Type of Buyer
|
Deal Terms*
|
|||||||||||||
Strategic
|
97.5
|
%
|
Cash
|
40.2
|
%
|
|||||||||
Financial
|
2.5
|
%
|
Cash & Stock
|
24.7
|
%
|
|||||||||
Stock with Fixed Exchange Ratio
|
20.8
|
%
|
||||||||||||
By Deal Type
|
Stock and Stub(1)
|
14.3
|
%
|
|||||||||||
Friendly
|
100.0
|
%
|
Stock with Flexible
|
|||||||||||
Hostile
|
—
|
%
|
Exchange Ratio (Collar)
|
—
|
%**
|
|||||||||
Undetermined(2)
|
—
|
%**
|
*
|
Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2019.
|
**
|
Less than 0.05%.
|
(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, closed-end funds, preferred stocks, contingent value rights, rights, warrants, bank loans, corporate bonds and swap contract positions as of June 30, 2019. Data
expressed excludes special purpose acquisition companies, escrow notes, short-term investments, investments purchased with the cash proceeds from securities lending collateral, securities sold short, written and purchased options, forward
currency exchange contracts and short total return swap contracts. Please refer to the Schedule of Investments for more details on the Fund’s individual holdings.
|
*
|
Data expressed as a percentage of long common stock, closed-end funds, preferred stocks, contingent value rights, rights, warrants, bank loans, convertible bonds, corporate bonds and swap contract positions as of
June 30, 2019. Data expressed excludes special purpose acquisition companies, escrow notes, short-term investments, securities sold short, written and purchased options, forward currency exchange contracts and short total return swap
contracts. Please refer to the Schedule of Investments for more details on the Fund’s individual holdings.
|
*
|
Data expressed as a percentage of closed-end funds, preferred stocks, warrants, bank loans, convertible bonds, corporate bonds and swap contract positions as of June 30, 2019. Data expressed excludes special
purpose acquisition companies, short-term investments, securities sold short and reverse repurchase agreements. Please refer to the Schedule of Investments for more details on the Fund’s individual holdings.
|
Annualized
|
Beginning
|
Ending
|
Expenses Paid
|
|
Net Expense
|
Account
|
Account
|
During Period
|
|
Ratio
|
Value
|
Value
|
1/1/19-
|
|
6/30/19
|
1/1/19
|
6/30/19
|
6/30/19(1)
|
|
The Merger Fund
|
||||
Investor Class
|
||||
Actual Expenses(2)(3)
|
2.09%
|
$1,000.00
|
$1,024.40
|
$10.49
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(3)
|
2.09%
|
$1,000.00
|
$1,014.43
|
$10.44
|
Institutional Class
|
||||
Actual Expenses(2)(3)
|
1.80%
|
$1,000.00
|
$1,025.80
|
$ 9.04
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(3)
|
1.80%
|
$1,000.00
|
$1,015.87
|
$ 9.00
|
Annualized
|
Beginning
|
Ending
|
Expenses Paid
|
|
Net Expense
|
Account
|
Account
|
During Period
|
|
Ratio
|
Value
|
Value
|
1/1/19-
|
|
6/30/19
|
1/1/19
|
6/30/19
|
6/30/19(1)
|
|
WCM Alternatives: Event-Driven Fund
|
||||
Investor Class
|
||||
Actual Expenses(2)(4)
|
2.50%
|
$1,000.00
|
$1,059.30
|
$12.76
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(4)
|
2.50%
|
$1,000.00
|
$1,012.40
|
$12.47
|
Institutional Class
|
||||
Actual Expenses(2)(4)
|
2.25%
|
$1,000.00
|
$1,061.10
|
$11.50
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(4)
|
2.25%
|
$1,000.00
|
$1,013.64
|
$11.23
|
Annualized
|
Beginning
|
Ending
|
Expenses Paid
|
|
Net Expense
|
Account
|
Account
|
During Period
|
|
Ratio
|
Value
|
Value
|
1/1/19-
|
|
6/30/19
|
1/1/19
|
6/30/19
|
6/30/19(1)
|
|
WCM Alternatives: Credit Event Fund
|
||||
Investor Class
|
||||
Actual Expenses(2)(5)
|
2.19%
|
$1,000.00
|
$1,094.30
|
$11.37
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(5)
|
2.19%
|
$1,000.00
|
$1,013.93
|
$10.94
|
Institutional Class
|
||||
Actual Expenses(2)(5)
|
1.94%
|
$1,000.00
|
$1,095.30
|
$10.08
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(5)
|
1.94%
|
$1,000.00
|
$1,015.17
|
$ 9.69
|
(1)
|
Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period.
|
(2)
|
Based on the actual returns of 2.44%, 2.58%, 5.93%, 6.11%, 9.43% and 9.53% for the six-month period ended June 30, 2019 for The Merger Fund Investor and Institutional Classes, WCM Alternatives: Event-Driven Fund
Investor and Institutional Classes and WCM Alternatives: Credit Event Fund Investor and Institutional Classes, respectively.
|
(3)
|
Excluding dividends on securities sold short and borrowing expense on securities sold short, your actual cost of investment and your hypothetical cost of investment would have been $7.48 and $7.45, respectively in
the The Merger Fund Investor Class and $5.98 and $5.96, respectively in The Merger Fund Institutional Class.
|
(4)
|
Excluding dividends on securities sold short and borrowing expense on securities sold short, your actual cost of investment and your hypothetical cost of investment would have been $9.55 and $9.35, respectively in
WCM Alternatives: Event-Driven Fund Investor Class and $8.28 and $8.10, respectively in WCM Alternatives: Event-Driven Fund Institutional Class.
|
(5)
|
Excluding interest on reverse repurchase agreements, your actual cost of investment and your hypothetical cost of investment would have been $9.81 and $9.44, respectively in WCM Alternatives: Credit Event Fund
Investor Class and $8.52 and $8.20, respectively in WCM Alternatives: Credit Event Fund Institutional Class.
|
Shares
|
Value
|
|||||||
LONG INVESTMENTS — 99.29%
|
||||||||
COMMON STOCKS — 60.87%
|
||||||||
AEROSPACE & DEFENSE — 4.97%
|
||||||||
L3 Technologies, Inc. (e)
|
615,645
|
$
|
150,937,685
|
|||||
ALTERNATIVE CARRIERS — 2.22%
|
||||||||
Zayo Group Holdings, Inc. (a)
|
2,053,975
|
67,596,317
|
||||||
ASSET MANAGEMENT
|
||||||||
& CUSTODY BANKS — 3.27%
|
||||||||
Oaktree Capital Group LLC (e)
|
2,006,355
|
99,394,827
|
||||||
BIOTECHNOLOGY — 3.90%
|
||||||||
Celgene Corporation (a)(e)
|
1,034,239
|
95,605,053
|
||||||
Spark Therapeutics, Inc. (a)
|
224,248
|
22,958,510
|
||||||
118,563,563
|
||||||||
BROADCASTING — 1.09%
|
||||||||
Discovery Communications, Inc. Class C (a)
|
133,231
|
3,790,422
|
||||||
Fox Corporation Class B (e)
|
569,846
|
20,816,474
|
||||||
Tribune Media Company Class A (l)
|
184,143
|
8,511,090
|
||||||
33,117,986
|
||||||||
CASINOS & GAMING — 1.48%
|
||||||||
Caesars Entertainment Corporation (a)(l)
|
3,812,883
|
45,068,277
|
||||||
CHEMICALS — 0.54%
|
||||||||
Corteva, Inc. (e)(k)
|
155,734
|
4,605,054
|
||||||
DuPont de Nemours, Inc. (e)(k)
|
155,735
|
11,691,027
|
||||||
16,296,081
|
||||||||
COMMODITY CHEMICALS — 0.26%
|
||||||||
Dow, Inc. (e)(k)
|
157,290
|
7,755,970
|
||||||
CONSTRUCTION MACHINERY
|
||||||||
& HEAVY TRUCKS — 0.92%
|
||||||||
WABCO Holdings, Inc. (a)(k)
|
211,804
|
28,085,210
|
||||||
DATA PROCESSING &
|
||||||||
OUTSOURCED SERVICES — 10.95%
|
||||||||
First Data Corporation Class A (a)(e)
|
7,696,743
|
208,350,833
|
||||||
Total System Services, Inc.
|
5,530
|
709,333
|
||||||
Worldpay, Inc. Class A (a)(e)(f)
|
996,856
|
123,719,798
|
||||||
332,779,964
|
||||||||
EMPLOYMENT SERVICES — 0.50%
|
||||||||
WageWorks, Inc. (a)
|
300,543
|
15,264,579
|
||||||
ENVIRONMENTAL &
|
||||||||
FACILITIES SERVICES — 0.20%
|
||||||||
Advanced Disposal Services, Inc. (a)
|
192,258
|
6,134,953
|
Shares
|
Value
|
|||||||
GAS UTILITIES — 1.83%
|
||||||||
AmeriGas Partners LP (e)
|
1,598,181
|
$
|
55,680,626
|
|||||
INTEGRATED TELECOMMUNICATION
|
||||||||
SERVICES — 0.50%
|
||||||||
AT&T, Inc. (e)(k)(l)
|
453,909
|
15,210,491
|
||||||
INTERNET & DIRECT
|
||||||||
MARKETING RETAIL — 0.54%
|
||||||||
Liberty Expedia Holdings, Inc. Class A (a)
|
344,018
|
16,440,620
|
||||||
LIFE & HEALTH INSURANCE — 0.04%
|
||||||||
Genworth Financial, Inc. Class A (a)
|
306,379
|
1,136,666
|
||||||
MANAGED HEALTH CARE — 1.24%
|
||||||||
WellCare Health Plans, Inc. (a)(k)
|
131,645
|
37,528,040
|
||||||
OIL & GAS EXPLORATION
|
||||||||
& PRODUCTION — 5.85%
|
||||||||
Anadarko Petroleum Corporation
|
2,475,766
|
174,690,049
|
||||||
EnCana Corporation (b)
|
621,372
|
3,187,638
|
||||||
177,877,687
|
||||||||
OIL & GAS STORAGE
|
||||||||
& TRANSPORTATION — 2.85%
|
||||||||
Andeavor Logistics LP
|
100,398
|
3,647,459
|
||||||
Buckeye Partners LP
|
558,500
|
22,926,425
|
||||||
Columbia Pipeline Group, Inc. (a)(d)(g)(i)
|
2,276,354
|
60,205,170
|
||||||
86,779,054
|
||||||||
PHARMACEUTICALS — 0.51%
|
||||||||
Allergan plc (b)
|
91,514
|
15,322,189
|
||||||
REGIONAL BANKS — 5.10%
|
||||||||
SunTrust Banks, Inc. (e)
|
2,467,773
|
155,099,533
|
||||||
REITs — 0.37%
|
||||||||
Brookfield Property REIT, Inc. Class A (l)
|
600,931
|
11,351,587
|
||||||
SEMICONDUCTOR EQUIPMENT — 1.82%
|
||||||||
Versum Materials, Inc.
|
1,073,415
|
55,366,746
|
||||||
SEMICONDUCTORS — 1.38%
|
||||||||
Mellanox Technologies Ltd. (a)(b)(e)
|
379,504
|
41,999,708
|
||||||
SEMICONDUCTORS &
|
||||||||
SEMICONDUCTOR EQUIPMENT — 0.20%
|
||||||||
Cypress Semiconductor Corporation (l)
|
277,825
|
6,178,828
|
||||||
STEEL — 0.17%
|
||||||||
SunCoke Energy, Inc. (a)
|
593,358
|
5,269,015
|
Shares
|
Value
|
|||||||
SYSTEMS SOFTWARE — 7.21%
|
||||||||
Red Hat, Inc. (a)(e)
|
1,167,805
|
$
|
219,267,067
|
|||||
TECHNOLOGY HARDWARE
|
||||||||
& STORAGE & PERIPHERALS — 0.00%
|
||||||||
Cray, Inc. (a)
|
700
|
24,374
|
||||||
WIRELESS TELECOMMUNICATION
|
||||||||
SERVICES — 0.96%
|
||||||||
Sprint Corporation (a)(l)
|
4,429,565
|
29,102,242
|
||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $1,778,481,850)
|
1,850,629,885
|
|||||||
SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES — 4.86% (a)
|
||||||||
Act II Global Acquisition
|
||||||||
Corporation Class A (b)(f)
|
675,184
|
6,579,668
|
||||||
Alberton Acquisition Corporation (b)
|
472,825
|
4,794,446
|
||||||
Black Ridge Acquisition Corporation (l)
|
286,249
|
2,934,052
|
||||||
CF Finance Acquisition
|
||||||||
Corporation Class A
|
390,688
|
3,914,694
|
||||||
ChaSerg Technology Acquisition
|
||||||||
Corporation Class A
|
439,436
|
4,411,937
|
||||||
Churchill Capital Corporation II
|
302,611
|
3,071,501
|
||||||
Collier Creek Holdings Class A (b)
|
195,000
|
1,950,000
|
||||||
FinTech Acquisition Corporation III Class A
|
328,770
|
3,225,234
|
||||||
Forum Merger II Corporation Class A (f)(l)
|
334,654
|
3,363,273
|
||||||
GigCapital, Inc. (f)
|
300,000
|
3,100,500
|
||||||
Gordon Pointe Acquisition Corporation
|
424,801
|
4,388,194
|
||||||
Graf Industrial Corporation
|
434,606
|
4,324,330
|
||||||
Haymaker Acquisition Corporation II
|
893,499
|
9,122,625
|
||||||
Hennessy Capital Acquisition
|
||||||||
Corporation IV
|
175,540
|
1,737,846
|
||||||
Legacy Acquisition Corporation Class A
|
247,158
|
2,496,296
|
||||||
Leisure Acquisition Corporation (f)(l)
|
500,080
|
5,075,812
|
||||||
Longevity Acquisition Corporation (b)(f)
|
262,500
|
2,660,438
|
||||||
Megalith Financial Acquisition
|
||||||||
Corporation Class A (f)
|
260,768
|
2,623,326
|
||||||
Modern Media Acquisition Corporation (f)
|
711,578
|
7,443,106
|
||||||
Monocle Acquisition Corporation (f)
|
204,085
|
2,022,482
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A (f)
|
428,413
|
4,359,102
|
||||||
New Frontier Corporation Class A (b)(l)
|
73,972
|
744,898
|
||||||
Opes Acquisition Corporation (f)
|
299,301
|
3,084,297
|
||||||
Pivotal Acquisition Corporation
|
495,651
|
5,030,858
|
Shares
|
Value
|
|||||||
Pure Acquisition Corporation
|
687,660
|
$
|
6,972,872
|
|||||
Thunder Bridge Acquisition Ltd. Class A (b)
|
148,497
|
1,548,824
|
||||||
Tiberius Acquisition Corporation (f)
|
311,172
|
3,169,287
|
||||||
TKK Symphony Acquisition Corporation (b)
|
399,444
|
3,998,434
|
||||||
Trident Acquisitions Corporation
|
1,071,790
|
11,082,309
|
||||||
Trinity Merger Corporation Class A
|
1,119,455
|
11,530,386
|
||||||
Tuscan Holdings Corporation
|
610,840
|
6,035,099
|
||||||
Twelve Seas Investment Company (b)(f)
|
467,667
|
4,751,497
|
||||||
VectoIQ Acquisition Corporation
|
620,727
|
6,287,965
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES (Cost $140,735,449)
|
147,835,588
|
|||||||
CLOSED-END FUNDS — 11.41% (a)(e)
|
||||||||
Altaba, Inc.
|
5,001,052
|
346,922,977
|
||||||
TOTAL CLOSED-END FUNDS
|
||||||||
(Cost $304,872,890)
|
346,922,977
|
|||||||
PREFERRED STOCKS — 0.02%
|
||||||||
Colony Capital, Inc., 8.750%, Series E
|
18,334
|
455,783
|
||||||
TOTAL PREFERRED STOCKS
|
||||||||
(Cost $469,690)
|
455,783
|
|||||||
CONTINGENT VALUE
|
||||||||
RIGHTS — 0.00% (a)(e)(g)
|
||||||||
Media General, Inc.
|
891,153
|
26,735
|
||||||
TOTAL CONTINGENT VALUE RIGHTS
|
||||||||
(Cost $0)
|
26,735
|
|||||||
RIGHTS — 0.00% (a)
|
||||||||
Modern Media Acquisition Corporation
|
||||||||
Expiration: September 2019
|
477,700
|
138,533
|
||||||
TOTAL RIGHTS (Cost $206,542)
|
138,533
|
|||||||
WARRANTS — 0.13% (a)
|
||||||||
Act II Global Acquisition Corporation Class A
|
||||||||
Expiration: April 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
337,592
|
229,563
|
||||||
CF Finance Acquisition Corporation Class A
|
||||||||
Expiration: April 2025,
|
||||||||
Exercise Price: $11.50
|
293,016
|
175,810
|
||||||
ChaSerg Technology Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: September 2023,
|
||||||||
Exercise Price: $11.50
|
219,718
|
164,788
|
Shares
|
Value
|
|||||||
Collier Creek Holdings Class A
|
||||||||
Expiration: November 2023,
|
||||||||
Exercise Price: $11.50 (b)
|
65,000
|
$
|
84,500
|
|||||
FinTech Acquisition Corporation III Class A
|
||||||||
Expiration: December 2023,
|
||||||||
Exercise Price: $11.50
|
164,385
|
228,660
|
||||||
Graf Industrial Corporation
|
||||||||
Expiration: December 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
434,606
|
162,977
|
||||||
Hennessy Capital Acquisition Corporation IV
|
||||||||
Expiration: September 2025,
|
||||||||
Exercise Price: $11.50
|
131,655
|
78,993
|
||||||
Modern Media Acquisition Corporation
|
||||||||
Expiration: June 2022,
|
||||||||
Exercise Price: $11.50
|
238,850
|
52,547
|
||||||
Monocle Acquisition Corporation
|
||||||||
Expiration: June 2024,
|
||||||||
Exercise Price: $11.50 (f)
|
204,085
|
69,389
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: March 2025,
|
||||||||
Exercise Price: $11.50
|
428,413
|
209,922
|
||||||
Pivotal Acquisition Corporation
|
||||||||
Expiration: December 2025,
|
||||||||
Exercise Price: $11.50
|
495,651
|
669,129
|
||||||
Pure Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50
|
342,226
|
369,604
|
||||||
Thunder Bridge Acquisition Ltd. Class A
|
||||||||
Expiration: July 2022,
|
||||||||
Exercise Price: $11.50 (b)
|
338,801
|
684,378
|
||||||
Tiberius Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50 (f)
|
311,172
|
141,583
|
||||||
Tuscan Holdings Corporation
|
||||||||
Expiration: April 2026,
|
||||||||
Exercise Price: $11.50
|
610,840
|
476,455
|
||||||
TOTAL WARRANTS (Cost $3,075,708)
|
3,798,298
|
|||||||
Principal
|
||||||||
Amount
|
||||||||
BANK LOANS — 3.03% (f)(j)
|
||||||||
Avaya Holdings Corporation
|
||||||||
6.651% (3 Month U.S.
|
||||||||
LIBOR + 4.250%), 12/15/2024
|
$
|
7,680,848
|
7,357,638
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Cengage Learning Holdings II, Inc.
|
||||||||
6.652% (3 Month U.S.
|
||||||||
LIBOR + 4.250%), 6/7/2023
|
$
|
15,380,360
|
$
|
14,745,920
|
||||
McGraw-Hill Global
|
||||||||
Education Holdings LLC
|
||||||||
6.402% (3 Month U.S.
|
||||||||
LIBOR + 4.000%), 5/4/2022
|
15,382,018
|
14,721,899
|
||||||
Tribune Media Company
|
||||||||
5.402% (3 Month U.S.
|
||||||||
LIBOR + 3.000%), 1/27/2024
|
28,757,000
|
28,792,946
|
||||||
Zayo Group LLC
|
||||||||
4.402% (3 Month U.S.
|
||||||||
LIBOR + 2.000%), 1/19/2021
|
26,325,763
|
26,350,509
|
||||||
TOTAL BANK LOANS (Cost $92,769,652)
|
91,968,912
|
|||||||
CORPORATE BONDS — 7.83% (f)
|
||||||||
Arconic, Inc.
|
||||||||
5.400%, 4/15/2021
|
7,553,000
|
7,832,164
|
||||||
Ardagh Packaging Finance plc /
|
||||||||
Ardagh Holdings USA, Inc.
|
||||||||
7.250%, 5/15/2024 (b)(h)
|
8,779,000
|
9,283,792
|
||||||
CEC Entertainment, Inc.
