steben_ncsrs.htm

As filed with the Securities and Exchange Commission on December 9, 2014

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: 811-22824

Steben Select Multi-Strategy Fund

(Exact name of registrant as specified in charter)

9711 Washingtonian Blvd.

Suite 400

Gaithersburg, Maryland 20878

(Address of principal executive offices) (Zip code)

Francine J. Rosenberger, Esq.

c/o Steben & Company, Inc.

9711 Washingtonian Blvd.

Suite 400

Gaithersburg, Maryland 20878

(Name and address of agent for service)

(240) 631-7600

Registrant's telephone number, including area code

Date of fiscal year end: March 31

Date of reporting period: September 30, 2014

Item 1. Reports to Stockholders.

Steben Select Multi-Strategy Fund

Financial Statements

September 30, 2014

TABLE OF CONTENTS

Steben Select Multi-Strategy Fund

	Page
Financial Statements
Statement of Assets and Liabilities		1
Statement of Operations		2
Statements of Changes in Net Assets		3
Statement of Cash Flows		4
Notes to Financial Statements		5 - 14
Financial Highlights		15 - 16

Additional Information		17

Steben Select Multi-Strategy Master Fund

	Page
Financial Statements
Statement of Assets and Liabilities		18
Statement of Operations		19
Statements of Changes in Net Assets		20
Statement of Cash Flows		21
Schedule of Investments		22
Portfolio Fund Strategies		23
Strategy Allocation Breakdown		24
Notes to Financial Statements		25 - 36
Financial Highlights		37

Additional Information		38

This report is intended for shareholders of the Funds and may not be used as sales literature unless preceded or accompanied by a current prospectus.

Steben Select Multi-Strategy Fund

Statement of Assets and Liabilities

September 30, 2014 (Unaudited)

ASSETS
Investment in Steben Select Multi-Strategy Master Fund, at fair value (cost $1,755,000)	$	1,821,879
Cash Equivalents (1)		32,384
Dividends receivable		5
Total Assets		2,109,268

LIABILITIES
Accrued operating services fee payable		786
Accrued distribution and service fee payable		663
Total Liabilities		286,449

NET ASSETS	$	1,822,819

CLASS I:
Net Assets	$	1,812,507

Shares outstanding ($0.01 par value; unlimited shares authorized)		168,713

Net asset value per share (net assets/shares outstanding)	$	10.74

CLASS A:
Net Assets	$	10,312

Shares outstanding ($0.01 par value; unlimited shares authorized)		1,000

Net asset value per share (net assets/shares outstanding)	$	10.31

COMPONENTS OF NET ASSETS
Paid in capital	$	1,759,388
Accumulated net investment loss		(3,448	)
Net unrealized appreciation on investments		66,879
Net Assets	$	1,822,819

(1) Fidelity Institutional Money Market Portfolio - Class I.

See accompanying notes to financial statements

Steben Select Multi-Strategy Fund

Statement of Operations

Six Months Ended

September 30, 2014 (Unaudited)

INVESTMENT INCOME
Dividend income	$	20

EXPENSES
Operating services fee (Note 5)		1,657
Distribution and service fees - Class I (Note 5)		1,377
Distribution and service fees - Class A (Note 5)		13
Total Expenses		3,047
Net Investment Loss		(3,027	)

NET UNREALIZED GAIN ON INVESTMENTS
Change in unrealized appreciation/depreciation on investment in Steben Select Multi-Strategy Master Fund		64,726

Net Increase in Net Assets from Operations	$	61,699

See accompanying notes to financial statements

Steben Select Multi-Strategy Fund

Statements of Changes in Net Assets

	Six Months Ended September 30, 2014 (Unaudited)			For the Period January 2, 2014 (Commencement of Operations) through March 31, 2014
FROM OPERATIONS
Net investment loss	$	(3,027	)	$	(421	)
Change in unrealized appreciation/depreciation on investment in Steben Select Multi-Strategy Master Fund		64,726			2,153
Net Increase in Net Assets from Operations		61,699			1,732

FROM CAPITAL TRANSACTIONS (Note 6)
Proceeds from sales of shares		1,039,369			620,019

Total Increase in Net Assets		1,101,068			621,751

NET ASSETS
Beginning of period		721,751			100,000
End of period	$	1,822,819		$	721,751

Accumulated Net Investment Loss	$	(3,448	)	$	(421	)

See accompanying notes to financial statements

Steben Select Multi-Strategy Fund

Statement of Cash Flows

Six Months Ended
September 30, 2014 (Unaudited)

CASH FLOWS FROM OPERATING ACTIVITIES
Net increase in net assets from operations	$	61,699
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities:
Purchases of investment in Steben Select Multi-Strategy Master Fund		(1,060,000	)
Change in unrealized appreciation/depreciation on investment in Steben Select Multi-Strategy Master Fund		(64,726	)
Net realized loss on investments		-
Changes in operating assets and liabilities:
Dividends receivable		(4	)
Accrued operating services fee payable		605
Accrued distribution and service fee payable		513

Net Cash Used in Operating Activities		(1,316,913	)

CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from sales of shares		1,039,369

Net Change in Cash and Cash Equivalents		7,456

CASH AND CASH EQUIVALENTS
Beginning of period		24,928

End of period	$	32,384

See accompanying notes to financial statements

Steben Select Multi-Strategy Fund

Notes to Financial Statements
September 30, 2014 (Unaudited)

(1) ORGANIZATION

Steben Select Multi-Strategy Fund (the “Fund”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, closed-end management investment company and serves as a feeder fund in a master-feeder structure. The Fund has authorized unlimited common shares of beneficial interest (“Shares”), which may be issued in more than one class or series. The Fund is currently authorized to offer Class A and Class I shares. The two classes differ principally in their respective distribution expense arrangements. All classes of shares have identical rights to earnings, assets and voting privileges, except for class specific expenses and exclusive rights to vote on matters affecting only individual classes. Class A shares are subject to an initial maximum sales charge of up to 3.00% imposed at the time of purchase.

The Fund’s objective is to seek capital appreciation with low long-term correlation to traditional public equity and fixed income markets. The Fund is a feeder fund that will invest substantially all of its investable assets in the Steben Select Multi-Strategy Master Fund, a Delaware statutory trust (the “Master Fund”). The Fund seeks to achieve its investment objective, through the Master Fund, principally by allocating its assets, directly or indirectly, among investment partnerships, managed funds, securities, swaps and other assets held in segregated accounts and other investment funds, which may include investment funds commonly referred to as hedge funds.

The Board of Trustees (the “Board” and each member a “Trustee”) is authorized to engage an investment adviser and it has selected Steben & Company, Inc. (the “Investment Manager”), to manage the Fund’s portfolio and operations, pursuant to an investment management agreement (the “Investment Management Agreement”). The Investment Manager is a Maryland corporation that is registered as an investment adviser under the Investment Advisers Act of 1940, as amended, and is registered with the Commodity Futures Trading Commission (the “CFTC”) as a commodity pool operator and a swap firm, and is a member of the National Futures Association as well as with the Securities and Exchange Commission (the “SEC”) as a broker-dealer. Under the Investment Management Agreement, the Investment Manager is responsible for developing, implementing and supervising the Fund’s investment program subject to the supervision of the Board.

The financial statements of the Master Fund are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements.

Class A and Class I shares will be sold only to persons who are “accredited investors,” as defined in Regulation D under the Securities Act of 1933, as amended, with an initial minimum investment of $25,000. Additional investments in the Fund must be made in a minimum amount of $5,000. The Fund from time to time may offer to repurchase Shares pursuant to written tenders by the shareholders. These repurchases are made at such times and on such terms as may be determined by the Board in its sole discretion. Any shareholder that tenders Shares to the Fund in a repurchase offer that has a valuation date within the first three quarters following the original issue date of the Shares will be subject to an early withdrawal fee at a rate of 2% of the aggregate net asset value of the shareholder’s Shares repurchased by the Fund.

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

Under the Fund’s organizational documents, the Fund’s Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In the normal course of business, the Fund enters into contracts with service providers, which also provide for indemnifications by the Fund. The Fund’s maximum exposure under these arrangements is unknown, as this would involve any future potential claims that may be made against the Fund.

(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND PRACTICES

(a) BASIS OF ACCOUNTING

The accounting and reporting policies of the Fund conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”.

