Semi-Annual Report
|
Type of Buyer
|
Deal Terms*
|
|||
Strategic
|
94.7%
|
Cash
|
31.5%
|
|
Financial
|
5.3%
|
Cash & Stock
|
34.0%
|
|
Stock and Stub(1)
|
15.3%
|
|||
By Deal Type
|
Undetermined(2)
|
7.0%
|
||
Friendly
|
100.0%
|
Stock with Fixed Exchange Ratio
|
10.3%
|
|
Hostile
|
0.0%
|
Stock with Flexible
|
||
Exchange Ratio (Collar)
|
1.9%
|
*
|
Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2016.
|
1
|
“Stub” includes assets other than cash and stock (e.g., escrow notes).
|
2
|
The compensation is undetermined because the compensation to be received (e.g., stock, cash, escrow notes, other) will be determined at a later date, potentially at the option of the Fund’s investment adviser.
|
*
|
Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2016. Please refer to the Schedule of Investments, Schedule of Options Written, Schedule of Forward Currency Exchange Contracts and Schedule of Swap Contracts for more details on the Fund’s individual holdings.
|
*
|
Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2016. Please refer to the Schedule of Investments, Schedule of Options Written, Schedule of Forward Currency Exchange Contracts and Schedule of Swap Contracts for more details on the Fund’s individual holdings.
|
Expenses
|
||||||||||||||||
Paid
|
||||||||||||||||
Beginning
|
Ending
|
During
|
||||||||||||||
Account
|
Account
|
Annualized
|
Period
|
|||||||||||||
Value
|
Value
|
Expense
|
1/1/16 —
|
|||||||||||||
1/1/16
|
6/30/16
|
Ratio
|
6/30/16*
|
|||||||||||||
The Merger Fund
|
||||||||||||||||
Investor Class
|
||||||||||||||||
Actual+(1)
|
$
|
1,000.00
|
$
|
1,009.10
|
1.82
|
%
|
$
|
9.09
|
||||||||
Hypothetical+(2)
|
$
|
1,000.00
|
$
|
1,015.81
|
1.82
|
%
|
$
|
9.12
|
||||||||
Institutional Class
|
||||||||||||||||
Actual++(3)
|
$
|
1,000.00
|
$
|
1,010.50
|
1.49
|
%
|
$
|
7.45
|
||||||||
Hypothetical++(2)
|
$
|
1,000.00
|
$
|
1,017.45
|
1.49
|
%
|
$
|
7.47
|
||||||||
WCM Alternatives: Event-Driven Fund
|
||||||||||||||||
Institutional Class
|
||||||||||||||||
Actual+++(4)
|
$
|
1,000.00
|
$
|
1,003.10
|
2.22
|
%
|
$
|
11.06
|
||||||||
Hypothetical+++(2)
|
$
|
1,000.00
|
$
|
1,013.82
|
2.22
|
%
|
$
|
11.12
|
*
|
Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).
|
+
|
Excluding dividends and borrowing expense on securities sold short, your actual cost of investment in and your hypothetical cost of investment in The Merger Fund’s Investor Class would have been $6.89 and $6.92, respectively.
|
++
|
Excluding dividends and borrowing expense on securities sold short, your actual cost of investment in and your hypothetical cost of investment in The Merger Fund’s Institutional Class would have been $5.25 and $5.27, respectively.
|
+++
|
Excluding dividends and borrowing expense on securities sold short, your actual cost of investment in and your hypothetical cost of investment in WCM Alternatives: Event-Driven Fund’s Institutional Class would have been $8.67 and $8.72, respectively.
|
(1)
|
Ending account values and expenses paid during the period based on a 0.91% return. This actual return is net of expenses.
|
(2)
|
Ending account values and expenses paid during period based on a hypothetical 5.00% annual return before expenses.
|
(3)
|
Ending account values and expenses paid during the period based on a 1.05% return. This actual return is net of expenses.
|
(4)
|
Ending account values and expenses paid during the period based on a 0.31% return. This actual return is net of expenses.
|
Shares
|
Value
|
||||||
LONG INVESTMENTS — 98.95%
|
|||||||
COMMON STOCKS — 64.86%
|
|||||||
ALUMINUM — 1.15%
|
|||||||
4,720,900
|
Alcoa, Inc. (e)
|
$
|
43,762,743
|
||||
ASSET MANAGEMENT & CUSTODY BANKS — 0.11%
|
|||||||
411,090
|
NorthStar Asset Management Group, Inc.
|
4,197,229
|
|||||
AUTOMOBILE MANUFACTURERS — 2.27%
|
|||||||
3,050,500
|
General Motors Company (e)
|
86,329,150
|
|||||
BROADCASTING — 2.17%
|
|||||||
733,537
|
CBS Corporation Class B (e)
|
39,933,754
|
|||||
163,941
|
Liberty Media Group Class A (a)
|
3,137,831
|
|||||
655,765
|
Liberty SiriusXM Group Class A (a)
|
20,564,790
|
|||||
1,102,509
|
Media General, Inc. (a)
|
18,952,130
|
|||||
82,588,505
|
|||||||
CABLE & SATELLITE — 0.64%
|
|||||||
6,189,900
|
Sirius XM Holdings, Inc. (a)(e)
|
24,450,105
|
|||||
CASINOS & GAMING — 1.92%
|
|||||||
3,238,800
|
MGM Resorts International (a)(e)
|
73,294,044
|
|||||
CONSTRUCTION MATERIALS — 0.17%
|
|||||||
46,037,346
|
West China Cement Ltd. (a)(b)(f)
|
6,349,488
|
|||||
CONSUMER FINANCE — 0.04%
|
|||||||
34,575
|
Cash America International, Inc.
|
1,473,587
|
|||||
DIVERSIFIED CHEMICALS — 1.63%
|
|||||||
1,246,446
|
The Dow Chemical Company (e)
|
61,960,831
|
|||||
93
|
Huntsman Corporation
|
1,251
|
|||||
61,962,082
|
|||||||
DRUG RETAIL — 0.48%
|
|||||||
2,453,761
|
Rite Aid Corporation (a)
|
18,378,670
|
|||||
ENVIRONMENTAL & FACILITIES SERVICES — 0.00%
|
|||||||
383
|
Waste Connections, Inc. (b)
|
27,595
|
|||||
FERTILIZERS & AGRICULTURAL CHEMICALS — 1.24%
|
|||||||
612,449
|
Syngenta AG – ADR
|
47,029,959
|
|||||
HEALTH CARE EQUIPMENT — 2.44%
|
|||||||
1,192,752
|
St. Jude Medical, Inc.
|
93,034,656
|
|||||
HEALTH CARE SUPPLIES — 0.59%
|
|||||||
535,303
|
Alere, Inc. (a)
|
22,311,429
|
Shares
|
Value
|
||||||
HOTELS, RESORTS & CRUISE LINES — 4.48%
|
|||||||
2,305,747
|
Starwood Hotels & Resorts Worldwide, Inc.
|
$
|
170,509,991
|
||||
HOUSEWARES & SPECIALTIES — 3.34%
|
|||||||
2,025,678
|
Jarden Corporation (a)(d)(g)
|
127,005,149
|
|||||
HYPERMARKETS & SUPER CENTERS — 0.00%
|
|||||||
7,000
|
UNY Group Holdings Company, Ltd. (b)
|
58,364
|
|||||
INDUSTRIAL CONGLOMERATES — 1.32%
|
|||||||
1,600,200
|
General Electric Company (e)
|
50,374,296
|
|||||
INTERNET SOFTWARE & SERVICES — 7.93%
|
|||||||
754,777
|
LinkedIn Corporation Class A (a)(e)
|
142,841,547
|
|||||
79,341
|
Qihoo 360 Technology Company Ltd. – ADR (a)
|
5,795,860
|
|||||
4,075,687
|
Yahoo!, Inc. (a)
|
153,082,804
|
|||||
301,720,211
|
|||||||
LIFE SCIENCES TOOLS & SERVICES — 0.15%
|
|||||||
86,322
|
Quintiles Transnational Holdings, Inc. (a)
|
5,638,553
|
|||||
MANAGED HEALTH CARE — 0.57%
|
|||||||
119,955
|
Humana, Inc. (e)
|
21,577,505
|
|||||
MOVIES & ENTERTAINMENT — 0.00%
|
|||||||
220,167
|
SFX Entertainment, Inc. (a)
|
4,547
|
|||||
MULTI-LINE INSURANCE — 3.12%
|
|||||||
2,248,787
|
American International Group, Inc. (e)
|
118,938,344
|
|||||
OIL & GAS & CONSUMABLE FUELS — 0.22%
|
|||||||
407,086
|
Western Refining, Inc. (e)
|
8,398,190
|
|||||
OIL & GAS REFINING & MARKETING — 0.22%
|
|||||||
918,597
|
Showa Shell Sekiyu K.K. (b)
|
8,468,545
|
|||||
OIL & GAS STORAGE & TRANSPORTATION — 1.63%
|
|||||||
2,276,354
|
Columbia Pipeline Group, Inc.
|
58,024,263
|
|||||
182,257
|
The Williams Companies, Inc.
|
3,942,219
|
|||||
61,966,482
|
|||||||
PHARMACEUTICALS — 1.03%
|
|||||||
169,397
|
Allergan plc (a)(b)(e)
|
39,145,953
|
|||||
351
|
Mylan NV (a)(b)(d)(f)
|
15,170
|
|||||
6,369
|
Pfizer, Inc. (e)
|
224,252
|
|||||
39,385,375
|
|||||||
REGIONAL BANKS — 2.08%
|
|||||||
5,911,205
|
First Niagara Financial Group
|
57,575,137
|
|||||
1,068,454
|
FirstMerit Corporation
|
21,657,562
|
|||||
79,232,699
|
Shares
|
Value
|
||||||
REITs — 2.34%
|
|||||||
40,742
|
Apollo Residential Mortgage, Inc.
|
$
|
545,943
|
||||
821,585
|
Equity Commonwealth (a)
|
23,932,771
|
|||||
1,226,874
|
Hatteras Financial Corporation
|
20,120,734
|
|||||
136,680
|
Parkway Properties, Inc.
|
2,286,656
|
|||||
2,029,110
|
Starwood Property Trust, Inc.
|
42,043,159
|
|||||
88,929,263
|
|||||||
SECURITY & ALARM SERVICES — 4.22%
|
|||||||
3,772,269
|
Tyco International plc (b)
|
160,698,659
|
|||||
SEMICONDUCTORS — 4.46%
|
|||||||
2,316,148
|
KLA-Tenor Corporation
|
169,657,841
|
|||||
SOFTWARE — 0.65%
|
|||||||
841,183
|
Qlik Technologies, Inc. (a)
|
24,882,193
|
|||||
SPECIAL PURPOSE ACQUISITION COMPANY — 0.10%
|
|||||||
395,952
|
KLR Energy Acquisition Corporation Class A (a)
|
3,963,480
|
|||||
SPECIALIZED FINANCE — 0.15%
|
|||||||
173,861
|
Markit Ltd. (a)(b)
|
5,667,869
|
|||||
SPECIALTY CHEMICALS — 3.30%
|
|||||||
1,163,825
|
The Valspar Corporation
|
125,728,015
|
|||||
TECHNOLOGY DISTRIBUTIONS — 3.33%
|
|||||||
3,640,809
|
Ingram Micro, Inc. Class A
|
126,627,337
|
|||||
TECHNOLOGY HARDWARE,
|
|||||||
STORAGE & PERIPHERALS — 5.37%
|
|||||||
7,528,334
|
EMC Corporation
|
204,544,835
|
|||||
TOTAL COMMON STOCKS
|
|||||||
(Cost $2,382,048,770)
|
2,469,166,985
|
||||||
CLOSED-END FUNDS — 1.07%
|
|||||||
2,565,402
|
American Capital Ltd.(a)
|
40,610,314
|
|||||
TOTAL CLOSED-END FUNDS (Cost $40,925,920)
|
40,610,314
|
||||||
CONTINGENT VALUE RIGHTS — 0.01%
|
|||||||
1,713,496
|
Casa Ley, S.A. de C.V. (a)(g)
|
599,723
|
|||||
77,699
|
Leap Wireless International, Inc. (a)(g)
|
248,637
|
|||||
1,713,496
|
Property Development Centers LLC (a)(g)
|
85,675
|
|||||
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
|
934,035
|
Principal Amount
|
Value
|
||||||
CORPORATE BONDS — 3.23% (f)
|
|||||||
Aeropuertos Dominicanos Siglo XXI, S.A.
|
|||||||
$
|
3,385,000
|
9.250%, 11/13/2019 (b)(i)
|
$
|
3,620,257
|
|||
Alere, Inc.
|
|||||||
4,496,000
|
6.500%, 6/15/2020
|
4,496,000
|
|||||
Elizabeth Arden, Inc.
|
|||||||
24,546,000
|
7.375%, 3/15/2021
|
25,098,285
|
|||||
Energy Future Intermediate Holding Company LLC
|
|||||||
10,065,404
|
11.000%, 10/1/2021 (h)
|
11,625,542
|
|||||
49,520,901
|
11.750%, 3/1/2022 (h)(i)
|
58,187,059
|
|||||
LIN Television Corporation
|
|||||||
19,729,000
|
5.875%, 11/15/2022
|
19,926,290
|
|||||
TOTAL CORPORATE BONDS (Cost $116,865,389)
|
122,953,433
|
||||||
Contracts (100 shares per contract)
|
|||||||
PURCHASED CALL OPTIONS — 0.02%
|
|||||||
SPDR S&P 500 ETF Trust
|
|||||||
2,073
|
Expiration: August 2016, Exercise Price: $213.00
|
443,622
|
|||||
443,622
|
|||||||
PURCHASED PUT OPTIONS — 0.74%
|
|||||||
Alcoa, Inc.
|
|||||||
9,812
|
Expiration: July 2016, Exercise Price: $6.00
|
14,718
|
|||||
27,585
|
Expiration: August 2016, Exercise Price: $7.00
|
193,095
|
|||||
9,812
|
Expiration: October 2016, Exercise Price: $6.00
|
88,308
|
|||||
Allergan plc
|
|||||||
845
|
Expiration: August 2016, Exercise Price: $205.00
|
291,525
|
|||||
349
|
Expiration: August 2016, Exercise Price: $210.00
|
153,560
|
|||||
490
|
Expiration: August 2016, Exercise Price: $215.00
|
271,950
|
|||||
American International Group, Inc.
|
|||||||
703
|
Expiration: July 2016, Exercise Price: $45.00
|
2,109
|
|||||
6,466
|
Expiration: July 2016, Exercise Price: $50.00
|
168,116
|
|||||
469
|
Expiration: July 2016, Exercise Price: $52.50
|
36,816
|
|||||
6,907
|
Expiration: August 2016, Exercise Price: $50.00
|
656,165
|
|||||
828
|
Expiration: September 2016, Exercise Price: $50.00
|
110,952
|
|||||
CBS Corporation Class B
|
|||||||
12,211
|
Expiration: September 2016, Exercise Price: $40.00
|
311,381
|
|||||
The Dow Chemical Company
|
|||||||
9,820
|
Expiration: September 2016, Exercise Price: $45.00
|
736,500
|
|||||
General Electric Company
|
|||||||
16,435
|
Expiration: July 2016, Exercise Price: $27.00
|
16,435
|
Contracts (100 shares per contract)
|
Value
|
||||||
General Motors Company
|
|||||||
26,770
|
Expiration: September 2016, Exercise Price: $26.00
|
$
|
1,806,975
|
||||
653
|
Expiration: September 2016, Exercise Price: $27.00
|
63,341
|
|||||
Humana, Inc.
