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			811-22938

Cohen & Steers Active Commodities Strategy Fund, Inc.
(Exact name of registrant as specified in charter)

280 Park Avenue, New York, NY					10017
(Address of principal executive offices)					(Zip code)

Tina M. Payne Cohen & Steers Capital Management, Inc. 280 Park Avenue New York, New York 10017
(Name and address of agent for service)

Registrant’s telephone number, including area code:				(212) 832-3232

Date of fiscal year end:	April 30

Date of reporting period:		April 30, 2016

To Our Shareholders:

We would like to share with you our report for the year ended April 30, 2016. The net asset values (NAV) per share at that date were $5.93, $5.87, $5.97, $5.93 and $5.97 for Class A, Class C, Class I, Class R and Class Z shares, respectively.

The total returns, including income and change in NAV, for the Fund and its comparative benchmarks were:

	Six Months Ended April 30, 2016			Year Ended April 30, 2016
Cohen & Steers Active Commodities Strategy Fund—Class A		–0.17	%		–19.07	%
Cohen & Steers Active Commodities Strategy Fund—Class C		–0.51	%		–19.59	%
Cohen & Steers Active Commodities Strategy Fund—Class I		–0.17	%		–18.89	%
Cohen & Steers Active Commodities Strategy Fund—Class R		–0.17	%		–19.21	%
Cohen & Steers Active Commodities Strategy Fund—Class Z		–0.17	%		–18.89	%
Bloomberg Commodity Index Total Return^a		–2.06	%		–17.45	%
S&P 500 Index^a		0.43	%		1.21	%

The performance data quoted represent past performance. Past performance is no guarantee of future results. The investment return and the principal value of an investment will fluctuate and shares, if redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Current total returns of the Fund can be obtained by visiting our website at cohenandsteers.com. All share class returns assume the reinvestment of all dividends and distributions at NAV. Fund performance figures reflect fee waivers and/or expense reimbursements, without which the performance would have been lower. Performance quoted does not reflect the deduction of the maximum 4.50% initial sales charge on Class A shares or the 1.00% maximum contingent deferred sales charge on Class C shares. The 1.00% maximum contingent deferred sales charge on Class C shares applies if redemption occurs less than one year from purchase. If such charges were included, returns would have been lower. Index performance does not reflect the deduction of any fees, taxes or expenses. An investor cannot invest directly in an index. Performance figures for periods shorter than one year are not annualized.

Please note that distributions paid by the Fund to shareholders are subject to recharacterization for tax purposes and are taxable up to the amount of the Fund's investment company taxable income and net realized gains. Distributions in excess of the Fund's investment company taxable income and net realized gains are a return of capital distributed from the Fund's assets.

Market Review

Commodities faced significant challenges in the 12 months ended April 30, 2016, with many sectors posting double-digit declines. Relatively slow global growth in developed economies weighed on commodity demand for most of the period. In addition, China, which is the largest importer of a wide range of commodities, remained mired in a multi-year economic slowdown, as its expansion decelerated to its slowest pace in a quarter of a century.

A persistent global surplus of crude oil weighed not just on oil prices but on futures prices more broadly, as oil is a chief input in the production for a wide range of commodities. Saudi Arabia, in a policy it first adopted in 2014, continued to discount oil prices in an effort to recapture market share lost in recent years from the impressive increase in production from U.S. shale formations. Other members of the Organization of Petroleum Exporting Countries likewise cut prices and increased production in order to maintain their own market share, further pressuring the market. Nevertheless, U.S. oil output declined only modestly as domestic producers sought to maximize their cash flow, despite their generally higher relative cost of production. Prices fell to a 12-year low in February amid near-record crude oil inventories, before rebounding in the subsequent months.

A strong U.S. dollar, which reached its highest level in more than a decade in December, also served to depress prices for commodities for much of the period. The dollar rose on expectations of U.S. Federal Reserve rate increases even as most major central banks were firmly committed to highly accommodative policies that include negative interest rates. With many commodities priced in U.S. dollars, weaker local currencies incentivized the increased production and export of commodities on the global stage.

Commodity prices began to firm in the second half of February 2016 and rallied through the end of the period. Growth expectations improved for developed and emerging economies alike, the U.S. dollar weakened and prospects for additional U.S. Federal Reserve interest-rate hikes lessened.

Fund Performance

The Fund had a negative total return in the period and underperformed its benchmark. The largest detractor from relative performance was our allocation to precious metals. Our out-of-benchmark position in palladium declined, as tepid economic reports out of China and slower new auto sales in the country broadly hindered the metal's performance. Our underweight in gold also detracted as the metal rallied over the last quarter due to strong demand as the U.S. dollar weakened and investors questioned the effectiveness of negative-interest-rate central bank policies.

Grains also hindered relative performance, including our underweight in soybeans during the record precipitation in the summer of 2015 and an underweight in soybean meal. Soybean meal was the top-performing commodity during the fiscal year and has recently benefited from reduced production expectations due to extreme floods in Argentina and from strengthening Argentine and Brazilian currencies, among other factors.

Further detracting from relative performance were certain overweight allocations to petroleum commodities, namely West Texas Intermediate crude oil and heating oil, although these were partially offset by favorable futures contract selection.

Livestock was the biggest contributor to the Fund's relative performance. A net short position in feeder cattle profited as prices declined due to a continued beef herd expansion that was fueled by cheap feed prices and improved pasture conditions.

Also contributing to relative performance was contract selection in natural gas, even as the commodity declined sharply due to record U.S. inventories amid a continued rise in production and softer weather-related demand.

Allocations in soft commodities also contributed to relative performance, including overweight positions in Arabica coffee and sugar. Our allocation to coffee included a late-year fundamental spread trade (underweight Arabica/overweight Robusta coffee), which benefited the portfolio as Arabica prices declined on expectations for a good harvest and Robusta prices rose on drought-induced production concerns in Vietnam and Brazil. Within sugar, we were overweight the commodity in the fall as it rallied on Brazilian production concerns and underweight in the final two months of the fiscal year as it underperformed other commodities.

Sincerely,

ROBERT H. STEERS

Chairman


				NICK KOUTSOFTAS				BEN ROSS
				Portfolio Manager				Portfolio Manager

The views and opinions in the preceding commentary are subject to change without notice and are as of the date of the report. There is no guarantee that any market forecast set forth in the commentary will be realized. This material represents an assessment of the market environment at a specific point in time, should not be relied upon as investment advice and is not intended to predict or depict performance of any investment.

Visit Cohen & Steers online at cohenandsteers.com

For more information about the Cohen & Steers family of mutual funds, visit cohenandsteers.com. Here you will find fund net asset values, fund fact sheets and portfolio highlights, as well as educational resources and timely market updates.

Our website also provides comprehensive information about Cohen & Steers, including our most recent press releases, profiles of our senior investment professionals and their investment approach to each asset class. The Cohen & Steers family of mutual funds invests in major real asset categories including real estate securities, listed infrastructure, commodities and natural resource equities, as well as preferred securities and other income solutions.

Class A
Shares

Class C
Shares

Class I
Shares

Class R
Shares

Class Z
Shares

1 Year (with sales charge)

–22.72

%^b

–20.39

%^c

—

1 Year (without sales charge)

–19.07

–19.59

–18.89

–19.21

–18.89

Since Inception^d (with sales charge)

–24.70

%^b

–23.40

—

Since Inception^d (without sales charge)

–22.94

–23.40

–22.75

–21.49

–22.75

Expense Example (Unaudited)

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs including investment advisory fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period November 1, 2015—April 30, 2016.

