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

QTD and YTD performance is not annualized. Performance data quoted represent past performance; past performance does not guarantee future results. The performance results portrayed herein reflect the reinvestment of all interest, dividends and distributions. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Funds may be lower or higher than the performance quoted. Performance data included herein for periods prior to 2011 reflect that of Westchester Capital Management, Inc., the Funds’ prior investment advisor. Messrs. Behren and Shannon, the Funds’ current portfolio managers, have served as co-portfolio managers of the Funds since 2007. Performance data current to the most recent month-end may be obtained by calling (800) 343-8959 or by visiting www.westchestercapitalfunds.com.

¹Net expense ratios are as of a fund’s most recent prospectus and were applicable to investors.

²For The Merger Fund, the Adviser contractually agreed to reduce its management fee so that the management fee will be: (i) 1.00% of the first $2 billion in average daily net assets of the Fund; and (ii) 0.93% of the average daily net assets of the Fund above $2 billion. This fee waiver arrangement will apply until April 30, 2022, unless it is terminated at an earlier time by the Board of Trustees. For The Merger Fund VL, the Adviser contractually agreed to reduce all or a portion of its management fee and, if necessary, to bear certain other expenses (to the extent permitted by the Internal Revenue Code of 1986, as amended, but not including brokerage commissions, short dividends, interest expense, taxes, acquired fund fees and expenses or extraordinary expenses) associated with operating the Fund to the extent necessary to limit the annualized expenses of the Fund to 1.40% of the Fund’s average daily net assets. This expense limitation agreement will apply until April 30, 2022, unless it is terminated at an earlier time by the Board of Trustees. For WCM Alternatives: Credit Event Fund, the Adviser contractually agreed to waive its investment advisory fee and to reimburse the Fund for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 1.64% and 1.89% for Institutional Class shares and Investor Class shares, respectively. These expense limitations will apply through April 30, 2022, unless terminated by the Board of Trustees at an earlier date. For WCM Alternatives: Event-Driven Fund, the Adviser has contractually agreed to waive its investment advisory fee and to reimburse the Fund for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 1.57% and 1.82% for Institutional Class shares and Investor Class shares, respectively. This expense limitation will apply through December 31, 2021, unless it is terminated by the Board of Trustees at an earlier time.

³Investment related expenses include expenses related to short sales and interest on any borrowing or interest on reverse repurchase agreements, as applicable, and acquired fund fees and expenses.

As of Date: 12/31/2020

Fellow Shareholders,

2020 was an outlier year for many reasons- politically, economically, and most importantly for the health of the world’s citizenry. Thankfully, it appears that the clouds have begun to clear, although the effects of COVID and recent social change, on all of the above, will be felt far into the future.

On the subject of change, we are happy to report that Westchester Capital has agreed to merge into the publicly traded firm called Virtus Investment Partners (NASDAQ: VRTS), and to become a wholly-owned affiliate of Virtus.

The winds of change have been blowing in our industry for a while; escalating cost-structures, increased regulation and economies of scale realized by multi-hundred-billion-dollar financial firms have made it difficult for smaller boutique managers to compete for intermediary shelf space to make their funds widely available, or to realize operating efficiencies to the same extent as much larger managers.  The flip side of the coin is that by affiliating with a highly regarded financial services firm such as Virtus, (which recently was ranked 2nd in Barron’s nationwide list of the best fund families¹) we actually can achieve those benefits for our investors while continuing to independently manage and provide the same investment products that we have offered for the past three decades.  While we have always enjoyed being independent, the reach and resources available through a tie-up with Virtus was a no-brainer for us and our clients.  They have a well-deserved reputation of being a hands-off parent company, with a sterling balance sheet and deep industry ties.

Under Virtus, we will have the resources to continue to invest in our investment process and infrastructure, while maintaining the same portfolio, middle and back office teams.  The transition will be seamless and transparent to our investors.  We will retain the WCM culture and accessibility that we have maintained for decades.  Not to beat this point to death, but rest assured that the entire portfolio management team and our money management methodology will continue unaffected. We have made long-term employment commitments, which we intend to honor, as we have with any other representations we have made to our clients.