|
|||||||
1,202
|
Expiration: November 2016, Exercise Price: $160.00
|
1,616,690
|
|||||
MGM Resorts International
|
|||||||
1,685
|
Expiration: September 2016, Exercise Price: $19.00
|
65,715
|
|||||
30,703
|
Expiration: September 2016, Exercise Price: $20.00
|
1,780,774
|
|||||
SPDR S&P 500 ETF Trust
|
|||||||
2,652
|
Expiration: July 2016, Exercise Price: $212.00
|
928,200
|
|||||
1,327
|
Expiration: August 2016, Exercise Price: $209.00
|
540,089
|
|||||
3,316
|
Expiration: September 2016, Exercise Price: $180.00
|
397,920
|
|||||
3,316
|
Expiration: September 2016, Exercise Price: $200.00
|
1,240,184
|
|||||
VMware, Inc. Class A
|
|||||||
4,319
|
Expiration: September 2016, Exercise Price: $95.00
|
16,671,340
|
|||||
28,162,858
|
|||||||
TOTAL PURCHASED OPTIONS (Cost $31,040,781)
|
28,606,480
|
||||||
Principal Amount
|
|||||||
ESCROW NOTES — 0.02%
|
|||||||
$
|
1,243,406
|
AMR Corporation (a)(d)(g)
|
621,703
|
||||
TOTAL ESCROW NOTES (Cost $679,555)
|
621,703
|
||||||
Shares
|
|||||||
SHORT-TERM INVESTMENTS — 29.00%
|
|||||||
189,000,000
|
BlackRock Liquidity Funds TempFund Portfolio,
|
||||||
Institutional Share Class, 0.43% (c)(e)
|
189,000,000
|
||||||
189,000,000
|
Fidelity Institutional Government Portfolio,
|
||||||
Institutional Share Class, 0.26% (c)(e)
|
189,000,000
|
||||||
189,000,000
|
First American Government Obligations Fund,
|
||||||
Institutional Share Class, 0.26% (c)(e)
|
189,000,000
|
||||||
189,000,000
|
Goldman Sachs Financial Square-Money Market Fund,
|
||||||
Institutional Share Class, 0.43% (c)
|
189,000,000
|
||||||
189,000,000
|
The Liquid Asset Portfolio,
|
||||||
Institutional Share Class, 0.43% (c)
|
189,000,000
|
||||||
158,919,972
|
The Treasury Portfolio,
|
||||||
Institutional Share Class, 0.27% (c)(e)
|
158,919,972
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
|||||||
(Cost $1,103,919,972)
|
1,103,919,972
|
||||||
TOTAL LONG INVESTMENTS
|
|||||||
(Cost $3,675,480,387) — 98.95%
|
3,766,812,922
|
Shares
|
Value
|
||||||
SHORT INVESTMENTS — (20.00)% (a)
|
|||||||
SHORT COMMON STOCKS — (19.54)%
|
|||||||
AIRLINES — (0.05)%
|
|||||||
(65,211
|
)
|
American Airlines Group, Inc.
|
$
|
(1,846,123
|
)
|
||
AUTO PARTS & EQUIPMENT — (5.05)%
|
|||||||
(4,345,774
|
)
|
Johnson Controls, Inc.
|
(192,343,957
|
)
|
|||
BANKS — (1.17)%
|
|||||||
(4,019,588
|
)
|
KeyCorp
|
(44,416,447
|
)
|
|||
BROADCASTING — (0.17)%
|
|||||||
(137,702
|
)
|
Nexstar Broadcasting Group, Inc. Class A
|
(6,551,861
|
)
|
|||
CABLE & SATELLITE — (1.09)%
|
|||||||
(10,528,506
|
)
|
Sirius XM Holdings, Inc.
|
(41,587,599
|
)
|
|||
COMMERCIAL SERVICES — (0.00)%
|
|||||||
(83
|
)
|
Global Payments, Inc.
|
(5,925
|
)
|
|||
CONSUMER FINANCE — (0.04)%
|
|||||||
(29,044
|
)
|
First Cash Financial Services, Inc.
|
(1,490,829
|
)
|
|||
DIVERSIFIED CHEMICALS — (0.20)%
|
|||||||
(139,020
|
)
|
The Dow Chemical Company
|
(6,910,684
|
)
|
|||
(12,736
|
)
|
E. I. Du Pont de Nemours and Company
|
(825,293
|
)
|
|||
(7,735,977
|
)
|
||||||
FOOD RETAIL — (0.00)%
|
|||||||
(958
|
)
|
FamilyMart Company, Ltd. (b)
|
(57,982
|
)
|
|||
HEALTH CARE EQUIPMENT — (1.07)%
|
|||||||
(1,035,328
|
)
|
Abbott Laboratories
|
(40,698,744
|
)
|
|||
HEALTH CARE TECHNOLOGY — (0.15)%
|
|||||||
(224,867
|
)
|
IMS Health Holdings, Inc.
|
(5,702,627
|
)
|
|||
HOTELS, RESORTS & CRUISE LINES — (2.11)%
|
|||||||
(1,206,535
|
)
|
Marriott International, Inc. Class A
|
(80,186,316
|
)
|
|||
INTERNET SOFTWARE & SERVICES — (3.41)%
|
|||||||
(1,630,279
|
)
|
Alibaba Group Holding Ltd. – ADR
|
(129,656,089
|
)
|
|||
MEDIA — (0.01)%
|
|||||||
(2,319
|
)
|
Charter Communications, Inc. Class A
|
(530,216
|
)
|
|||
MOVIES & ENTERTAINMENT — (0.08)%
|
|||||||
(136,030
|
)
|
Live Nation Entertainment, Inc.
|
(3,196,705
|
)
|
Shares
|
Value
|
||||||
OIL & GAS & CONSUMABLE FUELS — (0.26)%
|
|||||||
(95,843
|
)
|
Energy Transfer Equity LP
|
$
|
(1,377,264
|
)
|
||
(407,082
|
)
|
Western Refining, Inc.
|
(8,398,102
|
)
|
|||
(9,775,366
|
)
|
||||||
OIL & GAS REFINING & MARKETING — (0.26)%
|
|||||||
(459,134
|
)
|
Idemitsu Kosan Company, Ltd. (b)
|
(9,834,934
|
)
|
|||
PHARMACEUTICALS — (0.20)%
|
|||||||
(210,146
|
)
|
Pfizer, Inc.
|
(7,399,241
|
)
|
|||
REGIONAL BANKS — (0.43)%
|
|||||||
(1,837,742
|
)
|
Huntington Bancshares, Inc.
|
(16,429,413
|
)
|
|||
REITs — (0.53)%
|
|||||||
(1,213,870
|
)
|
Annaly Capital Management, Inc.
|
(13,437,541
|
)
|
|||
(17,005
|
)
|
Apollo Commercial Real Estate Finance, Inc.
|
(273,270
|
)
|
|||
(280,344
|
)
|
Colony Capital, Inc. Class A
|
(4,303,280
|
)
|
|||
(222,787
|
)
|
Cousins Properties, Inc.
|
(2,316,985
|
)
|
|||
(20,331,076
|
)
|
||||||
RESEARCH & CONSULTING SERVICES — (0.15)%
|
|||||||
(48,845
|
)
|
IHS, Inc. Class A
|
(5,646,970
|
)
|
|||
SEMICONDUCTORS — (2.56)%
|
|||||||
(1,158,076
|
)
|
Lam Research Corporation
|
(97,347,869
|
)
|
|||
SOFTWARE — (0.48)%
|
|||||||
(320,936
|
)
|
VMware, Inc. Class A
|
(18,363,958
|
)
|
|||
TECHNOLOGY HARDWARE,
|
|||||||
STORAGE & PERIPHERALS — (0.07)%
|
|||||||
(72,619
|
)
|
Lexmark International, Inc. Class A
|
(2,741,367
|
)
|
|||
TOTAL SHORT COMMON STOCKS
|
|||||||
(Proceeds $712,179,440)
|
(743,877,591
|
)
|
Shares
|
Value
|
||||||
SHORT CLOSED-END FUNDS — (0.46)%
|
|||||||
(1,229,354
|
)
|
Ares Capital Corporation
|
$
|
(17,456,827
|
)
|
||
TOTAL SHORT CLOSED-END FUNDS
|
|||||||
(Proceeds $17,703,666)
|
(17,456,827
|
)
|
|||||
TOTAL SHORT INVESTMENTS
|
|||||||
(Proceeds $729,883,106) — (20.00)%
|
(761,334,418
|
)
|
|||||
TOTAL NET INVESTMENTS
|
|||||||
(Cost $2,945,597,281) — 78.95%
|
3,005,478,504
|
||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 21.05%
|
801,414,024
|
||||||
TOTAL NET ASSETS — 100.00%
|
$
|
3,806,892,528
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign security.
|
(c)
|
The rate quoted is the annualized seven-day yield as of June 30, 2016.
|
(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 Note 2 in the Notes to the Financial Statements for more information.
|
(g)
|
Level 3 Security. Please see Note 2 in the Notes to the Financial Statements 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 June 30, 2016, these securities represent 1.62% of total net assets.
|
Shares
|
Value
|
||||||
LONG INVESTMENTS — 94.88%
|
|||||||
COMMON STOCKS — 78.94%
|
|||||||
ALUMINUM — 2.59%
|
|||||||
324,900
|
Alcoa, Inc. (e)
|
$
|
3,011,823
|
||||
ASSET MANAGEMENT & CUSTODY BANKS — 1.35%
|
|||||||
52,100
|
The Blackstone Group LP (e)
|
1,278,534
|
|||||
29,242
|
NorthStar Asset Management Group, Inc.
|
298,561
|
|||||
1,577,095
|
|||||||
AUTOMOBILE MANUFACTURERS — 1.83%
|
|||||||
75,100
|
General Motors Company (e)
|
2,125,330
|
|||||
BIOTECHNOLOGY — 2.75%
|
|||||||
33,704
|
Grifols S.A. – ADR (d)(f)
|
556,116
|
|||||
43,900
|
Medivation, Inc. (a)(e)
|
2,647,170
|
|||||
3,203,286
|
|||||||
BROADCASTING — 5.54%
|
|||||||
47,600
|
CBS Corporation Class B (e)
|
2,591,344
|
|||||
21,235
|
Liberty Media Group Class A (a)
|
406,438
|
|||||
84,942
|
Liberty SiriusXM Group Class A (a)
|
2,663,781
|
|||||
46,048
|
Media General, Inc. (a)
|
791,565
|
|||||
6,453,128
|
|||||||
CASINOS & GAMING — 2.01%
|
|||||||
103,200
|
MGM Resorts International (a)(e)
|
2,335,416
|
|||||
CONSTRUCTION MATERIALS — 1.41%
|
|||||||
11,869,551
|
West China Cement Ltd. (a)(b)(f)
|
1,637,053
|
|||||
CONSUMER FINANCE — 0.02%
|
|||||||
496
|
Cash America International, Inc.
|
21,140
|
|||||
DIVERSIFIED CHEMICALS — 2.56%
|
|||||||
50,491
|
The Dow Chemical Company (e)
|
2,509,908
|
|||||
35,300
|
Huntsman Corporation (e)
|
474,785
|
|||||
2,984,693
|
|||||||
DRUG RETAIL — 0.54%
|
|||||||
84,579
|
Rite Aid Corporation (a)
|
633,497
|
|||||
ENVIRONMENTAL & FACILITIES SERVICES — 0.00%
|
|||||||
15
|
Waste Connections, Inc. (b)
|
1,081
|
|||||
FERTILIZERS & AGRICULTURAL CHEMICALS — 1.11%
|
|||||||
16,870
|
Syngenta AG – ADR
|
1,295,447
|
Shares
|
Value
|
||||||
HEALTH CARE EQUIPMENT — 2.37%
|
|||||||
35,356
|
St. Jude Medical, Inc.
|
$
|
2,757,768
|
||||
HEALTH CARE SUPPLIES — 0.55%
|
|||||||
15,293
|
Alere, Inc. (a)
|
637,412
|
|||||
HOTELS, RESORTS & CRUISE LINES — 7.21%
|
|||||||
149,700
|
Hilton Worldwide Holdings, Inc. (e)
|
3,372,741
|
|||||
67,888
|
Starwood Hotels & Resorts Worldwide, Inc. (e)
|
5,020,318
|
|||||
8,393,059
|
|||||||
HOUSEWARES & SPECIALTIES — 3.32%
|
|||||||
61,683
|
Jarden Corporation (a)(d)(g)
|
3,867,376
|
|||||
INDUSTRIAL CONGLOMERATES — 2.96%
|
|||||||
109,600
|
General Electric Company (e)
|
3,450,208
|
|||||
INTERNET SOFTWARE & SERVICES — 5.38%
|
|||||||
9,438
|
LinkedIn Corporation Class A (a)(e)
|
1,786,141
|
|||||
119,303
|
Yahoo!, Inc. (a)
|
4,481,021
|
|||||
6,267,162
|
|||||||
LIFE & HEALTH INSURANCE — 2.11%
|
|||||||
61,700
|
MetLife, Inc. (e)
|
2,457,511
|
|||||
LIFE SCIENCES TOOLS & SERVICES — 0.14%
|
|||||||
2,482
|
Quintiles Transnational Holdings, Inc. (a)
|
162,124
|
|||||
MANAGED HEALTH CARE — 1.01%
|
|||||||
6,541
|
Humana, Inc. (e)
|
1,176,595
|
|||||
MOVIES & ENTERTAINMENT — 0.47%
|
|||||||
47,456
|
News Corporation Class A
|
538,625
|
|||||
127,639
|
SFX Entertainment, Inc. (a)
|
2,636
|
|||||
541,261
|
|||||||
MULTI-LINE INSURANCE — 1.04%
|
|||||||
22,900
|
American International Group, Inc. (e)
|
1,211,181
|
|||||
OIL & GAS & CONSUMABLE FUELS — 0.40%
|
|||||||
22,690
|
Western Refining, Inc. (e)
|
468,088
|
|||||
OIL & GAS REFINING & MARKETING — 0.82%
|
|||||||
103,108
|
Showa Shell Sekiyu K.K. (b)
|
950,553
|
|||||
OIL & GAS STORAGE & TRANSPORTATION — 0.97%
|
|||||||
38,718
|
Columbia Pipeline Group, Inc.
|
986,922
|
|||||
6,442
|
The Williams Companies, Inc.
