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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-3445

The Merger Fund

(Exact name of registrant as specified in charter)

100 Summit Lake Drive

Valhalla, New York 10595

(Address of principal executive offices) (Zip code)

Roy Behren and Michael T. Shannon

100 Summit Lake Drive

Valhalla, New York  10595

(Name and address of agent for service)

1-800-343-8959

Registrant's telephone number, including area code

Date of fiscal year end: December 31

Date of reporting period:  June 30, 2014

Item 1. Reports to Stockholders.

THE MERGER FUND

WCM ALTERNATIVES:

EVENT-DRIVEN FUND

SEMI-ANNUAL REPORT

June 30, 2014

GLOBAL MERGER ACTIVITY

Quarterly volume of announced global mergers

and acquisitions January 2004 – June 2014 (Unaudited)

Source: Bloomberg, Global Financial Advisory Mergers & Acquisitions Rankings First Six-Months 2014

DEAL COMPOSITION

The Merger Fund (Unaudited)

Type of Buyer*			Deal Terms*
Strategic	100.0	%	Stock & Stub1	37.0	%
Financial	0.0	%	Cash & Stock	18.6	%
			Cash	18.5	%
By Deal Type*			Stock with Fixed Exchange Ratio	12.6	%
Friendly	93.3	%	Undetermined2	11.1	%
Hostile	6.7	%	Stock with Flexible Exchange Ratio (Collar)	2.2	%

*  Data expressed as a percentage of long common stock, corporate and municipal bonds and swap contract positions as of June 30, 2014.

1 “Stub” includes assets other than cash and stock (e.g., escrow notes).

2 The compensation is undetermined because the compensation to be received (e.g., stock, cash, escrow notes, other) will be determined at a later date, potentially at the option of the Fund’s investment adviser.

1

PORTFOLIO COMPOSITION

The Merger Fund (Unaudited)

By Sector*	By Region*

WCM Alternatives: Event-Driven Fund (Unaudited)

By Sector*	By Region*

* Data expressed as a percentage of long common stock, corporate and municipal bonds and swap contract positions as of June 30, 2014.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

2

The Merger Fund and WCM Alternatives: Event-Driven Fund

EXPENSE EXAMPLE

June 30, 2014 (Unaudited)

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs as described below and (2) ongoing costs, including management fees, distribution and/or service fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 for the period 1/1/14 - 6/30/14.

Actual Expenses

The first line of the table for each share class provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. The example below includes, among other fees, management fees, fund accounting, custody and transfer agent fees. However, the example below does not include portfolio trading commissions and related expenses, and extraordinary expenses as determined under generally accepted accounting principles.

Hypothetical Example for Comparison Purposes

The second line of the table for each share class provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

3

The Merger Fund and WCM Alternatives: Event-Driven Fund

EXPENSE EXAMPLE

June 30, 2014 (Unaudited)

			Annualized	Expenses Paid
	Beginning Account	Ending Account	Expense	During Period
	Value 1/1/14	Value 6/30/14	Ratio	1/1/14 - 6/30/14*
The Merger Fund
Investor Class
Actual+(1)	$1,000.00	$1,028.70	1.43%	$7.19
Hypothetical+(2)	$1,000.00	$1,017.70	1.43%	$7.15
Institutional Class
Actual++(3)	$1,000.00	$1,029.40	1.27%	$6.39
Hypothetical++(2)	$1,000.00	$1,018.50	1.27%	$6.36
WCM Alternatives: Event-Driven Fund
Institutional Class^
Actual+++(4)	$1,000.00	$1,051.00	2.15%	$10.93
Hypothetical+++(2)	$1,000.00	$1,014.13	2.15%	$10.74

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

+ Excluding dividends and borrowing expense on securities sold short, your actual cost of investment in and your hypothetical cost of investment in The Merger Fund Investor Class would have been $6.19 and $6.16, respectively.

++ Excluding dividends and borrowing expense on securities sold short, your actual cost of investment in and your hypothetical cost of investment in The Merger Fund Institutional Class would have been $5.38 and $5.36, respectively.

+++ Excluding dividends and borrowing expense on securities sold short, your actual cost of investment in and your hypothetical cost of investment in the WCM Alternatives: Event-Driven Fund would have been $8.85 and $8.20, respectively.

(1) Ending account values and expenses paid during the period based on a 2.87% return.  This actual return is net of expenses.

(2) Ending account values and expenses paid during period based on a 5.00% annual return before expenses.

(3) Ending account values and expenses paid during the period based on a 2.94% return.  This actual return is net of expenses.

(4) Ending account values and expenses paid during the period based on a 5.10% return, which is calculated for the period January 2, 2014 (commencement of operations) to June 30, 2014.  This actual return is net of expenses.

