VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)
March 31, 2024
($ reported in thousands)
Shares | Value | ||
Common Stocks—28.4% | |||
Aerospace & Defense—0.3% | |||
Axon Enterprise, Inc.(1) | 93 | $ 29 | |
General Dynamics Corp. | 464 | 131 | |
Huntington Ingalls Industries, Inc. | 80 | 23 | |
Lockheed Martin Corp. | 294 | 134 | |
Mercury Systems, Inc.(1) | 2,103 | 62 | |
379 | |||
Air Freight & Logistics—0.7% | |||
Expeditors International of Washington, Inc. | 1,184 | 144 | |
Hub Group, Inc. Class A | 16,463 | 711 | |
United Parcel Service, Inc. Class B | 550 | 82 | |
XPO, Inc.(1) | 316 | 39 | |
976 | |||
Automobile Components—0.2% | |||
Dana, Inc. | 5,782 | 73 | |
Garrett Motion, Inc.(1) | 9,605 | 96 | |
Gentex Corp. | 2,071 | 75 | |
244 | |||
Automobiles—0.0% | |||
Ferrari N.V. | 178 | 78 | |
Banks—0.6% | |||
Cambridge Bancorp | 2,180 | 149 | |
City Holding Co. | 790 | 82 | |
JPMorgan Chase & Co. | 392 | 79 | |
Northfield Bancorp, Inc. | 18,295 | 178 | |
Northwest Bancshares, Inc. | 29,816 | 347 | |
NU Holdings Ltd. Class A(1) | 7,664 | 91 | |
926 | |||
Beverages—0.3% | |||
Celsius Holdings, Inc.(1) | 394 | 33 | |
Coca-Cola Co. (The) | 147 | 9 | |
Coca-Cola Consolidated, Inc. | 167 | 141 | |
Coca-Cola Europacific Partners plc | 1,061 | 74 | |
Constellation Brands, Inc. Class A | 357 | 97 | |
Keurig Dr Pepper, Inc. | 924 | 28 | |
PepsiCo, Inc. | 399 | 70 | |
452 | |||
Biotechnology—0.5% | |||
AbbVie, Inc. | 896 | 163 | |
ACADIA Pharmaceuticals, Inc.(1) | 2,003 | 37 | |
Alnylam Pharmaceuticals, Inc.(1) | 482 | 72 | |
Amgen, Inc. | 479 | 136 | |
Exact Sciences Corp.(1) | 397 | 28 | |
Gilead Sciences, Inc. | 1,179 | 86 | |
Incyte Corp.(1) | 1,796 | 102 | |
Madrigal Pharmaceuticals, Inc.(1) | 182 | 49 |
Shares | Value | ||
Biotechnology—continued | |||
Rocket Pharmaceuticals, Inc.(1) | 1,545 | $ 42 | |
Ultragenyx Pharmaceutical, Inc.(1) | 1,110 | 52 | |
767 | |||
Broadline Retail—0.2% | |||
Amazon.com, Inc.(1) | 1,434 | 259 | |
MercadoLibre, Inc.(1) | 6 | 9 | |
268 | |||
Building Products—0.4% | |||
Allegion plc | 997 | 134 | |
Builders FirstSource, Inc.(1) | 551 | 115 | |
Johnson Controls International plc | 1,167 | 76 | |
Trane Technologies plc | 628 | 189 | |
Trex Co., Inc.(1) | 1,526 | 152 | |
666 | |||
Capital Markets—0.8% | |||
Cboe Global Markets, Inc. | 1,078 | 198 | |
CME Group, Inc. Class A | 416 | 90 | |
Federated Hermes, Inc. Class B | 2,968 | 107 | |
Golub Capital BDC, Inc. | 9,085 | 151 | |
Invesco Ltd. | 6,080 | 101 | |
Janus Henderson Group plc | 3,879 | 128 | |
MarketAxess Holdings, Inc. | 636 | 139 | |
Morningstar, Inc. | 327 | 101 | |
Victory Capital Holdings, Inc. Class A | 2,835 | 120 | |
1,135 | |||
Chemicals—0.3% | |||
International Flavors & Fragrances, Inc. | 1,007 | 87 | |
Linde plc | 162 | 75 | |
NewMarket Corp. | 235 | 149 | |
Sherwin-Williams Co. (The) | 383 | 133 | |
444 | |||
Commercial Services & Supplies—0.4% | |||
Cintas Corp. | 323 | 222 | |
Ennis, Inc. | 12,178 | 250 | |
Republic Services, Inc. Class A | 218 | 41 | |
Waste Management, Inc. | 483 | 103 | |
616 | |||
Communications Equipment—0.1% | |||
Cisco Systems, Inc. | 738 | 37 | |
Motorola Solutions, Inc. | 223 | 79 | |
116 | |||
Construction & Engineering—0.3% | |||
AECOM | 545 | 54 |
Shares | Value | ||
Construction & Engineering—continued | |||
MDU Resources Group, Inc. | 12,306 | $ 310 | |
Quanta Services, Inc. | 602 | 156 | |
520 | |||
Construction Materials—0.3% | |||
Eagle Materials, Inc. | 511 | 139 | |
Knife River Corp.(1) | 1,081 | 88 | |
Martin Marietta Materials, Inc. | 170 | 104 | |
Vulcan Materials Co. | 608 | 166 | |
497 | |||
Consumer Finance—0.2% | |||
Nelnet, Inc. Class A | 1,611 | 152 | |
World Acceptance Corp.(1) | 1,510 | 219 | |
371 | |||
Consumer Staples Distribution & Retail—0.5% | |||
Casey’s General Stores, Inc. | 248 | 79 | |
Dollar General Corp. | 1,626 | 254 | |
Sysco Corp. | 1,145 | 93 | |
U.S. Foods Holding Corp.(1) | 2,410 | 130 | |
Walmart, Inc. | 2,544 | 153 | |
709 | |||
Containers & Packaging—0.1% | |||
AptarGroup, Inc. | 1,026 | 148 | |
Distributors—0.1% | |||
Genuine Parts Co. | 1,052 | 163 | |
Diversified Consumer Services—0.2% | |||
Grand Canyon Education, Inc.(1) | 562 | 77 | |
Rollins, Inc. | 4,181 | 193 | |
Universal Technical Institute, Inc.(1) | 4,124 | 66 | |
336 | |||
Diversified REITs—0.2% | |||
Agree Realty Corp. | 1,752 | 100 | |
Equity Commonwealth(1) | 2,198 | 41 | |
First Industrial Realty Trust, Inc. | 1,326 | 70 | |
Realty Income Corp. | 474 | 26 | |
237 | |||
Diversified Telecommunication Services—0.6% | |||
AT&T, Inc. | 15,226 | 268 | |
IDT Corp. Class B | 4,570 | 173 | |
Verizon Communications, Inc. | 9,551 | 400 | |
841 | |||
Electric Utilities—0.5% | |||
Alliant Energy Corp. | 522 | 26 |
See Notes to Consolidated Schedule of Investments
1
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Shares | Value | ||
Electric Utilities—continued | |||
American Electric Power Co., Inc. | 401 | $ 34 | |
Duke Energy Corp. | 1,087 | 105 | |
Entergy Corp. | 253 | 27 | |
Evergy, Inc. | 422 | 23 | |
FirstEnergy Corp. | 4,660 | 180 | |
IDACORP, Inc. | 388 | 36 | |
MGE Energy, Inc. | 374 | 29 | |
OGE Energy Corp. | 838 | 29 | |
PG&E Corp. | 8,286 | 139 | |
Pinnacle West Capital Corp. | 374 | 28 | |
PPL Corp. | 1,285 | 35 | |
Xcel Energy, Inc. | 668 | 36 | |
727 | |||
Electrical Equipment—0.3% | |||
AMETEK, Inc. | 835 | 153 | |
Eaton Corp. plc | 381 | 119 | |
