STANDARDIZED
|
Mutual Fund Assets:
|
|
PERFORMANCE SUMMARY
|
Merger Arbitrage1
|
$3.5 billion
|
As of December 31, 2019
|
Opportunistic Credit
|
$5.2 million
|
Multi-Event2
|
$526.8 million
|
Average Annual Total Return (%)
|
||||||
Merger Arbitrage4
|
QTD
|
YTD
|
1 YR
|
5 YR
|
10 YR
|
Life
|
The Merger Fund
|
||||||
(Institutional)
|
1.76
|
6.32
|
6.32
|
3.85
|
n/a
|
3.59
|
The Merger Fund
|
||||||
(Investor)
|
1.69
|
5.96
|
5.96
|
3.52
|
3.13
|
6.10
|
Insurance
|
||||||
Dedicated Funds4
|
||||||
The Merger Fund VL
|
1.69
|
6.17
|
6.17
|
3.43
|
3.10
|
4.80
|
Opportunistic Credit4
|
||||||
Credit Event Fund
|
||||||
(Institutional)
|
1.59
|
12.87
|
12.87
|
n/a
|
n/a
|
4.66
|
Credit Event Fund
|
||||||
(Investor)
|
1.53
|
12.60
|
12.60
|
n/a
|
n/a
|
4.37
|
Multi Event4
|
||||||
Event-Driven Fund
|
||||||
(Institutional)
|
2.72
|
11.13
|
11.13
|
4.29
|
n/a
|
4.22
|
Event-Driven Fund
|
||||||
(Investor)
|
2.62
|
10.73
|
10.73
|
n/a
|
n/a
|
6.97
|
Annual Operating Expense Ratio (%)3
|
|||||
Net Expenses
|
|||||
Gross
|
Net
|
excluding
|
|||
Expense
|
Expense
|
Investment-
|
Performance
|
||
Merger Arbitrage4
|
Ratio
|
Ratio3,4
|
Related Expenses4,5
|
Inception
|
Ticker
|
The Merger Fund
|
|||||
(Institutional)
|
1.74%
|
1.71%
|
1.20%
|
08/01/2013
|
MERIX
|
The Merger Fund
|
|||||
(Investor)
|
2.04%
|
2.01%
|
1.50%
|
01/31/1989
|
MERFX
|
Insurance
|
|||||
Dedicated Funds4
|
|||||
The Merger Fund VL
|
2.67%
|
1.94%
|
1.40%
|
05/26/2004
|
MERVX
|
Opportunistic Credit4
|
|||||
Credit Event Fund
|
|||||
(Institutional)
|
6.29%
|
1.78%
|
1.64%
|
12/29/2017
|
WCFIX
|
Credit Event Fund
|
|||||
(Investor)
|
6.61%
|
2.03%
|
1.89%
|
12/29/2017
|
WCFRX
|
Multi Event4
|
|||||
Event-Driven Fund
|
|||||
(Institutional)
|
2.31%
|
2.31%
|
1.74%
|
01/02/2014
|
WCEIX
|
Event-Driven Fund
|
|||||
(Investor)
|
2.56%
|
2.56%
|
1.99%
|
03/22/2017
|
WCERX
|
QTD
|
YTD
|
1 Year
|
5 Years
|
10 Years
|
15 Years
|
|
Wilshire Liq Alt Event Driven
|
1.29%
|
6.11%
|
6.11%
|
1.66%
|
1.94%
|
2.91%
|
BBgBarc US Agg Bond
|
0.18%
|
8.72%
|
8.72%
|
3.05%
|
3.75%
|
4.15%
|
ICE B of AML
|
||||||
US 3M Trsy Bill
|
0.46%
|
2.28%
|
2.28%
|
1.07%
|
0.58%
|
1.39%
|
1
|
3-year Standard deviation of: The Merger Fund (MERIX) 2.59%, The Merger Fund VL (MERVX) 2.58%, and WCM Alternatives: Event-Driven Fund (WCEIX) 3.78% versus the S&P 500 Index 12.12%. WCM Alternatives: Credit Event Fund does not yet
have a 3-year track record.
|
2
|
Dealmakers eye cross-border M&A recovery as mega mergers roll on, Reuters, December 31, 2019
|
3
|
Winning through M&A in the next recession, PwC, December 31, 2019
|
4
|
Private equity’s record $1.5 trillion cash pile comes with a new set of challenges, CNBC, January 3, 2020
|
Winners
|
Losers
|
||
•
|
Allergan PLC/
|
•
|
Macro Portfolio
|
|
AbbVie Inc (+0.29%)
|
|
Hedge (-0.12%)
|
•
|
Alibaba/Altaba (+0.21%)
|
•
|
Qiagen NV/Thermo
|
•
|
Celgene Corp/Bristol-Myers
|
Fisher Scientific (-0.08%)
|
|
Squibb Co (+0.15%)
|
Roy Behren
|
Mike Shannon
|
Type of Buyer
|
Deal Terms*
|
|||||||||||
Strategic
|
90.8
|
%
|
Cash
|
57.9
|
%
|
|||||||
Financial
|
9.2
|
%
|
Stock and Stub(1)
|
14.9
|
%
|
|||||||
Stock with Fixed Exchange Ratio
|
14.3
|
%
|
||||||||||
By Deal Type
|
Cash & Stock
|
11.9
|
%
|
|||||||||
Friendly
|
100.0
|
%
|
Undetermined(2)
|
1.0
|
%
|
|||||||
Hostile
|
—
|
%
|
Stock with Flexible
|
|||||||||
Exchange Ratio (Collar)
|
—
|
%**
|
*
|
Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of December 31, 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 stocks, preferred stocks, contingent value rights, warrants, bank loans, corporate bonds and swap contract positions as of December 31, 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 stocks, closed-end funds, preferred stocks, contingent value rights, rights, warrants, bank loans, convertible bonds, corporate bonds and swap contract positions as of December 31, 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 long common stocks, closed-end funds, preferred stocks, warrants, bank loans, convertible bonds, corporate bonds and swap contract positions as of December 31, 2019. Data expressed excludes special
purpose acquisition companies, short-term investments, securities sold short and short total return swap contracts. Please refer to the Schedule of Investments for more details on the Fund’s individual holdings.
|
1 Yr.
|
3 Yr.
|
5 Yr.
|
10 Yr.
|
|
Investor Class
|
5.96%
|
5.32%
|
3.52%
|
3.13%
|
ICE BofA Index
|
2.28%
|
1.67%
|
1.07%
|
0.58%
|
Since
|
||||
Inception
|
||||
1 Yr.
|
3 Yr.
|
5 Yr
|
(8/1/2013)
|
|
Institutional Class
|
6.32%
|
5.65%
|
3.85%
|
3.59%
|
ICE BofA Index
|
2.28%
|
1.67%
|
1.07%
|
0.85%
|
Since
|
||||
Inception
|
||||
1 Yr.
|
3 Yr.
|
5 Yr.
|
(1/2/2014)
|
|
Institutional Class
|
11.13%
|
7.00%
|
4.29%
|
4.22%
|
ICE BofA Index
|
2.28%
|
1.67%
|
1.07%
|
0.90%
|
Since
|
||||
Inception
|
||||
1 Yr.
|
(3/22/2017)
|
|||
Investor Class
|
10.73%
|
6.97%
|
||
ICE BofA Index
|
2.28%
|
1.77%
|
Since Inception
|
||
1 Yr.
|
(12/29/2017)
|
|
Institutional Class
|
12.87%
|
4.66%
|
ICE BofA Index
|
2.28%
|
2.07%
|
Since Inception
|
||
1 Yr.
|
(12/29/2017)
|
|
Investor Class
|
12.60%
|
4.37%
|
ICE BofA Index
|
2.28%
|
2.07%
|
Annualized
|
Beginning
|
Ending
|
Expenses Paid
|
|
Net Expense
|
Account
|
Account
|
During Period
|
|
Ratio
|
Value
|
Value
|
7/1/19-
|
|
12/31/19
|
7/1/19
|
12/31/19
|
12/31/19(1)
|
|
The Merger Fund
|
||||
Investor Class
|
||||
Actual Expenses(2)(3)
|
1.91%
|
$1,000.00
|
$1,034.40
|
$9.79
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(3)
|
1.91%
|
$1,000.00
|
$1,015.58
|
$9.70
|
Institutional Class
|
||||
Actual Expenses(2)(3)
|
1.65%
|
$1,000.00
|
$1,036.50
|
$8.47
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(3)
|
1.65%
|
$1,000.00
|
$1,016.89
|
$8.39
|
Annualized
|
Beginning
|
Ending
|
Expenses Paid
|
|
Net Expense
|
Account
|
Account
|
During Period
|
|
Ratio
|
Value
|
Value
|
7/1/19-
|
|
12/31/19
|
7/1/19
|
12/31/19
|
12/31/19(1)
|
|
WCM Alternatives: Event-Driven Fund
|
||||
Investor Class
|
||||
Actual Expenses(2)(4)
|
2.23%
|
$1,000.00
|
$1,045.30
|
$11.50
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(4)
|
2.23%
|
$1,000.00
|
$1,013.96
|
$11.32
|
Institutional Class
|
||||
Actual Expenses(2)(4)
|
1.97%
|
$1,000.00
|
$1,047.20
|
$10.17
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(4)
|
1.97%
|
$1,000.00
|
$1,015.27
|
$10.01
|
Annualized
|
Beginning
|
Ending
|
Expenses Paid
|
|
Net Expense
|
Account
|
Account
|
During Period
|
|
Ratio
|
Value
|
Value
|
7/1/19-
|
|
12/31/19
|
7/1/19
|
12/31/19
|
12/31/19(1)
|
|
WCM Alternatives: Credit Event Fund
|
||||
Investor Class
|
||||
Actual Expenses(2)(5)
|
2.12%
|
$1,000.00
|
$1,028.90
|
$10.84
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(5)
|
2.12%
|
$1,000.00
|
$1,014.52
|
$10.76
|
Institutional Class
|
||||
Actual Expenses(2)(5)
|
1.82%
|
$1,000.00
|
$1,030.50
|
$9.31
|
Hypothetical Example for
|
||||
Comparison Purposes
|
||||
(5% return before
|
||||
expenses)(5)
|
1.82%
|
$1,000.00
|
$1,016.03
|
$9.25
|
(1)
|
Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period.
|
(2)
|
Based on the actual returns of 3.44%, 3.65%, 4.53%, 4.72%, 2.89% and 3.05% for the six-month period ended December 31, 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, borrowing expense on securities sold short and legal expenses related to the settlement of an appraisal right, your actual cost of investment and your hypothetical cost of investment would have
been $7.54 and $7.48, respectively in the The Merger Fund Investor Class and $6.11 and $6.06, respectively in The Merger Fund Institutional Class.
|
(4)
|
Excluding dividends and interest on securities sold short, borrowing expense on securities sold short and legal expenses related to the settlement of an appraisal right, your actual cost of investment and your hypothetical cost of
investment would have been $9.54 and $9.40, respectively in WCM Alternatives: Event-Driven Fund Investor Class and $8.26 and $8.13, respectively in WCM Alternatives: Event-Driven Fund Institutional Class.
|
(5)
|
Excluding interest on securities sold short, borrowing expense on securities sold short and interest on reverse repurchase agreements, your actual cost of investment and your hypothetical cost of investment would have been $9.67 and $9.60,
respectively in WCM Alternatives: Credit Event Fund Investor Class and $8.39 and $8.34, respectively in WCM Alternatives: Credit Event Fund Institutional Class.
|
Shares
|
Value
|
|||||||
LONG INVESTMENTS — 101.61%
|
||||||||
COMMON STOCKS — 47.36%
|
||||||||
AEROSPACE & DEFENSE — 2.09%
|
||||||||
Raytheon Company (e)(j)
|
145,800
|
$
|
32,038,092
|
|||||
United Technologies Corporation (j)
|
230,800
|
34,564,608
|
||||||
66,602,700
|
||||||||
ALTERNATIVE CARRIERS — 3.25%
|
||||||||
Zayo Group Holdings, Inc. (a)(e)
|
2,996,105
|
103,815,038
|
||||||
BIOTECHNOLOGY — 0.65%
|
||||||||
ArQule, Inc. (a)(j)
|
674,908
|
13,471,164
|
||||||
The Medicines Company (a)(j)
|
37,300
|
3,168,262
|
||||||
Ra Pharmaceuticals, Inc. (a)
|
84,228
|
3,952,820
|
||||||
20,592,246
|
||||||||
BROADCASTING — 1.53%
|
||||||||
Discovery, Inc. Class C (a)
|
133,231
|
4,062,213
|
||||||
Fox Corporation Class B (k)
|
343,866
|
12,516,723
|
||||||
ViacomCBS, Inc. Class B (j)
|
765,800
|
32,140,626
|
||||||
48,719,562
|
||||||||
BUILDING PRODUCTS — 1.08%
|
||||||||
Continental Building Products, Inc. (a)
|
40,639
|
1,480,479
|
||||||
Masco Corporation (j)(k)
|
689,800
|
33,103,502
|
||||||
34,583,981
|
||||||||
CASINOS & GAMING — 5.03%
|
||||||||
Caesars Entertainment
|
||||||||
Corporation (a)(e)(k)
|
4,854,118
|
66,016,005
|
||||||
The Stars Group, Inc. (a)(b)(e)(f)(k)
|
3,663,384
|
94,625,208
|
||||||
160,641,213
|
||||||||
CHEMICALS — 0.31%
|
||||||||
DuPont de Nemours, Inc. (e)(j)
|
155,735
|
9,998,187
|
||||||
CONSTRUCTION MACHINERY
|
||||||||
& HEAVY TRUCKS — 1.82%
|
||||||||
WABCO Holdings, Inc. (a)(e)
|
428,747
|
58,095,218
|
||||||
ELECTRONIC EQUIPMENT
|
||||||||
& INSTRUMENTS — 0.46%
|
||||||||
Fitbit, Inc. Class A (a)(j)(k)
|
2,225,272
|
14,620,037
|
||||||
ENVIRONMENTAL &
|
||||||||
FACILITIES SERVICES — 0.63%
|
||||||||
Advanced Disposal Services, Inc. (a)
|
605,687
|
19,908,932
|
Shares
|
Value
|
|||||||
HEALTH CARE EQUIPMENT — 2.75%
|
||||||||
Wright Medical Group N.V. (a)(b)(j)(k)
|
2,875,117
|
$
|
87,633,566
|
|||||
INTERACTIVE MEDIA & SERVICES — 2.19%
|
||||||||
IAC/InterActiveCorp (a)(j)(k)
|
280,300
|
69,825,533
|
||||||
INVESTMENT BANK
|
||||||||
& BROKERAGE — 1.62%
|
||||||||
TD Ameritrade Holdings Corporation
|
1,039,893
|
51,682,682
|
||||||
IT CONSULTING &
|
||||||||
OTHER SERVICES — 0.10%
|
||||||||
InterXion Holding N.V. (a)(b)
|
38,517
|
3,228,110
|
||||||
LIFE & HEALTH INSURANCE — 0.04%
|
||||||||
Genworth Financial, Inc. Class A (a)(k)
|
306,379
|
1,348,068
|
||||||
LIFE SCIENCES TOOLS & SERVICES — 0.33%
|
||||||||
Qiagen N.V. (a)(b)(j)
|
314,925
|
10,644,465
|
||||||
MANAGED HEALTH CARE — 2.12%
|
||||||||
WellCare Health Plans, Inc. (a)(e)
|
204,874
|
67,651,443
|
||||||
MOVIES & ENTERTAINMENT — 1.55%
|
||||||||
Akazoo S.A. (a)(b)(k)
|
47,770
|
251,748
|
||||||
The Madison Square Garden
|
||||||||
Company Class A (a)(j)
|
166,800
|
49,070,892
|
||||||
49,322,640
|
||||||||
OIL & GAS REFINING
|
||||||||
& MARKETING — 1.54%
|
||||||||
Marathon Petroleum Corporation (j)
|
816,500
|
49,194,125
|
||||||
OIL & GAS STORAGE
|
||||||||
& TRANSPORTATION — 1.42%
|
||||||||
Tallgrass Energy LP Class A
|
2,048,698
|
45,317,200
|
||||||
PHARMACEUTICALS — 5.17%
|
||||||||
Allergan plc (b)
|
863,686
|
165,110,853
|
||||||
REITs — 2.72%
|
||||||||
Broadmark Realty Capital, Inc. (k)
|
501,551
|
6,394,775
|
||||||
Liberty Property Trust
|
1,341,004
|
80,527,290
|
||||||
86,922,065
|
||||||||
SEMICONDUCTORS — 1.59%
|
||||||||
Mellanox Technologies Ltd. (a)(b)(e)
|
432,871
|
50,723,824
|
||||||
SEMICONDUCTORS &
|
||||||||
SEMICONDUCTOR EQUIPMENT — 3.08%
|
||||||||
Cypress Semiconductor Corporation (e)
|
4,217,278
|
98,389,096
|
||||||
Shares
|
Value
|
|||||||
SPECIALTY STORES — 2.76%
|
||||||||
Tiffany & Company (e)(j)(k)
|
660,038
|
$
|
88,214,079
|
|||||
TECHNOLOGY DISTRIBUTORS — 0.37%
|
||||||||
Anixter International, Inc. (a)
|
7,522
|
692,776
|
||||||
Tech Data Corporation (a)
|
77,357
|
11,108,465
|
||||||
11,801,241
|
||||||||
WIRELESS TELECOMMUNICATION
|
||||||||
SERVICES — 1.16%
|
||||||||
Sprint Corporation (a)(k)
|
342,725
|
1,785,597
|
||||||
T-Mobile USA, Inc. (a)(j)
|
450,629
|
35,338,326
|
||||||
37,123,923
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $1,420,082,805)
|
1,511,710,027
|
|||||||
SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES — 7.20% (a)
|
||||||||
Act II Global Acquisition
|
||||||||
Corporation Class A (b)
|
675,184
|
6,832,862
|
||||||
Alberton Acquisition Corporation (b)
|
541,885
|
5,608,510
|
||||||
Andina Acquisition Corporation III (b)
|
584,088
|
5,928,493
|
||||||
Apex Technology Acquisition
|
||||||||
Corporation Class A (f)
|
604,500
|
5,993,617
|
||||||
B. Riley Principal Merger
|
||||||||
Corporation Class A
|
74,287
|
743,613
|
||||||
CF Finance Acquisition
|
||||||||
Corporation Class A (f)
|
390,688
|
4,004,552
|
||||||
ChaSerg Technology Acquisition
|
||||||||
Corporation Class A
|
439,436
|
4,767,881
|
||||||
Churchill Capital Corporation II Class A
|
302,610
|
3,124,872
|
||||||
CIIG Merger Corporation (k)
|
315,662
|
3,207,126
|
||||||
Collier Creek Holdings Class A (b)(f)
|
195,000
|
2,006,550
|
||||||
Fellazo, Inc. (b)(k)
|
187,945
|
1,871,594
|
||||||
FinTech Acquisition
|
||||||||
Corporation III Class A
|
328,770
|
3,327,152
|
||||||
Forum Merger II Corporation Class A
|
334,654
|
3,416,817
|
||||||
Galileo Acquisition Corporation (b)(f)
|
112,274
|
1,153,615
|
||||||
Gordon Pointe Acquisition Corporation
|
424,801
|
4,498,643
|
||||||
Graf Industrial Corporation
|
1,034,606
|
10,542,635
|
||||||
Haymaker Acquisition
|
||||||||
Corporation II Class A
|
893,499
|
8,980,558
|
||||||
Hennessy Capital Acquisition
|
||||||||
Corporation IV Class A
|
175,540
|
1,783,486
|
Shares
|
Value
|
|||||||
Juniper Industrial Holdings, Inc. (f)
|
817,774
|
$
|
8,353,561
|
|||||
Legacy Acquisition Corporation Class A
|
1,293,025
|
13,279,367
|
||||||
Leisure Acquisition Corporation
|
578,466
|
6,027,616
|
||||||
Leo Holdings Corporation Class A (b)(f)
|
985,877
|
10,203,827
|
||||||
LF Capital Acquisition
|
||||||||
Corporation Class A (f)
|
89,230
|
922,638
|
||||||
LGL Systems Acquisition Corporation
|
15,818
|
161,344
|
||||||
Longevity Acquisition Corporation (b)(f)
|
262,500
|
2,743,125
|
||||||
Megalith Financial Acquisition
|
||||||||
Corporation Class A
|
260,768
|
2,675,480
|
||||||
Merida Merger Corporation I
|
240,205
|
2,339,597
|
||||||
Monocle Acquisition Corporation
|
204,085
|
2,077,585
|
||||||
Mosaic Acquisition Corporation Class A
|
1,040,046
|
10,696,873
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A (f)
|
428,413
|
4,423,364
|
||||||
Nebula Acquisition Corporation Class A
|
701,282
|
7,391,512
|
||||||
New Providence Acquisition
|
||||||||
Corporation Class A (f)
|
454,276
|
4,485,976
|
||||||
Opes Acquisition Corporation (f)
|
614,585
|
6,468,507
|
||||||
Orisun Acquisition Corporation
|
113,258
|
1,126,917
|
||||||
Pivotal Investment Corporation II Class A
|
121,848
|
1,211,169
|
||||||
PropTech Acquisition Corporation (f)
|
183,000
|
1,892,220
|
||||||
Pure Acquisition Corporation
|
1,413,170
|
14,654,573
|
||||||
Software Acquisition Group, Inc.
|
567,175
|
5,762,498
|
||||||
Spartan Energy Acquisition
|
||||||||
Corporation Class A
|
659,936
|
6,710,229
|
||||||
Thunder Bridge
|
||||||||
Acquisition II Ltd. Class A (b)
|
516,986
|
5,144,011
|
||||||
Tiberius Acquisition Corporation (f)(k)
|
311,172
|
3,259,527
|
||||||
TKK Symphony Acquisition
|
||||||||
Corporation (b)
|
728,623
|
7,461,100
|
||||||
Trident Acquisitions Corporation (f)
|
654,925
|
6,902,910
|
||||||
Tuscan Holdings Corporation (e)
|
610,840
|
6,083,966
|
||||||
Tuscan Holdings Corporation II
|
331,070
|
3,264,350
|
||||||
VectoIQ Acquisition Corporation
|
620,727
|
6,405,841
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES (Cost $220,853,098)
|
229,922,259
|
|||||||
PREFERRED STOCKS — 0.08%
|
||||||||
Colony Capital, Inc., 8.750%, Series E
|
97,704
|
2,471,911
|
||||||
TOTAL PREFERRED STOCKS
|
||||||||
(Cost $2,452,748)
|
2,471,911
|
Shares
|
Value
|
|||||||
CONTINGENT VALUE RIGHTS — 0.07% (a)(f)
|
||||||||
Alder Biopharmaceuticals, Inc.
|
2,217,560
|
$
|
2,078,962
|
|||||
Media General, Inc. (e)
|
891,153
|
44,558
|
||||||
TOTAL CONTINGENT VALUE RIGHTS
|
||||||||
(Cost $0)
|
2,123,520
|
|||||||
WARRANTS — 0.17% (a)
|
||||||||
Act II Global Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: April 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
337,592
|
337,592
|
||||||
Akazoo S.A.