(b) VALUATION

Share Valuation

The Fund will calculate its Net Asset Value (“NAV”) as of the close of regular trading on the New York Stock Exchange (ordinarily 4:00 P.M.) on the last business day of each calendar month and such other dates as the Board may determine, including in connection with repurchase of Shares, in accordance with the procedures and policies established by the Board. The NAV of the Fund will equal the value of the total assets of the Fund, less all of its liabilities, including accrued fees and expenses.

Investment Valuation

The Fund’s investment in the Master Fund represents substantially all of the Fund’s assets. All investments owned are carried at fair value, which is the portion of the net asset value of the Master Fund held by the Fund.

The Investment Manager’s Valuation Committee implements the valuation of the Fund’s investment in the Master Fund, including interests in the Portfolio Funds the Master Fund invests, in accordance with written policies and procedures (the “Valuation Procedures”) that the Board of the Fund has approved for purposes of determining the value of securities held by the Master Fund, including the fair value of the Master Fund’s investments in Portfolio Funds. The Investment Manager’s Valuation Committee consists of members of the Board, additional officers of the Fund, and one or more representatives of the Investment Manager.

The accounting for and valuation of investments held by the Master Fund is discussed in the notes to the financial statements for the Master Fund, included elsewhere in this report.

The Fund has not maintained any positions in derivative instruments or directly engaged in hedging activities.

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

The Fund considers all unpledged temporary cash investments of sufficient credit quality with a maturity date at the time of purchase of three months or less to be cash equivalents. The Fund considers U.S. regulated money market funds to be cash equivalents.

(d) SECURITY TRANSACTIONS AND INVESTMENT INCOME RECOGNITION

Purchases and sales of securities in the Fund are recorded on a trade-date basis. For investments in securities interest income is recorded on the accrual basis and dividends are recorded on the ex-dividend date. Realized and unrealized gains and losses are included in the determination of income as allocated from the Master Fund based upon the Fund’s ownership interest. Realized gains or losses on the disposition of investments are accounted for based on the specific identification method.

(e) FEDERAL INCOME TAXES

The Fund intends to continue to qualify as a Regulated Investment Company (“RIC”) by complying with the provisions available to certain investment companies, as defined in Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to make distributions from net investment income and from net realized capital gains sufficient to relieve it from all, or substantially all, federal income and excise taxes.

The Fund has a tax year end of October 31st. The Fund’s initial tax year end will be October 31, 2014. Tax components will be disclosed as of the tax year end in future reports.

(f) USE OF ESTIMATES

The preparation of the financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions relating to the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates and such differences may be significant.

(g) ORGANIZATION AND OFFERING COSTS

Organizational expenses consist primarily of costs to establish the Fund and enable it to legally conduct business. Under an operating services agreement (the “Operating Services Agreement”), the Investment Manager shall pay all expenses incurred by the Fund in connection with the organization and offering of Shares of the Fund. These expenses may not be recouped by the Investment Manager.

(h) FUND EXPENSES

Pursuant to the Operating Services Agreement with the Fund, the Investment Manager has contractually agreed to pay all of the Fund’s ordinary operating expenses so long as Steben & Company, Inc. remains the Investment Manager, including the Fund’s organizational and offering expenses but not the following Fund expenses: the Management Fee, the Distribution and Servicing Fees, borrowing costs, interest expenses, brokerage commissions and other transaction and investment-related costs, portfolio fund and portfolio fund manager fees and expenses, taxes and governmental fees, acquired fund fees and expenses, shareholder servicing fees, litigation and indemnification expenses, judgments and other extraordinary expenses not incurred in the ordinary course of the Fund’s business. The Operating Services Agreement may be terminated at any time by the Board or upon 60 days written notice by the Fund or the Investment Manager. See Note 5 – Related Party Transactions.

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

U.S. Bancorp Fund Services, LLC provides accounting, administrative and transfer agency services to the Fund. U.S. Bank, N.A. provides custodian services to the Fund.

(i) SHAREHOLDER ACCOUNTS

Issuance of Shares

All purchases accepted by the Fund are accepted at the end of the month, and the NAV of Shares is determined as of the close of business on the last day of that month. Purchases accepted by the Fund become effective as of the opening of business on the first calendar day of the month based on the previous month-end NAV of the Fund Shares.

Prior to the end of each month, the Fund receives Shareholder contributions with an effective subscription date of the first day of the following month. The Fund, in turn, makes contributions to the Master Fund, which has effective subscription dates of the first day of the following month. These amounts are reported as “Subscriptions received in advance” and “Investments made in advance”, respectively.

Repurchase of Shares

No Shareholder will have the right to require the Fund to redeem his, her or its Shares (or any portion thereof). The Fund from time to time may offer to repurchase Shares pursuant to written tenders by the Shareholders. These repurchases are made at such times and on such terms as may be determined by the Board from time to time in its sole discretion. With respect to any future repurchase offer, Shareholders tendering Shares for repurchase must do so by a date specified in the notice describing the terms of the repurchase offer, which will generally be approximately 75 days prior to the date that the Shares to be repurchased are valued by the Fund (the “Valuation Date”). The Fund may elect to repurchase less than the full amount that a Shareholder requests to be repurchased. If a repurchase offer is oversubscribed by Shareholders who tender Shares, the Fund may repurchase a pro rata portion of the Shares tendered by each Shareholder, extend the repurchase offer, or take any other action with respect to the repurchase offer permitted by applicable law. In addition, the Fund has the right to repurchase Shares of Shareholders if the Fund determines that the repurchase is in the best interest of the Fund or upon the occurrence of certain events specified in the Fund’s Declaration of Trust.

(j) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends will generally be paid at least annually on the Fund’s Shares in amounts representing substantially all of the net investment income, if any, earned each year. Payments will vary in amount, depending on investment income received and expenses of operation. It is likely that many of the Portfolio Funds in whose securities the Master Fund invests will not pay any dividends, and this, together with the Fund’s expenses, means that there can be no assurance the Fund will have substantial income or pay dividends.

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

It is anticipated that any gains or appreciation in the Fund’s investments will be treated as ordinary income or long term capital gains. Such amounts will generally be distributed at least annually and such distributions would be taxed as ordinary income dividends or long term capital gains to Shareholders that are subject to tax.

It is anticipated that substantially all of any taxable net capital gain realized on investments will be paid to Shareholders at least annually. The NAV per share (or portion thereof) that a Shareholder owns will be reduced by the amount of the distributions or dividends that the Shareholder actually or constructively receives from that share (or portion thereof).

Pursuant to a dividend reinvestment plan established by the Fund (the “Dividend Reinvestment Plan”), each Shareholder will automatically be a participant under the Dividend Reinvestment Plan and have all income distributions, whether dividend distributions and/or capital gains distributions, automatically reinvested in additional Shares. Election not to participate in the Dividend Reinvestment Plan and to receive all income distributions, whether dividend distributions or capital gain distributions, in cash may be made by notice to a Shareholder’s intermediary (who should be directed to inform the Fund). A Shareholder is free to change this election at any time. If, however, a Shareholder requests to change its election within 95 days prior to a distribution, the request will be effective only with respect to distributions after the 95-day period. A Shareholder whose Shares are registered in the name of a nominee (such as an Intermediary) must contact the nominee regarding its status under the Dividend Reinvestment Plan, including whether such nominee will participate on such Shareholder’s behalf as such nominee will be required to make any such election.

Generally, for U.S. federal income tax purposes, Shareholders receiving Shares under the Dividend Reinvestment Plan will be treated as having received a distribution equal to the amount payable to them in cash as a distribution had the Shareholder not participated in the Dividend Reinvestment Plan.

Shares will be issued pursuant to the dividend reinvestment plan at their NAV determined on the next valuation date following the record date (the last date of a dividend period on which an investor can purchase Shares and still be entitled to receive the dividend). There is no sales load or other charge for reinvestment. A request must be received by the Fund before the record date to be effective for that dividend or capital gain distribution. The Fund may terminate the Dividend Reinvestment Plan at any time upon written notice to the participants in the Dividend Reinvestment Plan. The Fund may amend the Dividend Reinvestment Plan at any time upon 30 day’s written notice to the participants. Any expenses of the Dividend Reinvestment Plan will be borne by the Fund.

The Fund made no distributions during the six months ended September 30, 2014 and since the commencement of operations on January 2, 2014 through March 31, 2014.

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

(3) INVESTMENTS

The Fund follows fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized in the three broad levels listed below:

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly or investments that can be fully redeemed at the NAV in the “near term”. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available or investments that cannot be fully redeemed at the NAV in the “near term”; these are investments that generally have one or more of the following characteristics: gated redemptions, suspended redemptions, or have lock-up periods greater than quarterly.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities.