|
||||||||
8.000%, 2/15/2022
|
11,217,000
|
11,428,581
|
||||||
EIG Investors Corporation
|
||||||||
10.875%, 2/1/2024
|
16,610,000
|
17,689,650
|
||||||
First Data Corporation
|
||||||||
5.750%, 1/15/2024 (h)
|
17,852,000
|
18,387,560
|
||||||
GenOn Energy, Inc. / NRG Americas, Inc.
|
||||||||
9.044% (6 Month U.S.
|
||||||||
LIBOR + 6.500%), 12/1/2023 (j)
|
9,862,000
|
9,825,018
|
||||||
Inmarsat Finance plc
|
||||||||
6.500%, 10/1/2024 (b)(h)
|
4,585,000
|
4,808,519
|
||||||
Kinetic Concepts, Inc. / KCI USA, Inc.
|
||||||||
12.500%, 11/1/2021 (h)
|
15,253,000
|
16,835,499
|
||||||
Multi-Color Corporation
|
||||||||
4.875%, 11/1/2025 (h)
|
7,811,000
|
8,230,841
|
||||||
Nationstar Mortgage LLC /
|
||||||||
Nationstar Capital Corporation
|
||||||||
6.500%, 7/1/2021
|
2,935,000
|
2,946,799
|
||||||
6.500%, 6/1/2022
|
1,939,000
|
1,923,245
|
||||||
Nielsen Finance LLC /
|
||||||||
Nielsen Finance Company
|
||||||||
5.000%, 4/15/2022 (h)
|
12,171,000
|
12,216,641
|
Principal
|
||||||||||||
Amount
|
Value
|
|||||||||||
Rent-A-Center, Inc.
|
||||||||||||
6.625%, 11/15/2020
|
$
|
7,517,000
|
$
|
7,563,981
|
||||||||
4.750%, 5/1/2021 (l)
|
12,832,000
|
12,880,120
|
||||||||||
T-Mobile USA, Inc.
|
||||||||||||
6.500%, 1/15/2024
|
9,842,000
|
10,211,075
|
||||||||||
Unitymedia GmbH
|
||||||||||||
6.125%, 1/15/2025 (b)(h)
|
14,621,000
|
15,282,600
|
||||||||||
Unitymedia Hessen GmbH & Company
|
||||||||||||
KG / Unitymedia NRW GmbH
|
||||||||||||
5.000%, 1/15/2025 (b)(h)
|
7,192,000
|
7,443,720
|
||||||||||
Univar USA, Inc.
|
||||||||||||
6.750%, 7/15/2023 (h)
|
24,763,000
|
25,351,121
|
||||||||||
Vistra Energy Corporation
|
||||||||||||
5.875%, 6/1/2023
|
15,354,000
|
15,757,043
|
||||||||||
Zayo Group LLC / Zayo Capital, Inc.
|
||||||||||||
5.750%, 1/15/2027 (h)
|
21,763,000
|
22,198,260
|
||||||||||
TOTAL CORPORATE BONDS
|
||||||||||||
(Cost $236,756,036)
|
238,096,229
|
|||||||||||
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
|||||||||||
PURCHASED PUT OPTIONS — 0.05% (a)
|
||||||||||||
Corteva, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $26.00
|
1,557
|
$
|
4,604,049
|
85,635
|
||||||||
Dow, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $45.00
|
1,541
|
7,598,671
|
171,051
|
|||||||||
DuPont de Nemours, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $70.00
|
1,557
|
11,688,399
|
315,293
|
|||||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $285.00
|
852
|
24,963,600
|
107,778
|
|||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $292.00
|
1,462
|
42,836,600
|
394,740
|
|||||||||
SPDR S&P Oil & Gas Exploration
|
||||||||||||
& Production ETF Trust
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $25.00
|
1,290
|
3,515,250
|
28,380
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
Technology Select Sector SPDR Fund
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $74.00
|
1,964
|
$
|
15,327,056
|
$
|
86,416
|
|||||||
VanEck Vectors Semiconductor ETF
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: $106.00
|
1,010
|
11,128,180
|
284,315
|
|||||||||
TOTAL PURCHASED PUT OPTIONS
|
||||||||||||
(Cost $2,431,692)
|
1,473,608
|
|||||||||||
Principal
|
||||||||||||
Amount
|
||||||||||||
ESCROW NOTES — 0.01% (a)(d)(g)
|
||||||||||||
AMR Corporation
|
$
|
1,243,406
|
273,549
|
|||||||||
T-Mobile USA, Inc.
|
7,594,000
|
—
|
||||||||||
TOTAL ESCROW NOTES (Cost $93,712)
|
273,549
|
|||||||||||
Shares
|
||||||||||||
SHORT-TERM INVESTMENTS — 11.08%
|
||||||||||||
MONEY MARKET FUNDS — 10.37% (c)
|
||||||||||||
The Government & Agency Portfolio,
|
||||||||||||
Institutional Share Class, 2.26%
|
149,080,000
|
149,080,000
|
||||||||||
JPMorgan U.S. Government
|
||||||||||||
Money Market Fund,
|
||||||||||||
Institutional Share Class, 2.26%
|
149,080,000
|
149,080,000
|
||||||||||
Morgan Stanley Institutional Liquidity
|
||||||||||||
Fund — Government Portfolio,
|
||||||||||||
Institutional Share Class, 2.24%
|
16,972,526
|
16,972,526
|
||||||||||
315,132,526
|
||||||||||||
Principal
|
||||||||||||
Amount
|
||||||||||||
U.S. TREASURY BILLS — 0.71% (e)(f)(m)
|
||||||||||||
United States Treasury Bills
|
||||||||||||
2.41%, 9/12/2019
|
$
|
2,370,000
|
2,360,099
|
|||||||||
2.37%, 9/19/2019
|
2,355,000
|
2,344,175
|
||||||||||
2.33%, 9/26/2019
|
2,265,000
|
2,253,683
|
||||||||||
2.36%, 10/3/2019
|
900,000
|
895,103
|
||||||||||
2.35%, 10/10/2019
|
3,260,000
|
3,240,965
|
||||||||||
2.35%, 10/17/2019
|
1,755,000
|
1,744,352
|
||||||||||
2.35%, 10/24/2019
|
1,860,000
|
1,848,249
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
2.36%, 10/31/2019
|
$
|
1,095,000
|
$
|
1,087,550
|
||||
2.33%, 11/7/2019
|
305,000
|
302,762
|
||||||
2.32%, 11/14/2019
|
4,575,000
|
4,539,694
|
||||||
2.21%, 11/29/2019
|
310,000
|
307,336
|
||||||
2.10%, 12/5/2019
|
340,000
|
337,008
|
||||||
1.99%, 12/19/2019
|
400,000
|
396,123
|
||||||
21,657,099
|
||||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $336,773,024)
|
336,789,625
|
|||||||
TOTAL LONG INVESTMENTS
|
||||||||
(Cost $2,896,666,245) — 99.29%
|
3,018,409,722
|
|||||||
Shares
|
||||||||
INVESTMENT OF CASH COLLATERAL
|
||||||||
FROM SECURITIES LOANED — 2.01%
|
||||||||
SHORT-TERM FUND — 2.01% (c)
|
||||||||
Mount Vernon Liquid Asset
|
||||||||
Portfolio LLC, 2.52%
|
61,258,584
|
61,258,584
|
||||||
TOTAL SHORT-TERM FUND —
|
||||||||
(Cost $61,258,584)
|
61,258,584
|
|||||||
TOTAL INVESTMENT OF CASH COLLATERAL
|
||||||||
FROM SECURITIES LOANED —
|
||||||||
(Cost $61,258,584)
|
61,258,584
|
|||||||
SHORT INVESTMENTS — (37.31)%
|
||||||||
COMMON STOCKS — (37.28)%
|
||||||||
AEROSPACE & DEFENSE — (4.98)%
|
||||||||
Harris Corporation
|
(800,329
|
)
|
(151,366,224
|
)
|
||||
AIRLINES — (0.01)%
|
||||||||
American Airlines Group, Inc.
|
(11,395
|
)
|
(371,591
|
)
|
||||
ASSET MANAGEMENT
|
||||||||
& CUSTODY BANKS — (1.70)%
|
||||||||
Brookfield Asset Management,
|
||||||||
Inc. Class A (b)
|
(1,079,982
|
)
|
(51,601,540
|
)
|
||||
BROADCASTING — (0.41)%
|
||||||||
Discovery Communications, Inc. Class A
|
(133,231
|
)
|
(4,090,192
|
)
|
||||
Fox Corporation Class A
|
(226,116
|
)
|
(8,284,890
|
)
|
||||
(12,375,082
|
)
|
Shares
|
Value
|
|||||||
CASINOS & GAMING — (0.52)%
|
||||||||
Eldorado Resorts, Inc.
|
(340,882
|
)
|
$
|
(15,704,434
|
)
|
|||
DATA PROCESSING &
|
||||||||
OUTSOURCED SERVICES — (10.76)%
|
||||||||
Fidelity National Information Services, Inc.
|
(925,774
|
)
|
(113,573,955
|
)
|
||||
Fiserv, Inc.
|
(2,335,663
|
)
|
(212,919,039
|
)
|
||||
Global Payments, Inc.
|
(4,479
|
)
|
(717,222
|
)
|
||||
(327,210,216
|
)
|
|||||||
GAS UTILITIES — (1.40)%
|
||||||||
UGI Corporation
|
(799,210
|
)
|
(42,685,806
|
)
|
||||
INTEGRATED OIL & GAS — (1.00)%
|
||||||||
Occidental Petroleum Corporation
|
(602,851
|
)
|
(30,311,348
|
)
|
||||
INTERNET & DIRECT
|
||||||||
MARKETING RETAIL — (7.45)%
|
||||||||
Alibaba Group Holding Ltd. — ADR
|
(1,239,524
|
)
|
(210,037,342
|
)
|
||||
Expedia Group, Inc.
|
(123,846
|
)
|
(16,475,233
|
)
|
||||
(226,512,575
|
)
|
|||||||
MANAGED HEALTH CARE — (0.46)%
|
||||||||
Centene Corporation
|
(266,498
|
)
|
(13,975,155
|
)
|
||||
OIL & GAS STORAGE
|
||||||||
& TRANSPORTATION — (0.12)%
|
||||||||
MPLX LP
|
(113,798
|
)
|
(3,663,158
|
)
|
||||
PHARMACEUTICALS — (1.73)%
|
||||||||
AbbVie, Inc.
|
(79,251
|
)
|
(5,763,133
|
)
|
||||
Bristol-Myers Squibb Company
|
(1,034,239
|
)
|
(46,902,738
|
)
|
||||
(52,665,871
|
)
|
|||||||
REGIONAL BANKS — (5.16)%
|
||||||||
BB&T Corporation
|
(3,193,113
|
)
|
(156,877,642
|
)
|
||||
REITs — (0.30)%
|
||||||||
Brookfield Property Partners LP (b)
|
(488,190
|
)
|
(9,241,437
|
)
|
||||
STEEL — (0.17)%
|
||||||||
SunCoke Energy, Inc.
|
(594,665
|
)
|
(5,280,625
|
)
|
||||
WIRELESS TELECOMMUNICATION
|
||||||||
SERVICES — (1.11)%
|
||||||||
T-Mobile USA, Inc.
|
(454,295
|
)
|
(33,681,431
|
)
|
||||
TOTAL COMMON STOCKS
|
||||||||
(Proceeds $1,014,032,812)
|
(1,133,524,135
|
)
|
Shares
|
Value
|
|||||||
PRIVATE PLACEMENTS — (0.03)% (g)
|
||||||||
Celgene Corporation
|
(344,402
|
)
|
$
|
(757,684
|
)
|
|||
TOTAL PRIVATE PLACEMENTS
|
||||||||
(Proceeds $748,500)
|
(757,684
|
)
|
||||||
TOTAL SHORT INVESTMENTS
|
||||||||
(Proceeds $1,014,781,312) — (37.31)%
|
(1,134,281,819
|
)
|
||||||
TOTAL NET INVESTMENTS
|
||||||||
(Cost $1,943,143,517) — 63.99%
|
1,945,386,487
|
|||||||
OTHER ASSETS IN
|
||||||||
EXCESS OF LIABILITIES — 36.01%
|
1,094,745,848
|
|||||||
TOTAL NET ASSETS — 100.00%
|
$
|
3,040,132,335
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign security.
|
(c)
|
The rate shown is the annualized seven-day yield as of June 30, 2019.
|
(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 contracts, 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)
|
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,
2019, these securities represent 4.61% of total net assets.
|
(i)
|
Restricted security. The Fund may own investment securities that have other legal or contractual limitations, and thus are restricted as to resale. These securities are valued by the Valuation Group under the
supervision of the Board of Trustees. As of June 30, 2019, this common stock had a cost of $57,736,820 and its market value represented 1.98% of total net assets. The Fund’s adviser perfected its appraisal rights over this security as of
6/20/2016. Please see Note 2 in the Notes to the Financial Statements for more information.
|
(j)
|
The coupon rate shown on variable rate securities represents the rate as of June 30, 2019.
|
(k)
|
This security is held in connection with a written option contract.
|
(l)
|
All or a portion of the shares was out on loan at June 30, 2019. Total loaned securities had a value of $60,235,769 at June 30, 2019.
|
(m)
|
The rate shown represents yield to maturity.
|
Shares
|
Value
|
|||||||
LONG INVESTMENTS — 101.70%
|
||||||||
COMMON STOCKS — 49.30%
|
||||||||
AEROSPACE & DEFENSE — 4.16%
|
||||||||
L3 Technologies, Inc. (e)
|
33,011
|
$
|
8,093,307
|
|||||
ASSET MANAGEMENT
|
||||||||
& CUSTODY BANKS — 4.28%
|
||||||||
The Blackstone Group LP (l)
|
40,033
|
1,778,266
|
||||||
Oaktree Capital Group LLC (e)
|
132,236
|
6,550,971
|
||||||
8,329,237
|
||||||||
BIOTECHNOLOGY — 3.22%
|
||||||||
Celgene Corporation (a)(e)
|
67,807
|
6,268,079
|
||||||
BROADCASTING — 0.72%
|
||||||||
CBS Corporation Class B (l)
|
15,300
|
763,470
|
||||||
Tribune Media Company Class A (e)
|
13,686
|
632,567
|
||||||
1,396,037
|
||||||||
BUILDING PRODUCTS — 1.95%
|
||||||||
Masco Corporation (e)(l)
|
96,700
|
3,794,508
|
||||||
CASINOS & GAMING — 6.03%
|
||||||||
Caesars Entertainment Corporation (a)(e)(l)
|
760,222
|
8,985,824
|
||||||
MGM Resorts International (l)
|
96,700
|
2,762,719
|
||||||
11,748,543
|
||||||||
CHEMICALS — 1.43%
|
||||||||
Corteva, Inc. (e)(l)
|
26,551
|
785,113
|
||||||
DuPont de Nemours, Inc. (e)(l)
|
26,553
|
1,993,334
|
||||||
2,778,447
|
||||||||
COMMODITY CHEMICALS — 0.67%
|
||||||||
Dow, Inc. (e)(l)
|
26,551
|
1,309,230
|
||||||
DATA PROCESSING &
|
||||||||
OUTSOURCED SERVICES — 5.03%
|
||||||||
First Data Corporation Class A (a)
|
71,064
|
1,923,703
|
||||||
Total System Services, Inc.
|
345
|
44,253
|
||||||
Worldpay, Inc. Class A (a)(e)(f)
|
63,094
|
7,830,596
|
||||||
9,798,552
|
||||||||
ENVIRONMENTAL &
|
||||||||
FACILITIES SERVICES — 0.46%
|
||||||||
Advanced Disposal Services, Inc. (a)
|
28,084
|
896,160
|
||||||
GAS UTILITIES — 1.92%
|
||||||||
AmeriGas Partners LP (e)
|
107,109
|
3,731,678
|
Shares
|
Value
|
|||||||
INTEGRATED TELECOMMUNICATION
|
||||||||
SERVICES — 0.11%
|
||||||||
AT&T, Inc.
|
6,484
|
$
|
217,279
|
|||||
INTERNET & DIRECT
|
||||||||
MARKETING RETAIL — 1.89%
|
||||||||
Liberty Expedia Holdings, Inc. Class A (a)(e)
|
76,935
|
3,676,723
|
||||||
Reebonz Holdings Ltd. (a)(b)
|
597
|
2,245
|
||||||
3,678,968
|
||||||||
LIFE & HEALTH INSURANCE — 0.03%
|
||||||||
Genworth Financial, Inc. Class A (a)
|
15,670
|
58,136
|
||||||
MANAGED HEALTH CARE — 1.09%
|
||||||||
WellCare Health Plans, Inc. (a)(e)(l)
|
7,461
|
2,126,907
|
||||||
MOVIES & ENTERTAINMENT — 1.11%
|
||||||||
The Madison Square Garden
|
||||||||
Company Class A (a)(l)
|
7,700
|
2,155,538
|
||||||
OIL & GAS EXPLORATION
|
||||||||
& PRODUCTION — 7.12%
|
||||||||
Anadarko Petroleum Corporation
|
174,055
|
12,281,321
|
||||||
EnCana Corporation (b)(e)
|
306,630
|
1,573,012
|
||||||
13,854,333
|
||||||||
OIL & GAS STORAGE
|
||||||||
& TRANSPORTATION — 1.51%
|
||||||||
Buckeye Partners LP (e)
|
46,514
|
1,909,400
|
||||||
Columbia Pipeline Group, Inc. (a)(d)(g)(i)
|
38,718
|
1,024,016
|
||||||
2,933,416
|
||||||||
PHARMACEUTICALS — 0.50%
|
||||||||
Allergan plc (b)
|
5,836
|
977,122
|
||||||
REGIONAL BANKS — 3.52%
|
||||||||
SunTrust Banks, Inc. (e)
|
109,145
|
6,859,763
|
||||||
SEMICONDUCTOR EQUIPMENT — 0.16%
|
||||||||
Versum Materials, Inc.
|
6,197
|
319,641
|
||||||
SEMICONDUCTORS &
|
||||||||
SEMICONDUCTOR EQUIPMENT — 0.43%
|
||||||||
Cypress Semiconductor Corporation
|
38,079
|
846,877
|
||||||
SPECIALTY RETAIL — 0.01%
|
||||||||
Kaixin Auto Holdings (a)(b)
|
9,742
|
21,433
|
||||||
STEEL — 0.64%
|
||||||||
SunCoke Energy, Inc. (a)(e)
|
139,625
|
1,239,866
|
Shares
|
Value
|
|||||||
TECHNOLOGY HARDWARE &
|
||||||||
STORAGE & PERIPHERALS — 0.00%
|
||||||||
Cray, Inc. (a)
|
100
|
$
|
3,482
|
|||||
WIRELESS TELECOMMUNICATION
|
||||||||
SERVICES — 1.31%
|
||||||||
Sprint Corporation (a)(e)
|
389,040
|
2,555,993
|
||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $92,356,632)
|
95,992,532
|
|||||||
SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES — 11.77% (a)
|
||||||||
Act II Global Acquisition
|
||||||||
Corporation Class A (b)(f)
|
90,858
|
885,411
|
||||||
Alberton Acquisition Corporation (b)
|
242,664
|
2,460,613
|
||||||
Big Rock Partners Acquisition Corporation (f)
|
45,950
|
481,556
|
||||||
Black Ridge Acquisition Corporation
|
40,778
|
417,975
|
||||||
CF Finance Acquisition Corporation Class A
|
108,500
|
1,087,170
|
||||||
ChaSerg Technology Acquisition
|
||||||||
Corporation Class A
|
22,830
|
229,213
|
||||||
Collier Creek Holdings Class A (b)
|
42,300
|
423,000
|
||||||
FinTech Acquisition Corporation III Class A
|
168,874
|
1,656,654
|
||||||
GigCapital, Inc. (f)
|
122,996
|
1,271,164
|
||||||
GigCapital2, Inc.
|
37,777
|
378,903
|
||||||
Gordon Pointe Acquisition Corporation
|
4,482
|
46,299
|
||||||
Graf Industrial Corporation (e)
|
197,624
|
1,966,359
|
||||||
Hennessy Capital Acquisition Corporation IV
|
167,612
|
1,659,359
|
||||||
Legacy Acquisition Corporation Class A
|
144,392
|
1,458,359
|
||||||
Modern Media Acquisition Corporation (e)(f)
|
106,188
|
1,110,726
|
||||||
Monocle Acquisition Corporation (f)
|
15,759
|
156,172
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A (f)
|
19,411
|
197,507
|
||||||
Pure Acquisition Corporation
|
44,644
|
452,690
|
||||||
Regalwood Global Energy Ltd. Class A (b)
|
97,770
|
997,254
|
||||||
Thunder Bridge Acquisition Ltd. Class A (b)
|
21,365
|
222,837
|
||||||
Trident Acquisitions Corporation
|
161,127
|
1,666,053
|
||||||
Trinity Merger Corporation Class A
|
171,957
|
1,771,157
|
||||||
Tuscan Holdings Corporation (e)
|
168,926
|
1,668,989
|
||||||
VectoIQ Acquisition Corporation
|
25,000
|
253,250
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES (Cost $21,848,120)
|
22,918,670
|
Shares
|
Value
|
|||||||
CLOSED-END FUNDS — 2.99%
|
||||||||
Apollo Senior Floating Rate Fund, Inc.