Actual Expenses

The first line of the following table provides information about actual account values and expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Expense Example (Unaudited)—(Continued)

	Beginning Account Value November 1, 2015		Ending Account Value April 30, 2016		Expenses Paid During Period^aNovember 1, 2015– April 30, 2016
Class A
Actual (–0.17% return)	$	1,000.00	$	998.30	$	7.50
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,017.35	$	7.57
Class C
Actual (–0.51% return)	$	1,000.00	$	994.90	$	9.72
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,015.12	$	9.82
Class I
Actual (–0.17% return)	$	1,000.00	$	998.30	$	5.91
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,018.95	$	5.97
Class R
Actual (–0.17% return)	$	1,000.00	$	998.30	$	8.40
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,016.46	$	8.47
Class Z
Actual (–0.17% return)	$	1,000.00	$	998.30	$	5.86
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,019.00	$	5.92

CONSOLIDATED SCHEDULE OF INVESTMENTS

April 30, 2016

			Number of Shares		Value
SHORT-TERM INVESTMENTS	84.9%
MONEY MARKET FUNDS	11.6%
State Street Institutional Treasury Money Market Fund, 0.16%^a,b				800,000	$	800,000
			Principal Amount
U.S. TREASURY BILLS	73.3%
U.S. Treasury Bill, 0.35%, due 10/20/16^c			$	4,400,000		4,392,251
U.S. Treasury Bill, 0.33%, due 5/12/16^b,c,d				640,000		639,936
						5,032,187
TOTAL INVESTMENTS (Identified cost—$5,832,579)	84.9	%				5,832,187
OTHER ASSETS IN EXCESS OF LIABILITIES^e	15.1					1,036,552
NET ASSETS	100.0	%			$	6,868,739

CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)

April 30, 2016

Futures contracts outstanding at April 30, 2016 were as follows:

Number of Contracts^a		Description	Notional Value			Expiration Date	Unrealized Appreciation (Depreciation)
		LONG FUTURES OUTSTANDING
	5	Aluminum HG LME	$	209,219		May 18, 2016	$	24,922
	1	Aluminum HG LME		42,044		July 18, 2016		4,328
	11	Brent Crude Oil^b		521,070		May 31, 2016		64,899
	10	Coffee Robusta		158,800		July 29, 2016		7,783
	4	Copper		228,350		July 27, 2016		16,842
	9	Corn		177,863		December 14, 2016		1,991
	25	Corn		489,687		July 14, 2016		33,122
	2	Gasoline RBOB		134,770		May 31, 2016		21,345
	3	Gasoline RBOB		202,658		June 30, 2016		15,749
	8	Gold		1,032,400		June 28, 2016		24,938
	3	KC Wheat		71,775		July 14, 2016		1,387
	11	Lean Hogs^b		359,480		June 14, 2016		9,105
	1	Light Sweet Crude Oil		49,660		November 20, 2017		11,818
	18	Light Sweet Crude Oil		840,420		June 21, 2016		85,954
	4	Live Cattle		183,880		June 30, 2016		(10,311	)
	20	Natural Gas		464,400		June 28, 2016		27,508
	2	Nickel LME		113,616		September 19, 2016		(11,532	)
	4	Nickel LME		226,008		May 16, 2016		30,951
	6	Nickel LME		339,930		July 18, 2016		26,643
	4	NY Harbor ULSD		234,242		June 30, 2016		24,259
	2	Palladium		125,530		June 28, 2016		16,125
	4	Silver		356,380		July 27, 2016		38,424
	8	Soybean		411,900		July 14, 2016		37,320
	3	Soybean Meal		100,440		July 14, 2016		4,257
	18	Soybean Oil		357,912		July 14, 2016		(11,154	)
	8	Sugar 11		146,227		June 30, 2016		9,645
	7	Sugar 11		133,437		February 28, 2017		3,445
	9	Wheat		219,825		July 14, 2016		12,431
	6	Zinc LME		290,100		May 16, 2016		25,797
	9	Zinc LME		436,275		July 18, 2016		28,055
		SHORT FUTURES OUTSTANDING
	5	Aluminum HG LME		(209,219	)	May 18, 2016		(21,765	)
	2	Cattle Feeder^b		(140,425	)	May 26, 2016		13,604
	1	Cotton No. 2		(31,885	)	July 7, 2016		6
	3	Light Sweet Crude Oil		(137,760	)	May 20, 2016		(27,645	)
	5	Light Sweet Crude Oil		(241,100	)	November 21, 2016		(23,017	)
	4	Nickel LME		(226,008	)	May 16, 2016		(19,587	)

CONSOLIDATED SCHEDULE OF INVESTMENTS—(Continued)

April 30, 2016

Number of Contracts^a		Description	Notional Value			Expiration Date	Unrealized Appreciation (Depreciation)
	2	Nickel LME	$	(113,616	)	September 19, 2016	$	54,498
	1	Nickel LME		(57,024	)	December 19, 2016		(5,841	)
	3	Soybean		(151,162	)	November 14, 2016		73
	7	Sugar 11		(130,850	)	April 28, 2017		(2,774	)
	1	Zinc LME		(48,475	)	July 18, 2016		(2,028	)
	6	Zinc LME		(290,100	)	May 16, 2016		(22,312	)
	1	Zinc LME		(48,700	)	December 19, 2016		(3,403	)
							$	515,855

^a Represents positions held in the Subsidiary.

^b Futures contracts are cash settled based upon the price of the underlying commodity.

Glossary of Portfolio Abbreviations

HG  High Grade
LME  London Metal Exchange
RBOB  Reformulated Gasoline Blendstock for Oxygen Blending
ULSD  Ultra Low Sulfur Diesel

ASSETS:
Investments in securities, at value (Identified cost—$5,832,579)	$	5,832,187
Cash		925,256
Receivable for:
Variation margin on futures contracts		155,156
Interest		74
Due from investment advisor		12,818
Other assets		11,230
Total Assets		6,936,721
LIABILITIES:
Payable for:
Administration fees		422
Directors' fees		93
Shareholder servicing fees		29
Distribution fees		12
Other liabilities		67,426
Total Liabilities		67,982
NET ASSETS	$	6,868,739
NET ASSETS consist of:
Paid-in capital	$	6,939,231
Accumulated net investment loss		(15,062	)
Accumulated net realized loss		(570,893	)
Net unrealized appreciation		515,463
	$	6,868,739

CLASS A SHARES:
NET ASSETS	$	580,666
Shares issued and outstanding ($0.001 par value common stock outstanding)		97,843
Net asset value and redemption price per share	$	5.93
Maximum offering price per share ($5.93 ÷ 0.955)^a	$	6.21
CLASS C SHARES:
NET ASSETS	$	5,872
Shares issued and outstanding ($0.001 par value common stock outstanding)		1,000
Net asset value and offering price per share^b	$	5.87
CLASS I SHARES:
NET ASSETS	$	6,264,847
Shares issued and outstanding ($0.001 par value common stock outstanding)		1,048,630
Net asset value, offering and redemption price per share	$	5.97
CLASS R SHARES:
NET ASSETS	$	6,820
Shares issued and outstanding ($0.001 par value common stock outstanding)		1,151
Net asset value, offering and redemption price per share	$	5.93
CLASS Z SHARES:
NET ASSETS	$	10,534
Shares issued and outstanding ($0.001 par value common stock outstanding)		1,764
Net asset value, offering and redemption price per share	$	5.97