For the six months ended September 30, 2014, the Fund’s investments consisted primarily of an investment in the Master Fund. The fair value hierarchy of the Master Fund’s investments is disclosed in the notes to the Master Fund’s financial statements, included elsewhere in this report.

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

The following are the classes of investments grouped by the fair value hierarchy for those investments measured at fair value on a recurring basis at September 30, 2014.


Description	(Level 1)		(Level 2)		(Level 3)		Total

Investment in Steben Select Multi-Strategy Master Fund	$	-	$	1,821,879	$	-	$	1,821,879

Cash Equivalents Money Market Fund		32,384		-		-		32,384

Total Investment in Steben Select Multi-Stategy Master Fund and Cash Equivalents	$	32,384	$	1,821,879	$	-	$	1,854,263

The Fund discloses transfers between levels based on valuations at the end of the reporting period. For the six months ended September 30, 2014, there were no transfers in or out of Level 1, Level 2 or Level 3 of the fair value hierarchy.

In December 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011- 11 “Disclosures about Offsetting Assets and Liabilities.” ASU No. 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards (“IFRS”). The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the Statement of Assets and Liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU No. 2011-11 requires disclosure of collateral received and posted in connection with netting agreements or similar arrangements. New disclosures are required for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods.

In January 2013, the FASB issued ASU No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” ASU No. 2013-01 clarifies that ordinary trade receivables and payables are not included in the scope of ASU No. 2011-11. ASU No. 2011-11 applies only to derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and lending that are offset in accordance with specific criteria contained in the FASB Accounting Standards Codification.

The Fund is not required to disclose the applicable requirements of this accounting standard in its Notes to Financial Statements due to not directly investing in derivatives and other financial instruments. As such, no additional disclosures have been made on behalf of the Fund.

(4) CONCENTRATION, LIQUIDITY AND OFF-BALANCE SHEET RISK

The Master Fund invests primarily in Portfolio Funds that are not registered under the 1940 Act and invest in actively traded securities, illiquid securities, derivatives and other financial instruments using different strategies and investment techniques, including leverage, which may involve significant risks. The Master Fund’s concentration and liquidity risks are discussed in the notes to the Master Fund’s financial statements which are attached elsewhere in this report. In the normal course of business, the Portfolio Funds in which the Master Fund invests trade various financial instruments and enter into various investment activities with off- balance sheet risk. These include, but are not limited to, short selling activities, writing option contracts, contracts for differences, and interest rate, credit default and total return equity swap contracts. The Master Fund’s off-balance sheet risk in these financial instruments is discussed in the notes to the Master Fund’s financial statements which are attached elsewhere in this report.

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

(5) RELATED PARTY TRANSACTIONS

(a) INVESTMENT MANAGEMENT FEE

Under the terms of the Investment Management Agreement between the Investment Manager and the Master Fund, the Investment Manager is entitled to receive a management fee at an annualized rate, based on the month-end net assets of the Master Fund of 1.25%, accrued and payable monthly. So long as the Fund invests all of its investable assets in the Master Fund, the Fund will not directly pay the Investment Manager a management fee. The Master Fund’s management fees accrued during the six months ended September 30, 2014, are discussed in the notes to the Master Fund’s financial statements which are attached elsewhere in this report.

(b) OPERATING SERVICES FEE

The Fund pays to the Investment Manager, as compensation for the services provided by the Investment Manager and its agents under the Operating Services Agreement, an annualized fee of 0.30%, which is paid monthly, based on the month-end net assets of the Fund. For the six months ended September 30, 2014, the Fund incurred $1,657 in operating services fees.

The Fund pays Foreside Fund Services, LLC (“Foreside” or the “Distributor”) or a designee a Class A Distribution and Service Fee for the Class A Shares equal to 0.75% (on an annualized basis) of the Fund’s Class A Shares average month-end net assets, payable monthly in arrears. For the Class I Shares, the Fund pays to the Distributor or a designee a Class I Distribution and Service Fee for the Class I Shares equal to 0.25% (on an annualized basis) of the Fund’s Class I Shares average month-end net assets, payable monthly in arrears. The Distributor or designee may transfer or re-allow a portion of the Distribution and Service Fees to certain Intermediaries. The Investment Manager also may pay a fee out of its own resources to Intermediaries.

Pursuant to the conditions of an exemptive order issued by the SEC, the Class A Distribution and Service Fee and Class I Distribution and Service Fee are paid pursuant to plans adopted by the Fund in compliance with the provisions of Rule 12b-1 under the Investment Company Act with respect to Class A Shares (“Class A Plan”) and Class I Shares (“Class I Plan”), respectively. The Distribution and Service Fees serve as a vehicle for the Fund to pay the Distributor for payments it makes to Intermediaries and for the Distributors for ongoing investor servicing. The Distributor may pay all or a portion of the Distribution and Service Fees it receives to Intermediaries. However, the portion of the 0.75% fee under the Class A Plan designated for regulatory purposes as service fees, for the provision of personal investor services as defined under applicable rules, will be deemed not to exceed 0.25% of the Fund’s net assets attributable to Class A Shares.

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

For the six months ended September 30, 2014, the Fund incurred $1,377 in distribution and servicing fees for Class I Shares. Since inception of the Class A shares on August 1, 2014 through September 30, 2014, the Fund incurred $13 in distribution and servicing fees for the Class A Shares.

Prior to August 1, 2014 Class I Shares paid a servicing fee. The servicing fee was converted to a distribution and service fee on August 1, 2014.

(6) CAPITAL SHARE TRANSACTIONS

As of September 30, 2014, there were an unlimited number of $0.01 par value shares of beneficial interest authorized. The following table summarizes the activity in shares and dollar amounts applicable to each class of the Fund:

For the Period

January 2, 2014

(Commencement of

Six Months Ended

Operations) through

September 30, 2014

March 31, 2014

Class I

Amount

Shares Sold

97,838

1,029,369

60,875

620,019

Shares Outstanding:

Beginning of period

70,875

10,000

End of period

168,713

70,875

For the Period

August 1, 2014

(Commencement of

Operations) through

September 30, 2014

Class A

Amount

Shares Sold

1,000

10,000

Shares Outstanding:

Beginning of period

End of period

1,000

Steben Select Multi-Strategy Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

(7) INVESTMENT TRANSACTIONS

During the six months ended September 30, 2014, the Fund’s assets were invested in the Master Fund and the Fund made aggregate purchases of $1,060,000 and aggregate sales of $0 in the Master Fund.

(8) SUBSEQUENT EVENTS

The Fund offered to repurchase Shares in an amount up to 20% of the net assets of the Fund, calculated as of December 31, 2014 (the “Repurchase Valuation Date”), and each Share tendered for repurchase will be purchased at the net asset value per Share calculated on that date. Shareholders desiring to tender Shares for repurchase had to do so by 12:00 midnight, Eastern Time on October 23, 2014 (the “Notice Date”). Shareholders had the right to change their minds and withdraw any tenders of their Shares until 12:00 midnight, Eastern Time on October 23, 2014 (the “Expiration Date”). If the Fund accepts the tender of the Shareholder’s Shares, the Fund will make payment for the Shares it repurchases within 30 days of the Repurchase Valuation Date.

No shares were repurchased during the six months ended September 30, 2014.

The Fund has adopted financial reporting rules regarding subsequent events, which requires an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Fund’s related events and transactions that occurred subsequent to September 30, 2014 and determined that there were no significant subsequent events that would require adjustment to or additional disclosure in these financial statements.

Steben Select Multi-Strategy Fund

Financial Highlights - Class A


	For the Period
	August 1, 2014
	(Commencement of
	Operations) through
	September 30, 2014
	(Unaudited)

PER SHARE OPERATING PERFORMANCE
Net Asset Value, beginning of period	$	10.00

Income (loss) from investment operations:
Net Investment Loss		(0.02	) (1)(4)
Net Realized and Unrealized Gain on Investments		0.33
Total From Investment Operations		0.31

Net Asset Value, end of period	$	10.31

TOTAL RETURN(5)		3.12	% (7)

RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ($000’s)	$	10
Portfolio Turnover		0.00	% (6)(7)

Ratio of Net Investment Loss to Average Net Assets		(1.05	)% (2)(8)

Ratio of Expenses to Average Net Assets*		1.05	% (2)(3)(8)

(1) Net Investment loss per share represents net investment loss divided by the average shares outstanding throughout the period.

(2) Ratios are calculated by dividing the indicated amount by average net assets measured at the end of each month during the period.

