors were allocations to CMBS and high-yield corporate bonds, which detracted. Concerns around the potential long-term impact of the pandemic on real estate prices put pressure on CMBS. Within our portion of the Fund’s high-yield corporate bond allocation, exposure to energy names, while modest, weighed most on performance. Within the currency allocation, overweights to the Brazilian real and Colombian peso were the primary detractors. From a country allocation perspective, local market positioning in the Eurozone was the primary detractor, with the yield on the 10-year German bund moving higher from already negative levels, shifting from -0.7% to -0.4% during the annual period.

AlphaSimplex: During the annual period, our portion of the Fund, which utilizes a managed futures strategy, outperformed the benchmark. Positive returns primarily came from fixed income. Commodities also provided some positive performance. In aggregate, equities and currencies detracted from performance.

In fixed income, gains came primarily from long positions in U.S. five-year and 10-year bonds and in the euro. Our portion of the Fund also had gains from Canadian 10-year notes, Australian two-year notes and the British gilt. In commodities, gains came from energies and precious metals. In equities, gains came from the NASDAQ 100, MSCI Taiwan and China A50. In currencies, gains came from the Australian dollar and euro.

Conversely, in general, short positions led to losses from the majority of equities. Losses were particularly notable from the S&P 400 MidCap. Within currencies, losses came from the Japanese yen and Mexican peso, amongst others. In commodities, agricultural commodities and base metals detracted from performance.

Within the different model types we employ, we saw positive performance across the board, especially from short-horizon and adaptive models. Basic multi-trend approaches also contributed positively.

Changes to the Fund’s portfolio based on strategy implementation

The Fund’s portfolio turnover rate for the 12-month period was 188%. A significant portion of the turnover was the result of rolling-maturity mortgage securities, processing of prepayments and opportunistic changes our managers made at the margin in response to valuations or market developments.

AQR: Our portion of the Fund aims to take a risk-balanced approach to asset classes, allowing for tactical deviation as a result of attractiveness of trends. The largest detractors during the annual period were the Japanese yen, the Canadian dollar and the New Zealand dollar. The largest positive contributors during the annual period were gold futures, the Australian dollar and gas oil futures.

By asset class, trend following in currencies drove losses most within our portion of the Fund during the annual period. A net short in the U.S. dollar from late-2019 turned long in early-February 2020 and remained long for most of the annual period, benefiting especially in March when the U.S. dollar rallied strongly. Thereafter, the U.S. dollar sold off sharply and caused losses as the Fed indicated U.S. monetary policy would remain highly accommodative for an extended time. The reversal in risk sentiment also impacted the Japanese yen and the Canadian dollar, which detracted from performance.

Trend following in equities also detracted during the annual period, primarily due to sell-offs in January and February, while trend following in equities generated gains in late-2019 and toward the end of the annual period. Positioning was net long on average but decreased and became approximately neutral by early March, remaining neutral through May when bullish short-term trends turned positioning net long.

8	Multi-Manager Alternative Strategies Fund | Annual Report 2020

Manager Discussion of Fund Performance  (continued)

Conversely, commodities contributed positively to our portion of the Fund’s performance during the annual period. Falling energy prices contributed meaningfully to performance as did rising precious metals prices, particularly gold.

Trend following in fixed income generated positive returns during the annual period. Despite sell-offs in late-2019 and in August 2020, some fixed-income markets exhibited dramatic rallies during the COVID-19 pandemic. The most meaningful gains came from U.S. fixed income, which rallied significantly across government bond segments and short-term interest rate futures. These gains were partially offset by losses in German government bund futures, which exhibited several reversals during the annual period.

At the end of the annual period, equity positioning within our portion of the Fund was net long, driven primarily by bullish short-term signals. Within fixed income, our portion of the Fund ended the annual period net long, with long exposures to U.S. and U.K. fixed income and short exposures to Japanese bond futures. Within currencies, our portion of the Fund ended the annual period net long the euro as well as other developed and emerging market currencies and net short the U.S. dollar and Japanese yen. Within commodities, energy exposures at the end of the annual period were muted, as short-term and long-term signals disagreed, but positioning was net long across all other commodities sectors with bullish agreement between short-term and long-term signals.