^ Commencement of operations January 2, 2014.

4

The Merger Fund

SCHEDULE OF INVESTMENTS

June 30, 2014 (Unaudited)

Shares			Value
COMMON STOCKS — 88.04%
		ADVERTISING — 2.98%
	3,139,900	Lamar Advertising Company Class A (f)	$	166,414,700
		AEROSPACE & DEFENSE — 1.06%
	641,800	B/E Aerospace, Inc. (a)(h)		59,360,082
		APPLICATION SOFTWARE — 0.21%
	566,143	AutoNavi Holdings, Ltd. — ADR (a)		11,832,389
	2,250	King Digital Entertainment plc (a)(b)		46,238
				11,878,627
		AUTOMOBILE MANUFACTURERS — 2.03%
	3,121,100	General Motors Company (f)		113,295,930
		BROADCASTING & CABLE TV — 1.84%
	1,647,758	CBS Corporation Class B (f)		102,391,682
		CABLE & SATELLITE TV — 9.80%
	1,404,558	DIRECTV (a)(e)		119,401,476
	913,500	DISH Network Corporation Class A (a)(e)		59,450,580
	345,145	Liberty Global plc Series C (a)		14,603,085
	33,052,651	Sirius XM Holdings, Inc. (a)(f)		114,362,172
	1,621,051	Time Warner Cable, Inc. (f)		238,780,812
				546,598,125
		COAL & CONSUMABLE FUELS — 0.02%
	21,700	CONSOL Energy, Inc.		999,719
		COMMODITY CHEMICALS — 0.19%
	710,778	PetroLogistics LP		10,206,772
		CONSTRUCTION & ENGINEERING — 0.31%
	505,132	Foster Wheeler AG (b)		17,209,847
		CONSTRUCTION & FARM MACHINERY
		& HEAVY TRUCKS — 0.20%
	343,600	The Manitowoc Company, Inc. (f)		11,290,696
		CONSTRUCTION MATERIALS — 1.71%
	1,033,356	Texas Industries, Inc. (a)(e)		95,440,760
		CONSUMER FINANCE — 2.09%
	4,717,909	Navient Corporation (f)		83,554,168
	3,974,761	SLM Corporation		33,030,264
				116,584,432
		DIVERSIFIED BANKS — 0.17%
	587,358	Wing Hang Bank, Ltd. (b)		9,473,027

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

5

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Shares			Value
		DIVERSIFIED CHEMICALS — 5.65%
	1,365,000	The Dow Chemical Company (f)	$	70,242,900
	1,479,900	E.I. Du Pont de Nemours & Company (f)		96,844,656
	5,270,704	Huntsman Corporation (f)		148,106,782
				315,194,338
		DIVERSIFIED METALS & MINING — 0.01%
	276,970	Pilot Gold, Inc. (a)(b)		378,967
		DIVERSIFIED SUPPORT SERVICES — 1.18%
	104,600	Civeo Corporation		2,618,138
	1,783,600	Iron Mountain, Inc. (h)		63,228,620
				65,846,758
		DRUG RETAIL — 0.65%
	487,700	Walgreen Company		36,153,201
		FOOD RETAIL — 1.53%
	2,479,639	Safeway, Inc. (g)		85,150,803
		GOLD — 0.70%
	1,529,484	Newmont Mining Corporation		38,910,073
		HEALTH CARE EQUIPMENT — 2.81%
	1,735,407	Covidien plc (b)(e)		156,499,003
		INDUSTRIAL MACHINERY — 0.86%
	704,900	The Timken Company		47,820,416
		INTEGRATED OIL & GAS — 5.28%
	484,600	BP plc — ADR		25,562,650
	1,590,600	Hess Corporation (f)		157,294,434
	1,086,000	Occidental Petroleum Corporation (f)		111,456,180
				294,313,264
		INTEGRATED TELECOMMUNICATION SERVICES — 0.39%
	437,500	Verizon Communications, Inc.		21,406,875
		INTERNET SOFTWARE & SERVICES — 1.96%
	318,700	Equinix, Inc. (a)(g)		66,955,683
	1,209,500	Yahoo!, Inc. (a)		42,489,735
				109,445,418
		LIFE & HEALTH INSURANCE — 0.80%
	648,672	Protective Life Corporation		44,972,430
		LIFE SCIENCES TOOLS & SERVICES — 0.99%
	966,200	Agilent Technologies, Inc. (h)		55,498,528
		MOVIES & ENTERTAINMENT — 0.00%
	1,000	SFX Entertainment, Inc. (a)		8,100

