The Merger Fund - Class A NCSRS Certified semi-annual shareholder report (management investment company)

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-03445

The Merger Fund
(Exact name of registrant as specified in charter)

100 Summit Lake Drive

Valhalla, New York 10595

(Address of principal executive offices) (Zip code)

Roy Behren and Michael T. Shannon

100 Summit Lake Drive

Valhalla, New York 10595
(Name and address of agent for service)

914-741-5600

Registrant's telephone number, including area code

Date of fiscal year end: December 31, 2020

Date of reporting period: June 30, 2020

Item 1. Reports to Stockholders.

June 30, 2020

Semi-Annual Report

THE MERGER FUND

WCM ALTERNATIVES:

EVENT-DRIVEN FUND

WCM ALTERNATIVES:

CREDIT EVENT FUND

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available free of charge on a website, and if you have not previously elected electronic delivery of your shareholder reports, you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund (or your financial intermediary) electronically by calling 1-800-343-8959 (or by contacting your financial intermediary). You may elect to receive all future reports in paper free of charge. You can inform the Fund (or your financial intermediary) that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-343-8959 (or by contacting your financial intermediary). Your election to receive reports in paper will apply to all funds held with Westchester Capital Funds if you invest directly with the Fund or all funds held in your account if you invest through your financial intermediary.

DEAL COMPOSITION

The Merger Fund (Unaudited)

Type of Buyer		Deal Terms*
Strategic	92.3%	Cash	64.4%
Financial	7.7%	Stock with Fixed Exchange Ratio	18.2%
		Stock and Stub⁽¹⁾	9.4%
By Deal Type		Cash & Stock	6.2%
Friendly	100.0%	Risk Reversal	1.6%
Hostile	—%	Undetermined⁽²⁾	0.2%
		Stock with Flexible
		Exchange Ratio (Collar)	—%	**

*	Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2020.
**	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.

PORTFOLIO COMPOSITION*

The Merger Fund (Unaudited)

By Sector

By Region

Data expressed as a percentage of long common stocks, preferred stocks, contingent value rights, rights, warrants, bank loans, corporate bonds and swap contract positions as of June 30, 2020. 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.

PORTFOLIO COMPOSITION*

WCM Alternatives: Event-Driven Fund (Unaudited)

By Sector

By Region

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 June 30, 2020. 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.

PORTFOLIO COMPOSITION*

WCM Alternatives: Credit Event Fund (Unaudited)

By Sector

By Region

Data expressed as a percentage of long common stocks, preferred stocks, rights, warrants, bank loans, convertible bonds, corporate bonds and swap contract positions as of June 30, 2020. Data expressed excludes special purpose acquisition companies, escrow notes, 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.

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 (“Fund Services”).

The Merger Fund and Westchester Capital Funds

EXPENSE EXAMPLE

June 30, 2020 (Unaudited)

As a shareholder of The Merger Fund, WCM Alternatives: Event-Driven Fund and/or WCM Alternatives: Credit Event Fund (the “Funds”), you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, and other Fund specific expenses. The expense example is intended to help a shareholder understand ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the most recent six-month period.

The Actual Expenses comparison provides information about actual account values and actual expenses. A shareholder may use the information in this line, together with the amount invested, to estimate the expenses paid over the period. A shareholder may divide his/her account value by $1,000 (e.g., an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses paid on his/her account during this period. The example below includes, among other fees, management fees, fund accounting, custody and transfer agent fees. However, the example does not include portfolio trading commissions and related expenses or extraordinary expenses.

The Hypothetical Example for Comparison Purposes provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratios and assumed rates of return of 5% per year before expenses, which are not the Fund’s actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid for the period. A shareholder may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

The expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemptions fees, or exchange fees. Therefore, the Hypothetical Example for Comparison Purposes is useful in comparing ongoing costs only, and will not help to determine the relevant total costs of owning different funds. In addition, if these transactional costs were included, shareholder costs would have been higher.

The Merger Fund and Westchester Capital Funds

EXPENSE EXAMPLE (continued)

June 30, 2020 (Unaudited)

	Annualized	Beginning	Ending	Expenses Paid
	Net Expense	Account	Account	During Period
	Ratio	Value	Value	1/1/20-
	6/30/20	1/1/20	6/30/20	6/30/20⁽¹⁾
The Merger Fund
Investor Class
Actual Expenses⁽²⁾⁽³⁾	1.50%	$1,000.00	$ 998.80	$7.45
Hypothetical Example for
Comparison Purposes
(5% return before
expenses)⁽³⁾	1.50%	$1,000.00	$1,017.40	$7.52
Institutional Class
Actual Expenses⁽²⁾⁽³⁾	1.20%	$1,000.00	$1,000.00	$5.97
Hypothetical Example for
Comparison Purposes
(5% return before
expenses)⁽³⁾	1.20%	$1,000.00	$1,018.90	$6.02

	Annualized	Beginning	Ending	Expenses Paid
	Net Expense	Account	Account	During Period
	Ratio	Value	Value	1/1/20-
	6/30/20	1/1/20	6/30/20	6/30/20⁽¹⁾
WCM Alternatives: Event-Driven Fund
Investor Class
Actual Expenses⁽²⁾⁽⁴⁾	2.04%	$1,000.00	$ 930.70	$ 9.79
Hypothetical Example for
Comparison Purposes
(5% return before
expenses)⁽⁴⁾	2.04%	$1,000.00	$1,014.72	$10.22
Institutional Class
Actual Expenses⁽²⁾⁽⁴⁾	1.79%	$1,000.00	$ 931.90	$ 8.60
Hypothetical Example for
Comparison Purposes
(5% return before
expenses)⁽⁴⁾	1.79%	$1,000.00	$1,015.96	$ 8.97

The Merger Fund and Westchester Capital Funds

EXPENSE EXAMPLE (continued)

June 30, 2020 (Unaudited)

	Annualized	Beginning	Ending	Expenses Paid
	Net Expense	Account	Account	During Period
	Ratio	Value	Value	1/1/20-
	6/30/20	1/1/20	6/30/20	6/30/20⁽¹⁾
WCM Alternatives: Credit Event Fund
Investor Class
Actual Expenses⁽²⁾⁽⁵⁾	1.98%	$1,000.00	$ 946.30	$9.58
Hypothetical Example for
Comparison Purposes
(5% return before
expenses)⁽⁵⁾	1.98%	$1,000.00	$1,015.02	$9.92
Institutional Class
Actual Expenses⁽²⁾⁽⁵⁾	1.73%	$1,000.00	$ 943.60	$8.36
Hypothetical Example for
Comparison Purposes
(5% return before
expenses)⁽⁵⁾	1.73%	$1,000.00	$1,016.26	$8.67

(1)	Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 to reflect the one-half year period.
(2)	Based on the actual returns of (0.12)%, 0.00%, (6.93)%, (6.81)%, (5.37)% and (5.64)% for the six-month period ended June 30, 2020 for The Merger Fund Investor and Institutional Classes, WCM Alternatives: Event-Driven Fund Investor and Institutional Classes and WCM Alternatives: Credit Event Fund Investor and Institutional Classes, respectively.
(3)	Excluding dividends on securities sold short and borrowing expense on securities sold short, your actual cost of investment and your hypothetical cost of investment would have been $7.36 and $7.42, respectively in The Merger Fund Investor Class and $5.87 and $5.92, respectively in The Merger Fund Institutional Class.
(4)	Excluding dividends and interest on securities sold short and borrowing expense on securities sold short, your actual cost of investment and your hypothetical cost of investment would have been $8.74 and $9.12, respectively in WCM Alternatives: Event-Driven Fund Investor Class and $7.54 and $7.87, 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 $9.15 and $9.47, respectively in WCM Alternatives: Credit Event Fund Investor Class and $7.93 and $8.22, respectively in WCM Alternatives: Credit Event Fund Institutional Class.

The Merger Fund

SCHEDULE OF INVESTMENTS

June 30, 2020 (Unaudited)

	Shares		Value
LONG INVESTMENTS — 96.46%

COMMON STOCKS — 42.85%

A/C HEATING &
FRIDGE EQUIPMENT — 0.06%
Carrier Global Corporation (j)		85,009	$	1,888,900

AIR FREIGHT & LOGISTICS — 1.26%
XPO Logistics, Inc. (a)(j)(k)		527,800		40,772,550

APPLICATION SOFTWARE — 2.48%
LogMeIn, Inc. (k)		949,676		80,504,035

ASSET MANAGEMENT &
CUSTODY BANKS — 2.46%
Legg Mason, Inc.		1,600,265		79,613,184

AUTO PARTS & EQUIPMENT — 1.82%
Delphi Technologies plc (a)(b)(k)		4,162,844		59,154,013

BIOTECHNOLOGY — 0.29%
Portola Pharmaceuticals, Inc. (a)		521,562		9,382,900

BROADCASTING — 0.07%
Fox Corporation Class A (j)		84,166		2,257,332

CASINOS & GAMING — 2.20%
Caesars Entertainment Corporation (a)		5,874,530		71,258,049

CHEMICALS — 0.36%
DuPont de Nemours, Inc. (e)(j)		218,835		11,626,704

ELECTRIC UTILITIES — 1.86%
El Paso Electric Company (e)		902,139		60,443,313

ELECTRONIC EQUIPMENT
& INSTRUMENTS — 0.44%
Fitbit, Inc. Class A (a)(e)(j)(k)		2,225,272		14,375,257

ELEVATOR & MOVING STAIRWAY — 0.24%
Otis Worldwide Corporation (j)		135,062		7,679,625

ENVIRONMENTAL &
FACILITIES SERVICES — 1.70%
Advanced Disposal Services, Inc. (a)		1,826,362		55,101,342

HEALTH CARE EQUIPMENT — 5.33%
Wright Medical Group N.V. (a)(b)(e)		5,811,709		172,723,991

INSURANCE BROKERS — 5.01%
Willis Towers Watson plc (b)(e)		825,363		162,555,243

INTEGRATED TELECOMMUNICATION
SERVICES — 0.22%
Cincinnati Bell, Inc. (a)		470,972		6,993,934

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
INTERACTIVE MEDIA & SERVICES — 1.13%
Bitauto Holdings Ltd. — ADR (a)(j)		42,700	$	676,795
IAC/InterActiveCorp (a)(j)		111,466		36,048,104
				36,724,899
INVESTMENT BANKING
& BROKERAGE — 7.54%
E*TRADE Financial Corporation		2,750,940		136,804,246
TD Ameritrade Holdings Corporation		2,963,440		107,809,947
				244,614,193
IT CONSULTING &
OTHER SERVICES — 0.09%
Grid Dynamics Holdings, Inc. (a)		439,436		3,032,108

LIFE & HEALTH INSURANCE — 0.02%
Genworth Financial, Inc. Class A (a)		306,379		707,736

LIFE SCIENCES TOOLS & SERVICES — 0.22%
Qiagen N.V. (a)(b)		167,609		7,175,341

PACKAGED FOOD — 0.11%
Whole Earth Brands, Inc. (a)		450,123		3,632,493

REITs — 2.27%
Broadmark Realty Capital, Inc. (k)		501,551		4,749,688
Taubman Centers, Inc.		1,821,627		68,784,636
				73,534,324
SPECIALTY STORES — 4.91%
Tiffany & Company (e)		1,305,677		159,214,253

SYSTEMS SOFTWARE — 0.76%
Forescout Technologies, Inc. (a)		1,155,453		24,495,604
TOTAL COMMON STOCKS
(Cost $1,410,746,197)				1,389,461,323

	Shares/Units
SPECIAL PURPOSE ACQUISITION
COMPANIES — 6.85% (a)
Andina Acquisition Corporation III (b)		584,088		5,992,743
Apex Technology Acquisition
Corporation Class A		604,500		6,190,080
B. Riley Principal Merger Corporation II		268,027		3,138,596
CC Neuberger Principal Holdings I (b)		23,704		251,262
CF Finance Acquisition
Corporation Class A		390,688		4,238,965
Churchill Capital Corporation II Class A (k)		302,610		3,419,493

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares/Units		Value
Churchill Capital Corporation III Class A		142,884	$	1,541,718
CIIG Merger Corporation Class A (k)		315,662		3,125,054
Collier Creek Holdings Class A (b)		135,908		1,861,940
dMY Technology Group, Inc. Class A		267,504		2,683,065
FinTech Acquisition
Corporation III Class A		328,770		3,669,073
Flying Eagle Acquisition
Corporation Class A		833,500		9,151,830
Foley Trasimene Acquisition Corporation		328,955		3,509,950
Fortress Value Acquisition Corporation		914,396		9,418,279
Fusion Acquisition Corporation		213,485		2,169,008
Galileo Acquisition Corporation (b)		112,274		1,112,635
GigCapital3, Inc.		310,670		3,119,127
Gores Holdings IV, Inc. Class A		350,312		3,552,164
GS Acquisition Holdings Corporation II		95,223		1,000,794
Haymaker Acquisition
Corporation II Class A		893,499		9,247,715
Hennessy Capital Acquisition
Corporation IV Class A		175,540		1,887,055
InterPrivate Acquisition Corporation		464,184		4,604,705
Jaws Acquisition Corporation (b)		242,283		2,527,012
Juniper Industrial Holdings, Inc. Class A		817,774		8,153,207
Kensington Capital
Acquisition Corporation		476,937		4,778,909
Leo Holdings Corporation Class A (b)		625,493		6,505,127
LGL Systems Acquisition
Corporation Class A		506,660		5,023,585
Longview Acquisition Corporation		1,843,595		18,620,309
Merida Merger Corporation I		240,205		2,351,607
Monocle Acquisition Corporation		204,085		2,095,953
Netfin Acquisition
Corporation Class A (b)		6,674		71,745
New Providence Acquisition
Corporation Class A		454,276		4,579,102
Oaktree Acquisition
Corporation Class A (b)		177,087		1,800,975
Orisun Acquisition Corporation		113,258		1,147,303
Pivotal Investment Corporation II Class A		121,848		1,236,757
PropTech Acquisition
Corporation Class A		183,000		1,857,450
Schultze Special Purpose
Acquisition Corporation		301,021		3,079,445

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares/Units		Value
Social Capital Hedosophia Holdings
Corporation III (b)		171,633	$	2,037,284
Software Acquisition Group, Inc. Class A		567,174		5,700,099
Spartan Energy Acquisition
Corporation Class A		821,726		8,808,903
Subversive Capital Acquisition
Corporation Class A (b)(f)(m)		3,038,321		30,231,294
Thunder Bridge
Acquisition II Ltd. Class A (b)		516,986		5,221,559
Tottenham Acquisition I Ltd. (b)(f)		66,234		719,301
Trebia Acquisition Corporation (b)		373,292		3,900,901
Trident Acquisitions Corporation (f)(m)		654,925		7,269,667
Tuscan Holdings Corporation (e)		610,840		6,248,893
Tuscan Holdings Corporation II		331,070		3,327,253
TOTAL SPECIAL PURPOSE ACQUISITION
COMPANIES (Cost $210,948,689)				222,178,891

	Shares
PREFERRED STOCKS — 0.22% (a)
WESCO International, Inc.,
10.625%, Series A		269,726		7,153,127
TOTAL PREFERRED STOCKS
(Cost $7,161,219)				7,153,127

CONTINGENT VALUE RIGHTS — 0.10% (a)(f)
Alder Biopharmaceuticals, Inc.		2,217,560		3,049,145
Media General, Inc. (e)		891,153		44,558
TOTAL CONTINGENT VALUE RIGHTS
(Cost $0)				3,093,703

RIGHTS — 0.05% (a)
Bristol-Myers Squibb Company		453,175		1,622,367
TOTAL RIGHTS (Cost $1,595,530)				1,622,367

WARRANTS — 0.30% (a)
Akazoo S.A.
Expiration: December 2024,
Exercise Price: $11.50 (b)(d)(g)		238,850		—
Apex Technology Acquisition
Corporation Class A
Expiration: September 2026,
Exercise Price: $11.50		302,250		513,825

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
CF Finance Acquisition Corporation Class A
Expiration: April 2025,
Exercise Price: $11.50		293,016	$	395,572
Churchill Capital Corporation II Class A
Expiration: July 2024,
Exercise Price: $11.50		100,870		291,514
Churchill Capital Corporation III Class A
Expiration: March 2027,
Exercise Price: $11.50		35,721		107,163
CIIG Merger Corporation Class A
Expiration: December 2026,
Exercise Price: $11.50		157,831		149,939
Collier Creek Holdings Class A
Expiration: November 2023,
Exercise Price: $11.50 (b)		65,000		211,250
dMY Technology Group, Inc. Class A
Expiration: February 2027,
Exercise Price: $11.50		133,752		204,641
FinTech Acquisition
Corporation III Class A
Expiration: December 2023,
Exercise Price: $11.50		164,385		378,085
Flying Eagle Acquisition
Corporation Class A
Expiration: February 2027,
Exercise Price: $11.50		208,375		625,125
Galileo Acquisition Corporation
Expiration: October 2026,
Exercise Price: $11.50 (b)		112,274		65,119
Gores Holdings IV, Inc. Class A
Expiration: January 2025,
Exercise Price: $11.50		87,578		157,640
Graf Industrial Corporation
Expiration: December 2025,
Exercise Price: $11.50		394,617		899,727
Grid Dynamics Holdings, Inc.
Expiration: September 2023,
Exercise Price: $11.50		219,718		351,549
Haymaker Acquisition Corporation II Class A
Expiration: October 2026,
Exercise Price: $11.50		297,833		464,619

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
Hennessy Capital Acquisition
Corporation IV Class A
Expiration: September 2025,
Exercise Price: $11.50		131,655	$	144,820
International General Insurance
Holdings Ltd.
Expiration: March 2025,
Exercise Price: $11.50 (b)		311,172		105,767
InterPrivate Acquisition Corporation
Expiration: October 2024,
Exercise Price: $11.50		232,092		139,255
Juniper Industrial Holdings, Inc. Class A
Expiration: November 2026,
Exercise Price: $11.50		408,887		355,732
KLDiscovery, Inc.
Expiration: December 2025,
Exercise Price: $11.50 (f)		677,651		142,307
LGL Systems Acquisition
Corporation Class A
Expiration: November 2026,
Exercise Price: $11.50		253,330		230,530
Merida Merger Corporation I
Expiration: November 2026,
Exercise Price: $11.50		120,103		60,052
Monocle Acquisition Corporation
Expiration: June 2024,
Exercise Price: $11.50		204,085		132,829
New Providence Acquisition
Corporation Class A
Expiration: September 2024,
Exercise Price: $11.50		227,138		227,138
Open Lending Corporation
Expiration: June 2025,
Exercise Price: $11.50		141,718		566,872
Pivotal Investment Corporation II Class A
Expiration: June 2025,
Exercise Price: $11.50		40,616		32,087
PropTech Acquisition Corporation Class A
Expiration: October 2026,
Exercise Price: $11.50		91,300		63,910
Repay Holdings Corporation
Expiration: July 2024,
Exercise Price: $11.50		338,801		1,107,879

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
Software Acquisition Group, Inc. Class A
Expiration: October 2026,
Exercise Price: $11.50		283,587	$	255,257
Thunder Bridge Acquisition II Ltd. Class A
Expiration: November 2026,
Exercise Price: $11.50 (b)		258,496		372,234
Tuscan Holdings Corporation
Expiration: April 2026,
Exercise Price: $11.50		610,840		357,341
Tuscan Holdings Corporation II
Expiration: July 2025,
Exercise Price: $11.50		165,535		89,389
Whole Earth Brands, Inc.
Expiration: June 2025,
Exercise Price: $11.50		337,592		384,855
TOTAL WARRANTS (Cost $5,958,697)				9,584,022

	Principal
	Amount
BANK LOANS — 2.44% (f)(i)
Avaya Holdings Corporation
4.435% (3 Month U.S.
LIBOR + 4.250%), 12/15/2024	$	16,332,815		15,107,854
Cengage Learning Holdings II, Inc.
5.250% (3 Month U.S.
LIBOR + 4.250%), 6/7/2023		10,785,458		8,817,112
Flavors Holdings, Inc.
7.200% (3 Month U.S.
LIBOR + 5.750%), 10/7/2020		9,053,000		9,007,735
McGraw-Hill Global Education Holdings LLC
5.000% (3 Month U.S.
LIBOR + 4.000%), 5/4/2022		11,224,394		9,568,796
Refinitiv U.S. Holdings, Inc.
3.428% (1 Month U.S.
LIBOR + 3.250%), 10/1/2025		29,989,043		29,389,412
RentPath LLC
0.000% (3 Month U.S.
LIBOR + 4.750%), 12/17/2021 (n)		9,499,000		6,696,795
8.000% (1 Month U.S.
LIBOR + 7.000%), 12/14/2025		443,691		409,305
TOTAL BANK LOANS (Cost $84,962,150)				78,997,009

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount		Value
CORPORATE BONDS — 2.77% (f)
CEC Entertainment, Inc.
8.000%, 2/15/2022 (n)	$	9,205,000	$	1,012,550
Cincinnati Bell, Inc.
7.000%, 7/15/2024 (h)		2,935,000		3,002,843
8.000%, 10/15/2025 (h)		11,838,000		12,399,061
EIG Investors Corporation
10.875%, 2/1/2024		8,231,000		8,014,072
Global A&T Electronics Ltd.
8.500%, 1/12/2023 (b)		7,505,000		7,140,226
Nielsen Finance LLC /
Nielsen Finance Company
5.000%, 4/15/2022 (h)		12,171,000		12,149,092
Refinitiv U.S. Holdings, Inc.
8.250%, 11/15/2026 (h)		25,129,000		27,239,459
Stars Group Holdings BV /
Stars Group US Co-Borrower LLC
7.000%, 7/15/2026 (b)(h)		5,345,000		5,646,645
T-Mobile USA, Inc.
6.500%, 1/15/2024		9,842,000		10,086,229
6.375%, 3/1/2025		3,180,000		3,270,630
TOTAL CORPORATE BONDS
(Cost $98,877,918)				89,960,807