|
22,543
|
$
|
337,018
|
|||||
Apollo Tactical Income Fund, Inc.
|
21,782
|
321,284
|
||||||
Ares Dynamic Credit Allocation Fund
|
4,683
|
70,854
|
||||||
BlackRock Debt Strategies Fund, Inc. (e)
|
71,056
|
765,273
|
||||||
BlackRock Floating Rate Income
|
||||||||
Strategies Fund, Inc.
|
19,222
|
246,618
|
||||||
Eaton Vance Floating-Rate Income Trust
|
57,056
|
769,115
|
||||||
First Trust Senior Floating Rate Income Fund II
|
22,317
|
268,920
|
||||||
Invesco Dynamic Credit Opportunities Fund
|
53,124
|
593,926
|
||||||
Invesco Senior Income Trust
|
173,546
|
749,719
|
||||||
Nuveen Credit Strategies Income Fund
|
1,574
|
12,466
|
||||||
Voya Prime Rate Trust
|
147,638
|
702,757
|
||||||
Western Asset High Income
|
||||||||
Opportunity Fund, Inc. (e)
|
191,266
|
981,195
|
||||||
TOTAL CLOSED-END FUNDS
|
||||||||
(Cost $5,852,257)
|
5,819,145
|
|||||||
PREFERRED STOCKS — 3.87%
|
||||||||
Colony Capital, Inc., 8.750%, Series E (e)
|
37,590
|
934,487
|
||||||
Fannie Mae, 8.250%, Series S (a)
|
123,181
|
1,534,835
|
||||||
Freddie Mac, 8.375%, Series Z (a)(e)
|
319,239
|
3,958,564
|
||||||
MB Financial, Inc., 6.000%, Series C (a)
|
38,790
|
1,018,238
|
||||||
Pebblebrook Hotel Trust, 6.375%, Series E
|
3,515
|
87,734
|
||||||
TOTAL PREFERRED STOCKS
|
||||||||
(Cost $6,154,724)
|
7,533,858
|
|||||||
CONTINGENT VALUE RIGHTS — 0.00% (a)(e)(g)
|
||||||||
Media General, Inc.
|
42,852
|
1,286
|
||||||
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
|
1,286
|
|||||||
RIGHTS — 0.01% (a)
|
||||||||
Big Rock Partners Acquisition Corporation
|
||||||||
Expiration: December 2022 (f)
|
42,195
|
8,017
|
||||||
Modern Media Acquisition Corporation
|
||||||||
Expiration: September 2019
|
71,496
|
20,734
|
||||||
TOTAL RIGHTS (Cost $47,707)
|
28,751
|
|||||||
WARRANTS — 0.33% (a)
|
||||||||
Act II Global Acquisition Corporation Class A
|
||||||||
Expiration: April 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
45,429
|
30,892
|
Shares
|
Value
|
|||||||
CF Finance Acquisition Corporation Class A
|
||||||||
Expiration: April 2025,
|
||||||||
Exercise Price: $11.50
|
81,375
|
$
|
48,825
|
|||||
ChaSerg Technology Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: September 2023,
|
||||||||
Exercise Price: $11.50
|
11,415
|
8,561
|
||||||
Collier Creek Holdings Class A
|
||||||||
Expiration: November 2023,
|
||||||||
Exercise Price: $11.50 (b)
|
14,100
|
18,330
|
||||||
FinTech Acquisition Corporation III Class A
|
||||||||
Expiration: December 2023,
|
||||||||
Exercise Price: $11.50
|
84,437
|
117,452
|
||||||
Graf Industrial Corporation
|
||||||||
Expiration: December 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
197,624
|
74,109
|
||||||
Hennessy Capital Acquisition Corporation IV
|
||||||||
Expiration: September 2025,
|
||||||||
Exercise Price: $11.50
|
125,709
|
75,425
|
||||||
Kaixin Auto Holdings
|
||||||||
Expiration: April 2024,
|
||||||||
Exercise Price: $11.50 (b)(f)
|
48,712
|
2,436
|
||||||
Legacy Acquisition Corporation Class A
|
||||||||
Expiration: November 2022,
|
||||||||
Exercise Price: $11.50
|
144,392
|
46,206
|
||||||
Modern Media Acquisition Corporation
|
||||||||
Expiration: June 2022,
|
||||||||
Exercise Price: $11.50
|
35,748
|
7,865
|
||||||
Monocle Acquisition Corporation
|
||||||||
Expiration: June 2024,
|
||||||||
Exercise Price: $11.50 (f)
|
15,759
|
5,358
|
||||||
Mudrick Capital Acquisition Corporation Class A
|
||||||||
Expiration: March 2025,
|
||||||||
Exercise Price: $11.50
|
19,411
|
9,511
|
||||||
Pure Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50
|
22,218
|
23,995
|
||||||
Reebonz Holdings Ltd.
|
||||||||
Expiration: December 2023,
|
||||||||
Exercise Price: $11.50 (b)(f)
|
23,859
|
358
|
||||||
Trinity Merger Corporation Class A
|
||||||||
Expiration: May 2023,
|
||||||||
Exercise Price: $11.50
|
99,243
|
32,651
|
Shares
|
Value
|
|||||||
Tuscan Holdings Corporation
|
||||||||
Expiration: April 2026,
|
||||||||
Exercise Price: $11.50 (e)
|
168,926
|
$
|
131,762
|
|||||
TOTAL WARRANTS (Cost $599,831)
|
633,736
|
|||||||
Principal
|
||||||||
Amount
|
||||||||
BANK LOANS — 2.28% (f)(j)
|
||||||||
Avaya Holdings Corporation
|
||||||||
6.651% (3 Month U.S.
|
||||||||
LIBOR + 4.250%), 12/15/2024
|
$
|
447,863
|
429,017
|
|||||
Cengage Learning Holdings II, Inc.
|
||||||||
6.652% (3 Month U.S.
|
||||||||
LIBOR + 4.250%), 6/7/2023
|
1,368,473
|
1,312,024
|
||||||
McGraw-Hill Global Education Holdings LLC
|
||||||||
6.402% (3 Month U.S.
|
||||||||
LIBOR + 4.000%), 5/4/2022
|
1,366,448
|
1,307,807
|
||||||
Tribune Media Company
|
||||||||
5.402% (3 Month U.S.
|
||||||||
LIBOR + 3.000%), 1/27/2024
|
1,384,000
|
1,385,730
|
||||||
TOTAL BANK LOANS (Cost $4,520,236)
|
4,434,578
|
|||||||
CONVERTIBLE BONDS — 1.25% (f)
|
||||||||
Caesars Entertainment Corporation
|
||||||||
5.000%, 10/1/2024
|
251,397
|
430,939
|
||||||
NII Holdings, Inc.
|
||||||||
4.250%, 8/15/2023 (h)
|
1,960,000
|
2,007,740
|
||||||
TOTAL CONVERTIBLE BONDS (Cost $2,189,567)
|
2,438,679
|
|||||||
CORPORATE BONDS — 13.96% (f)
|
||||||||
Arconic, Inc.
|
||||||||
5.400%, 4/15/2021
|
795,000
|
824,384
|
||||||
Ardagh Packaging Finance plc /
|
||||||||
Ardagh Holdings USA, Inc.
|
||||||||
7.250%, 5/15/2024 (b)(h)
|
2,971,000
|
3,141,832
|
||||||
CEC Entertainment, Inc.
|
||||||||
8.000%, 2/15/2022
|
3,440,000
|
3,504,887
|
||||||
EIG Investors Corporation
|
||||||||
10.875%, 2/1/2024
|
2,068,000
|
2,202,420
|
||||||
First Data Corporation
|
||||||||
5.750%, 1/15/2024 (h)
|
996,000
|
1,025,880
|
||||||
GenOn Energy, Inc. / NRG Americas, Inc.
|
||||||||
9.044% (6 Month U.S.
|
||||||||
LIBOR + 6.500%), 12/1/2023 (j)
|
1,474,000
|
1,468,472
|
Principal
|
||||||||||||
Amount
|
Value
|
|||||||||||
Inmarsat Finance plc
|
||||||||||||
6.500%, 10/1/2024 (b)(h)
|
$
|
337,000
|
$
|
353,429
|
||||||||
Kinetic Concepts, Inc. / KCI USA, Inc.
|
||||||||||||
12.500%, 11/1/2021 (h)
|
3,286,000
|
3,626,922
|
||||||||||
MEG Energy Corporation
|
||||||||||||
6.500%, 1/15/2025 (b)(h)
|
1,246,000
|
1,256,902
|
||||||||||
Multi-Color Corporation
|
||||||||||||
4.875%, 11/1/2025 (h)
|
437,000
|
460,489
|
||||||||||
Nielsen Finance LLC /
|
||||||||||||
Nielsen Finance Company
|
||||||||||||
5.000%, 4/15/2022 (h)
|
4,022,000
|
4,037,083
|
||||||||||
Rent-A-Center, Inc.
|
||||||||||||
6.625%, 11/15/2020
|
382,000
|
384,388
|
||||||||||
4.750%, 5/1/2021
|
512,000
|
513,920
|
||||||||||
Sinclair Television Group, Inc.
|
||||||||||||
6.125%, 10/1/2022 (e)
|
1,600,000
|
1,630,000
|
||||||||||
T-Mobile USA, Inc.
|
||||||||||||
6.500%, 1/15/2024
|
217,000
|
225,138
|
||||||||||
Univar USA, Inc.
|
||||||||||||
6.750%, 7/15/2023 (h)
|
1,435,000
|
1,469,081
|
||||||||||
Vistra Energy Corporation
|
||||||||||||
5.875%, 6/1/2023
|
601,000
|
616,776
|
||||||||||
Zayo Group LLC / Zayo Capital, Inc.
|
||||||||||||
5.750%, 1/15/2027 (h)
|
440,000
|
448,800
|
||||||||||
TOTAL CORPORATE BONDS (Cost $27,025,156)
|
27,190,803
|
|||||||||||
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
|||||||||||
PURCHASED PUT OPTIONS — 0.19% (a)
|
||||||||||||
Bayer AG
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: EUR 50.00 (b)(f)
|
502
|
$
|
3,059,188
|
12,558
|
||||||||
The Blackstone Group LP
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $40.00
|
864
|
3,837,888
|
10,368
|
|||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $32.00
|
238
|
1,057,196
|
2,380
|
|||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $34.00
|
396
|
1,759,032
|
6,138
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
Caesars Entertainment Corporation
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $9.00 (f)
|
2,173
|
$
|
2,568,486
|
$
|
1,086
|
|||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $6.00
|
832
|
983,424
|
832
|
|||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $8.00 (f)
|
2,194
|
2,593,308
|
4,388
|
|||||||||
CBS Corporation Class B
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $42.50
|
517
|
2,579,830
|
23,265
|
|||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $45.00
|
755
|
3,767,450
|
58,512
|
|||||||||
Corteva, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $26.00
|
288
|
851,616
|
15,840
|
|||||||||
Dow, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $45.00
|
285
|
1,405,335
|
31,635
|
|||||||||
DuPont de Nemours, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $70.00
|
288
|
2,162,016
|
58,320
|
|||||||||
FTSE 100 Index
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: GBP 7,600.00 (b)(f)(k)
|
2
|
188,225
|
4,318
|
|||||||||
Huntsman Corporation
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $16.00
|
918
|
1,876,392
|
4,590
|
|||||||||
The Madison Square Garden Company Class A
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: $260.00
|
77
|
2,155,538
|
29,645
|
|||||||||
Masco Corporation
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $30.00
|
499
|
1,958,076
|
1,248
|
|||||||||
Expiration: October 2019,
|
||||||||||||
Exercise Price: $34.00
|
468
|
1,836,432
|
35,100
|
|||||||||
MGM Resorts International
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $20.00
|
367
|
1,048,519
|
734
|
|||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $21.00
|
180
|
514,260
|
900
|
|||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $22.00
|
420
|
1,199,940
|
840
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $285.00
|
51
|
$
|
1,494,300
|
$
|
6,452
|
|||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $292.00
|
94
|
2,754,200
|
25,380
|
|||||||||
SPDR S&P Oil & Gas Exploration &
|
||||||||||||
Production ETF Trust
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $25.00
|
471
|
1,283,475
|
10,362
|
|||||||||
Technology Select Sector SPDR Fund
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $74.00
|
103
|
803,812
|
4,532
|
|||||||||
VanEck Vectors Semiconductor ETF
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: $106.00
|
64
|
705,152
|
18,016
|
|||||||||
TOTAL PURCHASED PUT OPTIONS (Cost $711,579)
|
367,439
|
|||||||||||
Principal
|
||||||||||||
Amount
|
||||||||||||
ESCROW NOTES — 0.01% (a)(d)(g)
|
||||||||||||
AMR Corporation
|
$
|
28,850
|
6,347
|
|||||||||
Winthrop Realty Trust (e)
|
26,484
|
15,890
|
||||||||||
TOTAL ESCROW NOTES (Cost $75,778)
|
22,237
|
|||||||||||
Shares
|
||||||||||||
SHORT-TERM INVESTMENTS — 15.74%
|
||||||||||||
MONEY MARKET FUNDS — 3.20% (c)
|
||||||||||||
JPMorgan U.S. Government Money Market
|
||||||||||||
Fund, Institutional Share Class, 2.26%
|
6,229,598
|
6,229,598
|
||||||||||
6,229,598
|
||||||||||||
Principal
|
||||||||||||
Amount
|
||||||||||||
U.S. TREASURY BILLS — 12.54% (e)(f)(m)
|
||||||||||||
United States Treasury Bills
|
||||||||||||
2.40%, 7/18/2019
|
$
|
660,000
|
659,370
|
|||||||||
2.41%, 7/25/2019
|
915,000
|
913,815
|
||||||||||
2.39%, 8/8/2019
|
380,000
|
379,184
|
||||||||||
2.42%, 8/22/2019
|
200,000
|
199,402
|
||||||||||
2.41%, 8/29/2019
|
1,350,000
|
1,345,370
|
||||||||||
2.41%, 9/12/2019
|
315,000
|
313,684
|
||||||||||
2.37%, 9/19/2019
|
300,000
|
298,621
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
2.33%, 9/26/2019
|
$
|
20,000
|
$
|
19,900
|
||||
2.35%, 10/24/2019
|
555,000
|
551,494
|
||||||
2.33%, 11/7/2019
|
6,740,000
|
6,690,549
|
||||||
2.32%, 11/14/2019
|
2,465,000
|
2,445,978
|
||||||
2.29%, 11/21/2019
|
6,550,000
|
6,496,793
|
||||||
2.23%, 11/29/2019
|
820,000
|
812,953
|
||||||
2.09%, 12/5/2019
|
1,345,000
|
1,333,166
|
||||||
2.10%, 12/12/2019
|
275,000
|
272,449
|
||||||
1.95%, 12/19/2019
|
1,710,000
|
1,693,428
|
||||||
24,426,156
|
||||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $30,639,251)
|
30,655,754
|
|||||||
TOTAL LONG INVESTMENTS
|
||||||||
(Cost $192,020,838) — 101.70%
|
198,037,468
|
|||||||
Shares
|
||||||||
SHORT INVESTMENTS — (26.72)%
|
||||||||
COMMON STOCKS — (26.70)%
|
||||||||
AEROSPACE & DEFENSE — (4.17)%
|
||||||||
Harris Corporation
|
(42,914
|
)
|
(8,116,325
|
)
|
||||
AIRLINES — 0.00%
|
||||||||
American Airlines Group, Inc.
|
(194
|
)
|
(6,326
|
)
|
||||
ASSET MANAGEMENT &
|
||||||||
CUSTODY BANKS — (1.75)%
|
||||||||
Brookfield Asset Management, Inc. Class A (b)
|
(71,173
|
)
|
(3,400,646
|
)
|
||||
BROADCASTING — (0.17)%
|
||||||||
Discovery Communications, Inc. Class A
|
(10,767
|
)
|
(330,547
|
)
|
||||
CABLE & SATELLITE — (0.34)%
|
||||||||
Sirius XM Holdings, Inc.
|
(117,749
|
)
|
(657,039
|
)
|
||||
CASINOS & GAMING — (0.78)%
|
||||||||
Eldorado Resorts, Inc.
|
(32,978
|
)
|
(1,519,297
|
)
|
||||
DATA PROCESSING &
|
||||||||
OUTSOURCED SERVICES — (4.72)%
|
||||||||
Fidelity National Information Services, Inc.
|
(58,595
|
)
|
(7,188,435
|
)
|
||||
Fiserv, Inc.
|
(21,532
|
)
|
(1,962,857
|
)
|
||||
Global Payments, Inc.
|
(280
|
)
|
(44,836
|
)
|
||||
(9,196,128
|
)
|
|||||||
GAS UTILITIES — (1.47)%
|
||||||||
UGI Corporation
|
(53,563
|
)
|
(2,860,800
|
)
|
Shares
|
Value
|
|||||||
INTEGRATED OIL & GAS — (1.06)%
|
||||||||
Occidental Petroleum Corporation
|
(41,038
|
)
|
$
|
(2,063,391
|
)
|
|||
INTERNET & DIRECT
|
||||||||
MARKETING RETAIL — (4.10)%
|
||||||||
Alibaba Group Holding Ltd. — ADR
|
(25,368
|
)
|
(4,298,607
|
)
|
||||
Expedia Group, Inc.
|
(27,694
|
)
|
(3,684,133
|
)
|
||||
(7,982,740
|
)
|
|||||||
MANAGED HEALTH CARE — (0.40)%
|
||||||||
Centene Corporation
|
(14,979
|
)
|
(785,499
|
)
|
||||
PHARMACEUTICALS — (1.77)%
|
||||||||
AbbVie, Inc.
|
(5,054
|
)
|
(367,527
|
)
|
||||
Bristol-Myers Squibb Company
|
(67,807
|
)
|
(3,075,047
|
)
|
||||
(3,442,574
|
)
|
|||||||
REGIONAL BANKS — (3.57)%
|
||||||||
BB&T Corporation
|
(141,558
|
)
|
(6,954,745
|
)
|
||||
REITs — (0.24)%
|
||||||||
Brookfield Property Partners LP (b)
|
(24,527
|
)
|
(464,296
|
)
|
||||
STEEL — (0.64)%
|
||||||||
SunCoke Energy, Inc.
|
(139,942
|
)
|
(1,242,685
|
)
|
||||
WIRELESS TELECOMMUNICATION
|
||||||||
SERVICES — (1.52)%
|
||||||||
T-Mobile USA, Inc.
|
(39,901
|
)
|
(2,958,260
|
)
|
||||
TOTAL COMMON STOCKS
|
||||||||
(Proceeds $50,301,494)
|
(51,981,298
|
)
|
||||||
PRIVATE PLACEMENTS — (0.02)% (g)
|
||||||||
Celgene Corporation
|
(22,580
|
)
|
(49,676
|
)
|
||||
TOTAL PRIVATE PLACEMENTS
|
||||||||
(Proceeds $48,929)
|
(49,676
|
)
|
||||||
TOTAL SHORT INVESTMENTS
|
||||||||
(Proceeds $50,350,423) — (26.72)%
|
(52,030,974
|
)
|
||||||
TOTAL NET INVESTMENTS
|
||||||||
(Cost $141,670,415) — 74.98%
|
146,006,494
|
|||||||
OTHER ASSETS IN
|
||||||||
EXCESS OF LIABILITIES — 25.02%
|
48,709,685
|
|||||||
TOTAL NET ASSETS — 100.00%
|
$
|
194,716,179
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign security.
|
(c)
|
The rate shown is the annualized seven-day yield as of June 30, 2019.
|
(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 contracts, 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)
|
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,
2019, these securities represent 9.16% of total net assets.
|
(i)
|
Restricted security. The Fund may own investment securities that have other legal or contractual limitations, and thus are restricted as to resale. These securities are valued by the Valuation Group under the
supervision of the Board of Trustees. As of June 30, 2019, this common stock had a cost of $983,662 and its market value represented 0.53% of total net assets. The Fund’s adviser perfected its appraisal rights over this security as of
6/20/2016. Please see Note 2 in the Notes to the Financial Statements for more information.