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

6

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Shares			Value
		MULTI-LINE INSURANCE — 3.01%
	3,074,887	American International Group, Inc. (f)	$	167,827,332
		MULTI-UTILITIES — 0.51%
	1,114,100	CenterPoint Energy, Inc.		28,454,114
		OIL & GAS DRILLING — 2.87%
	843,300	Ensco plc Class A (b)		46,862,181
	2,905,077	Noble Corporation plc (b)(f)		97,494,384
	355,800	Transocean, Ltd. (b)		16,021,674
				160,378,239
		OIL & GAS EQUIPMENT & SERVICES — 2.62%
	33,700	Halliburton Company		2,393,037
	1,705,400	National Oilwell Varco, Inc. (f)		140,439,690
	52,300	Oil States International, Inc. (a)		3,351,907
				146,184,634
		OIL & GAS EXPLORATION & PRODUCTION — 4.01%
	1,137,900	Anadarko Petroleum Corporation (f)		124,565,913
	2,872,100	QEP Resources, Inc. (f)		99,087,450
				223,653,363
		OIL & GAS STORAGE & TRANSPORTATION — 0.02%
	17,200	The Williams Companies, Inc.		1,001,212
		PACKAGED FOODS & MEATS — 4.33%
	3,875,305	The Hillshire Brands Company (f)		241,431,502
		PAPER PRODUCTS — 1.61%
	1,777,900	International Paper Company (f)		89,730,613
		PHARMACEUTICALS — 8.83%
	716,916	Allergan, Inc. (f)		121,316,526
	128,900	Endo International plc (a)(b)		9,025,578
	1,843,092	Forest Laboratories, Inc. (a)(e)		182,466,108
	671,500	Mallinckrodt plc (a)(b)(h)		53,733,430
	3,644,569	Pfizer, Inc. (f)		108,170,808
	190,627	Questcor Pharmaceuticals, Inc.		17,631,091
				492,343,541
		REGIONAL BANKS — 0.27%
	1,349,441	Investors Bancorp, Inc.		14,911,323
		REITS — 4.70%
	2,592,675	CommonWealth REIT (f)		68,239,206
	6,065,243	NorthStar Realty Finance Corporation (a)(f)		105,413,923
	1,581,506	Starwood Property Trust, Inc.		37,592,398
	288,499	Starwood Waypoint Residential Trust (a)		7,561,559

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

7

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Shares			Value
		REITS — 4.70% (continued)
	1,305,500	Weyerhaeuser Company	$	43,198,995
				262,006,081
		SECURITY & ALARM SERVICES — 0.43%
	731,400	Corrections Corporation of America (h)		24,026,490
		SEMICONDUCTOR EQUIPMENT — 1.69%
	5,517,865	Tokyo Electron Ltd. — ADR (g)		94,300,313
		SEMICONDUCTORS — 0.17%
	557,286	RDA Microelectronics, Inc. — ADR		9,535,163
		SPECIALTY CHEMICALS — 1.42%
	259,200	Ashland, Inc.		28,185,408
	1,959,100	Chemtura Corporation (a)(h)		51,191,283
				79,376,691
		THRIFTS & MORTGAGE FINANCE — 1.63%
	9,239,441	Hudson City Bancorp, Inc. (g)		90,823,705
		TOBACCO — 0.20%
	186,700	Lorillard, Inc.		11,383,099
		TRADING COMPANIES & DISTRIBUTORS — 0.28%
	426,350	NOW, Inc. (a)		15,438,134
		TRUCKING — 0.10%
	202,000	Hertz Global Holdings, Inc. (a)		5,662,060
		WIRELESS TELECOMMUNICATION SERVICES — 3.92%
	8,649,806	Sprint Corporation (a)(f)		73,782,845
	2,948,190	T-Mobile U.S., Inc. (a)(f)		99,118,148
	1,370,525	Vodafone Group plc — ADR		45,761,830
				218,662,823
		TOTAL COMMON STOCKS (Cost $4,466,467,112)		4,909,873,005
CONTINGENT VALUE RIGHTS — 0.00%
	77,699	Leap Wireless International, Inc. (a)(d)(k)		194,247
		TOTAL CONTINGENT VALUE RIGHTS (Cost $0)		194,247
WARRANTS — 0.00%
	142,642	Kinross Gold Corporation (a)(b)		3,342
		TOTAL WARRANTS (Cost $540,028)		3,342