	Contracts
	(100 shares		Notional
	per contract)		Amount
PURCHASED PUT OPTIONS — 0.09% (a)
BorgWarner, Inc.
Expiration: August 2020,
Exercise Price: $22.50		877	$	3,095,810	10,962
DuPont de Nemours, Inc.
Expiration: August 2020,
Exercise Price: $42.50		631		3,352,503	46,694
Expiration: September 2020,
Exercise Price: $40.00		1,557		8,272,341	126,117
Fox Corporation Class A
Expiration: July 2020,
Exercise Price: $25.00		841		2,255,562	42,050
IAC/InterActiveCorp
Expiration: July 2020,
Exercise Price: $200.00		1,064		34,409,760	15,960
Otis Worldwide Corporation
Expiration: September 2020,
Exercise Price: $45.00		455		2,587,130	53,463

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Contracts
	(100 shares		Notional
	per contract)		Amount		Value
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $240.00		1,756	$	54,148,016	$	39,510
Expiration: July 2020,
Exercise Price: $280.00		1,756		54,148,016		207,208
Expiration: July 2020,
Exercise Price: $305.00		3,071		94,697,356		1,658,340
XPO Logistics, Inc.
Expiration: August 2020,
Exercise Price: $55.00		5,278		40,772,550		606,970
TOTAL PURCHASED OPTIONS
(Cost $7,253,194)						2,807,274

	Shares
ESCROW NOTES — 5.75% (a)
Allergro Merger Corporation (f)		167,002	4,258
Altaba, Inc. (f)		8,654,190	186,389,617
AMR Corporation (d)(g)		1,243,406	124,341
TOTAL ESCROW NOTES
(Cost $125,929,504)			186,518,216

SHORT-TERM INVESTMENTS — 35.04%

MONEY MARKET FUNDS — 33.70% (c)
Fidelity Institutional Government Portfolio,
Institutional Share Class, 0.06%		158,838,000	158,838,000
First American Government Obligations
Fund, Institutional Share Class, 0.09%		158,838,000	158,838,000
Goldman Sachs Government Fund,
Institutional Share Class, 0.15%		158,838,000	158,838,000
The Government & Agency Portfolio,
Institutional Share Class, 0.09%		158,838,000	158,838,000
JPMorgan U.S. Government Money Market
Fund, Institutional Share Class, 0.15%		158,838,000	158,838,000
Morgan Stanley Institutional Liquidity
Fund — Government Portfolio,
Institutional Share Class, 0.05%		158,838,000	158,838,000
Morgan Stanley Institutional Liquidity
Fund — Treasury Portfolio,
Institutional Share Class, 0.06%		139,607,853	139,607,853
			1,092,635,853

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount		Value
U.S. TREASURY BILLS — 1.34% (e)(f)(l)
United States Treasury Bills
1.45%, 7/2/2020	$	7,510,000	$	7,509,982
1.47%, 7/9/2020		4,825,000		4,824,874
1.47%, 7/16/2020		9,005,000		9,004,611
1.46%, 7/23/2020		1,255,000		1,254,916
1.46%, 7/30/2020		4,110,000		4,109,611
1.47%, 8/13/2020		2,400,000		2,399,656
1.45%, 8/20/2020		2,765,000		2,764,558
1.12%, 8/27/2020		580,000		579,887
0.27%, 9/10/2020		11,130,000		11,127,311
				43,575,406
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,136,185,915)				1,136,211,259
TOTAL LONG INVESTMENTS
(Cost $3,089,619,013) — 96.46%				3,127,587,998

	Shares
INVESTMENT OF CASH COLLATERAL
FROM SECURITIES LOANED — 0.96%

SHORT-TERM FUND — 0.96% (c)
Mount Vernon Liquid Asset
Portfolio LLC — 0.33%		31,275,752		31,275,752
TOTAL SHORT-TERM FUND —
(Cost $31,275,752)				31,275,752
TOTAL INVESTMENT OF CASH COLLATERAL
FROM SECURITIES LOANED
(Cost $31,275,752) — 0.96%				31,275,752

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares			Value
SHORT INVESTMENTS — (0.22)%

COMMON STOCKS — (0.22)%

INTERACTIVE MEDIA & SERVICES — (0.03)%
Match Group, Inc.		(11,043	)	$	(1,182,153	)

INVESTMENT BANKING
& BROKERAGE — (0.19)%
Morgan Stanley		(125,430	)		(6,058,269	)
TOTAL COMMON STOCKS
(Proceeds $6,916,376)					(7,240,422	)
TOTAL SHORT INVESTMENTS
(Proceeds $6,916,376) — (0.23)%					(7,240,422	)
TOTAL NET INVESTMENTS
(Cost $3,113,978,389) — 97.20%					3,151,623,328
OTHER ASSETS IN
EXCESS OF LIABILITIES — 2.80%					90,839,135
TOTAL NET ASSETS — 100.00%				$	3,242,462,463

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 June 30, 2020.
(d)	Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
(e)	All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts.
(f)	Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
(g)	Level 3 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
(h)	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of June 30, 2020, these securities represent 1.86% of total net assets.
(i)	The coupon rate shown on variable rate securities represents the rate as of June 30, 2020.
(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 June 30, 2020. Total loaned securities had a value of $30,629,215 at June 30, 2020.
(l)	The rate shown represents yield to maturity.
(m)	Affiliated Issuer. Please see Note 9 in the Notes to the Financial Statements for more information.
(n)	Default or other conditions exist and the security is not presently accruing income.

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

Open Written Options

June 30, 2020 (Unaudited)

	Contracts
	(100 shares			Notional
	per contract)			Amount			Value
WRITTEN CALL OPTIONS
Bitauto Holdings Ltd.
Expiration: July 2020,
Exercise Price: $17.50		(427	)	$	(676,795	)	$	(2,135	)
BorgWarner, Inc.
Expiration: August 2020,
Exercise Price: $27.50		(877	)		(3,095,810	)		(723,525	)
Carrier Global Corporation
Expiration: July 2020,
Exercise Price: $19.00		(458	)		(1,017,676	)		(155,720	)
Expiration: July 2020,
Exercise Price: $20.00		(392	)		(871,024	)		(101,920	)
DuPont de Nemours, Inc.
Expiration: August 2020,
Exercise Price: $47.50		(631	)		(3,352,503	)		(449,587	)
Expiration: September 2020,
Exercise Price: $47.50		(1,557	)		(8,272,341	)		(1,198,890	)
Fitbit, Inc. Class A
Expiration: August 2020,
Exercise Price: $7.00		(11,981	)		(7,739,726	)		(155,753	)
Fox Corporation Class A
Expiration: July 2020,
Exercise Price: $31.00		(841	)		(2,255,562	)		(6,308	)
IAC/InterActiveCorp
Expiration: July 2020,
Exercise Price: $220.00		(1,064	)		(34,409,760	)		(11,001,760	)
Otis Worldwide Corporation
Expiration: July 2020,
Exercise Price: $55.00		(768	)		(4,366,848	)		(226,560	)
Expiration: July 2020,
Exercise Price: $60.00		(127	)		(722,122	)		(7,620	)
Expiration: September 2020,
Exercise Price: $55.00		(455	)		(2,587,130	)		(250,250	)
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $320.00		(2,633	)		(81,191,188	)		(421,280	)
Expiration: July 2020,
Exercise Price: $330.00		(1,493	)		(46,038,148	)		(56,734	)

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

Open Written Options

June 30, 2020 (Unaudited)

	Contracts
	(100 shares			Notional
	per contract)			Amount			Value
XPO Logistics, Inc.
Expiration: August 2020,
Exercise Price: $65.00		(5,278	)	$	(40,772,550	)	$	(7,785,050	)
								(22,543,092	)
WRITTEN PUT OPTIONS
Fitbit, Inc. Class A
Expiration: August 2020,
Exercise Price: $6.00		(2,569	)		(1,659,574	)		(69,363	)
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $260.00		(3,513	)		(108,326,868	)		(145,790	)
Expiration: July 2020,
Exercise Price: $285.00		(1,974	)		(60,870,264	)		(321,762	)
								(536,915	)
TOTAL WRITTEN OPTIONS
(Premiums received $12,902,253)							$	(23,080,007	)

ETF – Exchange-Traded Fund

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

Forward Currency Exchange Contracts

June 30, 2020 (Unaudited)

										Unrealized
Settlement		Currency to		USD Value at		Currency to		USD Value at		Appreciation
Date	Counterparty	be Delivered		June 30, 2020		be Received		June 30, 2020		(Depreciation)*
7/14/20	JPM	45,186,527	CAD	$	33,285,531	32,599,837	USD	$	32,599,837	$	(685,694	)
3/17/21	GS	4,526,145	EUR		5,117,243	4,941,842	USD		4,941,842		(175,401	)
3/17/21	JPM	135,075,988	EUR		152,716,433	152,077,938	USD		152,077,938		(638,495	)
3/17/21	JPM	11,572,994	USD		11,572,994	10,617,550	EUR		12,004,164		431,170
7/8/20	JPM	12,971,033	EUR		14,575,284	14,455,966	USD		14,455,966		(119,318	)
8/19/20	GS	1,978,414	EUR		2,225,254	2,239,446	USD		2,239,446		14,192
8/19/20	JPM	120,239,211	EUR		135,241,051	136,087,942	USD		136,087,942		846,891
8/20/20	GS	1,735,190	EUR		1,951,726	1,963,966	USD		1,963,966		12,240
8/20/20	GS	1,952,644	USD		1,952,644	1,735,190	EUR		1,951,726		(918	)
8/20/20	JPM	9,036,317	EUR		10,163,968	10,226,715	USD		10,226,715		62,747
8/20/20	JPM	10,180,136	USD		10,180,136	9,036,317	EUR		10,163,969		(16,167	)
10/8/20	GS	5,840,915	EUR		6,577,443	6,579,764	USD		6,579,764		2,321
10/8/20	JPM	682,184	EUR		768,206	776,496	USD		776,496		8,290
11/18/20	GS	27,470,033	EUR		30,968,660	30,981,527	USD		30,981,527		12,867
7/22/20	GS	23,521,836	HKD		3,034,566	3,031,749	USD		3,031,749		(2,817	)
7/22/20	JPM	1,607,964	HKD		207,444	207,091	USD		207,091		(353	)
11/4/20	JPM	44,380,033	HKD		5,720,628	5,716,739	USD		5,716,739		(3,889	)
8/13/20	JPM	3,814,486,000	JPY		35,347,662	35,730,570	USD		35,730,570		382,908
9/24/20	JPM	1,777,427,843	JPY		16,481,487	16,669,510	USD		16,669,510		188,023
9/3/20	JPM	2,896,082	NZD		1,868,762	1,833,713	USD		1,833,713		(35,049	)
9/3/20	JPM	943,750	USD		943,750	1,460,172	NZD		942,209		(1,541	)
				$	480,900,872			$	481,182,879	$	282,007

CAD – Canadian Dollar	JPM – JPMorgan Chase & Co., Inc.
EUR – Euro	JPY – Japanese Yen
GS – Goldman, Sachs & Co.	NZD – New Zealand Dollar
HKD – Hong Kong Dollar	USD – U.S. Dollar

*	Net unrealized appreciation (depreciation) is a receivable (payable).

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter-

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

LONG TOTAL RETURN SWAP CONTRACTS

BAML

Bristol-Myers

Squibb Company

11/21/20

Pay

0.000%⁽¹⁾

Monthly

361,933

—

⁽¹⁾

1,295,720

BAML

Faurecia S.E.

11/14/20

Pay

0.435% + 1 Month U.S. LIBOR

Monthly

109,581

5,107,732

(827,751

)

BAML

Fiat Chrysler

Automobiles N.V.

11/15/20

Pay

0.437% + 1 Month U.S. LIBOR

Monthly

2,984,797

36,774,513

(6,786,386

)

GrandVision N.V.

1/7/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

966,574

29,067,393

(1,543,936

)

JPM

Groupe Bruxelles

Lambert S.A.

6/11/21

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

108,734

8,232,706

888,468

JPM

Haudian Fuxin Energy

Corporation Ltd.

6/5/21

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

17,752,013

5,641,253

37,299

Ingenico Group

5/21/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

284,491

43,817,459

1,566,139

JPM

Keihin Corporation

3/12/21

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

484,892

11,344,744

(14,061

)

JPM

Line Corporation

11/20/20

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

335,661

15,949,955

893,966

JPM

Metlifecare Ltd.

3/12/21

Pay

0.400% + 1 Month U.S. LIBOR

Quarterly

205,130

855,205

(175,073

)

NetEnt AB

7/1/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

12,009

91,367

(81,562

)

JPM

Nissin Kogyo

Company Ltd.

3/12/21

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

492,826

9,940,961

60,622

BAML

Northview Apartment

Real Estate

Investment Trust

5/4/21

Pay

0.706% + 1 Month U.S. LIBOR

Monthly

1,246,578

30,874,753

1,054,904

JPM

Osram Licht AG

12/5/20

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

2,546,838

111,879,810

4,826,859

BAML

Osram Licht AG

12/16/20

Pay

0.350% + 1 Month U.S. LIBOR

Monthly

76,365

3,455,413

44,639

Osram Licht AG

12/17/20

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

356,329

16,132,237

198,054

JPM

Qiagen N.V.

3/3/21

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

3,139,713

129,303,785

5,064,775

JPM

RIB Software S.E.

4/22/21

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

447,277

14,190,471

377,566

JPM

SHOWA Corporation

3/12/21

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

628,221

13,049,150

(101,603

)

JPM

Wheelock and

Company Ltd.

3/18/21

Pay

0.400% + 3 Month U.S. LIBOR

Quarterly

133,997

895,523

195,443

Wheelock and

Company Ltd.

4/20/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

1,960,153

14,166,515

1,795,766

The accompanying notes are an integral part of these financial statements.

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

			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
GS	Acacia
	Communications, Inc.	6/3/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(109,691	)	$	(7,475,442	)	$	105,593
JPM	American Airlines
	Group, Inc.	2/25/21	Pay	(0.600)% + 3 Month U.S. LIBOR	Quarterly	(11,395	)		(263,452	)		114,482
GS	Aon plc	3/19/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(891,119	)		(155,381,241	)		(16,260,313	)
JPM	Basket of Swaps	5/11/21	Pay	(0.950)% + 1 Month U.S. LIBOR	Quarterly	(81,360	)		(7,742,770	)		(961,848	)
GS	BorgWarner, Inc.	2/14/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(1,705,307	)		(50,294,390	)		(9,905,600	)
GS	The Charles Schwab
	Corporation	12/5/20	Pay	(0.350)% + U.S. Federal Funds	Monthly	(3,206,976	)		(135,039,474	)		26,827,393
GS	Eldorado Resorts, Inc.	12/20/20	Pay	(3.016)%+ U.S. Federal Funds	Monthly	(526,222	)		(26,263,677	)		5,161,407
GS	Evolution Gaming
	Group AB	7/1/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(1,569	)		(93,146	)		83,150
GS	Morgan Stanley	2/28/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(2,742,945	)		(111,796,125	)		(20,694,694	)
BAML	Peugeot S.A.	11/14/20	Pay	(0.350)% + 1 Month U.S. LIBOR	Monthly	(1,706,476	)		(34,046,820	)		6,284,295
JPM	The Wharf Holdings Ltd.	3/18/21	Pay	(3.000)% + 3 Month U.S. LIBOR	Quarterly	(133,997	)		(223,822	)		(48,912	)
GS	The Wharf Holdings Ltd.	4/20/21	Pay	(4.500)% + U.S. Federal Funds	Monthly	(1,960,153	)		(3,570,208	)		(417,747	)
JPM	Wharf Real Estate
	Investment
	Company Ltd.	3/18/21	Pay	(2.750)% + 3 Month U.S. LIBOR	Quarterly	(133,997	)		(542,315	)		(97,946	)
GS	Wharf Real Estate
	Investment
	Company Ltd.	4/20/21	Pay	(4.250)% + U.S. Federal Funds	Monthly	(1,960,153	)		(7,961,265	)		(1,401,902	)
GS	Worldline S.A.	5/21/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(447,020	)		(36,976,326	)		(1,736,254	)
											$	(4,179,048	)

BAML – Bank of America Merrill Lynch & Co., Inc.	LIBOR – London Interbank Offered Rate
GS – Goldman, Sachs & Co.	plc – Public Limited Company
JPM – JPMorgan Chase & Co., Inc.	U.S. Federal Funds – U.S. Federal Funds Effective Rate

*	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.

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS

June 30, 2020 (Unaudited)

	Shares		Value
LONG INVESTMENTS — 95.26%

COMMON STOCKS — 28.52%

A/C HEATING & FRIDGE EQUIPMENT — 0.08%
Carrier Global Corporation (j)		7,876	$	175,005

APPLICATION SOFTWARE — 1.15%
LogMeIn, Inc. (e)		29,230		2,477,827

ASSET MANAGEMENT
& CUSTODY BANKS — 1.33%
Apollo Global Management, Inc. (j)		27,378		1,366,710
Legg Mason, Inc. (e)		30,317		1,508,270
				2,874,980
AUTO PARTS & EQUIPMENT — 1.32%
Delphi Technologies plc (a)(b)(e)		200,386		2,847,485

AUTOMOTIVE RETAIL — 0.00%
Kaixin Auto Holdings (a)(b)		9,742		8,378

BIOTECHNOLOGY — 0.49%
Portola Pharmaceuticals, Inc. (a)		59,425		1,069,056

BROADCASTING — 0.73%
Fox Corporation Class A (e)		58,707		1,574,522

BROADCASTING SERVICES
& PROGRAMS — 0.53%
Madison Square Garden Entertainment
Corporation (a)(j)		15,261		1,144,575

CASINOS & GAMING — 0.64%
Caesars Entertainment Corporation (a)		114,161		1,384,773

CHEMICALS — 1.80%
DuPont de Nemours, Inc. (j)		73,473		3,903,620

COMMERCIAL SERVICES — 0.50%
CoreLogic, Inc. (j)		16,000		1,075,520

ELECTRIC UTILITIES — 2.55%
El Paso Electric Company (e)		73,097		4,897,499
PG&E Corporation Greenshoe (a)(f)		69,018		612,190
				5,509,689
ELEVATOR & MOVING STAIRWAY — 0.05%
Otis Worldwide Corporation (j)		1,881		106,954

ENVIRONMENTAL &
FACILITIES SERVICES — 0.45%
Advanced Disposal Services, Inc. (a)		32,498		980,465

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
HEALTH CARE EQUIPMENT — 1.71%
Wright Medical Group N.V. (a)(b)(e)		124,662	$	3,704,955

INSURANCE — 0.03%
Syncora Holdings Ltd. (b)		226,178		66,722

INSURANCE BROKERS — 4.31%
Willis Towers Watson plc (b)(e)		47,367		9,328,931

INTEGRATED TELECOMMUNICATION
SERVICES — 0.17%
Cincinnati Bell, Inc. (a)		24,903		369,809

INTERACTIVE MEDIA & SERVICES — 1.15%
Bitauto Holdings Ltd. — ADR (a)(j)		2,900		45,965
IAC/InterActiveCorp (a)(e)		7,537		2,437,466
				2,483,431
INTERNET & DIRECT MARKETING RETAIL — 0.05%
eBay, Inc. (j)		1,900		99,655
Reebonz Holdings Ltd. (a)(b)		597		55
				99,710
INVESTMENT BANKING & BROKERAGE — 1.83%
E*TRADE Financial Corporation (e)		61,965		3,081,520
TD Ameritrade Holdings Corporation (e)		24,203		880,505
				3,962,025
IT CONSULTING & OTHER SERVICES — 0.07%
Grid Dynamics Holdings, Inc. (a)		22,830		157,527

LIFE & HEALTH INSURANCE — 0.02%
Genworth Financial, Inc. Class A (a)		15,670		36,198

LIFE SCIENCES TOOLS & SERVICES — 0.28%
Qiagen N.V. (a)(b)		14,176		606,874

MOVIES & ENTERTAINMENT — 0.24%
The Madison Square Garden
Company Class A (a)		3,500		514,115

OIL & GAS REFINING & MARKETING — 2.48%
Marathon Petroleum Corporation (e)(j)		143,600		5,367,768

OIL & GAS & CONSUMABLE FUELS — 0.87%
Royal Dutch Shell plc Class B — ADR (e)		61,718		1,879,313

PACKAGED FOOD — 0.23%
Whole Earth Brands, Inc. (a)		60,572		488,816

SPECIALTY STORES — 1.01%
Tiffany & Company (e)		18,013		2,196,505

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
SYSTEMS SOFTWARE — 0.85%
Forescout Technologies, Inc. (a)(e)		86,944	$	1,843,213

TECHNOLOGY HARDWARE,
STORAGE & PERIPHERALS — 1.09%
Dell Technologies, Inc. Class C (a)(j)		42,900		2,356,926

WIRELESS TELECOMMUNICATION
SERVICES — 0.51%
Vodafone Group plc — ADR (j)		69,900		1,114,206
TOTAL COMMON STOCKS
(Cost $58,839,445)				61,709,893

	Shares/Units
SPECIAL PURPOSE ACQUISITION
COMPANIES — 16.52% (a)
Apex Technology Acquisition
Corporation Class A		58,964		603,791
B. Riley Principal Merger Corporation II		18,647		218,356
CC Neuberger Principal Holdings I (b)		97,740		1,036,044
CHP Merger Corporation Class A		40,120		399,595
Churchill Capital Corporation III Class A		40,000		431,600
CIIG Merger Corporation Class A		159,548		1,579,525
Collier Creek Holdings Class A (b)		29,482		403,903
dMY Technology Group, Inc. Class A		6,088		61,063
FinTech Acquisition Corporation III Class A		168,874		1,884,634
Flying Eagle Acquisition Corporation Class A		23,016		252,716
Foley Trasimene Acquisition Corporation		22,787		243,137
Fortress Value Acquisition Corporation		62,927		648,148
Fusion Acquisition Corporation		107,787		1,095,116
Galileo Acquisition Corporation (b)		126,337		1,252,000
GigCapital2, Inc.		37,777		383,059
GigCapital3, Inc.		21,091		211,754
Gores Holdings IV, Inc. Class A		192,544		1,952,396
Hennessy Capital Acquisition
Corporation IV Class A		167,612		1,801,829
Hudson Executive Investment Corporation		110,722		1,134,900
InterPrivate Acquisition Corporation		33,892		336,209
Jaws Acquisition Corporation (b)		17,050		177,831
Juniper Industrial Holdings, Inc. Class A		165,386		1,648,898
Kensington Capital Acquisition Corporation		107,787		1,080,026
Leo Holdings Corporation Class A (b)		105,233		1,094,423
LGL Systems Acquisition Corporation Class A		119,152		1,181,404
Longview Acquisition Corporation		126,736		1,280,034