|
||||||||
Expiration: December 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
238,850
|
119,425
|
||||||
Apex Technology Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: September 2026,
|
||||||||
Exercise Price: $11.50
|
302,250
|
347,588
|
||||||
CF Finance Acquisition Corporation Class A
|
||||||||
Expiration: April 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
293,016
|
259,319
|
||||||
ChaSerg Technology Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: September 2023,
|
||||||||
Exercise Price: $11.50
|
219,718
|
483,380
|
||||||
Churchill Capital Corporation II Class A
|
||||||||
Expiration: July 2024,
|
||||||||
Exercise Price: $11.50
|
100,870
|
143,558
|
||||||
Collier Creek Holdings Class A
|
||||||||
Expiration: November 2023,
|
||||||||
Exercise Price: $11.50 (b)(f)
|
65,000
|
89,050
|
||||||
FinTech Acquisition Corporation III Class A
|
||||||||
Expiration: December 2023,
|
||||||||
Exercise Price: $11.50
|
164,385
|
225,799
|
||||||
Graf Industrial Corporation
|
||||||||
Expiration: December 2025,
|
||||||||
Exercise Price: $11.50
|
434,606
|
190,357
|
||||||
Haymaker Acquisition
|
||||||||
Corporation II Class A
|
||||||||
Expiration: October 2026,
|
||||||||
Exercise Price: $11.50
|
297,833
|
419,945
|
Shares
|
Value
|
|||||||
Hennessy Capital Acquisition
|
||||||||
Corporation IV Class A
|
||||||||
Expiration: September 2025,
|
||||||||
Exercise Price: $11.50
|
131,655
|
$
|
105,324
|
|||||
Merida Merger Corporation I
|
||||||||
Expiration: November 2026,
|
||||||||
Exercise Price: $11.50
|
120,103
|
59,883
|
||||||
Monocle Acquisition Corporation
|
||||||||
Expiration: June 2024,
|
||||||||
Exercise Price: $11.50
|
204,085
|
153,064
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: March 2025,
|
||||||||
Exercise Price: $11.50
|
428,413
|
209,922
|
||||||
New Providence Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: September 2024,
|
||||||||
Exercise Price: $11.50 (f)
|
227,138
|
193,067
|
||||||
Pivotal Acquisition Corporation
|
||||||||
Expiration: December 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
677,651
|
406,591
|
||||||
Pivotal Investment Corporation II Class A
|
||||||||
Expiration: June 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
40,616
|
32,493
|
||||||
Pure Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50
|
342,226
|
337,435
|
||||||
Repay Holdings Corporation
|
||||||||
Expiration: July 2024,
|
||||||||
Exercise Price: $11.50
|
338,801
|
379,457
|
||||||
Thunder Bridge Acquisition II Ltd. Class A
|
||||||||
Expiration: November 2026,
|
||||||||
Exercise Price: $11.50 (b)
|
258,496
|
232,646
|
||||||
Tiberius Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50
|
311,172
|
354,736
|
||||||
Tuscan Holdings Corporation
|
||||||||
Expiration: April 2026,
|
||||||||
Exercise Price: $11.50 (f)
|
610,840
|
351,233
|
||||||
Tuscan Holdings Corporation II
|
||||||||
Expiration: July 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
165,535
|
74,491
|
||||||
TOTAL WARRANTS (Cost $4,572,599)
|
5,506,355
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
BANK LOANS — 2.96% (f)(i)
|
||||||||
Avaya Holdings Corporation
|
||||||||
5.990% (1 Month U.S.
|
||||||||
LIBOR + 4.250%), 12/16/2024
|
$
|
16,332,815
|
$
|
16,074,267
|
||||
Cengage Learning Holdings II, Inc.
|
||||||||
6.049% (1 Month U.S.
|
||||||||
LIBOR + 4.250%), 6/7/2023
|
10,841,633
|
10,353,759
|
||||||
McGraw-Hill Global
|
||||||||
Education Holdings LLC
|
||||||||
5.799% (1 Month U.S.
|
||||||||
LIBOR + 4.000%), 5/4/2022
|
11,596,736
|
11,147,363
|
||||||
Refinitiv U.S. Holdings, Inc.
|
||||||||
5.049% (1 Month U.S.
|
||||||||
LIBOR + 3.250%), 10/1/2025
|
30,141,271
|
30,412,091
|
||||||
Zayo Group LLC
|
||||||||
3.799% (1 Month U.S.
|
||||||||
LIBOR + 2.000%), 1/19/2021
|
26,191,104
|
26,322,190
|
||||||
TOTAL BANK LOANS (Cost $94,612,558)
|
94,309,670
|
|||||||
CORPORATE BONDS — 4.89% (f)
|
||||||||
Arconic, Inc.
|
||||||||
5.400%, 4/15/2021 (k)
|
7,553,000
|
7,789,301
|
||||||
CEC Entertainment, Inc.
|
||||||||
8.000%, 2/15/2022 (k)
|
11,217,000
|
11,080,287
|
||||||
Cincinnati Bell, Inc.
|
||||||||
7.000%, 7/15/2024 (h)
|
824,000
|
866,222
|
||||||
EIG Investors Corporation
|
||||||||
10.875%, 2/1/2024
|
8,231,000
|
8,234,416
|
||||||
Kinetic Concepts, Inc. / KCI USA, Inc.
|
||||||||
12.500%, 11/1/2021 (h)
|
15,253,000
|
15,735,757
|
||||||
Nationstar Mortgage LLC /
|
||||||||
Nationstar Capital Corporation
|
||||||||
6.500%, 7/1/2021 (k)
|
2,438,000
|
2,451,165
|
||||||
6.500%, 6/1/2022
|
1,939,000
|
1,943,936
|
||||||
Nielsen Finance LLC /
|
||||||||
Nielsen Finance Company
|
||||||||
5.000%, 4/15/2022 (h)
|
12,171,000
|
12,238,306
|
||||||
Refinitiv U.S. Holdings, Inc.
|
||||||||
8.250%, 11/15/2026 (h)(k)
|
26,960,000
|
30,413,576
|
||||||
SRC Energy, Inc.
|
||||||||
6.250%, 12/1/2025 (k)
|
10,218,000
|
10,320,078
|
Principal
|
||||||||||||
Amount
|
Value
|
|||||||||||
T-Mobile USA, Inc.
|
||||||||||||
6.500%, 1/15/2024
|
$
|
9,842,000
|
$
|
10,149,661
|
||||||||
6.375%, 3/1/2025
|
3,180,000
|
3,292,620
|
||||||||||
Vertiv Group Corporation
|
||||||||||||
9.250%, 10/15/2024 (h)
|
3,422,000
|
3,685,785
|
||||||||||
Vistra Energy Corporation
|
||||||||||||
5.875%, 6/1/2023
|
15,354,000
|
15,745,987
|
||||||||||
Zayo Group LLC / Zayo Capital, Inc.
|
||||||||||||
5.750%, 1/15/2027 (h)
|
21,763,000
|
22,178,619
|
||||||||||
TOTAL CORPORATE BONDS
|
||||||||||||
(Cost $156,670,936)
|
156,125,716
|
|||||||||||
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
|||||||||||
PURCHASED PUT OPTIONS — 0.08% (a)
|
||||||||||||
DuPont de Nemours, Inc.
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $55.00
|
1,557
|
$
|
9,995,940
|
146,358
|
||||||||
IAC/InterActiveCorp
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $175.00
|
2,803
|
69,825,533
|
21,022
|
|||||||||
The Madison Square Garden
|
||||||||||||
Company Class A
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $230.00
|
1,668
|
49,070,892
|
66,720
|
|||||||||
Marathon Petroleum Corporation
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $47.50
|
1,041
|
6,272,025
|
4,164
|
|||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $50.00
|
1,250
|
7,531,250
|
8,750
|
|||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $52.50
|
1,389
|
8,368,725
|
19,446
|
|||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $55.50
|
4,485
|
27,022,125
|
352,072
|
|||||||||
Masco Corporation
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $41.00
|
6,898
|
33,103,502
|
379,390
|
|||||||||
Ra Pharmaceuticals, Inc.
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $40.00
|
58
|
272,194
|
2,030
|
|||||||||
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
Raytheon Company
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $175.00
|
1,458
|
$
|
32,038,092
|
$
|
13,122
|
|||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $316.00
|
2,093
|
67,365,298
|
277,323
|
|||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $320.00
|
837
|
26,939,682
|
390,879
|
|||||||||
T-Mobile USA, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $70.00
|
3,956
|
31,022,952
|
31,648
|
|||||||||
United Technologies Corporation
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $110.00
|
2,458
|
36,811,008
|
17,206
|
|||||||||
VanEck Vectors Semiconductor ETF
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $140.00
|
1,157
|
16,361,137
|
468,585
|
|||||||||
ViacomCBS, Inc. Class B
|
||||||||||||
Expiration: March 2020,
|
||||||||||||
Exercise Price: $35.00
|
7,658
|
32,140,626
|
291,004
|
|||||||||
TOTAL PURCHASED PUT OPTIONS
|
||||||||||||
(Cost $4,943,501)
|
2,489,719
|
|||||||||||
Shares
|
||||||||||||
ESCROW NOTES — 3.91% (a)
|
||||||||||||
Altaba, Inc. (f)
|
6,012,284
|
124,504,361
|
||||||||||
AMR Corporation (d)(g)
|
1,243,406
|
285,983
|
||||||||||
Sentinel Energy Services, Inc. Class B (f)
|
1,689,936
|
9,295
|
||||||||||
T-Mobile USA, Inc. (d)(g)
|
7,594,000
|
—
|
||||||||||
TOTAL ESCROW NOTES
|
||||||||||||
(Cost $67,047,988)
|
124,799,639
|
|||||||||||
SHORT-TERM INVESTMENTS — 34.89%
|
||||||||||||
MONEY MARKET FUNDS — 29.89% (c)
|
||||||||||||
Fidelity Institutional Government Portfolio,
|
||||||||||||
Institutional Share Class, 1.49%
|
142,776
|
142,776
|
||||||||||
First American Government Obligations
|
||||||||||||
Fund, Institutional Share Class, 1.47%
|
155,777,000
|
155,777,000
|
Shares
|
Value
|
|||||||
Goldman Sachs Government Fund,
|
||||||||
Institutional Share Class, 1.48%
|
19,530,815
|
$
|
19,530,815
|
|||||
The Government & Agency Portfolio,
|
||||||||
Institutional Share Class, 1.50%
|
155,777,000
|
155,777,000
|
||||||
JPMorgan Prime Money Market Fund,
|
||||||||
Institutional Share Class, 1.75%
|
155,730,910
|
155,768,080
|
||||||
JPMorgan U.S. Government Money Market
|
||||||||
Fund, Institutional Share Class, 1.51%
|
155,777,000
|
155,777,000
|
||||||
Morgan Stanley Institutional Liquidity
|
||||||||
Fund — Government Portfolio,
|
||||||||
Institutional Share Class, 1.51%
|
155,777,000
|
155,777,000
|
||||||
Morgan Stanley Institutional Liquidity
|
||||||||
Fund — Treasury Portfolio,
|
||||||||
Institutional Share Class, 1.50%
|
155,777,000
|
155,777,000
|
||||||
954,326,671
|
||||||||
Principal
|
||||||||
Amount
|
||||||||
U.S. TREASURY BILLS — 5.00% (e)(f)(l)
|
||||||||
United States Treasury Bills
|
||||||||
1.85%, 1/30/2020
|
$
|
860,000
|
859,030
|
|||||
1.78%, 2/13/2020
|
825,000
|
823,573
|
||||||
1.83%, 3/19/2020
|
4,617,000
|
4,602,418
|
||||||
1.75%, 3/26/2020
|
16,375,000
|
16,317,582
|
||||||
1.62%, 4/2/2020
|
2,150,000
|
2,141,739
|
||||||
1.58%, 4/9/2020
|
6,025,000
|
6,000,066
|
||||||
1.55%, 4/16/2020
|
5,590,000
|
5,565,337
|
||||||
1.53%, 4/23/2020
|
16,739,000
|
16,659,439
|
||||||
1.47%, 4/30/2020
|
6,721,000
|
6,687,197
|
||||||
1.49%, 5/7/2020
|
37,750,000
|
37,549,335
|
||||||
1.49%, 5/14/2020
|
7,578,000
|
7,535,368
|
||||||
1.50%, 5/21/2020
|
30,440,000
|
30,259,918
|
||||||
1.51%, 5/28/2020
|
6,820,000
|
6,777,385
|
||||||
1.47%, 6/4/2020
|
11,110,000
|
11,037,214
|
||||||
1.48%, 6/11/2020
|
585,000
|
580,994
|
||||||
1.48%, 6/18/2020
|
1,300,000
|
1,290,687
|
||||||
1.50%, 6/25/2020
|
4,989,000
|
4,951,870
|
||||||
159,639,152
|
||||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $1,113,962,477)
|
1,113,965,823
|
|||||||
TOTAL LONG INVESTMENTS
|
||||||||
(Cost $3,085,198,710) — 101.61%
|
3,243,424,639
|
Shares
|
Value
|
|||||||
INVESTMENT OF CASH COLLATERAL
|
||||||||
FROM SECURITIES LOANED — 3.28%
|
||||||||
SHORT-TERM FUND — 3.28% (c)
|
||||||||
Mount Vernon Liquid Asset
|
||||||||
Portfolio LLC, 1.80%
|
104,867,573
|
$
|
104,867,573
|
|||||
TOTAL SHORT-TERM FUND —
|
||||||||
(Cost $104,867,573)
|
104,867,573
|
|||||||
TOTAL INVESTMENT OF CASH COLLATERAL
|
||||||||
FROM SECURITIES LOANED —
|
||||||||
(Cost $104,867,573) — 3.28%
|
104,867,573
|
|||||||
SHORT INVESTMENTS — (0.38)%
|
||||||||
COMMON STOCKS — (0.38)%
|
||||||||
AIRLINES — (0.01)%
|
||||||||
American Airlines Group, Inc.
|
(11,395
|
)
|
(326,809
|
)
|
||||
BROADCASTING — (0.00)%
|
||||||||
Fox Corporation Class A
|
(1,900
|
)
|
(70,433
|
)
|
||||
CASINOS & GAMING — (0.03)%
|
||||||||
Eldorado Resorts, Inc.
|
(16,474
|
)
|
(982,509
|
)
|
||||
MANAGED HEALTH CARE — (0.26)%
|
||||||||
Centene Corporation
|
(131,699
|
)
|
(8,279,916
|
)
|
||||
PHARMACEUTICALS — (0.08)%
|
||||||||
AbbVie, Inc.
|
(27,196
|
)
|
(2,407,934
|
)
|
||||
TOTAL COMMON STOCKS
|
||||||||
(Proceeds $10,789,323)
|
(12,067,601
|
)
|
||||||
TOTAL SHORT INVESTMENTS
|
||||||||
(Proceeds $10,789,323) — (0.38)%
|
(12,067,601
|
)
|
||||||
TOTAL NET INVESTMENTS
|
||||||||
(Cost $3,179,276,960) — 104.51%
|
3,336,224,611
|
|||||||
OTHER LIABILITIES IN EXCESS OF ASSETS — (4.51)%
|
(143,865,898
|
)
|
||||||
TOTAL NET ASSETS — 100.00%
|
$
|
3,192,358,713
|
||||||
(a)
|
Non-income producing security.
|
(b)
|
Foreign security.
|
(c)
|
The rate quoted is the annualized seven-day yield as of December 31, 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 December 31, 2019, these securities
represent 2.67% of total net assets.
|
(i)
|
The coupon rate shown on variable rate securities represents the rate as of December 31, 2019.
|
(j)
|
This security is held in connection with a written option contract.
|
(k)
|
All or a portion of the shares was out on loan at December 31, 2019. Total loaned securities had a value of $101,702,188 at December 31, 2019.
|
(l)
|
The rate shown represents yield to maturity.
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
WRITTEN CALL OPTIONS
|
||||||||||||
ArQule, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $20.00
|
(5,209
|
)
|
$
|
(10,397,164
|
)
|
$
|
(78,135
|
)
|
||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $20.00
|
(1,523
|
)
|
(3,039,908
|
)
|
(30,460
|
)
|
||||||
DuPont de Nemours, Inc.
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $60.00
|
(1,557
|
)
|
(9,995,940
|
)
|
(973,125
|
)
|
||||||
Fitbit, Inc. Class A
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $7.00
|
(4,783
|
)
|
(3,142,431
|
)
|
(19,132
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $7.00
|
(17,139
|
)
|
(11,260,323
|
)
|
(154,251
|
)
|
||||||
Expiration: May 2020,
|
||||||||||||
Exercise Price: $8.00
|
(330
|
)
|
(216,810
|
)
|
(1,650
|
)
|
||||||
Fox Corporation Class A
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $35.00
|
(841
|
)
|
(3,117,587
|
)
|
(252,300
|
)
|
||||||
IAC/InterActiveCorp
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $190.00
|
(1,441
|
)
|
(35,896,751
|
)
|
(8,537,925
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $195.00
|
(1,362
|
)
|
(33,928,782
|
)
|
(7,402,470
|
)
|
||||||
The Madison Square Garden
|
||||||||||||
Company Class A
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $260.00
|
(1,668
|
)
|
(49,070,892
|
)
|
(6,021,480
|
)
|
||||||
Marathon Petroleum Corporation
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $55.00
|
(1,250
|
)
|
(7,531,250
|
)
|
(693,750
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $57.50
|
(2,430
|
)
|
(14,640,750
|
)
|
(838,350
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $58.50
|
(4,485
|
)
|
(27,022,125
|
)
|
(1,547,325
|
)
|
||||||
Masco Corporation
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $45.00
|
(6,898
|
)
|
(33,103,502
|
)
|
(3,035,120
|
)
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
The Medicines Company
|
||||||||||||
Expiration: March 2020,
|
||||||||||||
Exercise Price: $85.00
|
(373
|
)
|
$
|
(3,168,262
|
)
|
$
|
(1,865
|
)
|
||||
Qiagen N.V.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $33.00
|
(396
|
)
|
(1,338,480
|
)
|
(93,060
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $35.00
|
(396
|
)
|
(1,338,480
|
)
|
(59,400
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $32.00
|
(1,386
|
)
|
(4,684,680
|
)
|
(457,380
|
)
|
||||||
Raytheon Company
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $195.00
|
(1,458
|
)
|
(32,038,092
|
)
|
(3,607,092
|
)
|
||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $322.00
|
(1,256
|
)
|
(40,425,616
|
)
|
(423,272
|
)
|
||||||
Tiffany & Company
|
||||||||||||
Expiration: May 2020,
|
||||||||||||
Exercise Price: $135.00
|
(1
|
)
|
(13,365
|
)
|
(18
|
)
|
||||||
T-Mobile USA, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $75.00
|
(229
|
)
|
(1,795,818
|
)
|
(88,623
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $77.50
|
(3,727
|
)
|
(29,227,134
|
)
|
(696,949
|
)
|
||||||
United Technologies Corporation
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $125.00
|
(2,308
|
)
|
(34,564,608
|
)
|
(5,718,070
|
)
|
||||||
ViacomCBS, Inc. Class B
|
||||||||||||
Expiration: March 2020,
|
||||||||||||
Exercise Price: $40.00
|
(7,658
|
)
|
(32,140,626
|
)
|
(2,565,430
|
)
|
||||||
Wright Medical Group N.V.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $32.50
|
(493
|
)
|
(1,502,664
|
)
|
(7,395
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $32.50
|
(71
|
)
|
(216,408
|
)
|
(2,130
|
)
|
||||||
(43,306,157
|
)
|
|||||||||||
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
WRITTEN PUT OPTIONS
|
||||||||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $303.00
|
(2,093
|
)
|
$
|
(67,365,298
|
)
|
$
|
(86,859
|
)
|
||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $310.00
|
(837
|
)
|
(26,939,682
|
)
|
(220,131
|
)
|
||||||
VanEck Vectors Semiconductor ETF
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $130.00
|
(1,157
|
)
|
(16,361,137
|
)
|
(180,492
|
)
|
||||||
(487,482
|
)
|
|||||||||||
TOTAL WRITTEN OPTIONS
|
||||||||||||
(Premiums received $34,445,568)
|
$
|
(43,793,639
|
)
|
USD Value at
|
USD Value at
|
Unrealized
|
||||||||||||||||||||||
Settlement
|
Currency to
|
December 31,
|
Currency to
|
December 31,
|
Appreciation
|
|||||||||||||||||||
Date
|
Counterparty
|
be Delivered
|
2019
|
be Received
|
2019
|
(Depreciation)*
|
||||||||||||||||||
1/15/20
|
GS
|
1,978,414
|
EUR
|
$
|
2,221,305
|
2,214,147
|
USD
|
$
|
2,214,147
|
$
|
(7,158
|
)
|
||||||||||||
1/15/20
|
JPM
|
141,199,621
|
EUR
|
158,534,740
|
157,273,927
|
USD
|
157,273,927
|
(1,260,813
|
)
|
|||||||||||||||
1/15/20
|
JPM
|
26,984,546
|
USD
|
26,984,546
|
24,470,666
|
EUR
|
27,474,937
|
490,391
|
||||||||||||||||
1/22/20
|
JPM
|
6,306,308
|
EUR
|
7,083,742
|
6,985,462
|
USD
|
6,985,462
|
(98,280
|
)
|
|||||||||||||||
4/22/20
|
JPM
|
15,931,552
|
EUR
|
17,998,145
|
17,914,270
|
USD
|
17,914,270
|
(83,875
|
)
|
|||||||||||||||
5/20/20
|
JPM
|
6,221,932
|
EUR
|
7,041,297
|
6,972,801
|
USD
|
6,972,801
|
(68,496
|
)
|
|||||||||||||||
2/6/20
|
JPM
|
8,078,469
|
GBP
|
10,712,220
|
10,043,544
|
USD
|
10,043,544
|
(668,676
|
)
|
|||||||||||||||
3/4/20
|
JPM
|
70,147,464
|
GBP
|
93,081,712
|
92,303,988
|
USD
|
92,303,988
|
(777,724
|
)
|
|||||||||||||||
1/16/20
|
JPM
|
77,746,005
|
HKD
|
9,975,239
|
9,914,740
|
USD
|
9,914,740
|
(60,499
|
)
|
|||||||||||||||
1/16/20
|
JPM
|
9,912,283
|
USD
|
9,912,283
|
77,746,005
|
HKD
|
9,975,239
|
62,956
|
||||||||||||||||
3/17/20
|
JPM
|
1,703,940
|
HKD
|
218,536
|
217,507
|
USD
|
217,507
|
(1,029
|
)
|
|||||||||||||||
2/4/20
|
JPM
|
1,246,465,000
|
JPY
|
11,494,502
|
11,491,987
|
USD
|
11,491,987
|
(2,515
|
)
|
|||||||||||||||
2/26/20
|
JPM
|
1,777,427,843
|
JPY
|
16,411,342
|
16,461,950
|
USD
|
16,461,950
|
50,608
|
||||||||||||||||
3/3/20
|
JPM
|
1,497,064,200
|
JPY
|
13,827,488
|
13,754,401
|
USD
|
13,754,401
|
(73,087
|
)
|
|||||||||||||||
$
|
385,497,097
|
$
|
382,998,900
|
$
|
(2,498,197
|
)
|
*
|
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 S.A.
|
6/25/20
|
Pay
|
0.400% + 3 Month U.S. LIBOR
|
Quarterly
|
1,137,968
|
$
|
18,118,173
|
$
|
(61,907
|
)
|
|||||
BAML
|
Avon Products, Inc.
|
8/26/20
|
Pay
|
0.750% + 1 Month U.S. LIBOR
|
Monthly
|
3,824,286
|
16,563,689
|
5,224,206
|
||||||||
GS
|
Avon Products, Inc.
|
9/17/20
|
Pay
|
0.500% + 1 Month U.S. LIBOR
|
Monthly
|
1,925,894
|
8,184,067
|
2,787,737
|
||||||||
GS
|
Bolsas y Mercados
|
|||||||||||||||
Espanoles
|
11/19/20
|
Pay
|
0.500% + 1 Month U.S. LIBOR
|
Monthly
|
157,920
|
6,208,459
|
(122,691
|
)
|
||||||||
JPM
|
Bolsas y Mercados
|
|||||||||||||||
Espanoles
|
12/20/20
|
Pay
|
0.400% + 3 Month U.S. LIBOR
|
Quarterly
|
25,078
|
969,488
|
(2,501
|
)
|
||||||||
BAML
|
Bristol-Myers Squibb
|
|||||||||||||||
Company
|
11/21/20
|
Pay
|
0.000%(1)
|
Monthly
|
361,933
|
—
|
(1)
|
1,089,418
|
||||||||
JPM
|
China Agri-Industries
|
|||||||||||||||
Holdings, Ltd.