Investment Income:
Interest income	$	4,764
Dividend income		134
Total Investment Income		4,898
Expenses:
Professional fees		124,412
Registration and filing fees		75,406
Investment advisory fees		67,504
Shareholder reporting expenses		41,234
Administration fees		33,453
Custodian fees and expenses		30,055
Directors' fees and expenses		16,377
Transfer agent fees and expenses		14,728
Proxy expenses		5,515
Distribution fees—Class A		1,254
Distribution fees—Class C		60
Distribution fees—Class R		34
Shareholder servicing fees—Class A		417
Shareholder servicing fees—Class C		1
Shareholder servicing fees—Class I		55
Interest expense		327
Line of credit fees		93
Miscellaneous		12,697
Total Expenses		423,622
Reduction of Expenses (See Note 2)		(342,086	)
Net Expenses		81,536
Net Investment Loss		(76,638	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(6,915	)
Futures contracts		(1,728,570	)
Net realized loss		(1,735,485	)
Net change in unrealized appreciation (depreciation) on:
Investments		(567	)
Futures contracts		269,116
Net change in unrealized appreciation (depreciation)		268,549
Net realized and unrealized loss		(1,466,936	)
Net Decrease in Net Assets Resulting from Operations	$	(1,543,574	)

	For the Year Ended April 30, 2016			For the Period May 1, 2014^a through April 30, 2015
Change in Net Assets:
From Operations:
Net investment loss	$	(76,638	)	$	(101,339	)
Net realized loss		(1,735,485	)		(3,084,183	)
Net change in unrealized appreciation (depreciation)		268,549			246,914
Net decrease in net assets resulting from operations		(1,543,574	)		(2,938,608	)
Capital Stock Transactions:
Increase in net assets from Fund share transactions		174,935			11,075,986
Total increase (decrease) in net assets		(1,368,639	)		8,137,378
Net Assets:
Beginning of year		8,237,378			100,000
End of year^b	$	6,868,739		$	8,237,378

CONSOLIDATED FINANCIAL HIGHLIGHTS

The following tables include selected data for a share outstanding throughout each period and other performance information derived from the consolidated financial statements. They should be read in conjunction with the consolidated financial statements and notes thereto.

	Class A
Per Share Operating Performance:	For the Year Ended April 30, 2016			For the Period May 1, 2014^a through April 30, 2015
Net asset value, beginning of period	$	7.34		$	10.00
Income (loss) from investment operations:
Net investment loss^b		(0.09	)		(0.11	)
Net realized and unrealized loss		(1.32	)		(2.55	)
Total from investment operations		(1.41	)		(2.66	)
Net decrease in net asset value		(1.41	)		(2.66	)
Net asset value, end of period	$	5.93		$	7.34
Total investment return^c		–19.07	%^d		–26.60	%^e
Ratios/Supplemental Data:
Net assets, end of period (in 000's)	$	580.7		$	568.0
Ratio of expenses to average daily net assets (before expense reduction)		6.58	%^f		4.99	%^g
Ratio of expenses to average daily net assets (net of expense reduction)		1.51	%^f		1.42	%^g
Ratio of net investment loss to average daily net assets (before expense reduction)		(6.51	)%		(4.98	)%^g
Ratio of net investment loss to average daily net assets (net of expense reduction)		(1.44	)%		(1.41	)%^g
Portfolio turnover rate		—	%^h		—	%^h

	Class C
Per Share Operating Performance:	For the Year Ended April 30, 2016			For the Period May 1, 2014^a through April 30, 2015
Net asset value, beginning of period	$	7.30		$	10.00
Income (loss) from investment operations:
Net investment loss^b		(0.11	)		(0.16	)
Net realized and unrealized loss		(1.32	)		(2.54	)
Total from investment operations		(1.43	)		(2.70	)
Net decrease in net asset value		(1.43	)		(2.70	)
Net asset value, end of period	$	5.87		$	7.30
Total investment return^c		–19.59	%		–27.00	%^d
Ratios/Supplemental Data:
Net assets, end of period (in 000's)	$	5.9		$	11.0
Ratio of expenses to average daily net assets (before expense reduction)		7.02	%^e		5.53	%^f
Ratio of expenses to average daily net assets (net of expense reduction)		1.95	%^e		1.96	%^f
Ratio of net investment loss to average daily net assets (before expense reduction)		(6.95	)%		(5.52	)%^f
Ratio of net investment loss to average daily net assets (net of expense reduction)		(1.88	)%		(1.95	)%^f
Portfolio turnover rate		—	%^g		—	%^g

	Class I
Per Share Operating Performance:	For the Year Ended April 30, 2016			For the Period May 1, 2014^a through April 30, 2015
Net asset value, beginning of period	$	7.36		$	10.00
Income (loss) from investment operations:
Net investment loss^b		(0.07	)		(0.09	)
Net realized and unrealized loss		(1.32	)		(2.55	)
Total from investment operations		(1.39	)		(2.64	)
Net decrease in net asset value		(1.39	)		(2.64	)
Net asset value, end of period	$	5.97		$	7.36
Total investment return		–18.89	%		–26.40	%^c
Ratios/Supplemental Data:
Net assets, end of period (in 000's)	$	6,264.8		$	7,637.0
Ratio of expenses to average daily net assets (before expense reduction)		6.25	%^d		4.67	%^e
Ratio of expenses to average daily net assets (net of expense reduction)		1.18	%^d		1.10	%^e
Ratio of net investment loss to average daily net assets (before expense reduction)		(6.18	)%		(4.66	)%^e
Ratio of net investment loss to average daily net assets (net of expense reduction)		(1.11	)%		(1.09	)%^e
Portfolio turnover rate		—	%^f		—	%^f

	Class R
Per Share Operating Performance:	For the Year Ended April 30, 2016			For the Period October 1, 2014^a through April 30, 2015
Net asset value, beginning of period	$	7.34		$	8.69
Income (loss) from investment operations:
Net investment loss^b		(0.09	)		(0.07	)
Net realized and unrealized loss		(1.32	)		(1.28	)
Total from investment operations		(1.41	)		(1.35	)
Net decrease in net asset value		(1.41	)		(1.35	)
Net asset value, end of period	$	5.93		$	7.34
Total investment return		–19.21	%		–15.54	%^c
Ratios/Supplemental Data:
Net assets, end of period (in 000's)	$	6.8		$	8.4
Ratio of expenses to average daily net assets (before expense reduction)		6.75	%^d		5.17	%^e
Ratio of expenses to average daily net assets (net of expense reduction)		1.68	%^d		1.60	%^e
Ratio of net investment loss to average daily net assets (before expense reduction)		(6.69	)%		(5.16	)%^e
Ratio of net investment loss to average daily net assets (net of expense reduction)		(1.62	)%		(1.59	)%^e
Portfolio turnover rate		—	%^f		—	%^f

	Class Z
Per Share Operating Performance:	For the Year Ended April 30, 2016			For the Period May 1, 2014^a through April 30, 2015
Net asset value, beginning of period	$	7.36		$	10.00
Income (loss) from investment operations:
Net investment loss^b		(0.07	)		(0.09	)
Net realized and unrealized loss		(1.32	)		(2.55	)
Total from investment operations		(1.39	)		(2.64	)
Net decrease in net asset value		(1.39	)		(2.64	)
Net asset value, end of period	$	5.97		$	7.36
Total investment return		–18.89	%		–26.40	%^c
Ratios/Supplemental Data:
Net assets, end of period (in 000's)	$	10.5		$	13.0
Ratio of expenses to average daily net assets (before expense reduction)		6.25	%^d		4.73	%^e
Ratio of expenses to average daily net assets (net of expense reduction)		1.18	%^d		1.16	%^e
Ratio of net investment loss to average daily net assets (before expense reduction)		(6.18	)%		(4.70	)%^e
Ratio of net investment loss to average daily net assets (net of expense reduction)		(1.11	)%		(1.13	)%^e
Portfolio turnover rate		—	%^f		—	%^f