TCW: As U.S. Treasury yields touched historic lows during the annual period, our portion of the Fund’s duration profile was reduced in a disciplined fashion to approximately 1.6 years at the end of August 2020.

In terms of sector allocation, early 2020 market volatility provided an expanded opportunity set among spread products, in our view, and so our portion of the Fund sought to take advantage of attractive entry points to add exposures to high quality sectors that had shown resilience or that we believed were likely to benefit from Fed support. For example, positioning shifts included a substantial increase to corporate credit exposure in the first quarter of 2020, with a focus on long-dated high quality, high conviction names with what we like to call “fortress balance sheets.” High-yield credit exposure was also increased but remained focused on defensive, larger, more liquid and relatively high-quality credit. Within the securitized sector, our portion of the Fund added significantly to its agency mortgage-backed securities exposure in the first calendar quarter on weakness, then trimmed back to beginning of calendar year levels as spreads remediated in the second quarter of 2020. In August 2020, we again increased this position given what we viewed as a strong relative value proposition.

Water Island: During the annual period, extreme market volatility and spread dislocations presented opportunities to trade around positions in the merger arbitrage sleeve of the portfolio. This gave us the ability to enter and exit deals, executing purchases and sales, and even reversing, or selling short, mergers at times. Two merger arbitrage positions in which we capitalized on such opportunities were the merger of Forescout Technologies by Advent International and the acquisition of Tiffany by LVMH Moet Hennessy Louis Vuitton. In the former, our portion of the Fund was rewarded when the deal closed successfully in August 2020. In the latter, as the deal dragged on, we became increasingly concerned about the potential downside in Tiffany should the deal fail to complete. This led us to exit our long position and initiate a short position in August, as we believed there was not necessarily a greater likelihood the deal would break but that the spread was more likely to widen before it tightened and that a cut in deal terms was increasingly probable. (On September 9, 2020, after the close of the annual period, LVMH Moet Hennessy Louis Vuitton pulled out of its acquisition of Tiffany, sparking lawsuits between the two.)

Any shifts in sector exposure are largely the result of the available opportunity set in terms of corporate activity and the subset of events that meet our risk/reward criteria. That said, the sectors in which we saw the highest levels of corporate activity during the annual period included health care, information technology and consumer discretionary. While our credit opportunities positions did not comprise a large percentage of the portfolio during the annual period, we nonetheless remained focused on maintaining short duration in those positions, not only from the perspective of effective duration but also when viewed through the lens of “duration to catalyst” — our proprietary metric that takes into account the potential for a shortened timeline should a particular expected corporate event come to fruition. As always, we seek returns driven by the outcomes of specific, idiosyncratic corporate events, rather than by the overall market. Our strategy is agnostic in terms of capitalization, style, sector or country weighting.

Manulife: Heading into 2020, fading geopolitical and trade tensions, central bank liquidity and better primary data out of the world’s two biggest economies drove a positive tone to start the calendar year. It was against this backdrop that we moved to a more balanced posture in our portion of the Fund, maintaining a longer duration and adding both to more defensive

Multi-Manager Alternative Strategies Fund | Annual Report 2020

9

Manager Discussion of Fund Performance  (continued)

positions in U.S. Treasuries and foreign developed government bonds and to spread sectors to help generate additional income. The net result of this strategy was positive, with long-duration, safe-haven positions helping to dampen volatility during the sell-off in the first quarter of 2020 and with spread sectors generally performing well during the second calendar quarter.

From a credit risk perspective, toward the end of the annual period, we increased corporate credit exposure on a selective basis, recognizing that industry, quality and issuer selection are increasingly key factors. We reduced exposure to agency mortgage-backed securities, select asset-backed securities, non-agency mortgage-backed securities and CMBS as a funding source to add exposure to high-yield corporate bonds. At the same time, we held core positions in global government bonds, mortgage-backed securities and asset-backed securities, as we sought to provide diversification away from pure corporate risk. We remained cautious on emerging markets debt. We reduced exposure to U.S. Treasuries in favor of taxable municipal bonds.