|
139,340
|
|||||
1,126,262
|
Shares
|
Value
|
||||||
PACKAGED FOODS & MEATS — 2.44%
|
|||||||
59,500
|
ConAgra Foods, Inc. (e)
|
$
|
2,844,695
|
||||
PHARMACEUTICALS — 1.50%
|
|||||||
7,508
|
Allergan plc (a)(b)(e)
|
1,735,024
|
|||||
180
|
Mylan NV (a)(b)(d)(f)
|
7,779
|
|||||
1,742,803
|
|||||||
REGIONAL BANKS — 1.47%
|
|||||||
175,654
|
First Niagara Financial Group
|
1,710,870
|
|||||
REITs — 1.83%
|
|||||||
1,331
|
Apollo Residential Mortgage, Inc.
|
17,836
|
|||||
123
|
Blackstone Mortgage Trust, Inc. Class A
|
3,404
|
|||||
19,420
|
CYS Investments, Inc.
|
162,545
|
|||||
30,472
|
NorthStar Realty Finance Corporation
|
348,295
|
|||||
63,081
|
Starwood Property Trust, Inc.
|
1,307,038
|
|||||
37,504
|
Wheeler Real Estate Investment Trust, Inc.
|
57,756
|
|||||
26,484
|
Winthrop Realty Trust
|
232,794
|
|||||
2,129,668
|
|||||||
SECURITY & ALARM SERVICES — 4.79%
|
|||||||
130,791
|
Tyco International plc (b)(e)
|
5,571,697
|
|||||
SEMICONDUCTORS — 4.54%
|
|||||||
72,178
|
KLA-Tenor Corporation (e)
|
5,287,038
|
|||||
SOFTWARE — 1.01%
|
|||||||
39,748
|
Qlik Technologies, Inc. (a)
|
1,175,746
|
|||||
SPECIALIZED FINANCE — 0.64%
|
|||||||
25,870
|
Hennessy Capital Acquisition Corporation II (a)(f)
|
253,009
|
|||||
4,320
|
Markit Ltd. (a)(b)
|
140,832
|
|||||
35,377
|
Pacific Special Acquisition Corporation (a)(b)
|
356,954
|
|||||
750,795
|
|||||||
TECHNOLOGY HARDWARE,
|
|||||||
STORAGE & PERIPHERALS — 7.55%
|
|||||||
222,620
|
EMC Corporation (e)
|
6,048,585
|
|||||
150,000
|
Hewlett Packard Enterprise Company (e)
|
2,740,500
|
|||||
8,789,085
|
|||||||
TRUCKING — 2.71%
|
|||||||
284,600
|
Hertz Global Holdings, Inc. (a)(e)
|
3,150,522
|
|||||
TOTAL COMMON STOCKS
|
|||||||
(Cost $90,536,955)
|
91,898,468
|
Shares
|
Value
|
||||||
CLOSED-END FUNDS — 5.30%
|
|||||||
84,827
|
American Capital Ltd. (a)
|
$
|
1,342,811
|
||||
38,183
|
BlackRock Floating Rate Income Strategies Fund, Inc.
|
502,107
|
|||||
18,964
|
DoubleLine Income Solutions Fund
|
347,989
|
|||||
126,262
|
Eaton Vance Floating-Rate Income Trust
|
1,695,699
|
|||||
19,786
|
First Trust Senior Floating Rate Income Fund II
|
254,250
|
|||||
259,806
|
Invesco Senior Income Trust
|
1,085,989
|
|||||
183,011
|
Voya Prime Rate Trust
|
937,016
|
|||||
TOTAL CLOSED-END FUNDS (Cost $6,040,136)
|
6,165,861
|
||||||
CONTINGENT VALUE RIGHTS — 0.00%
|
|||||||
5,338
|
Casa Ley, S.A. de C.V. (a)(g)
|
1,868
|
|||||
5,338
|
Property Development Centers LLC (a)(g)
|
267
|
|||||
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
|
2,135
|
||||||
RIGHTS — 0.01%
|
|||||||
35,377
|
Pacific Special Acquisition Corporation (a)(b)
|
7,429
|
|||||
TOTAL RIGHTS (Cost $8,171)
|
7,429
|
||||||
WARRANTS — 0.00%
|
|||||||
35,377
|
Pacific Special Acquisition Corporation (a)(b)
|
3,538
|
|||||
TOTAL WARRANTS (Cost $3,112)
|
3,538
|
||||||
Principal Amount
|
|||||||
CORPORATE BONDS — 3.55% (f)
|
|||||||
Elizabeth Arden, Inc.
|
|||||||
$
|
709,000
|
7.375%, 3/15/2021
|
724,953
|
||||
Energy Future Intermediate Holding Company LLC
|
|||||||
430,830
|
11.000%, 10/1/2021 (h)
|
497,608
|
|||||
1,809,806
|
11.750%, 3/1/2022 (h)(i)
|
2,126,522
|
|||||
Rite Aid Corporation
|
|||||||
747,000
|
6.750%, 6/15/2021
|
786,349
|
|||||
TOTAL CORPORATE BONDS (Cost $3,943,978)
|
4,135,432
|
||||||
Contracts (100 shares per contract)
|
|||||||
PURCHASED CALL OPTIONS — 0.01%
|
|||||||
SPDR S&P 500 ETF Trust
|
|||||||
60
|
Expiration: August 2016, Exercise Price: $213.00
|
12,840
|
|||||
12,840
|
Contracts (100 shares per contract)
|
Value
|
||||||
PURCHASED PUT OPTIONS — 0.85%
|
|||||||
Alcoa, Inc.
|
|||||||
896
|
Expiration: July 2016, Exercise Price: $6.00
|
$
|
1,344
|
||||
857
|
Expiration: August 2016, Exercise Price: $7.00
|
5,999
|
|||||
600
|
Expiration: August 2016, Exercise Price: $8.00
|
10,800
|
|||||
896
|
Expiration: October 2016, Exercise Price: $6.00
|
8,064
|
|||||
Allergan plc
|
|||||||
26
|
Expiration: August 2016, Exercise Price: $200.00
|
7,150
|
|||||
25
|
Expiration: August 2016, Exercise Price: $210.00
|
11,000
|
|||||
32
|
Expiration: August 2016, Exercise Price: $215.00
|
17,760
|
|||||
American International Group, Inc.
|
|||||||
16
|
Expiration: July 2016, Exercise Price: $45.00
|
48
|
|||||
206
|
Expiration: July 2016, Exercise Price: $50.00
|
5,356
|
|||||
2
|
Expiration: July 2016, Exercise Price: $52.50
|
157
|
|||||
276
|
Expiration: August 2016, Exercise Price: $50.00
|
26,220
|
|||||
18
|
Expiration: September 2016, Exercise Price: $50.00
|
2,412
|
|||||
Bayer AG
|
|||||||
54
|
Expiration: July 2016, Exercise Price: EUR 78.00 (f)
|
480
|
|||||
51
|
Expiration: July 2016, Exercise Price: EUR 80.00 (f)
|
962
|
|||||
The Blackstone Group LP
|
|||||||
286
|
Expiration: September 2016, Exercise Price: $20.00
|
7,436
|
|||||
345
|
Expiration: September 2016, Exercise Price: $21.00
|
16,215
|
|||||
CBS Corporation Class B
|
|||||||
314
|
Expiration: September 2016, Exercise Price: $40.00
|
8,007
|
|||||
195
|
Expiration: September 2016, Exercise Price: $45.00
|
8,287
|
|||||
ConAgra Foods, Inc.
|
|||||||
595
|
Expiration: July 2016, Exercise Price: $42.00
|
4,165
|
|||||
The Dow Chemical Company
|
|||||||
399
|
Expiration: September 2016, Exercise Price: $45.00
|
29,925
|
|||||
General Electric Company
|
|||||||
523
|
Expiration: July 2016, Exercise Price: $27.00
|
523
|
|||||
482
|
Expiration: July 2016, Exercise Price: $28.00
|
482
|
|||||
General Motors Company
|
|||||||
13
|
Expiration: September 2016, Exercise Price: $26.00
|
877
|
|||||
612
|
Expiration: September 2016, Exercise Price: $27.00
|
59,364
|
|||||
Hertz Global Holdings, Inc.
|
|||||||
2,846
|
Expiration: September 2016, Exercise Price: $7.00
|
21,345
|
|||||
Hewlett Packard Enterprise Company
|
|||||||
1,500
|
Expiration: August 2016, Exercise Price: $16.00
|
33,750
|
|||||
Hilton Worldwide Holdings, Inc.
|
|||||||
104
|
Expiration: July 2016, Exercise Price: $18.00
|
260
|
|||||
1,393
|
Expiration: July 2016, Exercise Price: $19.00
|
3,483
|
Contracts (100 shares per contract)
|
Value
|
||||||
Humana, Inc.
|
|||||||
33
|
Expiration: November 2016, Exercise Price: $160.00
|
$
|
44,385
|
||||
Huntsman Corporation
|
|||||||
394
|
Expiration: August 2016, Exercise Price: $11.00
|
9,850
|
|||||
Medivation, Inc.
|
|||||||
136
|
Expiration: July 2016, Exercise Price: $45.00
|
1,904
|
|||||
262
|
Expiration: July 2016, Exercise Price: $50.00
|
7,074
|
|||||
41
|
Expiration: July 2016, Exercise Price: $51.00
|
1,374
|
|||||
MetLife, Inc.
|
|||||||
256
|
Expiration: July 2016, Exercise Price: $37.50
|
7,680
|
|||||
52
|
Expiration: September 2016, Exercise Price: $35.00
|
4,004
|
|||||
309
|
Expiration: September 2016, Exercise Price: $37.50
|
41,715
|
|||||
MGM Resorts International
|
|||||||
198
|
Expiration: September 2016, Exercise Price: $19.00
|
7,722
|
|||||
834
|
Expiration: September 2016, Exercise Price: $20.00
|
48,372
|
|||||
SPDR S&P 500 ETF Trust
|
|||||||
77
|
Expiration: July 2016, Exercise Price: $212.00
|
26,950
|
|||||
38
|
Expiration: August 2016, Exercise Price: $209.00
|
15,466
|
|||||
101
|
Expiration: September 2016, Exercise Price: $180.00
|
12,120
|
|||||
101
|
Expiration: September 2016, Exercise Price: $200.00
|
37,774
|
|||||
Vivendi SA
|
|||||||
1,235
|
Expiration: August 2016, Exercise Price: EUR 14.00 (f)
|
16,450
|
|||||
431
|
Expiration: August 2016, Exercise Price: EUR 15.00 (f)
|
10,999
|
|||||
VMware, Inc. Class A
|
|||||||
107
|
Expiration: September 2016, Exercise Price: $95.00
|
413,020
|
|||||
998,730
|
|||||||
TOTAL PURCHASED OPTIONS (Cost $1,296,139)
|
1,011,570
|
||||||
Principal Amount
|
|||||||
ESCROW NOTES — 0.01%
|
|||||||
$
|
28,850
|
AMR Corporation (a)(d)(g)
|
14,425
|
||||
TOTAL ESCROW NOTES (Cost $21,637)
|
14,425
|
||||||
Shares
|
|||||||
SHORT-TERM INVESTMENTS — 6.21%
|
|||||||
5,773,000
|
Fidelity Institutional Government Portfolio,
|
||||||
Institutional Share Class, 0.26% (c)(e)
|
5,773,000
|
||||||
1,456,316
|
The Liquid Asset Portfolio,
|
||||||
Institutional Share Class, 0.43% (c)(e)
|
1,456,316
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
|||||||
(Cost $7,229,316)
|
7,229,316
|
||||||
TOTAL LONG INVESTMENTS
|
|||||||
(Cost $109,079,444) — 94.88%
|
110,468,174
|
Shares
|
Value
|
||||||
SHORT INVESTMENTS — (23.40)% (a)
|
|||||||
SHORT COMMON STOCKS — (22.88)%
|
|||||||
AIRLINES — (0.03)%
|
|||||||
(1,443
|
)
|
American Airlines Group, Inc.
|
$
|
(40,851
|
)
|
||
AUTO PARTS & EQUIPMENT — (4.61)%
|
|||||||
(121,212
|
)
|
Johnson Controls, Inc.
|
(5,364,843
|
)
|
|||
BANKS — (1.13)%
|
|||||||
(119,443
|
)
|
KeyCorp
|
(1,319,845
|
)
|
|||
BROADCASTING — (0.23)%
|
|||||||
(5,751
|
)
|
Nexstar Broadcasting Group, Inc. Class A
|
(273,633
|
)
|
|||
CABLE & SATELLITE — (2.67)%
|
|||||||
(785,876
|
)
|
Sirius XM Holdings, Inc.
|
(3,104,210
|
)
|
|||
COMMERCIAL SERVICES — (0.00)%
|
|||||||
(3
|
)
|
Global Payments, Inc.
|
(214
|
)
|
|||
CONSUMER FINANCE — (0.02)%
|
|||||||
(417
|
)
|
First Cash Financial Services, Inc.
|
(21,405
|
)
|
|||
DIVERSIFIED CHEMICALS — (0.03)%
|
|||||||
(91
|
)
|
The Dow Chemical Company
|
(4,524
|
)
|
|||
(390
|
)
|
E. I. Du Pont de Nemours and Company
|
(25,272
|
)
|
|||
(29,796
|
)
|
||||||
HEALTH CARE EQUIPMENT — (1.04)%
|
|||||||
(30,702
|
)
|
Abbott Laboratories
|
(1,206,896
|
)
|
|||
HEALTH CARE PROVIDERS & SERVICES — (0.29)%
|
|||||||
(2,724
|
)
|
Aetna, Inc.
|
(332,682
|
)
|
|||
HEALTH CARE TECHNOLOGY — (0.14)%
|
|||||||
(6,467
|
)
|
IMS Health Holdings, Inc.
|
(164,003
|
)
|
|||
HOTELS, RESORTS & CRUISE LINES — (2.08)%
|
|||||||
(36,523
|
)
|
Marriott International, Inc. Class A
|
(2,427,319
|
)
|
|||
INTERNET SOFTWARE & SERVICES — (3.25)%
|
|||||||
(47,644
|
)
|
Alibaba Group Holding Ltd. – ADR
|
(3,789,127
|
)
|
|||
MEDIA — (1.03)%
|
|||||||
(5,240
|
)
|
Charter Communications, Inc. Class A
|
(1,198,074
|
)
|
|||
MOVIES & ENTERTAINMENT — (0.83)%
|
|||||||
(17,597
|
)
|
Live Nation Entertainment, Inc.
|
(413,529
|
)
|
|||
(47,456
|
)
|
News Corporation Class B
|
(553,812
|
)
|
|||
(967,341
|
)
|
Shares
|
Value
|
||||||
OIL & GAS & CONSUMABLE FUELS — (0.44)%
|
|||||||
(3,387
|
)
|
Energy Transfer Equity LP
|
$
|
(48,671
|
)
|
||
(22,689
|
)
|
Western Refining, Inc.