|
(j)
|
The coupon rate shown on variable rate securities represents the rate as of June 30, 2019.
|
(k)
|
This security has 10 shares per contract.
|
(l)
|
This security is held in connection with a written option contract.
|
(m)
|
The rate shown represents yield to maturity.
|
Shares
|
Value
|
|||||||
LONG INVESTMENTS — 108.00%
|
||||||||
SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES — 35.70% (a)
|
||||||||
Act II Global Acquisition
|
||||||||
Corporation Class A (b)(e)
|
11,468
|
$
|
111,756
|
|||||
Alberton Acquisition Corporation (b)
|
19,986
|
202,658
|
||||||
CF Finance Acquisition
|
||||||||
Corporation Class A
|
15,440
|
154,709
|
||||||
FinTech Acquisition
|
||||||||
Corporation III Class A
|
15,106
|
148,190
|
||||||
Haymaker Acquisition Corporation II
|
8,030
|
81,986
|
||||||
Hennessy Capital Acquisition
|
||||||||
Corporation IV
|
7,720
|
76,428
|
||||||
Legacy Acquisition Corporation Class A
|
8,245
|
83,275
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A (e)
|
1,950
|
19,841
|
||||||
Pivotal Acquisition Corporation
|
7,598
|
77,120
|
||||||
Pure Acquisition Corporation
|
15,882
|
161,043
|
||||||
Trident Acquisitions Corporation
|
13,565
|
140,262
|
||||||
Trinity Merger Corporation Class A
|
7,578
|
78,053
|
||||||
Tuscan Holdings Corporation
|
10,713
|
105,845
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES (Cost $1,376,387)
|
1,441,166
|
|||||||
CLOSED-END FUNDS — 0.11%
|
||||||||
Apollo Tactical Income Fund, Inc.
|
23
|
339
|
||||||
Ares Dynamic Credit Allocation Fund
|
173
|
2,618
|
||||||
BlackRock Debt Strategies Fund, Inc.
|
82
|
883
|
||||||
Nuveen Credit Strategies Income Fund
|
58
|
459
|
||||||
TOTAL CLOSED-END FUNDS
|
||||||||
(Cost $4,396)
|
4,299
|
|||||||
PREFERRED STOCKS — 2.78% (a)
|
||||||||
Fannie Mae, 8.250%, Series S
|
2,531
|
31,536
|
||||||
Freddie Mac, 8.375%, Series Z
|
6,510
|
80,724
|
||||||
TOTAL PREFERRED STOCKS
|
||||||||
(Cost $92,675)
|
112,260
|
|||||||
WARRANTS — 1.61% (a)
|
||||||||
Act II Global Acquisition Corporation Class A
|
||||||||
Expiration: April 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
5,734
|
3,899
|
Shares
|
Value
|
|||||||
CF Finance Acquisition Corporation Class A
|
||||||||
Expiration: April 2025,
|
||||||||
Exercise Price: $11.50
|
11,580
|
$
|
6,948
|
|||||
FinTech Acquisition Corporation III Class A
|
||||||||
Expiration: December 2023,
|
||||||||
Exercise Price: $11.50
|
7,553
|
10,506
|
||||||
Hennessy Capital Acquisition Corporation IV
|
||||||||
Expiration: September 2025,
|
||||||||
Exercise Price: $11.50
|
5,790
|
3,474
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: March 2025,
|
||||||||
Exercise Price: $11.50
|
1,950
|
956
|
||||||
Pivotal Acquisition Corporation
|
||||||||
Expiration: December 2025,
|
||||||||
Exercise Price: $11.50
|
7,598
|
10,257
|
||||||
Pure Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50
|
7,903
|
8,535
|
||||||
Thunder Bridge Acquisition Ltd. Class A
|
||||||||
Expiration: July 2022,
|
||||||||
Exercise Price: $11.50 (b)
|
5,911
|
11,941
|
||||||
Tuscan Holdings Corporation
|
||||||||
Expiration: April 2026,
|
||||||||
Exercise Price: $11.50
|
10,713
|
8,356
|
||||||
TOTAL WARRANTS (Cost $47,552)
|
64,872
|
|||||||
Principal
|
||||||||
Amount
|
||||||||
BANK LOANS — 9.42% (e)(g)
|
||||||||
Cengage Learning Holdings II, Inc.
|
||||||||
6.652% (3 Month U.S.
|
||||||||
LIBOR + 4.250%), 6/7/2023
|
$
|
99,743
|
95,628
|
|||||
McGraw-Hill Global
|
||||||||
Education Holdings LLC
|
||||||||
6.402% (3 Month U.S.
|
||||||||
LIBOR + 4.000%), 5/4/2022
|
98,743
|
94,506
|
||||||
Tribune Media Company
|
||||||||
5.402% (3 Month U.S.
|
||||||||
LIBOR + 3.000%), 1/27/2024
|
190,000
|
190,238
|
||||||
TOTAL BANK LOANS (Cost $384,938)
|
380,372
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
CONVERTIBLE BONDS — 8.14% (e)
|
||||||||
Caesars Entertainment Corporation
|
||||||||
5.000%, 10/1/2024
|
$
|
71,000
|
$
|
121,706
|
||||
NII Holdings, Inc.
|
||||||||
4.250%, 8/15/2023 (f)
|
202,000
|
206,921
|
||||||
TOTAL CONVERTIBLE BONDS
|
||||||||
(Cost $318,469)
|
328,627
|
|||||||
CORPORATE BONDS — 47.42% (e)
|
||||||||
Acadia Healthcare Company, Inc.
|
||||||||
5.125%, 7/1/2022 (d)
|
153,000
|
154,339
|
||||||
Ardagh Packaging Finance plc /
|
||||||||
Ardagh Holdings USA, Inc.
|
||||||||
7.250%, 5/15/2024 (b)(f)(h)
|
225,000
|
237,937
|
||||||
CEC Entertainment, Inc.
|
||||||||
8.000%, 2/15/2022
|
188,000
|
191,546
|
||||||
EIG Investors Corporation
|
||||||||
10.875%, 2/1/2024
|
182,000
|
193,829
|
||||||
GenOn Energy, Inc. / NRG Americas, Inc.
|
||||||||
9.044% (6 Month U.S.
|
||||||||
LIBOR + 6.500%), 12/1/2023 (g)
|
184,000
|
183,310
|
||||||
Inmarsat Finance plc
|
||||||||
6.500%, 10/1/2024 (b)(f)
|
13,000
|
13,634
|
||||||
Kinetic Concepts, Inc. / KCI USA, Inc.
|
||||||||
7.875%, 2/15/2021 (f)
|
45,000
|
46,189
|
||||||
Multi-Color Corporation
|
||||||||
4.875%, 11/1/2025 (f)
|
57,000
|
60,064
|
||||||
Nationstar Mortgage LLC /
|
||||||||
Nationstar Capital Corporation
|
||||||||
6.500%, 7/1/2021
|
25,000
|
25,101
|
||||||
6.500%, 6/1/2022
|
16,000
|
15,870
|
||||||
Nielsen Finance LLC /
|
||||||||
Nielsen Finance Company
|
||||||||
5.000%, 4/15/2022 (d)(f)
|
203,000
|
203,761
|
||||||
Rent-A-Center, Inc.
|
||||||||
6.625%, 11/15/2020
|
12,000
|
12,075
|
||||||
4.750%, 5/1/2021 (d)
|
184,000
|
184,690
|
||||||
Unitymedia GmbH
|
||||||||
6.125%, 1/15/2025 (b)(f)
|
148,000
|
154,697
|
||||||
Univar USA, Inc.
|
||||||||
6.750%, 7/15/2023 (f)(h)
|
232,000
|
237,510
|
||||||
TOTAL CORPORATE BONDS
|
||||||||
(Cost $1,897,004)
|
1,914,552
|
Shares
|
Value
|
|||||||
SHORT-TERM INVESTMENTS — 2.82%
|
||||||||
MONEY MARKET FUNDS — 2.82% (c)
|
||||||||
JPMorgan U.S. Government Money Market
|
||||||||
Fund, Institutional Share Class, 2.26%
|
113,946
|
$
|
113,946
|
|||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $113,946)
|
113,946
|
|||||||
TOTAL LONG INVESTMENTS
|
||||||||
(Cost $4,235,367) — 108.00%
|
4,360,094
|
|||||||
SHORT INVESTMENTS — (1.03)%
|
||||||||
COMMON STOCKS — (1.03)%
|
||||||||
CASINOS & GAMING — (1.03)%
|
||||||||
Eldorado Resorts, Inc.
|
(902
|
)
|
(41,555
|
)
|
||||
TOTAL COMMON STOCKS
|
||||||||
(Proceeds $40,595)
|
(41,555
|
)
|
||||||
TOTAL SHORT INVESTMENTS
|
||||||||
(Proceeds $40,595) — (1.03)%
|
(41,555
|
)
|
||||||
TOTAL NET INVESTMENTS
|
||||||||
(Cost $4,194,772) — 106.97%
|
4,318,539
|
|||||||
OTHER LIABILITIES IN
|
||||||||
EXCESS OF ASSETS — (6.97)%
|
(281,488
|
)
|
||||||
TOTAL NET ASSETS — 100.00%
|
$
|
4,037,051
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign Security.
|
(c)
|
The rate shown is the annualized seven-day yield as of June 30, 2019.
|
(d)
|
All or a portion of the shares have been committed as collateral for open securities sold short and swap contracts.
|
(e)
|
Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
|
(f)
|
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,
2019, these securities represent 28.75% of total net assets.
|
(g)
|
The coupon rate shown on variable rate securities represents the rate as of June 30, 2019.
|
(h)
|
All or partial amount transferred for the benefit of the counterparty as collateral for reverse repurchase agreements.
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
WRITTEN CALL OPTIONS
|
||||||||||||
AT&T, Inc.
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: $33.00
|
(492
|
)
|
$
|
(1,648,692
|
)
|
$
|
(49,692
|
)
|
||||
BB&T Corporation
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $46.00
|
(28
|
)
|
(137,564
|
)
|
(11,130
|
)
|
||||||
Centene Corporation
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $50.00
|
(986
|
)
|
(5,170,584
|
)
|
(478,210
|
)
|
||||||
Corteva, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $29.00
|
(1,557
|
)
|
(4,604,049
|
)
|
(303,615
|
)
|
||||||
Dow, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $50.00
|
(1,541
|
)
|
(7,598,671
|
)
|
(312,823
|
)
|
||||||
DuPont de Nemours, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $77.50
|
(1,557
|
)
|
(11,688,399
|
)
|
(424,282
|
)
|
||||||
Occidental Petroleum Corporation
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $45.00
|
(393
|
)
|
(1,976,004
|
)
|
(209,273
|
)
|
||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $295.00
|
(425
|
)
|
(12,452,500
|
)
|
(144,075
|
)
|
||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $296.00
|
(426
|
)
|
(12,481,800
|
)
|
(121,410
|
)
|
||||||
WABCO Holdings, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $135.00
|
(1,720
|
)
|
(22,807,200
|
)
|
(172,000
|
)
|
||||||
WellCare Health Plans, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $250.00
|
(236
|
)
|
(6,727,652
|
)
|
(936,920
|
)
|
||||||
(3,163,430
|
)
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
WRITTEN PUT OPTIONS
|
||||||||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $270.00
|
(852
|
)
|
$
|
(24,963,600
|
)
|
$
|
(26,412
|
)
|
||||
Technology Select Sector SPDR Fund
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $68.00
|
(1,964
|
)
|
(15,327,056
|
)
|
(15,712
|
)
|
||||||
VanEck Vectors Semiconductor ETF
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: $99.00
|
(1,010
|
)
|
(11,128,180
|
)
|
(117,160
|
)
|
||||||
(159,284
|
)
|
|||||||||||
TOTAL WRITTEN OPTIONS
|
||||||||||||
(Premiums received $3,307,611)
|
$
|
(3,322,714
|
)
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
WRITTEN CALL OPTIONS
|
||||||||||||
The Blackstone Group LP
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $44.00
|
(864
|
)
|
$
|
(3,837,888
|
)
|
$
|
(117,936
|
)
|
||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $38.00
|
(224
|
)
|
(995,008
|
)
|
(149,520
|
)
|
||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $39.00
|
(285
|
)
|
(1,265,970
|
)
|
(163,875
|
)
|
||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $40.00
|
(194
|
)
|
(861,748
|
)
|
(93,508
|
)
|
||||||
Caesars Entertainment Corporation
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $11.00 (b)
|
(2,173
|
)
|
(2,568,486
|
)
|
(184,705
|
)
|
||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $10.00 (b)
|
(2,194
|
)
|
(2,593,308
|
)
|
(399,308
|
)
|
||||||
CBS Corporation Class B
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $47.50
|
(517
|
)
|
(2,579,830
|
)
|
(200,337
|
)
|
||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $50.00
|
(755
|
)
|
(3,767,450
|
)
|
(177,425
|
)
|
||||||
Centene Corporation
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $50.00
|
(55
|
)
|
(288,420
|
)
|
(26,675
|
)
|
||||||
Corteva, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $30.00
|
(288
|
)
|
(851,616
|
)
|
(41,760
|
)
|
||||||
Dow, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $52.50
|
(285
|
)
|
(1,405,335
|
)
|
(28,500
|
)
|
||||||
DuPont de Nemours, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $80.00
|
(288
|
)
|
(2,162,016
|
)
|
(51,840
|
)
|
||||||
Huntsman Corporation
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $20.00
|
(918
|
)
|
(1,876,392
|
)
|
(82,620
|
)
|
||||||
The Madison Square Garden Company Class A
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: $290.00
|
(77
|
)
|
(2,155,538
|
)
|
(54,285
|
)
|
||||||
Masco Corporation
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $35.00
|
(499
|
)
|
(1,958,076
|
)
|
(219,560
|
)
|
||||||
Expiration: October 2019,
|
||||||||||||
Exercise Price: $38.00
|
(468
|
)
|
(1,836,432
|
)
|
(149,760
|
)
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
MGM Resorts International
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $23.00
|
(367
|
)
|
$
|
(1,048,519
|
)
|
$
|
(208,273
|
)
|
||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $24.00
|
(180
|
)
|
(514,260
|
)
|
(82,260
|
)
|
||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $25.00
|
(420
|
)
|
(1,199,940
|
)
|
(149,940
|
)
|
||||||
Occidental Petroleum Corporation
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $45.00
|
(30
|
)
|
(150,840
|
)
|
(15,975
|
)
|
||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $295.00
|
(27
|
)
|
(791,100
|
)
|
(9,153
|
)
|
||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $296.00
|
(26
|
)
|
(761,800
|
)
|
(7,410
|
)
|
||||||
Uniper SE
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: EUR 26.00 (a)(b)
|
(845
|
)
|
(2,250,235
|
)
|
(139,323
|
)
|
||||||
WellCare Health Plans, Inc.
|
||||||||||||
Expiration: September 2019,
|
||||||||||||
Exercise Price: $250.00
|
(14
|
)
|
(399,098
|
)
|
(55,580
|
)
|
||||||
|
|
(2,809,528
|
) |
|||||||||
WRITTEN PUT OPTIONS
|
||||||||||||
Bayer AG
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: EUR 56.00 (a)(b)
|
(251
|
)
|
(1,529,594
|
)
|
(22,262
|
)
|
||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: EUR 57.00 (a)(b)
|
(251
|
)
|
(1,529,594
|
)
|
(29,112
|
)
|
||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $270.00
|
(52
|
)
|
(1,523,600
|
)
|
(1,612
|
)
|
||||||
Technology Select Sector SPDR Fund
|
||||||||||||
Expiration: July 2019,
|
||||||||||||
Exercise Price: $68.00
|
(103
|
)
|
(803,812
|
)
|
(824
|
)
|
||||||
VanEck Vectors Semiconductor ETF
|
||||||||||||
Expiration: August 2019,
|
||||||||||||
Exercise Price: $99.00
|
(64
|
)
|
(705,152
|
)
|
(7,424
|
)
|
||||||
(61,234
|
)
|
|||||||||||
TOTAL WRITTEN OPTIONS
|
||||||||||||
(Premiums received $2,142,506)
|
$
|
(2,870,762
|
)
|
(a)
|
Foreign Security.
|
(b)
|
Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
|
Unrealized
|
||||||||||||||||||||||
Settlement
|
Currency to
|
USD Value at
|
Currency to
|
USD Value at
|
Appreciation
|
|||||||||||||||||
Date
|
Counterparty
|
be Delivered
|
June 30, 2019
|
be Received
|
June 30, 2019
|
(Depreciation)*
|
||||||||||||||||
7/11/19
|
JPM
|
13,077,748
|
AUD
|
$
|
9,185,484
|
9,088,564
|
USD
|
$
|
9,088,564
|
$
|
(96,920
|
)
|
||||||||||
7/11/19
|
JPM
|
9,152,528
|
USD
|
9,152,528
|
13,077,748
|
AUD
|
9,185,485
|
32,957
|
||||||||||||||
9/25/19
|
JPM
|
7,098,594
|
EUR
|
8,129,089
|
8,104,611
|
USD
|
8,104,611
|
(24,478
|
)
|
|||||||||||||
12/19/19
|
JPM
|
3,212,244
|
EUR
|
3,702,895
|
3,703,974
|
USD
|
3,703,974
|
1,079
|
||||||||||||||
7/2/19
|
JPM
|
49,884,830
|
GBP
|
63,364,322
|
65,474,142
|
USD
|
65,474,142
|
2,109,820
|
||||||||||||||
7/2/19
|
JPM
|
66,061,482
|
USD
|
66,061,482
|
49,884,830
|
GBP
|
63,364,322
|
(2,697,160
|
)
|
|||||||||||||
7/23/19
|
JPM
|
2,694,283
|
GBP
|
3,426,035
|
3,416,255
|
USD
|
3,416,255
|
(9,780
|
)
|
|||||||||||||
7/30/19
|
JPM
|
3,281,648
|
GBP
|
4,174,374
|
4,294,200
|
USD
|
4,294,200
|
119,826
|
||||||||||||||
10/15/19
|
JPM
|
4,829,658
|
GBP
|
6,162,489
|
6,152,115
|
USD
|
6,152,115
|
(10,374
|
)
|
|||||||||||||
$
|
173,358,698
|
$
|
172,783,668
|
$
|
(575,030
|
)
|
*
|
Net unrealized appreciation (depreciation) is a receivable (payable).
|
Unrealized
|
||||||||||||||||||||||
Settlement
|
Currency to
|
USD Value at
|
Currency to
|
USD Value at
|
Appreciation
|
|||||||||||||||||
Date
|
Counterparty
|
be Delivered
|
June 30, 2019
|
be Received
|
June 30, 2019
|
(Depreciation)*
|
||||||||||||||||
7/11/19
|
JPM
|
1,161,365
|
AUD
|
$
|
815,714
|
807,138
|
USD
|
$
|
807,138
|
$
|
(8,576
|
)
|
||||||||||
7/11/19
|
JPM
|
812,787
|
USD
|
812,787
|
1,161,365
|
AUD
|
815,714
|
2,927
|
||||||||||||||
7/10/19
|
JPM
|
66,920
|
EUR
|
76,173
|
75,563
|
USD
|
75,563
|
(610
|
)
|
|||||||||||||
8/26/19
|
JPM
|
1,476,432
|
EUR
|
1,687,062
|
1,690,530
|
USD
|
1,690,530
|
3,468
|
||||||||||||||
8/27/19
|
JPM
|
2,197,000
|
EUR
|
2,510,628
|
2,493,156
|
USD
|
2,493,156
|
(17,472
|
)
|
|||||||||||||
9/25/19
|
JPM
|
1,488,890
|
EUR
|
1,705,030
|
1,701,747
|
USD
|
1,701,747
|
(3,283
|
)
|
|||||||||||||
12/19/19
|
JPM
|
509,614
|
EUR
|
587,455
|
587,626
|
USD
|
587,626
|
171
|
||||||||||||||
7/2/19
|
JPM
|
2,629,335
|
GBP
|
3,339,814
|
3,456,731
|
USD
|
3,456,731
|
116,917
|
||||||||||||||
7/2/19
|
JPM
|
3,481,976
|
USD
|
3,481,976
|
2,629,335
|
GBP
|
3,339,814
|
(142,162
|
)
|
|||||||||||||
8/29/19
|
JPM
|
346,064
|
GBP
|
440,779
|
441,560
|
USD
|
441,560
|
781
|
||||||||||||||
10/15/19
|
JPM
|
769,848
|
GBP
|
982,302
|
980,648
|
USD
|
980,648
|
(1,654
|
)
|
|||||||||||||
$
|
16,439,720
|
$
|
16,390,227
|
$
|
(49,493
|
)
|
*
|
Net unrealized appreciation (depreciation) is a receivable (payable).