Emerson Electric Co. | 546 | 62 | |
Vertiv Holdings Co. Class A | 1,215 | 99 | |
433 | |||
Electronic Equipment, Instruments & Components—0.6% | |||
Amphenol Corp. Class A | 668 | 77 | |
CDW Corp. | 567 | 145 | |
Flex Ltd.(1) | 2,988 | 86 | |
Insight Enterprises, Inc.(1) | 1,056 | 196 | |
Jabil, Inc. | 1,306 | 175 | |
Trimble, Inc.(1) | 1,445 | 93 | |
Vontier Corp. | 3,312 | 150 | |
922 | |||
Energy Equipment & Services—0.2% | |||
Baker Hughes Co. Class A | 2,075 | 70 | |
Halliburton Co. | 3,386 | 133 | |
Schlumberger N.V. | 2,542 | 139 | |
342 | |||
Entertainment—0.4% | |||
Electronic Arts, Inc. | 1,207 | 160 | |
Playtika Holding Corp. | 47,991 | 338 | |
Spotify Technology S.A.(1) | 100 | 27 | |
Walt Disney Co. (The) | 253 | 31 | |
556 | |||
Financial Services—0.6% | |||
Corpay, Inc.(1) | 498 | 154 | |
Euronet Worldwide, Inc.(1) | 989 | 109 | |
Fiserv, Inc.(1) | 1,038 | 166 | |
NMI Holdings, Inc. Class A(1) | 4,461 | 144 | |
Visa, Inc. Class A | 1,172 | 327 | |
900 | |||
Food Products—0.4% | |||
Campbell Soup Co. | 886 | 39 | |
Conagra Brands, Inc. | 970 | 29 | |
Flowers Foods, Inc. | 1,004 | 24 | |
Freshpet, Inc.(1) | 613 | 71 |
Shares | Value | ||
Food Products—continued | |||
General Mills, Inc. | 587 | $ 41 | |
Hershey Co. (The) | 712 | 139 | |
Hormel Foods Corp. | 909 | 32 | |
Ingredion, Inc. | 723 | 84 | |
J.M. Smucker Co. (The) | 207 | 26 | |
Kellanova | 718 | 41 | |
Post Holdings, Inc.(1) | 317 | 34 | |
TreeHouse Foods, Inc.(1) | 2,318 | 90 | |
650 | |||
Gas Utilities—0.1% | |||
Southwest Gas Holdings, Inc. | 1,580 | 120 | |
Ground Transportation—0.5% | |||
Landstar System, Inc. | 748 | 144 | |
Saia, Inc.(1) | 170 | 99 | |
Uber Technologies, Inc.(1) | 2,448 | 189 | |
Union Pacific Corp. | 1,141 | 281 | |
713 | |||
Health Care REITs—0.1% | |||
LTC Properties, Inc. | 2,446 | 79 | |
Healthcare Equipment & Supplies—0.2% | |||
Becton Dickinson & Co. | 444 | 110 | |
Boston Scientific Corp.(1) | 1,231 | 84 | |
Hologic, Inc.(1) | 986 | 77 | |
271 | |||
Healthcare Providers & Services—0.6% | |||
Cencora, Inc. | 120 | 29 | |
Chemed Corp. | 255 | 164 | |
CorVel Corp.(1) | 517 | 136 | |
HCA Healthcare, Inc. | 401 | 134 | |
Humana, Inc. | 248 | 86 | |
McKesson Corp. | 139 | 75 | |
ModivCare, Inc.(1) | 1,033 | 24 | |
Premier, Inc. Class A | 3,507 | 77 | |
Quest Diagnostics, Inc. | 610 | 81 | |
UnitedHealth Group, Inc. | 164 | 81 | |
887 | |||
Healthcare Technology—0.0% | |||
HealthStream, Inc. | 2,680 | 71 | |
Hotels, Restaurants & Leisure—0.7% | |||
Bloomin’ Brands, Inc. | 3,033 | 87 | |
Carnival Corp.(1) | 4,917 | 80 | |
Chipotle Mexican Grill, Inc. Class A(1) | 43 | 125 | |
DoorDash, Inc. Class A(1) | 197 | 27 | |
Hilton Worldwide Holdings, Inc. | 754 | 161 | |
McDonald’s Corp. | 359 | 101 | |
MGM Resorts International(1) | 2,021 | 96 | |
Royal Caribbean Cruises Ltd.(1) | 681 | 95 | |
Wendy’s Co. (The) | 8,035 | 151 |
Shares | Value | ||
Hotels, Restaurants & Leisure—continued | |||
Wynn Resorts Ltd. | 945 | $ 97 | |
Yum! Brands, Inc. | 601 | 83 | |
1,103 | |||
Household Durables—0.7% | |||
DR Horton, Inc. | 645 | 106 | |
Garmin Ltd. | 533 | 80 | |
Helen of Troy Ltd.(1) | 2,673 | 308 | |
Installed Building Products, Inc. | 561 | 145 | |
Lennar Corp. Class A | 479 | 83 | |
PulteGroup, Inc. | 856 | 103 | |
Sonos, Inc.(1) | 3,152 | 60 | |
TopBuild Corp.(1) | 241 | 106 | |
991 | |||
Household Products—0.3% | |||
Church & Dwight Co., Inc. | 396 | 41 | |
Colgate-Palmolive Co. | 1,256 | 113 | |
Kimberly-Clark Corp. | 227 | 30 | |
Reynolds Consumer Products, Inc. | 3,223 | 92 | |
WD-40 Co. | 415 | 105 | |
381 | |||
Industrial Conglomerates—0.3% | |||
General Electric Co. | 1,414 | 248 | |
Honeywell International, Inc. | 720 | 148 | |
396 | |||
Insurance—1.3% | |||
Aflac, Inc. | 932 | 80 | |
Aon plc Class A | 272 | 91 | |
Chubb Ltd. | 379 | 98 | |
Erie Indemnity Co. Class A | 314 | 126 | |
Gallagher (Arthur J.) & Co. | 128 | 32 | |
Globe Life, Inc. | 232 | 27 | |
Kinsale Capital Group, Inc. | 274 | 144 | |
Loews Corp. | 417 | 33 | |
Markel Group, Inc.(1) | 48 | 73 | |
Marsh & McLennan Cos., Inc. | 1,167 | 241 | |
Old Republic International Corp. | 2,616 | 80 | |
Progressive Corp. (The) | 475 | 98 | |
Ryan Specialty Holdings, Inc. Class A | 12,797 | 710 | |
Travelers Cos., Inc. (The) | 321 | 74 | |
Willis Towers Watson plc | 258 | 71 | |
1,978 | |||
Interactive Media & Services—0.2% | |||
Alphabet, Inc. Class A(1) | 1,212 | 183 | |
Meta Platforms, Inc. Class A | 345 | 167 | |
Pinterest, Inc. Class A(1) | 168 | 6 | |
356 | |||
See Notes to Consolidated Schedule of Investments
2
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Shares | Value | ||
IT Services—0.3% | |||
Accenture plc Class A | 46 | $ 16 | |
Amdocs Ltd. | 1,823 | 165 | |
Cloudflare, Inc. Class A(1) | 203 | 20 | |
GoDaddy, Inc. Class A(1) | 943 | 112 | |
International Business Machines Corp. | 9 | 2 | |
MongoDB, Inc. Class A(1) | 32 | 11 | |
Okta, Inc. Class A(1) | 349 | 36 | |
Wix.com Ltd.(1) | 574 | 79 | |
441 | |||
Leisure Products—0.1% | |||
Sturm Ruger & Co., Inc. | 1,769 | 82 | |
Life Sciences Tools & Services—0.3% | |||
Danaher Corp. | 181 | 45 | |
Fortrea Holdings, Inc.(1) | 1,651 | 66 | |
QIAGEN N.V. | 3,387 | 146 | |
Waters Corp.(1) | 366 | 126 | |
383 | |||
Machinery—1.4% | |||
AGCO Corp. | 5,843 | 719 | |
Allison Transmission Holdings, Inc. | 1,917 | 155 | |
Caterpillar, Inc. | 750 | 275 | |
Deere & Co. | 551 | 226 | |
Donaldson Co., Inc. | 1,148 | 86 | |