|
(468,074
|
)
|
|||
(516,745
|
)
|
||||||
OIL & GAS REFINING & MARKETING — (0.95)%
|
|||||||
(51,530
|
)
|
Idemitsu Kosan Company, Ltd. (b)
|
(1,103,804
|
)
|
|||
PHARMACEUTICALS — (0.15)%
|
|||||||
(4,959
|
)
|
Pfizer, Inc.
|
(174,606
|
)
|
|||
REITs — (0.59)%
|
|||||||
(1,804
|
)
|
Apollo Commercial Real Estate Finance, Inc.
|
(28,991
|
)
|
|||
(42,795
|
)
|
Colony Capital, Inc. Class A
|
(656,903
|
)
|
|||
(685,894
|
)
|
||||||
RESEARCH & CONSULTING SERVICES — (0.12)%
|
|||||||
(1,213
|
)
|
IHS, Inc. Class A
|
(140,235
|
)
|
|||
SEMICONDUCTORS — (2.61)%
|
|||||||
(36,089
|
)
|
Lam Research Corporation
|
(3,033,641
|
)
|
|||
SOFTWARE — (0.57)%
|
|||||||
(11,562
|
)
|
VMware, Inc. Class A
|
(661,578
|
)
|
|||
TECHNOLOGY HARDWARE,
|
|||||||
STORAGE & PERIPHERALS — (0.07)%
|
|||||||
(2,036
|
)
|
Lexmark International, Inc. Class A
|
(76,859
|
)
|
|||
TOTAL SHORT COMMON STOCKS
|
|||||||
(Proceeds $25,418,890)
|
(26,633,601
|
)
|
Shares
|
Value
|
||||||
SHORT CLOSED-END FUNDS — (0.52)%
|
|||||||
(42,497
|
)
|
Ares Capital Corporation
|
$
|
(603,457
|
)
|
||
TOTAL SHORT CLOSED-END FUNDS
|
|||||||
(Proceeds $615,437)
|
(603,457
|
)
|
|||||
TOTAL SHORT INVESTMENTS
|
|||||||
(Proceeds $26,034,327) — (23.40)%
|
(27,237,058
|
)
|
|||||
TOTAL NET INVESTMENTS
|
|||||||
(Cost $83,045,117) — 71.48%
|
83,231,116
|
||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 28.52%
|
33,191,156
|
||||||
TOTAL NET ASSETS — 100.00%
|
$
|
116,422,272
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign security.
|
(c)
|
The rate quoted is the annualized seven-day yield as of June 30, 2016.
|
(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 Note 2 in the Notes to the Financial Statements for more information.
|
(g)
|
Level 3 Security. Please see Note 2 in the Notes to the Financial Statements 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 June 30, 2016, these securities represent 1.83% of total net assets.
|
Contracts (100 shares per contract)
|
Value
|
||||||
CALL OPTIONS WRITTEN
|
|||||||
Alcoa, Inc.
|
|||||||
9,812
|
Expiration: July 2016, Exercise Price: $8.00
|
$
|
1,295,184
|
||||
27,585
|
Expiration: August 2016, Exercise Price: $8.00
|
3,889,485
|
|||||
9,812
|
Expiration: October 2016, Exercise Price: $8.00
|
1,579,732
|
|||||
Allergan plc
|
|||||||
845
|
Expiration: August 2016, Exercise Price: $215.00
|
1,799,850
|
|||||
349
|
Expiration: August 2016, Exercise Price: $230.00
|
401,350
|
|||||
490
|
Expiration: August 2016, Exercise Price: $235.00
|
428,750
|
|||||
American International Group, Inc.
|
|||||||
9,624
|
Expiration: August 2016, Exercise Price: $55.00
|
875,784
|
|||||
1,579
|
Expiration: September 2016, Exercise Price: $55.00
|
194,217
|
|||||
CBS Corporation Class B
|
|||||||
12,211
|
Expiration: September 2016, Exercise Price: $50.00
|
6,563,412
|
|||||
The Dow Chemical Company
|
|||||||
10,911
|
Expiration: September 2016, Exercise Price: $50.00
|
2,313,132
|
|||||
General Electric Company
|
|||||||
16,002
|
Expiration: July 2016, Exercise Price: $29.00
|
4,040,505
|
|||||
General Motors Company
|
|||||||
25,954
|
Expiration: September 2016, Exercise Price: $29.00
|
2,478,607
|
|||||
1,633
|
Expiration: September 2016, Exercise Price: $30.00
|
94,714
|
|||||
833
|
Expiration: September 2016, Exercise Price: $32.00
|
14,161
|
|||||
Humana, Inc.
|
|||||||
1,202
|
Expiration: November 2016, Exercise Price: $190.00
|
2,037,390
|
|||||
LinkedIn Corporation Class A
|
|||||||
2,734
|
Expiration: August 2016, Exercise Price: $200.00
|
13,670
|
|||||
Marriott International, Inc. Class A
|
|||||||
1,180
|
Expiration: July 2016, Exercise Price: $62.50
|
467,280
|
|||||
2,958
|
Expiration: October 2016, Exercise Price: $67.50
|
783,870
|
|||||
MGM Resorts International
|
|||||||
1,685
|
Expiration: September 2016, Exercise Price: $21.00
|
420,408
|
|||||
30,703
|
Expiration: September 2016, Exercise Price: $23.00
|
3,991,390
|
|||||
SPDR S&P 500 ETF Trust
|
|||||||
2,073
|
Expiration: August 2016, Exercise Price: $208.00
|
1,026,135
|
|||||
34,709,026
|
Contracts (100 shares per contract)
|
Value
|
||||||
PUT OPTIONS WRITTEN
|
|||||||
Humana, Inc.
|
|||||||
1,202
|
Expiration: November 2016, Exercise Price: $130.00
|
$
|
655,090
|
||||
Pfizer, Inc.
|
|||||||
2,038
|
Expiration: July 2016, Exercise Price: $33.00
|
10,190
|
|||||
SPDR S&P 500 ETF Trust
|
|||||||
1,326
|
Expiration: July 2016, Exercise Price: $204.00
|
106,080
|
|||||
6,632
|
Expiration: September 2016, Exercise Price: $190.00
|
1,382,772
|
|||||
2,154,132
|
|||||||
TOTAL OPTIONS WRITTEN
|
|||||||
(Premiums received $47,047,931)
|
$
|
36,863,158
|
Contracts (100 shares per contract)
|
Value
|
||||||
CALL OPTIONS WRITTEN
|
|||||||
Alcoa, Inc.
|
|||||||
896
|
Expiration: July 2016, Exercise Price: $8.00
|
$
|
118,272
|
||||
857
|
Expiration: August 2016, Exercise Price: $8.00
|
120,837
|
|||||
600
|
Expiration: August 2016, Exercise Price: $9.00
|
45,000
|
|||||
896
|
Expiration: October 2016, Exercise Price: $8.00
|
144,256
|
|||||
Allergan plc
|
|||||||
26
|
Expiration: August 2016, Exercise Price: $215.00
|
55,380
|
|||||
25
|
Expiration: August 2016, Exercise Price: $230.00
|
28,750
|
|||||
32
|
Expiration: August 2016, Exercise Price: $235.00
|
28,000
|
|||||
American International Group, Inc.
|
|||||||
137
|
Expiration: August 2016, Exercise Price: $55.00
|
12,467
|
|||||
56
|
Expiration: September 2016, Exercise Price: $55.00
|
6,888
|
|||||
Bayer AG
|
|||||||
54
|
Expiration: July 2016, Exercise Price: EUR 84.00 (a)
|
38,952
|
|||||
51
|
Expiration: July 2016, Exercise Price: EUR 90.00 (a)
|
12,339
|
|||||
The Blackstone Group LP
|
|||||||
521
|
Expiration: September 2016, Exercise Price: $23.00
|
109,931
|
|||||
CBS Corporation Class B
|
|||||||
314
|
Expiration: September 2016, Exercise Price: $50.00
|
168,775
|
|||||
195
|
Expiration: September 2016, Exercise Price: $52.50
|
69,225
|
|||||
ConAgra Foods, Inc.
|
|||||||
595
|
Expiration: July 2016, Exercise Price: $45.00
|
167,195
|
|||||
The Dow Chemical Company
|
|||||||
499
|
Expiration: September 2016, Exercise Price: $50.00
|
105,788
|
|||||
General Electric Company
|
|||||||
560
|
Expiration: July 2016, Exercise Price: $29.00
|
141,400
|
|||||
536
|
Expiration: July 2016, Exercise Price: $30.00
|
82,544
|
|||||
General Motors Company
|
|||||||
787
|
Expiration: September 2016, Exercise Price: $30.00
|
45,646
|
|||||
23
|
Expiration: September 2016, Exercise Price: $32.00
|
391
|
|||||
Hertz Global Holdings, Inc.
|
|||||||
2,846
|
Expiration: September 2016, Exercise Price: $9.00
|
704,385
|
|||||
Hewlett Packard Enterprise Company
|
|||||||
1,500
|
Expiration: August 2016, Exercise Price: $18.00
|
160,500
|
|||||
Hilton Worldwide Holdings, Inc.
|
|||||||
104
|
Expiration: July 2016, Exercise Price: $20.00
|
26,312
|
|||||
1,393
|
Expiration: July 2016, Exercise Price: $21.00
|
219,397
|
|||||
Humana, Inc.
|
|||||||
33
|
Expiration: November 2016, Exercise Price: $190.00
|
55,935
|
|||||
Huntsman Corporation
|
|||||||
394
|
Expiration: August 2016, Exercise Price: $13.00
|
47,280
|
Contracts (100 shares per contract)
|
Value
|
||||||
Johnson Controls, Inc.
|
|||||||
294
|
Expiration: September 2016, Exercise Price: $40.00
|
$
|
129,360
|
||||
LinkedIn Corporation Class A
|
|||||||
27
|
Expiration: August 2016, Exercise Price: $200.00
|
135
|
|||||
Marriott International, Inc. Class A
|
|||||||
24
|
Expiration: July 2016, Exercise Price: $62.50
|
9,504
|
|||||
87
|
Expiration: October 2016, Exercise Price: $67.50
|
23,055
|
|||||
Medivation, Inc.
|
|||||||
439
|
Expiration: July 2016, Exercise Price: $55.00
|
254,620
|
|||||
MetLife, Inc.
|
|||||||
52
|
Expiration: September 2016, Exercise Price: $40.00
|
9,412
|
|||||
309
|
Expiration: September 2016, Exercise Price: $42.50
|
25,029
|
|||||
MGM Resorts International
|
|||||||
198
|
Expiration: September 2016, Exercise Price: $21.00
|
49,401
|
|||||
834
|
Expiration: September 2016, Exercise Price: $23.00
|
108,420
|
|||||
SPDR S&P 500 ETF Trust
|
|||||||
60
|
Expiration: August 2016, Exercise Price: $208.00
|
29,700
|
|||||
Vivendi SA
|
|||||||
1,235
|
Expiration: August 2016, Exercise Price: EUR 16.00 (a)
|
180,915
|
|||||
431
|
Expiration: August 2016, Exercise Price: EUR 17.00 (a)
|
33,002
|
|||||
3,568,398
|
|||||||
PUT OPTIONS WRITTEN
|
|||||||
The Blackstone Group LP
|
|||||||
196
|
Expiration: September 2016, Exercise Price: $22.00
|
13,524
|
|||||
Humana, Inc.
|
|||||||
33
|
Expiration: November 2016, Exercise Price: $130.00
|
17,985
|
|||||
Pfizer, Inc.
|
|||||||
49
|
Expiration: July 2016, Exercise Price: $33.00
|
245
|
|||||
SPDR S&P 500 ETF Trust
|
|||||||
39
|
Expiration: July 2016, Exercise Price: $204.00
|
3,120
|
|||||
202
|
Expiration: September 2016, Exercise Price: $190.00
|
42,117
|
|||||
76,991
|
|||||||
TOTAL OPTIONS WRITTEN
|
|||||||
(Premiums received $3,985,872)
|
$
|
3,645,389
|
(a)
|
Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
|
USD Value at
|
USD Value at
|
Unrealized
|
||||||||||||||||||||
Settlement
|
Currency to
|
June 30,
|
Currency to
|
June 30,
|
Appreciation
|
|||||||||||||||||
Date
|
be Delivered
|
2016
|
be Received
|
2016
|
(Depreciation)**
|
|||||||||||||||||
8/23/16
|
55,599,783
|
AUD
|
$
|
41,381,479
|
40,213,049
|
USD
|
$
|
40,213,049
|
$
|
(1,168,430
|
)
|
|||||||||||
7/21/16
|
1,729,714
|
GBP
|
2,303,090
|
2,466,440
|
USD
|
2,466,440
|
163,350
|
|||||||||||||||
9/14/16
|
4,239,560
|
GBP
|
5,648,128
|
5,725,901
|
USD
|
5,725,901
|
77,773
|
|||||||||||||||
9/14/16
|
168,022
|
USD
|
168,022
|
121,994
|
GBP
|
162,526
|
(5,496
|
)
|
||||||||||||||
10/4/16
|
137,833,784
|
GBP
|
183,674,297
|
196,791,153
|
USD
|
196,791,153
|
13,116,856
|
|||||||||||||||
7/27/16
|
77,803,115
|
HKD
|
10,032,478
|
10,026,858
|
USD
|
10,026,858
|
(5,620
|
)
|
||||||||||||||
8/10/16
|
346,911,584
|
SEK
|
41,077,977
|
41,533,663
|
USD
|
41,533,663
|
455,686
|
|||||||||||||||
$
|
284,285,471
|
$
|
296,919,590
|
$
|
12,634,119
|
*
|
JPMorgan Chase & Co., Inc. is the counterparty for all open forward currency exchange contracts held by the Fund as of June 30, 2016.
|
**
|
Unrealized appreciation is a receivable and unrealized depreciation is a payable.
|
USD Value at
|
USD Value at
|
Unrealized
|
||||||||||||||||||||
Settlement
|
Currency to
|
June 30,
|
Currency to
|
June 30,
|
Appreciation
|
|||||||||||||||||
Date
|
be Delivered
|
2016
|
be Received
|
2016
|
(Depreciation)**
|
|||||||||||||||||
8/23/16
|
2,853,034
|
AUD
|
$ 2,123,439
|
2,064,410
|
USD
|
$
|
2,064,410
|
$
|
(59,029
|
)
|
||||||||||||
7/26/16
|
912,600
|
EUR
|
1,013,747
|
1,029,204
|
USD
|
1,029,204
|
15,457
|
|||||||||||||||
8/16/16
|
2,789,000
|
EUR
|
3,100,490
|
3,154,530
|
USD
|
3,154,530
|
54,040
|
|||||||||||||||
7/21/16
|
43,968
|
GBP
|
58,543
|
62,695
|
USD
|
62,695
|
4,152
|
|||||||||||||||
9/14/16
|
194,183
|
GBP
|
258,699
|
262,261
|
USD
|
262,261
|
3,562
|
|||||||||||||||
9/14/16
|
7,696
|
USD
|
7,696
|
5,588
|
GBP
|
7,445
|
(251
|
)
|
||||||||||||||
10/4/16
|
4,198,744
|
GBP
|
5,595,155
|
5,997,958
|
USD
|
5,997,958
|
402,803
|
|||||||||||||||
7/27/16
|
20,043,811
|
HKD
|
2,584,589
|
2,582,917
|
USD
|
2,582,917
|
(1,672
|
)
|
||||||||||||||
8/10/16
|
12,444,869
|
SEK
|
1,473,603
|
1,495,927
|
USD
|
1,495,927
|
22,324
|
|||||||||||||||
$
|
16,215,961
|
$
|
16,657,347
|
$
|
441,386
|
*
|
JPMorgan Chase & Co., Inc. is the counterparty for all open forward currency exchange contracts held by the Fund as of June 30, 2016.
