N-Q 1 wcm_edf-nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS
As filed with the Securities and Exchange Commission on November 27, 2017



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 Washington, D.C. 20549


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY




Investment Company Act file number 811-22818



Westchester Capital Funds
 (Exact name of registrant as specified in charter)


100 Summit Lake Drive
Valhalla, New York  10595
 (Address of principal executive offices) (Zip code)

Roy Behren and Michael T. Shannon
Westchester Capital Funds
100 Summit Lake Drive
Valhalla, New York  10595
 (Name and address of agent for service)



Registrant's telephone number, including area code: 1-800-343-8959



Date of fiscal year end: December 31, 2017
 

Date of reporting period:  September 30, 2017

 
Item 1. Schedule of Investments.
 
 
WCM Alternatives: Event-Driven Fund
        
SCHEDULE OF INVESTMENTS
        
September 30, 2017 (Unaudited)
        
         
   
Shares
    
Value
  
LONG INVESTMENTS - 99.16%
            
COMMON STOCKS - 49.05%
            
 AEROSPACE & DEFENSE - 2.46%
            
  DigitalGlobe, Inc. (a)(e)
    
10,080
    
$
355,320
  
  Rockwell Collins, Inc. (e)
    
19,425
      
2,539,042
  
             
2,894,362
  
 ALTERNATIVE CARRIERS - 1.98%
                
  Level 3 Communications, Inc. (a)(e)
    
43,726
      
2,330,158
  
 APPLICATION SOFTWARE - 0.44%
                
  Micro Focus International plc - ADR (a)
    
16,391
      
522,873
  
 BROADCASTING - 5.52%
                
  CBS Corporation Class B (e)
    
76,700
      
4,448,600
  
  Scripps Networks Interactive, Inc. Class A (e)
    
23,929
      
2,055,262
  
             
6,503,862
  
 BUILDING PRODUCTS - 1.95%
                
  Johnson Controls International plc (b)(e)
    
57,175
      
2,303,581
  
 CABLE & SATELLITE - 1.96%
                
  Liberty Media Corporation-Liberty SiriusXM Class A (a)
    
55,034
      
2,305,925
  
 DATA PROCESSING & OUTSOURCED SERVICES - 0.69%
                
  MoneyGram International, Inc. (a)(e)
    
50,293
      
810,220
  
 DIVERSIFIED CHEMICALS - 7.60%
                
  DowDuPont, Inc. (e)
    
107,841
      
7,465,832
  
  Huntsman Corporation (e)
    
54,200
      
1,486,164
  
             
8,951,996
  
 DRUG RETAIL - 0.07%
                
  Rite Aid Corporation (a)
    
41,902
      
82,128
  
 FERTILIZERS & AGRICULTURAL CHEMICALS - 1.33%
                
  Monsanto Company (e)
    
13,054
      
1,564,130
  
 HOTELS, RESORTS & CRUISE LINES - 0.84%
                
  ILG, Inc.
    
37,000
      
989,010
  
 HOUSEHOLD DURABLES - 0.01%
                
  Lennar Corporation Class B
    
173
      
7,799
  
 HOUSEWARES & SPECIALTIES - 0.90%
                
  Newell Brands, Inc. (e)
    
24,954
      
1,064,776
  
 INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS - 0.08%
                
  TerraForm Global, Inc. Class A (a)(e)
    
18,875
      
89,656
  
 INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 1.96%
                
  Calpine Corporation (a)(e)
    
156,668
      
2,310,853
  
 INDUSTRIAL CONGLOMERATES - 0.68%
                
  General Electric Company (e)
    
33,400
      
807,612
  
 INDUSTRIAL MACHINERY - 0.80%
                
  Pentair plc (b)(e)
    
13,800
      
937,848
  
 INTERNET & DIRECT MARKETING RETAIL - 0.04%
                
  HSN, Inc. (e)
    
1,385
      
54,084
  
 INVESTMENT COMPANIES - 2.91%
                
  Avista Healthcare Public Acquisition Corporation Class A (a)(b)(e)
    
11,981
      
119,810
  
  Bison Capital Acquisition Corporation (a)(b)(e)
    
35,538
      
364,975
  
  Draper Oakwood Technology Acquisition, Inc. (a)(e)(f)
    
47,718
      
487,439
  
  Federal Street Acquisition Corporation (a)(e)(f)
    
8,477
      
87,398
  
  Forum Merger Corporation (a)(e)
    
105,675
      
1,083,169
  
  Modern Media Acquisition Corporation (a)(f)
    
71,496
      
698,874
  
  Pensare Acquisition Corporation (a)(e)
    
56,616
      
584,843
  
              3,426,508  
 
 MOVIES & ENTERTAINMENT - 0.93%
            
  News Corporation Class A
    
47,456
      
629,267
  
  Time Warner, Inc. (e)
    
4,507
      
461,742
  
             
1,091,009
  
 MULTI-LINE INSURANCE - 2.16%
                
  American International Group, Inc.
    
41,500
      
2,547,685
  
 OIL & GAS STORAGE & TRANSPORTATION - 1.00%
                
  Columbia Pipeline Group, Inc. (a)(d)(g)(j)
    
38,718
      
1,000,497
  
  Veresen, Inc. (b)(e)
    
12,176
      
182,677
  
             
1,183,174
  
 OIL, GAS & EXPLORATION & PRODUCTION - 3.66%
            
  Rice Energy, Inc. (o)
    
149,135
      
4,315,967
  
  
    
 
        
 OIL & GAS REFINING & MARKETING - 0.20%            
 
  
  Marathon Petroleum Corporation (e)
     4.200        235,536  
             
 REITs - 1.10%
                
  New York REIT, Inc. (e)
    
69,590
      
546,282
  
  Starwood Property Trust, Inc.
    