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

8

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Principal Amount			Value
CORPORATE BONDS — 3.51%
		American Airlines Group, Inc.
$	30,933,000	7.500%, 3/15/2016 (Acquired 1/29/13 through 11/21/13, cost $31,266,730) (i)	$	32,189,653
		B/E Aerospace, Inc.
	14,941,000	5.250%, 4/1/2022		16,341,719
		Drill Rigs Holdings, Inc.
	25,506,000	6.500%, 10/1/2017 (Acquired 5/27/14 through 5/28/14, cost $26,564,838) (b)(i)		26,207,415
		Gentiva Health Services, Inc.
	34,194,000	11.500%, 9/1/2018		36,544,837
		The Hillman Group, Inc.
	4,930,000	10.875%, 6/1/2018		5,232,209
		MetroPCS Wireless, Inc.
	10,338,000	6.625%, 11/15/2020		11,074,583
		National Money Mart Company
	26,613,000	10.375%, 12/15/2016 (b)		28,109,981
		Nuveen Investments, Inc.
	33,620,000	9.500%, 10/15/2020 (Acquired 4/17/14 through 6/6/14, cost $40,080,184) (i)		40,007,800
		TOTAL CORPORATE BONDS (Cost $195,289,064)		195,708,197
MUNICIPAL BONDS — 0.11%
		Louisiana Public Facilities
	5,984,000	9.750%, 8/1/2014		6,004,884
		TOTAL MUNICIPAL BONDS (Cost $5,984,000)		6,004,884
Contracts (100 shares per contract)
PURCHASED CALL OPTIONS — 0.02%
		CBOE Volatility Index
	5,596	Expiration: July 2014, Exercise Price: $13.00		313,376
	4,659	Expiration: July 2014, Exercise Price: $14.00		186,360
	8,394	Expiration: August 2014, Exercise Price: $14.00		881,370
				1,381,106
PURCHASED PUT OPTIONS — 0.26%
		Agilent Technologies, Inc.
	622	Expiration: August 2014, Exercise Price: $50.00		14,306
	7,067	Expiration: November 2014, Exercise Price: $45.00		310,948
		Allergan, Inc.
	981	Expiration: September 2014, Exercise Price: $140.00		193,747
		Alstom SA
	3,336	Expiration: July 2014, Exercise Price: EUR 26.00 (j)		132,473
	2,769	Expiration: August 2014, Exercise Price: EUR 26.00 (j)		227,495

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

9

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		American International Group, Inc.
	3,453	Expiration: August 2014, Exercise Price: $44.00	$	24,171
	1,684	Expiration: August 2014, Exercise Price: $45.00		13,472
	1,848	Expiration: August 2014, Exercise Price: $46.00		19,404
	17,121	Expiration: August 2014, Exercise Price: $49.00		376,662
		Anadarko Petroleum Corporation
	3,359	Expiration: August 2014, Exercise Price: $85.00		50,385
	5,477	Expiration: August 2014, Exercise Price: $87.50		101,324
		Ashland, Inc.
	2,203	Expiration: July 2014, Exercise Price: $85.00		6,609
		B/E Aerospace, Inc.
	2,842	Expiration: October 2014, Exercise Price: $80.00		312,620
	897	Expiration: October 2014, Exercise Price: $85.00		195,098
		Barrick Gold Corporation
	3,768	Expiration: October 2014, Exercise Price: $20.00		885,480
		BP plc — ADR
	2,534	Expiration: July 2014, Exercise Price: $44.00		5,068
	2,170	Expiration: August 2014, Exercise Price: $45.00		16,275
		CBS Corporation Class B
	5,174	Expiration: September 2014, Exercise Price: $50.00		155,220
	3,256	Expiration: September 2014, Exercise Price: $52.50		146,520
	2,936	Expiration: September 2014, Exercise Price: $55.00		220,200
		CenterPoint Energy, Inc.
	7,354	Expiration: August 2014, Exercise Price: $17.50		36,770
		Chemtura Corporation
	2,698	Expiration: September 2014, Exercise Price: $17.50		33,725
	11,870	Expiration: September 2014, Exercise Price: $20.00		178,050
		CommonWealth REIT
	20,940	Expiration: July 2014, Exercise Price: $22.50		157,050
		CONSOL Energy, Inc.
	185	Expiration: July 2014, Exercise Price: $36.00		555
		Corrections Corporation of America
	3,657	Expiration: September 2014, Exercise Price: $30.00		118,853
		DISH Network Corporation Class A
	8,222	Expiration: September 2014, Exercise Price: $52.50		698,870
		The Dow Chemical Company
	1,872	Expiration: September 2014, Exercise Price: $44.00		54,288
	8,231	Expiration: September 2014, Exercise Price: $49.00		856,024
		E.I. Du Pont de Nemours & Company
	9,949	Expiration: July 2014, Exercise Price: $57.50		34,821
	1,285	Expiration: October 2014, Exercise Price: $55.00		34,695