|
Pay/Receive
|
Unrealized
|
||||||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
||||||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||||||
LONG TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||||||||
JPM
|
Altran
Technologies SA
|
6/25/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
229,446
|
$
|
3,655,259
|
$
|
(15,183
|
)
|
||||||||
JPM
|
BCA
Marketplace plc
|
6/27/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
1,987,514
|
6,088,904
|
44,541
|
|||||||||||
JPM
|
BTG plc
|
1/9/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
320,748
|
3,383,694
|
16,026
|
|||||||||||
BAML
|
Inmarsat
Finance plc
|
4/1/20
|
Pay
|
0.550% +1 Month U.S. LIBOR
|
Monthly
|
1,053,516
|
7,542,705
|
(261,380
|
)
|
||||||||||
JPM
|
Inmarsat
Finance plc
|
4/4/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
4,919,510
|
34,314,529
|
(337,703
|
)
|
||||||||||
JPM
|
Innogy SE
|
7/18/19
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
186,217
|
8,275,317
|
546,240
|
|||||||||||
BAML
|
Renault SA
|
6/6/20
|
Pay
|
0.350% +1 Month U.S. LIBOR
|
Monthly
|
25,488
|
1,507,210
|
93,746
|
|||||||||||
JPM
|
RPC Group plc
|
5/2/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
413,827
|
4,251,397
|
(90,437
|
)
|
||||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||||||||
BAML
|
Brookfield Property
|
||||||||||||||||||
Partners LP
|
3/28/20
|
Pay
|
(4.500)% +1 Month U.S. LIBOR
|
Monthly
|
(112,741
|
)
|
(2,333,739
|
)
|
198,471
|
||||||||||
BAML
|
Fiat Chrysler
|
||||||||||||||||||
Automobiles N.V.
|
6/6/20
|
Receive
|
(0.917)% +1 Month U.S. LIBOR
|
Monthly
|
(135,810
|
)
|
(1,791,683
|
)
|
(101,651
|
)
|
|||||||||
$
|
92,670
|
*
|
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
|
Pay/Receive
|
Unrealized
|
||||||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
||||||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||||||
LONG TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||||||||
JPM
|
Altaba, Inc.
|
7/10/19
|
Pay
|
0.701% +3 Month U.S. LIBOR
|
Quarterly
|
291,378
|
$
|
19,971,352
|
$
|
217,791
|
|||||||||
JPM
|
Altran
Technologies SA
|
6/25/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
36,401
|
579,897
|
(2,409
|
)
|
||||||||||
JPM
|
AT&T, Inc.
|
9/5/19
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
20,218
|
647,307
|
29,516
|
|||||||||||
JPM
|
BCA
Marketplace plc
|
6/27/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
316,810
|
970,572
|
7,100
|
|||||||||||
JPM
|
The Blackstone
Group LP
|
5/28/20
|
Pay
|
0.650% +3 Month U.S. LIBOR
|
Quarterly
|
116,667
|
4,517,346
|
659,626
|
|||||||||||
BAML
|
Brookfield Property
|
||||||||||||||||||
REIT, Inc. Class A
|
8/30/19
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
29,422
|
574,989
|
(19,609
|
)
|
|||||||||||
BAML
|
CBS Corporation
Class B |
10/22/19
|
Pay
|
0.400% +1 Month U.S. LIBOR
|
Monthly
|
73,435
|
3,789,697
|
(127,645
|
)
|
||||||||||
JPM
|
CBS Corporation
Class B
|
5/8/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
41,100
|
1,994,994
|
53,793
|
|||||||||||
BAML
|
Corteva, Inc.
|
6/3/20
|
Pay
|
0.400% +1 Month U.S. LIBOR
|
Monthly
|
2,280
|
75,961
|
(8,588
|
)
|
||||||||||
JPM
|
Discovery
Communications,
|
||||||||||||||||||
Inc. Class C
|
3/9/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
10,767
|
292,539
|
13,474
|
||||||||||||
BAML
|
Dow, Inc.
|
4/2/20
|
Pay
|
0.400% +1 Month U.S. LIBOR
|
Monthly
|
2,280
|
125,697
|
(13,348
|
)
|
||||||||||
BAML
|
Dupont De
Nemours, Inc.
|
4/2/20
|
Pay
|
0.400% +1 Month U.S. LIBOR
|
Monthly
|
2,280
|
181,917
|
(10,871
|
)
|
||||||||||
BAML
|
EnCana
Corporation
|
11/14/19
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
28,969
|
213,100
|
(64,638
|
)
|
||||||||||
BAML
|
First Data
Corporation
|
||||||||||||||||||
Class A
|
5/7/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
447,804
|
11,405,568
|
708,514
|
||||||||||||
JPM
|
First Trust
Senior Floating
|
||||||||||||||||||
Rate Income
Fund II
|
12/6/19
|
Pay
|
0.800% +3 Month U.S. LIBOR
|
Quarterly
|
12,108
|
143,025
|
2,697
|
||||||||||||
JPM
|
Fox Corporation
Class B
|
3/22/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
49,765
|
1,864,197
|
(49,503
|
)
|
||||||||||
BAML
|
Huntsman
Corporation
|
5/24/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
91,800
|
1,725,840
|
149,345
|
|||||||||||
BAML
|
Inmarsat
Finance plc
|
4/1/20
|
Pay
|
0.550% +1 Month U.S. LIBOR
|
Monthly
|
61,344
|
439,195
|
(15,217
|
)
|
||||||||||
JPM
|
Inmarsat
Finance plc
|
4/4/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
315,558
|
2,203,681
|
(23,551
|
)
|
||||||||||
JPM
|
Innogy SE
|
7/17/19
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
39,058
|
1,723,093
|
127,166
|
|||||||||||
JPM
|
Liberty Media
|
||||||||||||||||||
Corporation-
Liberty
|
|||||||||||||||||||
SiriusXM Class A
|
12/17/19
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
12,597
|
485,740
|
(9,960
|
)
|
|||||||||||
JPM
|
Mellanox
|
||||||||||||||||||
Technologies Ltd.
|
5/14/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
24,660
|
2,888,919
|
(162,842
|
)
|
Pay/Receive
|
Unrealized
|
||||||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
||||||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||||||
JPM
|
Melrose
Industries plc
|
9/5/19
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
166,701
|
$
|
449,187
|
$
|
(66,797
|
)
|
||||||||
BAML
|
Red Hat, Inc.
|
11/9/19
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
72,766
|
12,963,415
|
690,071
|
|||||||||||
JPM
|
Renault SA
|
4/3/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
8,365
|
550,397
|
(25,089
|
)
|
||||||||||
BAML
|
Renault SA
|
5/28/20
|
Pay
|
0.350% +1 Month U.S. LIBOR
|
Monthly
|
3,000
|
179,398
|
9,003
|
|||||||||||
GS
|
Scout24 AG
|
5/6/20
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
32,087
|
1,619,702
|
83,501
|
|||||||||||
JPM
|
SLM Corporation,
|
||||||||||||||||||
4.110%, Series B
|
2/8/20
|
Pay
|
1.100% +3 Month U.S. LIBOR
|
Quarterly
|
35,769
|
2,378,639
|
(282,961
|
)
|
|||||||||||
BAML
|
Spark
Therapeutics, Inc.
|
5/24/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
14,638
|
1,615,011
|
(117,502
|
)
|
||||||||||
JPM
|
Uniper SE
|
2/12/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
84,500
|
2,525,395
|
30,588
|
|||||||||||
BAML
|
Versum
Materials, Inc.
|
5/14/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
70,593
|
3,646,274
|
(7,636
|
)
|
||||||||||
BAML
|
Zayo Group LLC /
|
||||||||||||||||||
Zayo Capital, Inc.
|
5/13/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
180,768
|
5,950,776
|
(5,817
|
)
|
|||||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||||||||
JPM
|
Alibaba Group
|
||||||||||||||||||
Holding Ltd. –
ADR
|
11/1/19
|
Receive
|
(0.600)% +3 Month U.S. LIBOR
|
Quarterly
|
(47,107
|
)
|
(7,316,150
|
)
|
(660,738
|
)
|
|||||||||
BAML
|
Brookfield Property
|
||||||||||||||||||
Partners LP
|
3/29/20
|
Pay
|
(4.500)% +1 Month U.S. LIBOR
|
Monthly
|
(4,895
|
)
|
(101,327
|
)
|
8,617
|
||||||||||
JPM
|
Daimler AG
|
4/3/20
|
Receive
|
(0.400)% +3 Month U.S. LIBOR
|
Quarterly
|
(502
|
)
|
(31,276
|
)
|
3,373
|
|||||||||
BAML
|
Fiat Chrysler
|
||||||||||||||||||
Automobiles N.V.
|
5/28/20
|
Receive
|
(0.775)% +1 Month U.S. LIBOR
|
Monthly
|
(15,986
|
)
|
(211,653
|
)
|
(11,179
|
)
|
|||||||||
BAML
|
Fiserv, Inc.
|
5/7/20
|
Receive
|
(0.400)% +1 Month U.S. LIBOR
|
Monthly
|
(135,685
|
)
|
(11,606,495
|
)
|
(757,403
|
)
|
||||||||
JPM
|
Nissan Motor
|
||||||||||||||||||
Company Ltd.
|
4/3/20
|
Receive
|
(0.400)% +3 Month U.S. LIBOR
|
Quarterly
|
(56,329
|
)
|
(450,258
|
)
|
47,480
|
||||||||||
$
|
398,352
|
*
|
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
|
Pay/Receive
|
Unrealized
|
||||||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
||||||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||||||
LONG TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||||||||
JPM
|
Altaba, Inc.
|
4/5/20
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
2,369
|
$
|
175,222
|
$
|
(11,116
|
)
|
||||||||
JPM
|
Apollo
Tactical Income
|
||||||||||||||||||
Fund, Inc.
|
12/27/19
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
546
|
7,495
|
551
|
||||||||||||
JPM
|
BlackRock Debt
|
||||||||||||||||||
Strategies
Fund, Inc.
|
11/28/19
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
5,442
|
57,895
|
642
|
||||||||||||
JPM
|
BlackRock Floating
|
||||||||||||||||||
Rate Income
|
|||||||||||||||||||
Strategies
Fund, Inc.
|
8/30/19
|
Pay
|
0.462% + 3 Month U.S. LIBOR
|
Quarterly
|
4,417
|
59,362
|
(2,758
|
)
|
|||||||||||
JPM
|
Colony Capital, Inc.,
|
||||||||||||||||||
8.750%, Series E
|
6/29/19
|
Pay
|
0.826% + 3 Month U.S. LIBOR
|
Quarterly
|
6,970
|
174,902
|
(1,845
|
)
|
|||||||||||
JPM
|
Eaton Vance
Floating-Rate
|
||||||||||||||||||
Income Trust
|
11/28/19
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
4,124
|
55,764
|
(243
|
)
|
|||||||||||
JPM
|
Eaton Vance Senior
|
||||||||||||||||||
Floating-Rate
|
|||||||||||||||||||
Income Trust
|
8/30/19
|
Pay
|
1.000% + 3 Month U.S. LIBOR
|
Quarterly
|
2,841
|
40,086
|
(2,951
|
)
|
|||||||||||
JPM
|
First Trust
Senior Floating
|
||||||||||||||||||
Rate Income
Fund II
|
3/18/20
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
5,272
|
63,106
|
343
|
||||||||||||
JPM
|
Invesco Dynamic
Credit Opportunities |
||||||||||||||||||
Fund |
8/30/19
|
Pay
|
0.802% + 3 Month U.S. LIBOR
|
Quarterly
|
8,430
|
93,834
|
296
|
||||||||||||
JPM
|
Invesco Municipal
|
||||||||||||||||||
Opportunity Trust
|
3/13/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,733
|
20,732
|
561
|
||||||||||||
JPM
|
Invesco Senior
|
||||||||||||||||||
Income Trust
|
8/7/19
|
Pay
|
1.000% + 3 Month U.S. LIBOR
|
Quarterly
|
27,652
|
118,576
|
722
|
||||||||||||
JPM
|
Invesco Value
Municipal
|
||||||||||||||||||
Income Trust
|
3/13/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,442
|
21,145
|
779
|
||||||||||||
JPM
|
Nuveen AMT-Free
|
||||||||||||||||||
Municipal Credit
|
|||||||||||||||||||
Income Fund
|
11/28/19
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,413
|
19,230
|
3,174
|
Pay/Receive
|
Unrealized
|
||||||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
||||||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||||||
JPM
|
Nuveen AMT-Free
|
||||||||||||||||||
Quality Municipal
|
|||||||||||||||||||
Income Fund
|
11/28/19
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,566
|
$
|
19,245
|
$
|
2,361
|
||||||||||
JPM
|
Nuveen California
Quality Municipal |
||||||||||||||||||
Income Fund
|
11/28/19
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
1,536
|
19,246
|
2,975
|
||||||||||||
JPM
|
Nuveen Credit
Strategies
|
||||||||||||||||||
Income Fund
|
11/28/19
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
8,620
|
66,627
|
1,560
|
||||||||||||
JPM
|
Nuveen Preferred
|
||||||||||||||||||
and Income 2022
|
|||||||||||||||||||
Term Fund
|
11/29/19
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
894
|
19,275
|
2,474
|
||||||||||||
JPM
|
SLM Corporation,
|
||||||||||||||||||
4.311%, Series B
|
2/8/20
|
Pay
|
1.100% + 3 Month U.S. LIBOR
|
Quarterly
|
2,007
|
133,465
|
(15,878
|
)
|
|||||||||||
JPM
|
Voya Prime
Rate Trust
|
8/1/19
|
Pay
|
1.000% + 3 Month U.S. LIBOR
|
Quarterly
|
24,016
|
117,482
|
(3,322
|
)
|
||||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||||||||
JPM
|
Alibaba Group
|
||||||||||||||||||
Holding Ltd. –
ADR
|
4/5/20
|
Receive
|
(0.600)% + 3 Month U.S. LIBOR
|
Quarterly
|
(590
|
)
|
(109,092
|
)
|
9,244
|
||||||||||
$
|
(12,431
|
)
|
*
|
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
|
Counterparty
|
Rate
|
Trade Date
|
Maturity Date
|
Principal
|
Principal & Interest
|
|||||||||
JPM
|
3.263%
|
6/13/19
|
7/12/19
|
$
|
(178,000
|
)
|
$
|
(178,274
|
)
|
|||||
JPM
|
3.263%
|
6/13/19
|
7/12/19
|
(174,000
|
)
|
(174,268
|
)
|
|||||||
$
|
(352,000
|
)
|
$
|
(352,542
|
)
|
Remaining Contractual Maturity of the Agreements
|
||||||||||||||||||||
Overnight and
|
Greater than
|
|||||||||||||||||||
Continuous
|
Up to 30 Days
|
31-90 Days
|
90 Days
|
Total
|
||||||||||||||||
Reverse Repurchase Agreements
|
||||||||||||||||||||
Corporate Bonds
|
$
|
—
|
$
|
(352,000
|
)
|
$
|
—
|
$
|
—
|
$
|
(352,000
|
)
|
||||||||
Total Borrowings
|
$
|
—
|
$
|
(352,000
|
)
|
$
|
—
|
$
|
—
|
$
|
(352,000
|
)
|
||||||||
Gross amount of recognized liabilities
|
||||||||||||||||||||
for reverse repurchase agreements
|
$
|
(352,000
|
)
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||
ASSETS:
|
||||||||||||
Investments, at value (Cost
$2,896,666,245, $192,020,838,
|
||||||||||||
and $4,235,367, respectively)
|
$
|
3,018,409,722
|
$
|
198,037,468
|
$
|
4,360,094
|
||||||
Investment of cash collateral
|
||||||||||||
from securities loaned
|
||||||||||||
(Cost $61,258,584)
|
61,258,584
|
—
|
—
|
|||||||||
Cash
|
62,047
|
5,512
|
—
|
|||||||||
Deposits at brokers for
|
||||||||||||
securities sold short
|
1,148,957,101
|
52,048,801
|
41,555
|
|||||||||
Deposit at brokers for
|
||||||||||||
other investments
|
46,558,143
|
1,400,466
|
—
|
|||||||||
Receivable for swap contracts
|
163,484
|
489,598
|
—
|
|||||||||
Receivable for investments sold
|
31,300,860
|
2,292,689
|
—
|
|||||||||
Dividends and interest receivable
|
9,781,117
|
724,506
|
48,180
|
|||||||||
Receivable for fund shares issued
|
7,316,578
|
662,931
|
—
|
|||||||||
Receivable from securities
|
||||||||||||
lending income (Note 9)
|
6,405
|
—
|
—
|
|||||||||
Receivable from
|
||||||||||||
investment adviser
|
—
|
—
|
4,410
|
|||||||||
Prepaid expenses
|
||||||||||||
and other receivables
|
307,487
|
38,734
|
23,938
|
|||||||||
Total Assets
|
4,324,121,528
|
255,700,705
|
4,478,177
|
|||||||||
LIABILITIES:
|
||||||||||||
Securities sold short, at value
|
||||||||||||
(Proceeds of $1,014,781,312,
|
||||||||||||
$50,350,423, and
|
||||||||||||
$40,595, respectively)
|
1,134,281,819
|
52,030,974
|
41,555
|
|||||||||
Written option contracts,
|
||||||||||||
at value (Premiums received
$3,307,611, $2,142,506,
|
||||||||||||
and $—, respectively)
|
3,322,714
|
2,870,762
|
—
|
|||||||||
Payable for forward currency
|
||||||||||||
exchange contracts
|
575,030
|
49,493
|
—
|
|||||||||
Payable for swap contracts
|
70,814
|
91,246
|
12,431
|
|||||||||
Payable reverse
|
||||||||||||
repurchase agreements
|
—
|
—
|
352,000
|
|||||||||
Payable for collateral received
|
||||||||||||
on securities loaned (Note 9)
|
61,258,584
|
—
|
—
|
|||||||||
Payable for investments purchased
|
75,953,565
|
5,516,666
|
1,948
|
|||||||||
Payable for fund shares redeemed
|
3,457,576
|
52,318
|
—
|
|||||||||
Payable to the investment adviser
|
2,435,545
|
196,041
|
—
|
|||||||||
Dividends and interest payable
|
1,213,097
|
78,582
|
—
|
|||||||||
Distribution fees payable
|
250,812
|
3,057
|
9
|
|||||||||
Interest payable for reverse
|
||||||||||||
repurchase agreements
|
—
|
—
|
542
|
|||||||||
Accrued expenses
|
||||||||||||
and other liabilities
|
1,169,637
|
95,387
|
32,641
|
|||||||||
Total Liabilities
|
1,283,989,193
|
60,984,526
|
441,126
|
|||||||||
NET ASSETS
|
$
|
3,040,132,335
|
$
|
194,716,179
|
$
|
4,037,051
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||
NET ASSETS CONSISTS OF:
|
||||||||||||
Paid-in capital
|
$
|
2,991,400,092
|
$
|
186,302,609
|
$
|
3,864,729
|
||||||
Distributable gain
|
48,732,243
|
8,413,570
|
172,322
|
|||||||||
Total Net Assets
|
$
|
3,040,132,335
|
$
|
194,716,179
|
$
|
4,037,051
|
||||||
Investor Class
|
||||||||||||
Net assets
|
$
|
1,175,126,868
|
$
|
15,058,643
|
$
|
42,078
|
||||||
Shares outstanding
|
69,862,903
|
1,404,028
|
4,030
|
|||||||||
Net asset value and
|
||||||||||||
offering price per share*
|
$
|
16.82
|
$
|
10.73
|
$
|
10.44
|
||||||
Institutional Class
|
||||||||||||
Net assets
|
$
|
1,865,005,467
|
$
|
179,657,536
|
$
|
3,994,973
|
||||||
Shares outstanding
|
111,507,461
|
16,690,463
|
381,928
|
|||||||||
Net asset value and
|
||||||||||||
offering price per share*
|
$
|
16.73
|
$
|
10.76
|
$
|
10.46
|
*
|
The redemption price per share may vary based on the length of time a shareholder holds Fund shares.
