VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
September 30, 2023
($ reported in thousands)
Shares | Value | ||
Common Stocks—24.2% | |||
Aerospace & Defense—0.2% | |||
General Dynamics Corp. | 750 | $ 166 | |
Howmet Aerospace, Inc. | 3,125 | 144 | |
Lockheed Martin Corp. | 337 | 138 | |
Mercury Systems, Inc.(1) | 2,103 | 78 | |
526 | |||
Air Freight & Logistics—0.4% | |||
C.H. Robinson Worldwide, Inc. | 2,057 | 177 | |
Expeditors International of Washington, Inc. | 1,560 | 179 | |
FedEx Corp. | 446 | 118 | |
United Parcel Service, Inc. Class B | 3,216 | 501 | |
975 | |||
Automobile Components—0.3% | |||
Adient plc(1) | 12,554 | 461 | |
Garrett Motion, Inc.(1) | 12,827 | 101 | |
Gentex Corp. | 3,486 | 113 | |
675 | |||
Automobiles—0.1% | |||
General Motors Co. | 3,707 | 122 | |
Banks—1.3% | |||
Cambridge Bancorp | 14,022 | 874 | |
Capitol Federal Financial, Inc. | 87,901 | 419 | |
City Holding Co. | 1,150 | 104 | |
Community Trust Bancorp, Inc. | 6,087 | 209 | |
Great Southern Bancorp, Inc. | 3,859 | 185 | |
Northwest Bancshares, Inc. | 16,437 | 168 | |
NU Holdings Ltd. Class A(1) | 22,073 | 160 | |
Peoples Bancorp, Inc. | 6,754 | 171 | |
Premier Financial Corp. | 12,642 | 216 | |
Washington Federal, Inc. | 14,026 | 359 | |
2,865 | |||
Beverages—0.1% | |||
Brown-Forman Corp. Class B | 511 | 29 | |
Constellation Brands, Inc. Class A | 453 | 114 | |
Keurig Dr Pepper, Inc. | 924 | 29 | |
PepsiCo, Inc. | 382 | 65 | |
237 | |||
Biotechnology—0.5% | |||
AbbVie, Inc. | 2,801 | 418 | |
ACADIA Pharmaceuticals, Inc.(1) | 2,803 | 58 | |
Alnylam Pharmaceuticals, Inc.(1) | 482 | 85 | |
Amgen, Inc. | 1,020 | 274 | |
Gilead Sciences, Inc. | 1,717 | 129 | |
Incyte Corp.(1) | 2,866 | 166 | |
PTC Therapeutics, Inc.(1) | 1,767 | 40 |
Shares | Value | ||
Biotechnology—continued | |||
Rocket Pharmaceuticals, Inc.(1) | 3,332 | $ 68 | |
1,238 | |||
Broadline Retail—0.3% | |||
Amazon.com, Inc.(1) | 2,964 | 377 | |
Dillard’s, Inc. Class A | 406 | 134 | |
MercadoLibre, Inc.(1) | 101 | 128 | |
639 | |||
Building Products—0.3% | |||
Armstrong World Industries, Inc. | 1,551 | 112 | |
Johnson Controls International plc | 2,312 | 123 | |
Masonite International Corp.(1) | 1,380 | 129 | |
Resideo Technologies, Inc.(1) | 4,861 | 77 | |
Trane Technologies plc | 850 | 172 | |
613 | |||
Capital Markets—0.9% | |||
Bain Capital Specialty Finance, Inc. | 6,884 | 105 | |
Cboe Global Markets, Inc. | 1,978 | 309 | |
CME Group, Inc. Class A | 510 | 102 | |
FactSet Research Systems, Inc. | 1,047 | 458 | |
Golub Capital BDC, Inc. | 15,336 | 225 | |
Invesco Ltd. | 6,080 | 88 | |
Janus Henderson Group plc | 3,879 | 100 | |
Lazard Ltd. Class A | 5,499 | 171 | |
MarketAxess Holdings, Inc. | 636 | 136 | |
Morningstar, Inc. | 476 | 112 | |
Victory Capital Holdings, Inc. Class A | 5,578 | 186 | |
1,992 | |||
Chemicals—0.5% | |||
Albemarle Corp. | 172 | 29 | |
Cabot Corp. | 6,652 | 461 | |
International Flavors & Fragrances, Inc. | 1,323 | 90 | |
NewMarket Corp. | 484 | 220 | |
Scotts Miracle-Gro Co. (The) | 2,017 | 104 | |
Sherwin-Williams Co. (The) | 705 | 180 | |
1,084 | |||
Commercial Services & Supplies—0.4% | |||
Cintas Corp. | 398 | 191 | |
Ennis, Inc. | 4,682 | 99 | |
Republic Services, Inc. Class A | 218 | 31 | |
UniFirst Corp. | 2,630 | 429 | |
Waste Management, Inc. | 890 | 136 | |
886 | |||
Communications Equipment—0.0% | |||
Cisco Systems, Inc. | 1,838 | 99 | |
Construction & Engineering—0.3% | |||
AECOM | 2,836 | 235 |
Shares | Value | ||
Construction & Engineering—continued | |||
MDU Resources Group, Inc. | 15,980 | $ 313 | |
Quanta Services, Inc. | 1,211 | 227 | |
775 | |||
Construction Materials—0.1% | |||
Eagle Materials, Inc. | 903 | 151 | |
Vulcan Materials Co. | 566 | 114 | |
265 | |||
Consumer Finance—0.1% | |||
Nelnet, Inc. Class A | 2,156 | 193 | |
Consumer Staples Distribution & Retail—0.6% | |||
Costco Wholesale Corp. | 842 | 476 | |
Sysco Corp. | 2,832 | 187 | |
U.S. Foods Holding Corp.(1) | 3,108 | 123 | |
Walgreens Boots Alliance, Inc. | 19,261 | 428 | |
Walmart, Inc. | 1,422 | 228 | |
1,442 | |||
Containers & Packaging—0.1% | |||
Amcor plc | 6,749 | 62 | |
AptarGroup, Inc. | 987 | 123 | |
185 | |||
Distributors—0.0% | |||
Genuine Parts Co. | 588 | 85 | |
Diversified Consumer Services—0.1% | |||
Rollins, Inc. | 5,036 | 188 | |
Diversified REITs—0.2% | |||
Agree Realty Corp. | 2,113 | 117 | |
Equity Commonwealth | 1,902 | 35 | |
First Industrial Realty Trust, Inc. | 2,391 | 114 | |
Gaming & Leisure Properties, Inc. | 2,037 | 93 | |
Physicians Realty Trust | 9,310 | 113 | |
Realty Income Corp. | 474 | 23 | |
495 | |||
Diversified Telecommunication Services—0.4% | |||
AT&T, Inc. | 23,032 | 346 | |
IDT Corp. Class B(1) | 7,597 | 167 | |
Verizon Communications, Inc. | 14,059 | 456 | |
969 | |||
Electric Utilities—0.5% | |||
ALLETE, Inc. | 571 | 30 | |
Alliant Energy Corp. | 944 | 46 | |
American Electric Power Co., Inc. | 401 | 30 | |
Avangrid, Inc. | 748 | 23 | |
Duke Energy Corp. | 1,387 | 122 | |
Entergy Corp. | 253 | 23 | |
Evergy, Inc. | 422 | 21 | |
Eversource Energy | 441 | 26 | |
Exelon Corp. | 811 | 31 |
See Notes to Consolidated Schedule of Investments
1
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Shares | Value | ||
Electric Utilities—continued | |||
FirstEnergy Corp. | 6,099 | $ 209 | |
Hawaiian Electric Industries, Inc. | 717 | 9 | |
IDACORP, Inc. | 388 | 36 | |
MGE Energy, Inc. | 374 | 26 | |
OGE Energy Corp. | 753 | 25 | |
PG&E Corp.(1) | 9,477 | 153 | |
Pinnacle West Capital Corp. | 374 | 28 | |
Portland General Electric Co. | 604 | 24 | |
PPL Corp. | 5,571 | 131 | |
Xcel Energy, Inc. | 668 | 38 | |
1,031 | |||
Electrical Equipment—0.5% | |||
Acuity Brands, Inc. | 2,861 | 487 | |
AMETEK, Inc. | 1,285 | 190 | |
Eaton Corp. plc | 915 | 195 | |
Emerson Electric Co. | 1,303 | 126 | |