(3) The ratio of expenses to average net assets does not include expenses of the Master Fund.

(4) Due to the timing of capital share transactions, the per share amount of loss from investment operations varies from amounts shown in the statement of operations.

(5) Based on net asset value, which does not reflect the sales charge.

(6) Portfolio turnover represents the Master Fund’s portfolio turnover for the period April 1, 2014 through September 30, 2014. The portfolio turnover for the period August 1, 2014 through September 30, 2014 was also 0.00%. The portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

(7) Not Annualized.

(8) Annualized.

* The Ratio of Expenses to Average Net Assets of the Fund above differs from the Fund’s Total Annual Expenses that is included in the Table included in the Summary of Fund Expenses Section of the Fund’s Prospectus. The Total Annual Expenses depict the Fund’s direct and indirect expenses and include the direct expenses of the Master Fund and the portion of Acquired Fund Fees and Expenses that represent costs incurred at the Portfolio Fund level, as required to be discussed in that table.

See accompanying notes to financial statements

Steben Select Multi-Strategy Fund

Financial Highlights - Class I


				For the Period
				January 2, 2014
	Six Months Ended			(Commencement of
	September 30, 2014			Operations) through
	(Unaudited)			March 31, 2014

PER SHARE OPERATING PERFORMANCE
Net Asset Value, beginning of period	$	10.18		$	10.00

Income (loss) from investment operations:
Net Investment Loss		(0.03	) (2)(6)		(0.01	) (1)(6)
Net Realized and Unrealized Gain on Investments		0.59			0.19
Total From Investment Operations		0.56			0.18

Net Asset Value, end of period	$	10.74		$	10.18

TOTAL RETURN		5.50	% (8)		1.83	% (8)

RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ($000’s)	$	1,813		$	722
Portfolio Turnover		0.00	% (7)(8)		0.00	% (4)(8)

Ratio of Net Investment Loss to Average Net Assets		(0.55	)% (3)(9)		(0.55	)% (3)(9)

Ratio of Expenses to Average Net Assets*		0.55	% (3)(5)(9)		0.55	% (3)(5)(9)

(1) Net investment loss per share is calculated using ending balances prior to consideration of adjustments for permanent book and tax differences.

(2) Net Investment loss per share represents net investment loss divided by the average shares outstanding throughout the period.

(3) Ratios are calculated by dividing the indicated amount by average net assets measured at the end of each month during the period.

(4) Portfolio turnover represents the Master Fund’s portfolio turnover for the period from August 1, 2013 through March 31, 2014. The portfolio turnover for the period January 2, 2014 through March 31, 2014 was also 0.00%.

(5) The ratio of expenses to average net assets does not include expenses of the Master Fund.

(6) Due to the timing of capital share transactions, the per share amount of loss from investment operations varies from amounts shown in the statement of operations.

(7) Portfolio turnover represents the Master Fund’s portfolio turnover for the period April 1, 2014 through September 30, 2014. The portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

(8) Not Annualized.

(9) Annualized.

See accompanying notes to financial statements

Additional Information (Unaudited)

Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities, as well as information on how the Fund voted proxies (if any) relating to portfolio securities during the most recent 12-month period ended June 30 after commencement of operations will be available on Form N-PX without charge by calling 1-800-726-3400, or on the SEC’s website at http://www.sec.gov.

Portfolio Holdings Disclosure

The Fund will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q will be available on the SEC’s website at www.sec.gov, and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330.

Steben Select Multi-Strategy Master Fund

Financial Statements

September 30, 2014

Steben Select Multi-Strategy Master Fund

Statement of Assets and Liabilities

September 30, 2014 (Unaudited)

ASSETS
Investments in Portfolio Funds, at fair value (cost $33,300,000)	$	37,484,998
Cash Equivalents		291,991
Dividends receivable		2

Total Assets		37,776,991

LIABILITIES
Management fees payable		75,951
Accrued operating services fee payable		9,115
Subscriptions received in advance		255,000

Total Liabilities		340,066

NET ASSETS	$	37,436,925

Shares outstanding ($0.01 par value; unlimited shares authorized)		3,274,868

Net asset value per share (net assets/shares outstanding)	$	11.43

COMPONENTS OF NET ASSETS
Paid in capital	$	34,006,422
Accumulated net investment loss		(754,495	)
Net unrealized appreciation on investments		4,184,998
Net Assets	$	37,436,925

See accompanying notes to financial statements

Steben Select Multi-Strategy Master Fund

Statement of Operations

Six Months Ended
September 30, 2014 (Unaudited)


INVESTMENT INCOME
Dividend income	$	32

EXPENSES
Management fees (Note 6)		217,939
Operating services fee (Note 6)		26,156
Total Expenses		244,095
Net Investment Loss		(244,063	)

NET UNREALIZED GAIN (LOSS) ON INVESTMENTS
Change in unrealized appreciation/depreciation on investments		2,245,998

Net Increase in Net Assets from Operations	$	2,001,935

See accompanying notes to financial statements

Steben Select Multi-Strategy Master Fund

Statements of Changes in Net Assets

				For the Period
				August 1, 2013
	Six Months Ended			(Commencment of
	September 30, 2014			Operations) through
	(Unaudited)			March 31, 2014

FROM OPERATIONS
Net investment loss	$	(244,063	)	$	(174,010	)
Change in unrealized appreciation/depreciation on investments		2,245,998			1,939,000
Net Increase in Net Assets from Operations		2,001,935			1,764,990

FROM DISTRIBUTIONS
Net investment income		-			(336,422	)

FROM CAPITAL TRANSACTIONS
Proceeds from sales of shares		3,275,000			30,295,000
Proceeds from reinvestment of distribution		-			336,422
Change in Net Assets from Capital Transactions		3,275,000			30,631,422

Total Increase in Net Assets		5,276,935			32,059,990

NET ASSETS
Beginning of period		32,159,990			100,000
End of period	$	37,436,925		$	32,159,990

Accumulated Net Investment Loss	$	(754,495	)	$	(510,432	)

SHARE TRANSACTIONS
Shares sold		295,739			2,937,318
Shares reinvested		-			31,811
Total share transactions		295,739			2,969,129

See accompanying notes to financial statements

Steben Select Multi-Strategy Master Fund

Statement of Cash Flows

Six Months Ended
September 30, 2014 (Unaudited)

CASH FLOWS FROM OPERATING ACTIVITIES
Net increase in net assets from operations	$	2,001,935
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities:
Purchases of investments		(3,200,000	)
Change in unrealized appreciation/depreciation on investments		(2,245,998	)

Changes in operating assets and liabilities:
Investments made in advance		1,000,000
Dividends receivable		6
Management fees payable		42,416
Accrued operating services fee payable		5,090

Net Cash Used in Operating Activities		(2,396,551	)

CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from sales of shares		3,275,000
Subscriptions received in advance		(745,000	)
Net Cash provided by Financing Activities		2,530,000

Net Change in Cash and Cash Equivalents		133,449

CASH AND CASH EQUIVALENTS
Beginning of period		158,542

End of period	$	291,991

See accompanying notes to financial statements

Steben Select Multi-Strategy Master Fund

Schedule of Investments

September 30, 2014 (Unaudited)

							Redemptions
	Percentage of							Notice Period
Investments in Portfolio Funds(1):	Net Assets		Cost		Fair Value		Frequency	Number of Days

Equity Long/Short Strategy:
The Collectors’ Fund LP	8.45	%	$	3,000,000	$	3,163,377	Quarterly	45
Marshall Wace Eureka Fund Class B2	11.31			4,000,000		4,232,887	Monthly	30
Visium Global Fund, LP	11.16			4,000,000		4,180,276	Monthly	30
	30.92			11,000,000		11,576,540

Equity Market-Neutral Strategy:
Voloridge Trading Fund LP	21.18			6,500,000		7,928,353	Monthly	5

Fixed-Income Relative Value Strategy:
The Obsidian (Offshore) Fund - Class V Series	15.15			5,100,000		5,670,411	Monthly	60

Global Macro Strategy:
AHL (Cayman) SPC, Class A1 Evolution USD	10.72			3,500,000		4,014,461	Monthly	5
Graham Absolute Return Ltd.	10.99			3,700,000		4,114,926	Quarterly	30
	21.71			7,200,000		8,129,387

Multi-Strategy:
Stratus Feeder Ltd. C USD 1.5 Leverage	11.17			3,500,000		4,180,307	Monthly	60

Total Investments in Portfolio Funds:	100.13			33,300,000		37,484,998

Cash Equivalents:
Money Market Fund:
Fidelity Institutional Money Market Portfolio - Class I, 0.04% (2)(3)	0.78			291,991		291,991

Total Investments in Portfolio Funds and Cash Equivalents	100.91	%	$	33,591,991	$	37,776,989

(1) All Portfolio Funds are non-income producing.

