NPORT-EX 1 d743598dnportex.htm MERGER FUND MERGER FUND
The Merger Fund
       
SCHEDULE OF INVESTMENTS
       
March 31, 2019 (Unaudited)
       
         
   
Shares
   
Value
 
LONG INVESTMENTS - 102.60%
           
COMMON STOCKS - 44.56%
           
AEROSPACE & DEFENSE - 2.30%
           
L3 Technologies, Inc.
   
338,746
   
$
69,907,012
 
ASSET MANAGEMENT & CUSTODY BANKS - 1.68%
               
Oaktree Capital Group LLC (e)
   
1,028,533
     
51,066,664
 
BIOTECHNOLOGY - 2.53%
               
Celgene Corporation (a)(e)
   
815,194
     
76,905,402
 
BROADCASTING - 1.38%
               
Discovery Communications, Inc. Class C (a)
   
133,231
     
3,386,732
 
Fox Corporation Class A (a)
   
1
     
37
 
Fox Corporation Class B (a)(e)
   
1,075,234
     
38,579,402
 
             
41,966,171
 
BUILDING PRODUCTS - 1.41%
               
USG Corporation
   
990,308
     
42,880,336
 
COMMUNICATIONS EQUIPMENT - 2.99%
               
ARRIS International plc (a)(b)(e)
   
2,750,822
     
86,953,483
 
Quantenna Communications, Inc. (a)
   
154,235
     
3,752,538
 
             
90,706,021
 
CONSTRUCTION MACHINERY & HEAVY TRUCKS - 0.50%
               
WABCO Holdings, Inc. (a)
   
114,700
     
15,120,901
 
DATA PROCESSING & OUTSOURCED SERVICES - 8.79%
               
First Data Corporation Class A (a)
   
6,293,614
     
165,333,240
 
Travelport Worldwide Ltd. (b)
   
131,256
     
2,064,657
 
Worldpay, Inc. Class A (a)
   
874,696
     
99,277,996
 
             
266,675,893
 
DIVERSIFIED CHEMICALS - 1.64%
               
DowDuPont, Inc. (e) (l)
   
934,700
     
49,828,857
 
GOLD - 3.47%
               
Goldcorp, Inc. (b)(e)
   
9,201,286
     
105,262,712
 
INTEGRATED TELECOMMUNICATION SERVICES - 0.47%
               
AT&T, Inc. (e)
   
453,909
     
14,234,586
 
INTERNET & DIRECT MARKETING RETAIL - 0.01%
               
Liberty Expedia Holdings, Inc. Class A (a)
   
4,439
     
189,989
 
LIFE & HEALTH INSURANCE - 0.04%
               
Genworth Financial, Inc. Class A (a)
   
306,379
     
1,173,432
 
MANAGED HEALTH CARE - 0.62%
               
WellCare Health Plans, Inc. (a)
   
69,858
     
18,844,196
 
MOVIES & ENTERTAINMENT - 1.27%
               
The Walt Disney Company (e)
   
345,776
     
38,391,550
 
OIL & GAS EXPLORATION & PRODUCTION - 0.66%
               
EnCana Corporation (b)(e)
   
2,762,955
     
20,003,794
 
OIL & GAS STORAGE & TRANSPORTATION - 1.98%
               
Columbia Pipeline Group, Inc. (a)(d)(g)(i)
   
2,276,354
     
60,210,132
 
REGIONAL BANKS - 2.63%
               
SunTrust Banks, Inc. (e)
   
1,346,612
     
79,786,761
 
REITs - 0.41%
               
Brookfield Property REIT, Inc. Class A
   
600,931
     
12,313,076
 
SEMICONDUCTOR EQUIPMENT - 0.61%
               
Versum Materials, Inc. (l)
   
369,691
     
18,599,154
 
SEMICONDUCTORS - 1.24%
               
Integrated Device Technology, Inc. (a)
   
153,793
     
7,534,319
 
Mellanox Technologies Ltd. (a)(b)(e) (l)
   
255,000
     
30,181,800
 
             
37,716,119
 
STEEL - 0.15%
               
SunCoke Energy Partners LP
   
353,334
     
4,399,008
 
SYSTEMS SOFTWARE - 7.78%
               
Dell Technologies, Inc. Class C (a) (l)
   
407,200
     
23,898,568
 
Red Hat, Inc. (a)(e)
   
1,161,707
     
212,243,869
 
             
236,142,437
 
TOTAL COMMON STOCKS (Cost $1,324,973,026)
           