34,314
      
745,300
  
             
1,291,582
  
 RESEARCH & CONSULTING SERVICES - 2.30%
                
  The Advisory Board Company (a)(e)
    
50,518
      
2,709,028
  
 ROAD & RAIL - 0.94%
                
  CSX Corporation (e)
    
20,500
      
1,112,330
  
 SPECIALTY CHEMICALS - 2.79%
                
  Ashland Global Holdings, Inc. (e)
    
50,200
      
3,282,578
  
 TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS - 1.51%
                
  Borqs Technologies, Inc. (a)(b)(e)
    
3,537
      
20,338
  
  Hewlett Packard Enterprise Company (e)
    
119,364
      
1,755,844
  
             
1,776,182
  
 TRADING COMPANIES & DISTRIBUTORS - 0.24%
                
  Neff Corporation Class A (a)(e)
    
11,522
      
288,050
  
TOTAL COMMON STOCKS (Cost $56,440,485)
            
57,790,502
  
                 
 
CLOSED-END FUNDS - 7.24%
            
  Altaba, Inc. (a)(e)
    
98,951
      
6,554,514
  
  BlackRock Debt Strategies Fund, Inc.
    
82,764
      
965,856
  
  Western Asset High Income Opportunity Fund, Inc. (e)
    
195,533
      
1,003,084
  
TOTAL CLOSED-END FUNDS (Cost $7,068,120)
            
8,523,454
  
                 
PREFERRED STOCKS - 3.46%
                
  Callon Petroleum Company Series A (e)
    
21,517
      
1,117,808
  
  Colony NorthStar, Inc. Series B (e)
    
32,071
      
812,358
  
  Colony NorthStar, Inc. Series E
    
21,830
      
595,959
  
  Colony NorthStar, Inc. Series J (e)
    
16,799
      
420,815
  
  NuStar Logistics LP (e)
    
44,738
      
1,134,556
  
TOTAL PREFERRED STOCKS (Cost $4,043,164)
            
4,081,496
  
                 
CONTINGENT VALUE RIGHTS - 0.00% (a)(e)(g)
                
  Casa Ley, S.A. de C.V.
    
5,338
      
2,856
  
  Media General, Inc.
    
42,852
      
2,357
  
  Property Development Centers LLC
    
5,338
      
80
  
TOTAL CONTINGENT VALUE RIGHTS (Cost $20,805)
            
5,293
  
                 
RIGHTS - 0.02% (a)(f)
                
  Modern Media Acquisition Corporation
    
71,496
      
27,168
  
TOTAL RIGHTS (Cost $30,868)
            
27,168
  
                 
WARRANTS - 0.03% (a)(f)
                
  Borqs Technologies, Inc. (b)
    
35,377
      
9,906
  
  Modern Media Acquisition Corporation (e)
    
35,748
      
19,304
  
TOTAL WARRANTS (Cost $19,574)
            
29,210
  
                 
   
Principal Amount
          
BANK LOANS - 0.25% (f)
                
  Bass Pro Group LLC
                
   6.334% (USD 3 Month LIBOR + 5.000%), 9/25/2024
  
$
313,000
      
295,654
  
TOTAL BANK LOANS (Cost $311,044)
            
295,654
  
                 
CONVERTIBLE BONDS - 0.96% (e)(f)
                
  Brocade Communications Systems, Inc.
               
   1.375%, 1/1/2020
    
1,132,000
      
1,135,538
  
TOTAL CONVERTIBLE BONDS (Cost $1,142,658)
            
1,135,538
  
                 
CORPORATE BONDS - 17.45% (f)
                
  Alere, Inc.
                
   6.500%, 6/15/2020 (e)
    
633,000
      
645,660
  
  Atwood Oceanics, Inc.
               
   6.500%, 2/1/2020 (e)
    
904,000
      
902,870
  
  Caesars Entertainment Operating Company, Inc.
                
   10.750%, 2/1/2016 (h)
    
1,030,000
      
1,596,500
  
  Caesars Entertainment Resort Properties LLC
                
   11.000%, 10/1/2021
    
1,215,000
      
1,295,494
  
  Caesars Growth Properties Holdings LLC
                
   9.375%, 5/1/2022 (e)
    
2,919,000
      
3,163,466
  
  Energy Future Intermediate Holding Company LLC
                
   11.000%, 10/1/2021 (h)
    
85,690
      
122,751
  
   11.750%, 3/1/2022 (h)(i)
    
1,120,317
      
1,716,886
  
  IASIS Healthcare LLC
                
   8.375%, 5/15/2019 (e)
    
1,173,000
      
1,178,132
  
  Rice Energy, Inc.
                
   6.250%, 5/1/2022 (e)
    
1,266,000
      
1,324,552
  
  Rite Aid Corporation
                
   6.750%, 6/15/2021
    
784,000
      
814,380
  
   6.125%, 4/1/2023 (e)(i)
    
126,000
      
123,008
  
  Sinclair Television Group, Inc.
                
   6.125%, 10/1/2022 (e)
    
1,125,000
      
1,162,969
  
  Terraform Global Operating, LLC
                
   9.750%, 8/15/2022 (e)(i)
    
1,763,000
      
1,965,745
  
  TerraForm Power Operating LLC
                
   6.375%, 2/1/2023 (e)(i)(k)
    
1,004,000
      
1,049,180
  
  Tribune Media Company
                
   5.875%, 7/15/2022 (e)
    
77,000
      
80,465
  
  West Corporation
                
   5.375%, 7/15/2022 (e)(i)
    
3,124,000
      
3,163,050
  
 
 
 
 
 
  Whole Foods Market, Inc.
                
   5.200%, 12/3/2025 (e)
    
225,000
      
258,669
  
TOTAL CORPORATE BONDS (Cost $19,734,773)
            
20,563,777
  
                 
 
   
Contracts (100
shares per contract) 
  
Notional Amount
        
PURCHASED CALL OPTIONS - 0.03%
                  
  SPDR S&P 500 ETF Trust
                  
   Expiration: October 2017, Exercise Price: $255.00
    
100
    
$
2,512,300
      
2,800
  
   Expiration: November 2017, Exercise Price: $254.00
    
175
      
4,396,525
      
29,400
  
                     
32,200
  
PURCHASED PUT OPTIONS - 0.25%
                        
  American International Group, Inc.
                        