|
12/10/20
|
Pay
|
0.400% + 3 Month U.S. LIBOR
|
Quarterly
|
400,927
|
211,072
|
1,208
|
|||||||||
JPM
|
Cobham plc
|
9/10/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
38,722,696
|
77,177,973
|
6,994,937
|
||||||||
BAML
|
Cobham plc
|
12/11/20
|
Pay
|
0.750% + 1 Month U.S. LIBOR
|
Monthly
|
3,790,918
|
7,880,617
|
366,648
|
||||||||
BAML
|
EI Group plc
|
9/27/20
|
Pay
|
0.450% + 1 Month U.S. LIBOR
|
Monthly
|
2,834,550
|
9,859,093
|
791,127
|
||||||||
BAML
|
Faurecia S.E.
|
11/14/20
|
Pay
|
0.350% + 1 Month U.S. LIBOR
|
Monthly
|
34,152
|
1,772,793
|
66,212
|
||||||||
BAML
|
Fiat Chrysler
|
|||||||||||||||
Automobiles N.V.
|
11/15/20
|
Pay
|
0.350% + 1 Month U.S. LIBOR
|
Monthly
|
841,359
|
13,178,529
|
(733,671
|
)
|
||||||||
JPM
|
Hitachi Chemical
|
|||||||||||||||
Company, Ltd.
|
10/24/20
|
Pay
|
0.400% + 3 Month U.S. LIBOR
|
Quarterly
|
144,985
|
6,097,061
|
7,641
|
|||||||||
BAML
|
Hitachi Chemical
|
|||||||||||||||
Company, Ltd.
|
12/23/20
|
Pay
|
0.500% + 1 Month U.S. LIBOR
|
Monthly
|
178,355
|
7,463,160
|
45,149
|
|||||||||
JPM
|
Innogy S.E.
|
6/6/20
|
Pay
|
0.400% + 3 Month U.S. LIBOR
|
Quarterly
|
165,433
|
7,858,324
|
409,955
|
||||||||
JPM
|
Line Corporation
|
11/20/20
|
Pay
|
0.400% + 3 Month U.S. LIBOR
|
Quarterly
|
335,661
|
15,949,955
|
561,201
|
||||||||
JPM
|
Osram Licht AG
|
12/6/20
|
Pay
|
0.400% + 3 Month U.S. LIBOR
|
Quarterly
|
2,461,222
|
108,069,203
|
3,797,884
|
||||||||
BAML
|
Osram Licht AG
|
12/16/20
|
Pay
|
0.350% + 1 Month U.S. LIBOR
|
Monthly
|
76,365
|
3,455,413
|
16,414
|
Pay/Receive
|
Unrealized
|
|||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
|||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
||||||||
GS
|
Osram Licht AG
|
12/17/20
|
Pay
|
0.500% + 1 Month U.S. LIBOR
|
Monthly
|
356,329
|
$
|
16,132,237
|
$
|
66,412
|
||||||
BAML
|
Sophos Group plc
|
10/14/20
|
Pay
|
0.450% + 1 Month U.S. LIBOR
|
Monthly
|
9,972,324
|
72,849,383
|
534,061
|
||||||||
JPM
|
Unizo Holdings
|
|||||||||||||||
Company, Ltd.
|
11/8/20
|
Pay
|
0.400% + 3 Month U.S. LIBOR
|
Quarterly
|
249,293
|
11,427,741
|
307,703
|
|||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||||
BAML
|
AbbVie, Inc.
|
10/4/20
|
Receive
|
(0.175)% +1 Month U.S. LIBOR
|
Monthly
|
(720,854
|
)
|
(55,135,780
|
)
|
(8,668,414
|
)
|
|||||
JPM
|
Alibaba Group
|
|||||||||||||||
Holding Ltd. – ADR
|
10/25/20
|
Receive
|
(0.600)% +3 Month U.S. LIBOR
|
Quarterly
|
(17,432
|
)
|
(3,038,572
|
)
|
(657,008
|
)
|
||||||
GS
|
Centene Corporation
|
12/20/20
|
Receive
|
(0.350)% + U.S. Federal Funds
|
Monthly
|
(560,678
|
)
|
(34,722,788
|
)
|
(521,250
|
)
|
|||||
GS
|
The Charles Schwab
|
|||||||||||||||
Corporation
|
12/5/20
|
Receive
|
(0.350)% + U.S. Federal Funds
|
Monthly
|
(1,126,938
|
)
|
(54,722,225
|
)
|
1,119,992
|
|||||||
JPM
|
Digital Realty Trust, Inc.
|
10/25/20
|
Receive
|
(0.600)% +3 Month U.S. LIBOR
|
Quarterly
|
(27,220
|
)
|
(3,200,800
|
)
|
(56,683
|
)
|
|||||
JPM
|
Discovery, Inc. Class A
|
10/22/20
|
Receive
|
(0.600)% +3 Month U.S. LIBOR
|
Quarterly
|
(133,231
|
)
|
(3,702,489
|
)
|
(657,365
|
)
|
|||||
GS
|
Eldorado Resorts, Inc.
|
12/20/20
|
Receive
|
(0.420)% + U.S. Federal Funds
|
Monthly
|
(418,010
|
)
|
(24,098,276
|
)
|
(828,058
|
)
|
|||||
GS
|
Flutter Entertainment
|
10/2/20
|
Receive
|
(0.550)% + U.S. Federal Funds
|
Monthly
|
(547,875
|
)
|
(55,077,719
|
)
|
(11,546,080
|
)
|
|||||
JPM
|
Flutter Entertainment
|
10/22/20
|
Receive
|
(0.476)% +3 Month U.S. LIBOR
|
Quarterly
|
(277,710
|
)
|
(27,386,229
|
)
|
(6,374,825
|
)
|
|||||
BAML
|
Natura Cosmeticos S.A.
|
8/26/20
|
Pay
|
(4.000)% +1 Month U.S. LIBOR
|
Monthly
|
(2,296,550
|
)
|
(18,524,294
|
)
|
(3,562,954
|
)
|
|||||
GS
|
Natura Cosmeticos S.A.
|
9/17/20
|
Pay
|
(5.500)% + U.S. Federal Funds
|
Monthly
|
(1,155,221
|
)
|
(9,009,372
|
)
|
(2,099,719
|
)
|
Pay/Receive
|
Unrealized
|
||||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
||||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||||
BAML
|
Peugeot S.A.
|
11/14/20
|
Receive
|
(0.350)% +1 Month U.S. LIBOR
|
Monthly
|
(475,895
|
)
|
$
|
(12,247,793
|
)
|
$
|
881,985
|
|||||
GS
|
Prologis, Inc.
|
10/31/20
|
Receive
|
(0.350)% + U.S. Federal Funds
|
Monthly
|
(903,553
|
)
|
(79,730,871
|
)
|
(782,583
|
)
|
||||||
$
|
(11,605,819
|
)
|
*
|
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
|
(1)
|
Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis.
|
Shares
|
Value
|
|||||||
LONG INVESTMENTS — 102.13%
|
||||||||
COMMON STOCKS — 39.82%
|
||||||||
ALTERNATIVE CARRIERS — 0.64%
|
||||||||
Zayo Group Holdings, Inc. (a)
|
40,434
|
$
|
1,401,038
|
|||||
ASSET MANAGEMENT
|
||||||||
& CUSTODY BANKS — 1.20%
|
||||||||
Apollo Global Management, Inc. (e)(j)
|
55,181
|
2,632,686
|
||||||
AUTOMOTIVE RETAIL — 0.01%
|
||||||||
Kaixin Auto Holdings (a)(b)
|
9,742
|
18,412
|
||||||
BIOTECHNOLOGY — 0.93%
|
||||||||
ArQule, Inc. (a)(j)
|
68,860
|
1,374,446
|
||||||
The Medicines Company (a)(j)
|
3,700
|
314,278
|
||||||
Ra Pharmaceuticals, Inc. (a)
|
7,385
|
346,578
|
||||||
2,035,302
|
||||||||
BROADCASTING — 1.96%
|
||||||||
Fox Corporation Class B
|
58,706
|
2,136,898
|
||||||
ViacomCBS, Inc. Class B (j)
|
51,165
|
2,147,395
|
||||||
4,284,293
|
||||||||
BUILDING PRODUCTS — 2.01%
|
||||||||
Masco Corporation (j)
|
91,600
|
4,395,884
|
||||||
CASINOS & GAMING — 6.01%
|
||||||||
Caesars Entertainment Corporation (a)(e)
|
419,472
|
5,704,819
|
||||||
The Stars Group, Inc. (a)(b)(e)(f)
|
287,913
|
7,436,793
|
||||||
13,141,612
|
||||||||
CHEMICALS — 0.78%
|
||||||||
DuPont de Nemours, Inc. (e)(j)
|
26,553
|
1,704,703
|
||||||
CONSTRUCTION MACHINERY
|
||||||||
& HEAVY TRUCKS — 1.81%
|
||||||||
WABCO Holdings, Inc. (a)(e)
|
29,244
|
3,962,562
|
||||||
ELECTRONIC EQUIPMENT
|
||||||||
& INSTRUMENTS — 0.66%
|
||||||||
Fitbit, Inc. Class A (a)(j)
|
218,755
|
1,437,220
|
||||||
ENVIRONMENTAL &
|
||||||||
FACILITIES SERVICES — 0.83%
|
||||||||
Advanced Disposal Services, Inc. (a)
|
55,049
|
1,809,461
|
||||||
HEALTH CARE EQUIPMENT — 0.06%
|
||||||||
Wright Medical Group N.V. (a)(b)
|
4,494
|
136,977
|
Shares
|
Value
|
|||||||
INTERACTIVE MEDIA & SERVICES — 1.08%
|
||||||||
IAC/InterActiveCorp (a)(j)
|
9,487
|
$
|
2,363,307
|
|||||
INTERNET & DIRECT
|
||||||||
MARKETING RETAIL — 0.85%
|
||||||||
eBay, Inc. (e)(j)
|
51,300
|
1,852,443
|
||||||
Reebonz Holdings Ltd. (a)(b)
|
597
|
698
|
||||||
1,853,141
|
||||||||
INVESTMENT BANK & BROKERAGE — 2.29%
|
||||||||
TD Ameritrade Holdings Corporation
|
100,826
|
5,011,052
|
||||||
IT CONSULTING &
|
||||||||
OTHER SERVICES — 0.10%
|
||||||||
InterXion Holding N.V. (a)(b)
|
2,565
|
214,973
|
||||||
LIFE & HEALTH INSURANCE — 0.03%
|
||||||||
Genworth Financial, Inc. Class A (a)
|
15,670
|
68,948
|
||||||
LIFE SCIENCES TOOLS
|
||||||||
& SERVICES — 0.89%
|
||||||||
Qiagen N.V. (a)(b)(j)
|
57,332
|
1,937,822
|
||||||
MANAGED HEALTH CARE — 2.28%
|
||||||||
WellCare Health Plans, Inc. (a)(e)
|
15,066
|
4,974,944
|
||||||
MOVIES & ENTERTAINMENT — 0.52%
|
||||||||
Akazoo S.A. (a)(b)(e)
|
7,150
|
37,680
|
||||||
The Madison Square Garden
|
||||||||
Company Class A (a)(e)(j)
|
3,700
|
1,088,503
|
||||||
1,126,183
|
||||||||
OIL & GAS EXPLORATION
|
||||||||
& PRODUCTION — 0.29%
|
||||||||
Callon Petroleum Company (a)
|
116,100
|
560,763
|
||||||
EnCana Corporation (b)
|
17,005
|
79,753
|
||||||
640,516
|
||||||||
OIL & GAS REFINING
|
||||||||
& MARKETING — 2.36%
|
||||||||
Marathon Petroleum Corporation (e)(j)
|
85,800
|
5,169,450
|
||||||
PHARMACEUTICALS — 5.95%
|
||||||||
Allergan plc (b)(e)
|
68,057
|
13,010,457
|
||||||
REITs — 0.77%
|
||||||||
Broadmark Realty Capital, Inc.
|
97,084
|
1,237,821
|
||||||
Liberty Property Trust
|
7,291
|
437,825
|
||||||
1,675,646
|
Shares
|
Value
|
|||||||
SEMICONDUCTORS — 0.30%
|
||||||||
Mellanox Technologies Ltd. (a)(b)
|
5,678
|
$
|
665,348
|
|||||
SEMICONDUCTORS &
|
||||||||
SEMICONDUCTOR EQUIPMENT — 0.45%
|
||||||||
Cypress Semiconductor Corporation
|
42,243
|
985,529
|
||||||
SPECIALTY STORES — 3.09%
|
||||||||
Tiffany & Company (e)
|
50,461
|
6,744,113
|
||||||
TECHNOLOGY DISTRIBUTORS — 0.47%
|
||||||||
Anixter International, Inc. (a)
|
1,027
|
94,587
|
||||||
Tech Data Corporation (a)
|
6,476
|
929,953
|
||||||
1,024,540
|
||||||||
WIRELESS TELECOMMUNICATION
|
||||||||
SERVICES — 1.20%
|
||||||||
Sprint Corporation (a)
|
41,506
|
216,246
|
||||||
T-Mobile USA, Inc. (a)(j)
|
30,748
|
2,411,258
|
||||||
2,627,504
|
||||||||
TOTAL COMMON STOCKS
|
||||||||
(Cost $81,819,783)
|
87,053,623
|
|||||||
SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES — 12.42% (a)
|
||||||||
Act II Global Acquisition
|
||||||||
Corporation Class A (b)
|
90,858
|
919,483
|
||||||
Alberton Acquisition Corporation (b)
|
242,664
|
2,511,572
|
||||||
Apex Technology Acquisition
|
||||||||
Corporation Class A (f)
|
58,964
|
584,628
|
||||||
CF Finance Acquisition Corporation Class A (f)
|
108,500
|
1,112,125
|
||||||
ChaSerg Technology Acquisition
|
||||||||
Corporation Class A
|
22,830
|
247,705
|
||||||
CHP Merger Corporation
|
40,120
|
408,020
|
||||||
CIIG Merger Corporation
|
159,548
|
1,621,008
|
||||||
Collier Creek Holdings Class A (b)(f)
|
42,300
|
435,267
|
||||||
FinTech Acquisition Corporation III Class A
|
168,874
|
1,709,005
|
||||||
Galileo Acquisition Corporation (b)(f)
|
126,337
|
1,298,113
|
||||||
GigCapital2, Inc. (f)
|
37,777
|
376,448
|
||||||
Gordon Pointe Acquisition Corporation
|
4,482
|
47,464
|
||||||
Graf Industrial Corporation (e)
|
197,624
|
2,013,788
|
||||||
Hennessy Capital Acquisition
|
||||||||
Corporation IV Class A
|
167,612
|
1,702,938
|
||||||
Juniper Industrial Holdings, Inc. (f)
|
165,386
|
1,689,418
|
||||||
Legacy Acquisition Corporation Class A
|
197,442
|
2,027,729
|
Shares
|
Value
|
|||||||
Leisure Acquisition Corporation
|
5,160
|
$
|
53,767
|
|||||
LF Capital Acquisition Corporation Class A (f)
|
5,834
|
60,324
|
||||||
LGL Systems Acquisition Corporation
|
54,748
|
558,430
|
||||||
Monocle Acquisition Corporation
|
15,759
|
160,427
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A (f)
|
19,411
|
200,419
|
||||||
Orisun Acquisition Corporation
|
8,528
|
84,854
|
||||||
Pivotal Investment Corporation II Class A
|
97,371
|
967,868
|
||||||
PropTech Acquisition Corporation (f)
|
98,000
|
1,013,320
|
||||||
Pure Acquisition Corporation
|
57,469
|
595,953
|
||||||
Software Acquisition Group, Inc.
|
37,274
|
378,704
|
||||||
Trident Acquisitions Corporation (f)
|
93,712
|
987,724
|
||||||
Tuscan Holdings Corporation (e)
|
168,926
|
1,682,503
|
||||||
Tuscan Holdings Corporation II
|
146,060
|
1,440,152
|
||||||
VectoIQ Acquisition Corporation
|
25,000
|
257,997
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES (Cost $25,967,102)
|
27,147,153
|
|||||||
CLOSED-END FUNDS — 3.28%
|
||||||||
Apollo Senior Floating Rate Fund, Inc.
|
11,127
|
168,463
|
||||||
Apollo Tactical Income Fund, Inc.
|
11,139
|
168,199
|
||||||
Ares Dynamic Credit Allocation Fund
|
4,683
|
71,884
|
||||||
BlackRock Debt Strategies Fund, Inc.
|
35,063
|
392,706
|
||||||
BlackRock Floating Rate Income
|
||||||||
Strategies Fund, Inc.
|
9,611
|
129,172
|
||||||
BlackRock MuniYield Quality Fund III, Inc.
|
57,617
|
777,829
|
||||||
Eaton Vance Floating-Rate Income Trust
|
28,528
|
391,404
|
||||||
First Trust Senior Floating Rate Income Fund II
|
5,810
|
72,916
|
||||||
Invesco Dynamic Credit Opportunities Fund
|
18,617
|
211,303
|
||||||
Invesco Senior Income Trust
|
64,480
|
276,619
|
||||||
Nuveen AMT-Free Quality
|
||||||||
Municipal Income Fund
|
55,115
|
792,554
|
||||||
Nuveen Intermediate Duration
|
||||||||
Municipal Term Fund
|
57,365
|
797,947
|
||||||
Nuveen Municipal Credit Income Fund
|
48,255
|
789,934
|
||||||
Nuveen New York AMT-Free Quality
|
||||||||
Municipal Income Fund
|
58,257
|
790,547
|
||||||
Voya Prime Rate Trust
|
73,819
|
369,833
|
||||||
Western Asset High Income
|
||||||||
Opportunity Fund, Inc. (e)
|
191,266
|
969,719
|
||||||
TOTAL CLOSED-END FUNDS
|
||||||||
(Cost $7,067,141)
|
7,171,029
|
|||||||
Shares
|
Value
|
|||||||
PREFERRED STOCKS — 3.57%
|
||||||||
Colony Capital, Inc., 8.750%, Series E (e)
|
56,929
|
$
|
1,440,304
|
|||||
Fannie Mae, 8.250%, Series S (a)
|
176,154
|
2,105,040
|
||||||
Freddie Mac, 8.375%, Series Z (a)
|
265,396
|
3,144,943
|
||||||
GMAC Capital Trust I, 7.695% (3 Month U.S.
|
||||||||
LIBOR + 5.785%), 2/15/2040 Series 2 (i)
|
39,471
|
1,028,219
|
||||||
Pebblebrook Hotel Trust, 6.375%, Series E
|
3,515
|
89,281
|
||||||
TOTAL PREFERRED STOCKS
|
||||||||
(Cost $7,774,835)
|
7,807,787
|
|||||||
CONTINGENT VALUE RIGHTS — 0.08% (a)(f)
|
||||||||
Alder Biopharmaceuticals, Inc.
|
194,778
|
182,604
|
||||||
Media General, Inc. (e)
|
42,852
|
2,143
|
||||||
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
|
184,747
|
|||||||
RIGHTS — 0.00% (a)(f)
|
||||||||
GigCapital2, Inc.
|
37,777
|
9,448
|
||||||
TOTAL RIGHTS (Cost $10,346)
|
9,448
|
|||||||
WARRANTS — 0.38% (a)
|
||||||||
Act II Global Acquisition Corporation Class A
|
||||||||
Expiration: April 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
45,429
|
45,429
|
||||||
Akazoo S.A.
|
||||||||
Expiration: December 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
35,748
|
17,874
|
||||||
Apex Technology Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: September 2026,
|
||||||||
Exercise Price: $11.50
|
29,482
|
33,904
|
||||||
CF Finance Acquisition Corporation Class A
|
||||||||
Expiration: April 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
81,375
|
72,017
|
||||||
ChaSerg Technology Acquisition
|
||||||||
Corporation Class A
|
||||||||
Expiration: September 2023,
|
||||||||
Exercise Price: $11.50
|
11,415
|
25,113
|
||||||
Collier Creek Holdings Class A
|
||||||||
Expiration: November 2023,
|
||||||||
Exercise Price: $11.50 (b)(f)
|
14,100
|
19,317
|
||||||
FinTech Acquisition Corporation III Class A
|
||||||||
Expiration: December 2023,
|
||||||||
Exercise Price: $11.50
|
84,437
|
115,983
|
Shares
|
Value
|
|||||||
GigCapital2, Inc.
|
||||||||
Expiration: July 2024,
|
||||||||
Exercise Price: $11.50 (f)
|
37,777
|
$
|
12,089
|
|||||
Graf Industrial Corporation
|
||||||||
Expiration: December 2025,
|
||||||||
Exercise Price: $11.50
|
197,624
|
86,559
|
||||||
Hennessy Capital Acquisition
|
||||||||
Corporation IV Class A
|
||||||||
Expiration: September 2025,
|
||||||||
Exercise Price: $11.50
|
125,709
|
100,567
|
||||||
Kaixin Auto Holdings
|
||||||||
Expiration: April 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
48,712
|
974
|
||||||
Legacy Acquisition Corporation Class A
|
||||||||
Expiration: November 2022,
|
||||||||
Exercise Price: $11.50
|
144,392
|
77,625
|
||||||
Monocle Acquisition Corporation
|
||||||||
Expiration: June 2024,
|
||||||||
Exercise Price: $11.50
|
15,759
|
11,819
|
||||||
Mudrick Capital Acquisition Corporation Class A
|
||||||||
Expiration: March 2025,
|
||||||||
Exercise Price: $11.50
|
19,411
|
9,511
|
||||||
Pivotal Acquisition Corporation
|
||||||||
Expiration: December 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
10,000
|
6,000
|
||||||
Pivotal Investment Corporation II Class A
|
||||||||
Expiration: June 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
32,457
|
25,966
|
||||||
Pure Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50
|
22,218
|
21,907
|
||||||
Reebonz Holdings Ltd.
|
||||||||
Expiration: December 2023,
|
||||||||
Exercise Price: $11.50 (b)(f)
|
23,859
|
155
|
||||||
Tiberius Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50
|
20,975
|
23,912
|
||||||
Tuscan Holdings Corporation
|
||||||||
Expiration: April 2026,
|
||||||||
Exercise Price: $11.50 (e)(f)
|
168,926
|
97,132
|
||||||
Tuscan Holdings Corporation II
|
||||||||
Expiration: April 2025,
|
||||||||
Exercise Price: $11.50 (f)
|
73,030
|
32,864
|
||||||
TOTAL WARRANTS (Cost $691,183)
|
836,717
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
BANK LOANS — 4.25% (f)(i)
|
||||||||
Avaya Holdings Corporation
|
||||||||
5.990% (1 Month U.S.
|
||||||||
LIBOR + 4.250%), 12/16/2024
|
$
|
869,585
|
$
|
855,819
|
||||
Cengage Learning Holdings II, Inc.
|
||||||||
6.049% (1 Month U.S.
|
||||||||
LIBOR + 4.250%), 6/7/2023
|
1,245,719
|
1,189,662
|
||||||
Heritage Power LLC
|
||||||||
8.205% (6 Month U.S.
|
||||||||
LIBOR + 6.000%), 7/30/2026
|
3,561,075
|
3,418,632
|
||||||
McGraw-Hill Global Education Holdings LLC
|
||||||||
5.799% (1 Month U.S.
|
||||||||
LIBOR + 4.000%), 5/4/2022
|
1,030,205
|
990,284
|
||||||
Refinitiv U.S. Holdings, Inc.
|
||||||||
5.049% (1 Month U.S.
|
||||||||
LIBOR + 3.250%), 10/1/2025
|
2,799,362
|
2,824,514
|
||||||
TOTAL BANK LOANS (Cost $9,379,816)
|
9,278,911
|
|||||||
CONVERTIBLE BONDS — 1.64% (f)
|
||||||||
Caesars Entertainment Corporation
|
||||||||
5.000%, 10/1/2024
|
251,397
|
484,253
|
||||||
NII Holdings, Inc.
|
||||||||
4.250%, 8/15/2023 (h)
|
2,923,000
|
3,105,688
|
||||||
TOTAL CONVERTIBLE BONDS (Cost $3,194,290)
|
3,589,941
|
|||||||
CORPORATE BONDS — 10.70% (f)
|
||||||||
APX Group, Inc.
|
||||||||
7.875%, 12/1/2022
|
2,416,000
|
2,443,164
|
||||||
Arconic, Inc.
|
||||||||
5.400%, 4/15/2021
|
795,000
|
819,872
|
||||||
CEC Entertainment, Inc.
|
||||||||
8.000%, 2/15/2022
|
3,440,000
|
3,398,073
|
||||||
Cincinnati Bell, Inc.
|
||||||||
7.000%, 7/15/2024 (h)
|
56,000
|
58,870
|
||||||
EIG Investors Corporation
|
||||||||
10.875%, 2/1/2024
|
1,025,000
|
1,025,425
|
||||||
Kinetic Concepts, Inc. / KCI USA, Inc.
|
||||||||
12.500%, 11/1/2021 (e)(h)
|
3,286,000
|
3,390,002
|
||||||
Nielsen Finance LLC / Nielsen Finance Company
|
||||||||
5.000%, 4/15/2022 (e)(h)
|
4,022,000
|
4,044,242
|
||||||
Refinitiv U.S. Holdings, Inc.
|
||||||||
8.250%, 11/15/2026 (h)
|
2,676,000
|
3,018,796
|
||||||
Principal
|
||||||||||||
Amount
|
Value
|
|||||||||||
SRC Energy, Inc.
|
||||||||||||
6.250%, 12/1/2025
|
$
|
306,000
|
$
|
309,057
|
||||||||
T-Mobile USA, Inc.
|
||||||||||||
6.500%, 1/15/2024
|
217,000
|
223,783
|
||||||||||
6.375%, 3/1/2025
|
204,000
|
211,225
|
||||||||||
Vertiv Group Corporation
|
||||||||||||
9.250%, 10/15/2024 (h)
|
3,144,000
|
3,386,355
|
||||||||||
Vistra Energy Corporation
|
||||||||||||
5.875%, 6/1/2023
|
601,000
|
616,344
|
||||||||||
Zayo Group LLC / Zayo Capital, Inc.
|
||||||||||||
5.750%, 1/15/2027 (h)
|
440,000
|
448,403
|
||||||||||
TOTAL CORPORATE BONDS (Cost $23,495,521)
|
23,393,611
|
|||||||||||
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
|||||||||||
PURCHASED PUT OPTIONS — 0.18% (a)
|
||||||||||||
Apollo Global Management, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $44.00
|
109
|
$
|
520,039
|
1,635
|
||||||||
Expiration: March 2020,
|
||||||||||||
Exercise Price: $44.00
|
393
|
1,875,003
|
49,125
|
|||||||||
Axalta Coating Systems Ltd.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $26.00
|
1,247
|
3,790,880
|
3,117
|
|||||||||
Bayer AG
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: EUR 61.00 (b)(f)
|
848
|
6,932,308
|
18,073
|
|||||||||
DuPont de Nemours, Inc.