|
**
|
Unrealized appreciation is a receivable and unrealized depreciation is a payable.
|
Unrealized
|
||||||||||||||
Termination
|
Notional
|
Appreciation
|
Counter-
|
|||||||||||
Date
|
Security
|
Shares
|
Amount
|
(Depreciation)*
|
party
|
|||||||||
LONG TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||
8/26/16
|
Asciano Ltd.
|
6,076,479
|
$
|
38,485,239
|
$
|
1,695,585
|
JPM
|
|||||||
10/5/16
|
CBS Corporation Class B
|
487,662
|
19,248,019
|
7,260,337
|
BAML
|
|||||||||
5/23/17
|
Charter Communications,
|
|||||||||||||
Inc. Class A
|
2,320
|
502,426
|
27,806
|
JPM
|
||||||||||
6/24/17
|
Home Retail Group plc
|
4,969,793
|
10,132,748
|
(17,297
|
)
|
JPM
|
||||||||
2/11/17
|
Meda AB Class A
|
2,358,116
|
41,192,598
|
1,324,855
|
BAML
|
|||||||||
2/16/17
|
Meda AB Class A
|
267,372
|
4,527,314
|
302,459
|
JPM
|
|||||||||
4/11/17
|
Rexam plc (a)
|
424,991
|
3,757,059
|
(79,789
|
)
|
BAML
|
||||||||
12/7/16
|
SABMiller plc
|
3,132,686
|
188,860,575
|
(6,706,656
|
)
|
JPM
|
||||||||
2/11/17
|
Syngenta AG (a)
|
53,662
|
21,643,961
|
(590,920
|
)
|
BAML
|
||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||
4/11/17
|
Ball Corporation (a)
|
(19,414
|
)
|
(1,393,168
|
)
|
11,555
|
BAML
|
|||||||
6/24/17
|
J Sainbury plc
|
(1,595,303
|
)
|
(4,807,942
|
)
|
(125,514
|
)
|
JPM
|
||||||
2/11/17
|
Mylan NV (a)
|
(126,349
|
)
|
(5,258,112
|
)
|
(202,785
|
)
|
BAML
|
||||||
$
|
2,899,636
|
*
|
Based on the net swap value held at each counterparty, unrealized appreciation is a receivable and unrealized depreciation is a payable.
|
(a)
|
Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
|
Unrealized
|
||||||||||||||
Termination
|
Notional
|
Appreciation
|
Counter-
|
|||||||||||
Date
|
Security
|
Shares
|
Amount
|
(Depreciation)*
|
party
|
|||||||||
LONG TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||
1/19/17
|
Allergan plc
|
2,442
|
$
|
712,759
|
$
|
(150,415
|
)
|
BAML
|
||||||
8/25/16
|
American International
|
|||||||||||||
|
Group, Inc. |
43,212
|
2,498,244
|
(213,875
|
)
|
JPM
|
||||||||
1/12/17
|
Apollo Residential
|
|||||||||||||
Mortgage, Inc. |
2,996
|
33,949
|
6,181
|
JPM | ||||||||||
8/25/16
|
Asciano Ltd.
|
311,807
|
1,997,770
|
64,043
|
JPM
|
|||||||||
6/20/17
|
Bayer AG
|
10,500
|
1,167,318
|
(118,939
|
)
|
JPM
|
||||||||
10/7/16
|
CBS Corporation Class B
|
3,390
|
164,403
|
19,851
|
BAML
|
|||||||||
5/25/17
|
Charter Communications,
|
|||||||||||||
|
Inc. Class A |
762
|
128,309
|
45,734
|
BAML
|
|||||||||
5/23/17
|
Charter Communications,
|
|||||||||||||
|
Inc. Class A |
4,476
|
867,955
|
155,071
|
JPM
|
|||||||||
4/19/17
|
Equity Commonwealth
|
15,859
|
448,017
|
12,716
|
BAML
|
|||||||||
9/30/16
|
General Motors Company
|
11,500
|
338,709
|
(13,962
|
)
|
BAML
|
||||||||
6/24/17
|
Home Retail Group plc
|
227,630
|
464,107
|
(801
|
)
|
JPM
|
||||||||
6/13/17
|
Huntsman Corporation
|
4,193
|
63,859
|
(7,501
|
)
|
BAML
|
||||||||
6/16/17
|
Ingram Micro, Inc. Class A
|
100,394
|
3,504,714
|
(14,682
|
)
|
BAML
|
||||||||
6/15/17
|
LinkedIn Corporation Class A
|
13,387
|
2,559,807
|
(27,388
|
)
|
BAML
|
||||||||
2/11/17
|
Meda AB Class A
|
88,294
|
1,548,026
|
44,573
|
BAML
|
|||||||||
2/16/17
|
Meda AB Class A
|
5,927
|
100,360
|
6,700
|
JPM
|
|||||||||
5/17/17
|
Qihoo 360 Technology
|
|||||||||||||
|
Company Ltd. – ADR |
7,431
|
532,484
|
9,631
|
BAML
|
|||||||||
4/11/17
|
Rexam plc (a)
|
10,803
|
95,502
|
(2,028
|
)
|
BAML
|
||||||||
12/7/16
|
SABMiller plc
|
95,426
|
5,768,531
|
(219,324
|
)
|
JPM
|
||||||||
2/11/17
|
Syngenta AG (a)
|
1,662
|
670,004
|
(17,956
|
)
|
BAML
|
||||||||
5/18/17
|
The Valspar Corporation
|
39,944
|
4,280,459
|
29,748
|
BAML
|
|||||||||
6/6/17
|
Vivendi SA
|
166,600
|
3,023,139
|
100,085
|
JPM
|
|||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||
4/11/17
|
Ball Corporation (a)
|
(493
|
)
|
(35,378
|
)
|
293
|
BAML
|
|||||||
2/10/17
|
Grifols S.A. (a)
|
(24,047
|
)
|
(492,535
|
)
|
(48,096
|
)
|
JPM
|
||||||
6/24/17
|
J Sainbury plc
|
(73,069
|
)
|
(220,216
|
)
|
(5,748
|
)
|
JPM
|
||||||
2/11/17
|
Mylan NV (a)
|
(5,115
|
)
|
(208,390
|
)
|
(12,694
|
)
|
BAML
|
||||||
$
|
(358,783
|
)
|
*
|
Based on the net swap value held at each counterparty, unrealized appreciation is a receivable and unrealized depreciation is a payable.
|
(a)
|
Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
|
WCM Alternatives:
|
||||||||
The Merger Fund
|
Event-Driven Fund
|
|||||||
ASSETS:
|
||||||||
Investments, at value (Cost $3,675,480,387 and
|
||||||||
$109,079,444, respectively)
|
$
|
3,766,812,922
|
$
|
110,468,174
|
||||
Cash
|
—
|
21,446
|
||||||
Cash held in foreign currency (Cost $88 and
|
||||||||
$2,903, respectively)
|
89
|
2,870
|
||||||
Receivable from broker
|
729,883,106
|
26,034,327
|
||||||
Deposits at brokers
|
71,830,002
|
10,686,668
|
||||||
Receivable for forward
|
||||||||
currency exchange contracts
|
12,634,119
|
441,386
|
||||||
Receivable for swap contracts
|
7,723,253
|
—
|
||||||
Receivable for investments sold
|
47,201,735
|
2,309,503
|
||||||
Receivable for fund shares issued
|
31,298,690
|
23,442
|
||||||
Dividends and interest receivable
|
8,420,333
|
235,585
|
||||||
Prepaid expenses and other receivables
|
242,348
|
29,031
|
||||||
Total Assets
|
4,676,046,597
|
150,252,432
|
||||||
LIABILITIES:
|
||||||||
Securities sold short, at value (proceeds of
|
||||||||
$729,883,106 and $26,034,327, respectively)
|
761,334,418
|
27,237,058
|
||||||
Written option contracts, at value
|
||||||||
(premiums received $47,047,931 and
|
||||||||
$3,985,872, respectively)
|
36,863,158
|
3,645,389
|
||||||
Payable for swap contracts
|
4,823,617
|
358,783
|
||||||
Payable for investments purchased
|
47,878,901
|
2,280,332
|
||||||
Payable for fund shares redeemed
|
9,204,392
|
5,016
|
||||||
Payable to the investment adviser
|
2,814,294
|
111,397
|
||||||
Dividends and interest payable
|
2,840,660
|
78,165
|
||||||
Distribution fees payable
|
1,042,659
|
—
|
||||||
Accrued expenses and other liabilities
|
2,351,970
|
114,020
|
||||||
Total Liabilities
|
869,154,069
|
33,830,160
|
||||||
NET ASSETS
|
$
|
3,806,892,528
|
$
|
116,422,272
|
WCM Alternatives:
|
||||||||
The Merger Fund
|
Event-Driven Fund
|
|||||||
NET ASSETS CONSISTS OF:
|
||||||||
Accumulated undistributed
|
||||||||
net investment loss
|
$
|
(9,214,427
|
)
|
$
|
(1,103,746
|
)
|
||
Accumulated net realized loss on
|
||||||||
investments, securities sold short, written option
|
||||||||
contracts expired or closed, forward currency
|
||||||||
exchange contracts, swap contracts and
|
||||||||
foreign currency translation
|
(257,778,484
|
)
|
(5,315,665
|
)
|
||||
Net unrealized appreciation (depreciation) on:
|
||||||||
Investments
|
91,332,535
|
1,388,730
|
||||||
Securities sold short
|
(31,451,312
|
)
|
(1,202,731
|
)
|
||||
Written option contracts
|
10,184,773
|
340,483
|
||||||
Forward currency exchange contracts
|
12,634,119
|
441,386
|
||||||
Swap contracts
|
2,899,636
|
(358,783
|
)
|
|||||
Foreign currency translation
|
1
|
(33
|
)
|
|||||
Net unrealized appreciation
|
85,599,752
|
609,052
|
||||||
Paid-in capital
|
3,988,285,687
|
122,232,631
|
||||||
Total Net Assets
|
$
|
3,806,892,528
|
$
|
116,422,272
|
||||
Investor Class
|
||||||||
Net assets
|
$
|
2,518,805,555
|
||||||
Shares outstanding
|
163,055,008
|
|||||||
Net asset value and offering price per share*
|
$
|
15.45
|
||||||
Institutional Class
|
||||||||
Net assets
|
$
|
1,288,086,973
|
$
|
116,422,272
|
||||
Shares outstanding
|
83,573,363
|
12,064,737
|
||||||
Net asset value and offering price per share*
|
$
|
15.41
|
$
|
9.65
|
*
|
The redemption price per share may vary based on the length of time a shareholder holds Fund shares.