Vertiv Holdings Co. Class A | 1,800 | 67 | |
1,065 | |||
Electronic Equipment, Instruments & Components—0.7% | |||
Amphenol Corp. Class A | 2,034 | 171 | |
Flex Ltd.(1) | 5,285 | 143 | |
Insight Enterprises, Inc.(1) | 2,645 | 385 | |
Jabil, Inc. | 1,438 | 182 | |
Plexus Corp.(1) | 5,000 | 465 | |
TE Connectivity Ltd. | 1,014 | 125 | |
1,471 | |||
Energy Equipment & Services—0.2% | |||
Baker Hughes Co. Class A | 2,731 | 96 | |
Halliburton Co. | 1,206 | 49 | |
Schlumberger N.V. | 3,493 | 204 | |
349 | |||
Entertainment—0.1% | |||
Electronic Arts, Inc. | 929 | 112 | |
Financial Services—0.4% | |||
Fiserv, Inc.(1) | 1,364 | 154 | |
FleetCor Technologies, Inc.(1) | 767 | 196 | |
NMI Holdings, Inc. Class A(1) | 6,783 | 184 | |
TFS Financial Corp. | 19,263 | 228 | |
Visa, Inc. Class A | 784 | 180 | |
942 | |||
Food Products—0.7% | |||
Campbell Soup Co. | 886 | 36 | |
Conagra Brands, Inc. | 970 | 27 | |
Flowers Foods, Inc. | 1,004 | 22 | |
Freshpet, Inc.(1) | 1,111 | 73 | |
General Mills, Inc. | 587 | 38 | |
Hershey Co. (The) | 1,393 | 279 | |
Hormel Foods Corp. | 1,156 | 44 | |
Ingredion, Inc. | 934 | 92 | |
J.M. Smucker Co. (The) | 207 | 25 | |
John B Sanfilippo & Son, Inc. | 909 | 90 | |
Kellanova | 718 | 43 | |
Kraft Heinz Co. (The) | 719 | 24 |
Shares | Value | ||
Food Products—continued | |||
McCormick & Co., Inc. Non-voting Shares | 690 | $ 52 | |
Mondelez International, Inc. Class A | 532 | 37 | |
Post Holdings, Inc.(1) | 364 | 31 | |
Simply Good Foods Co. (The)(1) | 14,023 | 484 | |
TreeHouse Foods, Inc.(1) | 3,028 | 132 | |
Tyson Foods, Inc. Class A | 1,922 | 97 | |
1,626 | |||
Gas Utilities—0.1% | |||
Southwest Gas Holdings, Inc. | 2,056 | 124 | |
Ground Transportation—0.3% | |||
Landstar System, Inc. | 929 | 164 | |
Old Dominion Freight Line, Inc. | 448 | 183 | |
Uber Technologies, Inc.(1) | 3,106 | 143 | |
Union Pacific Corp. | 1,394 | 284 | |
774 | |||
Health Care REITs—0.2% | |||
Healthpeak Properties, Inc. | 24,054 | 442 | |
Healthcare Equipment & Supplies—0.2% | |||
Becton Dickinson & Co. | 518 | 134 | |
Dexcom, Inc.(1) | 1,416 | 132 | |
Insulet Corp.(1) | 217 | 35 | |
Masimo Corp.(1) | 738 | 65 | |
Shockwave Medical, Inc.(1) | 519 | 103 | |
469 | |||
Healthcare Providers & Services—0.9% | |||
AMN Healthcare Services, Inc.(1) | 1,977 | 169 | |
Cardinal Health, Inc. | 1,534 | 133 | |
Cencora, Inc. | 494 | 89 | |
Chemed Corp. | 220 | 114 | |
Cigna Group (The) | 488 | 140 | |
CVS Health Corp. | 734 | 51 | |
HCA Healthcare, Inc. | 756 | 186 | |
Humana, Inc. | 307 | 149 | |
Laboratory Corp. of America Holdings | 767 | 154 | |
McKesson Corp. | 263 | 115 | |
ModivCare, Inc.(1) | 1,462 | 46 | |
Premier, Inc. Class A | 9,149 | 197 | |
Quest Diagnostics, Inc. | 749 | 91 | |
UnitedHealth Group, Inc. | 792 | 399 | |
2,033 | |||
Healthcare Technology—0.2% | |||
HealthStream, Inc. | 4,074 | 88 | |
Simulations Plus, Inc. | 10,167 | 424 | |
512 | |||
Hotels, Restaurants & Leisure—0.4% | |||
Boyd Gaming Corp. | 2,788 | 170 |
Shares | Value | ||
Hotels, Restaurants & Leisure—continued | |||
Chipotle Mexican Grill, Inc. Class A(1) | 18 | $ 33 | |
Hilton Worldwide Holdings, Inc. | 953 | 143 | |
Las Vegas Sands Corp. | 868 | 40 | |
Marriott International, Inc. Class A | 783 | 154 | |
McDonald’s Corp. | 21 | 5 | |
Wendy’s Co. (The) | 8,035 | 164 | |
Yum! Brands, Inc. | 777 | 97 | |
806 | |||
Household Durables—0.4% | |||
DR Horton, Inc. | 1,497 | 161 | |
Garmin Ltd. | 1,166 | 123 | |
Installed Building Products, Inc. | 1,664 | 208 | |
Lennar Corp. Class A | 1,207 | 135 | |
NVR, Inc.(1) | 32 | 191 | |
Sonos, Inc.(1) | 4,023 | 52 | |
870 | |||
Household Products—0.5% | |||
Church & Dwight Co., Inc. | 396 | 36 | |
Colgate-Palmolive Co. | 4,740 | 337 | |
Kimberly-Clark Corp. | 1,284 | 155 | |
Procter & Gamble Co. (The) | 945 | 138 | |
Reynolds Consumer Products, Inc. | 4,641 | 119 | |
WD-40 Co. | 1,575 | 320 | |
1,105 | |||
Independent Power and Renewable Electricity Producers—0.1% | |||
NextEra Energy Partners LP | 9,245 | 275 | |
Industrial Conglomerates—0.2% | |||
General Electric Co. | 2,312 | 255 | |
Honeywell International, Inc. | 1,152 | 213 | |
468 | |||
Insurance—0.7% | |||
Aflac, Inc. | 1,363 | 105 | |
Aon plc Class A | 377 | 122 | |
Chubb Ltd. | 394 | 82 | |
CNA Financial Corp. | 2,543 | 100 | |
Erie Indemnity Co. Class A | 704 | 207 | |
Gallagher (Arthur J.) & Co. | 441 | 100 | |
Markel Group, Inc.(1) | 69 | 101 | |
Marsh & McLennan Cos., Inc. | 1,228 | 234 | |
Old Republic International Corp. | 4,477 | 121 | |
Safety Insurance Group, Inc. | 1,484 | 101 | |
Travelers Cos., Inc. (The) | 702 | 115 | |
Willis Towers Watson plc | 564 | 118 | |
1,506 | |||
Interactive Media & Services—0.0% | |||
Pinterest, Inc. Class A(1) | 3,058 | 83 |
See Notes to Consolidated Schedule of Investments
2
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Shares | Value | ||
IT Services—0.2% | |||
Amdocs Ltd. | 2,077 | $ 176 | |
GoDaddy, Inc. Class A(1) | 2,069 | 154 | |
Wix.com Ltd.(1) | 744 | 68 | |
398 | |||
Leisure Products—0.0% | |||
Sturm Ruger & Co., Inc. | 1,769 | 92 | |
Life Sciences Tools & Services—0.2% | |||
Danaher Corp. | 523 | 130 | |
Medpace Holdings, Inc.(1) | 896 | 217 | |
QIAGEN N.V.(1) | 4,445 | 180 | |
527 | |||
Machinery—0.8% | |||
Allison Transmission Holdings, Inc. | 3,216 | 190 | |
Caterpillar, Inc. | 1,317 | 360 | |
Deere & Co. | 348 | 131 | |
Greenbrier Cos., Inc. (The) | 5,786 | 231 | |
Illinois Tool Works, Inc. | 932 | 215 | |
Lincoln Electric Holdings, Inc. | 1,158 | 210 | |
Lindsay Corp. | 3,804 | 448 | |
1,785 | |||
Marine Transportation—0.2% | |||
Kirby Corp.(1) | 2,622 | 217 | |
Star Bulk Carriers Corp. | 5,251 | 101 | |
ZIM Integrated Shipping Services Ltd. | 5,930 | 62 | |
380 | |||
Media—0.1% | |||
New York Times Co. (The) Class A | 3,068 | 126 | |