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $55.00
|
288
|
1,848,960
|
27,072
|
|||||||||
eBay, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $31.00
|
344
|
1,242,184
|
1,548
|
|||||||||
Hilton Grand Vacations, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $28.00
|
90
|
309,510
|
1,125
|
|||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $29.00
|
1,304
|
4,484,456
|
81,500
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
IAC/InterActiveCorp
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $175.00
|
47
|
$
|
1,170,817
|
$
|
352
|
|||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $180.00
|
23
|
572,953
|
184
|
|||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $190.00
|
174
|
4,334,514
|
2,175
|
|||||||||
The Madison Square Garden Company Class A
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $230.00
|
200
|
5,883,800
|
8,000
|
|||||||||
Marathon Petroleum Corporation
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $50.00
|
403
|
2,428,075
|
2,821
|
|||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $52.50
|
83
|
500,075
|
1,162
|
|||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $55.00
|
92
|
554,300
|
2,760
|
|||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $55.50
|
280
|
1,687,000
|
21,980
|
|||||||||
Masco Corporation
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $41.00
|
916
|
4,395,884
|
50,380
|
|||||||||
Mylan N.V.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $15.00
|
1,488
|
2,990,880
|
2,976
|
|||||||||
Ra Pharmaceuticals, Inc.
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $40.00
|
8
|
37,544
|
280
|
|||||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $316.00
|
140
|
4,506,040
|
18,550
|
|||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $320.00
|
56
|
1,802,416
|
26,152
|
|||||||||
T-Mobile USA, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $70.00
|
92
|
721,464
|
736
|
|||||||||
United Technologies Corporation
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $115.00
|
153
|
2,291,328
|
995
|
|||||||||
VanEck Vectors Semiconductor ETF
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $140.00
|
76
|
1,074,716
|
30,780
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
ViacomCBS, Inc. Class B
|
||||||||||||
Expiration: March 2020,
|
||||||||||||
Exercise Price: $35.00
|
852
|
$
|
3,575,844
|
$
|
32,376
|
|||||||
Vodafone Group plc
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $15.00
|
515
|
995,495
|
515
|
|||||||||
TOTAL PURCHASED PUT OPTIONS
|
||||||||||||
(Cost $756,410)
|
386,369
|
|||||||||||
Shares
|
||||||||||||
ESCROW NOTES — 4.01% (a)
|
||||||||||||
Altaba, Inc. (f)
|
422,076
|
8,740,489
|
||||||||||
AMR Corporation (d)(g)
|
28,850
|
6,636
|
||||||||||
Sentinel Energy Services, Inc. Class B (f)
|
127,242
|
700
|
||||||||||
Winthrop Realty Trust (e)(d)
|
26,484
|
8,938
|
||||||||||
TOTAL ESCROW NOTES (Cost $8,361,344)
|
8,756,763
|
|||||||||||
SHORT-TERM INVESTMENTS — 21.80%
|
||||||||||||
MONEY MARKET FUNDS — 9.36% (c)
|
||||||||||||
Fidelity Institutional Government Portfolio,
|
||||||||||||
Institutional Share Class, 1.49%
|
203,810
|
203,810
|
||||||||||
The Government & Agency Portfolio,
|
||||||||||||
Institutional Share Class, 1.50%
|
6,570,542
|
6,570,542
|
||||||||||
JPMorgan Prime Money Market Fund,
|
||||||||||||
Institutional Share Class, 1.75%
|
3,088,727
|
3,089,651
|
||||||||||
JPMorgan U.S. Government Money Market
|
||||||||||||
Fund, Institutional Share Class, 1.51%
|
10,597,000
|
10,597,000
|
||||||||||
20,461,003
|
||||||||||||
Principal
|
||||||||||||
Amount
|
||||||||||||
U.S. TREASURY BILLS — 12.44% (e)(f)(k)
|
||||||||||||
United States Treasury Bills
|
||||||||||||
1.85%, 2/6/2020
|
$
|
475,000
|
474,314
|
|||||||||
1.78%, 2/13/2020
|
622,000
|
620,924
|
||||||||||
1.80%, 2/20/2020
|
940,000
|
938,068
|
||||||||||
1.78%, 2/27/2020
|
3,085,000
|
3,077,778
|
||||||||||
1.78%, 3/12/2020
|
1,490,000
|
1,485,662
|
||||||||||
1.82%, 3/19/2020
|
1,244,000
|
1,240,071
|
||||||||||
1.71%, 3/26/2020
|
1,545,000
|
1,539,583
|
||||||||||
Principal
|
||||||||
Amount
|
Value
|
|||||||
1.58%, 4/2/2020
|
$
|
3,640,000
|
$
|
3,626,014
|
||||
1.58%, 4/9/2020
|
1,270,000
|
1,264,744
|
||||||
1.55%, 4/16/2020
|
990,000
|
985,632
|
||||||
1.54%, 4/23/2020
|
3,960,000
|
3,941,178
|
||||||
1.47%, 4/30/2020
|
906,000
|
901,443
|
||||||
1.49%, 5/7/2020
|
2,105,000
|
2,093,811
|
||||||
1.49%, 5/14/2020
|
865,000
|
860,134
|
||||||
1.49%, 5/21/2020
|
3,095,000
|
3,076,690
|
||||||
1.49%, 5/28/2020
|
675,000
|
670,782
|
||||||
1.46%, 6/4/2020
|
280,000
|
278,166
|
||||||
1.48%, 6/18/2020
|
120,000
|
119,140
|
||||||
27,194,134
|
||||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $47,650,209)
|
47,655,137
|
|||||||
TOTAL LONG INVESTMENTS
|
||||||||
(Cost $216,167,980) — 102.13%
|
223,271,236
|
|||||||
Shares
|
||||||||
SHORT INVESTMENTS — (2.42)%
|
||||||||
COMMON STOCKS — (1.99)%
|
||||||||
AIRLINES — (0.00)%
|
||||||||
American Airlines Group, Inc.
|
(194
|
)
|
(5,564
|
)
|
||||
ASSET MANAGEMENT
|
||||||||
& CUSTODY BANKS — (1.25)%
|
||||||||
The Blackstone Group, Inc.
|
(48,800
|
)
|
(2,729,872
|
)
|
||||
CABLE & SATELLITE — (0.39)%
|
||||||||
Sirius XM Holdings, Inc.
|
(117,749
|
)
|
(841,905
|
)
|
||||
CASINOS & GAMING — (0.02)%
|
||||||||
Eldorado Resorts, Inc.
|
(785
|
)
|
(46,818
|
)
|
||||
MANAGED HEALTH CARE — (0.20)%
|
||||||||
Centene Corporation
|
(7,052
|
)
|
(443,359
|
)
|
||||
PHARMACEUTICALS — (0.13)%
|
||||||||
AbbVie, Inc.
|
(3,328
|
)
|
(294,661
|
)
|
||||
TOTAL COMMON STOCKS
|
||||||||
(Proceeds $3,968,821)
|
(4,362,179
|
)
|
||||||
Principal
|
||||||||
Amount
|
Value
|
|||||||
CORPORATE BONDS — (0.43)% (f)
|
||||||||
APX Group, Inc.
|
||||||||
7.625%, 9/1/2023
|
$
|
(991,000
|
)
|
$
|
(934,429
|
)
|
||
TOTAL CORPORATE BONDS
|
||||||||
(Proceeds $893,387)
|
(934,429
|
)
|
||||||
TOTAL SHORT INVESTMENTS
|
||||||||
(Proceeds $4,862,208) — (2.42)%
|
(5,296,608
|
)
|
||||||
TOTAL NET INVESTMENTS
|
||||||||
(Cost $211,305,772) — 99.71%
|
217,974,628
|
|||||||
OTHER ASSETS IN EXCESS
|
||||||||
OF LIABILITIES — 0.29%
|
629,132
|
|||||||
TOTAL NET ASSETS — 100.00%
|
$
|
218,603,760
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign security.
|
(c)
|
The rate quoted is the annualized seven-day yield as of December 31, 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 December 31, 2019, these securities
represent 7.98% of total net assets.
|
(i)
|
The coupon rate shown on variable rate securities represents the rate as of December 31, 2019.
|
(j)
|
This security is held in connection with a written option contract.
|
(k)
|
The rate shown represents yield to maturity.
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
WRITTEN CALL OPTIONS
|
||||||||||||
Apollo Global Management, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $48.00
|
(109
|
)
|
$
|
(520,039
|
)
|
$
|
(9,538
|
)
|
||||
Expiration: March 2020,
|
||||||||||||
Exercise Price: $48.00
|
(393
|
)
|
(1,875,003
|
)
|
(86,460
|
)
|
||||||
ArQule, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $20.00
|
(380
|
)
|
(758,480
|
)
|
(5,700
|
)
|
||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $20.00
|
(204
|
)
|
(407,184
|
)
|
(4,080
|
)
|
||||||
AT&T, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $37.00
|
(30
|
)
|
(117,240
|
)
|
(6,330
|
)
|
||||||
Axalta Coating Systems Ltd.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $29.00
|
(1,247
|
)
|
(3,790,880
|
)
|
(205,755
|
)
|
||||||
DuPont de Nemours, Inc.
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $60.00
|
(288
|
)
|
(1,848,960
|
)
|
(180,000
|
)
|
||||||
eBay, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $34.00
|
(513
|
)
|
(1,852,443
|
)
|
(115,425
|
)
|
||||||
Fitbit, Inc. Class A
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $7.00
|
(315
|
)
|
(206,955
|
)
|
(1,260
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $7.00
|
(1,850
|
)
|
(1,215,450
|
)
|
(16,650
|
)
|
||||||
Expiration: May 2020,
|
||||||||||||
Exercise Price: $8.00
|
(22
|
)
|
(14,454
|
)
|
(110
|
)
|
||||||
Fox Corporation Class A
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $35.00
|
(147
|
)
|
(544,929
|
)
|
(44,100
|
)
|
||||||
Hilton Grand Vacations, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $33.00
|
(90
|
)
|
(309,510
|
)
|
(20,250
|
)
|
||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $34.00
|
(1,304
|
)
|
(4,484,456
|
)
|
(335,780
|
)
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
IAC/InterActiveCorp
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $190.00
|
(47
|
)
|
$
|
(1,170,817
|
)
|
$
|
(278,475
|
)
|
||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $210.00
|
(23
|
)
|
(572,953
|
)
|
(91,333
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $220.00
|
(174
|
)
|
(4,334,514
|
)
|
(520,259
|
)
|
||||||
The Madison Square Garden Company Class A
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $260.00
|
(37
|
)
|
(1,088,503
|
)
|
(133,570
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $270.00
|
(163
|
)
|
(4,795,297
|
)
|
(447,435
|
)
|
||||||
Marathon Petroleum Corporation
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $57.50
|
(418
|
)
|
(2,518,450
|
)
|
(144,210
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $58.50
|
(280
|
)
|
(1,687,000
|
)
|
(96,600
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $60.00
|
(160
|
)
|
(964,000
|
)
|
(28,480
|
)
|
||||||
Masco Corporation
|
||||||||||||
Expiration: April 2020,
|
||||||||||||
Exercise Price: $46.00
|
(916
|
)
|
(4,395,884
|
)
|
(338,920
|
)
|
||||||
The Medicines Company
|
||||||||||||
Expiration: March 2020,
|
||||||||||||
Exercise Price: $85.00
|
(37
|
)
|
(314,278
|
)
|
(185
|
)
|
||||||
Mylan N.V.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $17.50
|
(1,488
|
)
|
(2,990,880
|
)
|
(397,296
|
)
|
||||||
Qiagen N.V.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $33.00
|
(37
|
)
|
(125,060
|
)
|
(8,695
|
)
|
||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $35.00
|
(37
|
)
|
(125,060
|
)
|
(5,550
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $32.00
|
(149
|
)
|
(503,620
|
)
|
(49,170
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $44.00
|
(260
|
)
|
(878,800
|
)
|
(9,100
|
)
|
||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $322.00
|
(84
|
)
|
(2,703,624
|
)
|
(28,308
|
)
|
Contracts
|
||||||||||||
(100 shares
|
Notional
|
|||||||||||
per contract)
|
Amount
|
Value
|
||||||||||
T-Mobile USA, Inc.
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $72.50
|
(15
|
)
|
$
|
(117,630
|
)
|
$
|
(9,225
|
)
|
||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $77.50
|
(92
|
)
|
(721,464
|
)
|
(17,204
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $72.50
|
(187
|
)
|
(1,466,454
|
)
|
(132,770
|
)
|
||||||
United Technologies Corporation
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $130.00
|
(153
|
)
|
(2,291,328
|
)
|
(302,328
|
)
|
||||||
ViacomCBS, Inc. Class B
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $42.50
|
(203
|
)
|
(851,991
|
)
|
(13,601
|
)
|
||||||
Expiration: March 2020,
|
||||||||||||
Exercise Price: $40.00
|
(852
|
)
|
(3,575,844
|
)
|
(285,420
|
)
|
||||||
(4,369,572
|
)
|
|||||||||||
WRITTEN PUT OPTIONS
|
||||||||||||
Bayer AG
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: EUR 68.00 (a)(b)
|
(848
|
)
|
(6,932,308
|
)
|
(94,170
|
)
|
||||||
SPDR S&P 500 ETF Trust
|
||||||||||||
Expiration: January 2020,
|
||||||||||||
Exercise Price: $303.00
|
(140
|
)
|
(4,506,040
|
)
|
(5,810
|
)
|
||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $310.00
|
(56
|
)
|
(1,802,416
|
)
|
(14,728
|
)
|
||||||
VanEck Vectors Semiconductor ETF
|
||||||||||||
Expiration: February 2020,
|
||||||||||||
Exercise Price: $130.00
|
(76
|
)
|
(1,074,716
|
)
|
(11,856
|
)
|
||||||
(126,564
|
)
|
|||||||||||
TOTAL WRITTEN OPTIONS
|
||||||||||||
(Premiums received $4,180,510)
|
$
|
(4,496,136
|
)
|
(a)
|
Foreign Security.
|
(b)
|
Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
|
USD Value at
|
USD Value at
|
Unrealized
|
|||||||||||||||||||||
Settlement
|
Currency to
|
December 31,
|
Currency to
|
December 31,
|
Appreciation
|
||||||||||||||||||
Date
|
Counterparty
|
be Delivered
|
2019
|
be Received
|
2019
|
(Depreciation)*
|
|||||||||||||||||
1/15/20
|
GS
|
148,625
|
EUR
|
$
|
166,872
|
166,446
|
USD
|
$
|
166,446
|
$
|
(426
|
)
|
|||||||||||
1/15/20
|
JPM
|
10,743,849
|
EUR
|
12,062,874
|
11,977,163
|
USD
|
11,977,163
|
(85,711
|
)
|
||||||||||||||
1/15/20
|
JPM
|
2,070,597
|
USD
|
2,070,597
|
1,877,700
|
EUR
|
2,108,226
|
37,629
|
|||||||||||||||
1/22/20
|
JPM
|
1,322,725
|
EUR
|
1,485,789
|
1,465,175
|
USD
|
1,465,175
|
(20,614
|
)
|
||||||||||||||
2/19/20
|
JPM
|
203,344
|
EUR
|
228,806
|
226,260
|
USD
|
226,260
|
(2,546
|
)
|
||||||||||||||
4/22/20
|
JPM
|
2,724,512
|
EUR
|
3,077,928
|
3,063,584
|
USD
|
3,063,584
|
(14,344
|
)
|
||||||||||||||
5/20/20
|
JPM
|
594,898
|
EUR
|
673,240
|
665,944
|
USD
|
665,944
|
(7,296
|
)
|
||||||||||||||
1/10/20
|
JPM
|
1,139,740
|
GBP
|
1,510,145
|
1,442,316
|
USD
|
1,442,316
|
(67,829
|
)
|
||||||||||||||
1/10/20
|
JPM
|
1,486,973
|
USD
|
1,486,973
|
1,139,740
|
GBP
|
1,510,145
|
23,172
|
|||||||||||||||
2/6/20
|
JPM
|
747,518
|
GBP
|
991,225
|
928,003
|
USD
|
928,003
|
(63,222
|
)
|
||||||||||||||
2/12/20
|
JPM
|
545,077
|
GBP
|
722,894
|
717,267
|
USD
|
717,267
|
(5,627
|
)
|
||||||||||||||
3/4/20
|
JPM
|
5,469,717
|
GBP
|
7,258,005
|
7,197,365
|
USD
|
7,197,365
|
(60,640
|
)
|
||||||||||||||
1/16/20
|
JPM
|
5,274,830
|
HKD
|
676,789
|
673,067
|
USD
|
673,067
|
(3,722
|
)
|
||||||||||||||
1/16/20
|
JPM
|
672,519
|
USD
|
672,519
|
5,274,830
|
HKD
|
676,790
|
4,271
|
|||||||||||||||
3/17/20
|
JPM
|
225,547
|
HKD
|
28,927
|
28,791
|
USD
|
28,791
|
(136
|
)
|
||||||||||||||
5/7/20
|
JPM
|
8,506,035
|
HKD
|
1,090,689
|
1,084,925
|
USD
|
1,084,925
|
(5,764
|
)
|
||||||||||||||
2/4/20
|
JPM
|
112,165,000
|
JPY
|
1,034,350
|
1,034,102
|
USD
|
1,034,102
|
(248
|
)
|
||||||||||||||
2/26/20
|
JPM
|
117,237,942
|
JPY
|
1,082,481
|
1,085,819
|
USD
|
1,085,819
|
3,338
|
|||||||||||||||
3/3/20
|
JPM
|
127,695,400
|
JPY
|
1,179,446
|
1,173,212
|
USD
|
1,173,212
|
(6,234
|
)
|
||||||||||||||
$
|
37,500,549
|
$
|
37,224,600
|
$
|
(275,949
|
)
|
*
|
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 S.A.
|
6/25/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
194,608
|
$
|
3,104,754
|
$
|
(16,894
|
)
|
|||||||
JPM
|
AT&T, Inc.
|
9/5/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
3,000
|
107,779
|
9,356
|
||||||||||
BAML
|
Avon Products, Inc.
|
8/26/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
414,229
|
1,776,557
|
583,419
|
||||||||||
GS
|
Avon Products, Inc.
|
9/17/20
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
161,246
|
685,243
|
232,066
|
||||||||||
JPM
|
Axalta Coating
|
|||||||||||||||||
Systems Ltd.
|
10/28/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
138,455
|
4,121,805
|
83,208
|
|||||||||||
JPM
|
The Blackstone
|
|||||||||||||||||
Group, Inc.
|
5/31/20
|
Pay
|
0.650% +3 Month U.S. LIBOR
|
Quarterly
|
58,432
|
2,211,651
|
1,054,535
|
|||||||||||
GS
|
Bolsas y Mercados
|
|||||||||||||||||
Espanoles
|
10/15/20
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
15,785
|
620,322
|
(12,894
|
)
|
||||||||||
JPM
|
Bolsas y Mercados
|
|||||||||||||||||
Espanoles
|
12/20/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
1,712
|
66,184
|
(164
|
)
|
||||||||||
BAML
|
Bristol-Myers Squibb
|
|||||||||||||||||
Company
|
11/21/20
|
Pay
|
0.000%(1)
|
|
Monthly
|
25,034
|
—
|
(1)
|
75,352
|
|||||||||
JPM
|
China Agri-Industries
|
|||||||||||||||||
Holdings, Ltd.
|
12/10/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
53,070
|
27,939
|
160
|
|||||||||||
JPM
|
Cobham plc
|
9/10/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
3,061,101
|
6,062,059
|
591,993
|
||||||||||
BAML
|
Cobham plc
|
12/11/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
253,880
|
527,770
|
24,254
|
||||||||||
BAML
|
Cypress Semiconductor
|
|||||||||||||||||
Corporation
|
8/26/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
292,480
|
6,744,112
|
75,157
|
|||||||||||
JPM
|
Discovery Communications,
|
|||||||||||||||||
Inc. Class C
|
3/9/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
10,767
|
292,539
|
35,461
|
|||||||||||
BAML
|
Dupont De Nemours, Inc.
|
4/2/20
|
Pay
|
0.400% +1 Month U.S. LIBOR
|
Monthly
|
2,280
|
181,917
|
(35,641
|
)
|
|||||||||
BAML
|
EI Group plc
|
9/27/20
|
Pay
|
0.450% +1 Month U.S. LIBOR
|
Monthly
|
262,287
|
910,851
|
74,637
|
||||||||||
BAML
|
Faurecia S.E.
|
11/14/20
|
Pay
|
0.350% +1 Month U.S. LIBOR
|
Monthly
|
3,371
|
176,823
|
4,696
|
||||||||||
BAML
|
Fiat Chrysler
|
|||||||||||||||||
Automobiles N.V.
|
11/14/20
|
Pay
|
0.350% +1 Month U.S. LIBOR
|
Monthly
|
83,025
|
1,271,441
|
(43,372
|
)
|
Pay/Receive
|
Unrealized
|
|||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
|||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
||||||||
JPM
|
First Trust Senior Floating
|
|||||||||||||||
Rate Income Fund II
|
12/6/20
|
Pay
|
0.800% +3 Month U.S. LIBOR
|
Quarterly
|
12,108
|
$
|
147,287
|
$
|
4,492
|
|||||||
JPM
|
Hilton Grand
|
|||||||||||||||
Vacations, Inc.
|
10/11/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
139,448
|
4,637,854
|
153,241
|
|||||||||
BAML
|
Hitachi Chemical
|
|||||||||||||||
Company, Ltd.
|
12/23/20
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
15,213
|
636,579
|
3,818
|
|||||||||
JPM
|
Hitachi Chemical
|
|||||||||||||||
Company, Ltd.