|
WCM Alternatives:
|
||||||||
The Merger Fund
|
Event-Driven Fund
|
|||||||
INVESTMENT INCOME:
|
||||||||
Interest
|
$
|
5,098,128
|
$
|
101,566
|
||||
Dividend income on long positions (net of
|
||||||||
foreign withholding taxes of $228,244
|
||||||||
and $8,325, respectively)
|
26,510,687
|
808,358
|
||||||
Total investment income
|
31,608,815
|
909,924
|
||||||
EXPENSES:
|
||||||||
Investment advisory fees
|
21,098,916
|
656,095
|
||||||
Distribution fees (Investor Class)
|
3,697,993
|
—
|
||||||
Sub transfer agent fees (Investor Class)
|
1,983,827
|
—
|
||||||
Sub transfer agent fees (Institutional Class)
|
329,926
|
51,204
|
||||||
Administration fees
|
684,319
|
35,025
|
||||||
Professional fees
|
404,572
|
71,229
|
||||||
Reports to shareholders
|
391,024
|
19,213
|
||||||
Transfer agent and shareholder
|
||||||||
servicing agent fees
|
241,699
|
12,884
|
||||||
Fund Accounting expenses
|
192,830
|
19,708
|
||||||
Custody fees
|
174,726
|
22,874
|
||||||
Trustees’ fees and expenses
|
111,965
|
7,732
|
||||||
Miscellaneous expenses
|
97,679
|
5,796
|
||||||
Compliance fees
|
96,461
|
2,308
|
||||||
Federal and state registration fees
|
66,105
|
19,234
|
||||||
Dividends on securities sold short
|
6,905,323
|
185,210
|
||||||
Borrowing expenses on securities sold short
|
2,280,063
|
65,813
|
||||||
Total expenses before
|
||||||||
expense waiver by Adviser
|
38,757,428
|
1,174,325
|
||||||
Less: Expense reimbursed by Adviser
|
(2,479,346
|
)
|
(10,017
|
)
|
||||
Net expenses
|
36,278,082
|
1,164,308
|
||||||
NET INVESTMENT LOSS
|
(4,669,267
|
)
|
(254,384
|
)
|
WCM Alternatives:
|
||||||||
The Merger Fund
|
Event-Driven Fund
|
|||||||
REALIZED AND UNREALIZED GAIN (LOSS)
|
||||||||
ON INVESTMENTS:
|
||||||||
Realized gain (loss) on:
|
||||||||
Investments
|
$
|
(184,765,611
|
)
|
$
|
(5,597,716
|
)
|
||
Securities sold short
|
10,066
|
(262,647
|
)
|
|||||
Written option contracts expired or closed
|
88,904,217
|
2,303,164
|
||||||
Forward currency exchange contracts
|
5,271,417
|
177,850
|
||||||
Swap contracts
|
10,847,635
|
982,865
|
||||||
Foreign currency translation
|
(155,306
|
)
|
(555
|
)
|
||||
Net realized loss
|
(79,887,582
|
)
|
(2,397,039
|
)
|
||||
Change in unrealized
|
||||||||
appreciation (depreciation) on:
|
||||||||
Investments
|
150,539,141
|
4,922,567
|
||||||
Securities sold short
|
(13,790,424
|
)
|
(717,130
|
)
|
||||
Written option contracts
|
(14,717,008
|
)
|
(353,552
|
)
|
||||
Forward currency exchange contracts
|
9,407,935
|
317,091
|
||||||
Swap contracts
|
(9,378,804
|
)
|
(1,102,808
|
)
|
||||
Foreign currency translation
|
3
|
(8
|
)
|
|||||
Net unrealized appreciation
|
122,060,843
|
3,066,160
|
||||||
NET REALIZED AND UNREALIZED
|
||||||||
GAIN ON INVESTMENTS
|
42,173,261
|
669,121
|
||||||
NET INCREASE IN NET ASSETS
|
||||||||
RESULTING FROM OPERATIONS
|
$
|
37,503,994
|
$
|
414,737
|
Six Months Ended
|
Year Ended
|
|||||||
June 30, 2016
|
December 31, 2015
|
|||||||
(Unaudited)
|
||||||||
Net investment loss
|
$
|
(4,669,267
|
)
|
$
|
(23,529,062
|
)
|
||
Net realized gain (loss) on investments,
|
||||||||
securities sold short, written option contracts
|
||||||||
expired or closed, forward currency
|
||||||||
exchange contracts, swap contracts and
|
||||||||
foreign currency translation
|
(79,887,582
|
)
|
21,986,369
|
|||||
Change in unrealized appreciation (depreciation)
|
||||||||
on investments, securities sold short,
|
||||||||
written option contracts, forward currency
|
||||||||
exchange contracts, swap contracts and
|
||||||||
foreign currency translation
|
122,060,843
|
(39,647,988
|
)
|
|||||
Net increase (decrease) in net assets
|
||||||||
resulting from operations
|
37,503,994
|
(41,190,681
|
)
|
|||||
Investor Class —
|
||||||||
Distributions to shareholders from: (Note 5)
|
||||||||
Net investment income
|
—
|
(28,234,075
|
)
|
|||||
Net realized gains
|
—
|
(15,570,634
|
)
|
|||||
Total dividends and distributions —
|
||||||||
Investor Class
|
—
|
(43,804,709
|
)
|
|||||
Institutional Class —
|
||||||||
Distributions to shareholders from: (Note 5)
|
||||||||
Net investment income
|
—
|
(14,536,377
|
)
|
|||||
Net realized gains
|
—
|
(5,504,041
|
)
|
|||||
Total dividends and distributions —
|
||||||||
Institutional Class
|
—
|
(20,040,418
|
)
|
|||||
Net decrease in net assets from
|
||||||||
capital share transactions (Note 4)
|
(986,617,670
|
)
|
(540,529,909
|
)
|
||||
Net decrease in net assets
|
(949,113,676
|
)
|
(645,565,717
|
)
|
||||
NET ASSETS:
|
||||||||
Beginning of period
|
4,756,006,204
|
5,401,571,921
|
||||||
End of period (including accumulated
|
||||||||
undistributed net investment loss of
|
||||||||
$(9,214,427) and $(4,545,160), respectively)
|
$
|
3,806,892,528
|
$
|
4,756,006,204
|
Six Months Ended
|
Year Ended
|
|||||||
June 30, 2016
|
December 31, 2015
|
|||||||
(Unaudited)
|
||||||||
Net investment income (loss)
|
$
|
(254,384
|
)
|
$
|
34,072
|
|||
Net realized loss on investments, securities
|
||||||||
sold short, written option contracts expired
|
||||||||
or closed, forward currency exchange
|
||||||||
contracts, swap contracts and foreign
|
||||||||
currency translation
|
(2,397,039
|
)
|
(1,163,504
|
)
|
||||
Change in unrealized appreciation (depreciation)
|
||||||||
on investments, securities sold short, written
|
||||||||
option contracts, forward currency exchange
|
||||||||
contracts swap contracts and foreign
|
||||||||
currency translation
|
3,066,160
|
(2,046,347
|
)
|
|||||
Net increase (decrease) in net assets
|
||||||||
resulting from operations
|
414,737
|
(3,175,779
|
)
|
|||||
Institutional Class —
|
||||||||
Distributions to shareholders from: (Note 5)
|
||||||||
Net investment income
|
—
|
(859,690
|
)
|
|||||
Net realized gains
|
—
|
(2,073,810
|
)
|
|||||
Total dividends and distributions —
|
||||||||
Institutional Class
|
—
|
(2,933,500
|
)
|
|||||
Net increase in net assets from
|
||||||||
capital share transactions (Note 4)
|
19,518,296
|
90,513,163
|
||||||
Net increase in net assets
|
19,933,033
|
84,403,884
|
||||||
NET ASSETS:
|
||||||||
Beginning of period
|
96,489,239
|
12,085,355
|
||||||
End of period (including accumulated
|
||||||||
undistributed net investment loss of
|
||||||||
$(1,103,746) and $(849,362), respectively)
|
$
|
116,422,272
|
$
|
96,489,239
|
Six Months
|
For the Period from
|
|||||||||||||||
Ended
|
Year Ended
|
August 1, 2013^
|
||||||||||||||
June 30,
|
December 31,
|
through
|
||||||||||||||
2016
|
2015
|
2014
|
December 31, 2013
|
|||||||||||||
(Unaudited)
|
||||||||||||||||
Per Share Data:
|
||||||||||||||||
Net asset value,
|
||||||||||||||||
beginning of period
|
$
|
15.25
|
$
|
15.58
|
$
|
15.97
|
$
|
16.06
|
||||||||
Income from
|
||||||||||||||||
investment operations:
|
||||||||||||||||
Net investment
|
||||||||||||||||
income (loss)(1)(2)
|
0.00
|
(0.03
|
)
|
0.37
|
0.03
|
|||||||||||
Net realized and unrealized
|
||||||||||||||||
gain (loss) on investments
|
0.16
|
(0.05
|
)
|
(0.10
|
)
|
0.31
|
||||||||||
Total from investment operations
|
0.16
|
(0.08
|
)
|
0.27
|
0.34
|
|||||||||||
Less distributions:
|
||||||||||||||||
From net investment income
|
—
|
(0.18
|
)
|
(0.45
|
)
|
(0.35
|
)
|
|||||||||
From net realized gains
|
—
|
(0.07
|
)
|
(0.21
|
)
|
(0.08
|
)
|
|||||||||
Total dividends
|
||||||||||||||||
and distributions
|
—
|
(0.25
|
)
|
(0.66
|
)
|
(0.43
|
)
|
|||||||||
Net asset value, end of period
|
$
|
15.41
|
$
|
15.25
|
$
|
15.58
|
$
|
15.97
|
||||||||
Total return
|
1.05
|
%(3)
|
(0.52
|
)%
|
1.63
|
%
|
2.20
|
%(3)
|
Six Months
|
For the Period from
|
|||||||||||||||
Ended
|
Year Ended
|
August 1, 2013^
|
||||||||||||||
June 30,
|
December 31,
|
through
|
||||||||||||||
2016
|
2015
|
2014
|
December 31, 2013
|
|||||||||||||
(Unaudited)
|
||||||||||||||||
Supplemental data and ratios:
|
||||||||||||||||
Net assets, end
|
||||||||||||||||
of period (000’s)
|
$
|
1,288,087
|
$
|
1,247,332
|
$
|
1,332,078
|
$
|
172,247
|
||||||||
Ratio of gross expenses
|
||||||||||||||||
to average net assets:
|
||||||||||||||||
Before expense waiver
|
1.61
|
%(4)
|
1.54
|
%
|
1.44
|
%
|
1.32
|
%(4)
|
||||||||
After expense waiver
|
1.49
|
%(4)
|
1.41
|
%
|
1.28
|
%
|
1.19
|
%(4)
|
||||||||
Ratio of dividends on short
|
||||||||||||||||
positions and borrowing expense
|
||||||||||||||||
on securities sold short to
|
||||||||||||||||
average net assets
|
0.44
|
%(4)
|
0.40
|
%
|
0.29
|
%
|
0.19
|
%(4)
|
||||||||
Ratio of expense to average net
|
||||||||||||||||
assets excluding dividends on
|
||||||||||||||||
short positions and borrowing
|
||||||||||||||||
expense on securities sold short
|
1.05
|
%(4)
|
1.01
|
%
|
0.99
|
%
|
1.00
|
%(4)
|
||||||||
Ratio of net investment income
|
||||||||||||||||
(loss) to average net assets:
|
||||||||||||||||
Before expense waiver
|
(0.11
|
)%(4)
|
(0.34
|
)%
|
2.14
|
%
|
0.29
|
%(4)
|
||||||||
After expense waiver
|
0.01
|
%(4)
|
(0.21
|
)%
|
2.30
|
%
|
0.42
|
%(4)
|
||||||||
Portfolio turnover rate(5)
|
78
|
%(3)
|
157
|
%
|
137
|
%
|
194
|
%(3)
|
(1)
|
Net investment income before dividends and borrowing expense on securities sold short for the six months ended June 30, 2016 and years ended December 31, 2015, 2014 and the period ended December 31, 2013 was $0.03, $0.03, $0.42 and $0.04, respectively.
|
(2)
|
Net investment income (loss) per share has been calculated based on average shares outstanding during the period.
|
(3)
|
Not annualized.
|
(4)
|
Annualized.
|
(5)
|
The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short-term investments, short-term options, forward currency contracts, swap contracts and short positions). The denominator includes the average long positions throughout the period.
|
^
|
Commencement of operations.
|
Six Months
|
Three Months
|
|||||||||||||||||||||||||
Ended
|
Year Ended
|
Ended
|
Year Ended
|
|||||||||||||||||||||||
June 30,
|
December 31,
|
December 31,
|
September 30,
|
|||||||||||||||||||||||
2016
|
2015
|
2014
|
2013
|
2012
|
2011*
|
2011
|
||||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||||
$
|
15.31
|
$
|
15.63
|
$
|
16.01
|
$
|
15.83
|
$
|
15.59
|
$
|
15.59
|
$
|
15.93
|
|||||||||||||
(0.02
|
)
|
(0.08
|
)
|
0.33
|
0.04
|
(0.05
|
)
|
(0.02
|
)
|
(0.18
|
)
|
|||||||||||||||
0.16
|
(0.05
|
)
|
(0.10
|
)
|
0.53
|
0.61
|
0.47
|
0.13
|
||||||||||||||||||
0.14
|
(0.13
|
)
|
0.23
|
0.57
|
0.56
|
0.45
|
(0.05
|
)
|
||||||||||||||||||
—
|
—
|
—
|
—
|
0.00
|
(3)
|
0.00
|
(3)
|
0.00
|
(3)
|
|||||||||||||||||
—
|
(0.12
|
)
|
(0.40
|
)
|
(0.31
|
)
|
(0.26
|
)
|
(0.08
|
)
|
—
|
|||||||||||||||
—
|
(0.07
|
)
|
(0.21
|
)
|
(0.08
|
)
|
(0.06
|
)
|
(0.37
|
)
|
(0.29
|
)
|
||||||||||||||
—
|
(0.19
|
)
|
(0.61
|
)
|
(0.39
|
)
|
(0.32
|
)
|
(0.45
|
)
|
(0.29
|
)
|
||||||||||||||
$
|
15.45
|
$
|
15.31
|
$
|
15.63
|
$
|
16.01
|
$
|
15.83
|
$
|
15.59
|
$
|
15.59
|
|||||||||||||
0.91
|
%(4)
|
(0.82
|
)%
|
1.43
|
%
|
3.61
|
%
|
3.61
|
%
|
2.90
|
%(4)
|
(0.34
|
)%
|
|||||||||||||
$
|
2,519
|
$
|
3,509
|
$
|
4,069
|
$
|
4,843
|
$
|
4,416
|
$
|
5,027
|
$
|
4,914
|
|||||||||||||
1.94
|
%(5)
|
1.87
|
%
|
1.68
|
%
|
1.61
|
%
|
1.82
|
%
|
1.77
|
%(5)
|
2.08
|
%
|
|||||||||||||
1.82
|
%(5)
|
1.74
|
%
|
1.52
|
%
|
1.48
|
%
|
1.69
|
%
|
1.64
|
%(5)
|
1.96
|
%
|
|||||||||||||
0.44
|
%(5)
|
0.40
|
%
|
0.29
|
%
|
0.22
|
%
|
0.42
|
%
|
0.31
|
%(5)
|
0.62
|
%
|
|||||||||||||
1.38
|
%(5)
|
1.34
|
%
|
1.23
|
%
|
1.26
|
%
|
1.27
|
%
|
1.33
|
%(5)
|
1.34
|
%
|
|||||||||||||
(0.44
|
)%(5)
|
(0.66
|
)%
|
1.90
|
%
|
0.09
|
%
|
(0.47
|
)%
|
(0.72
|
)%(5)
|
(1.25
|
)%
|
|||||||||||||
(0.32
|
)%(5)
|
(0.53
|
)%
|
2.06
|
%
|
0.22
|
%
|
(0.34
|
)%
|
(0.59
|
)%(5)
|
(1.13
|
)%
|
|||||||||||||
78
|
%(4)
|
157
|
%
|
137
|
%
|
194
|
%
|
240
|
%
|
48
|
%(4)
|
293
|
%
|
(1)
|
Net investment income before dividends and borrowing expense on securities sold short for the six months ended June 30, 2016, years ended December 31, 2015, 2014, 2013, 2012, the three months ended December 31, 2011 and the year ended September 30, 2011 was $0.01, $(0.02), $0.38, $0.07, $0.01, $(0.01), and $(0.08), respectively.
|
(2)
|
Net investment income (loss) per share has been calculated based on average shares outstanding during the period.
|
(3)
|
Amount less than $0.005 per share.
|
(4)
|
Not annualized.
|
(5)
|
Annualized.
|
(6)
|
The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short-term investments, short-term options, forward currency contracts, swap contracts and short positions). The denominator includes the average long positions throughout the period.
|
*
|
Stub period from October 1, 2011 through December 31, 2011.