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares/Units		Value
Monocle Acquisition Corporation		15,759	$	161,845
Oaktree Acquisition Corporation Class A (b)		173,824		1,767,790
Orisun Acquisition Corporation		8,528		86,389
Pivotal Investment Corporation II Class A		97,371		988,316
PropTech Acquisition Corporation Class A		98,000		994,700
SCVX Corporation (b)		25,214		261,217
Social Capital Hedosophia Holdings
Corporation III (b)		11,677		138,606
Software Acquisition Group, Inc. Class A		37,274		374,604
Subversive Capital Acquisition
Corporation Class A (b)(f)		292,679		2,912,156
Tottenham Acquisition I Ltd. (b)(f)		4,525		49,141
Trebia Acquisition Corporation (b)		131,944		1,378,815
Trident Acquisitions Corporation (f)		93,712		1,040,203
Tuscan Holdings Corporation (e)		168,926		1,728,113
Tuscan Holdings Corporation II		146,060		1,467,903
TOTAL SPECIAL PURPOSE ACQUISITION
COMPANIES (Cost $34,037,578)				35,742,189

	Shares
CLOSED-END FUNDS — 2.26%
Apollo Senior Floating Rate Fund, Inc.		11,127		138,309
BlackRock Floating Rate Income
Strategies Fund, Inc.		9,611		107,451
BlackRock MuniYield Quality Fund III, Inc.		57,617		750,173
Eaton Vance Floating-Rate Income Trust		28,528		325,219
First Trust Senior Floating Rate Income Fund II		5,810		63,271
Invesco Senior Income Trust		64,480		223,101
Nuveen AMT-Free Quality
Municipal Income Fund		55,115		766,098
Nuveen Intermediate Duration
Municipal Term Fund		57,365		757,792
Nuveen Municipal Credit Income Fund		48,255		712,244
Nuveen New York AMT-Free Quality
Municipal Income Fund		58,257		750,350
Voya Prime Rate Trust		73,819		300,443
TOTAL CLOSED-END FUNDS
(Cost $5,340,833)				4,894,451

PREFERRED STOCKS — 2.93%
Fannie Mae, 8.250%, Series S (a)		238,076		1,892,704
Freddie Mac, 8.375%, Series Z (a)		378,196		3,002,876

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
GMAC Capital Trust I,
6.177% (3 Month U.S.
LIBOR +5.785%), 2/15/2040, Series 2 (i)		39,471	$	884,940
Pebblebrook Hotel Trust, 6.375%, Series E		3,515		63,235
WESCO International, Inc.,
10.625%, Series A (a)(e)		18,416		488,389
TOTAL PREFERRED STOCKS (Cost $7,394,649)				6,332,144

CONTINGENT VALUE RIGHTS — 0.13% (a)(f)
Alder Biopharmaceuticals, Inc.		194,778		267,820
Media General, Inc. (e)		42,852		2,143
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)				269,963

RIGHTS — 1.09% (a)
Bristol-Myers Squibb Company		71,628		256,428
GigCapital2, Inc.		37,777		10,196
Pan American Silver Corporation (b)		322,499		221,234
PCG Backstop (f)		15,052,000		1,880,239
TOTAL RIGHTS (Cost $2,684,653)				2,368,097

WARRANTS — 0.86% (a)
Akazoo S.A.
Expiration: December 2024,
Exercise Price: $11.50 (b)(d)(g)		35,748		—
Apex Technology Acquisition
Corporation Class A
Expiration: September 2026,
Exercise Price: $11.50		29,482		50,119
CF Finance Acquisition Corporation Class A
Expiration: April 2025,
Exercise Price: $11.50		81,375		109,856
CHP Merger Corporation Class A
Expiration: November 2024,
Exercise Price: $11.50		20,060		19,659
Churchill Capital Corporation III Class A
Expiration: March 2027,
Exercise Price: $11.50		10,000		30,000
CIIG Merger Corporation Class A
Expiration: December 2026,
Exercise Price: $11.50		79,774		75,785

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
Collier Creek Holdings Class A
Expiration: November 2023,
Exercise Price: $11.50 (b)		14,100	$	45,825
dMY Technology Group, Inc. Class A
Expiration: February 2027,
Exercise Price: $11.50		3,044		4,657
FinTech Acquisition Corporation III Class A
Expiration: December 2023,
Exercise Price: $11.50		84,437		194,205
Flying Eagle Acquisition Corporation Class A
Expiration: February 2027,
Exercise Price: $11.50		5,754		17,262
Galileo Acquisition Corporation
Expiration: October 2026,
Exercise Price: $11.50 (b)		126,337		73,276
GigCapital2, Inc.
Expiration: July 2024,
Exercise Price: $11.50		37,777		18,698
Gores Holdings IV, Inc. Class A
Expiration: January 2025,
Exercise Price: $11.50		48,136		86,645
Graf Industrial Corporation
Expiration: December 2025,
Exercise Price: $11.50		179,440		409,123
Grid Dynamics Holdings, Inc.
Expiration: September 2023,
Exercise Price: $11.50		11,415		18,264
Hennessy Capital Acquisition
Corporation IV Class A
Expiration: September 2025,
Exercise Price: $11.50		125,709		138,280
International General Insurance Holdings Ltd.
Expiration: March 2025,
Exercise Price: $11.50 (b)		20,975		7,129
InterPrivate Acquisition Corporation
Expiration: October 2024,
Exercise Price: $11.50		16,946		10,168
Juniper Industrial Holdings, Inc. Class A
Expiration: November 2026,
Exercise Price: $11.50		82,693		71,943

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
Kaixin Auto Holdings
Expiration: April 2024,
Exercise Price: $11.50 (b)(f)		48,712	$	317
KLDiscovery, Inc.
Expiration: December 2025,
Exercise Price: $11.50 (f)		10,000		2,100
Legacy Acquisition Corporation Class A
Expiration: November 2022,
Exercise Price: $11.50		144,392		70,752
LGL Systems Acquisition Corporation Class A
Expiration: November 2026,
Exercise Price: $11.50		59,576		54,214
Monocle Acquisition Corporation
Expiration: June 2024,
Exercise Price: $11.50		15,759		10,257
Open Lending Corporation
Expiration: June 2025,
Exercise Price: $11.50		16,357		65,428
Pivotal Investment Corporation II Class A
Expiration: June 2025,
Exercise Price: $11.50		32,457		25,641
PropTech Acquisition Corporation Class A
Expiration: October 2026,
Exercise Price: $11.50		49,000		34,300
Reebonz Holdings Ltd.
Expiration: December 2023,
Exercise Price: $11.50 (b)(f)		23,859		142
Software Acquisition Group, Inc. Class A
Expiration: October 2026,
Exercise Price: $11.50		18,637		16,775
Tuscan Holdings Corporation
Expiration: April 2026,
Exercise Price: $11.50 (e)		168,926		98,822
Tuscan Holdings Corporation II
Expiration: July 2025,
Exercise Price: $11.50		73,030		39,436
Whole Earth Brands, Inc.
Expiration: June 2025,
Exercise Price: $11.50		45,429		51,789
TOTAL WARRANTS (Cost $1,104,438)				1,850,867

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount		Value
BANK LOANS — 5.49% (f)(i)
Avaya Holdings Corporation
4.435% (3 Month U.S.
LIBOR + 4.250%), 12/15/2024	$	869,585	$	804,366
Cengage Learning Holdings II, Inc.
5.250% (3 Month U.S.
LIBOR + 4.250%), 6/7/2023		1,239,264		1,013,099
CEOC LLC
2.178% (3 Month U.S.
LIBOR + 2.000%), 10/6/2024		740,420		737,795
Claire’s Stores, Inc.
6.808% (1 Month U.S.
LIBOR + 6.500%), 12/18/2026		261,345		209,076
Heritage Power LLC
7.771% (1 Month U.S.
LIBOR + 6.000%), 8/2/2026		3,543,225		3,330,632
McGraw-Hill Global Education Holdings LLC
5.000% (3 Month U.S.
LIBOR + 4.000%), 5/4/2022		997,127		850,051
Refinitiv U.S. Holdings, Inc.
3.428% (1 Month U.S.
LIBOR + 3.250%), 10/1/2025		2,785,224		2,729,533
RentPath LLC
0.000% (3 Month U.S.
LIBOR + 4.750%), 12/17/2021 (l)		2,956,000		2,083,980
8.000% (1 Month U.S.
LIBOR + 7.000%), 12/14/2025		138,073		127,372
TOTAL BANK LOANS (Cost $12,782,589)				11,885,904

CONVERTIBLE BONDS — 0.20% (f)
Caesars Entertainment Corporation
5.000%, 10/1/2024		251,397		423,782
TOTAL CONVERTIBLE BONDS (Cost $257,229)				423,782

CORPORATE BONDS — 9.30% (f)
APX Group, Inc.
7.875%, 12/1/2022 (e)		3,322,000		3,315,738
Bombardier, Inc.
6.000%, 10/15/2022 (b)(h)		756,000		531,052
7.500%, 3/15/2025 (b)(h)		1,474,000		966,539

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount		Value
CEC Entertainment, Inc.
8.000%, 2/15/2022 (l)	$	2,190,000	$	240,900
Cincinnati Bell, Inc.
7.000%, 7/15/2024 (h)		1,059,000		1,083,479
Delphi Technologies plc
5.000%, 10/1/2025 (b)(h)		375,000		402,956
EIG Investors Corporation
10.875%, 2/1/2024		1,025,000		997,986
Genesis Energy LP /
Genesis Energy Finance Corporation
6.000%, 5/15/2023 (e)		3,324,000		3,003,716
Global A&T Electronics Ltd.
8.500%, 1/12/2023 (b)		1,697,000		1,614,519
Intel Corporation
2.450%, 11/15/2029		185,000		200,094
Nielsen Finance LLC / Nielsen Finance Company
5.000%, 4/15/2022 (e)(h)		4,022,000		4,014,760
Refinitiv U.S. Holdings, Inc.
8.250%, 11/15/2026 (h)		2,676,000		2,900,744
Stars Group Holdings BV /
Stars Group US Co-Borrower LLC
7.000%, 7/15/2026 (b)(h)		390,000		412,009
T-Mobile USA, Inc.
6.500%, 1/15/2024		217,000		222,385
6.375%, 3/1/2025		204,000		209,814
TOTAL CORPORATE BONDS (Cost $23,145,293)				20,116,691

	Contracts
	(100 shares		Notional
	per contract)		Amount
PURCHASED PUT OPTIONS — 0.94% (a)
Apollo Global Management, Inc.
Expiration: July 2020,
Exercise Price: $40.00		181	$	903,552	1,810
Bayer AG
Expiration: July 2020,
Exercise Price: EUR 51.00 (b)(f)		158		1,175,235	1,065
Expiration: July 2020,
Exercise Price: EUR 58.00 (b)(f)		1,196		8,896,079	32,249
BorgWarner, Inc.
Expiration: August 2020,
Exercise Price: $22.50		709		2,502,770	8,862

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Contracts
	(100 shares		Notional
	per contract)		Amount		Value
Carrier Global Corporation
Expiration: September 2020,
Exercise Price: $15.00		124	$	275,528	$	4,030
CoreLogic, Inc.
Expiration: August 2020,
Exercise Price: $50.00		160		1,075,520		12,480
Dell Technologies, Inc. Class C
Expiration: August 2020,
Exercise Price: $45.00		204		1,120,776		12,240
Expiration: October 2020,
Exercise Price: $35.00		225		1,236,150		8,550
DuPont de Nemours, Inc.
Expiration: August 2020,
Exercise Price: $42.50		252		1,338,876		18,648
Expiration: September 2020,
Exercise Price: $40.00		477		2,534,301		38,637
eBay, Inc.
Expiration: July 2020,
Exercise Price: $34.00		582		3,052,590		16,296
Madison Square Garden
Entertainment Corporation
Expiration: July 2020,
Exercise Price: $55.00		151		1,132,500		6,795
Expiration: August 2020,
Exercise Price: $65.00		275		2,062,500		55,687
Madison Square Garden Sports Corporation
Expiration: August 2020,
Exercise Price: $145.00		308		4,524,212		232,540
Marathon Petroleum Corporation
Expiration: July 2020,
Exercise Price: $20.00		1,097		4,100,586		4,936
Expiration: July 2020,
Exercise Price: $27.50		339		1,267,182		3,390
Expiration: October 2020,
Exercise Price: $32.50		1,097		4,100,586		351,040
Materials Select Sector SPDR Fund
Expiration: July 2020,
Exercise Price: $53.00		221		1,245,335		15,470
Otis Worldwide Corporation
Expiration: September 2020,
Exercise Price: $45.00		64		363,904		7,520

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Contracts
	(100 shares		Notional
	per contract)		Amount		Value
Siemens AG
Expiration: July 2020,
Exercise Price: EUR 70.00 (b)(f)		228	$	2,700,461	$	1,537
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $240.00		119		3,669,484		2,678
Expiration: July 2020,
Exercise Price: $280.00		119		3,669,484		14,042
Expiration: July 2020,
Exercise Price: $305.00		210		6,475,560		113,400
Vodafone Group plc
Expiration: July 2020,
Exercise Price: $10.00		3,135		4,997,190		10,973
Expiration: July 2020,
Exercise Price: $12.00		1,390		2,215,660		4,865
Expiration: August 2020,
Exercise Price: $12.00		699		1,114,206		6,291
Xerox Holdings Corporation
Expiration: July 2020,
Exercise Price: $31.00		647		989,263		1,016,437
XPO Logistics, Inc.
Expiration: August 2020,
Exercise Price: $52.50		212		1,637,700		21,730
Expiration: August 2020,
Exercise Price: $55.00		109		842,025		12,535
TOTAL PURCHASED PUT OPTIONS
(Cost $1,516,270)						2,036,733

	Shares
ESCROW NOTES — 7.33% (a)
Altaba, Inc. (f)		736,659				15,865,793
AMR Corporation (d)(g)		28,850				2,885
TOTAL ESCROW NOTES (Cost $15,119,288)						15,868,678

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares			Value
SHORT-TERM INVESTMENTS — 19.69%

MONEY MARKET FUNDS — 13.35% (c)(e)
Goldman Sachs Government Fund,
Institutional Share Class, 0.15%		10,607,000		$	10,607,000
The Government & Agency Portfolio,
Institutional Share Class, 0.09%		7,666,912			7,666,912
JPMorgan U.S. Government Money Market
Fund, Institutional Share Class, 0.15%		10,607,000			10,607,000
					28,880,912

	Principal
	Amount
U.S. TREASURY BILLS — 6.34% (e)(f)(k)
United States Treasury Bills
1.47%, 7/9/2020	$	475,000			474,988
1.47%, 7/16/2020		1,545,000			1,544,933
1.46%, 7/23/2020		2,315,000			2,314,844
1.46%, 7/30/2020		480,000			479,954
1.40%, 8/20/2020		3,020,000			3,019,518
1.15%, 8/27/2020		2,745,000			2,744,468
0.27%, 9/10/2020		3,130,000			3,129,244
					13,707,949
TOTAL SHORT-TERM INVESTMENTS
(Cost $42,574,729)					42,588,861
TOTAL LONG INVESTMENTS
(Cost $204,796,994) — 95.26%					206,088,253

	Shares
SHORT INVESTMENTS — (1.17)%

COMMON STOCKS — (0.87)%

ELECTRIC UTILITIES — (0.87)%
PG&E Corporation		(211,978	)		(1,880,245	)
TOTAL COMMON STOCKS
(Proceeds $2,323,228)					(1,880,245	)

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount			Value
U.S. GOVERNMENT NOTES/BONDS — (0.30)% (f)
United States Treasury Notes/Bonds
1.38%, 1/31/2025	$	(435,000	)	$	(457,098	)
1.75%, 11/15/2029		(176,000	)		(194,329	)
TOTAL U.S. GOVERNMENT NOTES/BONDS
(Proceeds $630,441)					(651,427	)
TOTAL SHORT INVESTMENTS
(Proceeds $2,953,669) — (1.17)%					(2,531,672	)
TOTAL NET INVESTMENTS
(Cost $201,843,325) — 94.09%					203,556,581
OTHER ASSETS IN EXCESS
OF LIABILITIES — 5.91%					12,787,284
TOTAL NET ASSETS — 100.00%				$	216,343,865

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 June 30, 2020.
(d)	Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
(e)	All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts.
(f)	Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
(g)	Level 3 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
(h)	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of June 30, 2020, these securities represent 4.77% of total net assets.
(i)	The coupon rate shown on variable rate securities represents the rate as of June 30, 2020.
(j)	This security is held in connection with a written option contract.
(k)	The rate shown represents yield to maturity.
(l)	Default or other conditions exist and the security is not presently accruing income.

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Open Written Options

June 30, 2020 (Unaudited)

	Contracts
	(100 shares			Notional
	per contract)			Amount			Value
WRITTEN CALL OPTIONS
Apollo Global Management, Inc.
Expiration: July 2020,
Exercise Price: $46.00		(181	)	$	(903,552	)	$	(81,450	)
Bitauto Holdings Ltd.
Expiration: July 2020,
Exercise Price: $17.50		(29	)		(45,965	)		(145	)
BorgWarner, Inc.
Expiration: August 2020,
Exercise Price: $27.50		(709	)		(2,502,770	)		(584,925	)
Carrier Global Corporation
Expiration: July 2020,
Exercise Price: $19.00		(90	)		(199,980	)		(30,600	)
Expiration: July 2020,
Exercise Price: $20.00		(78	)		(173,316	)		(20,280	)
Expiration: September 2020,
Exercise Price: $20.00		(124	)		(275,528	)		(44,020	)
CoreLogic, Inc.
Expiration: August 2020,
Exercise Price: $65.00		(160	)		(1,075,520	)		(73,600	)
Dell Technologies, Inc. Class C
Expiration: August 2020,
Exercise Price: $50.00		(204	)		(1,120,776	)		(129,132	)
Expiration: October 2020,
Exercise Price: $42.50		(225	)		(1,236,150	)		(306,000	)
DuPont de Nemours, Inc.
Expiration: August 2020,
Exercise Price: $47.50		(252	)		(1,338,876	)		(179,550	)
Expiration: September 2020,
Exercise Price: $47.50		(477	)		(2,534,301	)		(367,290	)
eBay, Inc.
Expiration: July 2020,
Exercise Price: $38.00		(291	)		(1,526,295	)		(420,495	)
Expiration: July 2020,
Exercise Price: $45.00		(291	)		(1,526,295	)		(219,705	)
Fitbit, Inc. Class A
Expiration: August 2020,
Exercise Price: $7.00		(1,180	)		(762,280	)		(15,340	)

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Open Written Options

June 30, 2020 (Unaudited)

	Contracts
	(100 shares			Notional
	per contract)			Amount			Value
Madison Square Garden
Entertainment Corporation
Expiration: July 2020,
Exercise Price: $65.00		(151	)	$	(1,132,500	)	$	(157,040	)
Expiration: August 2020,
Exercise Price: $75.00		(246	)		(1,845,000	)		(123,000	)
Madison Square Garden Sports Corporation
Expiration: August 2020,
Exercise Price: $165.00		(308	)		(4,524,212	)		(85,470	)
Marathon Petroleum Corporation
Expiration: July 2020,
Exercise Price: $32.50		(339	)		(1,267,182	)		(189,162	)
Expiration: October 2020,
Exercise Price: $40.00		(823	)		(3,076,374	)		(320,970	)
Otis Worldwide Corporation
Expiration: July 2020,
Exercise Price: $55.00		(114	)		(648,204	)		(33,630	)
Expiration: July 2020,
Exercise Price: $60.00		(22	)		(125,092	)		(1,320	)
Expiration: September 2020,
Exercise Price: $55.00		(64	)		(363,904	)		(35,200	)
Siemens AG
Expiration: July 2020,
Exercise Price: EUR 89.00 (a)(b)		(228	)		(2,700,461	)		(408,314	)
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $320.00		(180	)		(5,550,480	)		(28,800	)
Expiration: July 2020,
Exercise Price: $330.00		(101	)		(3,114,436	)		(3,838	)
Vodafone Group plc
Expiration: July 2020,
Exercise Price: $15.00		(1,390	)		(2,215,660	)		(154,290	)
Expiration: August 2020,
Exercise Price: $15.00		(350	)		(557,900	)		(51,100	)
Expiration: August 2020,
Exercise Price: $16.00		(349	)		(556,306	)		(27,222	)
Xerox Holdings Corporation
Expiration: July 2020,
Exercise Price: $35.00		(647	)		(989,263	)		(3,558	)

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Open Written Options

June 30, 2020 (Unaudited)

	Contracts
	(100 shares			Notional
	per contract)			Amount			Value
XPO Logistics, Inc.
Expiration: August 2020,
Exercise Price: $65.00		(109	)	$	(842,025	)	$	(160,775	)
Expiration: August 2020,
Exercise Price: $70.00		(212	)		(1,637,700	)		(236,380	)
								(4,492,601	)
WRITTEN PUT OPTIONS
Bayer AG
Expiration: July 2020,
Exercise Price: EUR 56.00 (a)(b)		(158	)		(1,175,235	)		(2,840	)
Expiration: July 2020,
Exercise Price: EUR 63.00 (a)(b)		(1,196	)		(8,896,079	)		(123,621	)
Fitbit, Inc. Class A
Expiration: August 2020,
Exercise Price: $6.00		(255	)		(164,730	)		(6,885	)
Materials Select Sector SPDR Fund
Expiration: July 2020,
Exercise Price: $49.00		(221	)		(1,245,335	)		(4,641	)
Siemens AG
Expiration: July 2020,
Exercise Price: EUR 90.00 (a)(b)		(104	)		(1,231,789	)		(2,687	)
Expiration: July 2020,
Exercise Price: EUR 90.00 (a)(b)		(203	)		(2,404,358	)		(5,246	)
SPDR S&P 500 ETF Trust
Expiration: July 2020,
Exercise Price: $260.00		(238	)		(7,338,968	)		(9,877	)
Expiration: July 2020,
Exercise Price: $285.00		(135	)		(4,162,860	)		(22,005	)
								(177,802	)
TOTAL OPTIONS WRITTEN
(Premiums received $4,581,451)							$	(4,670,403	)