Trade Desk, Inc. (The) Class A(1) | 791 | 62 | |
188 | |||
Metals & Mining—0.9% | |||
Freeport-McMoRan, Inc. | 5,369 | 200 | |
Nucor Corp. | 820 | 128 | |
Schnitzer Steel Industries, Inc. Class A | 14,481 | 403 | |
Southern Copper Corp. | 4,387 | 330 | |
Steel Dynamics, Inc. | 1,225 | 132 | |
United States Steel Corp. | 26,192 | 851 | |
2,044 | |||
Mortgage Real Estate Investment Trusts (REITs)—0.2% | |||
Dynex Capital, Inc. | 8,950 | 107 | |
Invesco Mortgage Capital, Inc. | 42,824 | 429 | |
536 | |||
Multi-Utilities—0.2% | |||
Ameren Corp. | 475 | 36 | |
CenterPoint Energy, Inc. | 812 | 22 | |
CMS Energy Corp. | 553 | 30 | |
Consolidated Edison, Inc. | 425 | 36 |
Shares | Value | ||
Multi-Utilities—continued | |||
DTE Energy Co. | 1,343 | $ 133 | |
NiSource, Inc. | 1,374 | 34 | |
Northwestern Energy Group, Inc. | 545 | 26 | |
Public Service Enterprise Group, Inc. | 690 | 39 | |
WEC Energy Group, Inc. | 388 | 31 | |
387 | |||
Oil, Gas & Consumable Fuels—2.4% | |||
Chesapeake Energy Corp. | 1,140 | 98 | |
Chevron Corp. | 817 | 138 | |
ConocoPhillips | 1,094 | 131 | |
CVR Energy, Inc. | 1,703 | 58 | |
Denbury, Inc.(1) | 10,262 | 1,006 | |
Devon Energy Corp. | 2,854 | 136 | |
Diamondback Energy, Inc. | 1,038 | 161 | |
Earthstone Energy, Inc. Class A(1) | 52,822 | 1,069 | |
EOG Resources, Inc. | 1,015 | 129 | |
Hess Corp. | 848 | 130 | |
Kinder Morgan, Inc. | 26,830 | 445 | |
Marathon Oil Corp. | 5,504 | 147 | |
Marathon Petroleum Corp. | 1,939 | 293 | |
Occidental Petroleum Corp. | 1,732 | 112 | |
ONEOK, Inc. | 9,604 | 609 | |
Peabody Energy Corp. | 3,038 | 79 | |
Sitio Royalties Corp. Class A | 4,098 | 99 | |
Texas Pacific Land Corp. | 71 | 130 | |
Uranium Energy Corp.(1) | 62,471 | 322 | |
Valero Energy Corp. | 1,103 | 156 | |
5,448 | |||
Personal Care Products—0.0% | |||
USANA Health Sciences, Inc.(1) | 1,805 | 106 | |
Pharmaceuticals—0.4% | |||
Axsome Therapeutics, Inc.(1) | 813 | 57 | |
Bausch Health Cos., Inc.(1) | 5,026 | 41 | |
Bristol-Myers Squibb Co. | 1,749 | 102 | |
Eli Lilly & Co. | 252 | 135 | |
Johnson & Johnson | 799 | 124 | |
Merck & Co., Inc. | 989 | 102 | |
Royalty Pharma plc Class A | 3,569 | 97 | |
Zoetis, Inc. Class A | 1,110 | 193 | |
851 | |||
Professional Services—0.5% | |||
Exponent, Inc. | 1,964 | 168 | |
Franklin Covey Co.(1) | 5,354 | 230 | |
Paychex, Inc. | 1,300 | 150 | |
Robert Half, Inc. | 2,558 | 187 | |
Thomson Reuters Corp. | 1,388 | 170 | |
Verisk Analytics, Inc. Class A | 795 | 188 | |
1,093 | |||
Real Estate Management & Development—0.1% | |||
CBRE Group, Inc. Class A(1) | 1,475 | 109 |
Shares | Value | ||
Real Estate Management & Development—continued | |||
Howard Hughes Holdings, Inc.(1) | 1,434 | $ 106 | |
215 | |||
Retail REITs—0.4% | |||
Alexander’s, Inc. | 1,164 | 212 | |
Getty Realty Corp. | 1,007 | 28 | |
National Retail Properties, Inc. | 737 | 26 | |
RPT Realty | 62,398 | 659 | |
925 | |||
Semiconductors & Semiconductor Equipment—0.5% | |||
Broadcom, Inc. | 275 | 228 | |
Intel Corp. | 2,919 | 104 | |
NVE Corp. | 5,316 | 436 | |
ON Semiconductor Corp.(1) | 3,527 | 328 | |
Tower Semiconductor Ltd.(1) | 3,454 | 85 | |
1,181 | |||
Software—0.8% | |||
Adobe, Inc. (1) | 79 | 40 | |
CyberArk Software Ltd.(1) | 611 | 100 | |
Dolby Laboratories, Inc. Class A | 1,415 | 112 | |
Gen Digital, Inc. | 8,076 | 143 | |
Intapp, Inc.(1) | 2,081 | 70 | |
JFrog Ltd.(1) | 2,944 | 75 | |
Microsoft Corp. | 1,278 | 404 | |
Palantir Technologies, Inc. Class A(1) | 2,916 | 47 | |
PTC, Inc.(1) | 1,019 | 144 | |
Roper Technologies, Inc. | 484 | 234 | |
Salesforce, Inc.(1) | 489 | 99 | |
ServiceNow, Inc.(1) | 191 | 107 | |
Sprinklr, Inc. Class A(1) | 6,048 | 84 | |
Tyler Technologies, Inc.(1) | 338 | 130 | |
Zuora, Inc. Class A(1) | 6,819 | 56 | |
1,845 | |||
Specialized REITs—0.1% | |||
Four Corners Property Trust, Inc. | 5,594 | 124 | |
Specialty Retail—0.4% | |||
AutoZone, Inc.(1) | 152 | 386 | |
Bath & Body Works, Inc. | 23 | 1 | |
Lowe’s Cos., Inc. | 650 | 135 | |
O’Reilly Automotive, Inc.(1) | 138 | 125 | |
Tractor Supply Co. | 946 | 192 | |
839 | |||
Technology Hardware, Storage & Peripherals—0.2% | |||
Apple, Inc. | 1,808 | 309 | |
HP, Inc. | 26 | 1 | |
Seagate Technology Holdings plc | 1,651 | 109 |
See Notes to Consolidated Schedule of Investments
3
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Shares | Value | ||
Technology Hardware, Storage & Peripherals—continued | |||
Xerox Holdings Corp. | 5,116 | $ 80 | |
499 | |||
Textiles, Apparel & Luxury Goods—0.1% | |||
Deckers Outdoor Corp.(1) | 361 | 186 | |
Tobacco—0.2% | |||
Universal Corp. | 9,665 | 456 | |
Trading Companies & Distributors—0.6% | |||
Fastenal Co. | 6,243 | 341 | |
GMS, Inc.(1) | 1,398 | 90 | |
MSC Industrial Direct Co., Inc. Class A | 7,009 | 688 | |
United Rentals, Inc. | 664 | 295 | |
1,414 | |||
Water Utilities—0.0% | |||
Essential Utilities, Inc. | 1,691 | 58 | |
Wireless Telecommunication Services—0.2% | |||
T-Mobile US, Inc.(1) | 2,593 | 363 | |
Total Common Stocks (Identified Cost $54,727) | 54,551 | ||
Master Limited Partnerships and Related Companies—1.8% | |||
Diversified—0.5% | |||
Enterprise Products Partners LP | 24,864 | 680 | |
MPLX LP | 15,711 | 559 | |
1,239 | |||
Downstream/Other—0.7% | |||
Holly Energy Partners LP | 43,821 | 962 | |
Sunoco LP | 2,329 | 114 | |
USA Compression Partners LP | 20,480 | 489 | |
1,565 | |||
Electric, LDC & Power—0.3% | |||
Brookfield Infrastructure Partners LP | 3,101 | 91 | |
Suburban Propane Partners LP | 32,167 | 517 | |
608 | |||
Gathering/Processing—0.1% | |||
Western Midstream Partners LP | 12,411 | 338 |
Shares | Value | ||
Petroleum Transportation & Storage—0.2% | |||
Genesis Energy LP | 32,843 | $ 339 | |
Total Master Limited Partnerships and Related Companies (Identified Cost $3,855) | 4,089 | ||
Total Long-Term Investments—26.0% (Identified Cost $58,582) | 58,640 |