Illinois Tool Works, Inc. | 1,199 | 322 | |
Lincoln Electric Holdings, Inc. | 531 | 135 | |
Otis Worldwide Corp. | 1,549 | 154 | |
Snap-on, Inc. | 277 | 82 | |
2,154 | |||
Marine Transportation—0.1% | |||
Kirby Corp.(1) | 1,315 | 125 | |
Matson, Inc. | 775 | 87 | |
212 | |||
Media—0.1% | |||
Omnicom Group, Inc. | 887 | 86 | |
Metals & Mining—0.2% | |||
Freeport-McMoRan, Inc. | 2,496 | 117 | |
Southern Copper Corp. | 2,253 | 240 | |
357 | |||
Mortgage Real Estate Investment Trusts (REITs)—0.5% | |||
Chimera Investment Corp. | 25,429 | 117 | |
Ellington Financial, Inc. | 7,328 | 86 | |
Invesco Mortgage Capital, Inc. | 32,028 | 310 | |
PennyMac Mortgage Investment Trust | 17,956 | 264 | |
777 | |||
Multi-Utilities—0.2% | |||
Ameren Corp. | 475 | 35 | |
CenterPoint Energy, Inc. | 812 | 23 |
Shares | Value | ||
Multi-Utilities—continued | |||
CMS Energy Corp. | 553 | $ 33 | |
Consolidated Edison, Inc. | 1,165 | 106 | |
DTE Energy Co. | 330 | 37 | |
Northwestern Energy Group, Inc. | 545 | 28 | |
Public Service Enterprise Group, Inc. | 405 | 27 | |
WEC Energy Group, Inc. | 388 | 32 | |
321 | |||
Oil, Gas & Consumable Fuels—2.0% | |||
Antero Midstream Corp. | 24,669 | 347 | |
Callon Petroleum Co.(1) | 14,481 | 518 | |
Chesapeake Energy Corp. | 1,140 | 101 | |
CrossAmerica Partners LP | 3,054 | 70 | |
CVR Energy, Inc. | 2,397 | 85 | |
Delek Logistics Partners LP | 3,066 | 126 | |
Dorchester Minerals LP | 4,689 | 158 | |
Hess Corp. | 3,131 | 478 | |
Marathon Petroleum Corp. | 638 | 128 | |
Pioneer Natural Resources Co. | 2,168 | 569 | |
REX American Resources Corp.(1) | 3,712 | 218 | |
Targa Resources Corp. | 1,309 | 147 | |
2,945 | |||
Personal Care Products—0.1% | |||
Coty, Inc. Class A(1) | 6,257 | 75 | |
Edgewell Personal Care Co. | 1,903 | 73 | |
148 | |||
Pharmaceuticals—0.5% | |||
Axsome Therapeutics, Inc.(1) | 839 | 67 | |
Bausch Health Cos., Inc.(1) | 5,026 | 53 | |
Bristol-Myers Squibb Co. | 1,463 | 79 | |
Eli Lilly & Co. | 147 | 114 | |
Johnson & Johnson | 998 | 158 | |
Merck & Co., Inc. | 247 | 33 | |
SIGA Technologies, Inc. | 20,144 | 173 | |
Zoetis, Inc. Class A | 716 | 121 | |
798 | |||
Professional Services—1.0% | |||
Automatic Data Processing, Inc. | 309 | 77 | |
Booz Allen Hamilton Holding Corp. Class A | 938 | 139 | |
CACI International, Inc. Class A(1) | 63 | 24 | |
Fair Isaac Corp.(1) | 79 | 99 | |
Insperity, Inc. | 1,114 | 122 | |
Paychex, Inc. | 1,080 | 133 | |
Thomson Reuters Corp. | 5,319 | 829 | |
1,423 | |||
Real Estate Management & Development—0.1% | |||
CBRE Group, Inc. Class A(1) | 1,012 | 99 |
Shares | Value | ||
Real Estate Management & Development—continued | |||
Howard Hughes Holdings, Inc.(1) | 1,434 | $ 104 | |
203 | |||
Residential REITs—0.1% | |||
Equity LifeStyle Properties, Inc. | 1,107 | 71 | |
Equity Residential | 1,437 | 91 | |
162 | |||
Retail REITs—0.3% | |||
Getty Realty Corp. | 1,007 | 27 | |
NNN REIT, Inc. | 8,674 | 371 | |
398 | |||
Semiconductors & Semiconductor Equipment—0.4% | |||
Broadcom, Inc. | 105 | 139 | |
First Solar, Inc.(1) | 229 | 39 | |
Intel Corp. | 1,159 | 51 | |
Semtech Corp.(1) | 9,070 | 249 | |
Tower Semiconductor Ltd.(1) | 1,578 | 53 | |
531 | |||
Software—2.3% | |||
Adobe, Inc. (1) | 42 | 21 | |
Check Point Software Technologies Ltd.(1) | 443 | 73 | |
Crowdstrike Holdings, Inc. Class A(1) | 253 | 81 | |
CyberArk Software Ltd.(1) | 277 | 73 | |
DocuSign, Inc. Class A(1) | 3,611 | 215 | |
Dolby Laboratories, Inc. Class A | 904 | 76 | |
Elastic N.V.(1) | 636 | 64 | |
Gen Digital, Inc. | 4,181 | 94 | |
Intapp, Inc.(1) | 1,486 | 51 | |
JFrog Ltd.(1) | 1,199 | 53 | |
Microsoft Corp. | 713 | 300 | |
nCino, Inc.(1) | 9,579 | 358 | |
Nutanix, Inc. Class A(1) | 1,319 | 81 | |
Palantir Technologies, Inc. Class A(1) | 867 | 20 | |
PTC, Inc.(1) | 852 | 161 | |
Roper Technologies, Inc. | 331 | 186 | |
Salesforce, Inc. | 402 | 121 | |
ServiceNow, Inc.(1) | 125 | 95 | |
Smartsheet, Inc. Class A(1) | 7,880 | 303 | |
SolarWinds Corp.(1) | 27,629 | 349 | |
Sprinklr, Inc. Class A(1) | 17,748 | 218 | |
Tyler Technologies, Inc.(1) | 264 | 112 | |
Verint Systems, Inc.(1) | 6,451 | 214 | |
Zeta Global Holdings Corp. Class A(1) | 5,640 | 62 | |
Zuora, Inc. Class A(1) | 7,481 | 68 | |
3,449 | |||
See Notes to Consolidated Schedule of Investments
3
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Shares | Value | ||
Specialized REITs—0.0% | |||
Four Corners Property Trust, Inc. | 1,182 | $ 29 | |
Specialty Retail—1.5% | |||
Arhaus, Inc. Class A | 33,347 | 513 | |
Bath & Body Works, Inc. | 255 | 13 | |
CarMax, Inc.(1) | 3,716 | 324 | |
GameStop Corp. Class A(1) | 11,646 | 146 | |
Guess?, Inc. | 26,999 | 850 | |
O’Reilly Automotive, Inc.(1) | 70 | 79 | |
RH(1) | 696 | 242 | |
Tractor Supply Co. | 449 | 117 | |
2,284 | |||
Technology Hardware, Storage & Peripherals—0.1% | |||
Apple, Inc. | 1,025 | 176 | |
HP, Inc. | 160 | 5 | |
181 | |||
Textiles, Apparel & Luxury Goods—0.4% | |||
Deckers Outdoor Corp.(1) | 123 | 115 | |
Movado Group, Inc. | 12,706 | 355 | |
NIKE, Inc. Class B | 1,243 | 117 | |
587 | |||
Tobacco—0.1% | |||
Philip Morris International, Inc. | 254 | 23 | |
Universal Corp. | 1,381 | 72 | |
95 | |||
Trading Companies & Distributors—0.8% | |||
Fastenal Co. | 3,016 | 233 | |
GMS, Inc.(1) | 1,398 | 136 | |
McGrath RentCorp. | 3,831 | 473 | |
MSC Industrial Direct Co., Inc. Class A | 1,434 | 139 | |
United Rentals, Inc. | 322 | 232 | |
1,213 | |||