   Expiration: October 2017, Exercise Price: $55.00
    
420
      
2,578,380
      
1,680
  
   Expiration: October 2017, Exercise Price: $57.50
    
452
      
2,774,828
      
4,520
  
  Ashland Global Holdings, Inc.
                        
   Expiration: October 2017, Exercise Price: $55.00
    
475
      
3,106,025
      
4,750
  
  AT&T, Inc.
                        
   Expiration: October 2017, Exercise Price: $37.00
    
398
      
1,558,966
      
6,368
  
  Atlas Copco AB Class A
                        
   Expiration: December 2017, Exercise Price: SEK 290.00, JPM (f)
    
465
      
1,972,639
      
8,992
  
  Autoliv, Inc.
                        
   Expiration: December 2017, Exercise Price: $105.00
    
65
      
803,400
      
4,875
  
  CBS Corporation Class B
                        
   Expiration: December 2017, Exercise Price: $52.50
    
633
      
3,671,400
      
55,704
  
  CSX Corporation
                        
   Expiration: November 2017, Exercise Price: $45.00
    
335
      
1,817,710
      
8,375
  
  Delphi Automotive plc
                        
   Expiration: January 2018, Exercise Price: $80.00
    
470
      
4,624,800
      
30,550
  
  DowDuPont, Inc.
                        
   Expiration: October 2017, Exercise Price: $77.50 (f)(l)
    
125
      
865,375
      
1,250
  
   Expiration: December 2017, Exercise Price: $55.00
    
324
      
2,243,052
      
4,698
  
   Expiration: December 2017, Exercise Price: $62.50
    
493
      
3,413,039
      
27,854
  
  General Electric Company
                        
   Expiration: December 2017, Exercise Price: $23.00
    
167
      
403,806
      
7,097
  
  Hewlett Packard Enterprise Company
                        
   Expiration: November 2017, Exercise Price: $16.00 (f)(m)
    
2,070
      
3,044,970
      
26,910
  
  Huntsman Corporation
                        
   Expiration: November 2017, Exercise Price: $22.00
    
1,341
      
3,677,022
      
10,058
  
   Expiration: November 2017, Exercise Price: $24.00
    
289
      
792,438
      
5,780
  
  ILG, Inc.
                        
   Expiration: December 2017, Exercise Price: $24.00
    
363
      
970,299
      
17,061
  
  Johnson Controls International plc
                        
   Expiration: October 2017, Exercise Price: $35.00
    
506
      
2,038,674
      
1,012
  
   Expiration: October 2017, Exercise Price: $36.00
    
248
      
999,192
      
868
  
   Expiration: November 2017, Exercise Price: $37.00
    
222
      
894,438
      
7,992
  
  Marathon Petroleum Corporation
                        
   Expiration: October 2017, Exercise Price: $45.00
    
729
      
4,088,232
      
2,187
  
   Expiration: October 2017, Exercise Price: $47.50
    
281
      
1,575,848
      
1,124
  
  Pentair plc
                        
   Expiration: November 2017, Exercise Price: $55.00
    
138
      
937,848
      
2,070
  
  Sealed Air Corporation
                        
   Expiration: October 2017, Exercise Price: $39.00
    
282
      
1,204,704
      
2,115
  
  SPDR S&P 500 ETF Trust
                        
   Expiration: November 2017, Exercise Price: $245.00
    
175
      
4,396,525
      
23,975
  
  VanEck Vectors Semiconductor ETF
                        
   Expiration: November 2017, Exercise Price: $86.00
    
101
      
942,532
      
7,272
  
  Wyndham Worldwide Corporation
                        
   Expiration: November 2017, Exercise Price: $90.00
    
353
      
3,720,973
      
15,885
  
                     
291,022
  
TOTAL PURCHASED OPTIONS (Cost $827,987)
                    
323,222
  
                         
   
Principal Amount
                  
ESCROW NOTES - 0.20% (a)(d)(g)
                        
  AMR Corporation
  
$
28,850
              
41,111
  
  Winthrop Realty Trust
    
26,484
              
198,630
  
TOTAL ESCROW NOTES (Cost $278,496)
                    
239,741
  
                         
   
Shares
                  
SHORT-TERM INVESTMENTS - 20.22%
                        
MONEY MARKET FUNDS - 4.03%
                        
  JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 0.92% (c)(e)
    
4,744,662
              
4,744,662
  
                     
4,744,662
  
 
   
Principal Amount
                  
U.S. TREASURY BILLS - 16.19% (f)
                        
  United States Treasury Bill
                        
  0.93%, 10/26/2017 (e)
  
$
5,120,000
              
5,116,817
  
  0.93%, 11/09/2017
    
300,000
              
299,698
  
  1.00%, 11/24/2017 (e)
    
1,600,000
              
1,597,677
  
  0.99%, 11/30/2017
    
600,000
              
599,037
  
  1.05%, 12/07/2017
    
700,000
              
698,742
  
  1.00%, 12/21/2017
    
100,000
              
99,779
  
  1.07%, 12/28/2017
    
300,000
              
299,250
  
  1.06%, 1/04/2018
    
1,900,000
              
1,894,962
  
  1.05%, 1/11/2018
    
1,900,000
              
1,894,662
  
  1.07%, 1/25/2018
    
1,000,000
              
996,710
  
  1.07%, 2/01/2018
    
600,000
              
597,839
  
  1.03%, 2/15/2018
    
900,000
              
896,308
  
  1.04%, 2/22/2018
    
1,000,000
              
995,627
  
  1.09%, 3/08/2018
    
300,000
              
298,501
  
  1.09%, 3/15/2018
    
700,000
              
696,299
  
  1.11%, 3/22/2018
    
300,000
              
298,341
  
  1.12%, 3/29/2018
    
1,800,000
              
1,789,587
  
                     
19,069,836
  
TOTAL SHORT-TERM INVESTMENTS (Cost $23,814,651)
                    
23,814,498
  
TOTAL LONG INVESTMENTS (Cost $113,732,625) - 99.16%
                    
116,829,553
  
                         
 
   
Shares
        
SHORT INVESTMENTS - (15.35)%
            
COMMON STOCKS - (15.24)%
            
 AEROSPACE & DEFENSE - (0.66)%
            
  MacDonald, Dettwiler and Associates Ltd. (b)
    
(3,157
)
    
(181,008
)
  United Technologies Corporation
    
(5,103
)
    
(592,356
)
             
(773,364
)
 AIRLINES - (0.06)%
                
  American Airlines Group, Inc.
    