(2) 7-Day Yield.

(3) Income Producing.

See accompanying notes to financial statements

Steben Select Multi-Strategy Master Fund

Portfolio Fund Strategies (Unaudited)

September 30, 2014

Equity Long/Short. Portfolio Funds employing a long/short equity strategy seek to profit from stock selection, based primarily on fundamental or quantitative company analysis. Such Portfolio Fund Managers buy stocks they believe to be underpriced in the expectation that they will increase in value (called “going long”) and sell short stocks they believe to be overpriced in the expectation that they will decrease in value (called “going short”). A Portfolio Fund’s net market exposure (that is the value of the allocation to long positions minus that to short positions) may be net long (with a larger allocation to long than short positions), balanced or net short. Portfolio Fund Managers have the flexibility to set and adjust this net market exposure based on their preferred investment style, their bullishness or bearishness on the broad direction of equity indices, as well as the attractiveness of the investment opportunity set. It is common for long/short equity portfolios to be net long much of the time, but the size of this net long exposure will typically be lower than that of a traditional long-only equity fund. In cases where a Portfolio Fund Manager has a high degree of conviction in a long or short position, the Portfolio Fund’s allocation to that stock may be more concentrated than is typical in a traditional long-only equity fund. Portfolio Funds may have a broad global mandate (including developed and emerging markets), or they may specialize in stocks in a particular geographic area, industry, or market capitalization segment. Portfolio Fund Managers can use leverage to amplify potential gains and losses.

Equity Market-Neutral. Equity market-neutral strategies seek to profit from forecasting the relative performance of individual stocks against other comparable peer stocks, while taking little net market exposure. Portfolio Fund Managers typically use sophisticated quantitative trading models to implement their strategies. They buy stocks that their models forecast will outperform peer stocks and sell short those that are expected to underperform. The accuracy of these model forecasts for any single given stock tends to be low, so Portfolio Fund Managers generally build diversified portfolios of hundreds of stocks or more in an attempt to improve the aggregate predictive success of the strategy. Portfolio Funds are constructed to be close to market-neutral either on a dollar basis (meaning the total value of long positions is roughly equal to the short positions) or on a beta basis (meaning the sensitivity of the long positions to a move in the broad stock index is roughly equal in size to the sensitivity of the short positions). This means that relative price movements among stocks, rather than movements in the broad stock market index, will usually drive strategy returns. Portfolio Fund Managers also may choose to balance evenly their long and short portfolio exposure to other risk or style factors such as market capitalization, geography and sector exposure. Significant leverage may be applied to increase potential gains and losses.

Fixed-Income Relative Value. These strategies attempt to take advantage of pricing inefficiencies between similar or related fixed-income instruments. To execute this strategy, a Portfolio Fund Manager typically will invest in undervalued or higher yielding fixed-income instruments, while seeking to hedge some types of risk, such as interest rate risk, with offsetting short positions in lower yielding, fairly valued or overvalued instruments with similar characteristics. Mispricing in related fixed-income instruments can arise for microeconomic reasons, such as an imbalance in supply and demand for certain issues, or for macroeconomic reasons, such as central bank policy. Portfolio Funds have the potential to profit from a positive yield differential between a long position and its short hedge, as well as from any favorable price appreciation of the undervalued long position relative to the short position. The universe of fixed-income instruments is broad, is not limited to any range of maturity, and includes U.S. and foreign sovereign debt securities, mortgage-backed securities, asset-backed securities, corporate credit as well as related derivatives in all of these sectors. Such securities may be investment grade, below investment grade (commonly known as “junk bonds”) and distressed. The use of derivatives such as swaps, futures and options is extensive. Significant leverage may be used to increase potential profits and losses.

Global Macro. Global macro strategies seek to generate returns by identifying mispriced assets around the world, using macroeconomic analysis. These Portfolio Funds have a broad authority to invest long or short across geographies, including both developed and emerging markets, as well as across asset classes, including equities, fixed-income, credit, currencies, physical commodities and derivatives of all of these. Some Portfolio Fund Managers may however choose to participate in only a subset of these markets based on their experience and expertise. Portfolio Fund Managers may analyze economic data, fiscal and monetary policy, asset valuations, price trends and other factors in determining their investment view. Portfolio Fund positions can be “directional” or “relative value”. Directional trades involve long or short positions that seek to participate in the absolute rise or fall in prices of individual markets. For example, a short position in gold futures would profit from an absolute decline in gold prices. In contrast, a relative value trade seeks to participate in the relative outperformance of one asset against another through a long position in one asset paired against short position in another. For example, a position in 10-Year U.S. Treasury Notes and a short position in 10-Year Japanese Government Bonds would profit from the relative outperformance of U.S. against Japanese bonds. Global macro strategies may use significant leverage, especially in relative value positions. Such leverage may not be financial leverage involving borrowed money, but rather may be economic leverage that is implicit in derivative instruments.

Multi-Strategy. The Master Fund also may invest in Portfolio Funds that pursue two or more of the strategies listed above as well as others. Indeed, many Portfolio Funds will have exposure to more than one Portfolio Fund strategy or may have characteristics of more than one Portfolio Fund strategy. Accordingly, there is a wide degree of discretion in how a particular Portfolio Fund is categorized or in how its capital is allocated among Portfolio Fund strategies in reports compiled by the Investment Manager. Decisions on how to most appropriately characterize a Portfolio Fund are made by the Investment Manager in its sole discretion.

See accompanying notes to financial statements

Steben Select Multi-Strategy Master Fund

Strategy Allocation Breakdown (Unaudited)
(as a % of total investments)
September 30, 2014

See accompanying notes to financial statements

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements
September 30, 2014 (Unaudited)

(1) ORGANIZATION

Steben Select Multi-Strategy Master Fund (the “Master Fund”) is a newly-formed Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified closed-end management investment company and serves as a master fund in a master-feeder structure. Steben Select Multi-Strategy Fund serves as a feeder fund in the master-feeder structure. The Master Fund has authorized unlimited common shares of beneficial interest (“Shares”), which may be issued in more than one class or series. Shares in the Master Fund are issued solely in private placement transactions that do not involve any “public offering” within the meaning of Section 4(2) of, and/or Regulation D under the Securities Act of 1933 (“Securities Act”). Investments in the Master Fund generally may be made only by U.S. and foreign investment companies or other investment vehicles that include persons who are “accredited investors” (“Shareholders”), as defined in Regulation D under the Securities Act.

The Master Fund’s investment objective is to seek capital appreciation with low long- term correlation to traditional public equity and fixed income markets. The Master Fund is a “fund of funds” and seeks to achieve its investment objective, primarily by allocating its assets, directly or indirectly, among investment partnerships, managed funds, securities, swaps and other assets held in segregated accounts and other investment funds, which may include investment funds commonly referred to as hedge funds, (collectively, “Portfolio Funds”) that are managed by third-party investment managers (“Portfolio Fund Managers”) that employ a variety of alternative investment strategies.

The Board of Trustees (the “Board” and each member a “Trustee”) is authorized to engage an investment adviser and it has selected Steben & Company, Inc. (the “Investment Manager”), to manage and oversee the Master Fund’s portfolio and operations, pursuant to an investment management agreement (the “Investment Management Agreement”). The Investment Manager is a Maryland corporation that is registered as an investment adviser under the Investment Advisers Act of 1940, as amended, and is registered with the Commodity Futures Trading Commission (the “CFTC”) as a commodity pool operator and a swap firm, and is a member of the National Futures Association as well as with the Securities and Exchange Commission (the “SEC”) as a broker-dealer. Under the Investment Management Agreement, the Investment Manager is responsible for developing, implementing, and supervising the Master Fund’s investment program subject to the supervision of the Board.

Under the Master Fund’s organizational documents, the Master Fund’s Trustees and officers are indemnified against certain liabilities arising out of the performance of their duties to the Master Fund. In the normal course of business, the Master Fund enters into contracts with service providers, which also provide for indemnifications by the Master Fund. The Master Fund’s maximum exposure under these arrangements is unknown, as this would involve any future potential claims that may be made against the Master Fund.