Par Value | ||
Short-Term Investments—61.7% | ||
Certificates of Deposits—18.2% | ||
Bank of America N.A. (SOFR + 0.650%) 5.310% 4/12/24(2) | $ 9,000 | 9,011 |
Mizuho Bank Ltd. (NY) (SOFR + 0.450%) 5.760% 10/25/23(2) | 10,000 | 10,002 |
Nordea Bank ABP (NY) (SOFR + 0.270%) 5.580% 2/16/24(2) | 3,000 | 3,000 |
Royal Bank of Canada 5.960% 9/20/24 | 4,000 | 4,002 |
Skandinaviska Enskilda Banken (NY) (SOFR + 0.370%) 5.680% 10/20/23(2) | 3,000 | 3,000 |
Sumitomo Mitsui Banking Corp. 5.400% 10/17/23 | 5,000 | 5,000 |
Toronto-Dominion Bank (NY) 5.890% 5/22/24 | 2,000 | 2,000 |
Westpac Banking Corp. (NY) (SOFR + 0.230%) 5.540% 2/22/24(2) | 5,000 | 4,998 |
Total Certificates of Deposits (Identified Cost $41,000) | 41,013 |
U.S. Government Securities—43.5% | ||
U.S. Treasury Bills | ||
0.000%, 10/3/23(3) | 10,500 | 10,498 |
0.000%, 10/19/23(3) | 5,000 | 4,988 |
0.000%, 11/2/23(3) | 20,000 | 19,909 |
0.000%, 11/14/23(3) | 2,500 | 2,484 |
0.000%, 11/21/23(3) | 8,000 | 7,941 |
0.000%, 11/30/23(3) | 2,000 | 1,983 |
0.000%, 12/7/23(3) | 8,000 | 7,922 |
0.000%, 12/14/23(3) | 9,000 | 8,903 |
0.000%, 12/26/23(3) | 2,000 | 1,975 |
0.000%, 12/28/23(3) | 11,000 | 10,859 |
0.000%, 1/2/24(3) | 5,000 | 4,932 |
0.000%, 1/16/24(3) | 11,000 | 10,827 |
Par Value | Value | ||
0.000%, 2/15/24(3) | $ 5,000 | $ 4,900 | |
Total U.S. Government Securities (Identified Cost $98,131) | 98,121 | ||
Total Short-Term Investments (Identified Cost $139,131) | 139,134 | ||
TOTAL INVESTMENTS—87.7% (Identified Cost $197,713) | $197,774 | ||
Other assets and liabilities, net—12.3% | 27,798 | ||
NET ASSETS—100.0% | $225,572 |
Abbreviations: | |
BTP | Italian Buonie |
CAC | Cotation Assistée en Continu |
EAFE | Europe, Australasia and Far East |
EURIBOR | Euro Interbank Offered Rate |
FTSE | Financial Times Stock Exchange |
HSCEI | Hang Seng China Enterprises Index |
IBEX | Spanish Stock Exchange |
JSE | Johannesburg Stock Exchange Limited |
LME | London Metal Exchange |
LP | Limited Partnership |
MIB | Milano Indice di Borsa |
MSCI | Morgan Stanley Capital International |
OAT | Obligations Assimilables du Trésor |
OMXS | Nordic Exchange Stockholm Index |
PLC | Public Limited Company |
RBOB | Reformulated Blendstock for Oxygenate Blending |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
SPI | Share Price Index |
STOXX | Stock Index of the Eurozone |
TOPIX | Tokyo Stock Price Index |
ULSD | Ultra Low Sulfur Diesel |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Variable rate security. Rate disclosed is as of September 30, 2023. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(3) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
See Notes to Consolidated Schedule of Investments
4
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Counterparties: | |
MS | Morgan Stanley Capital Services LLC |
Foreign Currencies: | |
CHF | Swiss Franc |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
USD | United States Dollar |
ZAR | South African Rand |
Country Weightings† | |
United States | 83% |
Japan | 8 |
Australia | 3 |
Canada | 2 |
Sweden | 2 |
Finland | 1 |
Ireland | 1 |
Total | 100% |
† % of total investments as of September 30, 2023. |
Exchange-traded futures contracts as of September 30, 2023 were as follows: | ||||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized Depreciation | |
Long Contracts: | ||||||
CAC 40® 10 Euro Future | October 2023 | 6 | $454 | $— | $(9) | |
FTSE China Index Future | October 2023 | 189 | 2,381 | 12 | — | |
FTSE Taiwan Index Future | October 2023 | 12 | 684 | 2 | — | |
HSCEI Future | October 2023 | 66 | 2,605 | 24 | — | |
IBEX 35 Index Future | October 2023 | 6 | 599 | — | (4) | |
Indian Rupee Future | October 2023 | 293 | 7,045 | 14 | — | |
OMXS 30 Index Future | October 2023 | 24 | 475 | — | (7) | |
Brazil Real Future | November 2023 | 136 | 2,696 | — | (33) | |
Crude Oil WTI Future | November 2023 | 1 | 91 | — | (3) | |
Gasoline RBOB Future | November 2023 | 17 | 1,713 | — | (81) | |
Low Sulphur Gas Oil Future | November 2023 | 17 | 1,643 | 37 | — | |
NY Harbor ULSD Future | November 2023 | 7 | 970 | 8 | — | |
Soybean Future | November 2023 | 33 | 2,104 | — | (64) | |
10 Year Australian Bond Future | December 2023 | 120 | 8,639 | — | (128) | |
Australian Dollar Future | December 2023 | 10 | 646 | — | —(1) | |
Brent Crude Future | December 2023 | 26 | 2,397 | 71 | — | |
British Pound Future | December 2023 | 56 | 4,274 | — | (3) | |
Copper Future | December 2023 | 12 | 1,121 | — | (10) | |
Corn Future | December 2023 | 42 | 1,001 | — | (59) | |
Dollar Index Future | December 2023 | 39 | 4,127 | 57 | — | |
Euro FX Currency Future | December 2023 | 87 | 11,541 | — | (15) | |
Euro STOXX 50® Index Future | December 2023 | 47 | 2,089 | — | (38) | |
Euro-BTP Future | December 2023 | 143 | 16,590 | — | (443) | |
FTSE 100 Index Future | December 2023 | 4 | 374 | 4 | — | |
FTSE/JSE Top 40 Future | December 2023 | 11 | 392 | — | (12) | |
FTSE/MIB Index Future | December 2023 | 4 | 598 | — | (6) | |
Japanese Yen Future | December 2023 | 18 | 1,525 | —(1) | — | |
Live Cattle Future | December 2023 | 43 | 3,232 | — | (5) | |
Mexican Peso Future | December 2023 | 120 | 3,403 | — | (8) | |
MSCI EAFE® Index Future | December 2023 | 87 | 8,881 | — | (306) | |
MSCI Emerging Index Future | December 2023 | 162 | 7,740 | — | (266) | |
Nasdaq 100® E-Mini Index Future | December 2023 | 21 | 6,244 | — | (264) | |
Nikkei 225 Stock Average Future | December 2023 | 1 | 213 | — | (4) | |
Russell 2000® E-Mini Index Future | December 2023 | 215 | 19,335 | — | (625) | |
S&P 500® E-Mini Index Future | December 2023 | 29 | 6,272 | — | (244) | |
S&P Future | December 2023 | 1 | 173 | — | (5) | |
S&P Mid 400® E-Mini Index Future | December 2023 | 36 | 9,073 | — | (305) | |