(1,443
)
    
(68,528
)
 BROADCASTING - (0.30)%
                
  Discovery Communications, Inc. Class C
    
(17,358
)
    
(351,673
)
 CABLE & SATELLITE - (2.41)%
                
  Sirius XM Holdings, Inc.
    
(514,633
)
    
(2,840,774
)
 DATA PROCESSING & OUTSOURCED SERVICES - (4.86)%
                
  Vantiv, Inc. Class A (f)
    
(81,070
)
    
(5,725,163
)
 HEALTH CARE EQUIPMENT - (1.65)%
                
  Becton, Dickinson and Company
    
(9,918
)
    
(1,943,432
)
 HEALTH CARE TECHNOLOGY - (0.07)%
                
  Evolent Health, Inc. Class A
    
(4,646
)
    
(82,699
)
 HOUSEHOLD DURABLES - (0.01)%
                
  Lennar Corporation Class A
    
(138
)
    
(7,287
)
 INDUSTRIAL GASES - (0.11)%
                
  Praxair, Inc. (f)
    
(918
)
    
(129,346
)
 INTEGRATED TELECOMMUNICATION SERVICES - (1.30)%
                
  AT&T, Inc.
    
(18,688
)
    
(732,009
)
  CenturyLink, Inc.
    
(42,586
)
    
(804,875
)
             
(1,536,884
)
 INTERNET & DIRECT MARKETING RETAIL - (0.05)%
                
  Liberty Interactive Corporation Class A
    
(2,292
)
    
(54,023
)
 INTERNET SOFTWARE & SERVICES - (0.22)%
                
  Alibaba Group Holding Ltd. - ADR
    
(1,514
)
    
(261,483
)
 MOVIES & ENTERTAINMENT - (0.55)%
                
  News Corporation Class B
    
(47,456
)
    
(647,775
)
 OIL & GAS DRILLING - (0.07)%
                
  Transocean, Ltd. (b)(f)
    
(7,809
)
    
(82,619
)
 OIL & GAS EXPLORATION & PRODUCTION - (2.81)%
                
  EQT Corporation
    
(50,784
)
    
(3,313,148
)
 OIL, GAS & CONSUMABLE FUELS - (0.11)%
                
  Pembina Pipeline Corporation (b)
    
(3,862
)
    
(135,556
)
TOTAL COMMON STOCKS
                
(Proceeds $16,337,880)
            
(17,953,754
)
U.S. GOVERNMENT NOTES - (0.11)%
                
  United States Treasury Notes
                
  2.00%, 6/30/2024 (f)
    
(135,000
)
    
(133,758
)
TOTAL U.S. GOVERNMENT NOTES
                
(Proceeds $133,144)
            
(133,758
)
TOTAL SHORT INVESTMENTS
                
(Proceeds $16,471,024) - (15.35)%
            
(18,087,512
)
TOTAL NET INVESTMENTS
                
(Cost $97,261,601) - 83.81%
            
98,742,041
  
OTHER ASSETS IN EXCESS OF LIABILITIES - 16.19%
            
19,074,629
  
TOTAL NET ASSETS - 100.00%
          
$
117,816,670
  
                 
 
ADR
  
- American Depository Receipt
            
ETF
  
- Exchange-Traded Fund
            
JPM
  
- JPMorgan Chase & Co., Inc.
            
plc
  
- Public Limited Company
            
REIT
  
- Real Estate Investment Trust
            
(a)
  
Non-income producing security.
            
(b)
  
Foreign security.
            
(c)
  
The rate quoted is the annualized seven-day yield as of September 30, 2017.
            
(d)
  
Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
(e)
  
All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts,
   
swap contacts, and forward currency exchange contracts.
            
(f)
  
Level 2 Security. Please see footnote (o) on the schedule of investments for more information.
    
(g)
  
Level 3 Security. Please see footnote (o) on the schedule of investments for more information.
    
(h)
  
Default or other conditions exist and the security is not presently accruing income.
            
(i)
  
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold
    
   
in transactions exempt from registration normally to qualified institutional buyers. As of September 30, 2017, these
   
securities represent 6.81% of total net assets.
            
(j)
  
Restricted security. Please see footnote (o) on the schedule of investments for more information. As of September 30, 2017,
      
   
these securities represented 0.85% of total net assets.
            
(k)
  
A step-up bond pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of September 30, 2017.
    
(l)
  
128 shares per contract.
            
(m)
  
As the result of a corporate action on the underlying holding, the option's underlying security is 100 shares of Hewlett Packard Enterprise Company, 13 shares of Micro Focus International plc and cash in lieu of fractional shares.
    
(n)
  
As of September 30, 2017, the components of accumulated earnings (losses) for income tax purposes were as follows*:
          
 
     
Investments
    
Securities
Sold Short
    
Written
Options
    
Forward
Currency
Contracts
    
Swap
Contracts (2)
    
Total
Portfolio
  
 
Tax Cost (1)
  
$
113,732,625
    
$
(16,471,024
)
  
$
(2,407,864
)
  
$
-
    
$
-
    
$
94,853,737
  
                                                   
                                                   
 
Gross unrealized appreciation
    
4,996,259
      
294,086
      
784,372
      
58,052
      
3,156,753
      
9,289,522
  
 
Gross unrealized depreciation
    
(1,899,331
)
    
(1,910,574
)
    
(629,658
)
    
(573,668
)
    
(5,205,526
)
    
(10,218,757
)
 
Net unrealized appreciation (depreciation) 
$
3,096,928
    
$
(1,616,488
)
  
$
154,714
    
$
(515,616
)
  
$
(2,048,773
)
  
$
(929,235
)
                                                   
 
   
(1) Tax cost represents tax on investments, net of proceeds on securities sold short and premiums on written options.
          
