Manager Discussion of Fund Performance

Columbia Management Investment Advisers, LLC (CMIA) serves as the investment manager for the Fund and attempts to achieve the Fund’s objective by managing a portion of the Fund’s assets and selecting one or more subadvisers to manage other sleeves independently of each other and CMIA. Portions of the Fund’s assets are subadvised by AQR Capital Management, LLC (AQR) and QMA LLC (QMA). As of May 31, 2021, CMIA, AQR and QMA managed approximately 51.38%, 25.52% and 23.10% of the portfolio, respectively.

For the 12-month period that ended May 31, 2021, the Fund’s Class A shares returned 6.50% excluding sales charges. To compare, the FTSE One-Month U.S. Treasury Bill Index returned 0.07% and the HFRX Global Hedge Fund Index returned 13.54% over the same time period. As an absolute return fund, it employs a benchmark agnostic strategy and therefore comparisons to the FTSE One-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index are for information purposes only.

Market overview

U.S. equities delivered substantial gains for the 12 months ended May 31, 2021. Quick and unprecedented measures taken by policymakers and the U.S. Federal Reserve in the wake of the sharp COVID-19 related market plunge in March 2020 spurred markets to rally from the start of the period through the end, marked by some spikes in volatility on headlines around increasing COVID-19 cases, ongoing lockdowns, and stalled talks on further stimulus. Market participants, however, were buoyed by expectations that the rollout of multiple COVID-19 vaccines would correspond with a strong revival in economic activity. Passage of several rounds of fiscal stimulus, together with a still yet to be finalized infrastructure bill, provided a further boost to the economic outlook.

While the rally during the first half of the period was largely driven by outsize gains in faster growing market segments, such as mega-cap technology stocks, the second half of the year saw a rotation into more economically-sensitive, value-oriented market segments. For the annual reporting period, most major asset classes generated strong positive returns. Risk assets led the way. Within the U.S. equity market, small-cap equities outperformed large-cap equities. Global equities were supported by an unprecedented expansion in fiscal policy spending to offset the economic dislocation introduced by the COVID-19 pandemic. Further sustaining global equities’ strong performance was continued support from global central banks via low policy rates and asset purchase programs as well as the success of early vaccination drives in a number of developed economies. In U.S. Treasury markets, traditional long-oriented exposures, which had served as a ballast earlier in the period during the COVID-19-related sell-off, largely generated negative total returns during the periods. The weakness in U.S. treasury related bonds was centered mostly in the mid-to-long end of the yield curve as rising interest rates impacted this segment of the Government bond market most acutely. Riskier segments of the fixed-income market, like high-yield corporate bonds, were rewarded as higher quality securities sold off. Global bond yields broadly declined at the beginning of the reporting period, but then began a broad advance through the end of 2020. A more significant jump in global bond yields in the first quarter of 2021, reflecting stronger inflation and growth expectations, and COVID-19 vaccination developments, impacted returns for several of the strategies utilized within the Fund, as did rapidly improving economic data and improving corporate profits. Long exposures in commodities generated favorable returns for investors, especially in the areas of heating oil, gasoline futures and soybean oil futures.

CMIA

We employ the following strategies in separate sleeves to manage our portion of the Fund’s portfolio: G10 Currency (this strategy typically invests in short-term debt obligations and currency-linked derivatives); Global Tactical Asset Allocation (GTAA) (this strategy typically invests in stocks and bonds across traditional asset classes and markets through the use of derivatives such as futures and swaps); and Mortgage Opportunities (this strategy typically invests in mortgage and other asset-backed securities); as well as a Liquidity sleeve (this strategy typically invests in U.S. government securities, high-quality, short-term debt instruments, ETFs and futures).

Notable contributors in our portion of the Fund during the period

•	The single largest contributor to positive absolute returns in our portion of the Fund’s portfolio during the period emanated from strong performance in the Mortgage Opportunities strategy.

Columbia Multi Strategy Alternatives Fund  | Annual Report 2021

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