1,352,324,203
 

SPECIAL PURPOSE ACQUISITION COMPANIES - 5.72% (a)
           
Alberton Acquisition Corporation (b)
   
472,825
     
4,704,609
 
Black Ridge Acquisition Corporation
   
286,249
     
2,921,257
 
CF Finance Acquisition Corporation
   
390,691
     
3,985,048
 
ChaSerg Technology Acquisition Corporation Class A (f)
   
439,436
     
4,339,430
 
CM Seven Star Acquisition Corporation (b)(f)
   
776,395
     
8,020,160
 
Collier Creek Holdings Class A (b)
   
195,000
     
1,938,300
 
FinTech Acquisition Corporation III Class A
   
328,770
     
3,205,507
 
Forum Merger II Corporation Class A
   
334,654
     
3,316,388
 
GigCapital, Inc.
   
300,000
     
3,060,000
 
Gordon Pointe Acquisition Corporation (f)
   
424,801
     
4,339,342
 
Graf Industrial Corporation
   
434,606
     
4,276,523
 
Hennessy Capital Acquisition Corporation IV
   
175,540
     
1,769,443
 
Legacy Acquisition Corporation Class A
   
247,158
     
2,481,466
 
Leisure Acquisition Corporation (f)
   
500,080
     
5,025,804
 
Longevity Acquisition Corporation (b)(k)
   
300,000
     
2,997,000
 
Megalith Financial Acquisition Corporation Class A
   
260,768
     
2,602,465
 
Modern Media Acquisition Corporation
   
711,578
     
7,371,948
 
Monocle Acquisition Corporation (f)
   
204,085
     
2,050,034
 
Mudrick Capital Acquisition Corporation Class A
   
428,413
     
4,318,403
 
Opes Acquisition Corporation
   
299,301
     
3,037,905
 
Pensare Acquisition Corporation
   
955,723
     
9,796,161
 
Pivotal Acquisition Corporation
   
495,651
     
5,050,684
 
Pure Acquisition Corporation (f)
   
687,660
     
6,910,983
 
Saban Capital Acquisition Corporation Class A (b)
   
630,945
     
6,486,115
 
Thunder Bridge Acquisition Ltd. Class A (b)
   
1,103,937
     
11,260,157
 
Tiberius Acquisition Corporation
   
311,172
     
3,136,614
 
TKK Symphony Acquisition Corporation (b)(f)
   
399,444
     
3,960,487
 
Trident Acquisitions Corporation Class A
   
1,071,790
     
10,921,540
 
Trinity Merger Corporation Class A
   
1,119,455
     
11,440,830
 
Tuscan Holdings Corporation
   
610,840
     
6,369,840
 
Twelve Seas Investment Company (b)(f)
   
467,667
     
4,688,362
 
Vantage Energy Acquisition Corporation Class A
   
1,127,507
     
11,523,122
 
VectoIQ Acquisition Corporation (f)
   
620,727
     
6,216,581
 
SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $167,306,110)
           
173,522,508
 
                 
CLOSED-END FUNDS - 12.00% (a)(e)
               
Altaba, Inc.
   
4,915,644
     
364,347,533
 
TOTAL CLOSED-END FUNDS (Cost $296,669,270)
           
364,347,533
 
                 
PREFERRED STOCKS - 0.02%
               
Colony Capital, Inc., 8.750%, Series E
   
18,334
     
461,467
 
TOTAL PREFERRED STOCKS (Cost $469,690)
           
461,467
 
                 
CONTINGENT VALUE RIGHTS - 0.00% (a)(e)(g)
               
Media General, Inc.
   
891,153
     
26,735
 
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
           
26,735
 
                 
RIGHTS - 0.01% (a)
               
Black Ridge Acquisition Corporation
               
Expiration: July 2019
   
286,249
     
100,187
 
Modern Media Acquisition Corporation
               
Expiration: July 2019
   
477,700
     
157,641
 
TOTAL RIGHTS (Cost $288,596)
           
257,828
 
                 
WARRANTS - 0.06% (a)
               
Agiliti, Inc.
               