Water Utilities—0.1% | |||
York Water Co. (The) | 2,401 | 87 | |
Wireless Telecommunication Services—0.1% | |||
T-Mobile US, Inc. | 962 | 157 | |
Total Common Stocks (Identified Cost $37,535) | 42,268 | ||
Master Limited Partnerships and Related Companies—1.0% | |||
Diversified—0.4% | |||
Enterprise Products Partners LP | 5,255 | 153 |
Shares | Value | ||
Diversified—continued | |||
MPLX LP | 10,077 | $ 419 | |
572 | |||
Downstream/Other—0.2% | |||
USA Compression Partners LP | 12,621 | 337 | |
Electric, LDC & Power—0.2% | |||
Suburban Propane Partners LP | 16,489 | 337 | |
Gathering/Processing—0.0% | |||
Western Midstream Partners LP | 1,054 | 38 | |
Liquefied Natural Gas—0.1% | |||
Cheniere Energy Partners LP | 2,498 | 123 | |
Petroleum Transportation & Storage—0.1% | |||
Genesis Energy LP | 9,711 | 108 | |
Total Master Limited Partnerships and Related Companies (Identified Cost $1,496) | 1,515 | ||
Total Long-Term Investments—29.4% (Identified Cost $39,031) | 43,783 |
Par Value | ||
Short-Term Investments—62.7% | ||
Certificates of Deposits—10.1% | ||
Bank of America N.A. (SOFR + 0.650%) 5.970% 4/12/24(2) | $ 9,000 | 9,002 |
Royal Bank of Canada 5.960% 9/20/24 | 4,000 | 4,008 |
Toronto-Dominion Bank (NY) 5.890% 5/22/24 | 2,000 | 2,001 |
Total Certificates of Deposits (Identified Cost $15,000) | 15,011 |
Shares | ||
Money Market Mutual Fund—7.2% | ||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 5.200%)(3) | 10,776,379 | 10,776 |
Total Money Market Mutual Fund (Identified Cost $10,776) | 10,776 |
Par Value | Value | ||
U.S. Government Securities—45.4% | |||
U.S. Treasury Bills | |||
0.000%, 4/9/24(4) | $ 1,000 | $ 999 | |
0.000%, 4/11/24(4) | 2,000 | 1,997 | |
0.000%, 4/16/24(4) | 10,000 | 9,978 | |
0.000%, 4/18/24(4) | 4,000 | 3,990 | |
0.000%, 5/2/24(4) | 4,500 | 4,480 | |
0.000%, 5/7/24(4) | 10,000 | 9,947 | |
0.000%, 5/14/24(4) | 8,000 | 7,950 | |
0.000%, 5/21/24(4) | 2,500 | 2,482 | |
0.000%, 5/23/24(4) | 8,000 | 7,939 | |
0.000%, 6/13/24(4) | 3,000 | 2,968 | |
0.000%, 7/11/24(4) | 11,000 | 10,841 | |
0.000%, 7/16/24(4) | 4,000 | 3,939 | |
Total U.S. Government Securities (Identified Cost $67,516) | 67,510 | ||
Total Short-Term Investments (Identified Cost $93,292) | 93,297 | ||
TOTAL INVESTMENTS—92.1% (Identified Cost $132,323) | $137,080 | ||
Other assets and liabilities, net—7.9% | 11,756 | ||
NET ASSETS—100.0% | $148,836 |
Abbreviations: | |
BTP | Italian Buonie |
CAC | Cotation Assistée en Continu |
DAX | Deutsche Boerse AG German Stock Index |
EAFE | Europe, Australasia and Far East |
EURIBOR | Euro Interbank Offered Rate |
FTSE | Financial Times Stock Exchange |
HSCEI | Hang Seng China Enterprises Index |
IBEX | Spanish Stock Exchange |
LME | London Metal Exchange |
LP | Limited Partnership |
MIB | Milano Indice di Borsa |
MSCI | Morgan Stanley Capital International |
OAT | Obligations Assimilables du Trésor |
OMXS | Nordic Exchange Stockholm Index |
PLC | Public Limited Company |
RBOB | Reformulated Gasoline Blendstock for Oxygenate Blending |
REIT | Real Estate Investment Trust |
S&P | Standard & Poor’s |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
SPI | Share Price Index |
STOXX | Stock Index of the Eurozone |
TOPIX | Tokyo Stock Price Index |
TSX | Toronto Stock Exchange |
ULSD | Ultra Low Sulfur Diesel |
WTI | West Texas Intermediate |
See Notes to Consolidated Schedule of Investments
4
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Variable rate security. Rate disclosed is as of March 31, 2024. 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) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(4) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
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 | 95% |
Canada | 4 |
Ireland | 1 |
Total | 100% |
† % of total investments as of March 31, 2024. |
Exchange-traded futures contracts as of March 31, 2024 were as follows: | |||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized Depreciation |
Long Contracts: | |||||
CAC 40® 10 Euro Future | April 2024 | 6 | $532 | $11 | $— |
FTSE China Index Future | April 2024 | 162 | 1,963 | 7 | — |
FTSE Taiwan Index Future | April 2024 | 11 | 759 | — | —(1) |
HSCEI Index Future | April 2024 | 34 | 1,263 | — | (2) |
IBEX 35 Index Future | April 2024 | 7 | 836 | 54 | — |
Indian Rupee Future | April 2024 | 275 | 6,592 | — | (40) |
OMXS 30 Index Future | April 2024 | 22 | 519 | 11 | — |
Brazil Real Future | May 2024 | 112 | 2,229 | — | (10) |
Coffee ’C’ Future | May 2024 | 16 | 1,133 | 32 | — |
Copper Future | May 2024 | 26 | 2,605 | — | (22) |
Low Sulphur Gas Oil Future | May 2024 | 24 | 1,939 | — | (2) |
NY Harbor ULSD Future | May 2024 | 5 | 551 | — | (6) |
WTI Crude Future | May 2024 | 30 | 2,495 | 101 | — |
10 Year Australian Bond Future | June 2024 | 8 | 608 | —(1) | — |
10 Year Canadian Bond Future | June 2024 | 11 | 977 | 2 | — |
10 Year U.K. Gilt Future | June 2024 | 98 | 12,362 | 159 | — |
10 Year U.S. Ultra Bond Future | June 2024 | 18 | 2,063 | 6 | — |
Australian Dollar Future | June 2024 | 9 | 588 | — | (9) |
Brent Crude Future | June 2024 | 28 | 2,436 | 152 | — |
DAX Index Future | June 2024 | 1 | 506 | 14 | — |
Dollar Index Future | June 2024 | 35 | 3,649 | 63 | — |
Euro STOXX 50® Index Future | June 2024 | 79 | 4,300 | 129 | — |
Euro-BTP Future | June 2024 | 8 | 1,027 | —(1) | — |
Euro-OAT Future | June 2024 | 20 | 2,766 | 20 | — |