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

10

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Endo International plc
	1,161	Expiration: July 2014, Exercise Price: $50.00	$	14,513
		Ensco plc Class A
	4,728	Expiration: September 2014, Exercise Price: $46.00		70,920
		Equinix, Inc.
	422	Expiration: September 2014, Exercise Price: $180.00		44,310
	940	Expiration: September 2014, Exercise Price: $185.00		148,050
		General Motors Company
	4,327	Expiration: September 2014, Exercise Price: $30.00		86,540
	4,506	Expiration: September 2014, Exercise Price: $33.00		234,312
		Halliburton Company
	2,753	Expiration: July 2014, Exercise Price: $49.00		2,753
		Hertz Global Holdings, Inc.
	2,020	Expiration: August 2014, Exercise Price: $25.00		109,080
		Hess Corporation
	11,135	Expiration: August 2014, Exercise Price: $77.50		66,810
		The Hillshire Brands Company
	11,280	Expiration: July 2014, Exercise Price: $32.00		28,200
	4,111	Expiration: July 2014, Exercise Price: $33.00		10,278
	255	Expiration: August 2014, Exercise Price: $50.00		1,275
		Huntsman Corporation
	26,742	Expiration: August 2014, Exercise Price: $21.00		66,855
	11,730	Expiration: August 2014, Exercise Price: $23.00		117,300
		International Paper Company
	1,744	Expiration: July 2014, Exercise Price: $40.00		2,616
	9,209	Expiration: October 2014, Exercise Price: $40.00		138,135
	2,656	Expiration: October 2014, Exercise Price: $41.00		47,808
		Iron Mountain, Inc.
	10,125	Expiration: July 2014, Exercise Price: $22.50		25,313
	4,719	Expiration: October 2014, Exercise Price: $20.00		23,595
		Lamar Advertising Company Class A
	503	Expiration: July 2014, Exercise Price: $45.00		3,773
	3,140	Expiration: July 2014, Exercise Price: $47.00		39,250
	3,140	Expiration: July 2014, Exercise Price: $48.00		31,400
		Lorillard, Inc.
	1,866	Expiration: July 2014, Exercise Price: $50.00		7,464
		Mallinckrodt plc
	910	Expiration: July 2014, Exercise Price: $50.00		4,550
	6,580	Expiration: July 2014, Exercise Price: $55.00		49,350
		The Manitowoc Company, Inc.
	2,749	Expiration: August 2014, Exercise Price: $29.00		109,960

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

11

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		National Oilwell Varco, Inc.
	5,320	Expiration: August 2014, Exercise Price: $65.00	$	55,860
	7,705	Expiration: August 2014, Exercise Price: $70.00		115,575
	881	Expiration: August 2014, Exercise Price: $72.50		15,858
		Newmont Mining Corporation
	3,372	Expiration: July 2014, Exercise Price: $23.00		10,116
		Noble Corporation plc
	2,220	Expiration: September 2014, Exercise Price: $26.00		26,640
	5,507	Expiration: September 2014, Exercise Price: $28.00		132,168
	14,246	Expiration: September 2014, Exercise Price: $29.00		484,364
		Occidental Petroleum Corporation
	1,509	Expiration: August 2014, Exercise Price: $82.50		11,317
	1,755	Expiration: August 2014, Exercise Price: $85.00		21,060
	3,466	Expiration: August 2014, Exercise Price: $87.50		51,990
	1,007	Expiration: November 2014, Exercise Price: $87.50		92,644
		Pfizer, Inc.
	4,165	Expiration: July 2014, Exercise Price: $27.00		4,165
	2,166	Expiration: July 2014, Exercise Price: $28.00		4,332
	2,953	Expiration: September 2014, Exercise Price: $24.00		11,812
	5,496	Expiration: September 2014, Exercise Price: $25.00		32,976
		QEP Resources, Inc.
	22,805	Expiration: September 2014, Exercise Price: $25.00		205,245
		SLM Corporation
	10,069	Expiration: July 2014, Exercise Price: $21.00		15,103
	294	Expiration: July 2014, Exercise Price: $22.00		441
	17,237	Expiration: October 2014, Exercise Price: $21.00		189,607
		SPDR S&P 500 ETF Trust
	3,738	Expiration: August 2014, Exercise Price: $189.00		399,966
	3,737	Expiration: August 2014, Exercise Price: $190.00		459,651
	5,604	Expiration: August 2014, Exercise Price: $191.00		778,956
	4,671	Expiration: December 2014, Exercise Price: $160.00		457,758
	4,671	Expiration: December 2014, Exercise Price: $181.00		1,518,075
		Sprint Corporation
	20,189	Expiration: August 2014, Exercise Price: $6.00		50,473
	47,902	Expiration: August 2014, Exercise Price: $7.00		526,922
		Time Warner Cable, Inc.
	4,022	Expiration: July 2014, Exercise Price: $120.00		40,220
		The Timken Company
	4,651	Expiration: September 2014, Exercise Price: $55.00		127,902
		T-Mobile U.S., Inc.
	23,071	Expiration: August 2014, Exercise Price: $28.00		645,988