|
12/30/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
12,367
|
520,070
|
652
|
|||||||||
JPM
|
Huaneng Renewables
|
|||||||||||||||
Corporation, Ltd.
|
11/15/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
2,683,292
|
1,020,279
|
22,066
|
|||||||||
JPM
|
IAC/InterActiveCorp
|
10/21/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
15,000
|
3,380,850
|
352,504
|
||||||||
JPM
|
Innogy S.E.
|
6/6/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
34,699
|
1,650,732
|
83,490
|
||||||||
JPM
|
Just Eat plc
|
12/12/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
73,659
|
756,794
|
56,977
|
||||||||
JPM
|
Liberty Media
|
|||||||||||||||
Corporation – Liberty
|
||||||||||||||||
SiriusXM Class C
|
12/17/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
11,359
|
535,479
|
10,957
|
|||||||||
GS
|
Liberty Property Trust
|
11/26/20
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
80,523
|
4,985,179
|
(158,684
|
)
|
|||||||
JPM
|
Line Corporation
|
11/20/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
22,140
|
1,052,050
|
37,016
|
||||||||
JPM
|
The Madison Square
|
|||||||||||||||
Garden Company
|
||||||||||||||||
Class A
|
10/31/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
16,300
|
4,350,796
|
440,259
|
|||||||||
JPM
|
Mellanox
|
|||||||||||||||
Technologies, Inc.
|
5/14/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
28,335
|
3,320,371
|
(3,209
|
)
|
||||||||
JPM
|
Mylan N.V.
|
8/26/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
148,800
|
2,795,952
|
192,202
|
||||||||
JPM
|
Osram Licht AG
|
12/6/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
174,568
|
7,660,557
|
272,057
|
||||||||
BAML
|
Osram Licht AG
|
12/16/20
|
Pay
|
0.350% +1 Month U.S. LIBOR
|
Monthly
|
8,364
|
378,460
|
1,639
|
||||||||
GS
|
Osram Licht AG
|
12/17/20
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
37,366
|
1,691,619
|
6,834
|
||||||||
JPM
|
Renault S.A.
|
4/3/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
25,418
|
1,502,409
|
(301,326
|
)
|
Pay/Receive
|
Unrealized
|
|||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
|||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
||||||||
BAML
|
Renault S.A.
|
5/29/20
|
Pay
|
0.350% +1 Month U.S. LIBOR
|
Monthly
|
3,000
|
$
|
179,398
|
$
|
(37,554
|
)
|
|||||
JPM
|
SLM Corporation,
|
|||||||||||||||
4.311%, Series B
|
2/8/20
|
Pay
|
1.100% +3 Month U.S. LIBOR
|
Quarterly
|
35,769
|
2,378,639
|
(459,220
|
)
|
||||||||
BAML
|
Sophos Group plc
|
10/14/20
|
Pay
|
0.450% +1 Month U.S. LIBOR
|
Monthly
|
757,280
|
5,529,081
|
42,682
|
||||||||
JPM
|
Tallgrass Energy
|
|||||||||||||||
LP Class A
|
9/26/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
9,439
|
189,354
|
19,252
|
|||||||||
GS
|
Tallgrass Energy
|
|||||||||||||||
LP Class A
|
11/13/20
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
133,384
|
2,807,198
|
140,457
|
|||||||||
JPM
|
United Technologies
|
|||||||||||||||
Corporation
|
8/7/20
|
Pay
|
0.300% +3 Month U.S. LIBOR
|
Quarterly
|
15,300
|
1,973,853
|
315,551
|
|||||||||
JPM
|
Unizo Holdings
|
|||||||||||||||
Company, Ltd.
|
11/8/20
|
Pay
|
0.400% +3 Month U.S. LIBOR
|
Quarterly
|
22,433
|
1,027,906
|
28,125
|
|||||||||
BAML
|
ViacomCBS, Inc. Class B
|
4/11/20
|
Pay
|
0.400% +1 Month U.S. LIBOR
|
Monthly
|
54,335
|
2,756,492
|
(477,564
|
)
|
|||||||
GS
|
Wright Medical
|
|||||||||||||||
Group N.V.
|
11/26/20
|
Pay
|
0.500% +1 Month U.S. LIBOR
|
Monthly
|
231,479
|
6,837,890
|
205,367
|
|||||||||
BAML
|
Zayo Group LLC /
|
|||||||||||||||
Zayo Capital, Inc.
|
5/13/20
|
Pay
|
0.750% +1 Month U.S. LIBOR
|
Monthly
|
232,969
|
7,723,391
|
344,071
|
|||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
||||||||||||||||
BAML
|
AbbVie, Inc.
|
10/4/20
|
Receive
|
(0.175)% +1 Month U.S. LIBOR
|
Monthly
|
(55,619
|
)
|
(4,301,060
|
)
|
(621,798
|
)
|
|||||
JPM
|
Alibaba Group
|
|||||||||||||||
Holding Ltd. – ADR
|
6/11/20
|
Receive
|
(0.600)% +3 Month U.S. LIBOR
|
Quarterly
|
(1,089
|
)
|
(186,407
|
)
|
(44,462
|
)
|
||||||
GS
|
Centene Corporation
|
|||||||||||||||
Corporation
|
12/20/20
|
Receive
|
(0.350)% + U.S. Federal Funds
|
Monthly
|
(43,867
|
)
|
(2,716,683
|
)
|
(40,627
|
)
|
||||||
GS
|
The Charles Schwab
|
|||||||||||||||
Corporation
|
12/5/20
|
Receive
|
(0.350)% + U.S. Federal Funds
|
Monthly
|
(109,262
|
)
|
(5,317,262
|
)
|
124,229
|
|||||||
JPM
|
Daimler AG
|
4/3/20
|
Receive
|
(0.462)% +3 Month U.S. LIBOR
|
Quarterly
|
(1,525
|
)
|
(81,561
|
)
|
(2,840
|
)
|
|||||
JPM
|
Digital Realty Trust, Inc.
|
12/10/20
|
Receive
|
(0.600)% +3 Month U.S. LIBOR
|
Quarterly
|
(1,813
|
)
|
(213,191
|
)
|
(3,775
|
)
|
|||||
JPM
|
Discovery, Inc. Class A
|
10/28/20
|
Receive
|
(0.600)% +3 Month U.S. LIBOR
|
Quarterly
|
(10,767
|
)
|
(299,215
|
)
|
(53,125
|
)
|
Pay/Receive
|
Unrealized
|
||||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
||||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||||
GS
|
Eldorado Resorts, Inc.
|
12/20/20
|
Receive
|
(0.420)% + U.S. Federal Funds
|
Monthly
|
(40,820
|
)
|
$
|
(2,353,273
|
)
|
$
|
(80,744
|
)
|
||||
GS
|
Flutter Entertainment
|
10/2/20
|
Receive
|
(0.550)% + U.S. Federal Funds
|
Monthly
|
(27,119
|
)
|
(2,877,626
|
)
|
(416,619
|
)
|
||||||
JPM
|
Flutter Entertainment
|
10/23/20
|
Receive
|
(0.619)% +3 Month U.S. LIBOR
|
Quarterly
|
(37,763
|
)
|
(3,731,152
|
)
|
(860,311
|
)
|
||||||
BAML
|
Natura Cosmeticos S.A.
|
8/26/20
|
Pay
|
(4.000)% +1 Month U.S. LIBOR
|
Monthly
|
(248,662
|
)
|
(1,987,027
|
)
|
(408,624
|
)
|
||||||
GS
|
Natura Cosmeticos S.A.
|
9/17/20
|
Pay
|
(5.500)% + U.S. Federal Funds
|
Monthly
|
(96,726
|
)
|
(756,514
|
)
|
(175,516
|
)
|
||||||
JPM
|
Nissan Motor
|
||||||||||||||||
Company Ltd.
|
4/3/20
|
Receive
|
(0.462)% +3 Month U.S. LIBOR
|
Quarterly
|
(171,229
|
)
|
(1,168,027
|
)
|
166,343
|
||||||||
BAML
|
Peugeot S.A.
|
11/14/20
|
Receive
|
(0.350)% +1 Month U.S. LIBOR
|
Monthly
|
(46,961
|
)
|
(1,183,766
|
)
|
62,187
|
|||||||
GS
|
Prologis, Inc.
|
10/31/20
|
Receive
|
(0.350)% + U.S. Federal Funds
|
Monthly
|
(59,152
|
)
|
(5,219,786
|
)
|
(46,111
|
)
|
||||||
$
|
1,629,688
|
*
|
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
|
(1)
|
Security held is the direct result of a corporate action. There is no associated financing rate and the security is held with a zero cost basis.
|
Shares
|
Value
|
|||||||
LONG INVESTMENTS — 88.21%
|
||||||||
COMMON STOCKS — 3.64%
|
||||||||
REITS — 3.64%
|
||||||||
Broadmark Realty Capital, Inc.
|
14,739
|
$
|
187,922
|
|||||
TOTAL COMMON STOCKS (Cost $161,688)
|
187,922
|
|||||||
SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES — 20.57% (a)
|
||||||||
Act II Global Acquisition
|
||||||||
Corporation Class A (b)
|
11,468
|
116,056
|
||||||
Alberton Acquisition Corporation (b)
|
19,986
|
206,855
|
||||||
CHP Merger Corporation
|
899
|
9,143
|
||||||
CIIG Merger Corporation
|
7,118
|
72,319
|
||||||
Haymaker Acquisition Corporation II Class A
|
8,028
|
80,689
|
||||||
Hennessy Capital Acquisition
|
||||||||
Corporation IV Class A
|
7,720
|
78,435
|
||||||
Juniper Industrial Holdings, Inc. (e)
|
3,556
|
36,325
|
||||||
Legacy Acquisition Corporation Class A
|
8,245
|
84,676
|
||||||
Leisure Acquisition Corporation
|
116
|
1,209
|
||||||
Merida Merger Corporation I
|
4,621
|
45,009
|
||||||
Mudrick Capital Acquisition
|
||||||||
Corporation Class A (e)
|
1,950
|
20,134
|
||||||
PropTech Acquisition Corporation (e)
|
4,600
|
47,564
|
||||||
Software Acquisition Group, Inc.
|
836
|
8,494
|
||||||
Tuscan Holdings Corporation
|
10,713
|
106,701
|
||||||
Tuscan Holdings Corporation II
|
15,000
|
147,900
|
||||||
TOTAL SPECIAL PURPOSE ACQUISITION
|
||||||||
COMPANIES (Cost $1,015,392)
|
1,061,509
|
|||||||
CLOSED-END FUNDS — 0.05%
|
||||||||
Ares Dynamic Credit Allocation Fund
|
173
|
2,656
|
||||||
TOTAL CLOSED-END FUNDS (Cost $2,766)
|
2,656
|
|||||||
PREFERRED STOCKS — 7.97%
|
||||||||
Fannie Mae, 8.250%, Series S (a)
|
3,654
|
43,665
|
||||||
Freddie Mac, 8.375%, Series Z (a)
|
11,516
|
136,465
|
||||||
GMAC Capital Trust I, 7.695% (3 Month U.S.
|
||||||||
LIBOR +5.785%), 2/15/2040 Series 2 (g)
|
8,875
|
231,193
|
||||||
TOTAL PREFERRED STOCKS (Cost $405,095)
|
411,323
|
|||||||
WARRANTS — 1.56% (a)
|
||||||||
Act II Global Acquisition Corporation Class A
|
||||||||
Expiration: April 2024,
|
||||||||
Exercise Price: $11.50 (b)
|
5,734
|
5,734
|
Shares
|
Value
|
|||||||
CF Finance Acquisition Corporation Class A
|
||||||||
Expiration: April 2025,
|
||||||||
Exercise Price: $11.50 (e)
|
11,580
|
$
|
10,249
|
|||||
FinTech Acquisition Corporation III Class A
|
||||||||
Expiration: December 2023,
|
||||||||
Exercise Price: $11.50
|
7,553
|
10,375
|
||||||
Haymaker Acquisition Corporation II Class A
|
||||||||
Expiration: October 2026,
|
||||||||
Exercise Price: $11.50
|
2,676
|
3,773
|
||||||
Hennessy Capital Acquisition
|
||||||||
Corporation IV Class A
|
||||||||
Expiration: September 2025,
|
||||||||
Exercise Price: $11.50
|
5,790
|
4,632
|
||||||
Merida Merger Corporation I
|
||||||||
Expiration: November 2026,
|
||||||||
Exercise Price: $11.50
|
2,310
|
1,152
|
||||||
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 (e)
|
32,598
|
19,558
|
||||||
Pure Acquisition Corporation
|
||||||||
Expiration: April 2023,
|
||||||||
Exercise Price: $11.50
|
7,903
|
7,792
|
||||||
Repay Holdings Corporation
|
||||||||
Expiration: July 2024,
|
||||||||
Exercise Price: $11.50
|
5,911
|
6,620
|
||||||
Tuscan Holdings Corporation
|
||||||||
Expiration: April 2026,
|
||||||||
Exercise Price: $11.50 (e)
|
10,713
|
6,160
|
||||||
Tuscan Holdings Corporation II
|
||||||||
Expiration: July 2025,
|
||||||||
Exercise Price: $11.50 (e)
|
7,500
|
3,375
|
||||||
TOTAL WARRANTS (Cost $86,699)
|
80,376
|
|||||||
Principal
|
||||||||
Amount
|
||||||||
BANK LOANS — 13.31% (e)(g)
|
||||||||
Avaya Holdings Corporation
|
||||||||
5.990% (1 Month U.S.
|
||||||||
LIBOR + 4.250%), 12/16/2024
|
$
|
148,443
|
146,093
|
|||||
Cengage Learning Holdings II, Inc.
|
||||||||
6.049% (1 Month U.S.
|
||||||||
LIBOR + 4.250%), 6/7/2023
|
98,231
|
93,811
|
Principal
|
||||||||
Amount
|
Value
|
|||||||
Heritage Power LLC
|
||||||||
8.205% (6 Month U.S.
|
||||||||
LIBOR + 6.000%), 7/30/2026
|
$
|
233,415
|
$
|
224,078
|
||||
McGraw-Hill Global Education Holdings LLC
|
||||||||
5.799% (1 Month U.S.
|
||||||||
LIBOR + 4.000%), 5/4/2022
|
74,293
|
71,414
|
||||||
Refinitiv US Holdings, Inc.
|
||||||||
5.049% (1 Month U.S.
|
||||||||
LIBOR + 3.250%), 10/1/2025
|
150,241
|
151,591
|
||||||
TOTAL BANK LOANS (Cost $694,042)
|
686,987
|
|||||||
CONVERTIBLE BONDS — 7.32% (e)
|
||||||||
Caesars Entertainment Corporation
|
||||||||
5.000%, 10/1/2024
|
71,000
|
136,764
|
||||||
NII Holdings, Inc.
|
||||||||
4.250%, 8/15/2023 (f)
|
227,000
|
241,188
|
||||||
TOTAL CONVERTIBLE BONDS (Cost $339,516)
|
377,952
|
|||||||
CORPORATE BONDS — 29.00% (e)
|
||||||||
Acadia Healthcare Company, Inc.
|
||||||||
5.125%, 7/1/2022 (d)
|
153,000
|
154,578
|
||||||
APX Group, Inc.
|
||||||||
7.875%, 12/1/2022
|
141,000
|
142,585
|
||||||
CEC Entertainment, Inc.
|
||||||||
8.000%, 2/15/2022
|
188,000
|
185,709
|
||||||
Cincinnati Bell, Inc.
|
||||||||
7.000%, 7/15/2024 (f)
|
15,000
|
15,769
|
||||||
EIG Investors Corporation
|
||||||||
10.875%, 2/1/2024
|
45,000
|
45,019
|
||||||
Nationstar Mortgage LLC /
|
||||||||
Nationstar Capital Corporation
|
||||||||
6.500%, 7/1/2021
|
21,000
|
21,113
|
||||||
6.500%, 6/1/2022
|
16,000
|
16,041
|
||||||
Nielsen Finance LLC / Nielsen Finance Company
|
||||||||
5.000%, 4/15/2022 (d)(f)
|
203,000
|
204,123
|
||||||
Refinitiv U.S. Holdings, Inc.
|
||||||||
8.250%, 11/15/2026 (f)
|
169,000
|
190,648
|
||||||
SRC Energy, Inc.
|
||||||||
6.250%, 12/1/2025
|
201,000
|
203,008
|
||||||
T-Mobile USA, Inc.
|
||||||||
6.375%, 3/1/2025
|
34,000
|
35,204
|
||||||
Vertiv Group Corporation
|
||||||||
9.250%, 10/15/2024 (f)
|
263,000
|
283,272
|
||||||
TOTAL CORPORATE BONDS (Cost $1,487,296)
|
1,497,069
|
Shares
|
Value
|
|||||||
ESCROW NOTES — 2.48% (a)(e)
|
||||||||
Altaba, Inc.
|
6,174
|
$
|
127,853
|
|||||
TOTAL ESCROW NOTES (Cost $122,245)
|
127,853
|
|||||||
SHORT-TERM INVESTMENTS — 2.31%
|
||||||||
MONEY MARKET FUNDS — 2.31% (c)
|
||||||||
Fidelity Institutional Government Portfolio,
|
||||||||
Institutional Share Class, 1.49%
|
4,109
|
4,109
|
||||||
JPMorgan Prime Money Market Fund,
|
||||||||
Institutional Share Class, 1.75%
|
114,895
|
114,929
|
||||||
TOTAL SHORT-TERM INVESTMENTS
|
||||||||
(Cost $119,038)
|
119,038
|
|||||||
TOTAL LONG INVESTMENTS
|
||||||||
(Cost $4,433,777) — 88.21%
|
4,552,685
|
|||||||
Principal
|
||||||||
Amount
|
||||||||
SHORT INVESTMENTS — (1.04)%
|
||||||||
CORPORATE BONDS — (1.04)% (e)
|
||||||||
APX Group, Inc.
|
$
|
(57,000
|
)
|
(53,746
|
)
|
|||
TOTAL CORPORATE BONDS
|
||||||||
(Proceeds $51,386)
|
(53,746
|
)
|
||||||
TOTAL SHORT INVESTMENTS
|
||||||||
(Proceeds $51,386) — (1.04)%
|
(53,746
|
)
|
||||||
TOTAL NET INVESTMENTS
|
||||||||
(Cost $4,382,391) — 87.17%
|
4,498,939
|
|||||||
OTHER ASSETS IN EXCESS
|
||||||||
OF LIABILITIES — 12.83%
|
662,116
|
|||||||
TOTAL NET ASSETS — 100.00%
|
$
|
5,161,055
|
(a)
|
Non-income producing security.
|
(b)
|
Foreign Security.
|
(c)
|
The rate quoted is the annualized seven-day yield as of December 31, 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 December 31, 2019, these securities
represent 18.12% of total net assets.
|
(g)
|
The coupon rate shown on variable rate securities represents the rate as of December 31, 2019.
|
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
|
Apollo Tactical Income
|
||||||||||||||
Fund, Inc.
|
12/31/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
280
|
$
|
4,248
|
$
|
(23
|
)
|
|||||
JPM
|
BlackRock Debt
|
||||||||||||||
Strategies Fund, Inc.
|
5/23/20
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
2,759
|
29,604
|
1,261
|
||||||||
JPM
|
BlackRock Floating
|
||||||||||||||
Rate Income
|
|||||||||||||||
Strategies Fund, Inc.
|
8/30/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
2,208
|
27,512
|
2,137
|
||||||||
JPM
|
BlackRock MuniYield
|
||||||||||||||
Quality Fund III, Inc.
|
10/4/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
3,198
|
43,740
|
(609
|
)
|
|||||||
GS
|
CF Finance Acquisition
|
||||||||||||||
Corporation Class A
|
11/19/20
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
15,440
|
157,179
|
574
|
||||||||
JPM
|
Colony Capital, Inc.,
|
||||||||||||||
8.750%, Series E
|
4/30/20
|
Pay
|
0.753% + 3 Month U.S. LIBOR
|
Quarterly
|
8,113
|
203,481
|
1,538
|
||||||||
JPM
|
Eaton Vance Floating-
|
||||||||||||||
Rate Income Trust
|
3/18/20
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
2,062
|
28,394
|
(137
|
)
|
|||||||
JPM
|
Eaton Vance Senior
|
||||||||||||||
Floating- Rate
|
|||||||||||||||
Income Trust
|
8/30/20
|
Pay
|
1.000% + 3 Month U.S. LIBOR
|
Quarterly
|
1,421
|
18,331
|
900
|
||||||||
GS
|
FinTech Acquisition
|
||||||||||||||
Corporation III Class A
|
11/19/20
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
15,106
|
151,815
|
568
|
||||||||
JPM
|
First Trust Senior Floating
|
||||||||||||||
Rate Income Fund II
|
3/18/20
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
2,636
|
31,553
|
1,491
|
||||||||
JPM
|
Invesco Dynamic Credit
|
||||||||||||||
Opportunities Fund
|
9/3/20
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
2,954
|
32,317
|
1,172
|
||||||||
JPM
|
Invesco Municipal
|
||||||||||||||
Opportunity Trust
|
3/13/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
865
|
10,348
|
333
|
||||||||
JPM
|
Invesco Senior
|
||||||||||||||
Income Trust
|
8/7/20
|
Pay
|
1.000% + 3 Month U.S. LIBOR
|
Quarterly
|
10,274
|
42,596
|
1,425
|
Pay/Receive
|
Unrealized
|
||||||||||||||
Counter-
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||
JPM
|
Invesco Value Municipal
|
||||||||||||||
Income Trust
|
3/13/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
721
|
$
|
10,572
|
$
|
463
|
||||||
JPM
|
Nuveen AMT-Free
|
||||||||||||||
Municipal Credit
|
|||||||||||||||
Income Fund
|
11/27/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
706
|
11,388
|
370
|
||||||||
JPM
|
Nuveen AMT-Free
|
||||||||||||||
Quality Municipal
|
|||||||||||||||
Income Fund
|
10/4/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
3,608
|
51,354
|
479
|
||||||||
JPM
|
Nuveen California
|
||||||||||||||
Quality Municipal
|
|||||||||||||||
Income Fund
|
11/27/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
768
|
11,497
|
(73
|
)
|
|||||||
JPM
|
Nuveen Credit
|
||||||||||||||
Strategies Income Fund
|
5/23/20
|
Pay
|
0.800% + 3 Month U.S. LIBOR
|
Quarterly
|
8,620
|
65,998
|
38
|
||||||||
JPM
|
Nuveen Intermediate
|
||||||||||||||
Duration Municipal
|
|||||||||||||||
Term Fund
|
10/4/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
3,184
|
43,770
|
476
|
||||||||
JPM
|
Nuveen Municipal Credit
|
||||||||||||||
Income Fund
|
10/4/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
2,678
|
43,551
|
245
|
||||||||
JPM
|
Nuveen New York
|
||||||||||||||
AMT-Free Quality
|
|||||||||||||||
Municipal Income Fund
|
10/4/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
3,233
|
43,760
|
69
|
||||||||
JPM
|
Nuveen Preferred and
|
||||||||||||||
Income 2022 Term Fund
|
11/29/20
|
Pay
|
0.300% + 3 Month U.S. LIBOR
|
Quarterly
|
447
|
11,049
|
198
|
||||||||
GS
|
Pure Acquisition
|
||||||||||||||
Corporation
|
11/19/20
|
Pay
|
1.100% +1 Month U.S. LIBOR
|
Monthly
|
16,153
|
166,860
|
108
|
||||||||
JPM
|
SLM Corporation,
|
||||||||||||||
4.311%, Series B
|
2/8/20
|
Pay
|
1.100% + 3 Month U.S. LIBOR
|
Quarterly
|
2,007
|
133,465
|
(25,767
|
)
|
|||||||
JPM
|
Voya Prime
|
||||||||||||||
Rate Trust
|
8/1/20
|
Pay
|
1.000% + 3 Month U.S. LIBOR
|
Quarterly
|
12,008
|
56,354
|
3,733
|
Pay/Receive
|
Unrealized
|
||||||||||||||||
Counter-
|
|
Termination
|
on Financing
|
Payment
|
Notional
|
Appreciation
|
|||||||||||
party
|
Security
|
Date
|
Rate
|
Financing Rate
|
Frequency
|
Shares
|
Amount
|
(Depreciation)*
|
|||||||||
SHORT TOTAL RETURN SWAP CONTRACTS
|
|||||||||||||||||
JPM
|
Alibaba Group
|
||||||||||||||||
Holding Ltd. – ADR
|
5/8/20
|
Receive
|
(0.600)% +3 Month U.S. LIBOR
|
Quarterly
|
(7
|
)
|
$
|
(1,260
|
)
|
$
|
(224
|
)
|
|||||
GS
|
Eldorado Resorts, Inc.