(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES AND PRACTICES

(a) BASIS OF ACCOUNTING

The accounting and reporting policies of the Master Fund conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The Master Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services- Investment Companies”.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

(b) VALUATION

Share Valuation

The Master Fund will calculate its Net Asset Value (“NAV”) as of the close of regular trading on the New York Stock Exchange (ordinarily 4:00 P.M.) on the last business day of each calendar month and such other dates as the Board may determine, including in connection with repurchase of Shares, in accordance with the procedures and policies established by the Board. The NAV of the Master Fund will equal the value of the total assets of the Master Fund, less all of its liabilities, including accrued fees and expenses.

Investment Valuation

The Investment Manager’s Valuation Committee implements the valuation of the Master Fund’s investments, including interests in the Portfolio Funds, in accordance with written policies and procedures (the “Valuation Procedures”) that the Board of the Master Fund has approved for purposes of determining the value of securities held by the Master Fund, including the fair value of the Master Fund’s investments in Portfolio Funds. The Investment Manager’s Valuation Committee consists of members of the Board, additional officers of the Master Fund, and one or more representatives of the Investment Manager.

Investments are carried at fair value. As a general matter, the fair value of the Master Fund’s investment in a Portfolio Fund represents the amount that the Master Fund can reasonably expect to receive if the Master Fund’s investment was sold at its reported NAV. Determination of fair value involves subjective judgment and amounts ultimately realized may vary from estimated values. The fair value of the Portfolio Funds has been estimated using the NAV as reported by the Portfolio Fund Managers of the respective Portfolio Funds. FASB guidance provides for the use of NAV as a “Practical Expedient” for estimating fair value of the Portfolio Funds. NAV reported by each Portfolio Fund is used as a practical expedient to estimate the fair value of the Master Fund’s interest therein and their classification within Level 2 or 3 is based on the Master Fund’s ability to redeem its interest in the near term and liquidate the underlying portfolios.

Certain securities and other financial instruments in which the Portfolio Funds invest may not have readily ascertainable market prices and will be valued by the Portfolio Fund Managers. Such valuations generally will be conclusive with respect to the Master Fund, even though a Portfolio Fund Manager may face a conflict of interest in valuing the securities, as their value will impact the Portfolio Fund Manager’s compensation. Generally, neither the Investment Manager nor the Board will be able to confirm independently the accuracy of the valuations made by the Portfolio Fund Managers. The net asset values or other valuation information received by the Investment Manager from the Portfolio Funds will typically be estimates only, subject to revision through the end of each Portfolio Fund’s annual audit. The valuations reported by the Portfolio Fund Managers, upon which the Master Fund will calculate its NAV, may be subject to later adjustment based on information reasonably available at that time. To the extent that subsequently adjusted valuations or revisions to Portfolio Fund net asset values adversely affect the Master Fund’s NAV, the outstanding Shares of the Master Fund will be adversely affected by prior repurchases to the benefit of Shareholders who previously had Shares repurchased at a NAV per share higher than the adjusted amount. Conversely, any increases in the net asset value resulting from such subsequently adjusted valuations will be entirely for the benefit of the outstanding Shares and to the detriment of Shareholders who previously had Shares repurchased at a NAV per share lower than the adjusted amount.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

Under the Valuation Procedures, if the Master Fund, acting reasonably and in good faith, determines that a Portfolio Fund Manager cannot provide valuation of a Portfolio Fund or if the Master Fund determines that the valuation provided by a Portfolio Fund Manager does not represent the fair value of the Master Fund’s interest in a Portfolio Fund, the Master Fund may utilize any other reasonable valuation methodology to determine the fair value of the Portfolio Fund. Although redemptions of interests in Portfolio Funds normally are subject to advance notice requirements, Portfolio Funds typically will make available NAV information to holders representing the price at which, even in the absence of redemption activity, the Portfolio Fund would have effected a redemption if any such requests had been timely made or if, in accordance with the terms of the Portfolio Fund’s governing documents, it would be necessary to effect a mandatory redemption. In the absence of specific transaction activity in interests in a particular Portfolio Fund, the Master Fund would consider whether it was appropriate, in light of all relevant circumstances, to value such a position at its NAV as reported by the Portfolio Fund, or whether to adjust such value to reflect a premium or discount to such NAV.

In making a fair value determination, the Master Fund will consider all appropriate information reasonably available to it at the time and that the Investment Manager believes to be reliable. The Master Fund may consider factors such as, among others: (i) the price at which recent purchases for or redemptions of the Portfolio Fund’s interests were effected; (ii) information provided to the Master Fund by a Portfolio Fund Manager, or the failure to provide such information as the Portfolio Fund Manager agreed to provide in the Portfolio Fund’s offering materials or other agreements with the Master Fund; (iii) relevant news and other sources; and (iv) market events. In addition, when a Portfolio Fund imposes extraordinary restrictions on redemptions, or when there have been no recent subscriptions for Portfolio Fund interests, the Master Fund may determine that it is appropriate to apply a discount to the NAV reported by the Portfolio Fund. The Board reviews all valuation adjustments, which would be undertaken pursuant to the Board-approved policy and procedures.

To the extent that the Investment Manager invests the assets of the Master Fund in securities or other instruments that are not investments in Portfolio Funds (e.g., directly or through separate accounts), the Master Fund will generally value such assets as described below. Securities traded: (1) on one or more of the U.S. national securities exchanges or the OTC Bulletin Board will be valued at their last sales price; and (2) on the NASDAQ Stock Market will be valued at the NASDAQ Official Closing Price (“NOCP”), at the close of trading on the exchanges or markets where such securities are traded for the business day as of which such value is being determined. Securities traded on the NASDAQ Stock Market for which the NOCP is not available will be valued at the mean between the closing bid and asked prices in this market. Securities traded on a foreign securities exchange will generally be valued at their closing prices on the exchange where such securities are primarily traded and such valuations translated into U.S. dollars at the current exchange rate. If an event occurs between the close of the foreign exchange and the computation of the Master Fund’s NAV that would materially affect the value of the security, the value of such security will be adjusted to its fair value. Except as specified above, the value of a security, derivative, or synthetic security that is not actively traded on an exchange shall be determined by an unaffiliated pricing service that may use actual trade data or procedures using market indices, matrices, yield curves, specific trading characteristics of certain groups of securities, pricing models, or combinations of these. The Investment Manager’s Valuation Committee will monitor the value assigned to each security by the pricing service to determine if it believes the value assigned to a security is correct. If the Investment Manager’s Valuation Committee believes that the value received from the pricing service is incorrect, then the value of the security will be its fair value as determined in accordance with the Valuation Procedures.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

On August 13, 2013, the CFTC adopted rules to harmonize conflicting SEC and CFTC disclosure, reporting and recordkeeping requirements for registered investment companies that do not meet an exemption from the definition of commodity pool. The harmonization rules provide that the CFTC will accept the SEC’s disclosure, reporting, and recordkeeping regime as substituted compliance for substantially all of the otherwise applicable CFTC regulations as long as such investment companies meet the applicable SEC requirements.

Previously, in November 2012, the CFTC issued relief for fund of fund operators, including advisers to registered investment companies that may otherwise be required to register with the CFTC as commodity pool operators but do not have access to information from the investment funds in which they are invested in order to determine whether such registration is required. This relief delayed the registration date for such operators until the later of June 30, 2013 or six months from the date the CFTC issues revised guidance on the application of certain thresholds with respect to investments in commodities held by funds of funds.

In July 2013, the Investment Manager claimed no-action relief from the CFTC registration with respect to its operation of the Master Fund. Although the CFTC now has adopted harmonization rules applicable to investment companies that are deemed to be commodity pools, the CFTC has not yet issued guidance on how funds of funds are to determine whether they are deemed to be commodity pools. As of September 30, 2014, the Master Fund is not considered a commodity pool and continues to rely on the fund of fund no-action relief.

(d) CASH EQUIVALENTS

The Master Fund considers all unpledged temporary cash investments of sufficient credit quality with a maturity date at the time of purchase of three months or less to be cash equivalents. The Master Fund considers U.S. regulated money market funds to be cash equivalents.

(e) SECURITY TRANSACTIONS AND INVESTMENT INCOME RECOGNITION

Purchases and sales of securities are recorded on a trade-date basis. For investments in securities interest income is recorded on the accrual basis and dividends are recorded on the ex- dividend date. Realized gains or losses on the disposition of investments are accounted for based on the specific identification method. Investments that are held by the Master Fund are marked to fair value at the date of the financial statements, and the corresponding change in unrealized appreciation/depreciation is included in the Statement of Operations.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

(f) FEDERAL INCOME TAXES

The Master Fund intends to continue to qualify as a Regulated Investment Company (“RIC”) by complying with the provisions available to certain investment companies, as defined in Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), and to make distributions from net investment income and from net realized capital gains sufficient to relieve it from all, or substantially all, federal income and excise taxes. Investments in foreign securities may result in foreign taxes being withheld by the issuer of such securities.