ETF – Exchange-Traded Fund

EUR – Euro

plc – Public Limited Company

(a)	Foreign security.
(b)	Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Forward Currency Exchange Contracts

June 30, 2020 (Unaudited)

										Unrealized
Settlement		Currency to		USD Value at		Currency to		USD Value at		Appreciation
Date	Counterparty	be Delivered		June 30, 2020		be Received		June 30, 2020		(Depreciation)*
7/7/20	JPM	3,020,793	AUD	$	2,084,729	1,985,394	USD	$	1,985,394	$	(99,335	)
7/7/20	JPM	1,927,719	USD		1,927,719	3,020,793	AUD		2,084,729		157,010
7/14/20	JPM	3,995,858	CAD		2,943,450	2,871,747	USD		2,871,747		(71,703	)
3/17/21	JPM	9,700,625	EUR		10,967,492	10,929,657	USD		10,929,657		(37,835	)
3/17/21	JPM	790,039	USD		790,039	724,812	EUR		819,470		29,431
7/8/20	JPM	1,474,911	EUR		1,657,327	1,633,367	USD		1,633,367		(23,960	)
7/29/20	JPM	2,029,200	EUR		2,281,329	2,210,265	USD		2,210,265		(71,064	)
8/12/20	JPM	203,344	EUR		228,680	222,203	USD		222,203		(6,477	)
8/19/20	GS	148,625	EUR		167,169	168,235	USD		168,235		1,066
8/19/20	JPM	8,866,149	EUR		9,972,348	10,034,796	USD		10,034,796		62,448
8/20/20	GS	118,388	EUR		133,162	133,997	USD		133,997		835
8/20/20	GS	133,224	USD		133,224	118,388	EUR		133,162		(62	)
8/20/20	JPM	995,297	EUR		1,119,501	1,126,412	USD		1,126,412		6,911
8/20/20	JPM	1,121,438	USD		1,121,438	995,297	EUR		1,119,501		(1,937	)
10/8/20	GS	497,146	EUR		559,835	561,134	USD		561,134		1,299
11/18/20	GS	2,559,903	EUR		2,885,936	2,887,135	USD		2,887,135		1,199
7/22/20	GS	7,014,480	HKD		904,942	904,021	USD		904,021		(921	)
8/13/20	JPM	309,697,000	JPY		2,869,866	2,900,955	USD		2,900,955		31,089
9/24/20	JPM	117,237,942	JPY		1,087,108	1,099,510	USD		1,099,510		12,402
9/3/20	JPM	450,618	NZD		290,772	285,318	USD		285,318		(5,454	)
9/3/20	JPM	146,845	USD		146,845	227,199	NZD		146,605		(240	)
				$	44,272,911			$	44,257,613	$	(15,298	)

AUD – Australian Dollar	GS – Goldman, Sachs & Co.	JPY – Japanese Yen
CAD – Canadian Dollar	HKD – Hong Kong Dollar	NZD – New Zealand Dollar
EUR – Euro	JPM – JPMorgan Chase & Co., Inc.	USD – U.S. Dollar

*	Net unrealized appreciation (depreciation) is a receivable (payable).

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter-

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

LONG TOTAL RETURN SWAP CONTRACTS

Advanced Disposal

Services, Inc.

3/18/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

69,902

2,182,169

(73,596

)

JPM

Axalta Coating

Systems Ltd.

10/28/20

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

13,755

409,486

(99,428

)

JPM

BlackRock MuniYield

Quality Fund, Inc.

3/11/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

85,655

1,031,835

83,092

BAML

Bristol-Myers

Squibb Company

11/21/20

Pay

0.000%⁽¹⁾

Monthly

25,034

—

⁽¹⁾

89,622

Broadmark Realty

Capital, Inc.

1/29/21

Pay

0.600% +1 Month U.S. LIBOR

Monthly

97,084

1,229,947

(310,838

)

Caesars Entertainment

Corporation

1/29/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

387,708

4,968,792

(266,799

)

Carrier Global

Corporation

4/3/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

21,336

—

474,086

CF Finance Acquisition

Corporation Class A

1/29/20

Pay

1.100% +1 Month U.S. LIBOR

Monthly

108,500

1,130,548

46,311

Craft Brew Alliance, Inc.

2/28/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

154,411

2,365,961

10,016

Delphi Technologies plc

2/27/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

300,000

4,056,000

206,276

JPM

DuPont de Nemours, Inc.

2/25/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

45,453

2,157,654

256,650

BAML

Dupont De Nemours, Inc.

6/3/21

Pay

0.400% +1 Month U.S. LIBOR

Monthly

2,280

124,442

(3,322

)

E*TRADE Financial

Corporation

2/28/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

106,668

4,149,841

1,154,060

eBay, Inc.

3/18/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

56,300

1,762,190

1,190,477

BAML

Faurecia S.E.

11/14/20

Pay

0.431% +1 Month U.S. LIBOR

Monthly

9,608

454,842

(79,576

)

BAML

Fiat Chrysler

Automobiles N.V.

11/14/20

Pay

0.433% +1 Month U.S. LIBOR

Monthly

254,936

3,204,464

(643,150

)

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

(15,506

)

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter-

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

BAML

Fitbit, Inc. Class A

2/18/21

Pay

0.750% +1 Month U.S. LIBOR

Monthly

218,755

1,406,470

6,395

GrandVision N.V.

1/7/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

90,074

2,706,531

(141,649

)

JPM

Groupe Bruxelles

Lambert S.A.

6/11/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

13,563

1,020,651

117,071

JPM

IAC/InterActiveCorp

10/21/20

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

6,300

1,419,957

617,059

Ingenico Group

5/21/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

21,682

3,315,812

142,972

Invesco Municipal

Opportunity Trust

3/11/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

47,566

548,640

15,397

JPM

Keihin Corporation

3/31/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

40,055

945,159

(9,164

)

Legg Mason, Inc.

3/9/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

82,814

3,958,783

160,542

JPM

Liberty Media

Corporation – Liberty

SiriusXM Class C

12/17/20

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

12,476

563,928

(134,289

)

JPM

Line Corporation

11/20/20

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

22,140

1,052,050

58,961

LogMeIn, Inc.

3/18/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

41,200

3,247,742

244,237

JPM

The Madison Square

Garden Company

Class A

10/31/20

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

27,300

6,598,426

(2,590,234

)

JPM

Madison Square

Garden Entertainment

Corporation

4/20/21

Pay

0.000%⁽¹⁾

Quarterly

27,300

—

⁽¹⁾

2,047,500

JPM

Metlifecare Ltd.

3/6/20

Pay

0.400% +1 Month U.S. LIBOR

Quarterly

31,917

139,529

(33,773

)

NetEnt AB

7/1/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

801

6,094

(5,440

)

JPM

Nissin Kogyo

Company Ltd.

3/31/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

40,466

830,067

(8,853

)

BAML

Northview Apartment Real

Estate Investment Trust

5/4/21

Pay

0.706% +1 Month U.S. LIBOR

Monthly

110,214

2,711,300

111,708

JPM

Nuveen AMT-Free Municipal

Credit Income Fund

3/11/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

38,528

563,661

24,908

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter-

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

JPM

Nuveen AMT-Free

Quality Municipal

Income Fund

3/11/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

160,868

2,066,897

168,565

JPM

Nuveen California

Quality Municipal

Income Fund

3/11/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

40,893

562,615

20,768

JPM

Nuveen Intermediate

Duration Municipal

Term Fund

3/11/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

44,435

563,154

23,669

JPM

Nuveen Municipal Credit

Income Fund

3/11/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

39,155

559,802

17,971

JPM

Nuveen New York

AMT-Free Quality

Municipal Income Fund

3/11/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

85,021

1,033,486

61,283

Nuveen New York Quality

Municipal Income Fund

3/11/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

40,575

545,799

(8,247

)

JPM

Osram Licht AG

12/6/20

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

174,568

7,660,557

338,872

BAML

Osram Licht AG

12/16/20

Pay

0.350% +1 Month U.S. LIBOR

Monthly

8,364

378,460

4,889

Osram Licht AG

12/17/20

Pay

0.500% +1 Month U.S. LIBOR

Monthly

37,366

1,691,619

20,893

Otis Worldwide

Corporation

4/3/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

18,173

—

1,033,317

JPM

Qiagen N.V.

3/3/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

216,005

8,933,673

310,750

JPM

Renault S.A.

8/5/20

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

25,418

1,104,960

(460,506

)

BAML

Renault S.A.

5/29/21

Pay

0.350% +1 Month U.S. LIBOR

Monthly

3,000

70,408

5,696

JPM

RIB Software S.E.

4/22/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

50,859

1,607,048

49,830

JPM

Royal Dutch Shell

plc Class B – ADR

3/6/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

40,950

1,636,352

(389,890

)

JPM

SHOWA Corporation

3/31/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

49,785

1,042,126

(16,119

)

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter-

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

JPM

Siemens AG

5/15/21

Pay

0.400% +3 Month U.S. LIBOR

Quarterly

22,800

2,131,011

551,807

JPM

SLM Corporation,

4.311%, Series B

2/10/21

Pay

1.100% +3 Month U.S. LIBOR

Quarterly

35,769

2,074,602

(899,845

)

JPM

Taubman Centers, Inc.

2/28/21

Pay

0.300% +3 Month U.S. LIBOR

Quarterly

147,991

6,959,152

(1,372,996

)

TD Ameritrade

Holdings Corporation

2/12/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

207,338

9,365,530

(1,824,295

)

BAML

Tech Data Corporation

2/27/21

Pay

0.750% +1 Month U.S. LIBOR

Monthly

45,797

6,081,356

557,946

Tiffany & Company

2/28/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

71,475

9,488,702

(774,693

)

Vodafone Group

plc – ADR

2/20/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

139,000

2,780,000

(564,478

)

Wheelock and

Company Ltd.

4/20/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

584,540

4,150,713

609,062

Willis Towers Watson plc

3/12/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

14,499

2,505,427

349,746

Wright Medical

Group N.V.

11/26/20

Pay

0.500% +1 Month U.S. LIBOR

Monthly

309,615

9,055,403

144,802

Xerox Holdings

Corporation

3/18/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

64,700

1,086,960

(97,884

)

XPO Logistics, Inc.

2/20/21

Pay

0.500% +1 Month U.S. LIBOR

Monthly

32,100

3,181,431

(702,305

)

SHORT TOTAL RETURN SWAP CONTRACTS

Acacia

Communications, Inc.

6/3/21

Pay

(0.350)% + U.S. Federal Funds

Monthly

(7,558

)

(515,078

)

7,221

JPM

American Airlines

Group, Inc.

2/25/21

Pay

(0.600)% +3 Month U.S. LIBOR

Quarterly

(194

)

(4,485

)

1,949

Aon plc

3/19/21

Pay

(0.350)% + U.S. Federal Funds

Monthly

(66,794

)

(11,653,041

)

(1,212,169

)

JPM

Basket of Swaps

5/11/21

Pay

(0.950)% +1 Month U.S. LIBOR

Quarterly

(10,248

)

(967,516

)

(128,891

)

BorgWarner, Inc.

2/14/21

Pay

(0.350)% + U.S. Federal Funds

Monthly

(144,626

)

(4,207,012

)

(898,532

)

The Charles Schwab

Corporation

12/5/20

Pay

(0.350)% + U.S. Federal Funds

Monthly

(250,908

)

(10,964,897

)

2,498,459

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

			Pay/Receive								Unrealized
Counter-		Termination	on Financing		Payment			Notional			Appreciation
party	Security	Date	Rate	Financing Rate	Frequency	Shares		Amount			(Depreciation)*
JPM	Daimler AG	8/5/20	Pay	(0.476)% +3 Month U.S. LIBOR	Quarterly	(1,525	)	$	(65,916	)	$	3,984
GS	Eldorado Resorts, Inc.	12/20/20	Pay	(3.016)% + U.S. Federal Funds	Monthly	(49,009	)		(2,526,550	)		563,313
GS	Evolution Gaming
	Group AB	7/1/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(105	)		(6,233	)		5,565
GS	International Flavors
	& Fragrances, Inc.	3/17/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(9,171	)		(1,004,041	)		(119,080	)
GS	Match Group, Inc.	4/23/21	Pay	(17.792)% + U.S. Federal Funds	Monthly	(31,024	)		(2,558,219	)		(770,919	)
GS	Morgan Stanley	2/28/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(175,842	)		(7,070,999	)		(1,422,578	)
JPM	Nissan Motor
	Company Ltd.	8/6/20	Pay	(0.479)% +3 Month U.S. LIBOR	Quarterly	(171,229	)		(903,658	)		270,542
BAML	Pan American Silver
	Corporation	2/20/21	Pay	(0.400)% +1 Month U.S. LIBOR	Monthly	(16,028	)		(399,257	)		(87,852	)
BAML	Peugeot S.A.	11/14/20	Pay	(0.350)% +1 Month U.S. LIBOR	Monthly	(145,662	)		(2,962,405	)		592,649
JPM	Royal Dutch Shell
	plc Class A – ADR	3/6/21	Pay	(0.710)% +3 Month U.S. LIBOR	Quarterly	(102,668	)		(3,623,476	)		266,644
JPM	SiriusXM Holdings	1/29/21	Pay	(0.600)% +3 Month U.S. LIBOR	Quarterly	(117,749	)		(833,663	)		142,380
GS	The Wharf Holdings Ltd.	4/20/21	Pay	(4.500)% + U.S. Federal Funds	Monthly	(584,540	)		(1,090,266	)		(98,477	)
GS	Wharf Real Estate
	Investment
	Company Ltd.	4/20/21	Pay	(4.250)% + U.S. Federal Funds	Monthly	(584,540	)		(2,313,726	)		(477,149	)
GS	Worldline S.A.	5/21/21	Pay	(0.350)% + U.S. Federal Funds	Monthly	(34,079	)		(2,795,421	)		(155,899	)
											$	(1,218,509	)

BAML – Bank of America Merrill Lynch & Co., Inc.	LIBOR – London Interbank Offered Rate
GS – Goldman, Sachs & Co.	plc – Public Limited Company
JPM – JPMorgan Chase & Co., Inc.	U.S. Federal Funds – U.S. Federal Funds Effective Rate

*	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.

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS

June 30, 2020 (Unaudited)

	Shares		Value
LONG INVESTMENTS — 99.97%

COMMON STOCKS — 0.42% (a)(e)

ELECTRIC UTILITIES— 0.42%
PG&E Corporation Greenshoe		3,595	$	31,888
TOTAL COMMON STOCKS (Cost $34,153)				31,888

	Shares/Units
SPECIAL PURPOSE ACQUISITION
COMPANIES — 16.82% (a)
CC Neuberger Principal Holdings I (b)		14,924		158,194
CF Finance Acquisition Corporation Class A		4,323		46,905
CHP Merger Corporation Class A		1,150		11,454
FinTech Acquisition Corporation III Class A		4,230		47,207
Fusion Acquisition Corporation		7,563		76,840
GigCapital3, Inc.		656		6,586
Jaws Acquisition Corporation (b)		13,951		145,509
Juniper Industrial Holdings, Inc. Class A		4,552		45,383
Kensington Capital Acquisition Corporation		11,344		113,667
Longview Acquisition Corporation		4,302		43,450
Merida Merger Corporation I		5,915		57,908
Oaktree Acquisition Corporation Class A (b)		5,823		59,220
PropTech Acquisition Corporation Class A		5,888		59,763
SCVX Corporation (b)		4,975		51,541
Social Capital Hedosophia Holdings
Corporation III (b)		7,050		83,684
Software Acquisition Group, Inc. Class A		836		8,402
Subversive Capital Acquisition
Corporation Class A (b)(e)		22,446		223,337
Tuscan Holdings Corporation II		4,200		42,210
TOTAL SPECIAL PURPOSE ACQUISITION
COMPANIES (Cost $1,228,178)				1,281,260

	Shares
PREFERRED STOCKS — 2.18% (a)
Fannie Mae, 8.250%, Series S		8,091		64,323
Freddie Mac, 8.375%, Series Z		12,852		102,045
TOTAL PREFERRED STOCKS (Cost $197,807)				166,368

RIGHTS — 1.29% (a)(e)
PCG Backstop		784,000		97,934
TOTAL RIGHTS (Cost $115,091)				97,934

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
WARRANTS — 1.68% (a)
CF Finance Acquisition Corporation Class A
Expiration: April 2025,
Exercise Price: $11.50		11,580	$	15,633
CHP Merger Corporation Class A
Expiration: November 2024,
Exercise Price: $11.50		575		564
Churchill Capital Corporation III Class A
Expiration: March 2027,
Exercise Price: $11.50		2,301		6,903
CIIG Merger Corporation Class A
Expiration: December 2026,
Exercise Price: $11.50		4,555		4,327
dMY Technology Group, Inc. Class A
Expiration: February 2027,
Exercise Price: $11.50		3,911		5,984
FinTech Acquisition Corporation III Class A
Expiration: December 2023,
Exercise Price: $11.50		7,553		17,371
Flying Eagle Acquisition Corporation Class A
Expiration: February 2027,
Exercise Price: $11.50		2,009		6,027
Gores Holdings IV, Inc. Class A
Expiration: January 2025,
Exercise Price: $11.50		2,940		5,292
Haymaker Acquisition Corporation
Class A II Class A
Expiration: October 2026,
Exercise Price: $11.50		2,676		4,175
Hennessy Capital Acquisition
Corporation IV Class A
Expiration: September 2025,
Exercise Price: $11.50		7,411		8,152
Juniper Industrial Holdings, Inc. Class A
Expiration: November 2026,
Exercise Price: $11.50		2,276		1,980
KLDiscovery, Inc.
Expiration: December 2025,
Exercise Price: $11.50 (e)		41,725		8,762
Merida Merger Corporation I
Expiration: November 2026,
Exercise Price: $11.50		2,957		1,479
PropTech Acquisition Corporation Class A
Expiration: October 2026,
Exercise Price: $11.50		2,944		2,061

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Shares		Value
Repay Holdings Corporation
Expiration: July 2024,
Exercise Price: $11.50		5,911	$	19,329
Software Acquisition Group, Inc. Class A
Expiration: October 2026,
Exercise Price: $11.50		418		376
Tuscan Holdings Corporation
Expiration: April 2026,
Exercise Price: $11.50		13,713		8,022
Tuscan Holdings Corporation II
Expiration: July 2025,
Exercise Price: $11.50		9,600		5,184
Whole Earth Brands, Inc.
Expiration: June 2025,
Exercise Price: $11.50		5,734		6,537
TOTAL WARRANTS (Cost $116,632)				128,158

	Principal
	Amount
BANK LOANS — 27.67% (e)(g)
Avaya Holdings Corporation
4.435% (3 Month U.S.
LIBOR + 4.250%), 12/15/2024	$	190,443		176,159
Cengage Learning Holdings II, Inc.
5.250% (3 Month U.S.
LIBOR + 4.250%), 6/7/2023		124,583		101,846
CEOC LLC
2.178% (3 Month U.S.
LIBOR + 2.000%), 10/6/2024		253,432		252,533
Claire’s Stores, Inc.
6.808% (1 Month U.S.
LIBOR + 6.500%), 12/18/2026		417,953		334,362
Flavors Holdings, Inc.
7.200% (3 Month U.S.
LIBOR + 5.750%), 10/7/2020		387,000		385,066
Heritage Power LLC
7.771% (1 Month U.S.
LIBOR + 6.000%), 8/2/2026		296,919		279,104
McGraw-Hill Global Education Holdings LLC
5.000% (3 Month U.S.
LIBOR + 4.000%), 5/4/2022		92,233		78,629

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount		Value
Refinitiv U.S. Holdings, Inc.
3.428% (1 Month U.S.
LIBOR + 3.250%), 10/1/2025	$	149,482	$	146,494
RentPath LLC
0.000% (3 Month U.S.
LIBOR + 4.750%), 12/17/2021 (i)		473,000		333,465
8.000% (1 Month U.S.
LIBOR + 7.000%), 12/14/2025		22,094		20,381
TOTAL BANK LOANS (Cost $2,268,657)				2,108,039

CONVERTIBLE BONDS — 1.57% (e)
Caesars Entertainment Corporation
5.000%, 10/1/2024		71,000		119,685
TOTAL CONVERTIBLE BONDS (Cost $109,065)				119,685

CORPORATE BONDS — 37.97% (e)
Acadia Healthcare Company, Inc.
5.125%, 7/1/2022 (d)		153,000		153,122
APX Group, Inc.
7.875%, 12/1/2022		383,000		382,278
Bombardier, Inc.
6.000%, 10/15/2022 (b)(f)		131,000		92,021
7.500%, 3/15/2025 (b)(f)		255,000		167,210
Cincinnati Bell, Inc.
8.000%, 10/15/2025 (f)		227,000		237,759
Delphi Technologies plc
5.000%, 10/1/2025 (b)(f)		25,000		26,864
EIG Investors Corporation
10.875%, 2/1/2024		58,000		56,471
Genesis Energy LP /
Genesis Energy Finance Corporation
6.000%, 5/15/2023		315,000		284,648
Global A&T Electronics Ltd.
8.500%, 1/12/2023 (b)		463,000		440,497
Intel Corporation
2.450%, 11/15/2029		72,000		77,874
Nielsen Finance LLC / Nielsen Finance Company
5.000%, 4/15/2022 (d)(f)		323,000		322,419
Refinitiv U.S. Holdings, Inc.
8.250%, 11/15/2026 (f)		273,000		295,928

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount			Value
Stars Group Holdings BV /
Stars Group US Co-Borrower LLC
7.000%, 7/15/2026 (b)(f)	$	294,000		$	310,592
T-Mobile USA, Inc.
6.375%, 3/1/2025		44,000			45,254
TOTAL CORPORATE BONDS (Cost $3,081,903)					2,892,937

	Shares
ESCROW NOTES — 6.63% (a)(e)
Altaba, Inc.		23,452			505,097
TOTAL ESCROW NOTES (Cost $497,219)					505,097

SHORT-TERM INVESTMENTS — 3.74%

MONEY MARKET FUNDS — 3.74% (c)
Goldman Sachs Government Fund,
Institutional Share Class, 0.15%		285,109			285,109
TOTAL SHORT-TERM INVESTMENTS
(Cost $285,109)					285,109
TOTAL LONG INVESTMENTS
(Cost $7,933,814) — 99.97%					7,616,475

SHORT INVESTMENTS — (3.26)%

COMMON STOCKS — (1.29)%

ELECTRIC UTILITIES — (1.29)%
PG&E Corporation		(11,041	)		(97,934	)
TOTAL COMMON STOCKS
(Proceeds $121,007)					(97,934	)

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2020 (Unaudited)

	Principal
	Amount			Value
U.S. GOVERNMENT NOTES/BONDS — (1.97)% (e)(h)
United States Treasury Notes/Bonds
1.38%, 1/31/2025	$	(72,000	)	$	(75,657	)
1.75%, 11/15/2029		(68,000	)		(75,082	)
TOTAL U.S. GOVERNMENT NOTES/BONDS
(Proceeds $144,050)					(150,739	)
TOTAL SHORT INVESTMENTS
(Proceeds $265,057) — (3.26)%					(248,673	)
TOTAL NET INVESTMENTS
(Cost $7,668,757) — 96.71%					7,367,802
OTHER ASSETS IN
EXCESS OF LIABILITIES — 3.29%					250,834
TOTAL NET ASSETS — 100.00%				$	7,618,636

LIBOR – London Interbank Offered Rate

plc – Public Limited Company

(a)	Non-income producing security.
(b)	Foreign Security.
(c)	The rate quoted is the annualized seven-day yield as of June 30, 2020.
(d)	All or a portion of the shares have been committed as collateral for open securities sold short and swap contracts.
(e)	Level 2 Security. Please see Note 2 in the Notes to the Financial Statements for more information.
(f)	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of June 30, 2020, these securities represent 19.07% of total net assets.
(g)	The coupon rate shown on variable rate securities represents the rate as of June 30, 2020.
(h)	The rate shown represents yield to maturity.
(i)	Default or other conditions exist and the security is not presently accruing income.