|
12/20/20
|
Receive
|
(0.420)% + U.S. Federal Funds
|
Monthly
|
(902
|
)
|
(52,000
|
)
|
(1,782
|
)
|
||||||
$
|
(11,037
|
)
|
*
|
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||
ASSETS:
|
||||||||||||
Investments, at value (Cost
|
||||||||||||
$3,085,198,710, $216,167,980,
|
||||||||||||
and $4,433,777, respectively)*
|
$
|
3,243,424,639
|
$
|
223,271,236
|
$
|
4,552,685
|
||||||
Investment of cash collateral
|
||||||||||||
from securities loaned
|
||||||||||||
(Cost $104,867,573,
|
||||||||||||
$—, and $—, respectively)
|
104,867,573
|
—
|
—
|
|||||||||
Cash held in foreign currency
|
||||||||||||
(Cost $—, $10,008,
|
||||||||||||
and $—, respectively)
|
—
|
10,030
|
—
|
|||||||||
Deposits at brokers for
|
||||||||||||
securities sold short
|
9,276,328
|
5,206,273
|
55,029
|
|||||||||
Deposit at brokers for
|
||||||||||||
other investments
|
10,059,660
|
—
|
—
|
|||||||||
Receivable for swap contracts
|
4,270,240
|
2,184,571
|
—
|
|||||||||
Receivable for fund shares issued
|
17,149,960
|
2,155,146
|
100,000
|
|||||||||
Dividends and interest receivable
|
6,639,049
|
664,332
|
34,606
|
|||||||||
Receivable for investments sold
|
2,963,881
|
232,253
|
494,799
|
|||||||||
Receivable for securities
|
||||||||||||
lending income (Note 8)
|
18,288
|
—
|
—
|
|||||||||
Receivable from
|
||||||||||||
investment advisor
|
—
|
—
|
8,342
|
|||||||||
Prepaid expenses
|
||||||||||||
and other receivables
|
85,506
|
25,069
|
25,428
|
|||||||||
Total Assets
|
3,398,755,124
|
233,748,910
|
5,270,889
|
|||||||||
LIABILITIES:
|
||||||||||||
Securities sold short, at value
|
||||||||||||
(Proceeds of $10,789,323,
|
||||||||||||
$4,862,208, and
|
||||||||||||
$51,386, respectively)
|
12,067,601
|
5,296,608
|
53,746
|
|||||||||
Written option contracts, at value
|
||||||||||||
(Premiums received $34,445,568,
|
||||||||||||
$4,180,510, and $—, respectively)
|
43,793,639
|
4,496,136
|
—
|
|||||||||
Payable for forward currency
|
||||||||||||
exchange contracts
|
2,498,197
|
275,949
|
—
|
|||||||||
Payable for swap contracts
|
15,876,059
|
554,883
|
11,037
|
|||||||||
Payable for collateral received
|
||||||||||||
on securities loaned (Note 8)
|
104,867,573
|
—
|
—
|
|||||||||
Payable for investments purchased
|
21,687,410
|
2,363,915
|
800
|
|||||||||
Payable to the investment adviser
|
2,614,193
|
226,116
|
—
|
|||||||||
Payable for fund shares redeemed
|
1,647,811
|
45,337
|
—
|
|||||||||
Distribution fees payable
|
216,849
|
3,978
|
96
|
|||||||||
Dividends and interest payable
|
193,638
|
44,540
|
1,470
|
|||||||||
Payable to brokers
|
—
|
1,739,065
|
14,546
|
|||||||||
Accrued expenses
|
||||||||||||
and other liabilities
|
933,441
|
98,623
|
28,139
|
|||||||||
Total Liabilities
|
206,396,411
|
15,145,150
|
109,834
|
|||||||||
NET ASSETS
|
$
|
3,192,358,713
|
$
|
218,603,760
|
$
|
5,161,055
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||
NET ASSETS CONSISTS OF:
|
||||||||||||
Paid-in capital
|
$
|
3,077,887,144
|
$
|
205,860,586
|
$
|
5,003,591
|
||||||
Distributable earnings
|
114,471,569
|
12,743,174
|
157,464
|
|||||||||
Total Net Assets
|
$
|
3,192,358,713
|
$
|
218,603,760
|
$
|
5,161,055
|
||||||
Investor Class
|
||||||||||||
Net assets
|
$
|
1,031,357,225
|
$
|
19,352,330
|
$
|
463,352
|
||||||
Shares outstanding
|
60,059,178
|
1,763,744
|
44,425
|
|||||||||
Net asset value and
|
||||||||||||
offering price per share**
|
$
|
17.17
|
$
|
10.97
|
$
|
10.43
|
||||||
Institutional Class
|
||||||||||||
Net assets
|
$
|
2,161,001,488
|
$
|
199,251,430
|
$
|
4,697,703
|
||||||
Shares outstanding
|
126,380,967
|
18,105,012
|
449,153
|
|||||||||
Net asset value and
|
||||||||||||
offering price per share**
|
$
|
17.10
|
$
|
11.01
|
$
|
10.46
|
*
|
Includes securities on loan with a value of $101,702,188 at December 31, 2019.
|
|
**
|
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
|
$
|
48,734,064
|
$
|
3,334,025
|
$
|
153,900
|
||||||
Dividend income on long positions
|
||||||||||||
(net of foreign withholding
|
||||||||||||
taxes of $48,723, $4,062,
|
||||||||||||
and $—, respectively)
|
27,897,941
|
1,545,351
|
7,059
|
|||||||||
Securities lending income,
|
||||||||||||
net (Note 8)
|
94,586
|
—
|
—
|
|||||||||
Total investment income
|
76,726,591
|
4,879,376
|
160,959
|
|||||||||
EXPENSES:
|
||||||||||||
Investment advisory fees
|
30,392,066
|
2,325,535
|
41,260
|
|||||||||
Professional fees
|
3,781,211
|
178,133
|
65,357
|
|||||||||
Distribution fees (Investor Class)
|
2,943,831
|
37,730
|
318
|
|||||||||
Sub transfer agent fees
|
||||||||||||
(Institutional Class)
|
1,516,074
|
174,941
|
1,048
|
|||||||||
Sub transfer agent fees
|
||||||||||||
(Investor Class)
|
1,423,588
|
17,022
|
86
|
|||||||||
Administration fees
|
998,373
|
66,720
|
14,783
|
|||||||||
Reports to shareholders
|
445,050
|
33,925
|
1,125
|
|||||||||
Transfer agent and shareholder
|
||||||||||||
servicing agent fees
|
442,350
|
26,510
|
3,535
|
|||||||||
Fund accounting expenses
|
306,913
|
56,507
|
5,020
|
|||||||||
Custody fees
|
281,711
|
36,561
|
4,063
|
|||||||||
Trustees’ fees and expenses
|
231,811
|
31,609
|
15,036
|
|||||||||
Federal and state
|
||||||||||||
registration fees
|
219,581
|
55,288
|
54,534
|
|||||||||
Compliance fees
|
186,888
|
10,239
|
188
|
|||||||||
Miscellaneous expenses
|
150,271
|
20,880
|
5,967
|
|||||||||
Dividends and interest on
|
||||||||||||
securities sold short
|
9,771,831
|
665,414
|
1,099
|
|||||||||
Borrowing expenses on
|
||||||||||||
securities sold short
|
3,296,647
|
205,040
|
448
|
|||||||||
Interest on reverse
|
||||||||||||
repurchase agreements
|
—
|
—
|
8,315
|
|||||||||
Total expenses
|
||||||||||||
before expense
|
||||||||||||
waiver/recoupment/
|
||||||||||||
reimbursement
|
||||||||||||
by adviser
|
56,388,196
|
3,942,054
|
222,182
|
|||||||||
Expense waived/recouped/
|
||||||||||||
reimbursed by adviser (Note 3)
|
(727,445
|
)
|
5,319
|
(144,336
|
)
|
|||||||
Net expenses
|
55,660,751
|
3,947,373
|
77,846
|
|||||||||
NET INVESTMENT INCOME
|
$
|
21,065,840
|
$
|
932,003
|
$
|
83,113
|
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
|
$
|
128,213,290
|
$
|
9,202,624
|
$
|
137,928
|
||||||
Securities sold short
|
(141,852,630
|
)
|
(5,245,000
|
)
|
(11,406
|
)
|
||||||
Written option contracts
|
||||||||||||
expired or closed
|
14,276,733
|
895,816
|
—
|
|||||||||
Forward currency
|
||||||||||||
exchange contracts
|
(1,996,867
|
)
|
83,980
|
—
|
||||||||
Swap contracts
|
3,611,525
|
5,460,016
|
31,187
|
|||||||||
Foreign currency transactions
|
8,597
|
65
|
—
|
|||||||||
Net realized gain
|
2,260,648
|
10,397,501
|
157,709
|
|||||||||
Change in unrealized
|
||||||||||||
appreciation (depreciation) on:
|
||||||||||||
Investments
|
165,352,161
|
10,730,026
|
163,906
|
|||||||||
Securities sold short
|
29,445,582
|
(1,759,918
|
)
|
(2,360
|
)
|
|||||||
Written option contracts
|
(11,499,652
|
)
|
(840,190
|
)
|
—
|
|||||||
Forward currency
|
||||||||||||
exchange contracts
|
(3,362,682
|
)
|
(391,441
|
)
|
—
|
|||||||
Swap contracts
|
(21,229,196
|
)
|
(24,296
|
)
|
84,021
|
|||||||
Foreign currency translation
|
—
|
22
|
—
|
|||||||||
Net change in
|
||||||||||||
unrealized appreciation
|
158,706,213
|
7,714,203
|
245,567
|
|||||||||
NET REALIZED AND CHANGE IN
|
||||||||||||
UNREALIZED GAIN
|
||||||||||||
ON INVESTMENTS
|
160,966,861
|
18,111,704
|
403,276
|
|||||||||
NET INCREASE IN NET
|
||||||||||||
ASSETS RESULTING
|
||||||||||||
FROM OPERATIONS
|
$
|
182,032,701
|
$
|
19,043,707
|
$
|
486,389
|
Year Ended
|
Year Ended
|
|||||||
December 31, 2019
|
December 31, 2018
|
|||||||
Net investment income
|
$
|
21,065,840
|
$
|
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
|
2,260,648
|
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
|
158,706,213
|
(22,543,614
|
)
|
|||||
Net increase in net assets
|
||||||||
resulting from operations
|
182,032,701
|
182,969,074
|
||||||
Investor Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Investor Class
|
(13,594,494
|
)
|
(55,076,117
|
)
|
||||
Institutional Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions to
|
||||||||
shareholders – Institutional Class
|
(28,505,531
|
)
|
(70,480,790
|
)
|
||||
Net increase in net assets from
|
||||||||
capital share transactions (Note 4)
|
291,074,931
|
389,567,339
|
||||||
Net increase in net assets
|
431,007,607
|
446,979,506
|
||||||
NET ASSETS:
|
||||||||
Beginning of year
|
2,761,351,106
|
2,314,371,600
|
||||||
End of year
|
$
|
3,192,358,713
|
$
|
2,761,351,106
|
Year Ended
|
Year Ended
|
|||||||
December 31, 2019
|
December 31, 2018
|
|||||||
Net investment income
|
$
|
932,003
|
$
|
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
|
10,397,501
|
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
|
7,714,203
|
3,487,639
|
||||||
Net increase in net assets
|
||||||||
resulting from operations
|
19,043,707
|
6,006,072
|
||||||
Investor Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Investor Class
|
(404,640
|
)
|
(519,098
|
)
|
||||
Institutional Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Institutional Class
|
(4,526,978
|
)
|
(7,102,230
|
)
|
||||
Net increase in net assets from
|
||||||||
capital share transactions (Note 4)
|
59,257,900
|
47,260,037
|
||||||
Net increase in net assets
|
73,369,989
|
45,644,781
|
||||||
NET ASSETS:
|
||||||||
Beginning of year
|
145,233,771
|
99,588,990
|
||||||
End of year
|
$
|
218,603,760
|
$
|
145,233,771
|
Year Ended
|
Year Ended
|
|||||||
December 31, 2019
|
December 31, 2018
|
|||||||
Net investment income
|
$
|
83,113
|
$
|
55,272
|
||||
Net realized gain (loss) on investments,
|
||||||||
securities sold short, and swap contracts
|
157,709
|
(33,891
|
)
|
|||||
Net change in unrealized appreciation
|
||||||||
(depreciation) on investments, securities
|
||||||||
sold short, and swap contracts
|
245,567
|
(140,056
|
)
|
|||||
Net increase (decrease) in net assets
|
||||||||
resulting from operations
|
486,389
|
(118,675
|
)
|
|||||
Investor Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Investor Class
|
(13,453
|
)
|
(547
|
)
|
||||
Institutional Class – Distributions to
|
||||||||
shareholders from: (Note 5)
|
||||||||
Total dividends and distributions
|
||||||||
to shareholders – Institutional Class
|
(135,910
|
)
|
(60,465
|
)
|
||||
Net increase in net assets from
|
||||||||
capital share transactions (Note 4)
|
1,041,763
|
3,961,953
|
*
|
|||||
Net increase in net assets
|
1,378,789
|
3,782,266
|
||||||
NET ASSETS:
|
||||||||
Beginning of year
|
3,782,266
|
—
|
*
|
|||||
End of year
|
$
|
5,161,055
|
$
|
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.
|
Year Ended December 31,
|
||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
||||||||||||||||
Per Share Data:
|
||||||||||||||||||||
Net asset value, beginning of year
|
$
|
16.30
|
$
|
15.83
|
$
|
15.56
|
$
|
15.25
|
$
|
15.58
|
||||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment
|
||||||||||||||||||||
income (loss)(1)(2)
|
0.14
|
0.23
|
0.10
|
(0.04
|
)
|
(0.03
|
)
|
|||||||||||||
Net realized and unrealized
|
||||||||||||||||||||
gain (loss) on investments
|
0.89
|
1.03
|
0.33
|
0.49
|
(0.05
|
)
|
||||||||||||||
Total from
|
||||||||||||||||||||
investment operations
|
1.03
|
1.26
|
0.43
|
0.45
|
(0.08
|
)
|
||||||||||||||
Less distributions:
|
||||||||||||||||||||
From net investment income
|
(0.05
|
)
|
(0.23
|
)
|
(0.16
|
)
|
(0.14
|
)
|
(0.18
|
)
|
||||||||||
From net realized gains
|
(0.18
|
)
|
(0.56
|
)
|
—
|
—
|
(0.07
|
)
|
||||||||||||
Total dividends and distributions
|
(0.23
|
)
|
(0.79
|
)
|
(0.16
|
)
|
(0.14
|
)
|
(0.25
|
)
|
||||||||||
Net Asset Value, end of year
|
$
|
17.10
|
$
|
16.30
|
$
|
15.83
|
$
|
15.56
|
$
|
15.25
|
||||||||||
Total Return
|
6.32
|
%
|
7.98
|
%
|
2.74
|
%
|
2.94
|
%
|
(0.52
|
)%
|
Year Ended December 31,
|
||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
||||||||||||||||
Supplemental data and ratios:
|
||||||||||||||||||||
Net assets, end of year (000’s)
|
$
|
2,161,001
|
$
|
1,496,116
|
$
|
1,152,718
|
$
|
1,377,041
|
$
|
1,247,332
|
||||||||||
Ratio of gross expenses
|
||||||||||||||||||||
to average net assets:
|
||||||||||||||||||||
Before expense reimbursement
|
1.74
|
%(4)
|
1.64
|
%
|
1.55
|
%
|
1.70
|
%
|
1.54
|
%
|
||||||||||
After expense reimbursement
|
1.72
|
%(4)
|
1.61
|
%
|
1.48
|
%
|
1.59
|
%
|
1.41
|
%
|
||||||||||
Ratio of dividends and interest on
|
||||||||||||||||||||
short positions and borrowing
|
||||||||||||||||||||
expense on securities sold short
|
||||||||||||||||||||
to average net assets
|
0.53
|
%(4)
|
0.41
|
%
|
0.37
|
%
|
0.52
|
%
|
0.40
|
%
|
||||||||||
Ratio of operating expenses
|
||||||||||||||||||||
to average net assets excluding
|
||||||||||||||||||||
dividends and interest on short
|
||||||||||||||||||||
positions and borrowing expense
|
||||||||||||||||||||
on securities sold short
|
||||||||||||||||||||
(after expense reimbursement)
|
1.19
|
%(5)
|
1.20
|
%
|
1.11
|
%
|
1.07
|
%
|
1.01
|
%
|
||||||||||
Ratio of net investment income (loss)
|
||||||||||||||||||||
to average net assets
|
0.81
|
%
|
1.38
|
%
|
0.66
|
%
|
(0.27
|
)%
|
(0.21
|
)%
|
||||||||||
Portfolio turnover rate(3)
|
167
|
%
|
155
|
%
|
166
|
%
|
182
|
%
|
157
|
%
|
(1)
|
Net investment income (loss) before dividends and interest on short positions, borrowing expense on securities on securities sold short and legal expenses related to the settlement of an appraisal right for the years ended December 31,
2019, 2018, 2017, 2016 and 2015 was $0.22, $0.29, $0.16, $0.04, and $0.03, respectively.
|
(2)
|
Net investment income (loss) per share has been calculated based on average shares outstanding during the year.
|
(3)
|
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 year.
|
(4)
|
The amount for the year ended December 31, 2019 includes 0.10% of legal expenses related to the settlement of an appraisal right.
|
(5)
|
The amount for the year ended December 31, 2019 excludes 0.10% of legal expenses related to the settlement of an appraisal right.
|
Year Ended December 31,
|
||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
||||||||||||||||
Per Share Data:
|
||||||||||||||||||||
Net asset value, beginning of year
|
$
|
16.42
|
$
|
15.94
|
$
|
15.66
|
$
|
15.31
|
$
|
15.63
|
||||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment
|
||||||||||||||||||||
income (loss)(1)(2)
|
0.09
|
0.18
|
0.05
|
(0.09
|
)
|
(0.08
|
)
|
|||||||||||||
Net realized and unrealized
|
||||||||||||||||||||
gain (loss) on investments
|
0.89
|
1.05
|
0.32
|
0.49
|
(0.05
|
)
|
||||||||||||||
Total from investment operations
|
0.98
|
1.23
|
0.37
|
0.40
|
(0.13
|
)
|
||||||||||||||
Less distributions:
|
||||||||||||||||||||
From net investment income
|
(0.05
|
)
|
(0.19
|
)
|
(0.09
|
)
|
(0.05
|
)
|
(0.12
|
)
|
||||||||||
From net realized gains
|
(0.18
|
)
|
(0.56
|
)
|
—
|
—
|
(0.07
|
)
|
||||||||||||
Total dividends and distributions
|
(0.23
|
)
|
(0.75
|
)
|
(0.09
|
)
|
(0.05
|
)
|
(0.19
|
)
|
||||||||||
Net Asset Value, end of year
|
$
|
17.17
|
$
|
16.42
|
$
|
15.94
|
$
|
15.66
|
$
|
15.31
|
||||||||||
Total Return
|
5.96
|
%
|
7.68
|
%
|
2.39
|
%
|
2.61
|
%
|
(0.82
|
)%
|
Year Ended December 31,
|
||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
||||||||||||||||
Supplemental data and ratios:
|
||||||||||||||||||||
Net assets, end of year (in millions)
|
$
|
1,031
|
$
|
1,265
|
$
|
1,162
|
$
|
1,540
|
$
|
3,509
|
||||||||||
Ratio of gross expenses
|
||||||||||||||||||||
to average net assets:
|
||||||||||||||||||||
Before expense waiver
|
2.03
|
%(4)
|
1.94
|
%
|
1.87
|
%
|
2.03
|
%
|
1.87
|
%
|
||||||||||
After expense waiver
|
2.01
|
%(4)
|
1.91
|
%
|
1.80
|
%
|
1.92
|
%
|
1.74
|
%
|
||||||||||
Ratio of dividends and interest on
|
||||||||||||||||||||
short positions and borrowing
|
||||||||||||||||||||
expense on securities sold short
|
||||||||||||||||||||
to average net assets
|
0.53
|
%(4)
|
0.41
|
%
|
0.37
|
%
|
0.52
|
%
|
0.40
|
%
|
||||||||||
Ratio of operating expenses
|
||||||||||||||||||||
to average net assets excluding
|
||||||||||||||||||||
dividends and interest on short
|
||||||||||||||||||||
positions and borrowing expense
|
||||||||||||||||||||
on securities sold short
|
1.48
|
%(5)
|
1.50
|
%
|
1.43
|
%
|
1.40
|
%
|
1.34
|
%
|
||||||||||
Ratio of net investment income (loss)
|
||||||||||||||||||||
to average net assets
|
0.52
|
%
|
1.08
|
%
|
0.34
|
%
|
(0.60
|
)%
|
(0.53
|
)%
|
||||||||||
Portfolio turnover rate(3)
|
167
|
%
|
155
|
%
|
166
|
%
|
182
|
%
|
157
|
%
|
(1)
|
Net investment income (loss) before dividends and interest on short positions, borrowing expense on securities on securities sold short and legal expenses related to the settlement of an appraisal right for the years ended December 31,
2019, 2018, 2017, 2016 and 2015 was $0.18, $0.25, $0.11, $(0.01), and $(0.02), respectively.
|
(2)
|
Net investment income (loss) per share has been calculated based on average shares outstanding during the year.
|
(3)
|
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 year.
|
(4)
|
The amount for the year ended December 31, 2019 includes 0.10% of legal expenses related to the settlement of an appraisal right.
|
(5)
|
The amount for the year ended December 31, 2019 excludes 0.10% of legal expenses related to the settlement of an appraisal right.