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||
INVESTMENT INCOME:
|
||||||||||||
Interest
|
$
|
19,835,520
|
$
|
1,662,146
|
$
|
88,969
|
||||||
Dividend income on long positions
|
||||||||||||
(net of foreign withholding
|
||||||||||||
taxes of $48,723, $3,761,
|
||||||||||||
and $—, respectively)
|
13,446,742
|
759,253
|
2,388
|
|||||||||
Securities lending income, net
|
||||||||||||
(Note 9)
|
10,073
|
—
|
—
|
|||||||||
Total investment income
|
33,292,335
|
2,421,399
|
91,357
|
|||||||||
EXPENSES:
|
||||||||||||
Investment advisory fees
|
14,821,573
|
1,071,240
|
19,353
|
|||||||||
Distribution fees (Investor Class)
|
1,589,697
|
16,536
|
50
|
|||||||||
Sub transfer agent fees
|
||||||||||||
(Investor Class)
|
778,375
|
7,533
|
24
|
|||||||||
Sub transfer agent fees
|
||||||||||||
(Institutional Class)
|
689,822
|
79,870
|
505
|
|||||||||
Administration fees
|
489,394
|
32,006
|
6,785
|
|||||||||
Professional fees
|
409,014
|
68,643
|
31,809
|
|||||||||
Reports to shareholders
|
234,174
|
15,319
|
574
|
|||||||||
Transfer agent and shareholder
|
||||||||||||
servicing agent fees
|
219,986
|
14,418
|
2,514
|
|||||||||
Fund accounting expenses
|
144,528
|
27,542
|
2,441
|
|||||||||
Custody fees
|
132,433
|
7,920
|
125
|
|||||||||
Federal and state
|
||||||||||||
registration fees
|
117,339
|
28,697
|
34,337
|
|||||||||
Trustees’ fees and expenses
|
113,732
|
15,580
|
7,455
|
|||||||||
Compliance fees
|
92,699
|
5,056
|
58
|
|||||||||
Miscellaneous expenses
|
69,803
|
8,294
|
1,307
|
|||||||||
Borrowing expenses on
|
||||||||||||
securities sold short
|
2,404,549
|
129,415
|
—
|
|||||||||
Dividends on securities
|
||||||||||||
sold short
|
6,538,062
|
412,166
|
—
|
|||||||||
Interest on reverse
|
||||||||||||
repurchase agreements
|
—
|
—
|
5,877
|
|||||||||
Total expenses
|
||||||||||||
before expense
|
||||||||||||
waiver/recoupment/
|
||||||||||||
reimbursement
|
||||||||||||
by adviser
|
28,845,180
|
1,940,235
|
113,214
|
|||||||||
Expense waived/recouped/
|
||||||||||||
reimbursed by adviser (Note 3)
|
(343,263
|
)
|
5,319
|
(75,547
|
)
|
|||||||
Net expenses
|
28,501,917
|
1,945,554
|
37,667
|
|||||||||
NET INVESTMENT INCOME
|
$
|
4,790,418
|
$
|
475,845
|
$
|
53,690
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||
REALIZED AND CHANGE IN
|
||||||||||||
UNREALIZED GAIN (LOSS)
|
||||||||||||
ON INVESTMENTS:
|
||||||||||||
Realized gain (loss) on:
|
||||||||||||
Investments
|
$
|
60,200,145
|
$
|
3,140,881
|
$
|
43,666
|
||||||
Securities sold short
|
(38,122,346
|
)
|
(1,412,764
|
)
|
—
|
|||||||
Written option contracts
|
||||||||||||
expired or closed
|
6,982,059
|
(172,182
|
)
|
—
|
||||||||
Forward currency
|
||||||||||||
exchange contracts
|
2,671,854
|
222,446
|
—
|
|||||||||
Swap contracts
|
10,717,598
|
3,640,779
|
3,261
|
|||||||||
Foreign currency transactions
|
1,788
|
(250
|
)
|
—
|
||||||||
Net realized gain
|
42,451,098
|
5,418,910
|
46,927
|
|||||||||
Change in unrealized
|
||||||||||||
appreciation (depreciation) on:
|
||||||||||||
Investments
|
128,869,709
|
9,643,400
|
169,725
|
|||||||||
Securities sold short
|
(88,776,647
|
)
|
(3,006,069
|
)
|
(960
|
)
|
||||||
Written option contracts
|
(2,166,684
|
)
|
(1,252,820
|
)
|
—
|
|||||||
Forward currency
|
||||||||||||
exchange contracts
|
(1,439,515
|
)
|
(164,985
|
)
|
—
|
|||||||
Swap contracts
|
(9,530,707
|
)
|
(1,255,632
|
)
|
82,627
|
|||||||
Net unrealized appreciation
|
26,956,156
|
3,963,894
|
251,392
|
|||||||||
NET REALIZED AND CHANGE IN
|
||||||||||||
UNREALIZED GAIN
|
||||||||||||
ON INVESTMENTS
|
69,407,254
|
9,382,804
|
298,319
|
|||||||||
NET INCREASE IN NET
|
||||||||||||
ASSETS RESULTING
|
||||||||||||
FROM OPERATIONS
|
$
|
74,197,672
|
$
|
9,858,649
|
$
|
352,009
|
Six Months Ended
|
Year Ended
|
|||||||
June 30, 2019
|
December 31, 2018
|
|||||||
(Unaudited)
|
||||||||
Net investment income
|
$
|
4,790,418
|
$
|
30,448,822
|
||||
Net realized gain on investments, securities
|
||||||||
sold short, written option contracts
|
||||||||
expired or closed, forward currency
|
||||||||
exchange contracts, swap contracts,
|
||||||||
and foreign currency transactions
|
42,451,098
|
175,063,866
|
||||||
Net change in unrealized appreciation
|
||||||||
(depreciation) on investments, securities sold
|
||||||||
short, written option contracts, forward
|
||||||||
currency exchange contracts, swap contracts,
|
||||||||
and foreign currency translation
|
26,956,156
|
(22,543,614
|
)
|
|||||
Net increase in net assets
|
||||||||
resulting from operations
|
74,197,672
|
182,969,074
|
||||||
Investor Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Investor Class
|
—
|
(55,076,117
|
)
|
|||||
Institutional Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Institutional Class
|
—
|
(70,480,790
|
)
|
|||||
Net increase in net assets from
|
||||||||
capital share transactions (Note 4)
|
204,583,557
|
389,567,339
|
||||||
Net increase in net assets
|
278,781,229
|
446,979,506
|
||||||
NET ASSETS:
|
||||||||
Beginning of period
|
2,761,351,106
|
2,314,371,600
|
||||||
End of period
|
$
|
3,040,132,335
|
$
|
2,761,351,106
|
Six Months Ended
|
Year Ended
|
|||||||
June 30, 2019
|
December 31, 2018
|
|||||||
(Unaudited)
|
||||||||
Net investment income
|
$
|
475,845
|
$
|
1,614,171
|
||||
Net realized gain on investments, securities
|
||||||||
sold short, written option contracts
|
||||||||
expired or closed, forward currency
|
||||||||
exchange contracts, swap contracts,
|
||||||||
and foreign currency transactions
|
5,418,910
|
904,262
|
||||||
Net change in unrealized appreciation on
|
||||||||
investments, securities sold short, written
|
||||||||
option contracts, forward currency
|
||||||||
exchange contracts, swap contracts,
|
||||||||
and foreign currency translation
|
3,963,894
|
3,487,639
|
||||||
Net increase in net assets
|
||||||||
resulting from operations
|
9,858,649
|
6,006,072
|
||||||
Investor Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Investor Class
|
—
|
(519,098
|
)
|
|||||
Institutional Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Institutional Class
|
—
|
(7,102,230
|
)
|
|||||
Net increase in net assets from
|
||||||||
capital share transactions (Note 4)
|
39,623,759
|
47,260,037
|
||||||
Net increase in net assets
|
49,482,408
|
45,644,781
|
||||||
NET ASSETS:
|
||||||||
Beginning of period
|
145,233,771
|
99,588,990
|
||||||
End of period
|
$
|
194,716,179
|
$
|
145,233,771
|
Six Months Ended
|
Year Ended
|
|||||||
June 30, 2019
|
December 31, 2018
|
|||||||
(Unaudited)
|
||||||||
Net investment income
|
$
|
53,690
|
$
|
55,272
|
||||
Net realized gain (loss) on
|
||||||||
investments and swap contracts
|
46,927
|
(33,891
|
)
|
|||||
Net change in unrealized appreciation
|
||||||||
(depreciation) on investments, securities
|
||||||||
sold short, and swap contracts
|
251,392
|
(140,056
|
)
|
|||||
Net increase (decrease) in net assets
|
||||||||
resulting from operations
|
352,009
|
(118,675
|
)
|
|||||
Investor Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Investor Class
|
—
|
(547
|
)
|
|||||
Institutional Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Institutional Class
|
—
|
(60,465
|
)
|
|||||
Net increase (decrease) in net assets from
|
||||||||
capital share transactions (Note 4)
|
(97,224
|
)
|
3,961,953
|
*
|
||||
Net increase in net assets
|
254,785
|
3,782,266
|
||||||
NET ASSETS:
|
||||||||
Beginning of period
|
3,782,266
|
—
|
*
|
|||||
End of period
|
$
|
4,037,051
|
$
|
3,782,266
|
*
|
The Fund received a seed investment of $2,710,000 on December 29, 2017 in a non-interest bearing account. The Fund did not conduct investment activity nor incur operating expenses until January 2, 2018.
|
Six Months
|
||||||||||||||||||||||||
Ended
|
||||||||||||||||||||||||
June 30,
|
Year Ended December 31,
|
|||||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||
Per Share Data:
|
||||||||||||||||||||||||
Net asset value,
|
||||||||||||||||||||||||
beginning of period
|
$
|
16.30
|
$
|
15.83
|
$
|
15.56
|
$
|
15.25
|
$
|
15.58
|
$
|
15.97
|
||||||||||||
Income from
|
||||||||||||||||||||||||
investment operations:
|
||||||||||||||||||||||||
Net investment
|
||||||||||||||||||||||||
income (loss)(1)(2)
|
0.04
|
0.23
|
0.10
|
(0.04
|
)
|
(0.03
|
)
|
0.37
|
||||||||||||||||
Net realized and
|
||||||||||||||||||||||||
unrealized gain (loss)
|
||||||||||||||||||||||||
on investments
|
0.39
|
1.03
|
0.33
|
0.49
|
(0.05
|
)
|
(0.10
|
)
|
||||||||||||||||
Total from
|
||||||||||||||||||||||||
investment operations
|
0.43
|
1.26
|
0.43
|
0.45
|
(0.08
|
)
|
0.27
|
|||||||||||||||||
Less distributions:
|
||||||||||||||||||||||||
From net
|
||||||||||||||||||||||||
investment income
|
—
|
(0.23
|
)
|
(0.16
|
)
|
(0.14
|
)
|
(0.18
|
)
|
(0.45
|
)
|
|||||||||||||
From net realized gains
|
—
|
(0.56
|
)
|
—
|
—
|
(0.07
|
)
|
(0.21
|
)
|
|||||||||||||||
Total dividends
|
||||||||||||||||||||||||
and distributions
|
—
|
(0.79
|
)
|
(0.16
|
)
|
(0.14
|
)
|
(0.25
|
)
|
(0.66
|
)
|
|||||||||||||
Net Asset Value,
|
||||||||||||||||||||||||
end of period
|
$
|
16.73
|
$
|
16.30
|
$
|
15.83
|
$
|
15.56
|
$
|
15.25
|
$
|
15.58
|
||||||||||||
Total Return
|
2.58
|
%(3)
|
7.98
|
%
|
2.74
|
%
|
2.94
|
%
|
(0.52
|
)%
|
1.63
|
%
|
Six Months
|
||||||||||||||||||||||||
Ended
|
||||||||||||||||||||||||
June 30,
|
Year Ended December 31,
|
|||||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||
Supplemental data and ratios:
|
||||||||||||||||||||||||
Net assets, end
|
||||||||||||||||||||||||
of period (000’s)
|
$
|
1,865,005
|
$
|
1,496,116
|
$
|
1,152,718
|
$
|
1,377,041
|
$
|
1,247,332
|
$
|
1,332,078
|
||||||||||||
Ratio of gross expenses
|
||||||||||||||||||||||||
to average net assets:
|
||||||||||||||||||||||||
Before expense
|
||||||||||||||||||||||||
reimbursement
|
1.82
|
%(4)
|
1.64
|
%
|
1.55
|
%
|
1.70
|
%
|
1.54
|
%
|
1.44
|
%
|
||||||||||||
After expense
|
||||||||||||||||||||||||
reimbursement
|
1.80
|
%(4)
|
1.61
|
%
|
1.48
|
%
|
1.59
|
%
|
1.41
|
%
|
1.28
|
%
|
||||||||||||
Ratio of dividends and interest
|
||||||||||||||||||||||||
on short positions and
|
||||||||||||||||||||||||
borrowing expense on
|
||||||||||||||||||||||||
securities sold short to
|
||||||||||||||||||||||||
average net assets
|
0.60
|
%(4)
|
0.41
|
%
|
0.37
|
%
|
0.52
|
%
|
0.40
|
%
|
0.29
|
%
|
||||||||||||
Ratio of operating expense
|
||||||||||||||||||||||||
to average net assets
|
||||||||||||||||||||||||
excluding dividends and
|
||||||||||||||||||||||||
interest on short positions
|
||||||||||||||||||||||||
and borrowing expense on
|
||||||||||||||||||||||||
securities sold short
|
1.20
|
%(4)
|
1.20
|
%
|
1.11
|
%
|
1.07
|
%
|
1.01
|
%
|
0.99
|
%
|
||||||||||||
Ratio of net investment income
|
||||||||||||||||||||||||
(loss) to average net assets
|
0.45
|
%(4)
|
1.38
|
%
|
0.66
|
%
|
(0.27
|
)%
|
(0.21
|
)%
|
2.30
|
%
|
||||||||||||
Portfolio turnover rate(5)
|
69
|
%(3)
|
155
|
%
|
166
|
%
|
182
|
%
|
157
|
%
|
137
|
%
|
(1)
|
Net investment income before dividends and interest on short positions and borrowing expense on securities on securities sold short for the six months ended June 30, 2019 and the years ended December 31, 2018, 2017,
2016, 2015 and 2014 was $0.09, $0.29, $0.16 $0.04, $0.03, and $0.42, 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.
|
Six Months
|
||||||||||||||||||||||||
Ended
|
||||||||||||||||||||||||
June 30,
|
Year Ended December 31,
|
|||||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||
Per Share Data:
|
||||||||||||||||||||||||
Net asset value,
|
||||||||||||||||||||||||
beginning of period
|
$
|
16.42
|
$
|
15.94
|
$
|
15.66
|
$
|
15.31
|
$
|
15.63
|
$
|
16.01
|
||||||||||||
Income from
|
||||||||||||||||||||||||
investment operations:
|
||||||||||||||||||||||||
Net investment
|
||||||||||||||||||||||||
income (loss)(1)(2)
|
0.01
|
0.18
|
0.05
|
(0.09
|
)
|
(0.08
|
)
|
0.33
|
||||||||||||||||
Net realized and
|
||||||||||||||||||||||||
unrealized gain (loss)
|
||||||||||||||||||||||||
on investments
|
0.39
|
1.05
|
0.32
|
0.49
|
(0.05
|
)
|
(0.10
|
)
|
||||||||||||||||
Total from
|
||||||||||||||||||||||||
investment operations
|
0.40
|
1.23
|
0.37
|
0.40
|
(0.13
|
)
|
0.23
|
|||||||||||||||||
Less distributions:
|
||||||||||||||||||||||||
From net
|
||||||||||||||||||||||||
investment income
|
—
|
(0.19
|
)
|
(0.09
|
)
|
(0.05
|
)
|
(0.12
|
)
|
(0.40
|
)
|
|||||||||||||
From net realized gains
|
—
|
(0.56
|
)
|
—
|
—
|
(0.07
|
)
|
(0.21
|
)
|
|||||||||||||||
Total dividends
|
||||||||||||||||||||||||
and distributions
|
—
|
(0.75
|
)
|
(0.09
|
)
|
(0.05
|
)
|
(0.19
|
)
|
(0.61
|
)
|
|||||||||||||
Net Asset Value,
|
||||||||||||||||||||||||
end of period
|
$
|
16.82
|
$
|
16.42
|
$
|
15.94
|
$
|
15.66
|
$
|
15.31
|
$
|
15.63
|
||||||||||||
Total Return
|
2.44
|
%(3)
|
7.68
|
%
|
2.39
|
%
|
2.61
|
%
|
(0.82
|
)%
|
1.43
|
%
|
Six Months
|
||||||||||||||||||||||||
Ended
|
||||||||||||||||||||||||
June 30,
|
Year Ended December 31,
|
|||||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||
Supplemental data and ratios:
|
||||||||||||||||||||||||
Net assets, end
|
||||||||||||||||||||||||
of period (in millions)
|
$
|
1,175
|
$
|
1,265
|
$
|
1,162
|
$
|
1,540
|
$
|
3,509
|
$
|
4,069
|
||||||||||||
Ratio of gross expenses
|
||||||||||||||||||||||||
to average net assets:
|
||||||||||||||||||||||||
Before expense waiver
|
2.11
|
%(4)
|
1.94
|
%
|
1.87
|
%
|
2.03
|
%
|
1.87
|
%
|
1.68
|
%
|
||||||||||||
After expense waiver
|
2.09
|
%(4)
|
1.91
|
%
|
1.80
|
%
|
1.92
|
%
|
1.74
|
%
|
1.52
|
%
|
||||||||||||
Ratio of dividends and interest
|
||||||||||||||||||||||||
on short positions and
|
||||||||||||||||||||||||
borrowing expense on
|
||||||||||||||||||||||||
securities sold short to
|
||||||||||||||||||||||||
average net assets
|
0.60
|
%(4)
|
0.41
|
%
|
0.37
|
%
|
0.52
|
%
|
0.40
|
%
|
0.29
|
%
|
||||||||||||
Ratio of operating expense
|
||||||||||||||||||||||||
to average net assets
|
||||||||||||||||||||||||
excluding dividends and
|
||||||||||||||||||||||||
interest on short positions
|
||||||||||||||||||||||||
and borrowing expense on
|
||||||||||||||||||||||||
securities sold short
|
1.49
|
%(4)
|
1.50
|
%
|
1.43
|
%
|
1.40
|
%
|
1.34
|
%
|
1.23
|
%
|
||||||||||||
Ratio of net investment income
|
||||||||||||||||||||||||
(loss) to average net assets
|
0.16
|
%(4)
|
1.08
|
%
|
0.34
|
%
|
(0.60
|
)%
|
(0.53
|
)%
|
2.06
|
%
|
||||||||||||
Portfolio turnover rate(5)
|
69
|
%(3)
|
155
|
%
|
166
|
%
|
182
|
%
|
157
|
%
|
137
|
%
|
(1)
|
Net investment income (loss) before dividends and interest on short positions and borrowing expense on securities on securities sold short for the six months ended June 30, 2019 and the years ended December 31,
2018, 2017, 2016, 2015 and 2014 was $0.06, $0.25, $0.11, $(0.01), $(0.02), and $0.38, 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.