The Master Fund has a tax year end of October 31st.

The Master Fund has adopted financial reporting rules regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. Management has reviewed all open tax years and major jurisdictions and concluded that no provision for income tax would be required in the Master Fund’s financial statements. The Master Fund’s Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

As of October 31, 2013, the tax cost of securities and components of distributable earnings on a tax basis were as follows:

Cost basis of investments for federal income tax purposes	$	6,267,031
Gross tax unrealized appreciation		112,959
Gross tax unrealized depreciation		(16,087	)
Net tax unrealized appreciation		96,872
Undistributed ordinary income		48,719
Total distributable earnings	$	145,591

At October 31, 2013, the Master Fund had no capital loss carry forwards.

Under current law, capital losses and specified ordinary losses realized after October 31 and non-specified ordinary losses incurred after December 31 (ordinary losses collectively known as “qualified late year ordinary loss”) may be deferred and treated as occurring on the first business day of the following fiscal year.

The Master Fund had no deferred losses at October 31, 2013.

The Master Fund made no distributions during the six months ended September 30, 2014 and since the commencement of operations on August 1, 2013 through March 31, 2014.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

(g) USE OF ESTIMATES

(h) ORGANIZATION AND OFFERING COSTS

Organizational expenses consist primarily of costs to establish the Master Fund and enable it to legally conduct business. Under an operating services agreement (the “Operating Services Agreement”), the Investment Manager shall pay all expenses incurred by the Master Fund in connection with the organization and offering of Shares of the Master Fund. These expenses may not be recouped by the Investment Manager.

(i) FUND EXPENSES

Pursuant to the Operating Services Agreement with the Master Fund, the Investment Manager has contractually agreed to pay all of the Master Fund’s ordinary operating expenses so long as Steben & Company, Inc. remains the Investment Manager, including the Master Fund’s organizational and offering expenses but not the following Master Fund expenses: the Management Fee, borrowing costs, interest expenses, brokerage commissions and other transaction and investment-related costs, portfolio fund and portfolio fund manager fees and expenses, taxes and governmental fees, acquired fund fees and expenses, shareholder servicing fees, litigation and indemnification expenses, judgments and other extraordinary expenses not incurred in the ordinary course of the Master Fund’s business. The Operating Services Agreement may be terminated at any time by the Board or upon 60 days written notice by the Master Fund or the Investment Manager. See Note 6 – Related Party Transactions.

U.S. Bancorp Fund Services, LLC provides accounting, administrative and transfer agency services to the Master Fund. U.S. Bank, N.A. provides custodian services to the Master Fund.

(j) SHAREHOLDER ACCOUNTS

Issuance of Shares

All purchases accepted by the Master Fund are accepted at the end of the month, and the NAV of Shares is determined as of the close of business on the last day of that month. Purchases accepted by the Master Fund become effective as of the opening of business on the first calendar day of the month based on the previous month-end NAV of the Master Fund Shares.

Prior to the end of each month, the Master Fund receives Shareholder contributions with an effective subscription date of the first day of the following month. The Master Fund, in turn, makes contributions to certain Portfolio Funds, which have effective subscription dates of the first day of the following month. These amounts are reported as “Subscriptions received in advance” and “Investments made in advance”, respectively.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

The Master Fund reserves the right to reject in whole or in part, in its sole discretion, any request to purchase Shares at any time.

Repurchase of Shares

No Shareholder will have the right to require the Master Fund to redeem his, her or its Shares (or any portion thereof). The Master Fund from time to time may offer to repurchase Shares pursuant to written tenders by the Shareholders. These repurchases are made at such times and on such terms as may be determined by the Board from time to time in its sole discretion. With respect to any future repurchase offer, Shareholders tendering Shares for repurchase must do so by a date specified in the notice describing the terms of the repurchase offer, which will generally be approximately 75 days prior to the date that the Shares to be repurchased are valued by the Master Fund (the “Valuation Date”). The Master Fund may elect to repurchase less than the full amount that a Shareholder requests to be repurchased. If a repurchase offer is oversubscribed by Shareholders who tender Shares, the Master Fund may repurchase a pro rata portion of the Shares tendered by each Shareholder, extend the repurchase offer, or take any other action with respect to the repurchase offer permitted by applicable law. In addition, the Master Fund has the right to repurchase Shares of Shareholders if the Master Fund determines that the repurchase is in the best interest of the Master Fund or upon the occurrence of certain events specified in the Master Fund’s Declaration of Trust.

(k) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Dividends will generally be paid at least annually on the Master Fund’s Shares in amounts representing substantially all of the net investment income, if any, earned each year. Payments will vary in amount, depending on investment income received and expenses of operation. It is likely that many of the Portfolio Funds in whose securities the Master Fund invests will not pay any dividends, and this, together with the Master Fund’s expenses, means that there can be no assurance the Master Fund will have substantial income or pay dividends.

It is anticipated that any gains or appreciation in the Master Fund’s investments will be treated as ordinary income or long term capital gains. Such amounts will generally be distributed at least annually and such distributions would be taxed as ordinary income dividends or long term capital gains to Shareholders that are subject to tax.

Pursuant to a dividend reinvestment plan established by the Master Fund (the “Dividend Reinvestment Plan”), each Shareholder will automatically be a participant under the Dividend Reinvestment Plan and have all income distributions, whether dividend distributions and/or capital gains distributions, automatically reinvested in additional Shares. Election not to participate in the Dividend Reinvestment Plan and to receive all income distributions, whether dividend distributions or capital gain distributions, in cash may be made by notice to a Shareholder’s intermediary (who should be directed to inform the Master Fund). A Shareholder is free to change this election at any time. If, however, a Shareholder requests to change its election within 95 days prior to a distribution, the request will be effective only with respect to distributions after the 95-day period. A Shareholder whose Shares are registered in the name of a nominee (such as an Intermediary) must contact the nominee regarding its status under the Dividend Reinvestment Plan, including whether such nominee will participate on such Shareholder’s behalf as such nominee will be required to make any such election.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

Shares will be issued pursuant to the dividend reinvestment plan at their NAV determined on the next valuation date following the record date (the last date of a dividend period on which an investor can purchase Shares and still be entitled to receive the dividend). There is no sales load or other charge for reinvestment. A request must be received by the Master Fund before the record date to be effective for that dividend or capital gain distribution. The Master Fund may terminate the Dividend Reinvestment Plan at any time upon written notice to the participants in the Dividend Reinvestment Plan. The Master Fund may amend the Dividend Reinvestment Plan at any time upon 30 day’s written notice to the participants. Any expenses of the Dividend Reinvestment Plan will be borne by the Master Fund.

(3) INVESTMENTS

The Master Fund follows fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized in the three broad levels listed below:

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Master Fund has the ability to access.

Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Master Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available or investments that cannot be fully redeemed at the NAV in the “near term”; these are investments that generally have one or more of the following characteristics: gated redemptions, suspended redemptions, or have lock-up periods greater than quarterly.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in these securities.

The Master Fund invests in Portfolio Funds, and classifies those investments as Level 2 or Level 3 depending on the Master Fund’s ability to redeem its interest in the near term. Portfolio Fund investments for which the Master Fund can liquidate its investment within 90 days are classified as Level 2.

The following are the classes of investments grouped by the fair value hierarchy for those investments measured at fair value on a recurring basis at September 30, 2014. The Portfolio Funds below were valued using the NAV as the practical expedient:

Description	(Level 1)		(Level 2)		(Level 3)		Total

Investments in Portfolio Funds

Equity Long/Short Strategy	$	-	$	11,576,540	$	-	$	11,576,540
Equity Market-Neutral Strategy		-		7,928,353		-		7,928,353
Fixed-Income Relative Value Strategy		-		5,670,411		-		5,670,411
Global Macro Strategy		-		8,129,387		-		8,129,387
Multi-Strategy		-		4,180,307		-		4,180,307
Total Investments in Portfolio Funds		-		37,484,998		-		37,484,998

Cash Equivalents
Money Market Fund		291,991		-		-		291,991
Total Investments in Portfolio Funds and Cash Equivalents	$	291,991	$	37,484,998	$	-	$	37,776,989

The Master Fund discloses transfers between levels based on valuations at the end of the reporting period. For the six months ended September 30, 2014, there were no transfers in or out of Level 1, Level 2 or Level 3 of the fair value hierarchy. Transfers between Levels 2 and 3 in the fair value hierarchy generally relate to changes in liquidity provisions of the Portfolio Funds.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

The Master Fund is not required to disclose the applicable requirements of this accounting standard in its Notes to Financial Statements due to not directly investing in derivatives and other financial instruments. As such, no additional disclosures have been made on behalf of the Master Fund.