Beyond our own merger (which we cannot arbitrage!), we are pleased to report that Q4 continued the process of normalization that began in Q3. As discussed in more detail below, arbitrage spreads tightened and deal activity ramped up significantly. Global deal volume was down for the year  but rebounded with the strongest second half ever. Some noteworthy data points on the space²:

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The Merger Fund^® advanced by 3.27% and 3.19% for the Institutional and Investor share classes, respectively, during the fourth quarter, its 101st gain in the 128 quarters since its 1989 inception, bringing YTD performance to 5.15% and 4.87% respectively. The Merger Fund VL posted a 4.63% return for the quarter, bringing YTD performance to 7.38%.  The Merger Fund^® invested in 228 transactions during the quarter and had one terminated deal, RentPath LLC, a property listing website business, which was to be acquired by CoStar Group (-0.06%).  The deal was blocked by the Federal Trade Commission (“FTC”) citing concerns that the acquisition would eliminate competition, which currently benefits both renters and property managers. Reflecting a roughly 6:1 ratio of winners to losers, 194 positions posted positive gains while 34 had negative marks-to-market. As of the end of December, the fund held 159 positions and was approximately 98% invested.

As we have done in connection with past lawsuits, we conducted fundamental and litigation research and determined to hold our investments

in two deals where the buyer sued to terminate the transaction, and which became our two largest profit contributors for the quarter. Tiffany & Co. contributed 0.60% and Taubman Centers Inc. added 0.52% to performance. These transactions, which subsequently closed at renegotiated prices, epitomize the panic spread-widening seen in the market at the height of the COVID crisis.  Additional contributors included Morgan Stanley/Eaton Vance (0.10%) as well as several SPACs, led by Kensington Capital Acquisition Corp. (0.30%) and Longview Acquisition Corp. (0.25%).

The S&P 500 had an outsized 12.15% return during the quarter, resulting in a negative mark of 0.25% from the macro portfolio hedge, our largest detractor.  Additional mark-to-markets losses due to spread widening came from Qiagen NV/Thermo Fisher Scientific (-0.12%), Willis Towers Watson PLC/Aon PLC (-0.10), and the aforementioned RentPath LLC (-0.06).

The WCM Alternatives: Event-Driven Fund returned 10.46% and 10.32% for the Institutional and Investor share classes, respectively, during the quarter, bringing its YTD gain to 6.55% and 6.30%. During the period, the fund participated in 260 events with 223 positions posting gains versus 37 positions with negative marks-to-market. The Fund was fully invested at quarter-end.

Similar to The Merger Fund^®, the biggest winners were Kensington Capital/QuantumScape Corp (1.36%), Taubman Centers Inc/Simon Property Group Inc (0.61%), Tiffany & Co/LVMH Moet Hennessy Louis Vuitton SE (0.60%), Pivotal Investment Corporation II (0.45%), and Longview Acquisition Corp. (0.34%).

The largest detractors were RentPath LLC (-0.30%), Macro Portfolio Hedge (-0.24%), Celgene Corp/Bristol-Myers Squibb Contingent Value Right (-0.18%), Qiagen NV/Thermo Fisher Scientific (-0.12%), and Willis Towers Watson PLC/Aon PLC (-0.11%).

After completing three years of existence, and breaking out of the gate rather slowly, we are pleased to announce that the WCM Alternatives: Credit Event Fund became eligible for a Morningstar rating, and promptly earned 5-stars for both the Overall and 3-year period based on risk-adjusted returns out of 43 long-short credit funds as of 12/31/2020.  Performance in Q4 added 13.61% for the Institutional share class and 13.48% for the Investor share class, ending the year up 15.89% and 15.99%, respectively.  This return is ahead of our anticipated run rate; however, our objective is to opportunistically capitalize on occasional situations and trends that appear to reflect market inefficiencies. Fortunately for us, there were several such opportunities during the quarter, and winners outnumbered losers by more

than 13:1. In fact, a large portion of the Fund’s gains were generated by appreciation in its SPAC investments, which may or may not be repeatable. The Fund invested in 131 situations throughout the quarter, only 9 of which produced negative marks. As of December 31st the Fund had 106 credit-related event investments in the portfolio, including multiple SPAC positions.