Expiration: July 2022, Exercise Price: $11.50 (f)
   
64,360
     
40,225
 
Black Ridge Acquisition Corporation
               
Expiration: July 2024, Exercise Price: $11.50
   
286,249
     
85,875
 
ChaSerg Technology Acquisition Corporation Class A
               
Expiration: April 2025, Exercise Price: $11.50
   
219,718
     
142,817
 
Collier Creek Holdings Class A
               
Expiration: November 2023, Exercise Price: $11.50 (b)(f)
   
65,000
     
79,950
 
FinTech Acquisition Corporation III Class A
               
Expiration: December 2023, Exercise Price: $11.50
   
164,385
     
149,590
 
Graf Industrial Corporation
               
Expiration: December 2025, Exercise Price: $11.50
   
434,606
     
143,420
 
Modern Media Acquisition Corporation
               
Expiration: May 2022, Exercise Price: $11.50
   
238,850
     
74,044
 
Mudrick Capital Acquisition Corporation Class A
               
Expiration: February 2025, Exercise Price: $11.50
   
428,413
     
235,627
 
Pensare Acquisition Corporation
               
Expiration: July 2022, Exercise Price: $11.50
   
303,761
     
60,752
 
Pure Acquisition Corporation
               
Expiration: April 2023, Exercise Price: $11.50 (f)
   
342,226
     
400,404
 
Thunder Bridge Acquisition Ltd. Class A
               
Expiration: January 2025, Exercise Price: $11.50 (b)
   
338,801
     
243,937
 
Tiberius Acquisition Corporation
               
Expiration: February 2021, Exercise Price: $11.50
   
311,172
     
136,916
 
TOTAL WARRANTS (Cost $1,897,553)
           
1,793,557
 

 
Principal
Amount
           
BANK LOANS - 1.81% (f)(j)
               
Tribune Media Company
               
5.499% (1 Month LIBOR + 3.000%), 1/27/2024
 
$
28,757,000
         
28,792,946
 
Zayo Group LLC
                   
4.499% (1 Month LIBOR + 2.000%), 1/19/2021
   
26,393,092
         
26,285,936
 
TOTAL BANK LOANS (Cost $54,874,394)
               
55,078,882
 
                     
CORPORATE BONDS - 6.16% (f)
                   
Arconic, Inc.
                   
5.400%, 4/15/2021
   
7,553,000
         
7,792,355
 
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
                   
7.250%, 5/15/2024 (b)(h)
   
8,779,000
         
9,281,159
 
Dynegy, Inc.
                   
5.875%, 6/1/2023
   
15,354,000
         
15,757,042
 
EIG Investors Corporation
                   
10.875%, 2/1/2024
   
16,610,000
         
17,565,075
 
First Data Corporation
                   
5.750%, 1/15/2024 (h)
   
17,852,000
         
18,423,264
 
Momentive Performance Materials, Inc.
                   
3.880%, 10/24/2021
   
13,535,000
         
14,634,719
 
Multi-Color Corporation
                   
4.875%, 11/1/2025 (h)
   
7,811,000
         
8,084,385
 
Nationstar Mortgage LLC / Nationstar Capital Corporation
                   
6.500%, 7/1/2021
   
2,935,000
         
2,942,337
 
6.500%, 6/1/2022
   
1,939,000
         
1,912,339
 
Nielsen Finance LLC / Nielsen Finance Company
                   
5.000%, 4/15/2022 (h)
   
12,171,000
         
12,110,145
 
Rent-A-Center, Inc.
                   
6.625%, 11/15/2020
   
7,517,000
         
7,535,792
 
4.750%, 5/1/2021
   
12,832,000
         
12,607,440
 
T-Mobile USA, Inc.
                   
6.500%, 1/15/2024
   
9,842,000
         
10,235,680
 
Unitymedia GmbH
                   
6.125%, 1/15/2025 (b)(h)
   
14,621,000
         
15,248,241
 
Unitymedia Hessen GmbH & Company KG / Unitymedia NRW GmbH
                   
5.000%, 1/15/2025 (b)(h)
   
7,192,000
         
7,371,800
 
Univar USA, Inc.
                   
6.750%, 7/15/2023 (h)
   
24,763,000
         
25,431,601
 
TOTAL CORPORATE BONDS (Cost $186,412,000)
               
186,933,374
 
                     
 
Contracts (100
shares per
contract)
 
Notional Amount
         
PURCHASED CALL OPTIONS - 0.01% (a)
                   
Bristol-Myers Squibb Company
                   
Expiration: April 2019, Exercise Price: $55.00
   
1,624
   
$
7,748,104
     
11,368
 
Expiration: June 2019, Exercise Price: $55.00
   
382
     
1,822,522
     
16,426
 
SPDR S&P 500 ETF Trust
                       
Expiration: April 2019, Exercise Price: $287.00
   
2,181
     
61,608,888
     
273,715
 
                     
301,509
 
PURCHASED PUT OPTIONS - 0.06% (a)
                       
Bristol-Myers Squibb Company
                       
Expiration: June 2019, Exercise Price: $45.00
   
647
     
3,086,837
     
91,227
 
DowDuPont, Inc.
                       