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

LONG TOTAL RETURN SWAP CONTRACTS

JPM

BlackRock Floating

Rate Income

Strategies Fund, Inc.

8/30/20

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

2,826

35,897

(4,312

)

BlackRock MuniYield

Quality Fund III, Inc.

3/24/21

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

6,882

76,750

12,828

JPM

BlackRock MuniYield

Quality Fund III, Inc.

3/24/21

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

672

7,423

1,324

Broadmark Realty

Capital, Inc.

1/16/21

Pay

0.600% + 1 Month U.S. LIBOR

Monthly

18,866

230,890

(52,273

)

CF Finance Acquisition

Corporation Class A

11/19/20

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

15,440

157,179

10,294

Churchill Capital

Corporation III Class A

6/17/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

9,204

94,433

4,862

CIIG Merger

Corporation Class A

6/17/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

9,110

89,278

896

dMY Technology

Group, Inc. Class A

6/17/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

7,822

76,186

2,255

JPM

Eaton Vance

Floating-Rate

Income Trust

2/4/21

Pay

0.800% + 3 Month U.S. LIBOR

Quarterly

2,639

25,888

4,183

JPM

Eaton Vance Senior

Floating-Rate

Income Trust

8/30/20

Pay

0.841% + 3 Month U.S. LIBOR

Quarterly

1,819

23,728

(3,149

)

FinTech Acquisition

Corporation III Class A

11/19/20

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

15,106

151,815

16,718

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

JPM

First Trust Senior

Floating Rate

Income Fund II

2/4/21

Pay

0.800% + 3 Month U.S. LIBOR

Quarterly

3,374

31,785

4,942

Flying Eagle Acquisition

Corporation Class A

6/17/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

8,036

84,860

3,360

Foley Trasimen

Acquisition Corporation

6/10/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

18,092

190,328

2,681

GMAC Capital Trust I

2/19/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

8,875

233,235

(34,296

)

Gores Holdings IV, Inc.

Class A

6/22/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

11,760

117,600

1,631

Haymaker Acquisition

Corporation

Class A II Class A

3/24/21

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

9,882

93,780

8,468

Hennessy Capital

Acquisition Corporation

IV Class A

3/24/21

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

10,276

102,555

7,879

Hudson Executive

Investment Corporation

6/10/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

18,937

195,051

(980

)

JPM

Invesco Municipal

Opportunity Trust

2/4/21

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

1,107

12,876

249

Invesco Municipal

Opportunity Trust

2/19/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

835

9,631

270

JPM

Invesco Senior

Income Trust

8/7/20

Pay

1.000% + 3 Month U.S. LIBOR

Quarterly

13,151

55,067

(9,597

)

JPM

Invesco Value Municipal

Income Trust

2/7/21

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

923

13,160

174

JPM

Nuveen AMT-Free

Municipal Credit

Income Fund

11/27/20

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

1,582

24,661

(495

)

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

Nuveen AMT-Free

Quality Municipal

Income Fund

3/24/21

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

9,665

116,202

18,103

JPM

Nuveen AMT-Free

Quality Municipal

Income Fund

3/24/21

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

1,229

14,556

2,523

JPM

Nuveen California

Quality Municipal

Income Fund

11/27/20

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

1,701

24,674

(408

)

JPM

Nuveen Intermediate

Duration Municipal

Term Fund

10/4/20

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

4,858

66,276

(2,119

)

JPM

Nuveen Municipal

Credit Income Fund

10/4/20

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

4,117

65,721

(4,972

)

JPM

Nuveen New York

AMT-Free Quality

Municipal Income Fund

3/24/21

Pay

0.300% + 3 Month U.S. LIBOR

Quarterly

654

7,350

1,072

Nuveen New York

AMT-Free Quality

Municipal Income Fund

3/24/21

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

6,880

78,367

10,221

Nuveen New York Quality

Municipal Income Fund

3/11/21

Pay

0.500% + 1 Month U.S. LIBOR

Monthly

712

9,578

(145

)

JPM

SLM Corporation,

4.311%, Series B

2/10/21

Pay

1.100% + 3 Month U.S. LIBOR

Quarterly

2,007

116,406

(50,489

)

Trebia Acquisition

Corporation

6/30/21

Pay

1.000% + 1 Month U.S. LIBOR

Monthly

30,219

316,393

(604

)

Tuscan Holdings

Corporation

3/24/21

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

10,713

104,773

4,787

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

SCHEDULE OF INVESTMENTS (continued)

Open Swap Contracts

June 30, 2020 (Unaudited)

Pay/Receive

Unrealized

Counter

Termination

on Financing

Payment

Notional

Appreciation

party

Security

Date

Rate

Financing Rate

Frequency

Amount

(Depreciation)*

Tuscan Holdings

Corporation II

1/16/21

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

15,000

149,100

1,602

Whole Earth Brands, Inc.

3/24/21

Pay

1.100% + 1 Month U.S. LIBOR

Monthly

7,645

74,612

(12,931

)

SHORT TOTAL RETURN SWAP CONTRACTS

Eldorado Resorts, Inc.

12/20/20

Pay

(3.016)% + U.S. Federal Funds

Monthly

(902

)

(52,000

)

15,832

(39,616

)

GS – Goldman, Sachs & Co.

JPM – JPMorgan Chase & Co., Inc.

LIBOR – London Interbank Offered Rate

U.S. Federal Funds – U.S. Federal Funds Effective Rate

*	Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).

The accompanying notes are an integral part of these financial statements.

(This Page Intentionally Left Blank.)

The Merger Fund and Westchester Capital Funds

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2020 (Unaudited)

			WCM		WCM
			Alternatives:		Alternatives:
	The Merger		Event-Driven		Credit Event
	Fund		Fund		Fund
ASSETS:
Investments in unaffiliated issuers, at value
(Cost $3,053,548,748, $204,796,994,
and $7,933,814, respectively)*	$	3,090,087,037	$	206,088,253	$	7,616,475
Investments in affiliated issuers, at value
(Cost $36,070,265, $—,
and $—, respectively) (Note 9)		37,500,961		—		—
Investment of cash collateral from securities
loaned (Cost $31,275,752, $—,
and $—, respectively)		31,275,752		—		—
Cash		276,846		35,441		3,228
Cash held in foreign currency
(Cost $51,263, $—, and $—, respectively)		51,256		—		—
Deposits at brokers for securities sold short		6,904,202		2,585,113		21,981
Deposit at brokers for other investments		147,234,515		18,137,491		249,217
Receivable for forward currency
exchange contracts		419,523		3,416		—
Receivable for swap contracts		12,125,458		555,005		21,458
Receivable for investments sold		16,736,035		1,736,604		330,321
Receivable for fund shares issued		7,202,178		521,146		25,000
Dividends and interest receivable		4,869,995		713,987		50,864
Receivable for securities
lending income (Note 8)		7,584		—		—
Prepaid expenses and other receivables		288,539		49,203		26,756
Total Assets		3,354,979,881		230,425,659		8,345,300
LIABILITIES:
Securities sold short, at value
(Proceeds of $6,916,376, $2,953,669,
and $265,057, respectively)		7,240,422		2,531,672		248,673
Written option contracts, at value
(Premiums received $12,902,253,
$4,581,451, and $—, respectively)		23,080,007		4,670,403		—
Payable for forward currency
exchange contracts		137,516		18,714		—
Payable for swap contracts		16,304,506		1,773,514		61,074
Payable for collateral received
on securities loaned (Note 8)		31,275,752		—		—
Payable for investments purchased		29,149,092		4,402,774		383,796
Payable to the investment adviser		2,570,056		215,825		1,274
Payable for fund shares redeemed		1,788,951		223,626		—
Dividends and interest payable		68,330		166,576		5
Distribution fees payable		5,971		146		—
Accrued expenses and other liabilities		896,815		78,544		31,842
Total Liabilities		112,517,418		14,081,794		726,664
NET ASSETS	$	3,242,462,463	$	216,343,865	$	7,618,636

The accompanying notes are an integral part of these financial statements.

The Merger Fund and Westchester Capital Funds

STATEMENTS OF ASSETS AND LIABILITIES (continued)

June 30, 2020 (Unaudited)

			WCM			WCM
			Alternatives:			Alternatives:
	The Merger		Event-Driven			Credit Event
	Fund		Fund			Fund
NET ASSETS CONSISTS OF:
Paid-in capital	$	3,133,397,444	$	220,384,581		$	7,982,276
Distributable earnings (accumulated deficit)		109,065,019		(4,040,716	)		(363,640	)
Total Net Assets	$	3,242,462,463	$	216,343,865		$	7,618,636
Investor Class
Net assets	$	872,779,615	$	21,380,313		$	48,356
Shares outstanding		50,898,187		2,093,557			4,899
Net asset value and
offering price per share**	$	17.15	$	10.21		$	9.87
Institutional Class
Net assets	$	2,369,682,848	$	194,963,552		$	7,570,280
Shares outstanding		138,581,530		19,009,634			766,805
Net asset value and
offering price per share**	$	17.10	$	10.26		$	9.87

*		Includes securities on loan for The Merger Fund with a value of $30,629,215 at June 30, 2020.
**		The redemption price per share may vary based on the length of time a shareholder holds Fund shares.

The accompanying notes are an integral part of these financial statements.

The Merger Fund and Westchester Capital Funds

STATEMENTS OF OPERATIONS

For the Six Months Ended June 30, 2020 (Unaudited)

				WCM			WCM
				Alternatives:			Alternatives:
	The Merger			Event-Driven			Credit Event
	Fund			Fund			Fund
INVESTMENT INCOME:
Interest	$	7,121,798		$	1,312,656		$	141,178
Dividend income on
unaffiliated long positions		11,278,260			905,499			7,240
Securities lending income, net (Note 8)		124,664			—			—
Total investment income		18,524,722			2,218,155			148,418
EXPENSES:
Investment advisory fees		15,546,640			1,354,342			34,320
Distribution fees (Investor Class)		1,167,926			25,149			420
Sub transfer agent fees (Institutional Class)		884,310			103,169			1,717
Sub transfer agent fees (Investor Class)		600,526			11,323			287
Administration fees		514,847			35,369			8,253
Professional fees		386,496			60,740			23,875
Transfer agent and shareholder
servicing agent fees		228,844			11,304			1,027
Fund accounting expenses		162,513			29,843			3,169
Custody fees		152,631			25,516			3,029
Reports to shareholders		149,501			19,322			1,385
Trustees’ fees and expenses		122,630			15,780			7,483
Compliance fees		98,620			6,641			190
Miscellaneous expenses		81,788			9,717			2,922
Federal and state registration fees		79,766			28,219			21,554
Borrowing expenses on securities sold short		177,640			51,650			1,041
Dividends and interest
on securities sold short		154,201			188,656			1,602
Interest on reverse repurchase agreements		—			—			532
Total expenses before expense
waiver/reimbursement by adviser		20,508,879			1,976,740			112,806
Expense waived/reimbursed
by adviser (Note 3)		(392,090	)		(10,228	)		(52,926	)
Net expenses		20,116,789			1,966,512			59,880
NET INVESTMENT INCOME (LOSS)	$	(1,592,067	)	$	251,643		$	88,538

The accompanying notes are an integral part of these financial statements.

The Merger Fund and Westchester Capital Funds

STATEMENTS OF OPERATIONS (continued)

For the Six Months Ended June 30, 2020 (Unaudited)

				WCM			WCM
				Alternatives:			Alternatives:
	The Merger			Event-Driven			Credit Event
	Fund			Fund			Fund
REALIZED AND CHANGE IN UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Realized gain (loss) on:
Investments in unaffiliated issuers	$	67,114,325		$	(9,769,536	)	$	(29,752	)
Securities sold short		44,865,309			5,561,436			(18,052	)
Written option contracts expired or closed		(7,784,144	)		800,564			—
Forward currency exchange contracts		849,449			229,787	��		—
Swap contracts		1,062,692			(6,542,282	)		(115,756	)
Foreign currency transactions		3,313			992			—
Net realized gain (loss)		106,110,944			(9,719,039	)		(163,560	)
Change in unrealized
appreciation (depreciation) on:
Investments in unaffiliated issuers		(121,371,390	)		(5,811,997	)		(436,247	)
Investments in affiliated issuers (Note 9)		1,114,446			—			—
Securities sold short		954,232			856,397			18,744
Written option contracts		(829,683	)		226,674			—
Forward currency exchange contracts		2,780,204			260,651			—
Swap contracts		7,426,771			(2,848,197	)		(28,579	)
Foreign currency translation		(7	)		(22	)		—
Net change in unrealized
appreciation (depreciation)		(109,925,427	)		(7,316,494	)		(446,082	)
NET REALIZED AND CHANGE IN UNREALIZED
GAIN (LOSS) ON INVESTMENTS		(3,814,483	)		(17,035,533	)		(609,642	)
NET DECREASE IN NET ASSETS RESULTING
FROM OPERATIONS	$	(5,406,550	)	$	(16,783,890	)	$	(521,104	)

The accompanying notes are an integral part of these financial statements.

The Merger Fund

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended			Year Ended
	June 30, 2020			December 31, 2019
	(Unaudited)
Net investment income (loss)	$	(1,592,067	)	$	21,065,840
Net realized gain on investments, securities
sold short, written option contracts
expired or closed, forward currency
exchange contracts, swap contracts,
and foreign currency transactions		106,110,944			2,260,648
Net change in unrealized appreciation
(depreciation) on investments, securities sold
short, written option contracts, forward
currency exchange contracts, swap contracts,
and foreign currency translation		(109,925,427	)		158,706,213
Net increase (decrease) in net assets
resulting from operations		(5,406,550	)		182,032,701

Investor Class – Distributions to
shareholders from: (Note 5)
Total dividends and distributions to
shareholders – Investor Class		—			(13,594,494	)

Institutional Class – Distributions to
shareholders from: (Note 5)
Total dividends and distributions to
shareholders – Institutional Class		—			(28,505,531	)

Net increase in net assets from
capital share transactions (Note 4)		55,510,300			291,074,931
Net increase in net assets		50,103,750			431,007,607

NET ASSETS:
Beginning of period		3,192,358,713			2,761,351,106
End of period	$	3,242,462,463		$	3,192,358,713

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended			Year Ended
	June 30, 2020			December 31, 2019
	(Unaudited)
Net investment income	$	251,643		$	932,003
Net realized gain (loss) on investments,
securities sold short, written option
contracts expired or closed, forward currency
exchange contracts, swap contracts,
and foreign currency transactions		(9,719,039	)		10,397,501
Net change in unrealized appreciation
(depreciation) on investments, securities sold
short, written option contracts, forward
currency exchange contracts, swap contracts,
and foreign currency translation		(7,316,494	)		7,714,203
Net increase (decrease) in net assets
resulting from operations		(16,783,890	)		19,043,707

Investor Class – Distributions to
shareholders from: (Note 5)
Total dividends and distributions to
shareholders – Investor Class		—			(404,640	)

Institutional Class – Distributions to
shareholders from: (Note 5)
Total dividends and distributions to
shareholders – Institutional Class		—			(4,526,978	)

Net increase in net assets from
capital share transactions (Note 4)		14,523,995			59,257,900
Net increase (decrease) in net assets		(2,259,895	)		73,369,989

NET ASSETS:
Beginning of period		218,603,760			145,233,771
End of period	$	216,343,865		$	218,603,760

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended			Year Ended
	June 30, 2020			December 31, 2019
	(Unaudited)
Net investment income	$	88,538		$	83,113
Net realized gain (loss) on investments,
securities sold short, and swap contracts		(163,560	)		157,709
Net change in unrealized appreciation
(depreciation) on investments, securities
sold short, and swap contracts		(446,082	)		245,567
Net increase (decrease) in net assets
resulting from operations		(521,104	)		486,389

Investor Class – Distributions to
shareholders from: (Note 5)
Total dividends and distributions to
shareholders – Investor Class		—			(13,453	)

Institutional Class – Distributions to
shareholders from: (Note 5)
Total dividends and distributions to
shareholders – Institutional Class		—			(135,910	)

Net increase in net assets from
capital share transactions (Note 4)		2,978,685			1,041,763
Net increase in net assets		2,457,581			1,378,789

NET ASSETS:
Beginning of period		5,161,055			3,782,266
End of period	$	7,618,636		$	5,161,055

The accompanying notes are an integral part of these financial statements.

(This Page Intentionally Left Blank.)

The Merger Fund

FINANCIAL HIGHLIGHTS

Selected per share data is based on a share of beneficial interest outstanding throughout each period/year.

Institutional Class

	Six Months
	Ended			Year Ended December 31,
	June 30,			Year Ended December 31,
	2020			2019			2018			2017			2016			2015
	(Unaudited)
Per Share Data:
Net asset value,
beginning of period	$	17.10		$	16.30		$	15.83		$	15.56		$	15.25		$	15.58
Income from
investment operations:
Net investment
income (loss)⁽¹⁾⁽²⁾		(0.00	)⁽⁸⁾		0.14			0.23			0.10			(0.04	)		(0.03	)
Net realized and
unrealized gain (loss)
on investments		(0.00	)⁽⁸⁾		0.89			1.03			0.33			0.49			(0.05	)
Total from
investment operations		(0.00	)⁽⁸⁾		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 period	$	17.10		$	17.10		$	16.30		$	15.83		$	15.56		$	15.25
Total Return		0.00	%⁽⁴⁾		6.32	%		7.98	%		2.74	%		2.94	%		(0.52	)%

The accompanying notes are an integral part of these financial statements.

The Merger Fund

FINANCIAL HIGHLIGHTS (continued)

Institutional Class

	Six Months
	Ended			Year Ended December 31,
	June 30,			Year Ended December 31,
	2020			2019			2018			2017			2016			2015
	(Unaudited)
Supplemental data and ratios:
Net assets, end
of period (000’s)	$	2,369,683		$	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		1.23	%⁽³⁾		1.74	%⁽⁶⁾		1.64	%		1.55	%		1.70	%		1.54	%
After expense
reimbursement		1.20	%⁽³⁾		1.72	%⁽⁶⁾		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		0.02	%⁽³⁾		0.53	%⁽⁶⁾		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)		1.18	%⁽³⁾		1.19	%⁽⁷⁾		1.20	%		1.11	%		1.07	%		1.01	%
Ratio of net investment
income (loss) to
average net assets		(0.01	)%⁽³⁾		0.81	%		1.38	%		0.66	%		(0.27	)%		(0.21	)%
Portfolio turnover rate⁽⁵⁾		112	%⁽⁴⁾		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 six months ended June 30, 2020 and years ended December 31, 2019, 2018, 2017, 2016 and 2015 was $0.00, $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 period.
(3)	Annualized.
(4)	Not 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 0.10% of legal expenses related to the settlement of an appraisal right.
(7)	The amount for the year ended December 31, 2019 excludes 0.10% of legal expenses related to the settlement of an appraisal right.
(8)	Amount calculated is less than $(0.005).

The accompanying notes are an integral part of these financial statements.

The Merger Fund

FINANCIAL HIGHLIGHTS

Selected per share data is based on a share of beneficial interest outstanding throughout each period/year.

Investor Class

	Six Months
	Ended			Year Ended December 31,
	June 30,			Year Ended December 31,
	2020			2019			2018			2017			2016			2015
	(Unaudited)
Per Share Data:
Net asset value,
beginning of period	$	17.17		$	16.42		$	15.94		$	15.66		$	15.31		$	15.63
Income from
investment operations:
Net investment
income (loss)⁽¹⁾⁽²⁾		(0.02	)		0.09			0.18			0.05			(0.09	)		(0.08	)
Net realized and
unrealized gain (loss)
on investments		(0.00	)⁽⁸⁾		0.89			1.05			0.32			0.49			(0.05	)
Total from
investment operations		(0.02	)		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 period	$	17.15		$	17.17		$	16.42		$	15.94		$	15.66		$	15.31
Total Return		(0.12	)%⁽⁴⁾		5.96	%		7.68	%		2.39	%		2.61	%		(0.82	)%

The accompanying notes are an integral part of these financial statements.