(4) INVESTMENT RISKS AND UNCERTAINTIES

Portfolio Funds consist of non-traditional, not readily marketable investments, some of which may be structured as offshore limited partnerships, venture capital funds, hedge funds, private equity funds and common trust funds. The underlying investments of such funds, whether invested in stock or other securities, are generally not currently traded in a public market and typically are subject to restrictions on resale. Values determined by Portfolio Fund Managers and general partners of underlying securities that are thinly traded or not traded in an active market may be based on historical cost, appraisals, a review of the investees’ financial results, financial condition and prospects, together with comparisons to similar companies for which quoted market prices are available or other estimates that require varying degrees of judgment.

Investments are carried at fair value provided by the respective Portfolio Fund Managers. Because of the inherent uncertainty of valuations, the estimated fair values may differ from the values that would have been used had a ready market for such investments existed or had such investments been liquidated, and those differences could be material.

(5) CONCENTRATION, LIQUIDITY AND OFF-BALANCE SHEET RISK

Various risks are also associated with an investment in the Master Fund, including risks relating to the fund-of-funds structure of the Master Fund, risks relating to compensation arrangements and risks relating to limited liquidity, as described below.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

Redemption restrictions exist for Portfolio Funds whereby the Portfolio Fund Managers may suspend redemption either in their sole discretion or other factors. Such factors include the magnitude of redemptions requested, portfolio valuation issues or market conditions.

In the normal course of business, the Portfolio Funds in which the Master Fund invests trade various financial instruments and enter into various investment activities with off-balance sheet risk. These include, but are not limited to, short selling activities, writing option contracts, contracts for differences, and interest rate, credit default and total return equity swap contracts. The Master Fund’s risk of loss in these Portfolio Funds is limited to the value of its own investments reported in these financial statements by the Master Fund. The Master Fund itself does not invest directly in securities with off-balance sheet risk.

(6) RELATED PARTY TRANSACTIONS

(a) INVESTMENT MANAGEMENT FEE

(b) OPERATING SERVICES FEE

The Master Fund pays to the Investment Manager, as compensation for the services provided by the Investment Manager and its agents under the Operating Services Agreement, an annualized fee of 0.15%, which is paid monthly, based on the month-end net assets of the Master Fund. For the six months ended September 30, 2014, the Master Fund incurred $26,156 in operating services fees.

(7) COMPENSATION FOR TRUSTEES

The independent Trustees are paid annual compensation for service on the Board and its Committees in an annual amount of $15,000 each. Such compensation encompasses attendance and participation at Board and Committee meetings, including telephonic meetings, if any. There are currently two independent Trustees. The Audit Committee Chairman and the Audit Committee Financial Expert also receives an annual amount of $15,000. In the interest of recruiting and retaining independent Trustees of high quality, the Board intends to periodically review such compensation and may modify it as the Board deems appropriate. In addition, through the Operating Services Agreement, the Investment Manager reimburses each independent Trustee for travel and other expenses incurred in connection with attendance at such meetings. Other Officers (apart from the CCO) and Trustees of the Master Fund who are “interested persons” by virtue of their affiliation with the Investment Manager receive no compensation in such role.

Steben Select Multi-Strategy Master Fund

Notes to Financial Statements (continued)
September 30, 2014 (Unaudited)

(8) INVESTMENT TRANSACTIONS

During the six months ended September 30, 2014 (excluding short-term securities), the aggregate purchases of investments were $3,200,000 and sales of investments were $0. The Master Fund did not purchase long-term U.S. Government securities as a part of its investment strategy during the six months ended September 30, 2014.

(9) SUBSEQUENT EVENTS

The Master Fund offered to repurchase Shares in an amount up to 20% of the net assets of the Master Fund, calculated as of December 31, 2014 (the “Repurchase Valuation Date”), and each Share tendered for repurchase will be purchased at the net asset value per Share calculated on that date. Shareholders desiring to tender Shares for repurchase had to do so by 12:00 midnight, Eastern Time on October 23, 2014 (the “Notice Date”). Shareholders had the right to change their minds and withdraw any tenders of their Shares until 12:00 midnight, Eastern Time on October 23, 2014 (the “Expiration Date”). If the Master Fund accepts the tender of the Shareholder’s Shares, the Master Fund will make payment for the Shares it repurchases within 30 days of the Repurchase Valuation Date.

No shares were repurchased during the six months ended September 30, 2014.

The Master Fund has adopted financial reporting rules regarding subsequent events, which requires an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Master Fund’s related events and transactions that occurred subsequent to September 30, 2014 and determined that there were no significant subsequent events that would require adjustment to or additional disclosure in these financial statements.

Steben Select Multi-Strategy Master Fund

Financial Highlights

				For the Period
				August 1, 2013
	Six Months Ended			(Commencement of
	September 30, 2014			Operations) through
	(Unaudited)			March 31, 2014

PER SHARE OPERATING PERFORMANCE
Net Asset Value, beginning of period	$	10.80		$	10.00

Income (loss) from investment operations:
Net Investment Loss		(0.08	) (1)(4)		(0.10	) (1)(4)
Net Unrealized Gain on Investments		0.71			1.04
Total From Investment Operations		0.63			0.94
Less distributions:
From net investment income		-			(0.14	)

Net Asset Value, end of period	$	11.43		$	10.80

TOTAL RETURN		5.90	% (5)		9.35	% (5)

RATIOS/SUPPLEMENTAL DATA
Net Assets, end of period ($000’s)	$	37,437		$	32,160
Portfolio Turnover		0.00	% (5)		0.00	% (5)

Ratio of Net Investment Loss to Average Net Assets		(1.40	)% (2)(6)		(1.40	)% (2)(6)

Ratio of Expenses to Average Net Assets		1.40	% (2)(3)(6)		1.40	% (2)(3)(6)

(1) Net investment loss per share represents net investment loss divided by the average shares outstanding throughout the period.

(2) Ratios are calculated by dividing the indicated amount by average net assets measured at the end of each month during the period.

(3) The ratio of expenses to average net assets does not include expenses of the Portfolio Funds that are paid indirectly by the Master Fund as a result of its ownership of the Portfolio Funds.

(4) Due to the timing of capital share transactions, the per share amount of loss from investment operations varies from amounts shown in the statement of operations.

(5) Not Annualized.

(6) Annualized.

See accompanying notes to financial statements

Additional Information (Unaudited)

Proxy Voting Policies and Procedures

A description of the policies and procedures that the Master Fund uses to determine how to vote proxies relating to portfolio securities, as well as information on how the Master Fund voted proxies (if any) relating to portfolio securities during the most recent 12-month period ended June 30 after commencement of operations will be available on Form N-PX without charge by calling 1-800-726-3400, or on the SEC’s website at http://www.sec.gov.

Portfolio Holdings Disclosure

The Master Fund will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Master Fund’s Forms N-Q will be available on the SEC’s website at www.sec.gov, and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330.

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

Item 6. Investments.

Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable for semi-annual reports.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable for semi-annual reports.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

Item 11. Controls and Procedures.

(a)

The registrant’s Chief Executive Officer and Chief Financial Officer have reviewed the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the registrant and by the registrant’s service provider.

(b)

There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of 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 12. Exhibits.

(a)	(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable for semi-annual reports.

(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable during the period.

(b)	Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

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) Steben Select Multi-Strategy Fund

By (Signature and Title) /s/ Kenneth E. Steben

Kenneth E. Steben, Chief Executive Officer

Date 12/5/2014

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/ Kenneth E. Steben

Kenneth E. Steben, Chief Executive Officer

Date 12/5/2014

By (Signature and Title) /s/ Carl Serger

Carl Serger, Chief Financial Officer

Date 12/5/2014

/s/ Kenneth E. Steben Kenneth E. Steben Chief Executive Officer, Steben Select Multi-Strategy Fund	/s/ Carl Serger Carl Serger Chief Financial Officer, Steben Select Multi-Strategy Fund
Dated: 12/5/2014