   
(2) Unrealized appreciation and depreciation for swap contracts includes accrued interest.
            
   
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to the Financial Statements section in the Fund's most recent annual report.
      
       
       
(o)
  
Investment Valuation
            
 
 
The following is a summary of the Fund's pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund.
  
               
 
Equity securities that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by a pricing vendor approved by the Board of Trustees of the Fund (the "Board" or "Trustees"). These are classified as Level 2 investments.
  
               
 
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what the Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. When the last sale of an exchange-traded option is outside the bid and asked prices, the Funds will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange are classified as Level 2 investments. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 PM New York time bid and asked prices supplied by a third party vendor. Investments in registered open-end investment companies, including money market funds, are typically valued at their reported net asset value ("NAV") per share. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument's amortized cost value represents approximately the fair value of the security. Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2. Total return swap prices are determined using the same methods as would be used to price the underlying security. These securities are generally classified as Level 2.
  
               
 
The Fund typically fair value securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, a Fund may fair value a security that primarily trades on an exchange that closes before which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the "Valuation Group"), a committee comprised of persons who are officers of the Fund or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair-value pricing is employed, the prices of securities used by the Funds to calculate their NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair-value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset's sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below.
  
               
 
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in the three broad levels listed below:
  
 
Level 1 — Quoted prices in active markets for identical securities.
            
 
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
      
 
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund's own assumptions that market participants would use to price the asset or liability
                   based on the best available information.
  
               
 
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
  
               
 
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of September 30, 2017. These assets and liabilities are measured on a recurring basis.
  
 
 
Investments at Fair Value
  
Level 1
    
Level 2
    
Level 3
    
Total
  
 
Assets
                        
 
Common Stocks*
  
$
55,516,294
    
$
1,273,711
    
$
1,000,497
    
$
57,790,502
  
 
Closed-End Funds
    
8,523,454
      
-
      
-
      
8,523,454
  
 
Preferred Stocks
    
4,081,496
      
-
      
-
      
4,081,496
  
 
Contingent Value Rights
    
-
      
-
      
5,293
      
5,293
  
 
Rights
    
-
      
27,168
      
-
      
27,168
  
 
Warrants
    
-
      
29,210
      
-
      
29,210
  
 
Bank Loans
    
-
      
295,654
      
-
      
295,654
  
 
Convertible Bonds
    
-
      
1,135,538
      
-
      
1,135,538
  
 
Corporate Bonds
    
-
      
20,563,777
      
-
      
20,563,777
  
 
Purchased Option Contracts
    
286,070
      
37,152
      
-
      
323,222
  
 
Escrow Notes
    
-
      
-
      
239,741
      
239,741
  
 
Short-Term Investments
    
4,744,662
      
19,069,836
      
-
      
23,814,498
  
 
Swap Contracts**
    
-
      
1,018,502
      
-
      
1,018,502
  
 
Total
  
$
73,151,976
    
$
43,450,548
    
$
1,245,531
    
$
117,848,055
  
                                   
 
Liabilities
                                
 
Short Common Stock*
  
$
12,016,626
    
$
5,937,128
    
$
-
    
$
17,953,754
  
 
US Government Notes
    
-
      
133,758
      
-
      
133,758
  
 
Written Option Contracts
    
1,516,088
      
737,062
      
-
      
2,253,150
  
 
Forward Currency Exchange Contracts**
    
-
      
515,616
      
-
      
515,616
  
 
Swap Contracts**
    
-
      
3,067,275
      
-
      
3,067,275
  
 
Total
  
$
13,532,714
    
$
10,390,839
    
$
-
    
$
23,923,553
  
                                   
 
*
Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type.
      
**
Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty.
  
               
 
The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by brokers using broker quotes or such other pricing sources or data as are permitted by the Fund's pricing procedures. At September 30, 2017, the value of these securities was $1,245,531. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (o). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.

 There were no transfers between levels during the nine months ended September 30, 2017. Transfers are recorded at the end of the reporting period.
  
               
 
 
  Level 3 Reconciliation Disclosure                        
  The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
                           
 
Description
  
Common Stock
    
Contingent Value Rights
    
Escrow Notes
    
Total Investment
  
 
Balance as of December 31, 2016
  
$
4,868,519
    
$
2,135
    
$
257,440
    
$
5,128,094
  
 
Purchases on Investments
    
-
      
20,805
      
-
      
20,805
  
 
(Sales) of Investments
    
(3,418,490
)
    
-
      
-
      
(3,418,490
)
 
Realized (Gain) Loss
    
(227,266
)
    
-
      
-
      
(227,266
)
 
Transfers Into Level 3
    
-
      
-
      
-
      
-
  
 
(Transfer Out) of Level 3
    
-
      
-
      
-
      
-
  
 
Change in Unrealized Depreciation
    
(222,266
)
    
(17,647
)
    
(17,699
)
    
(257,612
)
 
Balance as of September 30, 2017
  
$
1,000,497
    
$
5,293
    
$
239,741
    
$
1,245,531
  
                                   
 
 
The net change in unrealized appreciation (depreciation) on investments related to Level 3 securities held by the Fund at September 30, 2017 totals $(257,612).
  
               
 
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for material Level 3 investments as of September 30, 2017 are as follows:
  
 
 
Description
  
Fair Value at
 September 30, 2017
  
Valuation Technique
  
Unobservable Input
    
 
Common Stock
  
 $                                  1,000,497
  
Discounted Cash
Flow Model
  
Discount Rates
Terminal Value
 Cash Flow Projections
    
 
 
The table above does not include certain Level 3 investments that are valued by brokers and pricing services. At September 30, 2017, the value of these investments was $245,034. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (o).
  
     
(p)
  Disclosures about Derivative Instruments and Hedging Activities at September 30, 2017.      
               