Soybean Meal Future | December 2023 | 33 | 1,258 | 7 | — | |
Soybean Oil Future | December 2023 | 23 | 770 | — | (83) | |
SPI 200 Future | December 2023 | 6 | 683 | — | (19) | |
STOXX Europe 600 Future | December 2023 | 607 | 14,542 | — | (203) | |
TOPIX Index Future | December 2023 | 39 | 6,064 | — | (14) | |
$236 | $(3,266) |
See Notes to Consolidated Schedule of Investments
5
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Exchange-traded futures contracts as of September 30, 2023 were as follows (continued): | ||||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized Depreciation | |
Short Contracts: | ||||||
Natural Gas Future | November 2023 | (27) | $(791) | $— | $(8) | |
10 Year Canadian Bond Future | December 2023 | (80) | (6,781) | 6 | — | |
10 Year Euro-Bund Future | December 2023 | (143) | (19,449) | 302 | — | |
10 Year U.K. Gilt Future | December 2023 | (130) | (14,935) | 46 | — | |
10 Year U.S. Treasury Note Future | December 2023 | (141) | (15,237) | 146 | — | |
10 Year U.S. Ultra Future | December 2023 | (21) | (2,343) | 68 | — | |
2 Year U.S. Treasury Note Future | December 2023 | (22) | (4,460) | 15 | — | |
3 Year Australian Bond Future | December 2023 | (18) | (1,219) | 9 | — | |
30 Year Euro-BUXL Bond Future | December 2023 | (4) | (517) | 23 | — | |
30 Year U.S. Treasury Bond Future | December 2023 | (3) | (341) | 19 | — | |
3-Month EURIBOR Future | December 2023 | (41) | (10,404) | — | (1) | |
3-Month SONIA Index Future | December 2023 | (21) | (6,060) | — | (46) | |
5 Year U.S. Treasury Note Future | December 2023 | (36) | (3,793) | 32 | — | |
Canadian Dollar Future | December 2023 | (511) | (37,730) | 137 | — | |
Cocoa Future | December 2023 | (26) | (889) | 19 | — | |
Coffee ’C’ Future | December 2023 | (2) | (110) | 10 | — | |
Cotton No. 2 Future | December 2023 | (30) | (1,307) | — | (48) | |
Euro-BOBL Future | December 2023 | (20) | (2,448) | 27 | — | |
Euro-OAT Future | December 2023 | (27) | (3,517) | 28 | — | |
Euro-Schatz Future | December 2023 | (25) | (2,775) | 10 | — | |
Gold Future | December 2023 | (45) | (8,397) | 338 | — | |
LME Nickel Future | December 2023 | — | 5 | — | (5) | |
LME Pri Aluminium Future | December 2023 | (34) | (1,865) | — | (135) | |
LME Zinc Future | December 2023 | — | (23) | 23 | — | |
Short Euro-BTP Future | December 2023 | (20) | (2,202) | 15 | — | |
Wheat Future | December 2023 | (57) | (1,543) | 307 | — | |
3-Month SOFR Future | March 2024 | (41) | (9,699) | — | (1) | |
Sugar #11 World Future | March 2024 | (12) | (356) | 4 | — | |
1,584 | (244) | |||||
Total | $1,820 | $(3,510) | ||||
Footnote Legend: | ||||||
(1)Amount is less than $500 (not in thousands). |
Forward foreign currency exchange contracts as of September 30, 2023 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
CHF | 19,000 | USD | 21,412 | UBS AG | 12/20/23 | $— | $(460) | |
NOK | 20,000 | USD | 1,860 | UBS AG | 12/20/23 | 14 | — | |
NZD | 13,800 | USD | 8,147 | UBS AG | 12/20/23 | 125 | — | |
PLN | 4,000 | USD | 916 | UBS AG | 12/20/23 | — | (3) | |
SEK | 74,000 | USD | 6,699 | UBS AG | 12/20/23 | 104 | — | |
SGD | 4,500 | USD | 3,316 | UBS AG | 12/20/23 | — | (12) | |
USD | 23,399 | CHF | 20,750 | UBS AG | 12/20/23 | 516 | — | |
USD | 2,063 | NOK | 22,000 | UBS AG | 12/20/23 | 1 | — | |
USD | 10,932 | NZD | 18,500 | UBS AG | 12/20/23 | — | (156) | |
USD | 2,155 | SEK | 24,000 | UBS AG | 12/20/23 | — | (51) | |
USD | 678 | ZAR | 13,000 | UBS AG | 12/20/23 | — | (4) | |
Total | $760 | $(686) |
See Notes to Consolidated Schedule of Investments
6
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Over-the-counter equity basket total return swaps(1) outstanding as of June 30, 2023 were as follows: | ||||||
Counterparty | Expiration Date | Notional Amount | Unrealized Appreciation (Depreciation) | Value of Reference Entities | Notional Amount Net Asset Percentage | |
Equity Securities Short | MS | 5/2/2028 | $(43,741) | $— | $(43,741) | (19.39)% |
Footnote Legend: | |
(1) | The Fund receives or pays, on a monthly basis, the total return on a portfolio of short equity positions net of one day U.S. Federal Funds Effective Rate minus a spread of 0.45%-0.68% as calculated on the notional amount. |
The following table represents the reference entities underlying the total return swap with Morgan Stanley Capital Services LLC as of September 30, 2023:
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Aerospace & Defense | |||||
Raytheon Technologies Corp. | (718) | $(52) | 0.13% | ||
Air Freight & Logistics | |||||
XPO, Inc. | (1,199) | (89) | 0.19% | ||
Automobiles | |||||
Ford Motor Co. | (10,204) | (127) | 0.33% | ||
Banks | |||||
Bank of America Corp. | (3,573) | (98) | 0.25% | ||
Central Pacific Financial Corp. | (26,572) | (443) | 0.96% | ||
Comerica, Inc. | (2,178) | (91) | 0.20% | ||
Eastern Bankshares, Inc. | (69,631) | (873) | 1.89% | ||
Independent Bank Corp. | (2,347) | (115) | 0.25% | ||
JPMorgan Chase & Co. | (1,454) | (211) | 0.54% | ||
(1,831) | |||||
Beverages | |||||
Celsius Holdings, Inc. | (497) | (85) | 0.18% | ||
Coca-Cola Co. (The) | (393) | (22) | 0.05% | ||
(107) | |||||
Biotechnology | |||||
Biogen, Inc. | (393) | (101) | 0.22% | ||
Intellia Therapeutics, Inc. | (3,162) | (100) | 0.26% | ||
Natera, Inc. | (5,623) | (249) | 0.64% | ||
Twist Bioscience Corp. | (1,986) | (40) | 0.09% | ||
Ultragenyx Pharmaceutical, Inc. | (3,424) | (122) | 0.31% | ||
Veracyte, Inc. | (3,352) | (75) | 0.16% | ||
(687) | |||||
Broadline Retail | |||||
Coupang, Inc. | (16,427) | (279) | 0.71% | ||
Dollar Tree, Inc. | (2,064) | (220) | 0.57% | ||
Etsy, Inc. | (960) | (62) | 0.16% | ||
Global-e Online Ltd. | (3,871) | (154) | 0.39% | ||
Kohl’s Corp. | (2,962) | (62) | 0.16% | ||
Macy’s, Inc. | (8,037) | (93) | 0.24% | ||
(870) | |||||
Capital Markets | |||||