FTSE 100 Index Future | June 2024 | 3 | 302 | 8 | — |
FTSE/MIB Index Future | June 2024 | 2 | 369 | 14 | — |
Gold Future | June 2024 | 10 | 2,238 | 43 | — |
Japanese Yen Future | June 2024 | 12 | 1,003 | — | (1) |
Live Cattle Future | June 2024 | 23 | 1,658 | — | (39) |
LME Pri Aluminium Future | June 2024 | 7 | 409 | 8 | — |
LME Zinc Future | June 2024 | 15 | 913 | — | (8) |
Mexican Peso Future | June 2024 | 116 | 3,448 | 39 | — |
MSCI EAFE® Index Future | June 2024 | 58 | 6,836 | — | (10) |
MSCI Emerging Markets Index Future | June 2024 | 157 | 8,235 | 9 | — |
Nasdaq 100® E-Mini Future | June 2024 | 17 | 6,282 | 63 | — |
Nikkei 225 Stock Average Future | June 2024 | 1 | 266 | 2 | — |
See Notes to Consolidated Schedule of Investments
5
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Exchange-traded futures contracts as of March 31, 2024 were as follows (continued): | ||||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized Depreciation | |
Russell 2000® E-Mini Future | June 2024 | 128 | $13,734 | $291 | $— | |
S&P 500® E-Mini Future | June 2024 | 24 | 6,370 | 50 | — | |
S&P Mid 400® E-Mini Index Future | June 2024 | 28 | 8,617 | 254 | — | |
S&P/TSX 60 Index Future | June 2024 | 6 | 1,188 | 20 | — | |
SPI 200 Future | June 2024 | 12 | 1,554 | 46 | — | |
STOXX Europe 600 Future | June 2024 | 435 | 11,986 | 254 | — | |
TOPIX Index Future | June 2024 | 27 | 4,904 | 94 | — | |
Soybean Future | July 2024 | 37 | 2,230 | — | (2) | |
3-Month SOFR Future | September 2024 | 11 | 2,616 | —(1) | — | |
$1,956 | $(151) | |||||
Short Contracts: | ||||||
Gasoline RBOB Future | May 2024 | (6) | (686) | — | (30) | |
10 Year Euro-Bund Future | June 2024 | (103) | (14,821) | — | (90) | |
10 Year U.S. Treasury Note Future | June 2024 | (165) | (18,281) | — | (60) | |
2 Year U.S. Treasury Note Future | June 2024 | (12) | (2,454) | 3 | — | |
3 Year Australian Bond Future | June 2024 | (19) | (1,324) | —(1) | — | |
3-Month EURIBOR Future | June 2024 | (33) | (8,576) | 12 | — | |
3-Month SONIA Index Future | June 2024 | (13) | (3,899) | — | —(1) | |
5 Year U.S. Treasury Note Future | June 2024 | (15) | (1,605) | — | (4) | |
British Pound Future | June 2024 | (79) | (6,235) | 65 | — | |
Canadian Dollar Future | June 2024 | (145) | (10,721) | 4 | — | |
Euro FX Currency Future | June 2024 | (64) | (8,657) | 35 | — | |
Euro-BOBL Future | June 2024 | (6) | (765) | — | (3) | |
Euro-Schatz Future | June 2024 | (33) | (3,763) | — | (3) | |
LME Nickel Future | June 2024 | (2) | (201) | — | (8) | |
LME Pri Aluminium Future | June 2024 | (30) | (1,751) | — | (106) | |
LME Zinc Future | June 2024 | (15) | (913) | — | (9) | |
Corn Future | July 2024 | (22) | (500) | — | (4) | |
Soybean Meal Future | July 2024 | (29) | (989) | — | (19) | |
Soybean Oil Future | July 2024 | (31) | (902) | — | (47) | |
Sugar #11World Future | July 2024 | (38) | (943) | — | (10) | |
Wheat Future | July 2024 | (54) | (1,555) | 72 | — | |
191 | (393) | |||||
Total | $2,147 | $(544) | ||||
Footnote Legend: | ||||||
(1)Amount is less than $500 (not in thousands). |
Forward foreign currency exchange contracts as of March 31, 2024 were as follows: | ||||||||
Currency Purchased | Currency Amount Purchased | Currency Sold | Currency Amount Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
CHF | 3,625 | USD | 4,115 | UBS AG | 06/20/24 | $— | $(58) | |
NOK | 18,000 | USD | 1,690 | UBS AG | 06/20/24 | — | (29) | |
NZD | 19,200 | USD | 11,585 | UBS AG | 06/20/24 | — | (113) | |
PLN | 3,500 | USD | 890 | UBS AG | 06/20/24 | — | (15) | |
SEK | 58,000 | USD | 5,647 | UBS AG | 06/20/24 | — | (210) | |
SGD | 1,125 | USD | 848 | UBS AG | 06/20/24 | — | (12) | |
USD | 10,236 | CHF | 9,000 | UBS AG | 06/20/24 | 165 | — | |
USD | 2,092 | NOK | 22,000 | UBS AG | 06/20/24 | 62 | — | |
USD | 7,952 | NZD | 12,900 | UBS AG | 06/20/24 | 245 | — | |
USD | 428 | ZAR | 8,000 | UBS AG | 06/20/24 | 8 | — | |
Total | $480 | $(437) |
See Notes to Consolidated Schedule of Investments
6
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Over-the-counter equity basket total return swaps(1) outstanding as of March 31, 2024 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 | $(29,070) | $— | $(29,070) | (19.53)% |
Footnote Legend: | |
(1) | The Fund receives or pays, on a quarterly 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%-0.98% 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 March 31, 2024:
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Aerospace & Defense | |||||
Raytheon Technologies Corp. | (202) | $(20) | 0.07% | ||
Automobile Components | |||||
Aptiv plc | (1,833) | (146) | 0.48% | ||
BorgWarner, Inc. | (4,729) | (164) | 0.54% | ||
(310) | |||||
Automobiles | |||||
Ford Motor Co. | (2,520) | (34) | 0.11% | ||
General Motors Co. | (1,486) | (67) | 0.22% | ||
Rivian Automotive, Inc. | (12,389) | (136) | 0.45% | ||
(237) | |||||
Banks | |||||
Bank of NT Butterfield & Son Ltd. (The) | (11,063) | (354) | 1.17% | ||
Comerica, Inc. | (1,409) | (78) | 0.25% | ||
Eastern Bankshares, Inc. | (19,207) | (265) | 0.87% | ||
Glacier Bancorp, Inc. | (2,517) | (101) | 0.33% | ||
KeyCorp | (5,894) | (93) | 0.31% | ||
Truist Financial Corp. | (1,595) | (62) | 0.21% | ||
Zions Bancorp NA | (1,616) | (70) | 0.23% | ||
(1,023) | |||||
Biotechnology | |||||
Moderna, Inc. | (2,177) | (232) | 0.77% | ||
Natera, Inc. | (1,472) | (135) | 0.44% | ||
Syndax Pharmaceuticals, Inc. | (3,536) | (84) | 0.27% | ||