|
For the
|
||||||||||||||||||||||||
Period from
|
||||||||||||||||||||||||
January 2,
|
||||||||||||||||||||||||
Six Months
|
2014^
|
|||||||||||||||||||||||
Ended
|
through
|
|||||||||||||||||||||||
June 30,
|
Year Ended December 31,
|
December 31,
|
||||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||
Per Share Data:
|
||||||||||||||||||||||||
Net asset value,
|
||||||||||||||||||||||||
beginning
|
||||||||||||||||||||||||
of period
|
$
|
10.14
|
$
|
10.17
|
$
|
9.81
|
$
|
9.62
|
$
|
10.14
|
$
|
10.00
|
||||||||||||
Income from
|
||||||||||||||||||||||||
investment
|
||||||||||||||||||||||||
operations:
|
||||||||||||||||||||||||
Net investment
|
||||||||||||||||||||||||
income
|
||||||||||||||||||||||||
(loss)(1)(2)
|
0.03
|
0.14
|
0.00
|
(6)
|
(0.04
|
)
|
0.01
|
0.05
|
||||||||||||||||
Net realized and
|
||||||||||||||||||||||||
unrealized gain
|
||||||||||||||||||||||||
(loss) on
|
||||||||||||||||||||||||
investments
|
0.59
|
0.39
|
0.46
|
0.31
|
(0.22
|
)
|
0.34
|
|||||||||||||||||
Total from
|
||||||||||||||||||||||||
investment
|
||||||||||||||||||||||||
operations
|
0.62
|
0.53
|
0.46
|
0.27
|
(0.21
|
)
|
0.39
|
|||||||||||||||||
Less distributions:
|
||||||||||||||||||||||||
From net
|
||||||||||||||||||||||||
investment
|
||||||||||||||||||||||||
income
|
—
|
(0.43
|
)
|
—
|
(0.08
|
)
|
(0.09
|
)
|
—
|
|||||||||||||||
From net
|
||||||||||||||||||||||||
realized gains
|
—
|
(0.13
|
)
|
(0.10
|
)
|
—
|
(0.22
|
)
|
(0.25
|
)
|
||||||||||||||
Total dividends
|
||||||||||||||||||||||||
and
|
||||||||||||||||||||||||
distributions
|
—
|
(0.56
|
)
|
(0.10
|
)
|
(0.08
|
)
|
(0.31
|
)
|
(0.25
|
)
|
|||||||||||||
Net Asset Value,
|
||||||||||||||||||||||||
end of period
|
$
|
10.76
|
$
|
10.14
|
$
|
10.17
|
$
|
9.81
|
$
|
9.62
|
$
|
10.14
|
||||||||||||
Total Return
|
6.11
|
%(3)
|
5.27
|
%
|
4.72
|
%
|
2.86
|
%
|
(2.08
|
)%
|
3.87
|
%(3)
|
For the
|
||||||||||||||||||||||||
Period from
|
||||||||||||||||||||||||
January 2,
|
||||||||||||||||||||||||
Six Months
|
2014^
|
|||||||||||||||||||||||
Ended
|
through
|
|||||||||||||||||||||||
June 30,
|
Year Ended December 31,
|
December 31,
|
||||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
2014
|
|||||||||||||||||||
(Unaudited)
|
||||||||||||||||||||||||
Supplemental data
|
||||||||||||||||||||||||
and ratios:
|
||||||||||||||||||||||||
Net assets, end
|
||||||||||||||||||||||||
of period (000’s)
|
$
|
179,658
|
$
|
134,923
|
$
|
94,031
|
$
|
112,947
|
$
|
96,489
|
$
|
12,085
|
||||||||||||
Ratio of gross
|
||||||||||||||||||||||||
expenses to
|
||||||||||||||||||||||||
average net assets:
|
||||||||||||||||||||||||
Before expense
|
||||||||||||||||||||||||
reimbursement/
|
||||||||||||||||||||||||
recoupment
|
2.24
|
%(4)
|
2.19
|
%
|
2.20
|
%
|
2.37
|
%
|
2.23
|
%
|
7.95
|
%(4)
|
||||||||||||
After expense
|
||||||||||||||||||||||||
reimbursement/
|
||||||||||||||||||||||||
recoupment
|
2.25
|
%(4)
|
2.20
|
%
|
2.24
|
%
|
2.36
|
%
|
2.09
|
%
|
2.39
|
%(4)
|
||||||||||||
Ratio of dividends
|
||||||||||||||||||||||||
and interest on
|
||||||||||||||||||||||||
short positions and
|
||||||||||||||||||||||||
borrowing expense
|
||||||||||||||||||||||||
on securities sold
|
||||||||||||||||||||||||
short to average
|
||||||||||||||||||||||||
net assets
|
0.63
|
%(4)
|
0.46
|
%
|
0.50
|
%
|
0.62
|
%
|
0.35
|
%
|
0.65
|
%(4)
|
||||||||||||
Ratio of operating
|
||||||||||||||||||||||||
expense to average
|
||||||||||||||||||||||||
net assets
|
||||||||||||||||||||||||
excluding dividends
|
||||||||||||||||||||||||
and interest on
|
||||||||||||||||||||||||
short positions
|
||||||||||||||||||||||||
and borrowing
|
||||||||||||||||||||||||
expense on
|
||||||||||||||||||||||||
securities sold
|
||||||||||||||||||||||||
short (after expense
|
||||||||||||||||||||||||
reimbursement/
|
||||||||||||||||||||||||
recoupment)
|
1.62
|
%(4)
|
1.74
|
%
|
1.74
|
%
|
1.74
|
%
|
1.74
|
%
|
1.74
|
%(4)
|
||||||||||||
Ratio of net
|
||||||||||||||||||||||||
investment income
|
||||||||||||||||||||||||
(loss) to average
|
||||||||||||||||||||||||
net assets
|
0.57
|
%(4)
|
1.34
|
%
|
(0.02
|
)%
|
(0.46
|
)%
|
0.05
|
%
|
0.52
|
%(4)
|
||||||||||||
Portfolio
|
||||||||||||||||||||||||
turnover rate(5)
|
99
|
%(3)
|
230
|
%
|
283
|
%
|
217
|
%
|
199
|
%
|
212
|
%(3)
|
(1)
|
Net investment income before dividends and interest on short positions and borrowing expense on securities on securities sold short for the six months ended June 30, 2019 and the years ended December 31, 2018, 2017,
2016, 2015 and 2014 was $0.06, $0.19, $0.05, $0.02, $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.
|
(6)
|
Amount calculated is less than $(0.005).
|
^
|
Commencement of operations.
|
For the
|
||||||||||||
Period from
|
||||||||||||
March 22, 2017^
|
||||||||||||
Six Months
|
Year Ended
|
through
|
||||||||||
Ended
|
December 31,
|
December 31,
|
||||||||||
June 30, 2019
|
2018
|
2017
|
||||||||||
(Unaudited)
|
||||||||||||
Per Share Data:
|
||||||||||||
Net asset value, beginning of period
|
$
|
10.12
|
$
|
10.16
|
$
|
9.89
|
||||||
Income from investment operations:
|
||||||||||||
Net investment income (loss)(1)(2)
|
0.02
|
0.11
|
(0.01
|
)
|
||||||||
Net realized and unrealized gain on investments
|
0.59
|
0.39
|
0.38
|
|||||||||
Total from investment operations
|
0.61
|
0.50
|
0.37
|
|||||||||
Less distributions:
|
||||||||||||
From net investment income
|
—
|
(0.41
|
)
|
—
|
||||||||
From net realized gains
|
—
|
(0.13
|
)
|
(0.10
|
)
|
|||||||
Total dividends and distributions
|
—
|
(0.54
|
)
|
(0.10
|
)
|
|||||||
Net Asset Value, end of period
|
$
|
10.73
|
$
|
10.12
|
$
|
10.16
|
||||||
Total Return
|
5.93
|
%(3)
|
4.95
|
%
|
3.77
|
%(3)
|
||||||
Supplemental data and ratios:
|
||||||||||||
Net assets, end of period (in 000’s)
|
$
|
15,059
|
$
|
10,311
|
$
|
5,558
|
||||||
Ratio of gross expenses to average net assets:
|
||||||||||||
Before expense recoupment
|
2.49
|
%(4)
|
2.44
|
%
|
2.52
|
%(4)
|
||||||
After expense recoupment
|
2.50
|
%(4)
|
2.45
|
%
|
2.54
|
%(4)
|
||||||
Ratio of dividends and interest on short
|
||||||||||||
positions and borrowing expense on
|
||||||||||||
securities sold short to average net assets
|
0.63
|
%(4)
|
0.46
|
%
|
0.55
|
%(4)
|
||||||
Ratio of operating expense to average net assets
|
||||||||||||
excluding dividends and interest on short
|
||||||||||||
positions and borrowing expense on securities
|
||||||||||||
sold short (after expense recoupment)
|
1.87
|
%(4)
|
1.99
|
%
|
1.99
|
%(4)
|
||||||
Ratio of net investment income (loss)
|
||||||||||||
to average net assets
|
0.32
|
%(4)
|
1.09
|
%
|
(0.17
|
)%(4)
|
||||||
Portfolio turnover rate(5)
|
99
|
%(3)
|
230
|
%
|
283
|
%(3)
|
(1)
|
Net investment income (loss) before dividends and interest on short positions and borrowing expense on securities on securities sold short for the six months ended June 30, 2019, the year ended December 31, 2018,
and the period ended December 31, 2017, $0.05, $0.16 and $0.03, 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
|
Year Ended
|
|||||||
Ended
|
December 31,
|
|||||||
June 30, 2019
|
2018
|
|||||||
(Unaudited)
|
||||||||
Per Share Data:
|
||||||||
Net asset value, beginning of period
|
$
|
9.55
|
$
|
10.00
|
||||
Income from investment operations:
|
||||||||
Net investment income(1)(2)
|
0.14
|
0.14
|
||||||
Net realized and unrealized gain (loss)
|
||||||||
on investments
|
0.77
|
(0.43
|
)
|
|||||
Total from investment operations
|
0.91
|
(0.29
|
)
|
|||||
Less distributions:
|
||||||||
From net investment income
|
—
|
(0.16
|
)
|
|||||
Total dividends and distributions
|
—
|
(0.16
|
)
|
|||||
Net Asset Value, end of period
|
$
|
10.46
|
$
|
9.55
|
||||
Total Return
|
9.53
|
%(3)
|
(2.93
|
)%
|
||||
Supplemental data and ratios:
|
||||||||
Net assets, end of period (000’s)
|
$
|
3,995
|
$
|
3,744
|
||||
Ratio of gross expenses to average net assets:
|
||||||||
Before expense reimbursement
|
5.85
|
%(4)
|
6.24
|
%
|
||||
After expense reimbursement
|
1.94
|
%(4)
|
1.73
|
%
|
||||
Ratio of interest on reverse repurchase
|
||||||||
agreements to average net assets
|
0.30
|
%(4)
|
0.09
|
%
|
||||
Ratio of operating expenses to average net assets
|
||||||||
excluding interest on reverse repurchase
|
||||||||
agreements (after expense reimbursement)
|
1.64
|
%(4)
|
1.64
|
%
|
||||
Ratio of net investment income
|
||||||||
to average net assets
|
2.78
|
%(4)
|
1.44
|
%
|
||||
Portfolio turnover rate(5)
|
42
|
%(3)
|
192
|
%
|
(1)
|
Net investment income before interest on reverse repurchase agreements for the six months ended June 30, 2019 and the year ended December 31, 2018 was $0.15 and $0.15, respectively.
|
(2)
|
Net investment income 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, swap contracts, reverse repurchase agreements, and short positions). The denominator
includes the average long positions throughout the period.
|
Six Months
|
Year Ended
|
|||||||
Ended
|
December 31,
|
|||||||
June 30, 2019
|
2018
|
|||||||
(Unaudited)
|
||||||||
Per Share Data:
|
||||||||
Net asset value, beginning of period
|
$
|
9.54
|
$
|
10.00
|
||||
Income from investment operations:
|
||||||||
Net investment income(1)(2)
|
0.13
|
0.12
|
||||||
Net realized and unrealized gain (loss)
|
||||||||
on investments
|
0.77
|
(0.44
|
)
|
|||||
Total from investment operations
|
0.90
|
(0.32
|
)
|
|||||
Less distributions:
|
||||||||
From net investment income
|
—
|
(0.14
|
)
|
|||||
Total dividends and distributions
|
—
|
(0.14
|
)
|
|||||
Net Asset Value, end of period
|
$
|
10.44
|
$
|
9.54
|
||||
Total Return
|
9.43
|
%(3)
|
(3.23
|
)%
|
||||
Supplemental data and ratios:
|
||||||||
Net assets, end of period (000’s)
|
$
|
42
|
$
|
38
|
||||
Ratio of gross expenses to average net assets:
|
||||||||
Before expense reimbursement
|
6.10
|
%(4)
|
6.56
|
%
|
||||
After expense reimbursement
|
2.19
|
%(4)
|
1.98
|
%
|
||||
Ratio of interest on reverse repurchase
|
||||||||
agreements to average net assets
|
0.30
|
%(4)
|
0.09
|
%
|
||||
Ratio of operating expenses to average net assets
|
||||||||
excluding interest on reverse repurchase
|
||||||||
agreements (after expense reimbursement)
|
1.89
|
%(4)
|
1.89
|
%
|
||||
Ratio of net investment income
|
||||||||
to average net assets
|
2.53
|
%(4)
|
1.19
|
%
|
||||
Portfolio turnover rate(5)
|
42
|
%(3)
|
192
|
%
|
(1)
|
Net investment income before interest on reverse repurchase agreements for the six months ended June 30, 2019 and the year ended December 31, 2018 was $0.14 and $0.13, respectively.
|
(2)
|
Net investment income 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, swap contracts, reverse repurchase agreements, and short positions). The denominator
includes the average long positions throughout the period.
|
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
|
||||||||||||
Assets
|
||||||||||||||||
Common Stocks*
|
$
|
1,666,704,917
|
$
|
123,719,798
|
$
|
60,205,170
|
$
|
1,850,629,885
|
||||||||
Special Purpose
|
||||||||||||||||
Acquisition Companies
|
99,602,800
|
48,232,788
|
—
|
147,835,588
|
||||||||||||
Closed-End Funds
|
346,922,977
|
—
|
—
|
346,922,977
|
||||||||||||
Preferred Stocks
|
455,783
|
—
|
—
|
455,783
|
||||||||||||
Contingent Value Rights
|
—
|
—
|
26,735
|
26,735
|
||||||||||||
Rights
|
138,533
|
—
|
—
|
138,533
|
||||||||||||
Warrants
|
3,424,349
|
373,949
|
—
|
3,798,298
|
||||||||||||
Bank Loans
|
—
|
91,968,912
|
—
|
91,968,912
|
||||||||||||
Corporate Bonds
|
—
|
238,096,229
|
—
|
238,096,229
|
||||||||||||
Purchased Option Contracts
|
1,473,608
|
—
|
—
|
1,473,608
|
||||||||||||
Escrow Notes
|
—
|
—
|
273,549
|
273,549
|
||||||||||||
Short-Term Investments
|
315,132,526
|
21,657,099
|
—
|
336,789,625
|
||||||||||||
Investments Purchased
|
||||||||||||||||
with the Cash Proceeds
|
||||||||||||||||
from Securities Lending***
|
—
|
—
|
—
|
61,258,584
|
||||||||||||
Swap Contracts**
|
—
|
163,484
|
—
|
163,484
|
||||||||||||
Total
|
$
|
2,433,855,493
|
$
|
524,212,259
|
$
|
60,505,454
|
$
|
3,079,831,790
|
||||||||
Liabilities
|
||||||||||||||||
Short Common Stocks*
|
$
|
(1,133,524,135
|
)
|
$
|
—
|
$
|
—
|
$
|
(1,133,524,135
|
)
|
||||||
Private Placements
|
—
|
—
|
(757,684
|
)
|
(757,684
|
)
|
||||||||||
Written Option Contracts
|
(3,322,714
|
)
|
—
|
—
|
(3,322,714
|
)
|
||||||||||
Forward Currency
|
||||||||||||||||
Exchange Contracts**
|
—
|
(575,030
|
)
|
—
|
(575,030
|
)
|
||||||||||
Swap Contracts**
|
—
|
(70,814
|
)
|
—
|
(70,814
|
)
|
||||||||||
Total
|
$
|
(1,136,846,849
|
)
|
$
|
(645,844
|
)
|
$
|
(757,684
|
)
|
$
|
(1,138,250,377
|
)
|
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Common Stocks*
|
$
|
87,137,920
|
$
|
7,830,596
|
$
|
1,024,016
|
$
|
95,992,532
|
||||||||
Special Purpose
|
||||||||||||||||
Acquisition Companies
|
18,816,134
|
4,102,536
|
—
|
22,918,670
|
||||||||||||
Closed End Funds
|
5,819,145
|
—
|
—
|
5,819,145
|
||||||||||||
Preferred Stocks
|
7,533,858
|
—
|
—
|
7,533,858
|
||||||||||||
Contingent Value Rights
|
—
|
—
|
1,286
|
1,286
|
||||||||||||
Rights
|
20,734
|
8,017
|
—
|
28,751
|
||||||||||||
Warrants
|
551,475
|
82,261
|
—
|
633,736
|
||||||||||||
Bank Loans
|
—
|
4,434,578
|
—
|
4,434,578
|
||||||||||||
Convertible Bonds
|
—
|
2,438,679
|
—
|
2,438,679
|
||||||||||||
Corporate Bonds
|
—
|
27,190,803
|
—
|
27,190,803
|
||||||||||||
Purchased Option Contracts
|
345,089
|
22,350
|
—
|
367,439
|
||||||||||||
Escrow Notes
|
—
|
—
|
22,237
|
22,237
|
||||||||||||
Short-Term Investments
|
6,229,598
|
24,426,156
|
—
|
30,655,754
|
||||||||||||
Swap Contracts**
|
—
|
489,598
|
—
|
489,598
|
||||||||||||
Total
|
$
|
126,453,953
|
$
|
71,025,574
|
$
|
1,047,539
|
$
|
198,527,066
|
||||||||
Liabilities
|
||||||||||||||||
Short Common Stocks*
|
$
|
(51,981,298
|
)
|
$
|
—
|
$
|
—
|
$
|
(51,981,298
|
)
|
||||||
Private Placements
|
—
|
—
|
(49,676
|
)
|
(49,676
|
)
|
||||||||||
Written Option Contracts
|
(2,096,052
|
)
|
(774,710
|
)
|
—
|
(2,870,762
|
)
|
|||||||||
Forward Currency
|
||||||||||||||||
Exchange Contracts**
|
—
|
(49,493
|
)
|
—
|
(49,493
|
)
|
||||||||||
Swap Contracts**
|
—
|
(91,246
|
)
|
—
|
(91,246
|
)
|
||||||||||
Total
|
$
|
(54,077,350
|
)
|
$
|
(915,449
|
)
|
$
|
(49,676
|
)
|
$
|
(55,042,475
|
)
|
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Special Purpose
|
||||||||||||||||
Acquisition Companies
|
$
|
1,309,569
|
$
|
131,597
|
$
|
—
|
$
|
1,441,166
|
||||||||
Closed-End Funds
|
4,299
|
—
|
—
|
4,299
|
||||||||||||
Preferred Stocks
|
112,260
|
—
|
—
|
112,260
|
||||||||||||
Warrants
|
64,872
|
—
|
—
|
64,872
|
||||||||||||
Bank Loans
|
—
|
380,372
|
—
|
380,372
|
||||||||||||
Convertible Bonds
|
—
|
328,627
|
—
|
328,627
|
||||||||||||
Corporate Bonds
|
—
|
1,914,552
|
—
|
1,914,552
|
||||||||||||
Short-Term Investments
|
113,946
|
—
|
—
|
113,946
|
||||||||||||
Total
|
$
|
1,604,946
|
$
|
2,755,148
|
$
|
—
|
$
|
4,360,094
|
||||||||
Liabilities
|
||||||||||||||||
Short Common Stock*
|
$
|
(41,555
|
)
|
$
|
—
|
$
|
—
|
$
|
(41,555
|
)
|
||||||
Swap Contracts**
|
—
|
(12,431
|
)
|
—
|
(12,431
|
)
|
||||||||||
Reverse Repurchase Agreements
|
—
|
(352,000
|
)
|
—
|
(352,000
|
)
|
||||||||||
Total
|
$
|
(41,555
|
)
|
$
|
(364,431
|
)
|
$
|
—
|
$
|
(405,986
|
)
|
*
|
Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type.
|
|
**
|
Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty.
|
|
***
|
Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been characterized in the fair value hierarchy. The fair value amount
presented in the table is intended to permit reconciliation of the fair value hierarchy to the amount presented in the Schedule of Investments and Statement of Assets and Liabilities. See Note 9 for additional information regarding securities
lending activity.
|
Common
|
Contingent
|
Escrow
|
Private
|
Total
|
||||||||||||||||
Description
|
Stocks
|
Value Rights
|
Notes
|
Placements
|
Investment
|
|||||||||||||||
Balance as of December 31, 2018
|
$
|
59,773,482
|
$
|
26,735
|
$
|
1,927,279
|
$
|
—
|
$
|
61,727,496
|
||||||||||
Purchases on Investments*
|
—
|
—
|
—
|
(748,500
|
)
|
(748,500
|
)
|
|||||||||||||
(Sales) of Investments
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Realized (Gain) Loss
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Transfers Into Level 3
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
(Transfer Out) of Level 3
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Change in Unrealized
|
||||||||||||||||||||
Appreciation (Depreciation)
|
431,688
|
—
|
(1,653,730
|
)**
|
(9,184
|
)
|
(1,231,226
|
)
|
||||||||||||
Balance as of June 30, 2019
|
$
|
60,205,170
|
$
|
26,735
|
$
|
273,549
|
$
|
(757,684
|
)
|
$
|
59,747,770
|
|||||||||
Change in unrealized appreciation
|
||||||||||||||||||||
(depreciation) during the period
|
||||||||||||||||||||
for Level 3 investments
|
||||||||||||||||||||
held at June 30, 2019.