Jefferies Financial Group, Inc. | (5,173) | (190) | 0.41% | ||
Patria Investments Ltd. | (3,071) | (45) | 7.34% | ||
Robinhood Markets, Inc. | (17,156) | (168) | 0.43% | ||
TPG, Inc. | (7,118) | (214) | 0.55% | ||
Virtu Financial, Inc. | (5,906) | (102) | 0.26% | ||
XP, Inc. | (9,715) | (224) | 0.58% | ||
(943) |
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Chemicals | |||||
Chemours Co. (The) | (11,551) | $(324) | 0.83% | ||
Dow, Inc. | (8,438) | (435) | 0.95% | ||
LyondellBasell Industries N.V. | (4,767) | (451) | 0.98% | ||
(1,210) | |||||
Commercial Services & Supplies | |||||
ACV Auctions, Inc. | (10,822) | (164) | 0.42% | ||
Montrose Environmental Group, Inc. | (4,970) | (146) | 0.37% | ||
(310) | |||||
Communications Equipment | |||||
Lumentum Holdings, Inc. | (2,808) | (127) | 0.33% | ||
Construction & Engineering | |||||
Fluor Corp. | (6,249) | (229) | 0.59% | ||
Consumer Finance | |||||
OneMain Holdings, Inc. | (5,820) | (233) | 0.60% | ||
Consumer Staples Distribution & Retail | |||||
Dollar General Corp. | (2,184) | (231) | 0.59% | ||
Grocery Outlet Holding Corp. | (4,205) | (121) | 0.27% | ||
Target Corp. | (2,142) | (237) | 0.61% | ||
(589) | |||||
Containers & Packaging | |||||
Avery Dennison Corp. | (903) | (165) | 0.42% | ||
Diversified Consumer Services | |||||
Bright Horizons Family Solutions, Inc. | (1,870) | (152) | 0.39% | ||
Coursera, Inc. | (8,100) | (151) | 0.33% | ||
H&R Block, Inc. | (2,752) | (119) | 0.26% | ||
Service Corp. International | (1,314) | (75) | 0.19% | ||
(497) | |||||
Diversified REITs | |||||
Boston Properties, Inc. | (2,209) | (131) | 0.34% | ||
Community Healthcare Trust, Inc. | (5,989) | (178) | 0.38% | ||
Cousins Properties, Inc. | (5,587) | (114) | 0.29% | ||
Essential Properties Realty Trust, Inc. | (2,513) | (54) | 0.14% | ||
Global Net Lease, Inc. | (19,405) | (186) | 0.48% | ||
Kilroy Realty Corp. | (4,329) | (137) | 0.35% | ||
Kite Realty Group Trust | (9,790) | (210) | 0.54% | ||
Macerich Co. (The) | (15,740) | (172) | 0.44% | ||
National Health Investors, Inc. | (8,819) | (453) | 1.16% | ||
NETSTREIT Corp. | (11,311) | (176) | 0.38% | ||
Service Properties Trust | (24,496) | (188) | 0.49% | ||
Universal Health Realty Income Trust | (7,660) | (310) | 0.79% | ||
Vornado Realty Trust | (6,770) | (154) | 0.40% |
See Notes to Consolidated Schedule of Investments
7
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Diversified REITs — continued | |||||
WP Carey, Inc. | (1,380) | $(75) | 0.19% | ||
(2,538) | |||||
Diversified Telecommunication Services | |||||
Frontier Communications Parent, Inc. | (4,813) | (75) | 0.17% | ||
Globalstar, Inc. | (203,482) | (267) | 0.68% | ||
(342) | |||||
Electric Utilities | |||||
NextEra Energy, Inc. | (2,923) | (167) | 0.43% | ||
Southern Co. (The) | (784) | (51) | 0.13% | ||
(218) | |||||
Electrical Equipment | |||||
Generac Holdings, Inc. | (1,814) | (198) | 0.51% | ||
Electronic Equipment, Instruments & Components | |||||
Coherent Corp. | (4,578) | (149) | 0.38% | ||
IPG Photonics Corp. | (2,645) | (269) | 0.69% | ||
(418) | |||||
Energy Equipment & Services | |||||
Diamond Offshore Drilling, Inc. | (14,184) | (208) | 0.54% | ||
Dril-Quip, Inc. | (6,562) | (185) | 0.40% | ||
Helix Energy Solutions Group, Inc. | (16,111) | (180) | 0.39% | ||
(573) | |||||
Entertainment | |||||
Live Nation Entertainment, Inc. | (2,598) | (216) | 0.56% | ||
Netflix, Inc. | (82) | (31) | 0.08% | ||
ROBLOX Corp. | (10,229) | (296) | 0.76% | ||
Roku, Inc. | (2,854) | (202) | 0.52% | ||
Spotify Technology S.A. | (1,341) | (207) | 0.53% | ||
Walt Disney Co. (The) | (547) | (44) | 0.11% | ||
Warner Bros Discovery, Inc. | (13,279) | (144) | 0.37% | ||
(1,140) | |||||
Financial Services | |||||
AvidXchange Holdings, Inc. | (18,635) | (177) | 0.45% | ||
Block, Inc. | (4,535) | (201) | 0.52% | ||
Cannae Holdings, Inc. | (11,239) | (209) | 0.54% | ||
Marqeta, Inc. | (29,754) | (178) | 0.38% | ||
Toast, Inc. | (5,647) | (106) | 0.27% | ||
(871) | |||||
Food Products | |||||
Bunge Ltd. | (2,762) | (299) | 0.77% | ||
Pilgrim’s Pride Corp. | (11,441) | (261) | 0.56% | ||
(560) | |||||
Gas Utilities | |||||
Atmos Energy Corp. | (1,624) | (172) | 0.44% | ||
UGI Corp. | (2,862) | (66) | 0.17% | ||
(238) | |||||
Ground Transportation | |||||
Avis Budget Group, Inc. | (1,394) | (251) | 0.64% | ||
Lyft, Inc. | (23,361) | (246) | 0.63% | ||
(497) | |||||
Health Care REITs | |||||
Ventas, Inc. | (4,032) | (170) | 0.44% |
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Healthcare Equipment & Supplies | |||||
Abbott Laboratories | (1,967) | $(190) | 0.49% | ||
Align Technology, Inc. | (306) | (93) | 0.20% | ||
Intuitive Surgical, Inc. | (336) | (98) | 0.25% | ||
Neogen Corp. | (6,992) | (130) | 0.34% | ||
Nevro Corp. | (6,275) | (121) | 0.31% | ||
STAAR Surgical Co. | (3,428) | (138) | 0.30% | ||
(770) | |||||
Healthcare Providers & Services | |||||
Accolade, Inc. | (14,948) | (158) | 0.40% | ||
DaVita, Inc. | (1,065) | (101) | 0.26% | ||
Fulgent Genetics, Inc. | (4,119) | (110) | 0.28% | ||
Tenet Healthcare Corp. | (992) | (65) | 0.17% | ||
(434) | |||||
Hotels, Restaurants & Leisure | |||||
Airbnb, Inc. | (1,996) | (274) | 0.70% | ||
Carnival Corp. | (9,744) | (134) | 0.34% | ||
DoorDash, Inc. | (1,738) | (138) | 0.36% | ||
DraftKings, Inc. | (8,728) | (257) | 0.66% | ||
Expedia Group, Inc. | (4,321) | (445) | 1.14% | ||
Genius Sports Ltd. | (32,144) | (171) | 0.44% | ||
International Game Technology plc | (9,560) | (290) | 0.75% | ||
MGM Resorts International | (2,303) | (85) | 0.22% | ||
Royal Caribbean Cruises Ltd. | (1,499) | (138) | 0.36% | ||
Starbucks Corp. | (958) | (87) | 0.22% | ||
(2,019) | |||||
Household Durables | |||||
Helen of Troy Ltd. | (1,140) | (133) | 0.34% | ||
Newell Brands, Inc. | (5,635) | (51) | 0.13% | ||