Twist Bioscience Corp. | (1,387) | (47) | 0.16% | ||
Veracyte, Inc. | (2,833) | (63) | 0.21% | ||
(561) | |||||
Broadline Retail | |||||
Coupang, Inc. | (8,806) | (156) | 0.52% | ||
Dollar Tree, Inc. | (1,006) | (134) | 0.44% | ||
Etsy, Inc. | (2,193) | (151) | 0.50% | ||
Global-e Online Ltd. | (5,142) | (187) | 0.61% | ||
(628) | |||||
Capital Markets | |||||
Coinbase Global, Inc. | (1,201) | (318) | 1.05% | ||
Jefferies Financial Group, Inc. | (3,013) | (133) | 0.44% | ||
Patria Investments Ltd. | (9,661) | (143) | 0.47% | ||
Robinhood Markets, Inc. | (7,681) | (155) | 0.51% | ||
XP, Inc. | (2,343) | (60) | 0.20% | ||
(809) |
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Chemicals | |||||
Albemarle Corp. | (1,083) | $(143) | 0.47% | ||
Aspen Aerogels, Inc. | (6,310) | (111) | 0.37% | ||
CF Industries Holdings, Inc. | (1,218) | (101) | 0.33% | ||
Chemours Co. (The) | (8,520) | (224) | 0.74% | ||
Corteva, Inc. | (2,304) | (133) | 0.44% | ||
FMC Corp. | (953) | (61) | 0.20% | ||
Mosaic Co. (The) | (2,454) | (79) | 0.26% | ||
(852) | |||||
Commercial Services & Supplies | |||||
ACV Auctions, Inc. | (7,287) | (137) | 0.45% | ||
Communications Equipment | |||||
Arista Networks, Inc. | (189) | (55) | 0.18% | ||
Calix, Inc. | (2,718) | (90) | 0.30% | ||
Lumentum Holdings, Inc. | (1,929) | (91) | 0.30% | ||
(236) | |||||
Construction & Engineering | |||||
Fluor Corp. | (1,574) | (66) | 45.94% | ||
WillScot Mobile Mini Holdings Corp. | (10,877) | (506) | 1.66% | ||
(572) | |||||
Consumer Staples Distribution & Retail | |||||
Grocery Outlet Holding Corp. | (3,308) | (95) | 0.31% | ||
Target Corp. | (1,469) | (260) | 0.86% | ||
Walgreens Boots Alliance, Inc. | (4,223) | (92) | 0.30% | ||
(447) | |||||
Containers & Packaging | |||||
Amcor plc | (8,818) | (84) | 0.28% | ||
Avery Dennison Corp. | (517) | (115) | 0.38% | ||
Sealed Air Corp. | (2,763) | (103) | 0.34% | ||
(302) | |||||
Diversified Consumer Services | |||||
H&R Block, Inc. | (1,603) | (79) | 0.26% | ||
Service Corp. International | (1,391) | (103) | 0.34% | ||
(182) | |||||
Diversified REITs | |||||
Boston Properties, Inc. | (1,454) | (95) | 0.31% | ||
Elme Communities | (10,295) | (143) | 0.47% | ||
Essential Properties Realty Trust, Inc. | (1,750) | (47) | 0.15% | ||
Gaming and Leisure Properties, Inc. | (5,082) | (234) | 0.77% | ||
Global Net Lease, Inc. | (14,923) | (116) | 0.38% |
See Notes to Consolidated Schedule of Investments
7
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Diversified REITs — continued | |||||
Kilroy Realty Corp. | (2,850) | $(104) | 0.34% | ||
Kite Realty Group Trust | (6,119) | (133) | 0.44% | ||
Macerich Co. (The) | (6,911) | (119) | 0.40% | ||
Service Properties Trust | (18,320) | (124) | 0.41% | ||
Simon Property Group, Inc. | (628) | (98) | 0.32% | ||
WP Carey, Inc. | (737) | (42) | 0.14% | ||
(1,255) | |||||
Diversified Telecommunication Services | |||||
Frontier Communications Parent, Inc. | (1,967) | (48) | 0.16% | ||
Iridium Communications, Inc. | (3,049) | (80) | 0.26% | ||
(128) | |||||
Electric Utilities | |||||
NextEra Energy, Inc. | (3,713) | (237) | 0.79% | ||
NRG Energy, Inc. | (141) | (10) | 0.03% | ||
Southern Co. (The) | (784) | (56) | 0.18% | ||
(303) | |||||
Electrical Equipment | |||||
Generac Holdings, Inc. | (1,449) | (183) | 0.60% | ||
Electronic Equipment, Instruments & Components | |||||
IPG Photonics Corp. | (1,462) | (133) | 0.44% | ||
Energy Equipment & Services | |||||
Diamond Offshore Drilling, Inc. | (9,163) | (125) | 0.41% | ||
Valaris Ltd. | (1,626) | (122) | 0.40% | ||
(247) | |||||
Entertainment | |||||
Endeavor Group Holdings, Inc. | (2,502) | (64) | 0.21% | ||
Live Nation Entertainment, Inc. | (1,435) | (152) | 0.50% | ||
Netflix, Inc. | (18) | (11) | 0.04% | ||
Roblox Corp. | (5,033) | (192) | 0.63% | ||
Roku, Inc. | (288) | (19) | 0.06% | ||
Sphere Entertainment Co. | (2,202) | (108) | 0.36% | ||
TKO Group Holdings, Inc. | (734) | (64) | 0.21% | ||
Warner Bros Discovery, Inc. | (12,858) | (112) | 0.37% | ||
(722) | |||||
Financial Services | |||||
Affirm Holdings, Inc. | (5,241) | (195) | 0.64% | ||
AvidXchange Holdings, Inc. | (10,037) | (132) | 0.43% | ||
Block, Inc. | (2,827) | (239) | 0.79% | ||
Cannae Holdings, Inc. | (6,877) | (153) | 0.50% | ||
Fidelity National Information Services, Inc. | (443) | (33) | 0.11% | ||
Marqeta, Inc. | (23,260) | (138) | 0.46% | ||
PayPal Holdings, Inc. | (3,564) | (239) | 0.78% | ||
Toast, Inc. | (1,392) | (35) | 0.12% | ||
(1,164) | |||||
Food Products | |||||
Bunge Global S.A. | (1,698) | (174) | 0.57% | ||
Kraft Heinz Co. (The) | (621) | (23) | 0.08% | ||
Mondelez International, Inc. | (148) | (10) | 0.04% | ||
Tyson Foods, Inc. | (2,459) | (145) | 0.47% | ||
(352) | |||||
Gas Utilities | |||||
Atmos Energy Corp. | (280) | (33) | 0.11% | ||
UGI Corp. | (5,332) | (131) | 0.43% | ||
(164) |
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Ground Transportation | |||||
Avis Budget Group, Inc. | (486) | $(60) | 0.19% | ||
Hertz Global Holdings, Inc. | (11,521) | (90) | 0.30% | ||
(150) | |||||
Ground Transportation | |||||
Grab Holdings Ltd. | (19,400) | (61) | (0.64%) | ||
Health Care REITs | |||||
Community Healthcare Trust, Inc. | (12,723) | (338) | 1.11% | ||
National Health Investors, Inc. | (5,414) | (340) | 1.12% | ||
Sabra Health Care REIT, Inc. | (10,424) | (154) | 0.51% | ||
Universal Health Realty Income Trust | (4,659) | (171) | 0.57% | ||