Expiration: April 2019, Exercise Price: $45.00
   
3,806
     
20,289,786
     
22,836
 
Expiration: April 2019, Exercise Price: $47.50
   
5,543
     
29,549,733
     
77,602
 
SPDR S&P 500 ETF Trust
                       
Expiration: May 2019, Exercise Price: $278.00
   
3,845
     
108,613,560
     
1,282,308
 
SPDR S&P Oil & Gas Exploration & Production ETF
                       
Expiration: April 2019, Exercise Price: $30.00
   
6,272
     
19,280,128
     
323,008
 
Technology Select Sector SPDR Fund
                       
Expiration: April 2019, Exercise Price: $68.00
   
3,155
     
23,347,000
     
31,550
 
Expiration: May 2019, Exercise Price: $69.00
   
1,964
     
14,533,600
     
108,020
 
                     
1,936,551
 
TOTAL PURCHASED OPTIONS (Cost $4,524,027)
                   
2,238,060
 
                         
 
Principal
Amount
                 
ESCROW NOTES - 0.01% (a)(d)(g)
                       
AMR Corporation
 
$
1,243,406
             
248,681
 
T-Mobile USA, Inc.
   
7,594,000
             
 
TOTAL ESCROW NOTES (Cost $93,712)
                   
248,681
 

   
Shares
                 
SHORT-TERM INVESTMENTS - 32.18%
                       
MONEY MARKET FUNDS - 31.68% (c)
                       
First American Government Obligations Fund, Institutional Share Class, 2.29% (e)
   
148,182,000
             
148,182,000
 
Goldman Sachs Financial Square Funds - Government Fund, Institutional Share Class, 2.30%
   
148,182,000
             
148,182,000
 
The Government & Agency Portfolio, Institutional Share Class, 2.32%
   
148,182,000
             
148,182,000
 
JPMorgan Prime Money Market Fund, Institutional Share Class, 2.55%
   
72,288,159
             
72,308,972
 
JPMorgan U.S. Government Money Market Fund, Institutional Share Class, 2.33%
   
148,182,000
             
148,182,000
 
Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Share Class, 2.32%
   
148,182,000
             
148,182,000
 
Morgan Stanley Institutional Liquidity Fund - Treasury Portfolio, Institutional Share Class, 2.29%
   
148,182,000
             
148,182,000
 
                     
961,400,972
 
   
Principal
Amount
                 
U.S. TREASURY BILLS - 0.50% (e)(f)
                       
United States Treasury Bills
                       
2.37%, 4/18/2019
 
$
881,000
             
880,006
 
2.42%, 5/2/2019
   
140,000
             
139,716
 
2.44%, 5/30/2019
   
6,175,000
             
6,151,243
 
2.42%, 7/11/2019
   
27,000
             
26,821
 
2.41%, 9/12/2019
   
5,920,000
             
5,856,304
 
2.37%, 9/19/2019
   
2,355,000
             
2,328,458
 
                     
15,382,548
 
TOTAL SHORT-TERM INVESTMENTS (Cost $976,782,822)
                   
976,783,520
 
TOTAL LONG INVESTMENTS (Cost $3,014,291,200) - 102.60%
                   
3,114,016,348
 
   
Shares
                 
SHORT INVESTMENTS - (30.16)%
                       
COMMON STOCKS - (29.94)%
                       
AEROSPACE & DEFENSE - (2.32)%
                       
Harris Corporation
   
(440,368
)
           
(70,331,173
)
AIRLINES - (0.01)%
                       
American Airlines Group, Inc.
   
(11,395
)
           
(361,905
)
ASSET MANAGEMENT & CUSTODY BANKS - (0.85)%
                       
Brookfield Asset Management, Inc. Class A (b)
   
(553,864
)
           
(25,837,755
)
BROADCASTING - (0.64)%
                       
Discovery Communications, Inc. Class A
   
(133,231
)
           
(3,599,902
)
Fox Corporation Class A
   
(433,099
)
           
(15,899,064
)
                     
(19,498,966
)
DATA PROCESSING & OUTSOURCED SERVICES - (8.59)%
                       
Fidelity National Information Services, Inc.
   
(812,324
)
           
(91,873,844
)
Fiserv, Inc.
   