In the winner’s column, Bombardier earned 0.72% as the bonds continued to rally after receiving all regulatory clearances for Alstom to purchase Bombardier’s rail asset.  The deal is expected to be completed mid-February of 2021.  Bombardier will receive proceeds of €5.3 billion, which will be used to pay down some of the outstanding Bombardier debt; Cengage Learning and McGraw-Hill term loans (0.35%) continued to outperform as back-to-school revenues outperformed initial downbeat expectations.  McGraw-Hill successfully enacted a consent to partially pay down its debt, extend some of its maturities and increase coupons.  Additional positive contributors included:  Ingram Micro debt (0.25%) which we purchased ahead of Platinum Equity completing its purchase of Ingram from China’s HNA Group.  We bought the bonds at 107.25 and as of the date of this letter they are now trading at 115+; Claire’s Stores Term Loans (0.27%) and Genesis Energy bonds (0.26%) continue to outperform as their expected market re-rating continued; GMAC and SLM Corp Preferreds contributed as well as the companies’ restructured their balance sheets and their corporate environment improved.

In SPACs, the most significant contributor was Kensington Capital (KCAC) which merged with QuantumScape Corp. (QS).  The KCAC shares (which we sold) and the QS shares we purchased through a PIPE (Private Investment in a Public Equity) traded significantly above the $10 offering price.  Despite hedging 72% of the position, the position contributed 2.23%.

The largest detractor was the RentPath term loan which cost the Fund –1.29%.  As mentioned previously, the FTC blocked the CoStar Group’s acquisition of RentPath.  RentPath later terminated the deal in order to exit Chapter 11 as a standalone entity.  Upon the termination, the RentPath term loan declined from the low-70s to the mid-40s.

Although there remains uncertainty regarding the track of the corona virus recovery, as of the date of this letter we perceive economic green shoots and increased stability, so we remain optimistic regarding the outlook for the balance of 2021 and beyond.

The drivers of our past optimism remain in place. Here are some highlights:

We look back at 2020 with satisfaction that we were able to provide the stable and uncorrelated investment profile that we strive to produce and have guided our investors to expect.  We believe our partnership with Virtus will only strengthen our ability to continue our 30-year track record of low volatility and absolute returns in a variety of market environments.

Please feel free to take us up on our offer to ask us questions directly. Our shareholder services, product specialist and distribution team of Jody Harris-Stern, Tom Macior, JT Fucigna and Reny Mathew stand ready to discuss any investment matter including the tie-up with Virtus, as do we.

We appreciate your support and will continue to be available should any of our investors have questions or comments.

Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.  The Ten Largest Positions as a Percent of Net Assets for The Merger Fund^® as of December 31, 2020, were: Willis Towers Watson Public Limited Co. (5.66%), Altaba Inc. (5.27%), Varian Medical Systems, Inc. (5.00%), Tiffany & Co. (4.67%), Slack Technologies, Inc. (3.78%), Fiat Chrysler Automobiles N.V. (3.58%), Eaton Vance Corp. (3.47%), Inphi Corporation (3.36%), Maxim Integrated Products, Inc. (3.33%), IHS Markit Ltd. (3.27%).  The Ten Largest Positions as a Percent of Net Assets for The Merger Fund VL as of December 31, 2020, were:  Willis Towers Watson Public Limited Co. (5.83%), Altaba Inc. (5.23%), Varian Medical Systems, Inc. (5.01%), Tiffany & Co. (4.68%), Slack Technologies, Inc. (3.78%), Fiat Chrysler Automobiles N.V. (3.61%), Inphi Corporation (3.40%), Maxim Integrated Products, Inc. (3.36%), Eaton Vance Corp. (3.33%), IHS Markit Ltd. (3.29%).  The Ten Largest Positions as a Percent of Net Assets for WCM Alternatives: Event-Driven Fund as of December 31, 2020, were: Altaba Inc. (5.81%), Willis Towers Watson Public Limited Co. (5.75%), Tiffany & Co. (4.46%), Slack Technologies, Inc. (4.40%), Varian Medical Systems, Inc. (4.10%), Fiat Chrysler Automobiles N.V. (3.92%), Inphi Corporation (3.86%), Maxim Integrated Products, Inc. (3.64%), DuPont de Nemours, Inc. (3.25%), Alexion Pharmaceuticals, Inc. (3.19%).  The Ten Largest Positions as a Percent of Net Assets for WCM Alternatives: Credit Event Fund as of December 31, 2020, were: QuantumScape Corporation (13.03%), Refinitiv US Holdings Inc. (5.33%), Altaba Inc. (5.00%), WPX Energy (4.17%), Gogo International Holdings LLC (3.89%), APX Group (3.88%), Bombardier Inc. (3.66%), Claire’s Stores (3.57%), Qell Acquisition Corp. (3.33%), Watts Guerra PCG (3.31%).

Any tax or legal information provided is merely a summary of our understanding and interpretation of some of the current income tax regulations and is not exhaustive. Investors must consult their tax advisor or legal counsel for advice and information concerning their particular situation. Neither the Funds nor any of their representatives may give legal or tax advice.

The views expressed are as of February 1, 2021, and are a general guide to the views of Westchester Capital Management, are subject to change, are not guaranteed, and should not be considered recommendations to buy or sell any security.  Distributions are not guaranteed. This document does not replace portfolio and fund-specific materials.

The Morningstar Rating^™ for funds, or “star rating”, is calculated for managed products (including mutual funds, variable annuity, and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance.  The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, and the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star.  The Overall Morningstar Rating^™ for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating^™ metrics.

The weights are 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns.  While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.  As of December 31, 2020, The Merger Fund^® was rated against the following numbers of U.S.-domiciled Market Neutral funds over the following time periods: 92 funds in the last three years, 72 funds in the last five years, and 23 funds in the last ten years.  With respect to these Market Neutral funds, The Merger Fund^® – Investor share class (MERFX) received a Morningstar Rating of 4 stars, 4 stars and 4 stars for the three-, five- and ten-year periods, respectively. The Merger Fund^® – Institutional share class (MERIX) received a Morningstar rating of 5 stars, 4 stars and  4 stars for the three-, five- and ten-year periods, respectively. Ten-year ratings are Extended Performance Ratings computed by Morningstar using historical adjusted returns prior to the 8/1/2013 inception date of MERIX and reflect the historical performance of MERFX, (inception date 1/31/1989), adjusted to reflect the fees and expenses of the Institutional shares.  As of December 31, 2020, WCM Alternatives: Event-Driven Fund was rated against the following numbers of U.S.-domiciled Multi Alternative funds over the following periods: 244 funds in the last three years and 189 funds in the last five years. With respect to these Multi Alternative funds, WCM Alternatives: Event-Driven Fund – Institutional share class (WCEIX) received a Morningstar Rating of 5 stars and 4 stars for the three- and five-year periods, respectively. WCM Alternatives: Event-Driven Fund – Investor share class (WCERX) received a Morningstar Rating of 4 stars and 4 stars for the three- and five-year periods, respectively.  5-year ratings are Extended Performance Ratings computed by Morningstar using historical adjusted returns prior to the 3/22/2017 inception date of WCERX and reflect the historical performance of WCEIX, (inception

date 1/2/2014), adjusted to reflect the fees and expenses of the Investor shares. As of December 31, 2020, The WCM Alternatives: Credit Event Fund was rated against the following number of U.S.-domiciled Long-Short Credit Funds over the following time period: 43 funds in the last three years.  With respect to these funds, The Institutional and Investor Class received 5 stars, respectively.  ^© 2020 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

Absolute return strategies are not intended to outperform stocks and bonds during strong market rallies. An absolute return fund may not achieve its goals and may underperform during periods of strong positive market performance.