The Merger Fund

FINANCIAL HIGHLIGHTS (continued)

Investor Class

	Six Months
	Ended			Year Ended December 31,
	June 30,			Year Ended December 31,
	2020			2019			2018			2017			2016			2015
	(Unaudited)
Supplemental data and ratios:
Net assets, end
of period (in millions)	$	873		$	1,031		$	1,265		$	1,162		$	1,540		$	3,509
Ratio of gross expenses
to average net assets:
Before expense waiver		1.53	%⁽³⁾		2.03	%⁽⁶⁾		1.94	%		1.87	%		2.03	%		1.87	%
After expense waiver		1.50	%⁽³⁾		2.01	%⁽⁶⁾		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		0.02	%⁽³⁾		0.53	%⁽⁶⁾		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	%⁽³⁾		1.48	%⁽⁷⁾		1.50	%		1.43	%		1.40	%		1.34	%
Ratio of net investment income
(loss) to average net assets		(0.31	)%⁽³⁾		0.52	%		1.08	%		0.34	%		(0.60	)%		(0.53	)%
Portfolio turnover rate⁽⁵⁾		112	%⁽⁴⁾		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 six months ended June 30, 2020 and the years ended December 31, 2019, 2018, 2017, 2016 and 2015 was $(0.02), $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 period.
(3)	Annualized.
(4)	Not 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 0.10% of legal expenses related to the settlement of an appraisal right.
(7)	The amount for the year ended December 31, 2019 excludes 0.10% of legal expenses related to the settlement of an appraisal right.
(8)	Amount calculated is less than $(0.005).

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

FINANCIAL HIGHLIGHTS

Selected per share data is based on a share of beneficial interest outstanding throughout each period/year.

Institutional Class

	Six Months
	Ended			Year Ended December 31,
	June 30,			Year Ended December 31,
	2020			2019			2018			2017			2016			2015
	(Unaudited)
Per Share Data:
Net asset value,
beginning of period	$	11.01		$	10.14		$	10.17		$	9.81		$	9.62		$	10.14
Income from
investment operations:
Net investment
income (loss)⁽¹⁾⁽²⁾		0.01			0.06			0.14			0.00	⁽⁸⁾		(0.04	)		0.01
Net realized and
unrealized gain (loss)
on investments		(0.76	)		1.06			0.39			0.46			0.31			(0.22	)
Total from
investment operations		(0.75	)		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 period	$	10.26		$	11.01		$	10.14		$	10.17		$	9.81		$	9.62
Total Return		(6.81	)%⁽⁴⁾		11.13	%		5.27	%		4.72	%		2.86	%		(2.08	)%

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

FINANCIAL HIGHLIGHTS (continued)

Institutional Class

	Six Months
	Ended			Year Ended December 31,
	June 30,			Year Ended December 31,
	2020			2019			2018			2017			2016			2015
	(Unaudited)
Supplemental data and ratios:
Net assets, end
of period (000’s)	$	194,964		$	199,251		$	134,923		$	94,031		$	112,947		$	96,489
Ratio of gross expenses
to average net assets:
Before expense
reimbursement/
recoupment		1.80	%⁽³⁾		2.10	%⁽⁶⁾		2.19	%		2.20	%		2.37	%		2.23	%
After expense
reimbursement/
recoupment		1.79	%⁽³⁾		2.10	%⁽⁶⁾		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		0.22	%⁽³⁾		0.49	%⁽⁶⁾		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)		1.57	%⁽³⁾		1.61	%⁽⁷⁾		1.74	%		1.74	%		1.74	%		1.74	%
Ratio of net investment income
(loss) to average net assets		0.26	%⁽³⁾		0.52	%		1.34	%		(0.02	)%		(0.46	)%		0.05	%
Portfolio turnover rate⁽⁵⁾		157	%⁽⁴⁾		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 six months ended June 30, 2020 and years ended December 31, 2019, 2018, 2017, 2016 and 2015 was $0.02, $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 period.
(3)	Annualized.
(4)	Not 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.
(8)	Amount calculated is less than $(0.005).

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Event-Driven Fund

FINANCIAL HIGHLIGHTS

Selected per share data is based on a share of beneficial interest outstanding throughout each period/year.

Investor Class

										For the
										Period from
	Six Months			Year Ended December 31,						March 22, 2017^
	Ended									through
	June 30,									December 31,
	2020			2019			2018			2017
	(Unaudited)
Per Share Data:
Net asset value, beginning of period	$	10.97		$	10.12		$	10.16		$	9.89
Income from investment operations:
Net investment income (loss)⁽¹⁾⁽²⁾		0.00	⁽⁸⁾		0.03			0.11			(0.01	)
Net realized and unrealized
gain (loss) on investments		(0.76	)		1.05			0.39			0.38
Total from investment operations		(0.76	)		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	$	10.21		$	10.97		$	10.12		$	10.16
Total Return		(6.93	)%⁽⁴⁾		10.73	%		4.95	%		3.77	%⁽⁴⁾

Supplemental data and ratios:
Net assets, end of period (in 000’s)	$	21,380		$	19,352		$	10,311		$	5,558
Ratio of gross expenses
to average net assets:
Before expense
reimbursement/recoupment		2.05	%⁽³⁾		2.35	%⁽⁶⁾		2.44	%		2.52	%⁽³⁾
After expense
reimbursement/recoupment		2.04	%⁽³⁾		2.35	%⁽⁶⁾		2.45	%		2.54	%⁽³⁾
Ratio of dividends and interest on short
positions and borrowing expense on
securities sold short to average net assets		0.22	%⁽³⁾		0.49	%⁽⁶⁾		0.46	%		0.55	%⁽³⁾
Ratio of operating expenses to average net
assets excluding dividends and interest
on short positions and borrowing
expense on securities sold (after
expense reimbursement/recoupment)		1.82	%⁽³⁾		1.86	%⁽⁷⁾		1.99	%		1.99	%⁽³⁾
Ratio of net investment income (loss)
to average net assets		0.01	%⁽³⁾		0.27	%		1.09	%		(0.17	)%⁽³⁾
Portfolio turnover rate⁽⁵⁾		157	%⁽⁴⁾		238	%		230	%		283	%⁽⁴⁾

(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 six months ended June 30, 2020 and periods ended December 31, 2019, 2018 and 2017 was $0.01, $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)	Annualized.
(4)	Not 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.
(8)	Amount calculated is less than $0.005.
^	Commencement of operations.

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

FINANCIAL HIGHLIGHTS

Selected per share data is based on a share of beneficial interest outstanding throughout each period/year.

Institutional Class

	Six Months			Year Ended December 31,
	Ended
	June 30,
	2020			2019			2018
	(Unaudited)
Per Share Data:
Net asset value, beginning of period	$	10.46		$	9.55		$	10.00
Income from investment operations:
Net investment income⁽¹⁾⁽²⁾		0.12			0.21			0.14
Net realized and unrealized gains (loss) on investments		(0.71	)		1.02			(0.43	)
Total from investment operations		(0.59	)		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 period	$	9.87		$	10.46		$	9.55
Total Return		(5.64	)%⁽⁴⁾		12.87	%		(2.93	)%

Supplemental data and ratios:
Net assets, end of period (000’s)	$	7,570		$	4,698		$	3,744
Ratio of gross expenses to average net assets:
Before expense reimbursement		3.27	%⁽³⁾		5.38	%		6.24	%
After expense reimbursement		1.73	%⁽³⁾		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		0.09	%⁽³⁾		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	%⁽³⁾		1.64	%		1.64	%
Ratio of net investment income to average net assets		2.59	%⁽³⁾		2.02	%		1.44	%
Portfolio turnover rate⁽⁵⁾		84	%⁽⁴⁾		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 six months ended June 30, 2020 and years ended December 31, 2019 and 2018 was $0.13, $0.23, and $0.15, respectively.
(2)	Net investment income per share has been calculated based on average shares outstanding during the period.
(3)	Annualized.
(4)	Not annualized.
(5)	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 period.

The accompanying notes are an integral part of these financial statements.

WCM Alternatives: Credit Event Fund

FINANCIAL HIGHLIGHTS

Selected per share data is based on a share of beneficial interest outstanding throughout each period/year.

Investor Class

	Six Months			Year Ended December 31,
	Ended
	June 30,
	2020			2019			2018
	(Unaudited)
Per Share Data:
Net asset value, beginning of period	$	10.43		$	9.54		$	10.00
Income from investment operations:
Net investment income⁽¹⁾⁽²⁾		0.11			0.19			0.12
Net realized and unrealized gain (loss) on investments		(0.67	)		1.01			(0.44	)
Total from investment operations		(0.56	)		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 period	$	9.87		$	10.43		$	9.54
Total Return		(5.37	)%⁽⁴⁾		12.60	%		(3.23	)%

Supplemental data and ratios:
Net assets, end of period (000’s)	$	48		$	463		$	38
Ratio of gross expenses to average net assets:
Before expense reimbursement		3.52	%⁽³⁾		5.63	%		6.56	%
After expense reimbursement		1.98	%⁽³⁾		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		0.09	%⁽³⁾		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	%⁽³⁾		1.89	%		1.89	%
Ratio of net investment income to average net assets		2.34	%⁽³⁾		1.77	%		1.19	%
Portfolio turnover rate⁽⁵⁾		84	%⁽⁴⁾		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 six months ended June 30, 2020 and the years ended December 31, 2019 and 2018 was $0.12, $0.21, and $0.13, respectively.
(2)	Net investment income per share has been calculated based on average shares outstanding during the period.
(3)	Annualized.
(4)	Not annualized.
(5)	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 period.

The accompanying notes are an integral part of these financial statements.

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS

June 30, 2020 (Unaudited)

Note 1 — ORGANIZATION

The Merger Fund (“TMF”) is a no-load, open-end, diversified investment company organized as a trust under the laws of the Commonwealth of Massachusetts on April 12, 1982, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). TMF was formerly known as the Risk Portfolio of The Ayco Fund. In January of 1989, TMF’s fundamental investment policies were amended to permit TMF to engage in merger arbitrage. At the same time, Westchester Capital Management, Inc. became TMF’s investment adviser, and TMF began to do business as The Merger Fund. In a transaction that closed on December 31, 2010, Westchester Capital Management, Inc. transferred substantially all of its business and assets to Westchester Capital Management, LLC (the “Adviser”), which became TMF’s investment adviser. Therefore, the performance information included for periods prior to 2011 reflects the performance of Westchester Capital Management, Inc. Roy Behren and Michael Shannon, TMF’s current portfolio managers, have served as co-portfolio managers of TMF since January 2007. The Investor Class inception date was January 31, 1989, and the Institutional Class inception date was August 1, 2013. The investment objective of TMF is to seek to achieve capital growth by engaging in merger arbitrage. Merger arbitrage is a highly specialized investment approach generally designed to profit from the successful completion of publicly announced mergers, takeovers, tender offers, leveraged buyouts, spin-offs, liquidations and other corporate reorganizations. At June 30, 2020, 69.1% of the shares outstanding of TMF’s Investor Class were owned by 6 omnibus accounts. At June 30, 2020, 73.7% of the shares outstanding of TMF’s Institutional Class were owned by 6 omnibus accounts.

Westchester Capital Funds (“WCF”) is an open-end series management investment company organized under the laws of the Commonwealth of Massachusetts on March 20, 2013, and registered under the 1940 Act. WCM Alternatives: Event-Driven Fund (“EDF”), the first series within WCF, is a no-load, open-end, diversified investment company with two classes of shares, Investor Class shares and Institutional Class shares. The Institutional Class inception date was January 2, 2014. The Investor Class inception date was March 22, 2017. The investment objective of EDF is to seek to provide attractive risk-adjusted returns with low relative volatility in virtually all market environments. WCM Alternatives: Credit Event Fund (“CEF”), the second series within WCF, is a no-load, open-end, non-diversified investment company with two classes of shares, Investor Class shares and Institutional Class shares. The Institutional Class and Investor Class inception date was December 29, 2017. The investment objective of CEF is to seek attractive risk-adjusted returns independent of market cycles.

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 1 — ORGANIZATION (continued)

Risk-adjusted return is a concept that considers not only an investment’s return, but also the amount of potential risk involved in producing that return. At June 30, 2020, 77.3% of the shares outstanding of EDF’s Investor Class were owned by 3 omnibus accounts. At June 30, 2020, 93.5% of the shares outstanding of EDF’s Institutional Class were owned by 3 omnibus accounts. At June 30, 2020, 46.1% and 0.2% of the shares outstanding of CEF’s Investor Class were owned by 2 omnibus accounts and by affiliates of the Adviser, respectively. At June 30, 2020, 76.0% and 10.1% of the shares outstanding of CEF’s Institutional Class were owned by 4 omnibus accounts and by affiliates of the Adviser, respectively. At June 30, 2020, 21.3% and 52.5% of the shares outstanding of CEF’s Investor Class and CEF’s Institutional Class, respectively, were owned by affiliates of the Adviser through omnibus accounts or were directly held.

Each class of shares of TMF, EDF and CEF (each a “Fund” and together, the “Funds”) has different eligibility and minimum investment requirements. The underlying assets attributable to a class of a Fund are charged with the expenses attributable to that class of the Fund and with a share of the general expenses of the Fund. Any general expenses of a Fund that are not readily identifiable as belonging to a particular class of the Fund are allocated by or under the direction of the Boards of Trustees of the Funds (the “Board of Trustees” or “Trustees”) in such manner as the Trustees determine. Shares of classes may have different voting rights, such as (i) when required by the 1940 Act, or (ii) when the Trustees determine that such a matter affects only the interests of a particular class. Shares have no preemptive or subscription rights. The Institutional Class shares do not have a distribution fee. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments of a Fund are allocated to each class of a Fund based on its relative net assets.

Note 2 — SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 – Investment Companies. The presentation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and assumptions.

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

A. 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 a 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. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and asked prices, the Funds will typically value the option at the higher of the intrinsic value of the option

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

or the mean between the highest end of day option bid price and the lowest end of day option ask price. On the stipulated expiration date, expiring options will be priced at intrinsic value. 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 at bid prices calculated using an “interpolation” methodology that incorporates foreign-exchange prices for standard forward-settlement periods. 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 Funds. The credit quality of the swap’s 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. These securities are generally classified as Level 2 investments. At June 30, 2020, the Funds had no open reverse repurchase agreements.

The Funds typically fair value securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, the Funds 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 Funds to calculate their NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below.

The Funds have performed analyses 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 Funds’ 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 Funds as of June 30, 2020. These assets and liabilities are measured on a recurring basis.

The Merger Fund

Investments at Fair Value	Level 1		Level 2		Level 3			Total
Assets
Common Stocks*	$	1,389,461,323	$	—	$	—		$	1,389,461,323
Special Purpose
Acquisition Companies		183,958,629		38,220,262		—			222,178,891
Preferred Stocks		7,153,127		—		—			7,153,127
Contingent Value Rights		—		3,093,703		—			3,093,703
Rights		1,622,367		—		—			1,622,367
Warrants		9,441,715		142,307		—	****		9,584,022
Bank Loans		—		78,997,009		—			78,997,009
Corporate Bonds		—		89,960,807		—			89,960,807
Purchased Option Contracts		2,807,274		—		—			2,807,274
Escrow Notes		—		186,393,875		124,341			186,518,216
Short-Term Investments		1,092,635,853		43,575,406		—			1,136,211,259
Investments Purchased
with the Cash Proceeds
from Securities Lending***		—		—		—			31,275,752
Forward Currency
Exchange Contracts**		—		419,523		—			419,523
Swap Contracts**		—		12,125,458		—			12,125,458
Total	$	2,687,080,288	$	452,928,350	$	124,341		$	3,171,408,731

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

The Merger Fund (continued)

Investments at Fair Value	Level 1			Level 2			Level 3			Total
Liabilities
Short Common Stocks*	$	(7,240,422	)	$	—		$	—		$	(7,240,422	)
Written Option Contracts		(23,080,007	)		—			—			(23,080,007	)
Forward Currency
Exchange Contracts**		—			(137,516	)		—			(137,516	)
Swap Contracts**		—			(16,304,506	)		—			(16,304,506	)
Total	$	(30,320,429	)	$	(16,442,022	)	$	—		$	(46,762,451	)

WCM Alternatives: Event-Driven Fund

Investments at Fair Value	Level 1			Level 2			Level 3			Total
Assets
Common Stocks*	$	61,097,703		$	612,190		$	—		$	61,709,893
Special Purpose
Acquisition Companies		31,740,689			4,001,500			—			35,742,189
Closed-End Funds		4,894,451			—			—			4,894,451
Preferred Stocks		6,332,144			—			—			6,332,144
Contingent Value Rights		—			269,963			—			269,963
Rights		487,858			1,880,239			—			2,368,097
Warrants		1,848,308			2,559			—	****		1,850,867
Bank Loans		—			11,885,904			—			11,885,904
Convertible Bonds		—			423,782			—			423,782
Corporate Bonds		—			20,116,691			—			20,116,691
Purchased Option Contracts		2,001,882			34,851			—			2,036,733
Escrow Notes		—			15,865,793			2,885			15,868,678
Short-Term Investments		28,880,912			13,707,949			—			42,588,861
Forward Currency
Exchange Contracts**		—			3,416			—			3,416
Swap Contracts**		—			555,005			—			555,005
Total	$	137,283,947		$	69,359,842		$	2,885		$	206,646,674

Liabilities
Short Common Stocks*	$	(1,880,245	)	$	—		$	—		$	(1,880,245	)
Short U.S. Government
Notes/Bonds		—			(651,427	)		—			(651,427	)
Written Option Contracts		(4,127,695	)		(542,708	)		—			(4,670,403	)
Forward Currency
Exchange Contracts**		—			(18,714	)		—			(18,714	)
Swap Contracts**		—			(1,773,514	)		—			(1,773,514	)
Total	$	(6,007,940	)	$	(2,986,363	)	$	—		$	(8,994,303	)

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

WCM Alternatives: Credit Event Fund

Investments at Fair Value	Level 1			Level 2			Level 3		Total
Assets
Common Stocks*	$	—		$	31,888		$	—	$	31,888
Special Purpose
Acquisition Companies		1,057,923			223,337			—		1,281,260
Preferred Stocks		166,368			—			—		166,368
Rights		—			97,934			—		97,934
Warrants		119,396			8,762			—		128,158
Bank Loans		—			2,108,039			—		2,108,039
Convertible Bonds		—			119,685			—		119,685
Corporate Bonds		—			2,892,937			—		2,892,937
Escrow Notes		—			505,097			—		505,097
Short-Term Investments		285,109			—			—		285,109
Swap Contracts**		—			21,458			—		21,458
Total	$	1,628,796		$	6,009,137		$	—	$	7,637,933

Liabilities
Short Common Stocks*	$	(97,934	)	$	—		$	—	$	(97,934	)
Short U.S. Government
Notes/Bonds		—			(150,739	)		—		(150,739	)
Swap Contracts**		—			(61,074	)		—		(61,074	)
Total	$	(97,934	)	$	(211,813	)	$	—	$	(309,747	)

*		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 amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amount presented in the Statement of Assets and Liabilities. See Note 8 for additional information regarding securities lending activity.
****		Amount less than $0.50.

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 ask 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 Funds’ pricing procedures. At June 30, 2020, the value of these securities held by TMF and EDF were $124,341 and $2,885, respectively. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in Note 2 A. The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Level 3 Reconciliation Disclosure

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

The Merger Fund

Description	Warrants			Escrow Notes			Total Investment
Balance as of December 31, 2019	$	—		$	285,983		$	285,983
Purchases on Investments		—			—			—
(Sales) of Investments		—			—	*		—	*
Realized (Gain) Loss		—			(78,693	)		(78,693	)
Transfers Into Level 3		—	*		—			—	*
(Transfer Out) of Level 3		—			—			—
Change in Unrealized
Appreciation (Depreciation)		—			(82,949	)		(82,949	)
Balance as of June 30, 2020	$	—		$	124,341		$	124,341
Change in unrealized appreciation
(depreciation) for Level 3 investments held
during the period ended June 30, 2020	$	(110,155	)	$	(161,642	)	$	(271,797	)

* Amount less than $0.50.

WCM Alternatives: Event-Driven Fund

Description	Warrants			Escrow Notes			Total Investment
Balance as of December 31, 2019	$	—		$	6,636		$	6,636
Purchases on Investments		—			—			—
(Sales) of Investments		—			—			—
Realized (Gain) Loss		—			—			—
Transfers Into Level 3		—	*		—			—	*
(Transfer Out) of Level 3		—			—			—
Change in Unrealized
Appreciation (Depreciation)		—			(3,751	)		(3,751	)
Balance as of June 30, 2020	$	—		$	2,885		$	2,885
Change in unrealized appreciation
(depreciation) for Level 3 investments held
during the period ended June 30, 2020	$	(16,463	)	$	(3,751	)	$	(20,214	)

The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statements of Operations. The net change in unrealized appreciation (depreciation) on investments related to Level 3 securities held by TMF and EDF at June 30, 2020 totals $(82,949) and $(3,751), respectively. CEF held no Level 3 securities during the six months ended June 30, 2020.

Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of June 30, 2020 for TMF and EDF are as follows:

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

The Merger Fund

	Fair Value at	Valuation	Unobservable
Description	June 30, 2020	Technique	Input
Warrant	$ —*	Projected Final Exercise Price**	Value of Final Exercise Price

WCM Alternatives: Event-Driven Fund

	Fair Value at	Valuation	Unobservable
Description	June 30, 2020	Technique	Input
Warrant	$ —*	Projected Final Exercise Price**	Value of Final Exercise Price

*		Amount less than $0.50.
**		Based on the evaluation of the likelihood that the warrant is exercised, the security is being priced at zero.

The table above does not include certain Level 3 investments that are valued by brokers. At June 30, 2020, the net value of these securities for TMF and EDF were $124,341 and $2,885, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2 A.