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

12

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Transocean, Ltd.
	504	Expiration: August 2014, Exercise Price: $37.00	$	8,064
	1,666	Expiration: August 2014, Exercise Price: $38.00		28,322
	234	Expiration: August 2014, Exercise Price: $40.00		5,850
		Verizon Communications, Inc.
	1,272	Expiration: August 2014, Exercise Price: $45.00		17,808
	714	Expiration: August 2014, Exercise Price: $46.00		17,136
		Vodafone Group plc — ADR
	865	Expiration: July 2014, Exercise Price: $30.00		3,460
	1,641	Expiration: October 2014, Exercise Price: $32.00		152,613
	751	Expiration: October 2014, Exercise Price: $33.00		97,630
		Walgreen Company
	1,507	Expiration: September 2014, Exercise Price: $60.00		45,963
	1,975	Expiration: September 2014, Exercise Price: $65.00		178,738
		Weyerhaeuser Company
	12,220	Expiration: July 2014, Exercise Price: $24.00		91,650
	3,251	Expiration: July 2014, Exercise Price: $26.00		16,255
		The Williams Companies, Inc.
	2,562	Expiration: July 2014, Exercise Price: $38.00		3,843
	2,160	Expiration: August 2014, Exercise Price: $39.00		10,800
		Yahoo!, Inc.
	4,645	Expiration: July 2014, Exercise Price: $29.00		9,290
	5,636	Expiration: July 2014, Exercise Price: $33.00		180,352
				14,450,546
		TOTAL PURCHASED OPTIONS (Cost $48,362,843)		15,831,652
Principal Amount
ESCROW NOTES — 0.04%
$	1,243,406	AMR Corporation (a)(d)(k)		2,300,301
	13,887,000	Dallas-Fort Worth International Airport (a)(d)(k)		—
		TOTAL ESCROW NOTES (Cost $3,721,337)		2,300,301

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

13

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Shares			Value
SHORT-TERM INVESTMENTS — 14.55%
	335,000,000	Fidelity Institutional Government Portfolio,
		Institutional Share Class, 0.01% (c)(f)	$	335,000,000
	141,172,352	Goldman Sachs Financial Square Money Market Fund,
		Institutional Share Class, 0.07% (c)(e)		141,172,352
	335,000,000	The Liquid Asset Portfolio,
		Institutional Share Class, 0.06% (c)(f)		335,000,000
		TOTAL SHORT-TERM INVESTMENTS
		(Cost $811,172,352)		811,172,352
		TOTAL INVESTMENTS
		(Cost $5,531,536,736) — 106.53%	$	5,941,087,980

ADR – American Depository Receipt

ETF – Exchange-Traded Fund

EUR – Euro

plc – Public Limited Company

REIT – Real Estate Investment Trust

(a) Non-income producing security.

(b) Foreign security.

(c) The rate quoted is the annualized seven-day yield as of June 30, 2014.

(d) Security fair valued by the Adviser in good faith in accordance with the policies adopted by the Board of Trustees.

(e) All or a portion of the shares have been committed as collateral for open securities sold short.

(f) All or a portion of the shares have been committed as collateral for written option contracts.

(g) All or a portion of the shares have been committed as collateral for swap contracts.

(h) All or a portion of the shares have been committed as collateral for forward currency exchange contracts.

(i) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of June 30, 2014, these securities represented 1.76% of total net assets.

(j) Level 2 Security. Please see Note 2 on the Notes to the Financial Statements.

(k) Level 3 Security. Please see Note 2 on the Notes to the Financial Statements.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).  GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

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

14

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS

June 30, 2014 (Unaudited)

Shares			Value
COMMON STOCKS — 83.61%
		ADVERTISING — 2.81%
	4,000	Lamar Advertising Company Class A (e)	$	212,000
		AEROSPACE & DEFENSE — 1.84%
	1,500	B/E Aerospace, Inc. (a)(e)		138,735
		APPLICATION SOFTWARE — 0.35%
	514	AutoNavi Holdings, Ltd. — ADR (a)(d)		10,743
	750	King Digital Entertainment plc (a)(b)		15,412
				26,155
		AUTOMOBILE MANUFACTURERS — 2.31%
	4,800	General Motors Company (e)		174,240
		BROADCASTING & CABLE TV — 0.56%
	678	CBS Corporation Class B (e)		42,131
		CABLE & SATELLITE TV — 9.57%
	2,208	DIRECTV (a)(d)		187,702
	1,600	DISH Network Corporation Class A (a)(e)		104,128
	450	Liberty Global plc Series C (a)(f)		19,040
	49,748	Sirius XM Holdings, Inc. (a)(e)		172,128
	1,617	Time Warner Cable, Inc. (e)		238,184
				721,182
		CONSTRUCTION & ENGINEERING — 0.73%
	1,622	Foster Wheeler AG (b)(d)		55,262
		CONSTRUCTION & FARM
		MACHINERY & HEAVY TRUCKS — 0.39%
	900	The Manitowoc Company, Inc. (e)		29,574
		CONSTRUCTION MATERIALS — 1.36%
	1,106	Texas Industries, Inc. (a)(d)		102,150
		CONSUMER FINANCE — 2.70%
	8,192	Navient Corporation (e)		145,080
	7,056	SLM Corporation (e)		58,635
				203,715
		DIVERSIFIED BANKS — 2.15%
	3,200	Citigroup, Inc. (e)		150,720
	695	Wing Hang Bank, Ltd. (b)(d)		11,209
				161,929
		DIVERSIFIED CAPITAL MARKETS — 1.16%
	2,664	CI Financial Corporation (a)(b)(d)		87,506