Ventas, Inc. | (2,939) | (128) | 0.42% | ||
(1,131) | |||||
Healthcare Equipment & Supplies | |||||
Abbott Laboratories | (255) | (29) | 0.09% | ||
Align Technology, Inc. | (201) | (66) | 0.22% | ||
Envista Holdings Corp. | (3,798) | (81) | 0.27% | ||
InMode Ltd | (3,954) | (86) | 0.28% | ||
Insulet Corp. | (500) | (86) | 0.28% | ||
Intuitive Surgical, Inc. | (189) | (75) | 0.25% | ||
Nevro Corp. | (5,597) | (81) | 0.27% | ||
(504) | |||||
Healthcare Providers & Services | |||||
Accolade, Inc. | (131) | (1) | 0.01% | ||
AMN Healthcare Services, Inc. | (1,502) | (94) | 0.31% | ||
CVS Health Corp. | (1,275) | (102) | 0.33% | ||
DaVita, Inc. | (587) | (81) | 0.27% | ||
(278) | |||||
Hotels, Restaurants & Leisure | |||||
Airbnb, Inc. | (1,018) | (168) | 0.55% | ||
DraftKings, Inc. | (1,730) | (79) | 0.26% | ||
Expedia Group, Inc. | (460) | (63) | 0.21% | ||
Genius Sports Ltd. | (21,954) | (125) | 0.41% | ||
International Game Technology plc | (5,767) | (130) | 0.43% | ||
Marriott Vacations Worldwide Corp. | (972) | (105) | 0.35% | ||
Norwegian Cruise Line Holdings Ltd. | (2,989) | (63) | 0.21% | ||
Sweetgreen, Inc. | (4,760) | (120) | 0.39% | ||
(853) | |||||
Household Durables | |||||
Newell Brands, Inc. | (10,295) | (83) | 0.27% | ||
Household Products | |||||
Procter & Gamble Co. (The) | (268) | (44) | 0.15% | ||
Spectrum Brands Holdings, Inc. | (1,563) | (139) | 0.45% | ||
(183) | |||||
Independent Power and Renewable Electricity Producers | |||||
Brookfield Renewable Corp. | (1,566) | (39) | 0.13% | ||
Vistra Corp. | (2,344) | (163) | 0.53% | ||
(202) | |||||
Industrial Conglomerates | |||||
3M Co. | (2,298) | (244) | 0.80% | ||
Industrial REITs | |||||
Plymouth Industrial REIT, Inc. | (5,954) | (134) | 0.44% | ||
Insurance | |||||
Allstate Corp. (The) | (20) | (4) | 0.01% | ||
Brighthouse Financial, Inc. | (2,796) | (144) | 0.47% |
See Notes to Consolidated Schedule of Investments
8
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Insurance — continued | |||||
BRP Group, Inc. | (6,716) | $(194) | 0.64% | ||
Oscar Health, Inc. | (8,537) | (127) | 0.43% | ||
(469) | |||||
Interactive Media & Services | |||||
Match Group, Inc. | (3,422) | (124) | 0.41% | ||
Snap, Inc. | (18,251) | (210) | 0.69% | ||
ZoomInfo Technologies, Inc. | (5,262) | (84) | 0.28% | ||
(418) | |||||
IT Services | |||||
DigitalOcean Holdings, Inc. | (1,575) | (60) | 0.19% | ||
DXC Technology Co. | (2,841) | (60) | 0.20% | ||
Snowflake, Inc. | (126) | (20) | 0.07% | ||
Twilio, Inc. | (2,562) | (157) | 0.52% | ||
(297) | |||||
Life Sciences Tools & Services | |||||
10X Genomics, Inc. | (701) | (26) | 0.08% | ||
Avantor, Inc. | (3,980) | (102) | 0.33% | ||
Illumina, Inc. | (660) | (91) | 0.30% | ||
Maravai LifeSciences Holdings, Inc. | (10,945) | (95) | 0.32% | ||
NeoGenomics, Inc. | (7,185) | (113) | 0.37% | ||
Pacific Biosciences of California, Inc. | (11,321) | (42) | 0.14% | ||
Sotera Health Co. | (4,320) | (52) | 51.46% | ||
Thermo Fisher Scientific, Inc. | (163) | (95) | 0.31% | ||
(616) | |||||
Media | |||||
Cable One, Inc. | (201) | (85) | 0.28% | ||
Charter Communications, Inc. | (121) | (35) | 0.12% | ||
Comcast Corp. | (3,217) | (140) | 0.46% | ||
Magnite, Inc. | (9,700) | (104) | 0.34% | ||
Trade Desk, Inc. (The) | (39) | (3) | 0.01% | ||
(367) | |||||
Metals & Mining | |||||
Alcoa Corp. | (7,389) | (250) | 0.82% | ||
Barrick Gold Corp. | (9,688) | (161) | 0.53% | ||
Kinross Gold Corp. | (12,480) | (76) | 0.26% | ||
MP Materials Corp. | (5,580) | (80) | 0.26% | ||
Pan American Silver Corp. | (12,418) | (187) | 0.62% | ||
(754) | |||||
Mortgage Real Estate Investment Trusts (REITs) | |||||
Annaly Capital Management, Inc. | (7,636) | (150) | 0.49% | ||
Apollo Commercial Real Estate Finance, Inc. | (29,447) | (328) | 1.08% | ||
Ladder Capital Corp. | (30,166) | (336) | 1.11% | ||
New York Mortgage Trust, Inc. | (41,668) | (300) | 0.99% | ||
(1,114) | |||||
Multi-Utilities | |||||
Dominion Energy, Inc. | (3,620) | (178) | 0.59% | ||
Sempra Energy | (980) | (70) | 0.23% | ||
(248) | |||||
Oil, Gas & Consumable Fuels | |||||
Antero Resources Corp. | (7,446) | (216) | 0.71% | ||
APA Corp. | (15,098) | (519) | 1.71% | ||
Cheniere Energy, Inc. | (951) | (153) | 0.50% | ||
Chevron Corp. | (2,782) | (439) | 1.45% | ||
Clean Energy Fuels Corp. | (47,797) | (128) | 0.42% | ||
Equitrans Midstream Corp. | (12,176) | (152) | 0.50% |
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Oil, Gas & Consumable Fuels — continued | |||||
Exxon Mobil Corp. | (3,998) | $(465) | 1.53% | ||
Green Plains, Inc. | (6,317) | (146) | 0.50% | ||
Matador Resources Co. | (1,249) | (83) | 0.27% | ||
Ovintiv, Inc. | (1,667) | (87) | 0.29% | ||
SFL Corp. Ltd. | (25,705) | (339) | 1.33% | ||
SM Energy Co. | (1,366) | (68) | 0.23% | ||
Uranium Energy Corp. | (16,578) | (112) | 0.37% | ||
(2,907) | |||||
Passenger Airlines | |||||
Delta Air Lines, Inc. | (5,499) | (263) | 0.87% | ||
JetBlue Airways Corp. | (12,084) | (90) | 0.29% | ||
Southwest Airlines Co. | (6,240) | (182) | 0.60% | ||
United Airlines Holdings, Inc. | (3,552) | (170) | 0.56% | ||
(705) | |||||
Personal Care Products | |||||
Estee Lauder Cos., Inc. (The) | (1,958) | (302) | 1.00% | ||
Kenvue, Inc. | (4,587) | (98) | 0.32% | ||
(400) | |||||
Pharmaceuticals | |||||
Elanco Animal Health, Inc. | (5,555) | (90) | 0.30% | ||
Organon & Co. | (4,049) | (76) | 0.25% | ||