|
Year Ended December 31,
|
||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
||||||||||||||||
Per Share Data:
|
||||||||||||||||||||
Net asset value, beginning of year
|
$
|
10.14
|
$
|
10.17
|
$
|
9.81
|
$
|
9.62
|
$
|
10.14
|
||||||||||
Income from investment operations:
|
||||||||||||||||||||
Net investment
|
||||||||||||||||||||
income (loss)(1)(2)
|
0.06
|
0.14
|
0.00
|
(4)
|
(0.04
|
)
|
0.01
|
|||||||||||||
Net realized and unrealized
|
||||||||||||||||||||
gain (loss) on investments
|
1.06
|
0.39
|
0.46
|
0.31
|
(0.22
|
)
|
||||||||||||||
Total from
|
||||||||||||||||||||
investment operations
|
1.12
|
0.53
|
0.46
|
0.27
|
(0.21
|
)
|
||||||||||||||
Less distributions:
|
||||||||||||||||||||
From net investment income
|
(0.17
|
)
|
(0.43
|
)
|
—
|
(0.08
|
)
|
(0.09
|
)
|
|||||||||||
From net realized gains
|
(0.08
|
)
|
(0.13
|
)
|
(0.10
|
)
|
—
|
(0.22
|
)
|
|||||||||||
Total dividends and distributions
|
(0.25
|
)
|
(0.56
|
)
|
(0.10
|
)
|
(0.08
|
)
|
(0.31
|
)
|
||||||||||
Net Asset Value, end of year
|
$
|
11.01
|
$
|
10.14
|
$
|
10.17
|
$
|
9.81
|
$
|
9.62
|
||||||||||
Total Return
|
11.13
|
%
|
5.27
|
%
|
4.72
|
%
|
2.86
|
%
|
(2.08
|
)%
|
Year Ended December 31,
|
||||||||||||||||||||
2019
|
2018
|
2017
|
2016
|
2015
|
||||||||||||||||
Supplemental data and ratios:
|
||||||||||||||||||||
Net assets, end of year (000’s)
|
$
|
199,251
|
$
|
134,923
|
$
|
94,031
|
$
|
112,947
|
$
|
96,489
|
||||||||||
Ratio of gross expenses
|
||||||||||||||||||||
to average net assets:
|
||||||||||||||||||||
Before expense
|
||||||||||||||||||||
reimbursement/recoupment
|
2.10
|
%(5)
|
2.19
|
%
|
2.20
|
%
|
2.37
|
%
|
2.23
|
%
|
||||||||||
After expense
|
||||||||||||||||||||
reimbursement/recoupment
|
2.10
|
%(5)
|
2.20
|
%
|
2.24
|
%
|
2.36
|
%
|
2.09
|
%
|
||||||||||
Ratio of dividends and interest on
|
||||||||||||||||||||
short positions and borrowing
|
||||||||||||||||||||
expense on securities sold short
|
||||||||||||||||||||
to average net assets
|
0.49
|
%(5)
|
0.46
|
%
|
0.50
|
%
|
0.62
|
%
|
0.35
|
%
|
||||||||||
Ratio of operating expenses
|
||||||||||||||||||||
to average net assets excluding
|
||||||||||||||||||||
dividends and interest on short
|
||||||||||||||||||||
positions and borrowing expense
|
||||||||||||||||||||
on securities sold short
|
||||||||||||||||||||
(after expense reimbursement/
|
||||||||||||||||||||
recoupment)
|
1.61
|
%(6)
|
1.74
|
%
|
1.74
|
%
|
1.74
|
%
|
1.74
|
%
|
||||||||||
Ratio of net investment income (loss)
|
||||||||||||||||||||
to average net assets
|
0.52
|
%
|
1.34
|
%
|
(0.02
|
)%
|
(0.46
|
)%
|
0.05
|
%
|
||||||||||
Portfolio turnover rate(3)
|
238
|
%
|
230
|
%
|
283
|
%
|
217
|
%
|
199
|
%
|
(1)
|
Net investment income (loss) before dividends and interest on short positions, borrowing expense on securities on securities sold short and legal expenses related to the settlement of an appraisal right for the years ended December 31,
2019, 2018, 2017, 2016 and 2015 was $0.11, $0.19, $0.05, $0.02, and $0.04, respectively.
|
(2)
|
Net investment income (loss) per share has been calculated based on average shares outstanding during the year.
|
(3)
|
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 year.
|
(4)
|
Amount calculated is less than $(0.005).
|
(5)
|
The amount for the year ended December 31, 2019 includes 0.03% of legal expenses related to the settlement of an appraisal right.
|
(6)
|
The amount for the year ended December 31, 2019 excludes 0.03% of legal expenses related to the settlement of an appraisal right.
|
Investor Class
|
For the
|
|||||||||||
Period from
|
||||||||||||
|
March 22, 2017^
|
|||||||||||
Year Ended
December 31,
|
through
|
|||||||||||
December 31,
|
||||||||||||
2019
|
2018
|
2017
|
||||||||||
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)
|
0.03
|
0.11
|
(0.01
|
)
|
||||||||
Net realized and unrealized gain on investments
|
1.05
|
0.39
|
0.38
|
|||||||||
Total from investment operations
|
1.08
|
0.50
|
0.37
|
|||||||||
Less distributions:
|
||||||||||||
From net investment income
|
(0.15
|
)
|
(0.41
|
)
|
—
|
|||||||
From net realized gains
|
(0.08
|
)
|
(0.13
|
)
|
(0.10
|
)
|
||||||
Total dividends and distributions
|
(0.23
|
)
|
(0.54
|
)
|
(0.10
|
)
|
||||||
Net Asset Value, end of period
|
$
|
10.97
|
$
|
10.12
|
$
|
10.16
|
||||||
Total Return
|
10.73
|
%
|
4.95
|
%
|
3.77
|
%(3)
|
||||||
Supplemental data and ratios:
|
||||||||||||
Net assets, end of period (in 000’s)
|
$
|
19,352
|
$
|
10,311
|
$
|
5,558
|
||||||
Ratio of gross expenses to average net assets:
|
||||||||||||
Before expense recoupment
|
2.35
|
%(6)
|
2.44
|
%
|
2.52
|
%(4)
|
||||||
After expense recoupment
|
2.35
|
%(6)
|
2.45
|
%
|
2.54
|
%(4)
|
||||||
Ratio of dividends and interest on short positions
|
||||||||||||
and borrowing expense on securities sold
|
||||||||||||
short to average net assets
|
0.49
|
%(6)
|
0.46
|
%
|
0.55
|
%(4)
|
||||||
Ratio of operating expenses to average
|
||||||||||||
net assets excluding dividends and interest
|
||||||||||||
on short positions and borrowing expense on
|
||||||||||||
securities sold short (after expense recoupment)
|
1.86
|
%(7)
|
1.99
|
%
|
1.99
|
%(4)
|
||||||
Ratio of net investment income (loss)
|
||||||||||||
to average net assets
|
0.27
|
%
|
1.09
|
%
|
(0.17
|
)%(4)
|
||||||
Portfolio turnover rate(5)
|
238
|
%
|
230
|
%
|
283
|
%(3)
|
(1)
|
Net investment income (loss) before dividends and interest on short positions, borrowing expense on securities on securities sold short and legal expenses related to the settlement of an appraisal right for the periods ended December 31,
2019, 2018 and 2017 was $0.08, $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.
|
(6)
|
The amount for the year ended December 31, 2019 includes 0.03% of legal expenses related to the settlement of an appraisal right.
|
(7)
|
The amount for the year ended December 31, 2019 excludes 0.03% of legal expenses related to the settlement of an appraisal right.
|
^
|
Commencement of operations.
|
Year Ended
|
||||||||
December 31,
|
||||||||
2019
|
2018
|
|||||||
Per Share Data:
|
||||||||
Net asset value, beginning of year
|
$
|
9.55
|
$
|
10.00
|
||||
Income from investment operations:
|
||||||||
Net investment income(1)(2)
|
0.21
|
0.14
|
||||||
Net realized and unrealized gain (loss) on investments
|
1.02
|
(0.43
|
)
|
|||||
Total from investment operations
|
1.23
|
(0.29
|
)
|
|||||
Less distributions:
|
||||||||
From net investment income
|
(0.28
|
)
|
(0.16
|
)
|
||||
From net realized gains
|
(0.04
|
)
|
—
|
|||||
Total dividends and distributions
|
(0.32
|
)
|
(0.16
|
)
|
||||
Net Asset Value, end of year
|
$
|
10.46
|
$
|
9.55
|
||||
Total Return
|
12.87
|
%
|
(2.93
|
)%
|
||||
Supplemental data and ratios:
|
||||||||
Net assets, end of year (000’s)
|
$
|
4,698
|
$
|
3,744
|
||||
Ratio of gross expenses to average net assets:
|
||||||||
Before expense reimbursement
|
5.38
|
%
|
6.24
|
%
|
||||
After expense reimbursement
|
1.88
|
%
|
1.73
|
%
|
||||
Ratio of borrowing expense on securities sold short and interest
|
||||||||
on securities sold short and reverse repurchase agreements
|
||||||||
to average net assets
|
0.24
|
%
|
0.09
|
%
|
||||
Ratio of operating expenses to average net assets
|
||||||||
excluding borrowing expense on securities sold short
|
||||||||
and interest on securities sold short and reverse repurchase
|
||||||||
agreements (after expense reimbursement)
|
1.64
|
%
|
1.64
|
%
|
||||
Ratio of net investment income to average net assets
|
2.02
|
%
|
1.44
|
%
|
||||
Portfolio turnover rate(3)
|
106
|
%
|
192
|
%
|
(1)
|
Net investment income before borrowing expense on securities on securities sold short and interest on securities sold short and reverse repurchase agreements for the years ended December 31, 2019 and 2018 was $0.23 and $0.15, respectively.
|
(2)
|
Net investment income per share has been calculated based on average shares outstanding during the year.
|
(3)
|
The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short-term investments, swap contracts, short positions and reverse repurchase agreements). The denominator includes the average long
positions throughout the year.
|
Year Ended
December 31,
|
||||||||
2019
|
2018
|
|||||||
Per Share Data:
|
||||||||
Net asset value, beginning of year
|
$
|
9.54
|
$
|
10.00
|
||||
Income from investment operations:
|
||||||||
Net investment income(1)(2)
|
0.19
|
0.12
|
||||||
Net realized and unrealized gain (loss) on investments
|
1.01
|
(0.44
|
)
|
|||||
Total from investment operations
|
1.20
|
(0.32
|
)
|
|||||
Less distributions:
|
||||||||
From net investment income
|
(0.27
|
)
|
(0.14
|
)
|
||||
From net realized gains
|
(0.04
|
)
|
—
|
|||||
Total dividends and distributions
|
(0.31
|
)
|
(0.14
|
)
|
||||
Net Asset Value, end of year
|
$
|
10.43
|
$
|
9.54
|
||||
Total Return
|
12.60
|
%
|
(3.23
|
)%
|
||||
Supplemental data and ratios:
|
||||||||
Net assets, end of year (000’s)
|
$
|
463
|
$
|
38
|
||||
Ratio of gross expenses to average net assets:
|
||||||||
Before expense reimbursement
|
5.63
|
%
|
6.56
|
%
|
||||
After expense reimbursement
|
2.13
|
%
|
1.98
|
%
|
||||
Ratio of borrowing expense on securities sold short and interest
|
||||||||
on securities sold short and reverse repurchase agreements
|
||||||||
to average net assets
|
0.24
|
%
|
0.09
|
%
|
||||
Ratio of operating expenses to average net assets
|
||||||||
excluding borrowing expense on securities sold short
|
||||||||
and interest on securities sold short and reverse repurchase
|
||||||||
agreements (after expense reimbursement)
|
1.89
|
%
|
1.89
|
%
|
||||
Ratio of net investment income to average net assets
|
1.77
|
%
|
1.19
|
%
|
||||
Portfolio turnover rate(3)
|
106
|
%
|
192
|
%
|
(1)
|
Net investment income before borrowing expense on securities on securities sold short and interest on securities sold short and reverse repurchase agreements for the years ended December 31, 2019 and 2018 was $0.21 and $0.13, respectively.
|
(2)
|
Net investment income per share has been calculated based on average shares outstanding during the year.
|
(3)
|
The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short-term investments, swap contracts, short positions and reverse repurchase agreements). The denominator includes the average long
positions throughout the year.
|
A.
|
Investment Valuation
|
Level 1 —
|
Quoted prices in active markets for identical securities.
|
|
Level 2 —
|
Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
|
|
Level 3 —
|
Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.
|
The Merger Fund
|
||||||||||||||||
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Common Stocks*
|
$
|
1,417,084,819
|
$
|
94,625,208
|
$
|
—
|
$
|
1,511,710,027
|
||||||||
Special Purpose
|
||||||||||||||||
Acquisition Companies
|
167,108,270
|
62,813,989
|
—
|
229,922,259
|
||||||||||||
Preferred Stocks
|
2,471,911
|
—
|
—
|
2,471,911
|
||||||||||||
Contingent Value Rights
|
—
|
2,123,520
|
—
|
2,123,520
|
||||||||||||
Warrants
|
4,100,111
|
1,406,244
|
—
|
5,506,355
|
||||||||||||
Bank Loans
|
—
|
94,309,670
|
—
|
94,309,670
|
||||||||||||
Corporate Bonds
|
—
|
156,125,716
|
—
|
156,125,716
|
||||||||||||
Purchased Option Contracts
|
2,489,719
|
—
|
—
|
2,489,719
|
||||||||||||
Escrow Notes
|
—
|
124,513,656
|
285,983
|
124,799,639
|
||||||||||||
Short-Term Investments
|
954,326,671
|
159,639,152
|
—
|
1,113,965,823
|
||||||||||||
Investments Purchased
|
||||||||||||||||
with the Cash Proceeds
|
||||||||||||||||
from Securities Lending***
|
—
|
—
|
—
|
104,867,573
|
||||||||||||
Swap Contracts**
|
—
|
4,270,240
|
—
|
4,270,240
|
||||||||||||
Total
|
$
|
2,547,581,501
|
$
|
699,827,395
|
$
|
285,983
|
$
|
3,352,562,452
|
The Merger Fund (continued)
|
||||||||||||||||
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Liabilities
|
||||||||||||||||
Short Common Stocks*
|
$
|
(12,067,601
|
)
|
$
|
—
|
$
|
—
|
$
|
(12,067,601
|
)
|
||||||
Written Option Contracts
|
(43,793,639
|
)
|
—
|
—
|
(43,793,639
|
)
|
||||||||||
Forward Currency
|
||||||||||||||||
Exchange Contracts**
|
—
|
(2,498,197
|
)
|
—
|
(2,498,197
|
)
|
||||||||||
Swap Contracts**
|
—
|
(15,876,059
|
)
|
—
|
(15,876,059
|
)
|
||||||||||
Total
|
$
|
(55,861,240
|
)
|
$
|
(18,374,256
|
)
|
$
|
—
|
$
|
(74,235,496
|
)
|
WCM Alternatives: Event-Driven Fund
|
||||||||||||||||
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Common Stocks*
|
$
|
79,616,830
|
$
|
7,436,793
|
$
|
—
|
$
|
87,053,623
|
||||||||
Special Purpose
|
||||||||||||||||
Acquisition Companies
|
19,389,367
|
7,757,786
|
—
|
27,147,153
|
||||||||||||
Closed-End Funds
|
7,171,029
|
—
|
—
|
7,171,029
|
||||||||||||
Preferred Stocks
|
7,807,787
|
—
|
—
|
7,807,787
|
||||||||||||
Contingent Value Rights
|
—
|
184,747
|
—
|
184,747
|
||||||||||||
Rights
|
—
|
9,448
|
—
|
9,448
|
||||||||||||
Warrants
|
571,177
|
265,540
|
—
|
836,717
|
||||||||||||
Bank Loans
|
—
|
9,278,911
|
—
|
9,278,911
|
||||||||||||
Convertible Bonds
|
—
|
3,589,941
|
—
|
3,589,941
|
||||||||||||
Corporate Bonds
|
—
|
23,393,611
|
—
|
23,393,611
|
||||||||||||
Purchased Option Contracts
|
368,296
|
18,073
|
—
|
386,369
|
||||||||||||
Escrow Notes
|
—
|
8,750,127
|
6,636
|
8,756,763
|
||||||||||||
Short-Term Investments
|
20,461,003
|
27,194,134
|
—
|
47,655,137
|
||||||||||||
Swap Contracts**
|
—
|
2,184,571
|
—
|
2,184,571
|
||||||||||||
Total
|
$
|
135,385,489
|
$
|
90,063,682
|
$
|
6,636
|
$
|
225,455,807
|
||||||||
Liabilities
|
||||||||||||||||
Short Common Stocks*
|
$
|
(4,362,179
|
)
|
$
|
—
|
$
|
—
|
$
|
(4,362,179
|
)
|
||||||
Short Corporate Bonds
|
—
|
(934,429
|
)
|
—
|
(934,429
|
)
|
||||||||||
Written Option Contracts
|
(4,401,966
|
)
|
(94,170
|
)
|
—
|
(4,496,136
|
)
|
|||||||||
Forward Currency
|
||||||||||||||||
Exchange Contracts**
|
—
|
(275,949
|
)
|
—
|
(275,949
|
)
|
||||||||||
Swap Contracts**
|
—
|
(554,883
|
)
|
—
|
(554,883
|
)
|
||||||||||
Total
|
$
|
(8,764,145
|
)
|
$
|
(1,859,431
|
)
|
$
|
—
|
$
|
(10,623,576
|
)
|
Investments at Fair Value
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Common Stocks*
|
$
|
187,922
|
$
|
—
|
$
|
—
|
$
|
187,922
|
||||||||
Special Purpose
|
||||||||||||||||
Acquisition Companies
|
957,486
|
104,023
|
—
|
1,061,509
|
||||||||||||
Closed-End Funds
|
2,656
|
—
|
—
|
2,656
|
||||||||||||
Preferred Stocks
|
411,323
|
—
|
—
|
411,323
|
||||||||||||
Warrants
|
41,034
|
39,342
|
—
|
80,376
|
||||||||||||
Bank Loans
|
—
|
686,987
|
—
|
686,987
|
||||||||||||
Convertible Bonds
|
—
|
377,952
|
—
|
377,952
|
||||||||||||
Corporate Bonds
|
—
|
1,497,069
|
—
|
1,497,069
|
||||||||||||
Escrow Notes
|
—
|
127,853
|
—
|
127,853
|
||||||||||||
Short-Term Investments
|
119,038
|
—
|
—
|
119,038
|
||||||||||||
Total
|
$
|
1,719,459
|
$
|
2,833,226
|
$
|
—
|
$
|
4,552,685
|
||||||||
Liabilities
|
||||||||||||||||
Short Corporate Bonds
|
$
|
—
|
$
|
(53,746
|
)
|
$
|
—
|
$
|
(53,746
|
)
|
||||||
Swap Contracts**
|
—
|
(11,037
|
)
|
—
|
(11,037
|
)
|
||||||||||
Total
|
$
|
—
|
$
|
(64,783
|
)
|
$
|
—
|
$
|
(64,783
|
)
|
*
|
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 8 for additional information regarding securities lending activity.
|
The Merger Fund
|
||||||||||||||||
Common
|
Contingent
|
Escrow
|
Total
|
|||||||||||||
Description
|
Stocks
|
Value Rights
|
Notes
|
Investment
|
||||||||||||
Balance as of December 31, 2018
|
$
|
59,773,482
|
$
|
26,735
|
$
|
1,927,279
|
$
|
61,727,496
|
||||||||
Purchases on Investments
|
—
|
—
|
—
|
—
|
||||||||||||
(Sales) of Investments
|
(57,736,820
|
)
|
—
|
—
|
(57,736,820
|
)
|
||||||||||
Realized (Gain) Loss
|
(310,207
|
)
|
—
|
—
|
(310,207
|
)
|
||||||||||
Transfers Into Level 3
|
—
|
—
|
—
|
—
|
||||||||||||
(Transfer Out) of Level 3
|
—
|
(44,558
|
)
|
—
|
(44,558
|
)
|
||||||||||
Change in Unrealized
|
||||||||||||||||
Appreciation (Depreciation)
|
(1,726,455
|
)
|
17,823
|
(1,641,296
|
)*
|
(3,349,928
|
)
|
|||||||||
Balance as of December 31, 2019
|
$
|
—
|
$
|
—
|
$
|
285,983
|
$
|
285,983
|
||||||||
Change in unrealized appreciation
|
||||||||||||||||
(depreciation) during the year
|
||||||||||||||||
for Level 3 investments held
|
||||||||||||||||
at December 31, 2019.
|
$
|
(2,036,662
|
)
|
$
|
17,823
|
$
|
(1,055,453
|
)*
|
$
|
(3,074,292
|
)
|
|||||
WCM Alternatives: Event-Driven Fund
|
||||||||||||||||
Common
|
Contingent
|
Escrow
|
Total
|
|||||||||||||
Description
|
Stocks
|
Value Rights
|
Notes
|
Investment
|
||||||||||||
Balance as of December 31, 2018
|
$
|
1,016,674
|
$
|
1,286
|
$
|
60,608
|
$
|
1,078,568
|
||||||||
Purchases on Investments
|
—
|
—
|
—
|
—
|
||||||||||||
(Sales) of Investments
|
(983,662
|
)
|
—
|
—
|
(983,662
|
)
|
||||||||||
Realized (Gain) Loss
|
(3,648
|
)
|
—
|
—
|
(3,648
|
)
|
||||||||||
Transfers Into Level 3
|
—
|
—
|
—
|
—
|
||||||||||||
(Transfer Out) of Level 3
|
—
|
(2,143
|
)
|
(8,938
|
)
|
(11,081
|
)
|
|||||||||
Change in Unrealized
|
||||||||||||||||
Appreciation (Depreciation)
|
(29,364
|
)
|
857
|
(45,034
|
)*
|
(73,541
|
)
|
|||||||||
Balance as of December 31, 2019
|
$
|
—
|
$
|
—
|
$
|
6,636
|
$
|
6,636
|
||||||||
Change in unrealized appreciation
|
||||||||||||||||
(depreciation) during the year
|
||||||||||||||||
for Level 3 investments held
|
||||||||||||||||
at December 31, 2019.
|
$
|
(33,012
|
)
|
$
|
857
|
$
|
(19,760
|
)*
|
$
|
(51,915
|
)
|
*
|
The difference in unrealized depreciation values is due to a change in the cost basis from a corporate action.
|
Fair Value at
|
Valuation
|
Unobservable
|
|
Description
|
December 31, 2019
|
Technique
|
Input
|
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.
|
B.
|
Federal Income Taxes
|
C.
|
Transactions with Brokers
|
D.
|
Securities Sold Short
|
E.
|
Written Option Contracts
|
F.
|
Purchased Option Contracts
|
G.
|
Forward Currency Exchange Contracts
|
H.
|
Equity Swap Contracts
|
I.
|
Reverse Repurchase Agreements
|
J.
|
Distributions to Shareholders
|
K.
|
Foreign Securities
|
L.
|
Foreign Currency Transactions
|
M.
|
Cash and Cash Equivalents
|
N.
|
Guarantees and Indemnifications
|
O.
|
Security Transactions, Investment Income and Expenses
|
P.
|
Counterparty Risk
|
Q.
|
The Right to Offset
|
R.
|
Derivatives
|
Monthly Average
|
Monthly Average
|
|||||||
Quantity
|
Notional Value
|
|||||||
Purchased Option Contracts
|
30,838
|
$
|
252,682,019
|
|||||
Written Option Contracts
|
38,558
|
$
|
300,648,565
|
|||||
Forward Currency Exchange Contracts
|
9
|
$
|
127,169,912
|
|||||
Long Total Return Swap Contracts
|
35,547,998
|
$
|
171,094,571
|
|||||
Short Total Return Swap Contracts
|
2,766,519
|
$
|
108,651,072
|
|||||
WCM Alternatives: Event-Driven Fund
|
||||||||
Monthly Average
|
Monthly Average
|
|||||||
Quantity
|
Notional Value
|
|||||||
Purchased Option Contracts
|
11,712
|
$
|
49,322,637
|
|||||
Written Option Contracts
|
12,300
|
$
|
52,955,858
|
|||||
Forward Currency Exchange Contracts
|
10
|
$
|
13,441,723
|
|||||
Long Total Return Swap Contracts
|
4,709,709
|
$
|
74,609,440
|
|||||
Short Total Return Swap Contracts
|
358,742
|
$
|
15,060,165
|
Monthly Average
|
Monthly Average
|
|||||||
Quantity
|
Notional Value
|
|||||||
Long Total Return Swap Contracts
|
110,138
|
$
|
1,228,855
|
|||||
Short Total Return Swap Contracts
|
298
|
$
|
45,470
|
Asset Derivatives
|
||||||
Statements of Assets
|
||||||
Derivatives
|
and Liabilities Location
|
Fair Value
|
||||
The Merger Fund
|
||||||
Equity Contracts:
|
||||||
Purchased Option Contracts
|
Investments
|
$
|
2,489,719
|
|||
Swap Contracts
|
Receivables
|
4,270,240
|
||||
Total
|
$
|
6,759,959
|
||||
WCM Alternatives: Event-Driven Fund
|
||||||
Equity Contracts:
|
||||||
Purchased Option Contracts
|
Investments
|
$
|
386,369
|
|||
Swap Contracts
|
Receivables
|
2,184,571
|
||||
Total
|
$
|
2,570,940
|
||||
Liability Derivatives
|
||||||
Statements of Assets
|
||||||
Derivatives
|
and Liabilities Location
|
Fair Value
|
||||
The Merger Fund
|
||||||
Equity Contracts:
|
||||||
Written Option Contracts
|
Written Option Contracts
|
$
|
43,793,639
|
|||
Swap Contracts
|
Payables
|
15,876,059
|
||||
Foreign Exchange Contracts:
|
||||||
Forward Currency Exchange Contracts
|
Payables
|
2,498,197
|
||||
Total
|
$
|
62,167,895
|
||||
WCM Alternatives: Event-Driven Fund
|
||||||
Equity Contracts:
|
||||||
Written Option Contracts
|
Written Option Contracts
|
$
|
4,496,136
|
|||
Swap Contracts
|
Payables
|
554,883
|
||||
Foreign Exchange Contracts:
|
||||||
Forward Currency Exchange Contracts
|
Payables
|
275,949
|
||||
Total
|
$
|
5,326,968
|
||||
WCM Alternatives: Credit Event Fund
|
||||||
Equity Contracts:
|
||||||
Swap Contracts
|
Payables
|
$
|
11,037
|
|||
Tota
|
$
|
11,037
|
Forward
|
|||||||||||||||||||||
Purchased
|
Written
|
Currency
|
|||||||||||||||||||
Option
|
Option
|
Exchange
|
Swap
|
||||||||||||||||||
Derivatives
|
Contracts*
|
Contracts
|
Contracts
|
Contracts
|
Total
|
||||||||||||||||
The Merger Fund
|
|||||||||||||||||||||
Equity Contracts
|
$
|
(24,180,175
|
)
|
$
|
14,276,733
|
$
|
—
|
$
|
3,611,525
|
$
|
(6,291,917
|
)
|
|||||||||
Foreign Exchange
|
|||||||||||||||||||||
Contracts
|
—
|
—
|
(1,996,867
|
)
|
—
|
(1,996,867
|
)
|
||||||||||||||
Total
|
$
|
(24,180,175
|
)
|
$
|
14,276,733
|
$
|
(1,996,867
|
)
|
$
|
3,611,525
|
$
|
(8,288,784
|
)
|
||||||||
WCM Alternatives:
|
|||||||||||||||||||||
Event-Driven Fund
|
|||||||||||||||||||||
Equity Contracts
|
$
|
(3,257,062
|
)
|
$
|
895,816
|
$
|
—
|
$
|
5,460,016
|
$
|
3,098,770
|
||||||||||
Foreign Exchange
|
|||||||||||||||||||||
Contracts
|
—
|
—
|
83,980
|
—
|
83,980
|
||||||||||||||||
Total
|
$
|
(3,257,062
|
)
|
$
|
895,816
|
$
|
83,980
|
$
|
5,460,016
|
$
|
3,182,750
|
||||||||||
WCM Alternatives:
|
|||||||||||||||||||||
Credit Event Fund
|
|||||||||||||||||||||
Equity Contracts
|
$
|
31,187
|
$
|
31,187
|
|||||||||||||||||
Total
|
$
|
31,187
|
$
|
31,187
|
*
|
The amounts disclosed are included in the realized gain (loss) on investments.