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

15

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Shares			Value
		DIVERSIFIED CHEMICALS — 4.16%
	2,400	The Dow Chemical Company (e)	$	123,504
	2,900	E.I. Du Pont de Nemours & Company (e)		189,776
				313,280
		DRUG RETAIL — 1.08%
	1,100	Walgreen Company (e)		81,543
		FOOD RETAIL — 1.84%
	4,033	Safeway, Inc. (d)		138,493
		GOLD — 0.93%
	2,763	Newmont Mining Corporation (e)		70,291
		HEALTH CARE EQUIPMENT — 2.84%
	2,373	Covidien plc (b)(e)		213,997
		INDUSTRIAL CONGLOMERATES — 1.12%
	3,200	General Electric Company (e)		84,096
		INDUSTRIAL MACHINERY — 0.72%
	800	The Timken Company (e)		54,272
		INTEGRATED OIL & GAS — 2.95%
	1,100	BP plc — ADR (e)		58,025
	1,600	Occidental Petroleum Corporation (e)		164,208
				222,233
		INTEGRATED TELECOMMUNICATION SERVICES — 0.84%
	1,300	Verizon Communications, Inc. (e)		63,609
		INTERNET SOFTWARE & SERVICES — 1.21%
	100	Equinix, Inc. (a)(e)		21,009
	2,000	Yahoo!, Inc. (a)(e)		70,260
				91,269
		LIFE & HEALTH INSURANCE — 0.48%
	524	Protective Life Corporation (d)		36,329
		LIFE SCIENCES TOOLS & SERVICES — 0.53%
	700	Agilent Technologies, Inc. (e)		40,208
		MULTI-LINE INSURANCE — 3.78%
	5,212	American International Group, Inc. (e)		284,471
		MULTI-UTILITIES — 1.02%
	3,000	CenterPoint Energy, Inc. (e)		76,620

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

16

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Shares			Value
		OIL & GAS DRILLING — 2.73%
	1,200	Ensco plc Class A (b)(e)	$	66,684
	2,523	Noble Corporation plc (b)(e)		84,672
	1,200	Transocean, Ltd. (b)(e)		54,036
				205,392
		OIL & GAS EQUIPMENT & SERVICES — 2.41%
	2,200	National Oilwell Varco, Inc. (e)		181,170
		OIL & GAS EXPLORATION & PRODUCTION — 3.11%
	1,700	Anadarko Petroleum Corporation (e)		186,099
	1,400	QEP Resources, Inc. (e)		48,300
				234,399
		PACKAGED FOODS & MEATS — 5.05%
	6,106	The Hillshire Brands Company (e)		380,404
		PAPER PRODUCTS — 1.21%
	1,800	International Paper Company (e)		90,846
		PHARMACEUTICALS — 4.18%
	1,057	Allergan, Inc. (e)		178,866
	399	Endo International plc (a)(b)(e)		27,938
	296	Forest Laboratories, Inc. (a)(d)		29,304
	1,700	Pfizer, Inc. (e)		50,456
	303	Questcor Pharmaceuticals, Inc. (d)		28,024
				314,588
		REGIONAL BANKS — 1.40%
	9,517	Investors Bancorp, Inc. (d)		105,163
		REITS — 5.04%
	4,540	CommonWealth REIT (e)		119,493
	9,273	NorthStar Realty Finance Corporation (a)(e)		161,164
	3,118	Starwood Property Trust, Inc. (d)		74,115
	448	Starwood Waypoint Residential Trust (a)(f)		11,742
	400	Weyerhaeuser Company (e)		13,236
				379,750
		SEMICONDUCTOR EQUIPMENT — 1.87%
	8,253	Tokyo Electron Ltd. — ADR (e)		141,044
		SEMICONDUCTORS — 0.57%
	2,512	RDA Microelectronics, Inc. — ADR (d)		42,980
		SPECIALTY CHEMICALS — 1.42%
	500	Ashland, Inc. (e)		54,370
	2,000	Chemtura Corporation (a)(e)		52,260
				106,630