(184) | |||||
Household Products | |||||
Spectrum Brands Holdings, Inc. | (2,953) | (231) | 0.59% | ||
Independent Power and Renewable Electricity Producers | |||||
AES Corp. (The) | (8,845) | (134) | 0.35% | ||
Atlantica Sustainable Infrastructure plc | (20,128) | (385) | 0.83% | ||
Vistra Corp. | (808) | (27) | 0.06% | ||
(546) | |||||
Industrial Conglomerates | |||||
3M Co. | (2,627) | (246) | 0.53% | ||
Industrial REITs | |||||
Plymouth Industrial REIT, Inc. | (8,426) | (177) | 0.38% | ||
Insurance | |||||
Brighthouse Financial, Inc. | (3,740) | (183) | 0.47% | ||
BRP Group, Inc. | (7,836) | (182) | 0.47% | ||
Goosehead Insurance, Inc. | (1,946) | (145) | 0.37% | ||
Mercury General Corp. | (7,018) | (196) | 0.51% | ||
Oscar Health, Inc. | (30,479) | (170) | 0.44% | ||
Progressive Corp. (The) | (782) | (109) | 0.23% | ||
Prudential Financial, Inc. | (5,036) | (478) | 1.03% | ||
(1,463) | |||||
Interactive Media & Services | |||||
IAC, Inc. | (2,837) | (143) | 0.37% | ||
Match Group, Inc. | (2,649) | (104) | 0.27% | ||
Snap, Inc. | (38,169) | (340) | 0.87% | ||
(587) |
See Notes to Consolidated Schedule of Investments
8
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Common Stocks — Short | Shares | Value | % of Basket Value | ||
IT Services | |||||
Accenture plc | (622) | $(191) | 0.49% | ||
Cloudflare, Inc. | (804) | (51) | 0.13% | ||
DXC Technology Co. | (4,952) | (103) | 0.22% | ||
Fidelity National Information Services, Inc. | (3,073) | (170) | 0.44% | ||
International Business Machines Corp. | (86) | (12) | 0.03% | ||
Twilio, Inc. | (5,008) | (293) | 0.75% | ||
(820) | |||||
Leisure Products | |||||
Hasbro, Inc. | (1,800) | (119) | 0.30% | ||
Life Sciences Tools & Services | |||||
Illumina, Inc. | (630) | (86) | 0.22% | ||
Maravai LifeSciences Holdings, Inc. | (12,493) | (125) | 0.32% | ||
NeoGenomics, Inc. | (12,484) | (154) | 0.39% | ||
Pacific Biosciences of California, Inc. | (7,641) | (64) | 0.17% | ||
(429) | |||||
Media | |||||
Cable One, Inc. | (240) | (148) | 0.38% | ||
Charter Communications, Inc. | (183) | (81) | 0.21% | ||
Comcast Corp. | (2,489) | (110) | 0.28% | ||
Magnite, Inc. | (23,577) | (178) | 0.46% | ||
WideOpenWest, Inc. | (14,270) | (109) | 0.27% | ||
(626) | |||||
Metals & Mining | |||||
Alcoa Corp. | (2,504) | (73) | 0.19% | ||
Barrick Gold Corp. | (22,612) | (329) | 0.85% | ||
Cleveland-Cliffs, Inc. | (35,967) | (562) | 1.44% | ||
Constellium SE | (12,892) | (235) | 0.60% | ||
Kaiser Aluminum Corp. | (2,491) | (187) | 0.48% | ||
Kinross Gold Corp. | (14,896) | (68) | 0.18% | ||
Newmont Corp. | (1,133) | (42) | 0.11% | ||
Pan American Silver Corp. | (28,120) | (407) | 1.04% | ||
SSR Mining, Inc. | (8,505) | (113) | 0.29% | ||
(2,016) | |||||
Mortgage Real Estate Investment Trusts (REITs) | |||||
AGNC Investment Corp. | (28,661) | (271) | 0.69% | ||
Annaly Capital Management, Inc. | (9,755) | (183) | 0.48% | ||
Chimera Investment Corp. | (32,754) | (179) | 0.39% | ||
Ladder Capital Corp. | (43,668) | (448) | 1.15% | ||
New York Mortgage Trust, Inc. | (47,575) | (404) | 0.87% | ||
(1,485) | |||||
Multi-Utilities | |||||
Dominion Energy, Inc. | (5,721) | (255) | 0.66% | ||
Sempra Energy | (1,806) | (123) | 0.31% | ||
(378) | |||||
Office REITs | |||||
Douglas Emmett, Inc. | (9,600) | (122) | 0.31% | ||
Hudson Pacific Properties, Inc. | (27,469) | (183) | 0.47% | ||
(305) | |||||
Oil, Gas & Consumable Fuels | |||||
Antero Resources Corp. | (8,671) | (220) | 0.57% | ||
Cheniere Energy, Inc. | (1,905) | (316) | 0.81% | ||
Civitas Resources, Inc. | (1,194) | (97) | 0.25% | ||
Clean Energy Fuels Corp. | (47,797) | (183) | 0.47% | ||
EQT Corp. | (2,580) | (105) | 0.27% | ||
Exxon Mobil Corp. | (7,018) | (825) | 2.12% |
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Oil, Gas & Consumable Fuels — continued | |||||
Green Plains, Inc. | (5,615) | $(169) | 0.43% | ||
HF Sinclair Corp. | (10,513) | (598) | 1.53% | ||
Matador Resources Co. | (1,331) | (79) | 0.20% | ||
New Fortress Energy, Inc. | (4,933) | (162) | 0.35% | ||
ONEOK, Inc. | (9,604) | (609) | 1.56% | ||
Ovintiv, Inc. | (2,143) | (102) | 0.26% | ||
Permian Resources Corp. | (76,380) | (1,066) | 2.31% | ||
Phillips 66 | (2,377) | (286) | 0.74% | ||
Range Resources Corp. | (2,582) | (84) | 0.18% | ||
SFL Corp. Ltd. | (42,772) | (477) | 1.23% | ||
SM Energy Co. | (2,772) | (110) | 0.24% | ||
Southwestern Energy Co. | (31,991) | (206) | 0.53% | ||
(5,694) | |||||
Passenger Airlines | |||||
Allegiant Travel Co. | (1,327) | (102) | 0.26% | ||
Delta Air Lines, Inc. | (10,143) | (375) | 0.97% | ||
JetBlue Airways Corp. | (22,959) | (106) | 0.23% | ||
Southwest Airlines Co. | (4,387) | (119) | 0.30% | ||
United Airlines Holdings, Inc. | (5,581) | (236) | 0.61% | ||
(938) | |||||
Pharmaceuticals | |||||
Catalent, Inc. | (4,985) | (227) | 0.49% | ||
Elanco Animal Health, Inc. | (19,722) | (222) | 0.57% | ||
Pacira BioSciences, Inc. | (3,661) | (112) | 0.29% | ||
(561) | |||||
Professional Services | |||||
Clarivate plc | (18,168) | (122) | 0.31% | ||
Fiverr International Ltd. | (4,141) | (101) | 0.22% | ||
Paycor HCM, Inc. | (7,310) | (167) | 0.43% | ||
(390) | |||||
Real Estate Management & Development | |||||
Anywhere Real Estate, Inc. | (17,087) | (110) | 0.28% | ||
DigitalBridge Group, Inc. | (20,150) | (354) | 0.77% | ||
(464) | |||||
Residential REITs | |||||
Camden Property Trust | (1,645) | (156) | 0.40% | ||
Elme Communities | (5,781) | (79) | 0.20% | ||
UMH Properties, Inc. | (13,017) | (182) | 0.40% | ||
(417) | |||||
Retail REITs | |||||
Acadia Realty Trust | (15,698) | (225) | 0.58% | ||
Kimco Realty Corp. | (37,744) | (664) | 1.44% | ||
(889) | |||||
Semiconductors & Semiconductor Equipment | |||||
Enphase Energy, Inc. | (1,250) | (150) | 0.32% | ||