|
For the Period from
|
||||||||||||
Six Months
|
Year Ended
|
January 2, 2014^
|
||||||||||
Ended
|
December 31,
|
through
|
||||||||||
June 30, 2016
|
2015
|
December 31, 2014
|
||||||||||
(Unaudited)
|
||||||||||||
Per Share Data:
|
||||||||||||
Net asset value,
|
||||||||||||
beginning of period
|
$
|
9.62
|
$
|
10.14
|
$
|
10.00
|
||||||
Income from investment operations:
|
||||||||||||
Net investment
|
||||||||||||
income (loss)(1)(2)
|
(0.02
|
)
|
0.01
|
0.05
|
||||||||
Net realized and unrealized
|
||||||||||||
gain (loss) on investments
|
0.05
|
(0.22
|
)
|
0.34
|
||||||||
Total from
|
||||||||||||
investment operations
|
0.03
|
(0.21
|
)
|
0.39
|
||||||||
Less distributions:
|
||||||||||||
From net investment income
|
—
|
(0.09
|
)
|
—
|
||||||||
From net realized gains
|
—
|
(0.22
|
)
|
(0.25
|
)
|
|||||||
Total dividends
|
||||||||||||
and distributions
|
—
|
(0.31
|
)
|
(0.25
|
)
|
|||||||
Net asset value, end of period
|
$
|
9.65
|
$
|
9.62
|
$
|
10.14
|
||||||
Total return
|
0.31
|
%(3)
|
(2.08
|
)%
|
3.87
|
%(3)
|
For the Period from
|
||||||||||||
Six Months
|
Year Ended
|
January 2, 2014^
|
||||||||||
Ended
|
December 31,
|
through
|
||||||||||
June 30, 2016
|
2015
|
December 31, 2014
|
||||||||||
(Unaudited)
|
||||||||||||
Supplemental data and ratios:
|
||||||||||||
Net assets, end of period (000’s)
|
$
|
116,422
|
$
|
96,489
|
$
|
12,085
|
||||||
Ratio of gross expenses
|
||||||||||||
to average net assets:
|
||||||||||||
Before expense waiver
|
2.24
|
%(4)
|
2.23
|
%
|
7.95
|
%(4)
|
||||||
After expense waiver
|
2.22
|
%(4)
|
2.09
|
%
|
2.39
|
%(4)
|
||||||
Ratio of dividends on short
|
||||||||||||
positions and borrowing
|
||||||||||||
expense on securities
|
||||||||||||
sold short to average
|
||||||||||||
net assets
|
0.48
|
%(4)
|
0.35
|
%
|
0.65
|
%(4)
|
||||||
Ratio of expenses to
|
||||||||||||
average net assets excluding
|
||||||||||||
dividends on short positions
|
||||||||||||
and borrowing expense on
|
||||||||||||
securities sold short
|
1.74
|
%(4)
|
1.74
|
%
|
1.74
|
%(4)
|
||||||
Ratio of net investment income
|
||||||||||||
(loss) to average net assets:
|
||||||||||||
Before expense waiver
|
(0.50
|
)%(4)
|
(0.09
|
)%
|
(5.04
|
)%(4)
|
||||||
After expense waiver
|
(0.48
|
)%(4)
|
0.05
|
%
|
0.52
|
%(4)
|
||||||
Portfolio turnover rate(5)
|
88
|
%(3)
|
199
|
%
|
212
|
%(3)
|
(1)
|
Net investment income before dividends and borrowing expense on securities sold short for the six months ended June 30, 2016, the year ended December 31, 2015 and the period ended December 31, 2014 were $0.00, $0.04 and $0.12, respectively.
|
(2)
|
Net investment income (loss) per share has been calculated based on average shares outstanding during the period.
|
(3)
|
Not annualized.
|
(4)
|
Annualized.
|
(5)
|
The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short-term investments, short-term options, forward currency contracts, swap contracts and short positions). The denominator includes the average long positions throughout the period.
|
^
|
Commencement of operations.
|
A.
|
Investment Valuation
|
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.
|
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
The Merger Fund
|
||||||||||||||||
Assets
|
||||||||||||||||
Common Stocks*
|
$
|
2,335,797,178
|
$
|
6,364,658
|
$
|
127,005,149
|
$
|
2,469,166,985
|
||||||||
Closed-End Funds
|
40,610,314
|
—
|
—
|
40,610,314
|
||||||||||||
Contingent Value Rights
|
—
|
—
|
934,035
|
934,035
|
||||||||||||
Corporate Bonds
|
—
|
122,953,433
|
—
|
122,953,433
|
||||||||||||
Purchased Option Contracts
|
28,606,480
|
—
|
—
|
28,606,480
|
||||||||||||
Escrow Notes
|
—
|
—
|
621,703
|
621,703
|
||||||||||||
Short-Term Investments
|
1,103,919,972
|
—
|
—
|
1,103,919,972
|
||||||||||||
Forward Currency
|
||||||||||||||||
Exchange Contracts**
|
—
|
12,634,119
|
—
|
12,634,119
|
||||||||||||
Swap Contracts**
|
—
|
7,723,253
|
—
|
7,723,253
|
||||||||||||
Total
|
$
|
3,508,933,944
|
$
|
149,675,463
|
$
|
128,560,887
|
$
|
3,787,170,294
|
||||||||
Liabilities
|
||||||||||||||||
Short Common Stocks*
|
$
|
743,877,591
|
$
|
—
|
$
|
—
|
$
|
743,877,591
|
||||||||
Short Closed-End Funds
|
17,456,827
|
—
|
—
|
17,456,827
|
||||||||||||
Written Option Contracts
|
36,863,158
|
—
|
—
|
36,863,158
|
||||||||||||
Swap Contracts**
|
—
|
4,823,617
|
—
|
4,823,617
|
||||||||||||
Total
|
$
|
798,197,576
|
$
|
4,823,617
|
$
|
—
|
$
|
803,021,193
|
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
WCM Alternatives: Event-Driven Fund
|
||||||||||||||||
Assets
|
||||||||||||||||
Common Stocks*
|
$
|
85,577,135
|
$
|
2,453,957
|
$
|
3,867,376
|
$
|
91,898,468
|
||||||||
Closed-End Funds
|
6,165,861
|
—
|
—
|
6,165,861
|
||||||||||||
Contingent Value Rights
|
—
|
—
|
2,135
|
2,135
|
||||||||||||
Rights
|
7,429
|
—
|
—
|
7,429
|
||||||||||||
Warrants
|
3,538
|
—
|
—
|
3,538
|
||||||||||||
Corporate Bonds
|
—
|
4,135,432
|
—
|
4,135,432
|
||||||||||||
Purchased Option Contracts
|
982,679
|
28,891
|
—
|
1,011,570
|
||||||||||||
Escrow Notes
|
—
|
—
|
14,425
|
14,425
|
||||||||||||
Short-Term Investments
|
7,229,316
|
—
|
—
|
7,229,316
|
||||||||||||
Forward Currency
|
||||||||||||||||
Exchange Contracts**
|
—
|
441,386
|
—
|
441,386
|
||||||||||||
Total
|
$
|
99,965,958
|
$
|
7,059,666
|
$
|
3,883,936
|
$
|
110,909,560
|
||||||||
Liabilities
|
||||||||||||||||
Short Common Stocks*
|
$
|
26,633,601
|
$
|
—
|
$
|
—
|
$
|
26,633,601
|
||||||||
Short Closed-End Funds
|
603,457
|
—
|
—
|
603,457
|
||||||||||||
Written Option Contracts
|
3,380,181
|
265,208
|
—
|
3,645,389
|
||||||||||||
Swap Contracts**
|
—
|
358,783
|
—
|
358,783
|
||||||||||||
Total
|
$
|
30,617,239
|
$
|
623,991
|
$
|
—
|
$
|
31,241,230
|
*
|
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.
|
Common
|
Contingent
|
Escrow
|
Total
|
|||||||||||||
Description
|
Stocks
|
Value Rights
|
Notes
|
Investment
|
||||||||||||
Balance as of December 31, 2015
|
$
|
—
|
$
|
1,144,234
|
$
|
1,616,428
|
$
|
2,760,662
|
||||||||
Purchases on Investments
|
—
|
—
|
—
|
—
|
||||||||||||
(Sales) of Investments
|
—
|
—
|
—
|
—
|
||||||||||||
Transfers Into Level 3
|
127,005,149
|
—
|
—
|
127,005,149
|
||||||||||||
(Transfer Out) of Level 3
|
—
|
—
|
—
|
—
|
||||||||||||
Change in Unrealized Depreciation
|
—
|
(210,199
|
)
|
(994,725
|
)
|
(1,204,924
|
)
|
|||||||||
Balance as of June 30, 2016
|
$
|
127,005,149
|
$
|
934,035
|
$
|
621,703
|
$
|
128,560,887
|
||||||||
WCM Alternatives: Event-Driven Fund
|
||||||||||||||||
Common
|
Contingent
|
Escrow
|
Total
|
|||||||||||||
Description
|
Stocks
|
Value Rights
|
Notes
|
Investment
|
||||||||||||
Balance as of December 31, 2015
|
$
|
—
|
$
|
2,669
|
$
|
—
|
$
|
2,669
|
||||||||
Purchases on Investments
|
—
|
—
|
21,637
|
21,637
|
||||||||||||
(Sales) of Investments
|
—
|
—
|
—
|
—
|
||||||||||||
Transfers Into Level 3
|
3,867,376
|
—
|
—
|
3,867,376
|
||||||||||||
(Transfer Out) of Level 3
|
—
|
—
|
—
|
—
|
||||||||||||
Change in Unrealized Depreciation
|
—
|
(534
|
)
|
(7,212
|
)
|
(7,746
|
)
|
|||||||||
Balance as of June 30, 2016
|
$
|
3,867,376
|
$
|
2,135
|
$
|
14,425
|
$
|
3,883,936
|
The Merger Fund
|
||||||||||
Fair Value at
|
Valuation
|
Unobservable
|
||||||||
Description
|
June 30, 2016
|
Technique
|
Input
|
Range
|
||||||
Common Stock
|
$
|
127,005,149
|
Model
|
Likelihood of Receipt Value
|
59.21 – 65.13
|
|||||
Contingent Value Rights
|
$
|
599,723
|
Broker Quote
|
No Active Market
|
0.30 – 0.50
|
|||||
Contingent Value Rights
|
$
|
248,637
|
Broker Quote
|
No Active Market
|
3.10 – 3.30
|
|||||
Contingent Value Rights
|
$
|
85,675
|
Broker Quote
|
No Active Market
|
0.00 – 0.05
|
|||||
Escrow Notes
|
$
|
621,703
|
Broker Quote
|
No Active Market
|
0.45 – 0.55
|
Fair Value at
|
Valuation
|
Unobservable
|
||||||||
Description
|
June 30, 2016
|
Technique
|
Input
|
Range
|
||||||
Common Stock
|
$
|
3,867,376
|
Model
|
Likelihood of Receipt Value
|
59.21 – 65.13
|
|||||
Contingent Value Rights
|
$
|
1,868
|
Broker Quote
|
No Active Market
|
0.30 – 0.50
|
|||||
Contingent Value Rights
|
$
|
267
|
Broker Quote
|
No Active Market
|
0.00 – 0.05
|
|||||
Escrow Notes
|
$
|
14,425
|
Broker Quote
|
No Active Market
|
0.45 – 0.55
|
B.
|
Securities Sold Short
|
C.
|
Transactions with Brokers
|
D.
|
Federal Income Taxes
|
E.
|
Written Option Contracts
|
F.
|
Purchased Option Contracts
|
G.
|
Forward Currency Exchange Contracts
|
H.
|
Equity Swap Contracts
|
I.
|
Distributions to Shareholders
|
J.
|
Foreign Securities
|
K.
|
Foreign Currency Translations
|
L.
|
Cash and Cash Equivalents
|
M.
|
Guarantees and Indemnifications
|
N.
|
Security Transactions, Investment Income and Expenses
|
O.
|
Counterparty Risk
|
P.
|
The Right to Offset
|
Q.
|
Derivatives
|
The Merger Fund
|
||||||||
Monthly Average
|
Monthly Average
|
|||||||
Quantity
|
Premiums/Notional Value*
|
|||||||
Purchased Option Contracts
|
250,714
|
$
|
45,985,644
|
|||||
Written Option Contracts
|
301,960
|
$
|
68,163,497
|
|||||
Forward Currency Exchange Contracts
|
8
|
$
|
221,699,363
|
|||||
Long Total Return Swap Contracts
|
13,726,728
|
$
|
286,893,691
|
|||||
Short Total Return Swap Contracts
|
1,053,245
|
$
|
28,791,983
|
WCM Alternatives: Event-Driven Fund
|
||||||||
Monthly Average
|
Monthly Average
|
|||||||
Quantity
|
Premiums/Notional Value*
|
|||||||
Purchased Option Contracts
|
11,362
|
$
|
1,361,079
|
|||||
Written Option Contracts
|
12,923
|
$
|
2,709,425
|
|||||
Forward Currency Exchange Contracts
|
9
|
$
|
9,511,191
|
|||||
Long Total Return Swap Contracts
|
673,606
|
$
|
22,549,368
|
|||||
Short Total Return Swap Contracts
|
54,053
|
$
|
1,527,375
|
*
|
Purchased and written options present monthly average premiums and forward currency exchange contracts and total return swaps present monthly average notional value.
|
Asset Derivatives
|
|||||
|
Statements of Assets | ||||
Derivatives
|
and Liabilities Location
|
Fair Value
|
|||
The Merger Fund
|
|||||
Equity Contracts:
|
|||||
Purchased Option Contracts
|
Investments
|
$
|
28,606,480
|
||
Swap Contracts
|
Receivables
|
7,723,253
|
|||
Foreign Exchange Contracts:
|
|||||
Forward Currency Exchange Contracts
|
Receivables
|
12,634,119
|
|||
Total
|
$
|
48,963,852
|
|||
Asset Derivatives
|
|||||
|
Statements of Assets
|
||||
Derivatives
|
and Liabilities Location
|
Fair Value
|
|||
WCM Alternatives: Event-Driven Fund
|
|||||
Equity Contracts:
|
|||||
Purchased Option Contracts
|
Investments
|
$
|
1,011,570
|
||
Foreign Exchange Contracts:
|
|||||
Forward Currency Exchange Contracts
|
Receivables
|
441,386
|
|||
Total
|
$
|
1,452,956
|
|||
Liability Derivatives
|
|||||
Statements of Assets | |||||
Derivatives
|
and Liabilities Location
|
Fair Value
|
|||
The Merger Fund
|
|||||
Equity Contracts:
|
|||||
Written Option Contracts
|
Written Option Contracts
|
$
|
36,863,158
|
||
Swap Contracts
|
Payables
|
4,823,617
|
|||
Total
|
$
|
41,686,775
|
|||
WCM Alternatives: Event-Driven Fund
|
|||||
Equity Contracts:
|
|||||
Written Option Contracts
|
Written Option Contracts
|
$
|
3,645,389
|
||
Swap Contracts
|
Payables
|
358,783
|
|||
Total
|
$
|
4,004,172
|
|||
Forward
|
||||||||||||||||||||
Purchased
|
Written
|
Currency
|
||||||||||||||||||
Option
|
Option
|
Exchange
|
Swap
|
|||||||||||||||||
Derivatives
|
Contracts*
|
Contracts
|
Contracts
|
Contracts
|
Total
|
|||||||||||||||
The Merger Fund
|
||||||||||||||||||||
Equity Contracts
|
$
|
(28,454,544
|
)
|
$
|
88,904,217
|
$
|
—
|
$
|
10,847,635
|
$
|
71,297,308
|
|||||||||
Foreign Exchange
|
||||||||||||||||||||
Contracts
|
—
|
—
|
5,271,417
|
—
|
5,271,417
|
|||||||||||||||
Total
|
$
|
(28,454,544
|
)
|
$
|
88,904,217
|
$
|
5,271,417
|
$
|
10,847,635
|
$
|
76,568,725
|
|||||||||
WCM Alternatives:
|
||||||||||||||||||||
Event-Driven Fund
|
||||||||||||||||||||
Equity Contracts
|
$
|
(883,670
|
)
|
$
|
2,303,164
|
$
|
—
|
$
|
982,865
|
$
|
2,402,359
|
|||||||||
Foreign Exchange
|
||||||||||||||||||||
Contracts
|
—
|
—
|
177,850
|
—
|
177,850
|
|||||||||||||||
Total
|
$
|
(883,670
|
)
|
$
|
2,303,164
|
$
|
177,850
|
$
|
982,865
|
$
|
2,580,209
|
*
|
The amounts disclosed are included in the realized gain (loss) on investments.