(1,910,516
)
           
(168,660,353
)
                     
(260,534,197
)
GOLD - (3.30)%
                       
Newmont Mining Corporation
   
(2,798,660
)
           
(100,108,068
)
INTERNET & DIRECT MARKETING RETAIL - (10.35)%
                       
Alibaba Group Holding Ltd. - ADR
   
(1,720,795
)
           
(313,959,048
)
Expedia Group, Inc.
   
(1,597
)
           
(190,043
)
                     
(314,149,091
)
MANAGED HEALTH CARE - (0.41)%
                       
Centene Corporation
   
(236,112
)
           
(12,537,547
)
PHARMACEUTICALS - (1.18)%
                       
Bristol-Myers Squibb Company
   
(752,023
)
           
(35,879,017
)
REGIONAL BANKS - (1.76)%
                       
BB&T Corporation
   
(1,148,045
)
           
(53,418,534
)
REITs - (0.33)%
                       
Brookfield Property Partners LP (b)
   
(488,190
)
           
(10,042,068
)
SEMICONDUCTOR EQUIPMENT - (0.06)%
                       
Entegris, Inc.
   
(52,117
)
           
(1,860,056
)
KLA-Tenor Corporation
   
(1
)
           
(120
)
                     
(1,860,176
)
STEEL - (0.14)%
                       
SunCoke Energy, Inc.
   
(493,440
)
           
(4,189,306
)
TOTAL COMMON STOCKS (Proceeds $759,948,576)
                   
(908,747,803
)
                         
EXCHANGE-TRADED FUNDS - (0.22)%
                       
VanEck Vectors Gold Miners ETF
   
(300,166
)
           
(6,729,722
)
TOTAL EXCHANGE-TRADED FUNDS (Proceeds $6,947,706)
                   
(6,729,722
)
                         
TOTAL SHORT INVESTMENTS
                       
  (Proceeds $766,896,283) - (30.16)%
                   
(915,477,525
)
TOTAL NET INVESTMENTS
                       
  (Cost $2,247,394,918) - 72.44%
                   
2,198,538,823
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 27.56%
                   
836,628,529
 
TOTAL NET ASSETS - 100.00%
                 
$
3,035,167,352
 

ADR
- American Depository Receipt
ETF
- Exchange-Traded Fund
LIBOR
- London Interbank Offered Rate
plc
- Public Limited Company
         
REITs
- Real Estate Investment Trusts

(a)
 
Non-income producing security.
(b)
 
Foreign security.
(c)
 
The rate quoted is the annualized seven-day yield as of March 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 footnote (n) on the Schedule of Investments for more information.
(g)
 
Level 3 Security. Please see footnote (n) on the Schedule of Investments 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 March 31, 2019, these securities represent 3.16% of total net assets.
(i)
 
Restricted security. The Fund may own investment securities that have other legal or contractual limitations, and thus are restricted as to resale. These securities are valued by the Valuation Group under the supervision of the Board of Trustees. As of March 31, 2019, this common stock had a cost of $57,736,820 and its market value represented 1.98% of total net assets. The Fund’s adviser perfected its appraisal rights over this security as of 6/20/2016. Please see footnote (n) on the Schedule of Investments for more information.
(j)
 
The coupon rate shown on variable rate securities represents the rate as of March 31, 2019.
(k)
 
Affiliated Issuer. Please see below note for more information.
         
   
Under section 2(a)(3) of the Act, an investment company is defined as being an affiliated person of a company if it owns five percent or more of a company’s outstanding voting stock.

   
Investments in affiliated companies for the Fund for the period January 1, 2019 to March 31, 2019, are shown below:


Name of issuer
 
Number of shares held at December 31, 2018
   
Gross additions
   
Gross reductions
   
Number of shares held at March 31, 2019
Longevity Acquisition Corporation
   
-
     
300,000
     
-
     
300,000
 
 
Value at March 31, 2019
   
Amount of dividends for the period
   
Net increase in unrealized appreciation for the period
   
Realized capital gain/(loss) for the period
 
 
$
2,997,000
   
$
-
   
$
3,000
   
$
-


 (l)  
 This security is held in connection with a written option contract.

(m)
 
As of March 31, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows*:

   
Total Portfolio
 
Tax Cost (1)
 
$
2,236,315,115
 
         

Gross unrealized appreciation(2)
  $
146,714,040
 
Gross unrealized depreciation(2)
   
(195,317,017
)
Net unrealized depreciation
 
$
(48,602,977
)




   
(1) Tax cost represents tax on investments, net of proceeds on securities sold short and premiums on written options.
    (2) Includes investments, open written options, forward currency contacts and open swap contacts appreciation and/or depreciation.
   