B. Federal Income Taxes

No provision for federal income taxes has been made since the Funds have complied to date with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and intends to continue to comply in future years and to distribute investment company net taxable income and net capital gains to shareholders. Additionally, the Funds intend to make all required distributions to avoid federal excise tax.

The Funds have reviewed all open tax years in major jurisdictions and concluded that there is no impact on the Funds’ net assets and there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on a tax return. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. As of June 30, 2020, TMF’s and EDF’s open Federal and New York tax years include the tax years ended December 31, 2016 through December 31, 2019. As of June 30, 2020, CEF’s open Federal and New York tax years include the tax years ended December 31, 2018 through December 31, 2019. The Funds have no tax examination in progress.

C. Transactions with Brokers

The Funds’ deposits at brokers for securities sold short and deposits at brokers for other investments are with two securities dealers. The Funds are required by the brokers to maintain collateral for securities sold short. The receivable from brokers for securities sold short on the Statements of Assets and Liabilities represents the proceeds from securities sold short that is maintained at the broker. The Funds do not require the brokers to maintain collateral in support of the receivables from the brokers for

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

proceeds on securities sold short. The Funds may maintain cash deposits at brokers beyond the receivables for short sales. On the Statement of Assets and Liabilities, these are classified as deposits at brokers for other investments. A Fund may be required by the brokers with which it executes short sales to maintain an additional amount of collateral in a special tri-party custody arrangement for the benefit of the broker.

The Funds’ equity swap contracts’ and forward currency exchange contracts’ cash deposits are monitored daily by the Adviser and counterparty. These transactions may involve market risk in excess of the amounts receivable or payable reflected on the Statements of Assets and Liabilities.

D. Securities Sold Short

The Funds sell securities or currencies short for economic hedging purposes or any other investment purpose. For financial statement purposes, an amount equal to the settlement amount is initially included in the Statements of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently priced to reflect the current value of the short position. Subsequent fluctuations in the market prices of securities or currencies sold, but not yet purchased, may require purchasing the securities or currencies at prices which may differ from the market value reflected on the Statements of Assets and Liabilities. Short sale transactions result in off balance sheet risk because the ultimate obligation may exceed the related amounts shown in the Statements of Assets and Liabilities. The Funds will incur losses if the price of the security increases between the date of the short sale and the date on which the Funds purchase the securities to replace the borrowed securities. The Funds’ losses on short sales are potentially unlimited because there is no upward limit on the price a borrowed security could attain.

The Funds are liable for any dividends payable on securities while those securities are sold short. Until the security is replaced, the Funds are required to pay to the lender any income earned, which is recorded as an expense by the Funds. The Funds segregate liquid assets in an amount equal to the market value of securities sold short, which is reflected in the Schedules of Investments. These assets are required to be adjusted daily to reflect changes in the value of the securities or currencies sold short.

E. Written Option Contracts

The Funds are subject to equity price risk in the normal course of pursuing their investment objectives. The Funds write (sell) put or call options for hedging purposes, volatility management purposes, or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. When a Fund writes (sells) an option, an amount equal to the premium received by the Fund is included in the Statements of

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently priced daily to reflect the current value of the option written. Refer to Note 2 A. for a pricing description. By writing an option, a Fund may become obligated during the term of the option to deliver or purchase the securities underlying the option at the exercise price if the option is exercised. These contracts may involve market risk in excess of the amounts receivable or payable reflected on the Statements of Assets and Liabilities. Refer to Note 2 R. for further derivative disclosures, and Note 2 P. for further counterparty risk disclosure.

When an option expires on its stipulated expiration date or the Funds enter into a closing purchase transaction, the Funds realize gains or losses if the cost of the closing purchase transaction differs from the premium received when the option was sold without regard to any unrealized appreciation or depreciation on the underlying security, and the liability related to such option is eliminated. When a written call option is exercised, the premium originally received decreases the cost basis of the security and the Funds realize gains or losses from the sale of the underlying security. When a written put option is exercised, the cost of the security acquired is decreased by the premium received for the put.

F. Purchased Option Contracts

The Funds are subject to equity price risk in the normal course of pursuing their investment objectives. The Funds purchase put or call options for hedging purposes, volatility management purposes, or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. When the Funds purchase an option contract, an amount equal to the premiums paid is included in the Statements of Assets and Liabilities as an investment, and is subsequently priced daily to reflect the value of the purchased option. Refer to Note 2 A. for a pricing description. Refer to Note 2 R. for further derivative disclosures, and Note 2 P. for further counterparty risk disclosure.

When option contracts expire or are closed, realized gains or losses are recognized without regard to any unrealized appreciation or depreciation on the underlying securities that may be held by the Funds. If the Fund exercises a call option, the cost of the security acquired is increased by the premium paid for the call. If the Fund exercises a put option, the premium paid for the put option increases the cost of the underlying security and a gain or loss is realized from the sale of the underlying security.

G. Forward Currency Exchange Contracts

The Funds are subject to foreign currency exchange rate risk in the normal course of pursuing their investment objectives. TMF and EDF use forward currency exchange contracts to hedge against changes in the value of foreign currencies. The Funds may enter into forward currency

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

exchange contracts obligating the Funds to deliver and receive a currency at a specified future date. Forward contracts are valued daily, and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. Refer to Note 2 A. for a pricing description. A realized gain or loss is recorded at the time the forward contract expires. Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. Refer to Note 2 P. for further counterparty risk disclosure.

The use of forward currency exchange contracts does not eliminate fluctuations in the underlying prices of the Funds’ investment securities. The use of forward currency exchange contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward currency exchange contract would limit the risk of loss due to a decline in the value of a particular currency; however, it would also limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the amounts receivable or payable reflected on the Statements of Assets and Liabilities. Refer to Note 2 R. for further derivative disclosures.

H. Equity Swap Contracts

The Funds are subject to equity price risk and interest rate risk in the normal course of pursuing their investment objectives. The Funds entered into long and/or short equity swap contracts with multiple broker-dealers. A long equity swap contract entitles the Funds to receive from the counterparty any appreciation and dividends paid on an individual security, while obligating the Funds to pay the counterparty any depreciation on the security as well as interest on the notional amount of the contract at a rate equal to LIBOR and/or the U.S. Federal Funds Effective Rate plus an agreed upon spread (refer to the Schedules of Investments for further disclosure of the contracts’ financing rates). A short equity swap contract obligates the Funds to pay the counterparty any appreciation and dividends paid on an individual security, while entitling the Funds to receive from the counterparty any depreciation on the security, and to pay to or receive from the counterparty interest on the notional value of the contract at a rate equal to LIBOR and/or the U.S. Federal Funds Effective Rate less an agreed upon spread (refer to the Schedules of Investments for further disclosure of the contracts’ financing rates).

The Funds may also enter into equity swap contracts whose value may be determined by the spread between a long equity position and a short equity position. This type of swap contract obligates the Funds to pay the counterparty an amount tied to any increase in the spread between the two securities over the term of the contract. The Funds are also obligated

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

to pay the counterparty any dividends paid on the short equity holding as well as any net financing costs. This type of swap contract entitles the Funds to receive from the counterparty any gains based on a decrease in the spread as well as any dividends paid on the long equity holding and any net interest income.

Fluctuations in the value of an open contract are recorded daily as net unrealized appreciation or depreciation. The Funds will realize gains or losses upon termination or reset of the contract. The Funds or the Funds’ counterparty, under certain conditions, may terminate the contract prior to the contract’s expiration date.

Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. Refer to Note 2 P. for further counterparty risk disclosure. Additionally, risk may arise from unanticipated movements in interest rates or in the value of the underlying securities. Equity swap contracts may involve market risk in excess of the amounts receivable or payable reflected on the Statements of Assets and Liabilities. Refer to Note 2 R. for further derivative disclosures.

I. Reverse Repurchase Agreements

CEF may enter into reverse repurchase agreements. In a reverse repurchase agreement, CEF sells to a financial institution a security that it holds with an agreement to repurchase the same security at an agreed-upon price and date. A reverse repurchase agreement involves the risk that the market value of the security may decline below the repurchase price of the security. CEF will segregate assets determined to be liquid by the Adviser or otherwise cover its obligations under reverse repurchase agreements. Securities pledged as collateral are reflected as a component of Investments, at value on the Statements of Assets and Liabilities and are noted on CEF’s Schedule of Investments. Typically, the counterparty under the terms of the agreement is able to rehypothecate, resell or repledge the security. The value of reverse repurchase agreements entered into are recorded in Payable for reverse repurchase agreements on the Statements of Assets and Liabilities. Interest is accrued daily and an appropriate payment reflecting the interest due for reverse repurchase agreements held at period end is recorded in Interest payable for reverse repurchase agreements on the Statements of Assets and Liabilities. The cumulative interest paid during the period is recorded in Interest expense on reverse repurchase agreements on the Statements of Operations. Refer to Note 2 P. for future counterparty risk disclosure.

J. Distributions to Shareholders

Dividends from net investment income and net realized capital gains, if any, are declared and paid at least annually. Income and capital gain distributions are determined in accordance with income tax regulations

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

which may differ from GAAP. These differences are due primarily to wash sale-loss deferrals, constructive sales, straddle-loss deferrals, adjustments on swap contracts, and unrealized gains or losses on Section 1256 contracts, which were realized, for tax purposes, at the end of each Fund’s fiscal year.

K. Foreign Securities

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include fluctuations in currency exchange rates and adverse political, cultural, regulatory, legal, tax, and economic developments as well as different custody and/or settlement practices or delayed settlements in some foreign markets. Moreover, securities of many foreign companies and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government.

L. Foreign Currency Transactions

The books and records of the Funds are maintained in U.S. dollars. Foreign currency transactions are translated into U.S. dollars on the following basis: (i) market value of investment securities, assets and liabilities at the daily rates of exchange, and (ii) purchases and sales of investment securities, dividend and interest income and certain expenses at the rates of exchange prevailing on the respective dates of such transactions. For financial reporting purposes, the Funds do not isolate changes in the exchange rate of investment securities from the fluctuations arising from changes in the market prices of securities. However, for federal income tax purposes, the Funds do isolate and treat as ordinary income the effect of changes in foreign exchange rates on realized gain or loss from the sale of investment securities and payables and receivables arising from trade-date and settlement-date differences. Foreign currency, if any, held as cash by the Funds’ custodian is reported separately on the Statements of Assets and Liabilities.

M. Cash and Cash Equivalents

The Funds consider highly liquid short-term fixed income investments purchased with an original maturity of less than three months to be cash equivalents. Cash equivalents are included in short-term investments on the Schedules of Investments as well as in investments on the Statements of Assets and Liabilities. Temporary cash overdrafts are reported as payable to custodian.

N. Guarantees and Indemnifications

In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

involve future claims that may be made against the Funds that have not yet occurred. The Funds have not historically incurred material expenses in respect of those provisions.

O. Security Transactions, Investment Income and Expenses

Transactions are recorded for financial statement purposes on the trade date. Realized gains and losses from security transactions are recorded on the identified cost basis. Distributions to shareholders are recorded on the ex-dividend date. Dividend income is recorded on the ex-dividend date, except for certain dividends on foreign securities, which are recorded as soon as the Funds are informed after the ex-dividend date. Interest is accounted for on the accrual basis and includes amortization of premiums and discounts on the effective interest method utilizing call features. At June 30, 2020, expenses include $177,640, $51,650 and $1,041 of borrowing expenses on securities sold short for TMF, EDF and CEF, respectively. At June 30, 2020, expenses include $154,201, $188,656 and $1,602 of dividends and interest on securities sold short for TMF, EDF and CEF, respectively. At June 30, 2020, expenses included $532 of interest expenses on reverse repurchase agreements for CEF.

P. Counterparty Risk

The Funds help manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations. The Adviser considers the creditworthiness of each counterparty to a contract in evaluating potential credit risk. The counterparty risk for forward currency exchange contracts to the Funds includes the amount of any net unrealized appreciation on the contract. The counterparty risk for equity swaps contracts to the Funds includes the risk of loss of the full amount of any net unrealized appreciation on the contract, along with dividends receivable on long equity contracts and interest receivable on short equity contracts. The counterparty risk for reverse repurchase agreements is failure of a counterparty to return the security and any net unrealized appreciation. The Fund may also have difficulty replacing the security the counterparty failed to return. Written and purchased options sold on an exchange expose the Funds to counterparty risk; however, the exchange’s clearinghouse guarantees the options against default. Over-the-counter options counterparty risk includes the risk of loss of the full amount of any net unrealized appreciation.

Q. The Right to Offset

Financial assets and liabilities, as well as cash collateral received by the Funds’ counterparties and posted are offset by the respective counterparty, and the net amount is reported in the Statements of Assets

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

and Liabilities when the Funds believe there exists a legally enforceable right to offset the recognized amounts.

R. Derivatives

The Funds may utilize derivative instruments such as options, swaps, futures, forward contracts and other instruments with similar characteristics to the extent that they are consistent with the Funds’ respective investment objectives and limitations. The use of these instruments may involve additional investment risks, including the possibility of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities. Derivatives also may create leverage which will amplify the effect of their performance on the Funds and may produce significant losses.

The Funds have adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Funds’ Statements of Assets and Liabilities and Statements of Operations. For the six months ended June 30, 2020, each Fund’s monthly average quantity and notional value are described below:

The Merger Fund

	Monthly Average		Monthly Average
	Quantity		Notional Value
Purchased Option Contracts		31,707	$	294,991,258
Written Option Contracts		45,273	$	369,273,039
Forward Currency Exchange Contracts		13	$	375,641,760
Long Total Return Swap Contracts		30,087,635	$	550,912,190
Short Total Return Swap Contracts		10,829,218	$	475,612,871

WCM Alternatives: Event-Driven Fund
	Monthly Average		Monthly Average
	Quantity		Notional Value
Purchased Option Contracts		16,648	$	74,258,162
Written Option Contracts		16,528	$	77,506,178
Forward Currency Exchange Contracts		16	$	33,636,572
Long Total Return Swap Contracts		7,405,737	$	168,558,869
Short Total Return Swap Contracts		1,775,883	$	45,744,776

WCM Alternatives: Credit Event Fund
	Monthly Average		Monthly Average
	Quantity		Notional Value
Long Total Return Swap Contracts		218,586	$	2,488,790
Short Total Return Swap Contracts		902	$	52,000

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Statements of Assets and Liabilities

Fair values of derivative instruments as of June 30, 2020 are described below:

	Asset Derivatives
	Statements of Assets
Derivatives	and Liabilities Location	Fair Value
The Merger Fund
Equity Contracts:
Purchased Option Contracts	Investments	$	2,807,274
Swap Contracts	Receivables		12,125,458
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Receivables		419,523
Total		$	15,352,255

WCM Alternatives: Event-Driven Fund
Equity Contracts:
Purchased Option Contracts	Investments	$	2,036,733
Swap Contracts	Receivables		555,005
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Receivables		3,416
Total		$	2,595,154

WCM Alternatives: Credit-Event Fund
Equity Contracts:
Swap Contracts	Receivables	$	21,458
Total		$	21,458

	Liability Derivatives
	Statements of Assets
Derivatives	and Liabilities Location	Fair Value
The Merger Fund
Equity Contracts:
Written Option Contracts	Written Option Contracts	$	23,080,007
Swap Contracts	Payables		16,304,506
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Payables		137,516
Total		$	39,522,029

WCM Alternatives: Event-Driven Fund
Equity Contracts:
Written Option Contracts	Written Option Contracts	$	4,670,403
Swap Contracts	Payables		1,773,514
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Payables		18,714
Total		$	6,462,631

WCM Alternatives: Credit-Event Fund
Equity Contracts:
Swap Contracts	Payables	$	61,074
Total		$	61,074

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Statements of Operations

The effect of derivative instruments on the Statements of Operations for the six months ended June 30, 2020 are described below:

Amount of Realized Gain (Loss) on Derivatives

						Forward
	Purchased		Written			Currency
	Option		Option			Exchange		Swap
Derivatives	Contracts*		Contracts			Contracts		Contracts			Total
The Merger Fund
Equity Contracts	$	44,528,373	$	(7,784,144	)	$	—	$	1,062,692		$	37,806,921
Foreign Exchange
Contracts		—		—			849,449		—			849,449
Total	$	44,528,373	$	(7,784,144	)	$	849,449	$	1,062,692		$	38,656,370

WCM Alternatives:
Event-Driven Fund
Equity Contracts	$	10,150,730	$	800,564		$	—	$	(6,542,282	)	$	4,409,012
Foreign Exchange
Contracts		—		—			229,787		—			229,787
Total	$	10,150,730	$	800,564		$	229,787	$	(6,542,282	)	$	4,638,799

WCM Alternatives:
Credit Event Fund
Equity Contracts								$	(115,756	)	$	(115,756	)
Total								$	(115,756	)	$	(115,756	)

* The amounts disclosed are included in the realized gain (loss) on investments.

Change in Unrealized Appreciation (Depreciation) on Derivatives

							Forward
	Purchased			Written			Currency
	Option			Option			Exchange		Swap
Derivatives	Contracts**			Contracts			Contracts		Contracts			Total
The Merger Fund
Equity Contracts	$	(1,992,138	)	$	(829,683	)	$	—	$	7,426,771		$	4,604,950
Foreign Exchange
Contracts		—			—			2,780,204		—			2,780,204
Total	$	(1,992,138	)	$	(829,683	)	$	2,780,204	$	7,426,771		$	7,385,154

WCM Alternatives:
Event-Driven Fund
Equity Contracts	$	890,504		$	226,674		$	—	$	(2,848,197	)	$	(1,731,019	)
Foreign Exchange
Contracts		—			—			260,651		—			260,651
Total	$	890,504		$	226,674		$	260,651	$	(2,848,197	)	$	(1,470,368	)

WCM Alternatives:
Credit Event Fund
Equity Contracts									$	(28,579	)	$	(28,579	)
Total									$	(28,579	)	$	(28,579	)

** The amounts disclosed are included in net change in unrealized appreciation (depreciation) on investments.

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

S. LIBOR

The London Interbank Offered Rate, or “LIBOR,” is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. LIBOR may be available for different durations (e.g., 1 month or 3 months) and for different currencies. The terms of many investments, financings or other transactions to which the Funds may have exposure have been historically tied to LIBOR. LIBOR may be a significant factor in determining the Funds’ payment obligations under a derivative investment, the cost of financing to the Funds or an investment’s value or return to the Funds, and may be used in other ways that affect the Funds’ investment performance.

The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain investments of the Funds’ portfolio.

In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. However, there are obstacles to converting certain securities and transactions to a new reference rate. Transition planning is at an early stage, and neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets for instruments whose terms currently include LIBOR. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of the Funds and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform. All of the aforementioned may adversely affect the Funds’ performance or NAV. Refer to Note 2 A. for a pricing description.

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 3 — AGREEMENTS

The Funds’ investment adviser is Westchester Capital Management, LLC pursuant to an investment advisory agreement between TMF and the Adviser dated as of January 1, 2011 (the “TMF Advisory Agreement”) and pursuant to an investment advisory agreement between WCF, with respect to EDF and CEF, and the Adviser dated as of November 13, 2017 (the “EDF and CEF Advisory Agreement” and together with the TMF Advisory Agreement, the “Advisory Agreements”).

Under the terms of the TMF Advisory Agreement, the Adviser is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 1.00% of TMF’s average daily net assets. The Adviser has agreed until April 30, 2021 to reduce its advisory fee so that the advisory fee will be: (i) 1.00% of the first $2.0 billion in average daily net assets of TMF and (ii) 0.93% on average daily net assets above $2.0 billion (the “TMF Fee Waiver Agreement”). Investment advisory fees waived by the Adviser on behalf of TMF for the six months ended June 30, 2020 were $392,090.

Under the terms of the EDF and CEF Advisory Agreement, the Adviser is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 1.25% of EDF’s average daily net assets and 1.00% of CEF’s average daily net assets. The Adviser contractually agreed until April 30, 2021 to waive its investment advisory fee and to reimburse EDF for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 1.57% for Institutional Class shares and 1.82% for Investor Class shares (the “EDF Expense Limitation Agreement”). The Advisor has contractually agreed until December 31, 2020 to waive its investment advisory fee and to reimburse CEF for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 1.64% for Institutional Class shares and 1.89% for Investor Class shares (the “CEF Expense Limitation Agreement”). Ordinary operating expenses exclude taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, borrowing expenses, including on securities sold short, dividend expenses on securities sold short, trading or investment expenses, acquired fund fees and expenses, and any extraordinary expenses. To the extent that the Adviser waives its investment advisory fee for EDF or CEF and/or reimburses EDF or CEF for other ordinary operating expenses, it may seek reimbursement of a portion or all of such amounts at any time within three fiscal years after the fiscal year in which such amounts were waived or reimbursed, subject to the expense limitation in place at the time such amounts were waived or reimbursed. For the six months ended June 30, 2020 the Adviser

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 3 — AGREEMENTS (continued)

waived and reimbursed $10,228 of advisory fees and other expenses to EDF and for the six months ended June 30, 2020, the Adviser waived and reimbursed $52,926 of advisory fees and other expenses to CEF.

Investment advisory fees waived and expenses reimbursed on behalf of EDF and CEF that are subject to potential recovery by the Adviser are shown in the following table by year of expiration.

WCM Alternatives: Event-Driven Fund	Year of Expiration	Potential Recovery
	12/31/2023	$ 10,228

WCM Alternatives: Credit Event Fund	Year of Expiration	Potential Recovery
	12/31/2021	$173,278
	12/31/2022	$144,336
	12/31/2023	$ 52,926

Each of the TMF Fee Waiver Agreement, the EDF Expense Limitation Agreement and the CEF Expense Limitation Agreement may be terminated at any time by such Fund’s Board of Trustees. Certain officers of the Funds are also officers of the Adviser. Each Advisory Agreement was approved for an initial term of two years and thereafter will remain in effect from year to year provided that such continuance is specifically approved at least annually by the vote of a majority of the relevant Fund’s Trustees who are not interested persons of the Adviser or such Fund or by a vote of a majority of the outstanding voting securities of such Fund.