Note 1. Organization and Significant Accounting Policies

Cohen & Steers Active Commodities Strategy Fund, Inc. (the Fund) was incorporated under the laws of the State of Maryland on February 11, 2014 and is registered under the Investment Company Act of 1940 (the 1940 Act) as a non-diversified, open-end management investment company. The Fund's investment objective is to achieve attractive total return. The Fund had no operations until April 14, 2014 when it sold 1,000 shares each of Class A, C and Z and 7,000 shares of Class I for $100,000 to Cohen & Steers Capital Management, Inc. (the investment advisor). Investment operations commenced on May 1, 2014. On July 22, 2014, the Board of Directors of the Fund approved the Fund's offering of Class R shares. Class R shares became available for investment on October 1, 2014 on which date the Fund sold 1,151 shares of Class R for $10,000 to the investment advisor. The authorized shares of the Fund are divided into five classes designated Class A, C, I, R and Z shares. Each of the Fund's shares has equal dividend, liquidation and voting rights (except for matters relating to distributions and shareholder servicing of such shares.)

Cohen & Steers Active Commodities Strategy, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands, was incorporated on March 13, 2014 and commenced operations on May 1, 2014. The Subsidiary acts as an investment vehicle for the Fund in order to effect certain investments on behalf of the Fund, consistent with the Fund's investment objectives and policies as described in the Fund's prospectus. The Fund expects that it will achieve a significant portion of its exposure to commodities and commodities-related investments through investment in the Subsidiary. Unlike the Fund, the Subsidiary may invest without limitation in commodities. The Fund and its Subsidiary are commodity pools under the Commodity Exchange Act. The investment advisor has registered with the CFTC as a commodity pool operator with respect to the Fund and the Subsidiary. As of April 30, 2016, the Fund held $1,403,904 in the Subsidiary, representing 20.4% of the Fund's total assets (based on U.S. federal income tax regulations). During the year ended April 30, 2016, the Subsidiary generated realized losses of $1,735,485. The Consolidated Schedule of Investments includes positions of the Fund and the Subsidiary. The financial statements have been consolidated and include the accounts of the Fund and the Subsidiary. All significant inter-company balances and transactions have been eliminated in consolidation.

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its consolidated financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification (ASC) Topic 946—Investment Companies. The accounting policies of the Fund are in conformity with accounting principles generally accepted in the United States of America (GAAP). The preparation of the consolidated financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Portfolio Valuation: Futures contracts traded on a commodities exchange or board of trade are valued at their settlement price at the close of trading on such exchange or board of trade. Exchange traded options are valued at their last sale price as of the close of options trading on applicable

exchanges on the valuation date. In the absence of a last sale price on such day, options are valued at the average of the quoted bid and ask prices as of the close of business.

Readily marketable securities traded in the over-the-counter market are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price.

Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at their closing net asset value.

The policies and procedures approved by the Fund's Board of Directors delegate authority to make fair value determinations to the investment advisor, subject to the oversight of the Board of Directors. The investment advisor has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities for which market prices are unavailable, or securities for which the investment advisor determines that the valuation of any investment pursuant to the valuation policy and procedures set forth above does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund's Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

The Fund's use of fair value pricing may cause the net asset value of Fund shares to differ from the net asset value that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.

Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund's investments is summarized below.

• Level 1—quoted prices in active markets for identical investments

• Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, credit risk, etc.)

• Level 3—significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

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

For movements between the levels within the fair value hierarchy, the Fund has adopted a policy of recognizing the transfer at the end of the period in which the underlying event causing the movement occurred. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. There were no transfers between Level 1 and Level 2 investments as of April 30, 2016.

The following is a summary of the inputs used as of April 30, 2016 in valuing the Fund's investments carried at value:

	Total			Quoted Prices in Active Markets for Identical Investments (Level 1)			Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Short-Term Investments	$	5,832,187		$	—		$	5,832,187	$	—
Total Investments^a	$	5,832,187		$	—		$	5,832,187	$	—
Futures Contracts	$	677,224		$	677,224		$	—	$	—
Total Unrealized Appreciation in Other Financial Instruments^a	$	677,224		$	677,224		$	—	$	—
Futures Contracts	$	(161,369	)	$	(161,369	)	$	—	$	—
Total Unrealized Depreciation in Other Financial Instruments^a	$	(161,369	)	$	(161,369	)	$	—	$	—

^a Portfolio holdings are disclosed individually on the Consolidated Schedule of Investments.

Security Transactions, Investment Income and Expense Allocations: Security transactions are recorded on trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost. Interest income is recorded on the accrual basis. Discounts are accreted and premiums are amortized over the life of the respective securities. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.

Foreign Currency Translation: The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollars based upon prevailing exchange rates on the respective dates of such transactions.

The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from currency gains or losses realized between the trade and settlement dates on securities transactions. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates. Pursuant to U.S. federal income tax regulations, certain foreign currency gains/losses included in realized and unrealized gains/losses are included in or are a reduction of ordinary income for federal income tax purposes.

Futures Contracts: The Fund uses futures contracts as its primary investment strategy in order to gain exposure to the underlying commodities markets. Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in unrealized appreciation or depreciation on futures in the Consolidated Statement of Operations. Realized gain or loss, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, is reported in the Consolidated Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated as such on the Consolidated Schedule of Investments and cash deposited is recorded on the Consolidated Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Consolidated Statement of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss, up to the notional value of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. With exchange traded futures contracts, the exchange or board of trade acts as the counterparty to futures transactions; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Additionally, credit risk exists in exchange traded futures contracts with respect to initial and variation margin that is held in a clearing broker's customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker's customers, potentially resulting in losses to the Fund.

Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, which could effectively prevent liquidation of certain positions. In certain circumstances, the futures commissions merchant (FCM) can require additional margin on the futures contracts which would subject the Fund to counterparty credit risk with the FCM.

Morgan Stanley & Co. LLC serves as the Fund's FCM for the purpose of trading in commodity futures contracts, options and interests therein.

Options: The Fund purchases call and put options on commodity futures contracts. Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. At April 30, 2016, the Fund did not have any purchased options outstanding.

Dividends and Distributions to Shareholders: Dividends from net investment income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from GAAP. Dividends from net investment income, if any, are declared and paid annually. Net realized capital gains, unless offset by any available capital loss carryforward, are typically distributed to shareholders at least annually. Dividends and distributions to shareholders are recorded on the ex-dividend date and are automatically reinvested in full and fractional shares of the Fund based on the net asset value per share at the close of business on the payable date, unless the shareholder has elected to have them paid in cash. Dividends from net investment income paid by the Fund are subject to recharacterization for tax purposes.

Income Taxes: It is the policy of the Fund to continue to qualify as a regulated investment company, if such qualification is in the best interest of the shareholders, by complying with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies, and by distributing substantially all of its taxable earnings to its shareholders. Accordingly, no provision for federal income or excise tax is necessary. Management has analyzed the Fund's federal tax positions as well as its tax positions in non-U.S. jurisdictions in which it trades and has concluded that as of April 30, 2016, no additional provisions for income tax are required in the Fund's consolidated financial statements. The Fund's tax positions for the tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service, state departments of revenue and by foreign tax authorities.

The Subsidiary is classified as a controlled foreign corporation under the Internal Revenue Code. The Subsidiary's taxable income, including net gains, is included, as ordinary income, in the calculation of the Fund's taxable income. Net losses of the Subsidiary are not deductible by the Fund either in the current period or carried forward to future periods.