Micron Technology, Inc. | (2,878) | (196) | 0.43% | ||
SolarEdge Technologies, Inc. | (1,009) | (131) | 0.28% | ||
Synaptics, Inc. | (1,489) | (133) | 0.29% | ||
Wolfspeed, Inc. | (12,357) | (471) | 1.21% | ||
(1,081) | |||||
Software | |||||
AppLovin Corp. | (1,888) | (75) | 0.17% | ||
Asana, Inc. | (1,582) | (29) | 0.06% | ||
BILL Holdings, Inc. | (704) | (76) | 0.20% | ||
Ceridian HCM Holding, Inc. | (2,812) | (191) | 0.42% |
See Notes to Consolidated Schedule of Investments
9
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
September 30, 2023
($ reported in thousands)
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Software — continued | |||||
Confluent, Inc. | (1,674) | $(50) | 0.11% | ||
Datadog, Inc. | (1,619) | (147) | 0.38% | ||
DocuSign, Inc. | (2,624) | (110) | 0.28% | ||
Elastic N.V. | (1,194) | (97) | 0.25% | ||
Five9, Inc. | (2,054) | (132) | 0.34% | ||
Pegasystems, Inc. | (1,823) | (79) | 0.17% | ||
RingCentral, Inc. | (4,235) | (126) | 0.32% | ||
UiPath, Inc. | (8,504) | (146) | 0.37% | ||
Zoom Video Communications, Inc. | (2,027) | (142) | 0.36% | ||
Zscaler, Inc. | (1,033) | (161) | 0.41% | ||
(1,561) | |||||
Specialized REITs | |||||
Crown Castle, Inc. | (1,514) | (139) | 0.30% | ||
Digital Realty Trust, Inc. | (1,971) | (239) | 0.61% | ||
National Storage Affiliates Trust | (13,197) | (419) | 0.91% | ||
(797) | |||||
Specialty Retail | |||||
Best Buy Co., Inc. | (3,998) | (278) | 0.71% | ||
CarMax, Inc. | (1,034) | (73) | 0.19% | ||
Chewy, Inc. | (9,894) | (181) | 0.40% |
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Specialty Retail — continued | |||||
Dick’s Sporting Goods, Inc. | (913) | $(99) | 0.21% | ||
Sleep Number Corp. | (5,063) | (125) | 0.32% | ||
Williams-Sonoma, Inc. | (2,165) | (336) | 0.86% | ||
(1,092) | |||||
Technology Hardware, Storage & Peripherals | |||||
Western Digital Corp. | (2,729) | (124) | 0.32% | ||
Textiles, Apparel & Luxury Goods | |||||
Crocs, Inc. | (1,090) | (96) | 0.24% | ||
Hanesbrands, Inc. | (28,532) | (113) | 0.29% | ||
Lululemon Athletica, Inc. | (342) | (132) | 0.34% | ||
VF Corp. | (11,843) | (209) | 0.54% | ||
(550) | |||||
Tobacco | |||||
Altria Group, Inc. | (8,240) | (346) | 0.89% | ||
Water Utilities | |||||
American Water Works Co., Inc. | (1,396) | (173) | 0.37% | ||
Total Common Stocks — Short | $(43,741) |
The following table summarizes the value of the Fund’s investments as of September 30, 2023, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at September 30, 2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Instruments: | |||||
U.S. Government Securities | $98,121 | $— | $98,121 | ||
Equity Securities: | |||||
Common Stocks | 54,551 | 54,551 | — | ||
Master Limited Partnerships and Related Companies | 4,089 | 4,089 | — | ||
Certificates of Deposits | 41,013 | — | 41,013 | ||
Other Financial Instruments: | |||||
Futures Contracts | 1,820 | 1,820 | — | ||
Forward Foreign Currency Exchange Contracts* | 760 | — | 760 | ||
Total Assets | 200,354 | 60,460 | 139,894 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Futures Contracts | (3,510) | (3,510) | — | ||
Forward Foreign Currency Exchange Contracts* | (686) | — | (686) | ||
Over-the-Counter Equity Basket Total Return Swaps* | —(1) | — | —(1) | ||
Total Liabilities | (4,196) | (3,510) | (686) | ||
Total Investments | $196,158 | $56,950 | $139,208 |
(1) | Represents net unrealized appreciation (depreciation) of $0, as reflected within the Consolidated Schedule of Investments. |
* | Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty. |
There were no securities valued using significant unobservable inputs (Level 3) at September 30, 2023.
There were no transfers into or out of Level 3 related to securities held at September 30, 2023.
See Notes to Consolidated Schedule of Investments
10
VIRTUS ALPHASIMPLEX GLOBAL ALTERNATIVES FUND NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS(Unaudited)
September 30, 2023
Note 1. Security Valuation
Starting May 19, 2023, concurrent with the change in the Adviser (as detailed in Note 4A), the Funds adopted valuation policies and procedures used by the other Virtus-sponsored registered funds.
The Fund’s Board of Trustees have designated the Investment Adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund’s policy is to recognize transfers into or out of Level 3 at the end of the reporting period.
• | Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
• | Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
• | Level 3 – prices determined using significant unobservable inputs (including the Investment Adviser’s Valuation Committee’s own assumptions in determining the fair value of investments). |
A description of the valuation techniques applied to the Fund’s major categories of assets and liabilities measured at fair value on a recurring basis is as follows:
Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the Investment Adviser’s Valuation Committee, and are generally categorized as Level 3 in the hierarchy.
Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (“NAV”) at the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange-Traded Funds (“ETFs”), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.
Debt instruments, including convertible bonds, and restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the Investment Adviser’s Valuation Committee are generally categorized as Level 3 in the hierarchy.
Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.
Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.
A summary of the inputs used to value the Fund’s net assets by each major security type is disclosed at the end of the Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
For additional information about significant accounting policies, refer to the Fund’s most recent semi or annual report.
11