|
Forward
|
||||||||||||||||||||
Purchased
|
Written
|
Currency
|
||||||||||||||||||
Option
|
Option
|
Exchange
|
Swap
|
|||||||||||||||||
Derivatives
|
Contracts*
|
Contracts
|
Contracts
|
Contracts
|
Total
|
|||||||||||||||
The Merger Fund
|
||||||||||||||||||||
Equity Contracts
|
$
|
10,595,806
|
$
|
(14,717,008
|
)
|
$
|
—
|
$
|
(9,378,804
|
)
|
$
|
(13,500,006
|
)
|
|||||||
Foreign Exchange
|
||||||||||||||||||||
Contracts
|
—
|
—
|
9,407,935
|
—
|
9,407,935
|
|||||||||||||||
Total
|
$
|
10,595,806
|
$
|
(14,717,008
|
)
|
$
|
9,407,935
|
$
|
(9,378,804
|
)
|
$
|
(4,092,071
|
)
|
|||||||
WCM Alternatives:
|
||||||||||||||||||||
Event-Driven Fund
|
||||||||||||||||||||
Equity Contracts
|
$
|
11,289
|
$
|
(353,552
|
)
|
$
|
—
|
$
|
(1,102,808
|
)
|
$
|
(1,445,071
|
)
|
|||||||
Foreign Exchange
|
||||||||||||||||||||
Contracts
|
—
|
—
|
317,091
|
—
|
317,091
|
|||||||||||||||
Total
|
$
|
11,289
|
$
|
(353,552
|
)
|
$
|
317,091
|
$
|
(1,102,808
|
)
|
$
|
(1,127,980
|
)
|
*
|
The amounts disclosed are included in the change in unrealized appreciation (depreciation) on investments.
|
Year of Expiration
|
Potential Recovery
|
12/31/2017
|
$451,849
|
12/31/2018
|
$ 89,167
|
12/31/2019
|
$ 10,017
|
Six Months Ended
|
Year Ended
|
|||||||||||||||
The Merger Fund |
June 30, 2016
|
December 31, 2015
|
||||||||||||||
Investor Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
25,351,255
|
$
|
387,717,832
|
74,453,909
|
$
|
1,166,286,253
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
2,726,064
|
41,708,780
|
||||||||||||
Redeemed
|
(91,538,168
|
)
|
(1,401,299,570
|
)
|
(108,267,683
|
)
|
(1,690,174,354
|
)
|
||||||||
Net Decrease
|
(66,186,913
|
)
|
$
|
(1,013,581,738
|
)
|
(31,087,710
|
)
|
$
|
(482,179,321
|
)
|
||||||
Six Months Ended
|
Year Ended
|
|||||||||||||||
June 30, 2016
|
December 31, 2015
|
|||||||||||||||
Institutional Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
16,886,274
|
$
|
257,836,282
|
33,945,525
|
$
|
529,461,870
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
614,723
|
9,368,350
|
||||||||||||
Redeemed
|
(15,126,885
|
)
|
(230,872,214
|
)
|
(38,259,329
|
)
|
(597,180,808
|
)
|
||||||||
Net Increase (Decrease)
|
1,759,389
|
$
|
26,964,068
|
(3,699,081
|
)
|
$
|
(58,350,588
|
)
|
Six Months Ended
|
Year Ended
|
|||||||||||||||
June 30, 2016
|
December 31, 2015
|
|||||||||||||||
Event-Driven Fund
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Institutional Class
|
||||||||||||||||
Issued
|
3,012,187
|
$
|
28,863,289
|
10,713,173
|
$
|
109,252,172
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
305,573
|
2,933,500
|
||||||||||||
Redeemed
|
(975,570
|
)
|
(9,344,993
|
)
|
(2,182,487
|
)
|
(21,672,509
|
)
|
||||||||
Net Increase
|
2,036,617
|
$
|
19,518,296
|
8,836,259
|
$
|
90,513,163
|
WCM Alternatives:
|
||||||||
The Merger Fund
|
Event-Driven Fund
|
|||||||
Cost of investments*
|
$
|
4,834,775,478
|
$
|
92,480,529
|
||||
Gross unrealized appreciation
|
190,408,884
|
3,300,211
|
||||||
Gross unrealized depreciation
|
(292,852,264
|
)
|
(8,274,303
|
)
|
||||
Net unrealized depreciation
|
$
|
(102,443,380
|
)
|
$
|
(4,974,092
|
)
|
||
Undistributed ordinary income
|
—
|
—
|
||||||
Undistributed long-term capital gain
|
—
|
—
|
||||||
Total distributable earnings
|
$
|
—
|
$
|
—
|
||||
Other accumulated losses
|
(116,453,773
|
)
|
(1,251,004
|
)
|
||||
Total accumulated losses
|
$
|
(218,897,153
|
)
|
$
|
(6,225,096
|
)
|
*
|
Represents cost for federal income tax purposes and differs from the cost for financial reporting purposes due to wash sales and constructive sales.
|
Accumulated Net
|
||||||||||||
Realized Loss on
|
||||||||||||
Investment, Securities
|
||||||||||||
Sold Short, Written Option
|
||||||||||||
Contracts Expired or
|
||||||||||||
Accumulated
|
Closed, Forward Currency
|
|||||||||||
Undistributed
|
Exchange Contracts,
|
|||||||||||
Net Investment
|
Swap Contracts and
|
|||||||||||
Income
|
Foreign Currency Translation
|
Paid-in Capital
|
||||||||||
The Merger Fund
|
$
|
69,997,968
|
$
|
(50,381,480
|
)
|
$
|
(19,616,488
|
)
|
||||
WCM Alternatives:
|
||||||||||||
Event Driven Fund
|
$
|
(206,258
|
)
|
$
|
202,339
|
$
|
3,919
|
WCM Alternatives:
|
||||||||||||||||
The Merger Fund
|
Event-Driven Fund
|
|||||||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Investor Class
|
||||||||||||||||
Ordinary Income
|
$
|
—
|
$
|
43,804,709
|
N/A
|
N/A
|
||||||||||
Long-Term Capital Gains
|
—
|
—
|
N/A
|
N/A
|
||||||||||||
Total Distributions Paid
|
$
|
—
|
$
|
43,804,709
|
N/A
|
N/A
|
||||||||||
2016
|
2015
|
2016
|
2015
|
|||||||||||||
Institutional Class
|
||||||||||||||||
Ordinary Income
|
$
|
—
|
$
|
20,040,418
|
$
|
—
|
$
|
2,933,500
|
||||||||
Long-Term Capital Gains
|
—
|
—
|
—
|
—
|
||||||||||||
Total Distributions Paid
|
$
|
—
|
$
|
20,040,418
|
$
|
—
|
$
|
2,933,500
|
WCM Alternatives:
|
||||||||||||||||
The Merger Fund
|
Event-Driven Fund
|
|||||||||||||||
Number of
|
Premium
|
Number of
|
Premium
|
|||||||||||||
Contracts
|
Amount
|
Contracts
|
Amount
|
|||||||||||||
Options outstanding at December 31, 2015
|
490,028
|
$
|
102,853,660
|
10,939
|
$
|
2,525,448
|
||||||||||
Options written
|
824,738
|
177,108,947
|
41,318
|
8,464,259
|
||||||||||||
Options closed
|
(738,266
|
)
|
(163,789,339
|
)
|
(25,588
|
)
|
(5,438,764
|
)
|
||||||||
Options exercised
|
(151,914
|
)
|
(36,234,982
|
)
|
(3,417
|
)
|
(788,506
|
)
|
||||||||
Options expired
|
(243,213
|
)
|
(32,890,355
|
)
|
(4,813
|
)
|
(776,565
|
)
|
||||||||
Options outstanding at June 30, 2016
|
181,373
|
$
|
47,047,931
|
18,439
|
$
|
3,985,872
|
Gross
|
Net
|
|||||||||||||||||||||||
Amounts
|
Amounts
|
|||||||||||||||||||||||
Offset
|
Presented
|
Gross Amounts not
|
||||||||||||||||||||||
Gross
|
in the
|
in the
|
offset in the Statement
|
|||||||||||||||||||||
Amounts of
|
Statement
|
Statement
|
of Assets and Liabilities
|
|||||||||||||||||||||
Recognized
|
of Assets
|
of Assets
|
Collateral
|
|||||||||||||||||||||
Assets/
|
and
|
and
|
Financial
|
Received/
|
Net
|
|||||||||||||||||||
Liabilities
|
Liabilities
|
Liabilities
|
Instruments
|
Pledged*
|
Amount
|
|||||||||||||||||||
Assets:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Forward
|
||||||||||||||||||||||||
Currency
|
||||||||||||||||||||||||
Exchange
|
||||||||||||||||||||||||
Contracts**
|
$
|
13,813,665
|
$
|
1,179,546
|
$
|
12,634,119
|
$
|
—
|
$
|
—
|
$
|
12,634,119
|
||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
8,596,747
|
873,494
|
7,723,253
|
—
|
—
|
7,725,253
|
||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
2,025,850
|
2,025,850
|
—
|
—
|
—
|
—
|
||||||||||||||||||
$
|
24,436,262
|
$
|
4,078,890
|
$
|
20,357,372
|
$
|
—
|
$
|
—
|
$
|
20,357,372
|
|||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Forward
|
||||||||||||||||||||||||
Currency
|
||||||||||||||||||||||||
Exchange
|
||||||||||||||||||||||||
Contracts**
|
$
|
1,179,546
|
$
|
1,179,546
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
873,494
|
873,494
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
6,849,467
|
2,025,850
|
4,823,617
|
—
|
4,823,617
|
—
|
||||||||||||||||||
Written
|
||||||||||||||||||||||||
Option
|
||||||||||||||||||||||||
Contracts**
|
36,863,158
|
—
|
36,863,158
|
—
|
36,863,158
|
—
|
||||||||||||||||||
$
|
45,765,665
|
$
|
4,078,890
|
$
|
41,686,775
|
$
|
—
|
$
|
41,686,775
|
$
|
—
|
*
|
In some instances, the actual collateral received/pledged may be more than amount shown.
|
|
**
|
JPMorgan Chase & Co., Inc. is the counterparty for all open forward currency exchange contracts and prime broker for all written option contracts held by the Funds as of June 30, 2016.
|
Gross
|
Net
|
|||||||||||||||||||||||
Amounts
|
Amounts
|
|||||||||||||||||||||||
Offset
|
Presented
|
Gross Amounts not
|
||||||||||||||||||||||
Gross
|
in the
|
in the
|
offset in the Statement
|
|||||||||||||||||||||
Amounts of
|
Statement
|
Statement
|
of Assets and Liabilities
|
|||||||||||||||||||||
Recognized
|
of Assets
|
of Assets
|
Collateral
|
|||||||||||||||||||||
Assets/
|
and
|
and
|
Financial
|
Received/
|
Net
|
|||||||||||||||||||
Liabilities
|
Liabilities
|
Liabilities
|
Instruments
|
Pledged*
|
Amount
|
|||||||||||||||||||
Assets:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Forward
|
||||||||||||||||||||||||
Currency
|
||||||||||||||||||||||||
Exchange
|
||||||||||||||||||||||||
Contracts**
|
$
|
502,338
|
$
|
60,952
|
$
|
441,386
|
$
|
—
|
$
|
—
|
$
|
441,386
|
||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
162,546
|
162,546
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
332,080
|
332,080
|
—
|
—
|
—
|
—
|
||||||||||||||||||
$
|
996,964
|
$
|
555,578
|
$
|
441,386
|
$
|
—
|
$
|
—
|
$
|
441,386
|
|||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Forward
|
||||||||||||||||||||||||
Currency
|
||||||||||||||||||||||||
Exchange
|
||||||||||||||||||||||||
Contracts**
|
$
|
60,952
|
$
|
60,952
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
246,626
|
162,546
|
84,080
|
—
|
84,080
|
—
|
||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
606,783
|
332,080
|
274,703
|
—
|
274,703
|
—
|
||||||||||||||||||
Written
|
||||||||||||||||||||||||
Option
|
||||||||||||||||||||||||
Contracts**
|
3,645,389
|
—
|
3,645,389
|
—
|
3,645,389
|
—
|
||||||||||||||||||
$
|
4,559,750
|
$
|
555,578
|
$
|
4,004,172
|
$
|
—
|
$
|
4,004,172
|
$
|
—
|
*
|
In some instances, the actual collateral received/pledged may be more than amount shown.
|
**
|
JPMorgan Chase & Co., Inc. is the counterparty for all open forward currency exchange contracts and prime broker for all written option contracts held by the Funds as of June 30, 2016.
|
Investment Adviser
|
||
Westchester Capital Management, LLC
|
||
100 Summit Lake Drive
|
||
Valhalla, NY 10595
|
||
(914) 741-5600
|
||
www.westchestercapitalfunds.com
|
||
Administrator, Transfer Agent, Accountant,
|
||
Dividend Paying Agent and Shareholder Servicing Agent
|
||
U.S. Bancorp Fund Services, LLC
|
||
615 East Michigan Street
|
||
P.O. Box 701
|
||
Milwaukee, WI 53201-0701
|
||
(800) 343-8959
|
||
Custodian
|
||
U.S. Bank, N.A.
|
||
1555 North Rivercenter Drive, Suite 302
|
||
Milwaukee, WI 53212
|
||
(800) 343-8959
|
||
Distributor
|
||
Quasar Distributors, LLC
|
||
615 East Michigan Street
|
||
Milwaukee, WI 53202
|
||
Trustees
|
||
Roy Behren
|
||
Michael T. Shannon
|
||
Barry Hamerling
|
||
Richard V. Silver
|
||
Christianna Wood
|
||
Executive Officers
|
||
Roy Behren, Co-President and Treasurer
|
||
Michael T. Shannon, Co-President
|
||
Bruce Rubin, Vice President and
|
||
Chief Compliance Officer
|
||
Abraham R. Cary, Secretary
|
||
Counsel
|
||
Ropes & Gray LLP
|
||
1211 Avenue of the Americas
|
||
New York, NY 10036
|
||
Independent Registered
|
||
Public Accounting Firm
|
||
PricewaterhouseCoopers LLP
|
||
300 Madison Avenue
|
||
New York, NY 10017
|
(a)
|
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
|
(a)
|
The registrant’s Co-Presidents/Chief Executive Officers and Treasurer/Chief Financial Officer have reviewed the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the registrant and by the registrant’s service provider.
|
(b)
|
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
|
(a)
|
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.
|
(b)
|
Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.
|
1.
|
I have reviewed this report on Form N-CSR of The Merger Fund;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: September 6, 2016
|
/s/Michael T. Shannon
Michael T. Shannon Co-President
|
1.
|
I have reviewed this report on Form N-CSR of The Merger Fund;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
|
(a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
|
(d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
(a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
|
(b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: September 6, 2016
|
/s/Roy Behren
Roy Behren Co-President and Treasurer
|
/s/Michael T. Shannon
Michael T. Shannon
Co-President, The Merger Fund
|
/s/Roy Behren
Roy Behren
Co-President and Treasurer, The Merger Fund
|
Dated: September 6, 2016
|
Dated: September 6, 2016
|
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