*Because tax adjustments are calculated annually at the end of the Fund’s fiscal year, the above table does not reflect tax adjustments for the current fiscal year. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Fund’s most recent annual report.
               
(n)
 
Investment Valuation
         
   
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These securities are classified as Level 2 investments.

   
Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a “SPAC interest”), will typically be valued by reference to the last reported transaction for the composite exchange. These securities are classified as Level 1 investments. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange, then the mean between the closing bid and asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in accordance with the Fund’s pricing procedures. These securities are classified as Level 2 investments.

   
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what the Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. When the last sale of an exchange-traded option is outside the bid and asked prices, the Fund will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange and/or are fair valued in accordance with the Fund’s pricing procedures are classified as Level 2 investments.

   
Investments in registered open-end investment companies, including Money Market Funds, are typically valued at their reported net asset value (“NAV”) per share. These securities are generally classified as Level 1 investments.

   
Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2.

   
In general, swap prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate reorganization for which the final deal terms are known, the swap is priced at the value of the consideration to be received by the Fund. The credit quality of counterparties and collateral is monitored and the valuation of a swap may be adjusted if it is believed that the credit quality of the counterparty or collateral affects the market value of the swap position. These securities are generally classified as Level 2 investments.

   
Due to the short-term nature of the reverse repurchase agreements, amortized cost approximates fair value at March 31, 2019. These securities are generally classified as Level 2 investments.

   
The Fund typically fair values securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, the Fund may fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange (“NYSE”) if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Trust or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair value pricing is employed, the prices of securities used by the Fund to calculate their NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below.

   
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in
   
determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
               
   
Level 1 — Quoted prices in active markets for identical securities.
         
   
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
   
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or
   
                liability based on the best available information.

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

 
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of March 31, 2019. These assets and liabilities are measured on a recurring basis.

Investments at Fair Value
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                       
Common Stocks*
 
$
1,292,114,071
   
$
-
   
$
60,210,132
   
$
1,352,324,203
 
Special Purpose Acquisition Companies
   
127,971,325
     
45,551,183
     
-
     
173,522,508
 
Closed End Funds
   
364,347,533
     
-
     
-
     
364,347,533
 
Preferred Stocks
   
461,467
     
-
     
-
     
461,467
 
Contingent Value Rights
   
-
     
-
     
26,735
     
26,735
 
Rights
   
257,828
     
-
     
-
     
257,828
 
Warrants
   
1,272,978
     
520,579
     
-
     
1,793,557
 
Bank Loans
   
-
     
55,078,882
     
-
     
55,078,882
 
Corporate Bonds
   
-
     
186,933,374
     
-
     
186,933,374
 
Purchased Option Contracts
   
2,238,060
     
-
     
-
     
2,238,060
 
Escrow Notes
   
-
     
-
     
248,681
     
248,681
 
Short-Term Investments
   
961,400,972
     
15,382,548
     
-
     
976,783,520
 
Swap Contracts**
   
-
     
840,627
     
-
     
840,627
 
Total
 
$
2,750,064,234
   
$
304,307,193
   
$
60,485,548
   
$
3,114,856,975
 
                                 
Liabilities
                               
Short Common Stock*
 
$
(908,747,803)
   
$
-
   
$
-
   
$
(908,747,803)
 
Exchange-Traded Funds
   
(6,729,722)
     
-
     
-
     
(6,729,722)
 
Written Option Contracts
   
(10,264,865)
     
(382,500)
     
-
     
(10,647,365)
 
Forward Currency Exchange Contracts**
   
-
     
(167,251)
     
-
     
(167,251)
 
Swap Contracts**
   
-
     
(852,696)
     
-
     
(852,696)
 
Total
 
$
(925,742,390)
   
$
(1,402,447)
   
$
-
   
$
(927,144,837)
 

* Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type.
** Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the
 instrument by counterparty.
               

The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At March 31, 2019, the value of these securities was $60,485,548. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (n). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.
 
There were no transfers into or out of level 3 securities during the period ended March 31, 2019.

Level 3 Reconciliation Disclosure
         
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.