 
The Fund has adopted authoritative standards regarding disclosure about derivatives and hedging activities. Fair values of derivative instruments as of September 30, 2017 are as follows:
  
 
                           
     
Asset Derivatives
    
Liability Derivatives
  
 
Derivatives
  
Description
    
Fair Value
    
Description
    
Fair Value
  
 
Equity Contracts:
                        
 
   Purchased Option
Contracts
  
Schedule of
Investments
    
$
323,222
      
N/A
    
$
-
  
 
   Written Option
Contracts
    
N/A
      
-
    
Schedule of
Options Written
      
2,253,150
 
 
Foreign Exchange
Contracts:
                                
 
    Exchange Contracts
      Forward Currency
  
Forward Currency
Exchange
Contracts
      
-
    
Forward Currency Exchange
Contracts
      
515,616
  
 
    Swap Contracts
  
Schedule of Swap
Contracts
      
1,018,502
    
Schedule of Swap Contracts
      
3,067,275
  
 
Total
          
$
1,341,724
            
$
5,836,041
  
                                   
 
 
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P"). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
  

WCM Alternatives: Event-Driven Fund
              
SCHEDULE OF OPTIONS WRITTEN
              
September 30, 2017 (Unaudited)
              
               
   
Contracts (100
shares per
contract)
    
Notional Amount
    
Value
  
CALL OPTIONS WRITTEN
              
American International Group, Inc.
                  
  Expiration: October 2017, Exercise Price: $60.00
    
376
     $
2,308,264
    
$
68,056
  
  Expiration: October 2017, Exercise Price: $62.50
    
102
      
626,178
      
4,080
  
Ashland Global Holdings, Inc.
                        
  Expiration: October 2017, Exercise Price: $60.00
    
249
      
1,628,211
      
138,195
  
  Expiration: October 2017, Exercise Price: $65.00
    
253
      
1,654,367
      
31,625
  
AT&T, Inc.
                        
  Expiration: October 2017, Exercise Price: $38.00
    
20
      
78,340
      
2,340
  
  Expiration: October 2017, Exercise Price: $41.00
    
563
      
2,205,271
      
2,252
  
Atlas Copco AB Class A
                        
  Expiration: December 2017, Exercise Price: SEK 320.00, JPM (a)
    
465
      
1,972,639
      
159,855
  
CBS Corporation Class B
                        
  Expiration: December 2017, Exercise Price: $57.50
    
193
      
1,119,400
      
56,356
  
  Expiration: December 2017, Exercise Price: $60.00
    
99
      
574,200
      
17,374
  
  Expiration: December 2017, Exercise Price: $62.50
    
360
      
2,088,000
      
36,000
  
CSX Corporation
                        
  Expiration: October 2017, Exercise Price: $52.50
    
205
      
1,112,330
      
53,710
  
DowDuPont, Inc.
                        
  Expiration: October 2017, Exercise Price: $82.50 (a)(b)
    
125
      
865,375
      
78,161
  
  Expiration: December 2017, Exercise Price: $65.00
    
163
      
1,128,449
      
85,168
  
  Expiration: December 2017, Exercise Price: $67.50
    
162
      
1,121,526
      
51,840
  
  Expiration: December 2017, Exercise Price: $70.00
    
438
      
3,032,274
      
72,270
  
General Electric Company
                        
  Expiration: December 2017, Exercise Price: $25.00
    
334
      
807,612
      
15,698
  
Hewlett Packard Enterprise Company
                        
  Expiration: November 2017, Exercise Price: $17.00 (a)(c)
    
317
      
466,307
      
71,325
  
  Expiration: November 2017, Exercise Price: $18.00 (a)(c)
    
2,857
      
4,202,647
      
421,407
  
Huntsman Corporation
                        
  Expiration: November 2017, Exercise Price: $25.00
    
253
      
693,726
      
69,575
  
  Expiration: November 2017, Exercise Price: $27.00
    
289
      
792,438
      
36,125
  
ILG, Inc.
                        
  Expiration: December 2017, Exercise Price: $27.00
    
363
      
970,299
      
47,735
  
Johnson Controls International plc
                        
  Expiration: October 2017, Exercise Price: $39.00
    
175
      
705,075
      
27,825
  
  Expiration: November 2017, Exercise Price: $39.00
    
179
      
721,191
      
38,664
  
Marathon Petroleum Corporation
                        
  Expiration: October 2017, Exercise Price: $52.50
    
42
      
235,536
      
15,960
  
Monsanto Company
                        
  Expiration: October 2017, Exercise Price: $115.00
    
82
      
982,524
      
40,180
  
Pentair plc
                        
  Expiration: November 2017, Exercise Price: $60.00
    
138
      
937,848
      
113,160
  
SPDR S&P 500 ETF Trust
                        
  Expiration: October 2017, Exercise Price: $247.00
    
100
      
2,512,300
      
51,350
  
  Expiration: November 2017, Exercise Price: $250.00
    
175
      
4,396,525
      
72,800
  
                     
1,879,086
  
 
PUT OPTIONS WRITTEN
                  
American International Group, Inc.
                        
  Expiration: October 2017, Exercise Price: $60.00
    
88
      
540,232
      
3,432
  
Autoliv, Inc.
                        
  Expiration: December 2017, Exercise Price: $120.00
    
65
      
803,400
      
25,025
  
CSX Corporation
                        
  Expiration: November 2017, Exercise Price: $50.00
    
335
      
1,817,710
      
26,800
  
Delphi Automotive plc
                        
  Expiration: January 2018, Exercise Price: $92.50
    
470
      
4,624,800
      
119,850
  
Hewlett Packard Enterprise Company
                        
  Expiration: November 2017, Exercise Price: $18.00 (a)(c)
    