From a regional and country allocation perspective, we increased exposure to the U.S., Indonesia and Portugal and initiated new positions in the United Arab Emirates, Italy and Spain. Decreases were primarily among local emerging markets positions where we looked to reduce overall currency risk in the portfolio, namely in Brazil, the Philippines and Colombia.

At the end of the annual period, our portion of the Fund maintained a rather balanced posture between yield/risk and quality, stability and liquidity through its various sector allocations. From a regional/country perspective, our portion of the Fund held its primary exposure to the U.S. but also held core developed market positions in Canada, supranationals and Norway. In emerging markets, our portion of the Fund held core positions in Indonesia and Brazil.

AlphaSimplex: Our team focuses on developing quantitative and automated investment processes rather than employing discretion in managing portfolios. All aspects of our trading, including quantity, direction, limit level, allocation rules and more, are governed by systematic algorithms. That said, shifts in positioning were made over the course of the annual period, as the algorithms mandated. For example, overall, long positions in equities and interest rates increased, and long positions in bonds decreased. Our portion of the Fund shifted from short positions in currencies and commodities at the start of the annual period to long exposures overall in the last months of the annual period.

At the end of the annual period, our portion of the Fund held short exposures to various individual segments of the markets, but as a whole, our portion of the Fund had long exposures, all via futures contracts, to equities, interest rates, bonds, currencies and commodities.

Derivative positions in the Fund

AQR: Our portion of the Fund invests mostly via derivatives, primarily futures contracts and futures-related instruments. These include global developed and emerging market equity index futures; global developed and emerging market currency forwards; commodity futures and swaps on commodity futures; and global developed market bonds and interest rate futures as well as swaps on bond futures. Our portion of the Fund is implemented using derivative instruments because we believe derivatives offer the most liquid, low cost and efficient way to gain diversified market exposure across asset classes. The overall impact of derivatives on performance was varied and linked to the strategies within which they are implemented.

TCW: Our portion of the Fund held U.S. Treasury futures as a method of managing duration. The use of these futures was effectively used to manage duration but detracted from performance on an absolute basis during the annual period. Our portion of the Fund also used currency swaps, maintaining a position in Japanese government bonds, with the yen exposure fully hedged out using a U.S. dollar-yen cross currency swap given what we saw as an attractive yield premium. The currency swap position added modest value during the annual period. We exited the swap position when the value proposition became, in our view, less attractive.

Water Island: During the annual period, our portion of the Fund employed total return equity swaps, equity options and currency forwards for four core purposes—to hedge currency risk, to invest outside the U.S. more efficiently, to create income and optionality, and to limit volatility and correlation. Additionally, in certain complex stock-for-stock deals, our portion of the Fund may use derivatives to enhance the risk/reward profile of the deal. During the annual period, the performance of derivatives was consistent with their intended use but they did detract modestly from our portion of the Fund’s performance.

10	Multi-Manager Alternative Strategies Fund | Annual Report 2020

Manager Discussion of Fund Performance  (continued)

Manulife: During the annual period, our portion of the Fund used interest rate futures and currency forwards to manage risk, provide diversification and enhance returns. The impact of currency forwards was mixed, as they also reflect hedging effects. However, overall, currency-related investments, including derivatives, contributed positively. We employed futures contracts on U.S., Italian and German government bonds to help manage overall interest rate risk in the portfolio, which, as a whole, contributed positively.

AlphaSimplex: Our portion of the Fund invests mostly via derivatives, primarily futures contracts and futures-related instruments. The derivatives employed are primarily exchange-traded futures contracts, which are used to gain liquid exposure to and rotate among a broad array of markets. We used these derivatives in pursuit of our portion of the Fund’s investment objective, to manage overall market exposure, and for alpha, or value, generation. Derivatives may be used to obtain long or short exposure to a particular asset class, region, currency, commodity or index. With the exception of returns generated by our portion of the Fund’s short-term cash portfolio, the overall impact of derivatives on performance was varied and linked to the asset class, region, currency, commodity or index within which they are implemented.

Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Investing in derivatives is a specialized activity that involves special risks that subject the Fund to significant loss potential, including when used as leverage, and may result in greater fluctuation in fund value. Commodity investments may be affected by the overall market and industry- and commodity-specific factors, and may be more volatile and less liquid than other investments. Fixed-income securities present issuer default risk. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing in lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Prepayment and extension risk exists because the timing of payments on a loan, bond or other investment may accelerate when interest rates fall or decelerate when interest rates rise which may reduce investment opportunities and potential returns. International investing involves certain risks and volatility due to potential political, economic or currency instabilities and different financial and accounting standards. Certain issuer events, including initial public offerings, business consolidation or restructuring, may present heightened risks to securities from the high degree of uncertainty associated with such events. Short positions (where the underlying asset is not owned) can create unlimited risk. Risks are enhanced for emerging market and sovereign debt issuers. The Fund is managed by multiple advisers independently of one another, which may result in contradicting trades (i.e., with no net benefit to the Fund), while increasing transaction costs. As a non-diversified fund, fewer investments could have a greater effect on performance. Market or other (e.g., interest rate) environments may adversely affect the liquidity of fund investments, negatively impacting their price. Generally, the less liquid the market at the time the Fund sells a holding, the greater the risk of loss or decline of value to the Fund. See the Fund’s prospectus for more information on these and other risks.

The views expressed in this report reflect the current views of the respective parties who have contributed to the report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.

Multi-Manager Alternative Strategies Fund | Annual Report 2020

11

Understanding Your Fund’s Expenses
(Unaudited)

As an investor, you incur two types of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.

Analyzing your Fund’s expenses

To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.

Compare with other funds

Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.

March 1, 2020 — August 31, 2020
	Account value at the beginning of the period ($)		Account value at the end of the period ($)		Expenses paid during the period ($)		Fund’s annualized expense ratio (%)
	Actual	Hypothetical	Actual	Hypothetical	Actual	Hypothetical	Actual
Institutional Class	1,000.00	1,000.00	1,033.00	1,017.89	7.50	7.45	1.46

Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 366.

Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.

The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates, and to group retirement plan record keeping platforms that have an agreement with (i) Columbia Management Investment Distributors, Inc. or an affiliate thereof that specifically authorizes the group retirement plan record keeper to offer and/or service Instutional 3 Class shares within such platform, provided also that Fund shares are held in an omnibus account and (ii) Wilshire Associates, appointed or serving as investment manager or consultant to the record keeper’s group retirement plan platform. The Fund does not currently offer Institutional 3 Class shares. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees charged.

Consolidated Portfolio of Investments
August 31, 2020

(Percentages represent value of investments compared to net assets)

Investments in securities

Asset-Backed Securities — Non-Agency 3.1%
Issuer	Coupon Rate		Principal Amount ($)	Value ($)
American Express Credit Account Master Trust(a)
Series 2017-2 Class A
1-month USD LIBOR + 0.450% 09/16/2024	0.612%		250,000	251,178
BlueMountain CLO Ltd.(a),(b)
Series 2013-1A Class A1R2
3-month USD LIBOR + 1.230% Floor 1.230% 01/20/2029	1.502%		394,016	393,050
Series 2015-2A Class A1R
3-month USD LIBOR + 0.930% Floor 0.930% 07/18/2027	1.202%		420,024	417,259
Cedar Funding II CLO Ltd.(a),(b)
Series 2013-1A Class A1R
3-month USD LIBOR + 1.230% 06/09/2030	1.543%		750,000	748,929
Conseco Finance Corp.(c)
Series 2096-9 Class M1
08/15/2027	7.630%		474,614	505,995
DB Master Finance LLC(b)
CMO Series 2017-1A Class A2I
11/20/2047	3.629%		195,000	198,699
Series 2019-1A Class A2I
05/20/2049	3.787%		188,100	195,047
Series 2019-1A Class A2II
05/20/2049	4.021%		99,000	104,645
Domino’s Pizza Master Issuer LLC(a),(b)
CMO Series 2017-1A Class A2I
3-month USD LIBOR + 1.250% 07/25/2047	1.495%		364,687	364,465
Dryden 30 Senior Loan Fund(a),(b)
Series 2013-30A Class AR
3-month USD LIBOR + 0.820% 11/15/2028	1.100%		260,000	257,664
Eaton Vance CLO Ltd.(a),(b)
Series 2013-1A Class A1RR
3-month USD LIBOR + 1.160% 01/15/2028	1.435%		310,000	309,002
ECMC Group Student Loan Trust(a),(b)
Series 2016-1A Class A
1-month USD LIBOR + 1.350% 07/26/2066	1.525%		719,969	718,178
Education Loan Asset-Backed Trust I(a),(b)
Series 2013-1 Class A2
1-month USD LIBOR + 0.800% Floor 0.800% 04/26/2032	0.975%		436,000	418,867