Description
 
Common Stock
   
Contingent Value Rights
   
Escrow Notes
 
Total Investment
 
Balance as of December 31, 2018
 
$
59,773,482
   
$
26,735
   
$
1,927,279
   
$
61,727,496
 
Purchases on Investments*
           
-
     
-
     
-
 
(Sales) of Investments
   
-
     
-
     
-
     
-
 
Realized (Gain) Loss
   
-
     
-
     
-
     
-
 
Transfers Into Level 3
   
-
     
-
     
-
     
-
 
(Transfer Out) of Level 3
   
-
     
-
     
-
     
-
 
Change in Unrealized Appreciation (Depreciation)
   
436,650
     
-
**    
(1,678,598
)
   
(1,241,948
)
Balance as of March 31, 2019
 
$
60,210,132
   
$
26,735
   
$
248,681
   
$
60,485,548
 
                                 
Change in unrealized appreciation (depreciation)
    during the period for Level 3 investments held at
    March 31, 2019.
 
$
436,650
   
$
-
**
 
$
(1,092,755
)
 
$
(656,105
)
                                 
* Includes receipts from corporate actions.
                         
** Amount less than $0.50.
                               


The net change in unrealized appreciation (depreciation) on investments related to Level 3 securities held by the Fund at March 31, 2019 totals $(1,241,948).
           
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for material Level 3 investments as of March 31, 2019 are as follows:

Description
 
Fair Value at
March 31, 2019
 
Valuation Technique
Unobservable Input
Common Stock
 
$
60,210,132
 
Discounted Cash Flow Model
Discount Rates/
Terminal Value/
Cash Flow Projections

Escrow Note
 
$
-
* 
Projected Final
Distribution**
Discount of Projected 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.

The table above does not include certain Level 3 investments that are valued by brokers and pricing services. At March 31, 2019, the value of these assets were $275,416. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in footnote (n).
           
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services.

The Merger Fund
               
SCHEDULE OF INVESTMENTS
               
Open Written Options
               
March 31, 2019 (Unaudited)
               
                 
 
Contracts (100
shares per
contract)
   
Notional Amount
   
Value
 
WRITTEN CALL OPTIONS
               
Alibaba Group Holding Ltd. -  ADR
           
   
Expiration: June 2019, Exercise Price: $170.00
 (1,471)
  $
      (26,838,395)
  $
     (2,647,800)
 
BB&T Corporation
               
Expiration: May 2019, Exercise Price: $47.00
(1,800)
   
           (8,375,400)
   
             (197,100)
 
Expiration: June 2019, Exercise Price: $47.00
(1,120)
   
           (5,211,360)
   
             (162,400)
 
Expiration: June 2019, Exercise Price: $48.00
(3,035)
   
         (14,121,855)
   
             (279,220)
 
Bristol-Myers Squibb Company
               
Expiration: April 2019, Exercise Price: $65.00
(1,624)
   
           (7,748,104)
   
                  (1,624)
 
Expiration: June 2019, Exercise Price: $65.00
(382)
   
           (1,822,522)
   
                  (1,146)
 
Dell Technologies, Inc. Class C
               
Expiration: April 2019, Exercise Price: $52.50
(963)
   
           (5,651,847)
   
             (616,320)
 
Expiration: April 2019, Exercise Price: $55.00
(3,109)
   
         (18,246,721)
   
          (1,243,600)
 
DowDuPont, Inc.
               
Expiration: April 2019, Exercise Price: $50.00
(3,804)
   
         (20,279,124)
   
          (1,399,872)
 
Expiration: April 2019, Exercise Price: $52.50
(5,543)
   
         (29,549,733)
   
             (986,654)
 
Mellanox Technologies Ltd.
               
Expiration: April 2019, Exercise Price: $117.50 (a)(b)
(2,550)
   
         (30,181,800)
   
             (382,500)
 
SPDR S&P 500 ETF Trust
               
Expiration: April 2019, Exercise Price: $280.00
(2,181)
   
         (61,608,888)
   
          (1,134,120)
 
Versum Materials, Inc.
               
Expiration: April 2019, Exercise Price: $47.50
(2,465)
   
         (12,401,415)
   
             (739,500)
 
WABCO Holdings, Inc.
               
Expiration: September 2019, Exercise Price: $135.00
(1,147)
   
         (13,575,892)
   
             (137,640)
 
             
           (9,929,496)
 
WRITTEN PUT OPTIONS
               
Bristol-Myers Squibb Company
               
Expiration: June 2019, Exercise Price: $39.00
(647)
   
           (3,086,837)
   
               (14,234)
 
SPDR S&P 500 ETF Trust
               
Expiration: May 2019, Exercise Price: $270.00
(3,845)
   
       (108,613,560)
   
             (703,635)
 
             
              (717,869)
 
TOTAL WRITTEN OPTIONS
               
(Premiums received $11,079,803)
          $
     (10,647,365)
 
 
               
ADR - American Depository Receipt
               
ETF - Exchange-Traded Fund
               
(a) Foreign Security.
               