Note 2. Investment Advisory Fees, Administration Fees and Other Transactions with Affiliates

Investment Advisory Fees: The investment advisor serves as the Fund's and Subsidiary's investment advisor pursuant to an investment advisory agreement (the investment advisory agreement). Under the terms of the investment advisory agreement, the investment advisor provides the Fund with day-to-day

investment decisions and generally manages the Fund's investments in accordance with the stated policies of the Fund, subject to the supervision of the Board of Directors.

For the services provided to the Fund, the investment advisor receives a fee, accrued daily and paid monthly, at the annual rate of 1.00% of the average daily net assets of the Fund.

For the year ended April 30, 2016, and through June 30, 2017, the investment advisor has contractually agreed to waive its fee and/or reimburse expenses so that the Fund's total annual operating expenses, which include the expenses of the Subsidiary (excluding acquired fund fees and expenses and extraordinary expenses) do not exceed 1.45% for Class A shares, 2.10% for Class C shares, 1.10% for Class I shares, 1.60% for Class R shares and 1.10% for Class Z shares. This contractual expense limitation agreement can be amended at any time by agreement of the Fund and the investment advisor and will terminate automatically in the event of termination of the investment advisory agreement between the Fund and the investment advisor. For the year ended April 30, 2016, fees waived and/or expenses reimbursed totaled $342,086.

Administration Fees: The Fund has entered into an administration agreement with the investment advisor under which the investment advisor performs certain administrative functions for the Fund and receives a fee, accrued daily and paid monthly, at the annual rate of 0.08% of the average daily net assets of the Fund. For the year ended April 30, 2016, the Fund incurred $5,400 in fees under this administration agreement. Additionally, the Fund pays State Street Bank and Trust Company as co-administrator under a fund accounting and administration agreement.

Distribution Fees: Shares of the Fund are distributed by Cohen & Steers Securities, LLC (the distributor), an affiliated entity of the investment advisor. The Fund has adopted an amended distribution and service plan (the plan) pursuant to Rule 12b-1 under the 1940 Act. The plan provides that the Fund will pay the distributor a fee, accrued daily and paid monthly, at an annual rate of up to 0.25% of the average daily net assets attributable to Class A shares, up to 0.75% of the average daily net assets attributable to Class C shares and up to 0.50% of the average daily net assets attributable to Class R shares. In addition, with respect to Class R shares, such amounts may also be used to pay for services to Fund shareholders or services related to the maintenance of shareholder accounts.

There is a maximum initial sales charge of 4.50% for Class A shares. There is a contingent deferred sales charge (CDSC) of 1.00% on purchases of $1 million or more of Class A shares, which applies if redemption occurs within one year from purchase. There is a CDSC of 1.00% on Class C shares, which applies if redemption occurs within one year from purchase. For the year ended April 30, 2016, the Fund has been advised that the distributor received $1 in sales commissions from the sale of Class A shares. There were no CDSC fees collected relating to redemptions of Class A or Class C shares. The distributor has advised the Fund that proceeds from the CDSC on these classes are used by the distributor to defray its expenses related to providing distribution-related services to the Fund in connection with the sale of these classes, including payments to dealers and other financial intermediaries for selling these classes.

Shareholder Servicing Fees: For shareholder services, the Fund pays the distributor or its affiliates a fee, accrued daily and paid monthly, at an annual rate of up to 0.10% of the average daily net assets

of the Fund's Class A shares, up to 0.25% of the average daily net assets of the Fund's Class C shares and up to 0.10% of the average daily net assets of the Fund's Class I shares. The distributor is responsible for paying qualified financial institutions for shareholder services.

Directors' and Officers' Fees: Certain directors and officers of the Fund are also directors, officers and/or employees of the investment advisor. The Fund does not pay compensation to directors and officers affiliated with the investment advisor except for the Chief Compliance Officer, who received compensation from the investment advisor which was reimbursed by the Fund, in the amount of $86 for the year ended April 30, 2016.

Other: At April 30, 2016, the investment advisor and affiliated persons of the investment advisor owned 97.0% of the Fund's outstanding shares. Investment activities of these shareholders could have a significant impact on the Fund. In addition, a person who beneficially owns, either directly or indirectly, more than 25% of the voting securities of the Fund may be presumed to control the Fund. A control person could potentially control the outcome of any proposal submitted to the shareholders for approval, including changes to the Fund's fundamental policies or terms of the investment advisory agreement with the investment advisor.

Note 3. Purchases and Sales of Securities

During the year ended April 30, 2016, there were no purchases or sales of long-term investments. Additionally, during the year ended April 30, 2016, there were no purchases or sales of long-term U.S. government securities.

Note 4. Derivative Investments

The following tables present the value of derivatives held at April 30, 2016 and the effect of derivatives held during the year ended April 30, 2016, along with the respective location in the consolidated financial statements.

Consolidated Statement of Assets and Liabilities

Assets

Liabilities

Derivatives

Location

Fair Value

Location

Fair Value

Commodity Risk:

Futures Contracts^a

Receivable for variation
margin on futures contracts

515,855

—

^a Futures contracts executed with Morgan Stanley & Co. LLC are not subject to a master netting arrangement or another similar agreement.

^b Amount represents the cumulative appreciation (depreciation) on futures contracts as reported on the Consolidated Schedule of Investments. The Consolidated Statement of Assets and Liabilities only reflects the current day variation margin receivable from broker.

Consolidated Statement of Operations

Derivatives

Location

Realized
Gain (Loss)

Change in
Unrealized
Appreciation
(Depreciation)

Commodity Risk:

Futures Contracts

Net Realized and Unrealized Gain (Loss)

(1,728,570

)

269,116

The following summarizes the volume of the Fund's futures contracts activity during the year ended April 30, 2016:

	Futures Contracts
Average Notional Balance—Long	$	9,012,362
Average Notional Balance—Short		(2,193,995	)
Ending Notional Balance—Long		8,658,298
Ending Notional Balance—Short		(1,826,324	)

Note 5. Income Tax Information

As of April 30, 2016, the tax-basis components of accumulated earnings and the federal tax cost were as follows:

Cost for federal income tax purposes	$	5,832,579
Gross unrealized appreciation	$	—
Gross unrealized depreciation		(392	)
Net unrealized depreciation	$	(392	)

The Fund incurred net ordinary losses of $15,062 after October 31, 2015, that it has elected to treat as arising in the following fiscal year.

As of April 30, 2016, the Fund had temporary book/tax differences primarily attributable to futures transactions in the Subsidiary and permanent book/tax differences primarily attributable to Fund net operating losses and Subsidiary losses. To reflect reclassifications arising from the permanent differences, paid-in capital was charged $1,542,450, accumulated net realized loss was credited $1,480,874 and accumulated net investment loss was credited $61,576. Net assets were not affected by this reclassification.

Note 6. Capital Stock

The Fund is authorized to issue 1 billion shares of capital stock, at a par value of $0.001 per share. The Board of Directors of the Fund may increase or decrease the aggregate number of shares of common stock that the Fund has authority to issue. Transactions in Fund shares were as follows:

	For the Year Ended April 30, 2016						For the Period May 1, 2014^a through April 30, 2015
	Shares			Amount			Shares			Amount
Class A:
Sold		20,888		$	119,901			76,429		$	635,675
Redeemed		(474	)		(2,532	)		—			—
Net increase		20,414		$	117,369			76,429		$	635,675
Class C:
Sold		—		$	—			523		$	5,000
Redeemed		(523	)		(2,775	)		—			—
Net increase (decrease)		(523	)	$	(2,775	)		523		$	5,000
Class I:
Sold		20,352		$	110,000			1,200,646		$	11,870,830
Redeemed		(9,135	)		(49,659	)		(170,233	)		(1,452,519	)
Net increase		11,217		$	60,341			1,030,413		$	10,418,311
Class R:^b
Sold		—		$	—			1,151		$	10,000
Net increase		—		$	—			1,151		$	10,000
Class Z:
Sold		—		$	—			764		$	7,000
Net increase		—		$	—			764		$	7,000

^a Commencement of operations.