164
      
241,244
      
6,314
  
Huntsman Corporation
                        
  Expiration: November 2017, Exercise Price: $25.00
    
708
      
1,941,336
      
24,780
  
  Expiration: November 2017, Exercise Price: $27.00
    
380
      
1,041,960
      
33,060
  
Johnson Controls International plc
                        
  Expiration: October 2017, Exercise Price: $39.00
    
638
      
2,570,502
      
15,950
  
Marathon Petroleum Corporation
                        
  Expiration: October 2017, Exercise Price: $52.50
    
976
      
5,473,408
      
14,640
  
NXP Semiconductors NV
                        
  Expiration: December 2017, Exercise Price: $110.00
    
1
      
11,309
      
80
  
Rite Aid Corporation
                        
  Expiration: November 2017, Exercise Price: $2.00
    
71
      
13,916
      
1,278
  
Sealed Air Corporation
                        
  Expiration: October 2017, Exercise Price: $44.00
    
282
      
1,204,704
      
44,415
  
SPDR S&P 500 ETF Trust
                        
  Expiration: November 2017, Exercise Price: $235.00
    
140
      
3,517,220
      
8,260
  
VanEck Vectors Semiconductor ETF
                        
  Expiration: November 2017, Exercise Price: $78.00
    
101
      
942,532
      
2,525
  
Wyndham Worldwide Corporation
                        
  Expiration: November 2017, Exercise Price: $97.50
    
353
      
3,720,973
      
47,655
  
                     
374,064
  
TOTAL OPTIONS WRITTEN
                        
(Premiums received $2,407,864)
                  
$
2,253,150
  
 
ETF
  
- Exchange-Traded Fund
          
JPM
  
- JPMorgan Chase & Co., Inc.
          
plc
  
- Public Limited Company
          
(a)
  
Level 2 security. Please see Footnote (o) on the schedule of investments for more information.
    
(b)
  
128 shares per contract.
          
(c)
  
As the result of a corporate action on the underlying holding, the option's underlying security is 100 shares of Hewlett Packard Enterprise Company, 13 shares of Micro Focus International plc and cash in lieu of fractional shares.
  
               

WCM Alternatives: Event-Driven Fund      
            
SCHEDULE OF FORWARD CURRENCY EXCHANGE CONTRACTS         
      
September 30, 2017 (Unaudited)    
                
                                 
Unrealized
Settlement
              
USD Value at
          
USD Value at
    
Appreciation
Date
  
Counterparty
  
Currency to be Delivered
    
September 30, 2017
  
Currency to be Received
    
September 30, 2017
    
(Depreciation)*
10/12/2017
  
JPM
  
351,405
CAD
    $
                          281,659
  
280,639
USD
    $
                     280,639
    $
                                (1,019)
2/20/2018
  
JPM
  
11,327,415
DKK
    
1,815,408
  
1,805,665
USD
    
1,805,665
    
(9,743)
10/16/2017
  
JPM
  
755,171
EUR
    
893,366
  
889,543
USD
    
889,543
    
(3,823)
11/15/2017
  
JPM
  
3,381
EUR
    
4,006
  
4,014
USD
    
4,014
    
8
11/21/2017
  
JPM
  
766,564
GBP
    
1,029,484
  
1,001,807
USD
    
1,001,807
    
(27,677)
11/21/2017
  
JPM
  
1,413
USD
    
1,413
  
1,078
GBP
    
1,448
    
34
12/13/2017
  
JPM
  
514,233
GBP
    
691,118
  
663,425
USD
    
663,425
    
(27,693)
12/20/2017
  
JPM
  
6,093,279
GBP
    
8,186,399
  
7,703,422
USD
    
7,703,422
    
(482,977)
12/20/2017
  
JPM
  
191,726
USD
    
191,726
  
147,296
GBP
    
197,894
    
6,168
12/27/2017
  
JPM
  
223,205
GBP
    
299,955
  
284,477
USD
    
284,477
    
(15,478)
1/3/2018
  
JPM
  
1,328,928
GBP
    
1,786,273
  
1,781,346
USD
    
1,781,346
    
(4,927)
12/18/2017
  
JPM
  
19,036,762
SEK
    
2,348,694
  
2,400,205
USD
    
2,400,205
    
51,511
              $   17,529,501         $   17,013,885   $   (515,616)
             
CAD
- Canadian Dollar
            
DKK
- Danish Krone
            
EUR
- EURO
            
GBP
- British Pound
            
JPM
- JPMorgan Chase & Co., Inc.    
                  
SEK
- Swedish Krona
            
USD
- U.S. Dollar
            
*
Net unrealized appreciation (depreciation) is a receiveable (payable).
            

WCM Alternatives: Event-Driven Fund
                    
SCHEDULE OF SWAP CONTRACTS
                    
September 30, 2017 (Unaudited)
                    
 
                      
 
 
    
 
              
Counterparty
Security
Maturity
Date
Pay/Receive
Total
Return on
Reference
Entity
Financing
Rate
Payment
Frequency
  
Number of
Shares/
Units
    
Notional
Amount
    
Unrealized
Appreciation (Depreciation)*
  
LONG TOTAL RETURN SWAP CONTRACTS
        
BAML
Alere, Inc.
5/19/2018
Pay
0.400% +1 Month LIBOR
Monthly
    
57,863
    
$
2,784,637
    
$
164,406
  
JPM
Altaba, Inc.
6/19/2018
Pay
0.323% +3 Month LIBOR
Quarterly
    
80,453
      
4,433,174
      
879,688
  
JPM
American International Group, Inc.
8/29/2018
Pay
0.350% +3 Month LIBOR
Quarterly
    
31,400
      
1,885,885
      
37,324
  
JPM
Atlas Copco AB Class A
9/14/2018
Pay
0.400% +3 Month LIBOR
Quarterly
    
59,237
      
2,434,750
      
72,534
  
JPM
Booker Group plc
6/21/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
493,817
      
1,148,055
      
203,431
  
JPM
Brocade Communications Systems, Inc.
8/3/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
10,917
      
136,359
      
(7,310
)
JPM
C.R. Bard, Inc.
6/27/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
21,114
      
6,686,640
      
53,638
  
BAML
CBS Corporation Class B
4/21/2018
Pay
0.400% +1 Month LIBOR
Monthly
    
3,300
      
226,281
      
(34,994
)
JPM
Colony NorthStar, Inc. Class A
7/11/2018
Pay
0.450% +3 Month LIBOR
Quarterly
    
119,310
      
1,739,912
      
(247,917
)
JPM
Fortress Investment Group LLC Class A
2/16/2018
Pay
0.650% +3 Month LIBOR
Quarterly
    