(b) Level 2 Security. Please see footnote (n) on the Schedule of Investments for more information.
       

The Merger Fund
                             
SCHEDULE OF INVESTMENTS
                             
Forward Currency Exchange Contracts
                           
March 31, 2019 (Unaudited)
                             
                                 

             
         
   
Settlement
Date
 
Counterparty
 
Currency to be Delivered
     
USD Value at
March 31, 2019
 
Currency to be Received
     
USD Value at
March 31, 2019
   
Unrealized
Appreciation
(Depreciation)*
4/10/2019
 
JPM
 
14,212,973
AUD
  $
                     10,094,432
 
10,172,264
USD
  $
                       10,172,264
  $
                             77,832
5/9/2019
 
JPM
 
990,213
AUD
   
703,663
 
695,050
USD
   
695,050
   
(8,613)
5/29/2019
 
JPM
 
5,938,267
AUD
   
4,221,443
 
4,240,657
USD
   
4,240,657
   
19,214
4/12/2019
 
JPM
 
36,551,356
EUR
   
41,050,029
 
41,401,721
USD
   
41,401,721
   
351,692
9/25/2019
 
JPM
 
3,814,746
EUR
   
4,344,714
 
4,380,091
USD
   
4,380,091
   
35,377
6/6/2019
 
JPM
 
2,694,283
GBP
   
3,521,483
 
3,465,837
USD
   
3,465,837
   
(55,646)
7/2/2019
 
JPM
 
49,884,830
GBP
   
65,282,816
 
65,474,142
USD
   
65,474,142
   
191,326
7/2/2019
 
JPM
 
66,061,483
USD
   
66,061,483
 
49,884,830
GBP
   
65,282,816
   
(778,667)
5/8/2019
 
JPM
 
12,412,275
HKD
   
1,583,252
 
1,583,486
USD
   
1,583,486
   
234
              $
                    196,863,315
        $
196,696,064
  $
                        (167,251)
                                   
AUD
- Australian Dollar
                             
EUR
- Euro
                             
GBP
- British Pound
                             
HKD
- Hong Kong Dollar
                             
JPM
- JPMorgan Chase & Co., Inc.
                         
USD
- U.S. Dollar
                             
*
Net unrealized appreciation (depreciation) is a receivable (payable).
               

The Merger Fund
                       
SCHEDULE OF INVESTMENTS
                       
Open Swap Contracts
                       
March 31, 2019 (Unaudited)
                       
                         
       


           
Counterparty
Security
Termination Date
 
Pay/Receive on
Financing Rate
Financing
Rate
Payment
Frequency
Shares
   
Notional Amount
   
Unrealized
Appreciation
(Depreciation)*
LONG TOTAL RETURN SWAP CONTRACTS
                       
JPM
BTG plc
1/9/2020
 
Pay
0.300% +3 Month LIBOR
Quarterly
320,748
  $
          3,383,694
  $
            97,865
BAML
Gemalto NV
5/31/2019
 
Pay
0.350% +1 Month LIBOR
Monthly
716,495
   
           41,821,813
   
           (867,352)
JPM
Healthscope Ltd.
1/15/2020
 
Pay
0.400% +3 Month LIBOR
Quarterly
5,784,082
   
             9,743,611
   
            225,723
JPM
Hopewell Holdings Ltd.
3/7/2020
 
Pay
0.400% +3 Month LIBOR
Quarterly
319,904
   
             1,491,210
   
              79,711
JPM
Innogy SE
7/18/2019
 
Pay
0.400% +3 Month LIBOR
Quarterly
100,072
   
             4,273,413
   
            347,716
JPM
MYOB Group Ltd.
1/3/2020
 
Pay
0.400% +3 Month LIBOR
Quarterly
291,239
   
                 682,412
   
                 5,244
JPM
Navitas Ltd.
2/20/2020
 
Pay
0.400% +3 Month LIBOR
Quarterly
1,019,445
   
             4,093,373
   
              84,368
                           
SHORT TOTAL RETURN SWAP CONTRACTS
                       
BAML
Brookfield Property Partners LP
3/28/2020
 
Pay
(4.500)% +1 Month LIBOR
Monthly
(112,741)
   
           (2,333,739)
   
              14,656
                        $
         (12,069)
BAML
- Bank of America Merrill Lynch & Co., Inc.
                     
JPM
- JPMorgan Chase & Co., Inc.
                       
LIBOR
- London Interbank Offered Rate
                       
plc
- Public Limited Company
                       
*
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).