|
$
|
431,688
|
$
|
—
|
$
|
(1,067,887
|
)**
|
$
|
(9,184
|
)
|
$
|
(645,383
|
)
|
|||||||
WCM Alternatives: Event-Driven Fund
|
||||||||||||||||||||
Common
|
Contingent
|
Escrow
|
Private
|
Total
|
||||||||||||||||
Description
|
Stocks
|
Value Rights
|
Notes
|
Placements
|
Investment
|
|||||||||||||||
Balance as of December 31, 2018
|
$
|
1,016,674
|
$
|
1,286
|
$
|
60,608
|
$
|
—
|
$
|
1,078,568
|
||||||||||
Purchases on Investments*
|
—
|
—
|
—
|
(48,929
|
)
|
(48,929
|
)
|
|||||||||||||
(Sales) of Investments
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Realized (Gain) Loss
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Transfers Into Level 3
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
(Transfer Out) of Level 3
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||
Change in Unrealized
|
||||||||||||||||||||
Appreciation (Depreciation)
|
7,342
|
—
|
(38,371
|
)**
|
(747
|
)
|
(31,776
|
)
|
||||||||||||
Balance as of June 30, 2019
|
$
|
1,024,016
|
$
|
1,286
|
$
|
22,237
|
$
|
(49,676
|
)
|
$
|
997,863
|
|||||||||
Change in unrealized appreciation
|
||||||||||||||||||||
(depreciation) during the period
|
||||||||||||||||||||
for Level 3 investments
|
||||||||||||||||||||
held at June 30, 2019.
|
$
|
7,342
|
$
|
—
|
$
|
(19,717
|
)**
|
$
|
(747
|
)
|
$
|
(13,122
|
)
|
*
|
Includes receipts from corporate actions.
|
|
**
|
The difference in unrealized depreciation values is due to a change in the cost basis from a corporate action.
|
Fair Value
|
Valuation
|
Unobservable
|
||||
Description
|
June 30, 2019
|
Technique
|
Input
|
|||
Common Stock
|
$
|
60,205,170
|
Discounted Cash
|
Discount Rates/
|
||
Flow Model
|
Terminal Value/
|
|||||
Cash Flow Projections
|
||||||
Escrow Note
|
$
|
—
|
*
|
Projected Final
|
Discount of Projected
|
|
Distribution**
|
Distribution
|
*
|
Amount less than $0.50.
|
|
**
|
This Level 3 security was received through a corporate action. The security is being kept open due to the potential of an additional distribution. Based on the evaluation of the likelihood of an
additional distribution, the security is being priced at zero.
|
Fair Value at
|
Valuation
|
Unobservable
|
||||
Description
|
June 30, 2019
|
Technique
|
Input
|
|||
Common Stock
|
$
|
1,024,016
|
Discounted Cash
|
Discount Rates/
|
||
Flow Model
|
Terminal Value/
|
|||||
Cash Flow Projections
|
Monthly Average
|
Monthly Average
|
|||||||
Quantity
|
Notional Value
|
|||||||
Purchased Option Contracts
|
30,334
|
$
|
210,658,254
|
|||||
Written Option Contracts
|
38,623
|
$
|
279,593,694
|
|||||
Forward Currency Exchange Contracts
|
8
|
$
|
64,265,167
|
|||||
Long Total Return Swap Contracts
|
11,562,593
|
$
|
82,417,352
|
|||||
Short Total Return Swap Contracts
|
233,538
|
$
|
4,925,927
|
|||||
WCM Alternatives: Event-Driven Fund
|
||||||||
Monthly Average
|
Monthly Average
|
|||||||
Quantity
|
Notional Value
|
|||||||
Purchased Option Contracts
|
11,710
|
$
|
41,031,318
|
|||||
Written Option Contracts
|
12,179
|
$
|
44,627,123
|
|||||
Forward Currency Exchange Contracts
|
9
|
$
|
7,632,009
|
|||||
Long Total Return Swap Contracts
|
2,135,303
|
$
|
63,475,664
|
|||||
Short Total Return Swap Contracts
|
141,546
|
$
|
13,655,007
|
|||||
WCM Alternatives: Credit Event Fund
|
||||||||
Monthly Average
|
Monthly Average
|
|||||||
Quantity
|
Notional Value
|
|||||||
Long Total Return Swap Contracts
|
109,070
|
$
|
1,174,701
|
|||||
Short Total Return Swap Contracts
|
405
|
$
|
74,866
|
Asset Derivatives
|
||||||
Statements of Assets
|
||||||
Derivatives
|
and Liabilities Location
|
Fair Value
|
||||
The Merger Fund
|
||||||
Equity Contracts:
|
||||||
Purchased Option Contracts
|
Investments
|
$
|
1,473,608
|
|||
Swap Contracts
|
Receivables
|
163,484
|
||||
Total
|
$
|
1,637,092
|
||||
WCM Alternatives: Event-Driven Fund
|
||||||
Equity Contracts:
|
||||||
Purchased Option Contracts
|
Investments
|
$
|
367,439
|
|||
Swap Contracts
|
Receivables
|
489,598
|
||||
Total
|
$
|
857,037
|
Liability Derivatives
|
|||||||
Statements of Assets
|
|||||||
Derivatives
|
and Liabilities Location
|
Fair Value
|
|||||
The Merger Fund
|
|||||||
Equity Contracts:
|
|||||||
Written Option Contracts
|
Written Option Contracts
|
$
|
3,322,714
|
||||
Swap Contracts
|
Payables
|
70,814
|
|||||
Foreign Exchange Contracts:
|
|||||||
Forward Currency Exchange Contracts
|
Payables
|
575,030
|
|||||
Total
|
$
|
3,968,558
|
|||||
WCM Alternatives: Event-Driven Fund
|
|||||||
Equity Contracts:
|
|||||||
Written Option Contracts
|
Written Option Contracts
|
$
|
2,870,762
|
||||
Swap Contracts
|
Payables
|
91,246
|
|||||
Foreign Exchange Contracts:
|
|||||||
Forward Currency Exchange Contracts
|
Payables
|
49,493
|
|||||
Total
|
$
|
3,011,501
|
|||||
WCM Alternatives: Credit Event Fund
|
|||||||
Equity Contracts:
|
|||||||
Swap Contracts
|
Payables
|
$
|
12,431
|
||||
Total
|
$
|
12,431
|
Forward
|
||||||||||||||||||||||
Purchased
|
Written
|
Currency
|
||||||||||||||||||||
Option
|
Option
|
Exchange
|
Swap
|
|||||||||||||||||||
Derivatives
|
Contracts*
|
Contracts
|
Contracts
|
Contracts
|
Total
|
|||||||||||||||||
The Merger Fund
|
||||||||||||||||||||||
Equity Contracts
|
$
|
(13,429,600
|
)
|
$
|
6,982,059
|
$
|
—
|
$
|
10,717,598
|
$
|
4,270,057
|
|||||||||||
Foreign Exchange
|
||||||||||||||||||||||
Contracts
|
—
|
—
|
2,671,854
|
—
|
2,671,854
|
|||||||||||||||||
Total
|
$
|
(13,429,600
|
)
|
$
|
6,982,059
|
$
|
2,671,854
|
$
|
10,717,598
|
$
|
6,941,911
|
|||||||||||
WCM Alternatives:
|
||||||||||||||||||||||
Event-Driven Fund
|
||||||||||||||||||||||
Equity Contracts
|
$
|
(1,340,170
|
)
|
$
|
(172,182
|
)
|
$
|
—
|
$
|
3,640,779
|
$
|
2,128,427
|
||||||||||
Foreign Exchange
|
||||||||||||||||||||||
Contracts
|
—
|
—
|
222,446
|
—
|
222,446
|
|||||||||||||||||
Total
|
$
|
(1,340,170
|
)
|
$
|
(172,182
|
)
|
$
|
222,446
|
$
|
3,640,779
|
$
|
2,350,873
|
||||||||||
WCM Alternatives:
|
||||||||||||||||||||||
Credit Event Fund
|
||||||||||||||||||||||
Equity Contracts
|
$
|
3,261
|
$
|
3,261
|
||||||||||||||||||
Total
|
$
|
3,261
|
$
|
3,261
|
Forward
|
||||||||||||||||||||||
Purchased
|
Written
|
Currency
|
||||||||||||||||||||
Option
|
Option
|
Exchange
|
Swap
|
|||||||||||||||||||
Derivatives
|
Contracts*
|
Contracts
|
Contracts
|
Contracts
|
Total
|
|||||||||||||||||
The Merger Fund
|
||||||||||||||||||||||
Equity Contracts
|
$
|
(2,667,178
|
)
|
$
|
(2,166,684
|
)
|
$
|
—
|
$
|
(9,530,707
|
)
|
$
|
(14,364,569
|
)
|
||||||||
Foreign Exchange
|
||||||||||||||||||||||
Contracts
|
—
|
—
|
(1,439,515
|
)
|
—
|
(1,439,515
|
)
|
|||||||||||||||
Total
|
$
|
(2,667,178
|
)
|
$
|
(2,166,684
|
)
|
$
|
(1,439,515
|
)
|
$
|
(9,530,707
|
)
|
$
|
(15,804,084
|
)
|
|||||||
WCM Alternatives:
|
||||||||||||||||||||||
Event-Driven Fund
|
||||||||||||||||||||||
Equity Contracts
|
$
|
(1,026,411
|
)
|
$
|
(1,252,820
|
)
|
$
|
—
|
$
|
(1,255,632
|
)
|
$
|
(3,534,863
|
)
|
||||||||
Foreign Exchange
|
||||||||||||||||||||||
Contracts
|
—
|
—
|
(164,985
|
)
|
—
|
(164,985
|
)
|
|||||||||||||||
Total
|
$
|
(1,026,411
|
)
|
$
|
(1,252,820
|
)
|
$
|
(164,985
|
)
|
$
|
(1,255,632
|
)
|
$
|
(3,699,848
|
)
|
|||||||
WCM Alternatives:
|
||||||||||||||||||||||
Credit Event Fund
|
||||||||||||||||||||||
Equity Contracts
|
$
|
82,627
|
$
|
82,627
|
||||||||||||||||||
Total
|
$
|
82,627
|
$
|
82,627
|
WCM Alternatives: Event-Driven Fund
|
Year of Expiration
|
Potential Recovery
|
12/31/2019
|
$ 5,319(a)
|
|
WCM Alternatives: Credit Event Fund
|
Year of Expiration
|
Potential Recovery
|
12/31/2020
|
$173,278
|
|
12/31/2021
|
$ 75,547
|
(a)
|
For the six months ended June 30, 2019, the Advisor has recouped/recovered all available fees and expenses.
|
Six Months Ended
|
Year Ended
|
|||||||||||||||
The Merger Fund
|
June 30, 2019
|
December 31, 2018
|
||||||||||||||
Investor Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
14,271,056
|
$
|
237,258,054
|
33,197,364
|
$
|
553,768,103
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
2,808,501
|
46,003,244
|
||||||||||||
Redeemed
|
(21,481,788
|
)
|
(359,148,867
|
)
|
(31,786,636
|
)
|
(526,161,249
|
)
|
||||||||
Net Increase (Decrease)
|
(7,210,732
|
)
|
$
|
(121,890,813
|
)
|
4,219,229
|
$
|
73,610,098
|
||||||||
Six Months Ended
|
Year Ended
|
|||||||||||||||
June 30, 2019
|
December 31, 2018
|
|||||||||||||||
Institutional Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
33,283,218
|
$
|
551,285,429
|
43,506,112
|
$
|
720,447,542
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
2,631,814
|
42,793,301
|
||||||||||||
Redeemed
|
(13,563,152
|
)
|
(224,811,059
|
)
|
(27,148,324
|
)
|
(447,283,602
|
)
|
||||||||
Net Increase
|
19,720,066
|
$
|
326,474,370
|
18,989,602
|
$
|
315,957,241
|
||||||||||
Six Months Ended
|
Year Ended
|
|||||||||||||||
WCM Alternatives:
|
June 30, 2019
|
December 31, 2018
|
||||||||||||||
Event-Driven Fund
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Investor Class
|
||||||||||||||||
Issued
|
553,806
|
$
|
5,813,839
|
507,188
|
$
|
5,306,943
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
51,498
|
519,098
|
||||||||||||
Redeemed
|
(168,997
|
)
|
(1,786,750
|
)
|
(86,753
|
)
|
(909,847
|
)
|
||||||||
Net Increase
|
384,809
|
$
|
4,027,089
|
471,933
|
$
|
4,916,194
|
||||||||||
Six Months Ended
|
Year Ended
|
|||||||||||||||
June 30, 2019
|
December 31, 2018
|
|||||||||||||||
Institutional Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
4,439,725
|
$
|
46,711,624
|
4,957,091
|
$
|
51,992,483
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
692,534
|
6,994,591
|
||||||||||||
Redeemed
|
(1,055,052
|
)
|
(11,114,954
|
)
|
(1,585,769
|
)
|
(16,643,231
|
)
|
||||||||
Net Increase
|
3,384,673
|
$
|
35,596,670
|
4,063,856
|
$
|
42,343,843
|
Six Months Ended
|
Year Ended
|
|||||||||||||||
WCM Alternatives:
|
June 30, 2019
|
December 31, 2018
|
||||||||||||||
Credit Event Fund
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Investor Class
|
||||||||||||||||
Issued
|
—
|
$
|
—
|
4,231
|
$
|
42,400
|
*
|
|||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
57
|
547
|
||||||||||||
Redeemed
|
—
|
—
|
(258
|
)
|
(2,561
|
)
|
||||||||||
Net Increase
|
—
|
$
|
—
|
4,030
|
$
|
40,386
|
||||||||||
Six Months Ended
|
Year Ended
|
|||||||||||||||
June 30, 2019
|
December 31, 2018
|
|||||||||||||||
Institutional Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
—
|
$
|
—
|
395,754
|
$
|
3,960,131
|
*
|
|||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
—
|
—
|
6,338
|
60,465
|
||||||||||||
Redeemed
|
(10,159
|
)
|
(97,224
|
)
|
(10,005
|
)
|
(99,029
|
)
|
||||||||
Net Increase (Decrease)
|
(10,159
|
)
|
$
|
(97,224
|
)
|
392,087
|
$
|
3,921,567
|
*
|
The Fund received a seed investment of $2,700,000 and $10,000 within the Institutional and Investor share class, respectively, on December 29, 2017 in a non-interest bearing account. The Fund did not conduct
investment activity nor incur operating expenses until January 2, 2018.
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||
Cost of investments*
|
$
|
2,320,747,673
|
$
|
121,954,901
|
$
|
4,128,252
|
||||||
Gross unrealized appreciation
|
125,811,658
|
8,141,053
|
23,779
|
|||||||||
Gross unrealized depreciation
|
(187,950,252
|
)
|
(10,569,904
|
)
|
(76,882
|
)
|
||||||
Net unrealized depreciation
|
$
|
(62,138,594
|
)
|
$
|
(2,428,851
|
)
|
$
|
(53,103
|
)
|
|||
Undistributed ordinary income
|
42,262,347
|
2,055,265
|
—
|
|||||||||
Undistributed long-term capital gain
|
—
|
—
|
—
|
|||||||||
Total distributable earnings
|
$
|
42,262,347
|
$
|
2,055,265
|
$
|
—
|
||||||
Other accumulated losses
|
(5,589,182
|
)
|
(1,071,493
|
)
|
(126,584
|
)
|
||||||
Total accumulated gains (losses)
|
$
|
(25,465,429
|
)
|
$
|
(1,445,079
|
)
|
$
|
(179,687
|
)
|
*
|
Represents cost (including derivative contracts) for federal income tax purposes and differs from the cost for financial reporting purposes due to wash sales, constructive sales, PFIC mark to market, and unsettled
short losses.
|
Distributable
|
||||||||
Loss
|
Paid-in Capital
|
|||||||
The Merger Fund
|
$
|
222,089
|
$
|
(222,089
|
)
|
|||
WCM Alternatives: Event-Driven Fund
|
$
|
1,848
|
$
|
(1,848
|
)
|
|||
WCM Alternatives: Credit Event Fund
|
$
|
—
|
$
|
—
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||||||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||||||||||||||
Investor Class
|
2019
|
2018
|
2019
|
2018
|
2019
|
2018
|
||||||||||||||||||
Ordinary Income
|
$
|
—
|
$
|
48,391,719
|
$
|
—
|
$
|
519,098
|
$
|
—
|
$
|
547
|
||||||||||||
Long-Term Capital Gains
|
—
|
6,684,398
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Total Distributions Paid
|
$
|
—
|
$
|
55,076,117
|
$
|
—
|
$
|
519,098
|
$
|
—
|
$
|
547
|
||||||||||||
Institutional Class
|
||||||||||||||||||||||||
Ordinary Income
|
$
|
—
|
$
|
62,454,617
|
$
|
—
|
$
|
7,102,230
|
$
|
—
|
$
|
60,465
|
||||||||||||
Long-Term Capital Gains
|
—
|
8,026,173
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Total Distributions Paid
|
$
|
—
|
$
|
70,480,790
|
$
|
—
|
$
|
7,102,230
|
$
|
—
|
$
|
60,465
|
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**
|
$
|
2,263,682
|
$
|
2,263,682
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
292,217
|
292,217
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
606,807
|
443,323
|
163,484
|
—
|
—
|
163,484
|
||||||||||||||||||
$
|
3,162,706
|
$
|
2,999,222
|
$
|
163,484
|
$
|
—
|
$
|
—
|
$
|
163,484
|
|||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Written Option
|
||||||||||||||||||||||||
Contracts**
|
$
|
3,322,714
|
$
|
—
|
$
|
3,322,714
|
$
|
—
|
$
|
3,322,714
|
$
|
—
|
||||||||||||
Forward
|
||||||||||||||||||||||||
Currency
|
||||||||||||||||||||||||
Exchange
|
||||||||||||||||||||||||
Contracts**
|
2,838,712
|
2,263,682
|
575,030
|
—
|
575,030
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
363,031
|
292,217
|
70,814
|
—
|
70,814
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
443,323
|
443,323
|
—
|
—
|
—
|
—
|
||||||||||||||||||
$
|
6,967,780
|
$
|
2,999,222
|
$
|
3,968,558
|
$
|
—
|
$
|
3,968,558
|
$
|
—
|
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**
|
$
|
124,264
|
$
|
124,264
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
1,565,550
|
1,159,453
|
406,097
|
—
|
—
|
406,097
|
||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
1,192,604
|
1,192,604
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
83,501
|
—
|
83,501
|
—
|
—
|
83,501
|
||||||||||||||||||
$
|
2,965,919
|
$
|
2,476,321
|
$
|
489,598
|
$
|
—
|
$
|
—
|
$
|
489,598
|
|||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Written
|
||||||||||||||||||||||||
Option
|
||||||||||||||||||||||||
Contracts**
|
$
|
2,870,762
|
$
|
—
|
$
|
2,870,762
|
$
|
—
|
$
|
2,870,762
|
$
|
—
|
||||||||||||
Forward
|
||||||||||||||||||||||||
Currency
|
||||||||||||||||||||||||
Exchange
|
||||||||||||||||||||||||
Contracts**
|
173,757
|
124,264
|
49,493
|
—
|
49,493
|
—
|
||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
1,159,453
|
1,159,453
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
1,283,850
|
1,192,604
|
91,246
|
—
|
91,246
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
—
|
—
|
—
|
—
|
—
|
—
|
||||||||||||||||||
$
|
5,487,822
|
$
|
2,476,321
|
$
|
3,011,501
|
$
|
—
|
$
|
3,011,501
|
$
|
—
|
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
|
||||||||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
$
|
25,682
|
$
|
25,682
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
|
$
|
25,682
|
$
|
25,682
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
$
|
38,113
|
$
|
25,682
|
$
|
12,431
|
$
|
—
|
$
|
12,431
|
$
|
—
|
||||||||||||
Reverse
|
||||||||||||||||||||||||
Repurchase
|
||||||||||||||||||||||||
Agreements —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
352,000
|
—
|
352,000
|
—
|
352,000
|
—
|
||||||||||||||||||
$
|
390,113
|
$
|
25,682
|
$
|
364,431
|
$
|
—
|
$
|
364,431
|
$
|
—
|
*
|
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 reverse repurchase agreements and the prime broker for all written option contracts held by the Funds as of
June 30, 2019.
|
Value of
|
Cash
|
Total value
|
|
Securities
|
Collateral Posted
|
of Collateral
|
|
on Loan
|
by Borrower
|
Investments
|
|
Mount Vernon Liquid Asset Portfolio, LLC*
|
$60,235,769
|
$61,258,584
|
$61,258,584
|
*
|
Please refer to the Schedule of Investments to view classification as this instrument is classified as a short-term fund and is not a registered money market fund.
|
•
|
Information we receive from you on or in applications or other forms, correspondence, or conversations, including, but not limited to, your name, address, phone number, social security number, assets, income and
date of birth; and
|
|
•
|
Information about your transactions with us, our affiliates, or others, including, but not limited to, your account number and balance, payments history, parties to transactions, cost basis information, and other
financial information.
|
(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 3, 2019
|
/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 3, 2019
|
/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 3, 2019
|
Dated: September 3, 2019
|
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