A number of the comments in this document are based on current expectations and are considered “forward-looking statements”. Actual future results, however, may prove to be different from expectations. The opinions expressed are a reflection of Westchester Capital Management’s best judgment at the time this document is compiled and any obligation to update or alter forward-looking statements as a result of new information, future events, or otherwise is disclaimed. Furthermore, these views are not intended to predict or guarantee the future performance of any individual security, asset class, or markets generally, nor are they intended to predict the future performance of any Westchester Capital Management account, portfolio or fund.

Definitions: The S&P 500 Index is a broad-based unmanaged index of 500 stocks, which is widely recognized as representative of the equity market in general; The Bloomberg Barclays Aggregate Bond Index is an intermediate-term index comprised of investment-grade bonds. The Bloomberg Barclays US Corporate High Yield Bond Index measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. The Morningstar Category:  US Fund Market Neutral is comprised of a universe of funds with similar investment objectives. The Morningstar Category: The US Fund MultiAlternative encompasses funds that have a majority of their assets exposed to alternative strategies and include both funds with static allocations to alternative strategies and funds tactically allocating among alternative strategies and asset classes.  The ICE BofA Merrill Lynch US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Indices are unavailable for direct investment. The Dow Jones Industrial Average, or simply the Dow, is a stock market index that shows how 30 large, publicly owned companies based in the United States have traded during a standard trading session in the stock market. Nasdaq is a global electronic marketplace for buying and selling securities, as well as the benchmark index for U.S. technology stocks. Indices are unavailable for direct investment. The Wilshire Liquid Alternative Event Driven Index^SM measures the performance of the event-driven strategy component of The Wilshire Liquid Alternative Index^SM. Event-driven strategies predominantly invest in companies involved in corporate transactions such as mergers, restructuring, distressed, buy-backs, or other capital structure changes. The Wilshire Liquid Alternative Event Driven Index (WLIQAED) is designed to provide a broad measure of the liquid alternative event-driven market.  HFRX Event Driven Index is comprised of investment Managers who maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance or other capital structure adjustments. DOJ or The United States Department of Justice Antitrust Division is a law enforcement agency responsible for enforcing the antitrust laws of the United States. Standard Deviation is the degree to which returns vary relative to the average return: The higher the standard deviation, the greater the variability of the investment. Beta is a measure of the fund’s sensitivity to market movements.

A portfolio with a beta greater than 1 is more volatile than the market and a portfolio with a beta less than 1 is less volatile than the market; Correlation is calculated using R-Squared; which is a measure that represents the percentage of a fund’s movements that can be explained by movements in a benchmark index.  A fund with low R-squared doesn’t act much like the index; A special purpose acquisition company (SPAC) is a corporation formed by private individuals to facilitate investment through an initial public offering (IPO). The proceeds are used to buy one or more existing companies Alpha is used in finance as a measure of performance, indicating when a strategy, trader, or portfolio manager has managed to beat the market return over some period. Alpha, often considered the active return on an investment, gauges the performance of an investment against a market index or benchmark that is considered to represent the market’s movement as a whole.

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”).

This chart assumes an initial gross investment of $10,000 made on December 31, 2010. Returns shown include the reinvestment of all dividends. Past performance is not predictive of future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or upon redemption of fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.

The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (“ICE BofA Index”) is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding U.S. Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. The index is unmanaged and does not include any expenses, fees or sales charges. It is not possible to invest directly in an index.

This chart assumes an initial gross investment of $1,000,000 made on January 2, 2014. Returns shown include the reinvestment of all dividends. Past performance is not predictive of future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or upon redemptions of fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.

This chart assumes an initial gross investment of $1,000,000 made on December 29, 2017. Returns shown include the reinvestment of all dividends. Past performance is not predictive of future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or upon redemptions of fund shares. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than the original cost.

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.