|
Forward
|
|||||||||||||||||||||
Purchased
|
Written
|
Currency
|
|||||||||||||||||||
Option
|
Option
|
Exchange
|
Swap
|
||||||||||||||||||
Derivatives
|
Contracts*
|
Contracts
|
Contracts
|
Contracts
|
Total
|
||||||||||||||||
The Merger Fund
|
|||||||||||||||||||||
Equity Contracts
|
$
|
(4,162,876
|
)
|
$
|
(11,499,652
|
)
|
$
|
—
|
$
|
(21,229,196
|
)
|
$
|
(36,891,724
|
)
|
|||||||
Foreign Exchange
|
|||||||||||||||||||||
Contracts
|
—
|
—
|
(3,362,682
|
)
|
—
|
(3,362,682
|
)
|
||||||||||||||
Total
|
$
|
(4,162,876
|
)
|
$
|
(11,499,652
|
)
|
$
|
(3,362,682
|
)
|
$
|
(21,229,196
|
)
|
$
|
(40,254,406
|
)
|
||||||
WCM Alternatives:
|
|||||||||||||||||||||
Event-Driven Fund
|
|||||||||||||||||||||
Equity Contracts
|
$
|
(1,052,312
|
)
|
$
|
(840,190
|
)
|
$
|
—
|
$
|
(24,296
|
)
|
$
|
(1,916,798
|
)
|
|||||||
Foreign Exchange
|
|||||||||||||||||||||
Contracts
|
—
|
—
|
(391,441
|
)
|
—
|
(391,441
|
)
|
||||||||||||||
Total
|
$
|
(1,052,312
|
)
|
$
|
(840,190
|
)
|
$
|
(391,441
|
)
|
$
|
(24,296
|
)
|
$
|
(2,308,239
|
)
|
||||||
WCM Alternatives:
|
|||||||||||||||||||||
Credit Event Fund
|
|||||||||||||||||||||
Equity Contracts
|
$
|
84,021
|
$
|
84,021
|
|||||||||||||||||
Total
|
$
|
84,021
|
$
|
84,021
|
*
|
The amounts disclosed are included in the change in unrealized appreciation (depreciation) on investments.
|
S.
|
LIBOR
|
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
|
$144,336
|
(a)
|
For the year ended December 31, 2019, the Advisor has recouped/recovered all available fees and expenses.
|
Year Ended
|
Year Ended
|
|||||||||||||||
The Merger Fund |
December 31, 2019
|
December 31, 2018
|
||||||||||||||
Investor Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
22,139,549
|
$
|
372,043,431
|
33,197,364
|
$
|
553,768,103
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
671,088
|
11,522,587
|
2,808,501
|
46,003,244
|
||||||||||||
Redeemed
|
(39,825,094
|
)
|
(672,209,911
|
)
|
(31,786,636
|
)
|
(526,161,249
|
)
|
||||||||
Net Increase (Decrease)
|
(17,014,457
|
)
|
$
|
(288,643,893
|
)
|
4,219,229
|
$
|
73,610,098
|
Year Ended
|
Year Ended
|
|||||||||||||||
The Merger Fund (continued)
|
December 31, 2019
|
December 31, 2018
|
||||||||||||||
Institutional Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
63,747,760
|
$
|
1,069,624,980
|
43,506,112
|
$
|
720,447,542
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
1,204,623
|
20,599,052
|
2,631,814
|
42,793,301
|
||||||||||||
Redeemed
|
(30,358,811
|
)
|
(510,505,208
|
)
|
(27,148,324
|
)
|
(447,283,602
|
)
|
||||||||
Net Increase
|
34,593,572
|
$
|
579,718,824
|
18,989,602
|
$
|
315,957,241
|
||||||||||
Year Ended
|
Year Ended
|
|||||||||||||||
WCM Alternatives: |
December 31, 2019
|
December 31, 2018
|
||||||||||||||
Event-Driven Fund
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Investor Class
|
||||||||||||||||
Issued
|
980,466
|
$
|
10,482,375
|
507,188
|
$
|
5,306,943
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
36,828
|
404,005
|
51,498
|
519,098
|
||||||||||||
Redeemed
|
(272,769
|
)
|
(2,920,389
|
)
|
(86,753
|
)
|
(909,847
|
)
|
||||||||
Net Increase
|
744,525
|
$
|
7,965,991
|
471,933
|
$
|
4,916,194
|
||||||||||
Year Ended
|
Year Ended
|
|||||||||||||||
December 31, 2019
|
December 31, 2018
|
|||||||||||||||
Institutional Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
7,467,678
|
$
|
79,923,691
|
4,957,091
|
$
|
51,992,483
|
||||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
411,433
|
4,525,763
|
692,534
|
6,994,591
|
||||||||||||
Redeemed
|
(3,079,889
|
)
|
(33,157,545
|
)
|
(1,585,769
|
)
|
(16,643,231
|
)
|
||||||||
Net Increase
|
4,799,222
|
$
|
51,291,909
|
4,063,856
|
$
|
42,343,843
|
||||||||||
Year Ended
|
Year Ended
|
|||||||||||||||
WCM Alternatives: |
December 31, 2019
|
December 31, 2018
|
||||||||||||||
Credit Event Fund
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Investor Class
|
||||||||||||||||
Issued
|
39,549
|
$
|
417,609
|
4,231
|
$
|
42,400
|
*
|
|||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
1,284
|
13,380
|
57
|
547
|
||||||||||||
Redeemed
|
(438
|
)
|
(4,628
|
)
|
(258
|
)
|
(2,561
|
)
|
||||||||
Net Increase
|
40,395
|
$
|
426,361
|
4,030
|
$
|
40,386
|
||||||||||
Year Ended
|
Year Ended
|
|||||||||||||||
December 31, 2019
|
December 31, 2018
|
|||||||||||||||
Institutional Class
|
Shares
|
Amount
|
Shares
|
Amount
|
||||||||||||
Issued
|
55,741
|
$
|
592,859
|
395,754
|
$
|
3,960,131
|
*
|
|||||||||
Issued as reinvestment
|
||||||||||||||||
of dividends
|
13,006
|
135,910
|
6,338
|
60,465
|
||||||||||||
Redeemed
|
(11,681
|
)
|
(113,367
|
)
|
(10,005
|
)
|
(99,029
|
)
|
||||||||
Net Increase
|
57,066
|
$
|
615,402
|
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*
|
$
|
3,137,936,052
|
$
|
209,363,204
|
$
|
4,396,020
|
||||||
Gross unrealized appreciation
|
185,222,949
|
10,307,702
|
157,590
|
|||||||||
Gross unrealized depreciation
|
(44,832,045
|
)
|
(4,838,653
|
)
|
(65,708
|
)
|
||||||
Net unrealized
|
||||||||||||
appreciation (depreciation)
|
$
|
140,390,904
|
$
|
5,469,049
|
$
|
91,882
|
||||||
Undistributed ordinary income
|
—
|
4,752,552
|
30,339
|
|||||||||
Undistributed long-term capital gain
|
—
|
3,208,033
|
35,243
|
|||||||||
Total distributable earnings
|
$
|
—
|
$
|
7,960,585
|
$
|
65,582
|
||||||
Other accumulated losses
|
(25,919,335
|
)
|
(686,460
|
)
|
—
|
|||||||
Total accumulated gains (losses)
|
$
|
114,471,569
|
$
|
12,743,174
|
$
|
157,464
|
*
|
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
|
$
|
4,322
|
$
|
(4,322
|
)
|
|||
WCM Alternatives: Event-Driven Fund
|
$
|
76,164
|
$
|
(76,164
|
)
|
|||
WCM Alternatives: Credit Event Fund
|
$
|
125
|
$
|
(125
|
)
|
WCM Alternatives:
|
WCM Alternatives:
|
|||||||||||||||||||||||
The Merger Fund
|
Event-Driven Fund
|
Credit Event Fund
|
||||||||||||||||||||||
Investor Class
|
2019
|
2018
|
2019
|
2018
|
2019
|
2018
|
||||||||||||||||||
Ordinary Income
|
$
|
13,594,494
|
$
|
48,391,719
|
$
|
404,640
|
$
|
519,098
|
$
|
12,495
|
$
|
547
|
||||||||||||
Long-Term Capital Gains
|
—
|
6,684,398
|
—
|
—
|
958
|
—
|
||||||||||||||||||
Total Distributions Paid
|
$
|
13,594,494
|
$
|
55,076,117
|
$
|
404,640
|
$
|
519,098
|
$
|
13,453
|
$
|
547
|
||||||||||||
Institutional Class
|
||||||||||||||||||||||||
Ordinary Income
|
$
|
28,505,531
|
$
|
62,454,617
|
$
|
4,526,978
|
$
|
7,102,230
|
$
|
126,453
|
$
|
60,465
|
||||||||||||
Long-Term Capital Gains
|
—
|
8,026,173
|
—
|
—
|
9,457
|
—
|
||||||||||||||||||
Total Distributions Paid
|
$
|
28,505,531
|
$
|
70,480,790
|
$
|
4,526,978
|
$
|
7,102,230
|
$
|
135,910
|
$
|
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 —
|
||||||||||||||||||||||||
JPMorgan Chase
|
||||||||||||||||||||||||
& Co., Inc.
|
$
|
603,955
|
$
|
603,955
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
9,015,220
|
9,015,220
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
JPMorgan Chase
|
||||||||||||||||||||||||
& Co., Inc.
|
12,080,529
|
7,810,289
|
4,270,240
|
—
|
—
|
4,270,240
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
3,974,141
|
3,974,141
|
—
|
—
|
—
|
—
|
||||||||||||||||||
$
|
25,673,845
|
$
|
21,403,605
|
$
|
4,270,240
|
$
|
—
|
$
|
—
|
$
|
4,270,240
|
|||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Written Option
|
||||||||||||||||||||||||
Contracts**
|
$
|
43,793,639
|
$
|
—
|
$
|
43,793,639
|
$
|
—
|
$
|
43,793,639
|
$
|
—
|
||||||||||||
Forward Currency
|
||||||||||||||||||||||||
Exchange Contracts —
|
||||||||||||||||||||||||
JPMorgan Chase
|
||||||||||||||||||||||||
& Co., Inc.
|
3,094,994
|
603,955
|
2,491,039
|
—
|
2,491,039
|
—
|
||||||||||||||||||
Forward Currency
|
||||||||||||||||||||||||
Exchange Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
7,158
|
—
|
7,158
|
—
|
7,158
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
12,965,039
|
9,015,220
|
3,949,819
|
—
|
3,949,819
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
JPMorgan Chase
|
||||||||||||||||||||||||
& Co., Inc.
|
7,810,289
|
7,810,289
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
15,900,381
|
3,974,141
|
11,926,240
|
—
|
11,926,240
|
—
|
||||||||||||||||||
$
|
83,571,500
|
$
|
21,403,605
|
$
|
62,167,895
|
$
|
—
|
$
|
62,167,895
|
$
|
—
|
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 —
|
||||||||||||||||||||||||
JPMorgan Chase
|
||||||||||||||||||||||||
& Co., Inc.
|
$
|
68,410
|
$
|
68,410
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
1,291,912
|
1,291,912
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
3,929,897
|
1,745,326
|
2,184,571
|
—
|
—
|
2,184,571
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
708,953
|
708,953
|
—
|
—
|
—
|
—
|
||||||||||||||||||
$
|
5,999,172
|
$
|
3,814,601
|
$
|
2,184,571
|
$
|
—
|
$
|
—
|
$
|
2,184,571
|
|||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Written Option
|
||||||||||||||||||||||||
Contracts**
|
$
|
4,496,136
|
$
|
—
|
$
|
4,496,136
|
$
|
—
|
$
|
4,496,136
|
$
|
—
|
||||||||||||
Forward Currency
|
||||||||||||||||||||||||
Exchange Contracts —
|
||||||||||||||||||||||||
JPMorgan Chase
|
||||||||||||||||||||||||
& Co., Inc.
|
343,933
|
68,410
|
275,523
|
—
|
275,523
|
—
|
||||||||||||||||||
Forward Currency
|
||||||||||||||||||||||||
Exchange Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
426
|
—
|
426
|
—
|
426
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Bank of America
|
||||||||||||||||||||||||
Merrill Lynch
|
||||||||||||||||||||||||
& Co., Inc.
|
1,624,553
|
1,291,912
|
332,641
|
—
|
332,641
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
1,745,326
|
1,745,326
|
—
|
—
|
—
|
—
|
||||||||||||||||||
Swap Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
931,195
|
708,953
|
222,242
|
—
|
222,242
|
—
|
||||||||||||||||||
$
|
9,141,569
|
$
|
3,814,601
|
$
|
5,326,968
|
$
|
—
|
$
|
5,326,968
|
$
|
—
|
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.
|
$
|
16,328
|
$
|
16,328
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
1,250
|
1,250
|
—
|
—
|
—
|
—
|
||||||||||||||||||
$
|
17,578
|
$
|
17,578
|
$
|
—
|
$
|
—
|
$
|
—
|
$
|
—
|
|||||||||||||
Liabilities:
|
||||||||||||||||||||||||
Description
|
||||||||||||||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
JPMorgan
|
||||||||||||||||||||||||
Chase &
|
||||||||||||||||||||||||
Co., Inc.
|
$
|
26,833
|
$
|
16,328
|
$
|
10,505
|
$
|
—
|
$
|
10,505
|
$
|
—
|
||||||||||||
Swap
|
||||||||||||||||||||||||
Contracts —
|
||||||||||||||||||||||||
Goldman,
|
||||||||||||||||||||||||
Sachs & Co.
|
1,782
|
1,250
|
532
|
—
|
532
|
—
|
||||||||||||||||||
$
|
28,615
|
$
|
17,578
|
$
|
11,037
|
$
|
—
|
$
|
11,037
|
$
|
—
|
*
|
In some instances, the actual collateral received/pledged may be more than amount shown.
|
|
**
|
JPMorgan Chase & Co., Inc. is the prime broker for all written option contracts held by the Funds as of December 31, 2019.
|
Value of
|
Cash
|
Total value
|
|
Securities
|
Collateral Posted
|
of Collateral
|
|
on Loan
|
by Borrower
|
Investments
|
|
Mount Vernon Liquid Asset Portfolio, LLC*
|
$101,702,188
|
$104,867,573
|
$104,867,573
|
*
|
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.
|
# of
|
Other
|
||||
Term of
|
Portfolios
|
Directorships
|
|||
Office
|
in Fund
|
Held by
|
|||
and
|
Principal
|
Complex
|
Trustee
|
||
Name,
|
Position(s)
|
Length
|
Occupation(s)
|
Overseen
|
During
|
Address and
|
Held with
|
of Time
|
During the
|
by
|
the Past
|
Year of Birth
|
the Fund
|
Served
|
Past Five Years
|
Trustee**
|
Five Years
|
Interested Trustees
|
|||||
Roy D. Behren*
|
Co-President
|
Indefinite,
|
Co-Portfolio Manager
|
4
|
None
|
Westchester Capital
|
and
|
since
|
and Co-President of
|
||
Management, LLC
|
Treasurer;
|
2011
|
Westchester Capital
|
||
100 Summit Lake Drive
|
Trustee
|
Management, LLC, the
|
|||
Valhalla, NY 10595
|
Fund’s Adviser, since
|
||||
Year of Birth: 1960
|
2011.
|
||||
Michael T. Shannon*
|
Co-President
|
Indefinite,
|
Co-Portfolio Manager
|
4
|
None
|
Westchester Capital
|
and
|
since
|
and Co-President of
|
||
Management, LLC
|
Trustee
|
2011
|
Westchester Capital
|
||
100 Summit Lake Drive
|
Management, LLC, the
|
||||
Valhalla, NY 10595
|
Fund’s Adviser, since
|
||||
Year of Birth: 1966
|
2011.
|
||||
Non-Interested Trustees
|
|||||
Barry Hamerling
|
Independent
|
Indefinite,
|
Managing Partner of
|
4
|
Former
|
c/o Westchester
|
Trustee
|
since
|
Premium Ice Cream of
|
Trustee of
|
|
Capital
|
2007
|
America since 1995.
|
AXA Premier
|
||
Management, LLC
|
Managing Partner of
|
VIP Trust
|
|||
100 Summit Lake Drive
|
B&J Freeport since
|
||||
Valhalla, NY 10595
|
1990.
|
||||
Year of Birth: 1946
|
|||||
Richard V. Silver
|
Independent
|
Indefinite,
|
Retired Senior
|
4
|
None
|
c/o Westchester
|
Trustee
|
since
|
Executive Vice
|
||
Capital
|
2013
|
President, Chief
|
|||
Management, LLC
|
Administrative Officer
|
||||
100 Summit Lake Drive
|
and Chief Legal Officer
|
||||
Valhalla, NY 10595
|
of AXA Equitable Life
|
||||
Year of Birth: 1955
|
Insurance Company.
|
||||
Senior Advisor to AXA
|
|||||
Equitable Life Insurance
|
|||||
Company from May
|
|||||
2012 to April 2013.
|
|||||
Christianna Wood
|
Independent
|
Indefinite,
|
Chief Executive Officer
|
4
|
Director of
|
c/o Westchester
|
Trustee
|
since
|
and President of Gore
|
H&R Block
|
|
Capital
|
2013
|
Creek Capital, Ltd.
|
Corporation;
|
||
Management, LLC
|
since August 2009.
|
Director of
|
|||
100 Summit Lake Drive
|
|
Grange
|
|||
Valhalla, NY 10595
|
|
Insurance;
|
|||
Year of Birth: 1959
|
|
Trustee of
|
|||
|
the Delaware
|
||||
|
Funds
|
# of
|
Other
|
|||||
Term of
|
Portfolios
|
Directorships
|
||||
Office
|
in Fund
|
Held by
|
||||
and
|
Principal
|
Complex
|
Trustee
|
|||
Name,
|
Position(s)
|
Length
|
Occupation(s)
|
Overseen
|
During
|
|
Address and
|
Held with
|
of Time
|
During the
|
by
|
the Past
|
|
Year of Birth
|
the Fund
|
Served
|
Past Five Years
|
Trustee**
|
Five Years
|
|
Officers
|
||||||
Bruce Rubin
|
Vice
|
One-year
|
Chief Operating
|
N/A
|
N/A
|
|
Westchester Capital
|
President,
|
terms,
|
Officer of Westchester
|
|||
Management, LLC
|
Chief
|
since
|
Capital Management,
|
|||
100 Summit Lake Drive
|
Compliance
|
2010
|
LLC, the Fund’s Adviser,
|
|||
Valhalla, NY 10595
|
Officer and
|
|
since 2010.
|
|||
Year of Birth: 1959
|
Anti-Money
|
|||||
|
Laundering
|
|||||
|
Compliance
|
|||||
|
Officer
|
|||||
Abraham R. Cary
|
Secretary
|
One-year
|
Head of Trading of
|
N/A
|
N/A
|
|
Westchester Capital
|
|
terms,
|
Westchester Capital
|
|||
Management, LLC
|
|
since
|
Management, LLC, the
|
|||
100 Summit Lake Drive
|
|
2012
|
Fund’s Adviser, since
|
|||
Valhalla, NY 10595
|
|
2011.
|
||||
Year of Birth: 1975
|
*
|
Denotes a trustee who is an “interested person” (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) of the Fund or of the Adviser. Messrs. Behren and Shannon are deemed to be interested persons
because of their affiliation with the Fund’s investment adviser, Westchester Capital Management, LLC, and because they are officers of the Fund.
|
**
|
The fund complex consists of TMF, The Merger Fund VL, EDF and CEF.
|
•
|
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.
|
Westchester Capital Management, LLC
|
|
100 Summit Lake Drive
|
|
Valhalla, NY 10595
|
|
(914) 741-5600
|
|
www.westchestercapitalfunds.com
|
U.S. Bancorp Fund Services, LLC
|
|
615 East Michigan Street
|
|
P.O. Box 701
|
|
Milwaukee, WI 53201-0701
|
|
(800) 343-8959
|
U.S. Bank, N.A.
|
|
1555 North Rivercenter Drive, Suite 302
|
|
Milwaukee, WI 53212
|
|
(800) 343-8959
|
Compass Distributors, LLC
|
|
Three Canal Plaza, 3rd Floor
|
|
Portland, ME 04101
|
Roy Behren
|
|
Michael T. Shannon
|
|
Barry Hamerling
|
|
Richard V. Silver
|
|
Christianna Wood
|
Roy Behren, Co-President and Treasurer
|
|
Michael T. Shannon, Co-President
|
|
Bruce Rubin, Vice President and
|
|
Chief Compliance Officer
|
|
Abraham R. Cary, Secretary
|
Ropes & Gray LLP
|
|
1211 Avenue of the Americas
|
|
New York, NY 10036
|
PricewaterhouseCoopers LLP
|
|
300 Madison Avenue
|
|
New York, NY 10017
|
FYE 12/31/2019
|
FYE 12/31/2018
|
|
Audit Fees
|
$109,250
|
$107,750
|
Audit-Related Fees
|
$ -
|
$ -
|
Tax Fees
|
$12,605
|
$12,605
|
All Other Fees
|
$ -
|
$ -
|
FYE 12/31/2019
|
FYE 12/31/2018
|
|
Audit-Related Fees
|
0%
|
0%
|
Tax Fees
|
0%
|
0%
|
All Other Fees
|
0%
|
0%
|
Non-Audit Related Fees
|
FYE 12/31/2019
|
FYE 12/31/2018
|
Registrant
|
-
|
-
|
Registrant’s Investment Adviser
|
-
|
-
|
(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. Filed herewith.
|
(b)
|
Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.
|
4.
|
COMPLIANCE WITH THIS CODE OF ETHICS
|
5.
|
AMENDMENT AND WAIVER
|
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: 3/3/2020
|
/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: 3/3/2020
|
/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: 3/3/2020
|
Dated: 3/3/2020
|
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