^b Inception date of October 1, 2014.

Note 7. Borrowings

The Fund, in conjunction with other Cohen & Steers open-end funds, was a party to a $50,000,000 syndicated credit agreement (the credit agreement) with State Street Bank and Trust Company, as administrative agent and operations agent, and the lenders identified in the credit agreement (as applicable), which expired January 22, 2016. The Fund paid a commitment fee of 0.15% per annum on its proportionate share of the unused portion of the credit agreement. As approved by the Board of Directors on December 8, 2015, the Fund did not renew the credit agreement.

During the period beginning May 1, 2015 through January 22, 2016, the Fund did not borrow under the credit agreement.

Note 8. Other Risks

Risks of Investing in Commodities: Investing in physical commodities, either directly or through complex instruments such as commodity futures contracts and options on commodity futures contracts presents unique risks, is speculative and can be extremely volatile. Market prices of commodities may fluctuate rapidly based on numerous factors including: drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. Because the Fund has a significant portion of its assets concentrated in commodity-related derivative instruments, developments affecting commodities may have a disproportionate impact on the Fund. The Fund's investment in commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly if the instruments involve leverage. The value of commodity-related derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity. The use of derivatives presents risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. Among the risks presented are market risk, credit risk, counterparty risk, leverage risk and liquidity risk. In addition, the relationships between various commodities and related derivatives may not behave as expected. Use of leveraged commodity-related derivatives, if any, creates an opportunity for increased return but, at the same time, creates the possibility for greater loss (including the likelihood of greater volatility of the Fund's net asset value).

Investments in commodity futures contracts and options on commodity futures contracts have a high degree of price variability and are subject to rapid and substantial price changes. Such investments could incur significant losses. There can be no assurance that the options strategy will be successful. The use of options on commodity futures contracts is to enhance risk-adjusted total returns. The use of options, however, may not provide any, or only partial, protection for market declines. The return performance of the commodity futures contracts may not parallel the performance of the commodities or indexes that serve as the basis for the options it buys or sells; this basis risk may reduce overall returns.

Subsidiary Risk: By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary's investments. The types of derivatives and other investments held by the Subsidiary generally are similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the 1940 Act and is not subject to all of the investor protections of the 1940 Act.

Changes in the laws of the United States and/or the Cayman Islands, under which the Fund and the Subsidiary are organized, respectively, could result in the inability of the Fund and/or the Subsidiary to operate as described in the Fund's Prospectus and the Statement of Additional Information and could negatively affect the Fund and its shareholders. For example, Cayman Islands law does not currently impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax on the Subsidiary. If Cayman Islands law changes such that the Subsidiary must pay Cayman Islands governmental authority taxes, the Fund's shareholders would likely suffer decreased investment returns.

Clearing Broker Risk: The failure or bankruptcy of the Subsidiary's clearing broker could result in a substantial loss of Fund assets. Under current Commodity Futures Trading Commission (CFTC) regulations, a clearing broker maintains customers' assets in a bulk segregated account. If a clearing broker fails to do so, or is unable to satisfy a substantial deficit in a customer account, its other customers may be subject to risk of loss of their funds in the event of that clearing broker's bankruptcy. In that

event, in the case of futures and options on futures, the clearing broker's customers, such as the Subsidiary, are entitled to recover, even in respect of property specifically traceable to them, only a proportional share of all property available for distribution to all of that clearing broker's customers.

Tax Risk: The Fund's ability to make direct and indirect investments in commodity-related derivative instruments and certain related investments, is limited by the Fund's intention to qualify as a regulated investment company (RIC) under the Internal Revenue Code of 1986; if the Fund does not appropriately limit such investments or if such investments are recharacterized for U.S. tax purposes, the Fund's status as a RIC may be jeopardized. The Fund's investment in the Subsidiary is intended to provide additional exposure to commodities while allowing the Fund to satisfy the requirements applicable to RICs. If the Fund were to fail to qualify as a RIC in any taxable year, and were ineligible to or otherwise did not cure such failure, the Fund would be subject to tax on its taxable income at corporate rates, and all distributions from earnings and profits, including any distributions of net long-term capital gains, would be taxable to shareholders as dividend income.

Regulatory Risk: Recent legislation has called for a new regulatory framework for the derivatives market. The impact of the new regulations are still unknown, but has the potential to increase the costs of using derivatives, may limit the availability of some forms of derivatives or the Fund's ability to use derivatives, and may adversely affect the performance of some derivative instruments used by the Fund as well as the Fund's ability to pursue its investment objective through the use of such instruments. The Advisor is registered with the CFTC as a commodity pool operator (CPO) with respect to the Fund and the Subsidiary. Compliance with the CFTC's disclosure, reporting and recordkeeping requirements may increase Fund expenses and may affect the ability of the Fund to use commodity interests (including futures, options on futures, commodities, and swaps) to the extent or in the manner desired.

Non-U.S. Investment Risk: The Fund may invest in commodity futures contracts traded on non-U.S. exchanges or enter into over-the-counter derivative contracts with non-U.S. counterparties. Transactions on non-U.S. exchanges or with non-U.S. counterparties present risk because they may not be subject to the same degree of regulation as their U.S. counterparts.

This is not a complete list of the risks of investing in the Fund. For additional risks of investing in the Fund, please consult the Fund's prospectus.

Note 9. Other

In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

Note 10. Subsequent Events

Management has evaluated events and transactions occurring after April 30, 2016 through the date that the financial statements were issued, and has determined that no additional disclosure in the financial statements is required.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Directors and Shareholders of
Cohen & Steers Active Commodities Strategy Fund, Inc.

In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of Cohen & Steers Active Commodities Strategy Fund, Inc. and its subsidiary (hereafter refered to as the "Fund") at April 30, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These consolidated financial statements and consolidated financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at April 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
New York, New York
June 28, 2016

PROXY RESULTS (Unaudited)

Cohen & Steers Active Commodities Strategy Fund, Inc. shareholders voted on the following proposals at the annual meeting held on December 17, 2015. The description of each proposal and number of shares voted are as follows:

Common Shares

	Shares Voted For		Authority Withheld
To elect Directors:
Michael Clark		1,093,442.645		0.00
Bonnie Cohen		1,093,442.645		0.00
George Grossman		1,093,442.645		0.00
Joseph Harvey		1,093,442.645		0.00
Dean Junkans		1,093,442.645		0.00
Richard E. Kroon		1,093,442.645		0.00
Gerald J. Maginnis		1,093,442.645		0.00
Jane F. Magpiong		1,093,442.645		0.00
Richard J. Norman		1,093,442.645		0.00
Frank K. Ross		1,093,442.645		0.00
Robert H. Steers		1,093,442.645		0.00
C. Edward Ward, Jr.		1,093,442.645		0.00

OTHER INFORMATION

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 800-330-7348, (ii) on our website at cohenandsteers.com or (iii) on the Securities and Exchange Commission's (the SEC) website at http://www.sec.gov. In addition, the Fund's proxy voting record for the most recent 12-month period ended June 30 is available by August 31 of each year (i) without charge, upon request, by calling 800-330-7348 or (ii) on the SEC's website at http://www.sec.gov.