234,923
      
1,857,473
      
4,952
  
BAML
Hewlett Packard Enterprise Company
4/21/2018
Pay
0.400% +1 Month LIBOR
Monthly
    
198,079
      
2,789,833
      
122,895
  
JPM
ILG, Inc.
5/24/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
53,542
      
1,438,251
      
(13,787
)
JPM
Kennedy Wilson Europe Real Estate plc
6/26/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
91,063
      
1,298,070
      
26,267
  
BAML
Linde AG
7/28/2018
Pay
0.350% +1 Month LIBOR
Monthly
    
12,293
      
2,390,363
      
172,294
  
JPM
Luxottica Group S.p.A
5/10/2018
Pay
0.400% +3 Month LIBOR
Quarterly
    
106
      
6,178
      
(284
)
BAML
Micro Focus International plc - ADR
9/1/2018
Pay
0.400% +1 Month LIBOR
Monthly
    
27,201
      
806,775
      
60,644
  
JPM
Monsanto Company
4/5/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
3,772
      
440,008
      
10,766
  
JPM
Nets A/S
9/27/2018
Pay
0.800% +3 Month LIBOR
Quarterly
    
68,651
      
1,760,929
      
16,337
  
BAML
NXP Semiconductors NV
4/13/2018
Pay
0.400% +1 Month LIBOR
Monthly
    
70,693
      
7,433,362
      
557,594
  
JPM
PARAEXEL International Corporation
5/18/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
3,444
      
275,758
      
26,303
  
JPM
Paysafe Group plc
8/30/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
163,812
      
1,754,844
      
3,011
  
BAML
Rite Aid Corporation
7/11/2018
Pay
0.400% +1 Month LIBOR
Monthly
    
28,938
      
65,681
      
(8,995
)
BAML
SFR Group SA
8/11/2018
Pay
0.350% +1 Month LIBOR
Monthly
    
21,987
      
894,484
      
328
  
JPM
Sky plc
12/12/2017
Pay
0.300% +3 Month LIBOR
Quarterly
    
553,115
      
6,858,069
      
(108,297
)
JPM
Songa Offshore
9/8/2018
Pay
0.400% +3 Month LIBOR
Quarterly
    
14,858
      
88,105
      
17,694
  
BAML
Time Warner, Inc.
4/21/2018
Pay
0.400% +1 Month LIBOR
Monthly
    
94,494
      
9,497,727
      
178,463
  
JPM
TIme Warner, Inc.
9/27/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
14,855
      
1,523,394
      
(1,499
)
BAML
Veresen, Inc.
6/23/2018
Pay
0.400% +1 Month LIBOR
Monthly
    
48,598
      
671,709
      
57,071
  
JPM
Worldpay Group plc
7/7/2018
Pay
0.300% +3 Month LIBOR
Quarterly
    
1,275,459
      
6,635,649
      
311,946
  
                                   
SHORT TOTAL RETURN SWAP CONTRACTS
          
JPM
Alibaba Group Holding Ltd. - ADR
1/5/2018
Receive
(0.600)% +3 Month LIBOR
Quarterly
    
(60,703
)
    
(6,202,668
)
    
(4,269,401
)
JPM
AT&T, Inc.
9/27/2018
Receive
(0.600)% +3 Month LIBOR
Quarterly
    
(9,359
)
    
(362,596
)
    
(3,996
)
BAML
AT&T, Inc.
7/11/2018
Receive
(0.400)% +1 Month LIBOR
Monthly
    
(11,551
)
    
(428,841
)
    
(23,506
)
JPM
Becton, Dickinson and Company
7/28/2018
Receive
(0.600)% +3 Month LIBOR
Quarterly
    
(803
)
    
(160,269
)
    
3,091
  
JPM
Essilor International SA
5/10/2018
Receive
(0.400)% +3 Month LIBOR
Quarterly
    
(49
)
    
(6,381
)
    
331
  
JPM
Kennedy-Wilson Holdings, Inc.
6/30/2018
Receive
(0.844)% +3 Month LIBOR
Quarterly
    
(35,097
)
    
(667,879
)
    
15,658
  
BAML
Pembina Pipeline Corporation
6/23/2018
Receive
(0.400)% +1 Month LIBOR
Monthly
    
(14,313
)
    
(464,017
)
    
(38,067
)
BAML
Praxair, Inc.
7/28/2018
Receive
(0.400)% +1 Month LIBOR
Monthly
    
(18,005
)
    
(2,407,373
)
    
(128,987
)
JPM
Tesco plc
6/21/2018
Receive
(0.359)% +3 Month LIBOR
Quarterly
    
(425,021
)
    
(903,468
)
    
(160,078
)
JPM
Vantiv, Inc. Class A
8/30/2018
Receive
(0.600)% +3 Month LIBOR
Quarterly
    
(3,808
)
    
(269,889
)
    
1,679
  
     
$
(2,048,773
)
ADR
- American Depositary Receipt
                              
BAML
- Bank of America Merrill Lynch & Co., Inc.
          
JPM
- JPMorgan Chase & Co., Inc.
          
plc
- Public Limited Company
          
*
Based on the net swap value held at each counterparty, unrealized appreciation is a receivable and unrealized depreciation is a payable.
          
 
Item 2. Controls and Procedures.
 
(a) The Registrant's President/Principal Executive Officer and Treasurer/Principal Financial
Officer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "1940 Act")) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d 15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 
Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed 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)  Westchester Capital Funds                                                

By (Signature and Title  /s/ Michael T. Shannon                                  
                                           Michael T. Shannon, Co-President

Date                                        11/13/2017                                                    


By (Signature and Title) /s/ Roy Behren                                                 
                                            Roy Behren, Co-President and Treasurer

Date                                        11/13/2017                                                   


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/ Michael T. Shannon                                    
                                              Michael T. Shannon, Co-President
 
Date                                        11/13/2017                                                         
 

By (Signature and Title)* /s/ Roy Behren                                                    
                                              Roy Behren, Co-President and Treasurer

Date                                        11/13/2017                                                         
 

* Print the name and title of each signing officer under his or her signature.