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”) and a subsidiary of U.S. Bancorp, a publicly held bank holding company, serves as transfer agent, administrator, accountant, dividend paying agent and shareholder servicing agent for the Funds. U.S. Bank, N.A. serves as custodian for the Funds.

Distribution services are performed pursuant to distribution contracts with broker-dealers and other qualified institutions.

Note 4 — SHARES OF BENEFICIAL INTEREST

The Board of Trustees of each Fund has the authority to issue an unlimited amount of shares of beneficial interest without par value.

Changes in shares of beneficial interest were as follows:

	Six Months Ended						Year Ended
	June 30, 2020						December 31, 2019
The Merger Fund
Investor Class	Shares			Amount			Shares			Amount
Issued		11,168,199		$	189,738,338			22,139,549		$	372,043,431
Issued as reinvestment
of dividends		—			—			671,088			11,522,587
Redeemed		(20,329,190	)		(344,568,862	)		(39,825,094	)		(672,209,911	)
Net Decrease		(9,160,991	)	$	(154,830,524	)		(17,014,457	)	$	(288,643,893	)

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 4 — SHARES OF BENEFICIAL INTEREST (continued)

	Six Months Ended						Year Ended
The Merger Fund (continued)	June 30, 2020						December 31, 2019
Institutional Class	Shares			Amount			Shares			Amount
Issued		38,117,085		$	646,860,838			63,747,760		$	1,069,624,980
Issued as reinvestment
of dividends		—			—			1,204,623			20,599,052
Redeemed		(25,916,522	)		(436,520,014	)		(30,358,811	)		(510,505,208	)
Net Increase		12,200,563		$	210,340,824			34,593,572		$	579,718,824

	Six Months Ended						Year Ended
	June 30, 2020						December 31, 2019
WCM Alternatives:
Event-Driven Fund	Shares			Amount			Shares			Amount
Investor Class
Issued		693,359		$	7,145,713			980,466		$	10,482,375
Issued as reinvestment
of dividends		—			—			36,828			404,005
Redeemed		(363,546	)		(3,659,230	)		(272,769	)		(2,920,389	)
Net Increase		329,813		$	3,486,483			744,525		$	7,965,991

	Six Months Ended						Year Ended
	June 30, 2020						December 31, 2019
Institutional Class	Shares			Amount			Shares			Amount
Issued		4,037,784		$	42,232,018			7,467,678		$	79,923,691
Issued as reinvestment
of dividends		—			—			411,433			4,525,763
Redeemed		(3,133,162	)		(31,194,506	)		(3,079,889	)		(33,157,545	)
Net Increase		904,622		$	11,037,512			4,799,222		$	51,291,909

	Six Months Ended						Year Ended
	June 30, 2020						December 31, 2019
WCM Alternatives:
Credit Event Fund	Shares			Amount			Shares			Amount
Investor Class
Issued		11,114		$	115,934			39,549		$	417,609
Issued as reinvestment
of dividends		—			—			1,284			13,380
Redeemed		(50,640	)		(462,379	)		(438	)		(4,628	)
Net Increase (Decrease)		(39,526	)	$	(346,445	)		40,395		$	426,361

	Six Months Ended						Year Ended
	June 30, 2020						December 31, 2019
Institutional Class	Shares			Amount			Shares			Amount
Issued		393,040		$	4,049,266			55,741		$	592,859
Issued as reinvestment
of dividends		—			—			13,006			135,910
Redeemed		(75,388	)		(724,136	)		(11,681	)		(113,367	)
Net Increase		317,652		$	3,325,130			57,066		$	615,402

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 5 — INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION

TMF’s purchases and sales of securities for the six months ended June 30, 2020 (excluding short-term investments, short-term options, forward currency contracts, swap contracts and securities sold short) in the aggregate were $2,061,600,159 and $2,007,278,923, respectively. EDF’s purchases and sales of securities for the six months ended June 30, 2020 (excluding short-term investments, short-term options, forward currency contracts, swap contracts and securities sold short) in the aggregate were $252,587,244 and $277,829,114, respectively. CEF’s purchases and sales of securities for the six months ended June 30, 2020 (excluding short-term investments and swap contracts, reverse repurchase agreements and securities sold short) in the aggregate were $8,170,541 and $5,306,329, respectively. There were no purchases or sales of long-term U.S. Government securities by the Funds.

At December 31, 2019, the components of accumulated earnings gains (losses) on a tax basis were as follows:

				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.

GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. Permanent differences are primarily related to foreign currency transactions and swap treatment. These reclassifications have no effect on net assets or net asset value per share. For the year ended December 31, 2019, the following table shows the reclassifications made:

	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	)

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 5 — INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION (continued)

The tax components of dividends paid during the six months ended June 30, 2020 and the year ended December 31, 2019 were as follows:

					WCM Alternatives:				WCM Alternatives:
	The Merger Fund				Event-Driven Fund				Credit Event Fund
Investor Class	2020		2019		2020		2019		2020		2019
Ordinary Income	$	—	$	13,594,494	$	—	$	404,640	$	—	$	12,495
Long-Term Capital Gains		—		—		—		—		—		958
Total Distributions Paid	$	—	$	13,594,494	$	—	$	404,640	$	—	$	13,453

Institutional Class
Ordinary Income	$	—	$	28,505,531	$	—	$	4,526,978	$	—	$	126,453
Long-Term Capital Gains		—		—		—		—		—		9,457
Total Distributions Paid	$	—	$	28,505,531	$	—	$	4,526,978	$	—	$	135,910

The Funds designated as long-term capital gain dividend, pursuant to Internal Revenue Case Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax year ended December 31, 2019.

As of December 31, 2019, TMF had no post-October and $6,389,765 of late-year losses. As of December 31, 2019, CEF did not have any post-October ordinary losses deferred, on a tax basis. As of December 31, 2019, EDF did not have any post-October ordinary losses deferred, on a tax basis. As of December 31, 2019, TMF had $14,726,543 of short-term and no long-term capital loss carryover. As of December 31, 2019, EDF had no short-term or long-term capital loss carryover. As of December 31, 2019, CEF had no short-term or long-term capital loss carryover.

Note 6 — DISTRIBUTION PLAN

TMF has adopted an Amended and Restated Plan of Distribution (the “TMF Plan”) dated July 30, 2013, pursuant to Rule 12b-1 under the 1940 Act that applies to TMF’s Investor Class shares. EDF has adopted a Plan of Distribution (the “EDF Plan”) dated July 30, 2013, pursuant to Rule 12b-1 under the 1940 Act that applies to EDF’s Investor Class shares. CEF has adopted a Plan of Distribution (the “CEF Plan” and together with the TMF Plan and EDF Plan, the “Plans”) dated October 31, 2017, pursuant to Rule 12b-1 under the 1940 Act that applies to CEF’s Investor Class shares. Under each Plan, a Fund may pay the Fund’s distributor for certain of the distribution and shareholder service expenses associated with the Fund’s Investor Class shares, as well as to reimburse the distributor for payments made to any broker-dealer or other financial intermediary with whom the Fund has entered into a contract to distribute the Fund’s Investor Class shares, or any other qualified financial services firm, to compensate those

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 6 — DISTRIBUTION PLAN (continued)

broker-dealers, intermediaries or firms for distribution and/or shareholder-related services with respect to the Fund’s Investor Class shares held or purchased by their respective customers or in connection with the purchase of the Fund’s Investor Class shares attributable to their efforts. Under each Plan, the amount of such compensation paid in any one year shall not exceed 0.25% annually of the average daily net assets attributable to the respective Fund’s Investor Class shares, which may be payable as a distribution fee or a service fee for providing permitted recordkeeping, subaccounting, subtransfer agency and/or shareholder liaison services. For the six months ended June 30, 2020, TMF incurred $1,167,926 pursuant to the TMF Plan in respect of TMF’s Investor Class shares. For the six months ended June 30, 2020, EDF incurred $25,149 pursuant to the EDF Plan in respect of EDF’s Investor Class shares. For the six months ended June 30, 2020, CEF incurred $420 pursuant to the CEF Plan in respect of CEF’s Investor Class shares. Each Plan will remain in effect from year to year provided such continuance is approved at least annually by a vote either of a majority of the relevant Fund’s Trustees, including a majority of the non-interested Trustees, or a majority of the relevant Fund’s outstanding Investor Class shares.

Note 7 — OFFSETTING ASSETS AND LIABILITIES

Each Fund is subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow each Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 7 — OFFSETTING ASSETS AND LIABILITIES (continued)

The Merger Fund

			Gross		Net
			Amounts		Amounts
			Offset		Presented		Gross Amounts not offset in the Statement of Assets and Liabilities
	Gross		in the		in the
	Amounts of		Statement		Statement
	Recognized		of Assets		of Assets				Collateral
	Assets/		and		and		Financial		Received/		Net
	Liabilities		Liabilities		Liabilities		Instruments		Pledged*		Amount
Assets:
Description
Forward Currency
Exchange Contracts —
JP Morgan Chase
& Co., Inc.	$	1,920,029	$	1,500,506	$	419,523	$	—	$	—	$	419,523
Forward Currency
Exchange Contracts —
Goldman,
Sachs & Co.		41,620		41,620		—		—		—		—
Swap Contracts —
Bank of America
Merrill Lynch
& Co., Inc.		8,679,558		7,614,137		1,065,421		—		—		1,065,421
Swap Contracts —
JPMorgan Chase
& Co., Inc.		12,459,480		1,399,443		11,060,037		—		—		11,060,037
Swap Contracts —
Goldman,
Sachs & Co.		35,737,502		35,737,502		—		—		—		—
	$	58,838,189	$	46,293,208	$	12,544,981	$	—	$	—	$	12,544,981

Liabilities:
Description
Written Option
Contracts**	$	23,080,007	$	—	$	23,080,007	$	—	$	23,080,007	$	—
Forward Currency
Exchange Contracts —
JP Morgan Chase
& Co., Inc.		1,500,506		1,500,506		—		—		—		—
Forward Currency
Exchange Contracts —
Goldman,
Sachs & Co.		179,136		41,620		137,516		—		137,516		—
Swap Contracts —
Bank of America
Merrill Lynch
& Co., Inc.		7,614,137		7,614,137		—		—		—		—
Swap Contracts —
JPMorgan Chase
& Co., Inc.		1,399,443		1,399,443		—		—		—		—
Swap Contracts —
Goldman,
Sachs & Co.		52,042,008		35,737,502		16,304,506		—		16,304,506		—
	$	85,815,237	$	46,293,208	$	39,522,029	$	—	$	39,522,029	$	—

100

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 7 — OFFSETTING ASSETS AND LIABILITIES (continued)

WCM Alternatives: Event-Driven Fund

			Gross		Net
			Amounts		Amounts
			Offset		Presented		Gross Amounts not offset in the Statement of Assets and Liabilities
	Gross		in the		in the
	Amounts of		Statement		Statement
	Recognized		of Assets		of Assets				Collateral
	Assets/		and		and		Financial		Received/		Net
	Liabilities		Liabilities		Liabilities		Instruments		Pledged*		Amount
Assets:
Description
Forward Currency
Exchange Contracts —
JP Morgan Chase
& Co., Inc.	$	299,291	$	299,291	$	—	$	—	$	—	$	—
Forward Currency
Exchange Contracts —
Goldman,
Sachs & Co.		4,399		983		3,416		—		—		3,416
Swap Contracts —
Bank of America
Merrill Lynch
& Co., Inc.		1,368,905		813,900		555,005		—		—		555,005
Swap Contracts —
JPMorgan Chase
& Co., Inc.		5,434,255		5,434,255		—		—		—		—
Swap Contracts —
Goldman,
Sachs & Co.		8,876,752		8,876,752		—		—		—		—
	$	15,983,602	$	15,425,181	$	558,421	$	—	$	—	$	558,421

Liabilities:
Description
Written Option
Contracts**	$	4,670,403	$	—	$	4,670,403	$	—	$	4,670,403	$	—
Forward Currency
Exchange Contracts —
JP Morgan Chase
& Co., Inc.		318,005		299,291		18,714		—		18,714		—
Forward Currency
Exchange Contracts —
Goldman,
Sachs & Co.		983		983		—		—		—		—
Swap Contracts —
Bank of America
Merrill Lynch
& Co., Inc.		813,900		813,900		—		—		—		—
Swap Contracts —
JPMorgan Chase
& Co., Inc.		6,030,603		5,434,255		596,348		—		596,348		—
Swap Contracts —
Goldman,
Sachs & Co.		10,053,918		8,876,752		1,177,166		—		1,177,166		—
	$	21,887,812	$	15,425,181	$	6,462,631	$	—	$	6,462,631	$	—

101

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 7 — OFFSETTING ASSETS AND LIABILITIES (continued)

WCM Alternatives: Credit Event Fund

			Gross		Net
			Amounts		Amounts
			Offset		Presented		Gross Amounts not offset in the Statement of Assets and Liabilities
	Gross		in the		in the
	Amounts of		Statement		Statement
	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.	$	14,467	$	14,467	$	—	$	—	$	—	$	—
Swap
Contracts —
Goldman,
Sachs & Co.		122,687		101,229		21,458		—		—		21,458
	$	137,154	$	115,696	$	21,458	$	—	$	—	$	21,458

Liabilities:
Description
Swap
Contracts —
JPMorgan
Chase &
Co., Inc.	$	75,541	$	14,467	$	61,074	$	—	$	61,074	$	—
Swap
Contracts —
Goldman,
Sachs & Co.		101,229		101,229		—		—		—		—
	$	176,770	$	115,696	$	61,074	$	—	$	61,074	$	—

*		In some instances, the actual collateral pledged/received may be more than the amount shown.
**		JPMorgan Chase & Co., Inc. is the prime broker for all written option contracts held by the Funds as of June 30, 2020.

Note 8 — SECURITIES LENDING

Effective November 13, 2018, TMF became authorized to engage in securities lending in order to generate additional income. TMF is able to lend to approved borrowers. TMF’s custodian, U.S. Bank N.A. serves as the lending agent for TMF, pursuant to a Securities Lending Agreement (the “Securities Lending Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Mount Vernon Liquid Assets Portfolio, LLC. TMF retains loan fees and the interest on cash collateral

102

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 8 — SECURITIES LENDING (continued)

investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to TMF). Upon termination of a loan, TMF is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by TMF or the borrower at any time.

The net income earned on securities lending (after payment of rebates and U.S Bank N.A.’s fee) is included on the Statements of Operations as Securities lending income (net). TMF also received payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the Securities Lending Agreement, U.S Bank N.A. marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loaned securities that are non-U.S. securities), U.S. Bank N.A. requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities).

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the Schedule of Investments. At June 30, 2020, the value of outstanding securities on loan and the value of collateral investment were as follows:

	Value of	Cash	Total value
	Securities	Collateral Posted	of Collateral
	on Loan	by Borrower	Investments
Mount Vernon Liquid Asset Portfolio, LLC*	$30,629,215	$31,275,752	$31,275,752

*	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.

TMF bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, TMF may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, TMF may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.

103

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 8 — SECURITIES LENDING (continued)

TMF is not subject to a master netting agreement with respect to securities lending.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, U.S Bank N.A. has agreed to indemnify TMF from losses resulting from a borrower’s failure to return a loaned security.

Note 9 — TRANSACTIONS WITH AFFILIATED PARTIES

A company is considered to be an affiliate of the Fund under the 1940 Act if the Fund’s holdings of that company represent 5% or more of the outstanding voting securities of the company. Transactions with companies that are or were affiliates during the six months ended June 30, 2020 are as follows:

Number of

shares held at

Number of

December 31,

Gross

shares held at

Name of issuer

2019

additions

reductions

June 30, 2020

Subversive Capital

Acquisition

Corporation Class A

—

3,038,321

—

3,038,321

Trident Acquisitions

Corporation

654,925

—

654,925

Net increase

Amount of

in unrealized

Realized capital

Value at

dividends for

appreciation

gain (loss)

June 30, 2020

the period

for the period

Subversive Capital

Acquisition

Corporation Class A

30,231,294

—

747,689

—

Trident Acquisitions

Corporation

7,269,667

—

683,007

—

Note 10 — COVID-19

During the period, an outbreak of respiratory disease caused by a novel coronavirus designated as COVID-19 emerged and spread internationally. The transmission of COVID-19 and efforts to contain its spread have resulted in, among other things, border closings and other significant travel restrictions and disruptions, significant disruptions to business operations, supply chains and customer activity, event cancellations and restrictions, service cancellations, reductions and other changes, significant challenges in healthcare service preparation and delivery, and prolonged quarantines, as well as general concern and uncertainty. These impacts also have caused, and may continue to contribute to, significant market volatility, exchange trading suspensions and closures, and declines in global financial markets,

104

The Merger Fund and Westchester Capital Funds

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2020 (Unaudited)

Note 10 — COVID-19 (continued)

which have caused losses for investors. The COVID-19 pandemic and its effects may last for an extended period of time, and could result in a substantial economic downturn or recession. Health crises caused by the outbreak of COVID-19 (or similar outbreaks of infectious disease) and governmental responses thereto may exacerbate other pre-existing political, social, economic, market and financial risks. The impact of the COVID-19 outbreak, and other epidemics and pandemics that may arise in the future, could negatively affect the global economy, the economies of individual countries, and the financial performance of individual companies, sectors, industries, asset classes, and markets in significant and unforeseen ways. Any such impact could adversely affect the value and liquidity of a Fund’s investments, limit severely the Fund’s investment opportunity set, impair a Fund’s ability to satisfy redemption requests, and negatively impact a Fund’s performance. In addition, the outbreak of COVID-19 or similar infectious diseases, and measures taken to mitigate their effects, could result in disruptions to the services provided to the Funds by its service providers, leading to operational delays and failures and additional investment losses. Issues arising out of or related to this recent health crisis and governmental and business responses thereto may cause one or more events in which the Funds have invested to fail to close or occur as expected by the Adviser, leading to a Fund experiencing investment losses.

Note 11 — SUBSEQUENT EVENTS

Management has evaluated events and transactions occurring after June 30, 2020 through the date that the financial statements were issued and has determined that no additional disclosure in the financial statements is required.

105

ADDITIONAL INFORMATION (Unaudited)

For the fiscal year ended December 31, 2019, certain dividends paid by the Funds may be reported as qualified dividend income (QDI) and may be eligible for taxation at capital gains rates. The percentage of dividends declared from ordinary income designated as qualified dividend income for the fiscal year ended December 31, 2019 was 33.26% for TMF and 10.89% for EDF and 0.00% for CEF.

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends-received deduction for the fiscal year ended December 31, 2019 was 23.00% for TMF and 7.52% for EDF and 1.04% for CEF.

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(c) for the fiscal year ended December 31, 2019 was 78.63% for TMF and 32.41% for EDF and 5.78% for CEF.

AVAILABILITY OF PROXY VOTING INFORMATION

Information regarding how the Funds generally vote proxies relating to portfolio securities may be obtained without charge by calling the Funds’ Transfer Agent at 1-800-343-8959 or by visiting the SEC’s website at www.sec.gov. Information regarding how the Funds voted proxies during the most recent 12-month period ended June 30 is available on the SEC’s website or by calling the toll-free number listed above.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Part F of Form N-PORT. The Funds’ Parts F of Form N-PORT are available on the SEC’s website at www.sec.gov. Once filed, the most recent Parts F of Form N-PORT will also be available without charge, upon request, by calling 1-800-343-8959.

106

The Merger Fund and Westchester Capital Funds

We collect the following non-public personal information about you:

	•	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.

We do not disclose any non-public personal information about our current or former shareholders to non-affiliated third parties, except as permitted by law. For example, we are permitted by law to disclose all of the information we collect, as described above, to our transfer agent to process your transactions. Furthermore, we restrict access to your non- public personal information to those persons who require such information to provide products or services to you. We maintain physical, electronic, and procedural safeguards that comply with federal standards to guard your non-public personal information.

In the event that you hold shares of the Fund through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared with non-affiliated third parties.

THIS PRIVACY POLICY IS NOT A PART OF THE SEMI-ANNUAL REPORT.

107

Investment Adviser

Westchester Capital Management, LLC

100 Summit Lake Drive

Valhalla, NY 10595

(914) 741-5600

www.westchestercapitalfunds.com

Administrator, Transfer Agent, Accountant,

Dividend Paying Agent and Shareholder Servicing Agent

U.S. Bancorp Fund Services, LLC

615 East Michigan Street

P.O. Box 701

Milwaukee, WI 53201-0701

(800) 343-8959

Custodian

U.S. Bank, N.A.

1555 North Rivercenter Drive, Suite 302

Milwaukee, WI 53212

(800) 343-8959

Distributor

Compass Distributors, LLC

Three Canal Plaza, 3rd Floor

Portland, ME 04101

Trustees

Roy Behren

Michael T. Shannon

Barry Hamerling

Richard V. Silver

Christianna Wood

Executive Officers

Roy Behren, Co-President and Treasurer

Michael T. Shannon, Co-President

Bruce Rubin, Vice President and

Chief Compliance Officer

Abraham R. Cary, Secretary

Christopher Colomb, Principal Financial Officer

Counsel

Ropes & Gray LLP

1211 Avenue of the Americas

New York, NY 10036

Independent Registered

Public Accounting Firm

PricewaterhouseCoopers LLP

300 Madison Avenue

New York, NY 10017

This report is authorized for distribution only when

preceded or accompanied by a current prospectus.

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

The registrant’s Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

Item 11. Controls and Procedures.

(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.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 13. Exhibits.

(a)	(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

(4) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. Not Applicable.

(b)	Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) The Merger Fund

By (Signature and Title)* /s/ Michael T. Shannon

Michael T. Shannon, Co-President

Date 9/1/2020

By (Signature and Title)* /s/ Roy Behren

Roy Behren, Co-President and Treasurer

Date 9/1/2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)* /s/ Michael T. Shannon

Michael T. Shannon, Co-President

Date 9/1/2020

By (Signature and Title)* /s/ Roy Behren

Roy Behren, Co-President and Treasurer

Date 9/1/2020

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

The Merger Fund - Class A (MERFX) N-CSRSCertified semi-annual shareholder report (management investment company)