The Fund files 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 are available (i) without charge, upon request, by calling 800-330-7348 or (ii) on the SEC's website at http://www.sec.gov. In addition, the Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

Please note that distributions paid by the Fund to shareholders are subject to recharacterization for tax purposes. The Fund may also pay distributions in excess of the Fund's net investment company taxable income and this excess could be a tax free return of capital distributed from the Fund's assets. The final tax treatment of all distributions is reported to shareholders on their 1099-DIV forms, which are mailed after the close of each calendar year.

Election of Directors

On December 17, 2015, stockholders of the Fund approved the election of 12 directors, with each director to serve for a term of indefinite duration and until his or her successor is duly elected and qualifies. Please refer to the section titled "Proxy Results" of this report for the stockholder meeting results, and the section titled "Management of Fund" for the biographical information of each director.

MANAGEMENT OF THE FUND

The business and affairs of the Fund are managed under the direction of the Board of Directors. The Board of Directors approves all significant agreements between the Fund and persons or companies furnishing services to it, including the Fund's agreements with its investment advisor, administrator, co-administrator, custodian and transfer agent. The management of the Fund's day-to-day operations is delegated to its officers, the investment advisor, administrator and co-administrator, subject always to the investment objective and policies of the Fund and to the general supervision of the Board of Directors.

The Board of Directors and officers of the Fund and their principal occupations during at least the past five years are set forth below. The statement of additional information (SAI) includes additional information about fund directors and is available, without charge, upon request by calling 800-330-7348.

Name, Address and
Year of Birth¹

Position(s) Held
With Fund

Term of
Office²

Principal Occupation
During At Least
The Past 5 Years
(Including Other
Directorships Held)

Number of
Funds Within
Fund
Complex
Overseen by
Director
(Including
the Fund)

Length
of Time
Served³

Interested Directors⁴

Robert H. Steers
1953

Director and Chairman

Until next election of directors

Chief Executive Officer of Cohen & Steers Capital Management, Inc. (CSCM or the Advisor) and its parent, Cohen & Steers, Inc. (CNS) since 2014. Prior to that, Co-Chairman and Co-Chief Executive Officer of the Advisor since 2003 and CNS since 2004.

Since 1991

Joseph M. Harvey
1963

Director and Vice President

Until next election of directors

President and Chief Investment Officer of the Advisor since 2003 and President of CNS since 2004.

Since 2014

(table continued on next page)

(table continued from previous page)

Name, Address and
Year of Birth¹

Position(s) Held
With Fund

Term of
Office²

Principal Occupation
During At Least
The Past 5 Years
(Including Other
Directorships Held)

Number of
Funds Within
Fund
Complex
Overseen by
Director
(Including
the Fund)

Length
of Time
Served³

Disinterested Directors

Michael G. Clark
1965

Director

Until next election of directors

From 2006 to 2011, President and Chief Executive Officer of DWS Funds and Managing Director of Deutsche Asset Management.

Since 2011

Bonnie Cohen
1942

Director

Until next election of directors

Consultant. Board Member, DC Public Library Foundation since 2012, President since 2014; Board Member, Telluride Mountain Film Festival since 2010; Trustee, H. Rubenstein Foundation since 1996; Trustee, District of Columbia Public Libraries from 2004 to 2014.

Since 2001

George Grossman
1953

Director

Until next election of directors

Attorney-at-law.

Since 1996

Dean Junkans
1959

Director

Until next election of directors

C.F.A.; Chief Investment Officer at Wells Fargo Private Bank from 2004 to 2014 and Chief Investment Officer of the Wealth, Brokerage and Retirement group at Wells Fargo & Company from 2011 to 2014; Member and former Chair, Claritas Advisory Committee at the CFA Institute since 2013; Board Member and Investment Committee member, Bethel University Foundation since 2010; formerly Corporate Executive Board Member of the National Chief Investment Officers Circle, 2010 to 2015; formerly, Member of the Board of Governors of the University of Wisconsin Foundation, River Falls, 1996 to 2004; U.S. Army Veteran, Gulf War.

Since 2015

(table continued on next page)

The officers of the Fund (other than Messrs. Steers and Harvey, whose biographies are provided above), their address, their year of birth and their principal occupations for at least the past five years are set forth below.

Name, Address and
Year of Birth¹

Position(s) Held
With Fund

Principal Occupation During At Least the Past 5 Years

Length
of Time
Served²

Adam M. Derechin
1964

President and Chief Executive Officer

Chief Operating Officer of CSCM since 2003 and CNS since 2004.

Since 2005

Nicholas Koutsoftas
1973

Vice President

Senior Vice President of CSCM since 2013. Prior to that, Senior Vice President, co-portfolio manager and head of the Active Commodities strategy at GE Asset Management.

Since 2013

Ben Ross
1971

Vice President

Senior Vice President of CSCM since 2013. Prior to that, co-portfolio manager at GE Asset Management of the GE Active Commodities strategy since its 2006 inception.

Since 2013

Tina M. Payne
1974

Secretary and Chief Legal Officer

Senior Vice President and Associate General Counsel of CSCM since 2010.

Since 2007

James Giallanza
1966

Treasurer and Chief Financial Officer

Executive Vice President of CSCM since 2014. Prior to that, Senior Vice President of CSCM since 2006.

Since 2006

Lisa D. Phelan
1968

Chief Compliance Officer

Executive Vice President of CSCM since 2015. Prior to that, Senior Vice President of CSCM since 2008. Chief Compliance Officer of CSCM, the Cohen & Steers funds, Cohen & Steers Asia Limited and CSSL since 2007, 2006, 2005 and 2004, respectively.

Since 2006

Cohen & Steers Privacy Policy

Facts				What Does Cohen & Steers Do With Your Personal Information?
Why?				Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?				The types of personal information we collect and share depend on the product or service you have with us. This information can include: • Social Security number and account balances • Transaction history and account transactions • Purchase history and wire transfer instructions
How?				All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons Cohen & Steers chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does Cohen & Steers share?	Can you limit this sharing?
For our everyday business purposes— such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or reports to credit bureaus	Yes	No
For our marketing purposes— to offer our products and services to you	Yes	No
For joint marketing with other financial companies—	No	We don't share
For our affiliates' everyday business purposes— information about your transactions and experiences	No	We don't share
For our affiliates' everyday business purposes— information about your creditworthiness	No	We don't share
For our affiliates to market to you—	No	We don't share
For non-affiliates to market to you—	No	We don't share

Questions? Call 800.330.7348

Cohen & Steers Privacy Policy—(Continued)

Who we are
Who is providing this notice?				Cohen & Steers Capital Management, Inc., Cohen & Steers Asia Limited, Cohen & Steers Japan, LLC, Cohen & Steers UK Limited, Cohen & Steers Securities, LLC, Cohen & Steers Private Funds and Cohen & Steers Open and Closed-End Funds (collectively, Cohen & Steers).
What we do
How does Cohen & Steers protect my personal information?				To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We restrict access to your information to those employees who need it to perform their jobs, and also require companies that provide services on our behalf to protect your information.
How does Cohen & Steers collect my personal information?				We collect your personal information, for example, when you: • Open an account or buy securities from us • Provide account information or give us your contact information • Make deposits or withdrawals from your account We also collect your personal information from other companies.
Why can't I limit all sharing?				Federal law gives you the right to limit only: • sharing for affiliates' everyday business purposes—information about your creditworthiness • affiliates from using your information to market to you • sharing for non-affiliates to market to you State law and individual companies may give you additional rights to limit sharing.
Definitions
Affiliates				Companies related by common ownership or control. They can be financial and nonfinancial companies. • Cohen & Steers does not share with affiliates.
Non-affiliates				Companies not related by common ownership or control. They can be financial and nonfinancial companies. • Cohen & Steers does not share with non-affiliates.
Joint marketing				A formal agreement between non-affiliated financial companies that together market financial products or services to you. • Cohen & Steers does not jointly market.