Pfizer, Inc. | (3,246) | (90) | 0.30% | ||
Royalty Pharma plc | (351) | (11) | 0.03% | ||
(267) | |||||
Professional Services | |||||
Concentrix Corp. | (1,418) | (94) | 0.31% | ||
Paycor HCM, Inc. | (5,732) | (111) | 0.36% | ||
(205) | |||||
Real Estate Management & Development | |||||
DigitalBridge Group, Inc. | (13,472) | (260) | 0.86% | ||
Residential REITs | |||||
Apartment Investment and Management Co. | (18,765) | (154) | 0.51% | ||
UMH Properties, Inc. | (8,016) | (130) | 0.43% | ||
Veris Residential, Inc. | (9,176) | (139) | 0.46% | ||
(423) | |||||
Retail REITs | |||||
Acadia Realty Trust | (7,909) | (135) | 0.45% | ||
InvenTrust Properties Corp. | (5,445) | (140) | 0.46% | ||
(275) | |||||
Semiconductors & Semiconductor Equipment | |||||
Aehr Test Systems | (3,889) | (48) | 0.16% | ||
Allegro MicroSystems, Inc. | (2,643) | (71) | 0.23% | ||
Axcelis Technologies, Inc. | (184) | (21) | 0.07% | ||
Enphase Energy, Inc. | (757) | (92) | 0.30% | ||
Lattice Semiconductor Corp. | (396) | (31) | 0.10% | ||
Micron Technology, Inc. | (966) | (114) | 0.38% | ||
Navitas Semiconductor Corp. | (11,942) | (57) | 0.19% | ||
NVIDIA Corp. | (104) | (94) | 0.31% | ||
ON Semiconductor Corp. | (749) | (55) | 0.18% | ||
Silicon Laboratories, Inc. | (593) | (85) | 0.28% | ||
SolarEdge Technologies, Inc. | (1,279) | (91) | 0.30% | ||
Synaptics, Inc. | (907) | (88) | 0.29% | ||
Wolfspeed, Inc. | (6,056) | (179) | 0.59% | ||
(1,026) |
See Notes to Consolidated Schedule of Investments
9
VIRTUS AlphaSimplex Global Alternatives Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
March 31, 2024
($ reported in thousands)
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Software | |||||
AppLovin Corp. | (1,723) | $(119) | 0.40% | ||
Asana, Inc. | (3,691) | (57) | 0.19% | ||
Atlassian Corp. | (186) | (36) | 0.12% | ||
BILL Holdings, Inc. | (843) | (58) | 0.17% | ||
Blackbaud, Inc. | (1,723) | (128) | 0.42% | ||
Braze, Inc. | (1,008) | (45) | 0.15% | ||
Cleanspark, Inc. | (7,581) | (161) | 0.53% | ||
Clear Secure, Inc. | (4,259) | (91) | 0.30% | ||
Confluent, Inc. | (3,321) | (101) | 0.33% | ||
Datadog, Inc. | (557) | (69) | 0.22% | ||
Envestnet, Inc. | (1,593) | (92) | 0.30% | ||
Five9, Inc. | (1,247) | (77) | 0.26% | ||
Gitlab, Inc. | (832) | (49) | 0.16% | ||
HashiCorp, Inc. | (1,057) | (28) | 0.10% | ||
HubSpot, Inc. | (44) | (28) | 0.09% | ||
Monday.com Ltd. | (73) | (16) | 0.05% | ||
SentinelOne, Inc. | (1,850) | (43) | 0.14% | ||
Sprout Social, Inc. | (1,884) | (113) | 0.37% | ||
Unity Software, Inc. | (1,486) | (40) | 0.13% | ||
Zoom Video Communications, Inc. | (1,300) | (85) | 0.00% | ||
(1,436) | |||||
Specialized REITs | |||||
Crown Castle, Inc. | (824) | (87) | 0.29% | ||
National Storage Affiliates Trust | (8,772) | (344) | 1.13% | ||
Outfront Media, Inc. | (5,433) | (91) | 0.30% |
Common Stocks — Short | Shares | Value | % of Basket Value | ||
Specialized REITs — continued | |||||
SBA Communications Corp. | (411) | $(89) | 0.29% | ||
(611) | |||||
Specialty Retail | |||||
Abercrombie & Fitch Co. | (1,125) | (141) | 0.46% | ||
Burlington Stores, Inc. | (425) | (99) | 0.32% | ||
Chewy, Inc. | (9,459) | (150) | 0.50% | ||
Dick’s Sporting Goods, Inc. | (497) | (112) | 0.37% | ||
Gap, Inc. (The) | (4,674) | (129) | 0.42% | ||
Warby Parker, Inc. | (10,015) | (136) | 0.45% | ||
Wayfair, Inc. | (1,274) | (86) | 0.29% | ||
(853) | |||||
Textiles, Apparel & Luxury Goods | |||||
Lululemon Athletica, Inc. | (319) | (125) | 0.41% | ||
PVH Corp. | (474) | (67) | 0.22% | ||
VF Corp. | (10,721) | (164) | 0.54% | ||
(356) | |||||
Tobacco | |||||
Altria Group, Inc. | (4,133) | (180) | 0.60% | ||
Trading Companies & Distributors | |||||
Xometry, Inc. | (5,519) | (93) | 0.31% | ||
Total Common Stocks — Short | $(29,070) |
The following table summarizes the value of the Fund’s investments as of March 31, 2024, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):
Total Value at March 31, 2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Instruments: | |||||
U.S. Government Securities | $67,510 | $— | $67,510 | ||
Equity Securities: | |||||
Common Stocks | 42,268 | 42,268 | — | ||
Master Limited Partnerships and Related Companies | 1,515 | 1,515 | — | ||
Certificates of Deposits | 15,011 | — | 15,011 | ||
Money Market Mutual Fund | 10,776 | 10,776 | — | ||
Other Financial Instruments: | |||||
Futures Contracts | 2,147 | 2,147 | — | ||
Forward Foreign Currency Exchange Contracts* | 480 | — | 480 | ||
Total Assets | 139,707 | 56,706 | 83,001 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Futures Contracts | (544) | (544) | — | ||
Forward Foreign Currency Exchange Contracts* | (437) | — | (437) | ||
Over-the-Counter Equity Basket Total Return Swaps* | —(1) | — | —(1) | ||
Total Liabilities | (981) | (544) | (437) | ||
Total Investments | $138,726 | $56,162 | $82,564 |
(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 March 31, 2024.
There were no transfers into or out of Level 3 related to securities held at March 31, 2024.
See Notes to Consolidated Schedule of Investments
10
VIRTUS ALPHASIMPLEX GLOBAL ALTERNATIVES FUND
NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS(Unaudited)
March 31, 2024
Note 1. Security Valuation
The Fund’s Board of Trustees has 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. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, 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