Asset-Backed Securities — Non-Agency (continued)
Issuer	Coupon Rate		Principal Amount ($)	Value ($)
Jack in the Box Funding LLC(b)
Series 2019-1A Class A2II
08/25/2049	4.476%		124,062	128,037
JG Wentworth XXII LLC(b)
Series 2010-3A Class A
12/15/2048	3.820%		500,827	524,795
LCM XXI LP(a),(b)
Series 20 18-21A Class AR
3-month USD LIBOR + 0.880% 04/20/2028	1.152%		450,000	446,221
MVW Owner Trust(b)
Series 2018-1A Class A
01/21/2036	3.450%		72,137	74,662
Navient Student Loan Trust(a)
Series 2014-1 Class A3
1-month USD LIBOR + 0.510% Floor 0.510% 06/25/2031	0.682%		518,891	501,057
Navient Student Loan Trust(a),(b)
Series 2016-1A Class A
1-month USD LIBOR + 0.700% 02/25/2070	0.872%		472,298	456,094
Nelnet Student Loan Trust(a),(b)
Series 2012-1A Class A
1-month USD LIBOR + 0.800% Floor 0.800% 12/27/2039	0.975%		405,836	397,984
Palmer Square Loan Funding Ltd.(a),(b)
Series 2020-2A Class A2
3-month USD LIBOR + 1.550% Floor 1.550% 04/20/2028	1.822%		200,000	197,767
SLM Student Loan Trust(a),(b)
Series 2003-10A Class A3
3-month USD LIBOR + 0.470% 12/15/2027	1.211%		234,012	231,574
SLM Student Loan Trust(a)
Series 2007-3 Class A4
3-month USD LIBOR + 0.060% Floor 0.060% 01/25/2022	0.305%		694,764	671,805
Series 2007-6 Class A4
3-month USD LIBOR + 0.380% Floor 0.380% 10/25/2024	0.625%		141,742	141,374
Series 2008-2 Class B
3-month USD LIBOR + 1.200% Floor 1.200% 01/25/2083	1.445%		740,000	585,921

Consolidated Portfolio of Investments  (continued)
August 31, 2020

14	Multi-Manager Alternative Strategies Fund  | Annual Report 2020

Consolidated Portfolio of Investments  (continued)
August 31, 2020

16	Multi-Manager Alternative Strategies Fund  | Annual Report 2020

Consolidated Portfolio of Investments  (continued)
August 31, 2020

18	Multi-Manager Alternative Strategies Fund  | Annual Report 2020

Consolidated Portfolio of Investments  (continued)
August 31, 2020

20	Multi-Manager Alternative Strategies Fund  | Annual Report 2020

Consolidated Portfolio of Investments  (continued)
August 31, 2020

22	Multi-Manager Alternative Strategies Fund  | Annual Report 2020

Consolidated Portfolio of Investments  (continued)
August 31, 2020

24	Multi-Manager Alternative Strategies Fund  | Annual Report 2020

Consolidated Portfolio of Investments  (continued)
August 31, 2020

26	Multi-Manager Alternative Strategies Fund  | Annual Report 2020

Consolidated Portfolio of Investments  (continued)
August 31, 2020

28	Multi-Manager Alternative Strategies Fund  | Annual Report 2020

Consolidated Portfolio of Investments  (continued)
August 31, 2020