COHEN & STEERS GLOBAL REALTY SHARES

• Designed for investors seeking total return, investing primarily in global real estate equity securities

• Symbols: CSFAX, CSFCX, CSSPX, GRSRX, CSFZX

COHEN & STEERS INSTITUTIONAL REALTY SHARES

• Designed for institutional investors seeking total return, investing primarily in U.S. real estate securities

• Symbol: CSRIX

COHEN & STEERS REAL ESTATE SECURITIES FUND

• Designed for investors seeking total return, investing primarily in U.S. real estate securities

• Symbols: CSEIX, CSCIX, CSDIX, CIRRX, CSZIX

COHEN & STEERS INTERNATIONAL REALTY FUND

• Designed for investors seeking total return, investing primarily in international (non-U.S.) real estate securities

• Symbols: IRFAX, IRFCX, IRFIX, IRFRX, IRFZX

COHEN & STEERS REALTY SHARES

• Designed for investors seeking total return, investing primarily in U.S. real estate securities

• Symbol: CSRSX

COHEN & STEERS
INSTITUTIONAL GLOBAL REALTY SHARES

• Designed for institutional investors seeking total return, investing primarily in global real estate securities

• Symbol: GRSIX

COHEN & STEERS GLOBAL INFRASTRUCTURE FUND

• Designed for investors seeking total return, investing primarily in global infrastructure securities

• Symbols: CSUAX, CSUCX, CSUIX, CSURX, CSUZX

COHEN & STEERS DIVIDEND VALUE FUND

• Designed for investors seeking long-term growth of income and capital appreciation, investing primarily in dividend paying common stocks and preferred stocks

• Symbols: DVFAX, DVFCX, DVFIX, DVFRX, DVFZX

COHEN & STEERS
PREFERRED SECURITIES AND INCOME FUND

• Designed for investors seeking total return (high current income and capital appreciation), investing primarily in preferred and debt securities issued by U.S. and non-U.S. companies

• Symbols: CPXAX, CPXCX, CPXIX, CPRRX, CPXZX

COHEN & STEERS
LOW DURATION PREFERRED AND INCOME FUND

• Designed for investors seeking high current income and capital preservation by investing in low-duration preferred and other income securities issued by U.S. and non-U.S. companies

• Symbols: LPXAX, LPXCX, LPXIX, LPXRX, LPXZX

COHEN & STEERS REAL ASSETS FUND

• Designed for investors seeking total return and the maximization of real returns during inflationary environments by investing primarily in real assets

• Symbols: RAPAX, RAPCX, RAPIX, RAPRX, RAPZX

COHEN & STEERS
MLP & ENERGY OPPORTUNITY FUND

• Designed for investors seeking total return, investing primarily in midstream energy master limited partnership (MLP) units and related stocks

• Symbols: MLOAX, MLOCX, MLOIX, MLORX, MLOZX

COHEN & STEERS
ACTIVE COMMODITIES STRATEGY FUND

• Designed for investors seeking total return, investing primarily in a diversified portfolio of exchange-traded commodity future contracts and other commodity-related derivative instruments

• Symbols: CDFAX, CDFCX, CDFIX, CDFRX, CDFZX

Item 2. Code of Ethics.

The Registrant has adopted an Amended and Restated Code of Ethics that applies to its Principal Executive Officer and Principal Financial Officer. The Code of Ethics was in effect during the reporting period. The Registrant has not amended the Code of Ethics as described in Form N-CSR during the reporting period. The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the reporting period. A current copy of the Code of Ethics is available on the Registrant’s website at https://www.cohenandsteers.com/assets/content/uploads/Code_of_Ethics_for_Principal_Executive_and_Principal_Financial_Officers_of_the_Funds.pdf. Upon request, a copy of the Code of Ethics can be obtained free of charge by calling 800-330-7348 or writing to the Secretary of the Registrant, 280 Park Avenue, 10th floor, New York, NY 10017.

Item 3. Audit Committee Financial Expert.

The registrant’s board has determined that Michael G. Clark, Frank K. Ross and Gerald. J. Maginnis, each a member of the board’s audit committee, each are an “audit committee financial expert”. Mr. Clark, Mr. Ross and Mr. Maginnis are each “independent,” as such term is defined in Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a) – (d) Aggregate fees billed to the registrant for the last two fiscal years for professional services rendered by the registrant’s principal accountant were as follows:

	2016		2015
Audit Fees	$	42,500	$	42,500
Audit-Related Fees	$	0	$	0
Tax Fees	$	6,400	$	6,400
All Other Fees	$	0	$	0

Tax fees were billed in connection with tax compliance services, including the preparation and review of federal and state tax returns.

(e)(1) The audit committee is required to pre-approve audit and non-audit services performed for the registrant by the principal accountant. The audit committee also is required to pre-approve non-audit services performed by the registrant’s principal accountant for the registrant’s investment advisor and any sub-advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor) and/or to any entity controlling, controlled by or under common control with the registrant’s investment advisor that provides ongoing services to the registrant, if the engagement for services relates directly to the operations and financial reporting of the registrant.

The audit committee may delegate pre-approval authority to one or more of its members who are independent members of the board of directors of the registrant. The member or members to whom such authority is delegated shall report any pre-approval decisions to the audit committee

at its next scheduled meeting. The audit committee may not delegate its responsibility to pre-approve services to be performed by the registrant’s principal accountant to the investment advisor.

(e)(2) No services included in (b) – (d) above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) For the fiscal years ended April 30, 2016 and April 30, 2015, the aggregate fees billed by the registrant’s principal accountant for non-audit services rendered to the registrant and for non-audit services rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor) and/or to any entity controlling, controlled by or under common control with the registrant’s investment advisor that provides ongoing services to the registrant were:

	2016		2015
Registrant	$	6,400	$	6,400
Investment Advisor	$	0	$	15,000

(h) The registrant’s audit committee considered whether the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor) and/or to any entity controlling, controlled by or under common control with the registrant’s investment advisor that provides ongoing services to the registrant that were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X was compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not Applicable.

Item 6. Schedule of Investments.

Included in Item 1 above.

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

Not Applicable.

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

Not Applicable.

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.

None.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable.

(a)(2) Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940.

(a)(3) Not applicable.

(b) Certifications of principal executive officer and principal financial officer as required by Rule 30a- 2(b) under the Investment Company Act of 1940.

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.

COHEN & STEERS ACTIVE COMMODITIES STRATEGY FUND, INC.


	By:	/s/ Adam M. Derechin
		Name: Adam M. Derechin
		Title: President and Chief Executive Officer

	Date: July 7, 2016

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

By:	/s/ Adam M. Derechin
	Name:	Adam M. Derechin
	Title:	President and Chief Executive Officer
		(Principal Executive Officer)

By:	/s/ James Giallanza
	Name:	James Giallanza
	Title:	Treasurer and Chief Financial Officer
		(Principal Financial Officer)


Date: July 7, 2016

	% of Net Assets
U.S. Treasury Bills		73.3
Money Market Funds		11.6
Other Assets in Excess of Liabilities^a		15.1
		100.0