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

17

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Shares			Value
		THRIFTS & MORTGAGE FINANCE — 0.78%
	5,950	Hudson City Bancorp, Inc. (d)	$	58,489
		TOBACCO — 0.16%
	200	Lorillard, Inc. (e)		12,194
		TRADING COMPANIES & DISTRIBUTORS — 0.26%
	550	NOW, Inc. (a)(f)		19,916
		TRUCKING — 0.07%
	200	Hertz Global Holdings, Inc. (a)(e)		5,606
		WIRELESS TELECOMMUNICATION SERVICES — 3.92%
	12,100	Sprint Corporation (a)(e)		103,213
	4,500	T-Mobile U.S., Inc. (a)(e)		151,290
	1,211	Vodafone Group plc — ADR (e)		40,435
				294,938
		TOTAL COMMON STOCKS
		(Cost $5,944,147)		6,298,799
PREFERRED STOCKS — 4.58%
	681	The Allstate Corporation, 6.625%, Series E (f)		17,678
	650	The Allstate Corporation, 6.250%, Series F (a)(d)		16,803
	2,600	American Homes 4 Rent, 5.000%, Series B (d)		63,986
	2,700	CommonWealth REIT, 7.250%, Series E (e)		69,606
	150	HSBC USA, Inc., 2.858% (g)		7,350
	2,655	HSBC Finance Corporation, 6.360%, Series B (d)		67,384
	61	Morgan Stanley Capital Trust V, 5.750% (d)		1,527
	696	SLM Corporation, 6.970%, Series A (e)		33,707
	2,600	Verizon Communications, Inc., 5.900% (e)		66,976
		TOTAL PREFERRED STOCKS
		(Cost $332,879)		345,017
CLOSED-END FUNDS — 2.25% (d)
	5,564	Eaton Vance Floating-Rate Income Trust		83,961
	1,048	First Trust MLP and Energy Income Fund		22,595
	2,772	First Trust Senior Floating Rate Income Fund II		39,612
	1,050	Nuveen Energy MLP Total Return Fund		23,331
		TOTAL CLOSED-END FUNDS
		(Cost $164,737)		169,499
Principal Amount
CORPORATE BONDS — 1.37%
		Drill Rigs Holdings, Inc.
$	33,000	6.500%, 10/1/2017 (Acquired 5/27/14 through 5/28/14, cost $34,370) (b)(d)(h)		33,907

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

18

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Principal Amount				Value
		Energy Future Intermediate Holding Company LLC
$	37,000	10.000%, 12/1/2020 (Acquired 1/7/14, cost $39,493) (d)(h)(i)		$	39,498
		National Money Mart Company
	28,000	10.375%, 12/15/2016 (b)(d)			29,575
		TOTAL CORPORATE BONDS
		(Cost $103,095)			102,980
Contracts (100 shares per contract)
PURCHASED CALL OPTIONS — 0.02% (d)
		CBOE Volatility Index
	8	Expiration: July 2014, Exercise Price: $13.00			448
	6	Expiration: July 2014, Exercise Price: $14.00			240
	10	Expiration: August 2014, Exercise Price: $14.00			1,050
					1,738
PURCHASED PUT OPTIONS — 0.32% (d)
		Agilent Technologies, Inc.
	1	Expiration: August 2014, Exercise Price: $50.00			23
	6	Expiration: November 2014, Exercise Price: $45.00			264
		Allergan, Inc.
	2	Expiration: September 2014, Exercise Price: $140.00			395
		Alstom SA
	6	Expiration: July 2014, Exercise Price: EUR 26.00 (j)			238
	6	Expiration: August 2014, Exercise Price: EUR 26.00 (j)			493
		American International Group, Inc.
	12	Expiration: August 2014, Exercise Price: $44.00			84
	9	Expiration: August 2014, Exercise Price: $45.00			72
	7	Expiration: August 2014, Exercise Price: $46.00			73
	11	Expiration: August 2014, Exercise Price: $49.00			242
		Anadarko Petroleum Corporation
	14	Expiration: August 2014, Exercise Price: $85.00			210
		Ashland, Inc.
	4	Expiration: July 2014, Exercise Price: $85.00			12
		B/E Aerospace, Inc.	��
	6	Expiration: October 2014, Exercise Price: $80.00			660
	1	Expiration: October 2014, Exercise Price: $85.00			217
		Barrick Gold Corporation
	5	Expiration: October 2014, Exercise Price: $20.00			1,175
		BP plc — ADR
	5	Expiration: July 2014, Exercise Price: $45.00			12
	4	Expiration: August 2014, Exercise Price: $45.00			30

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

19

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		CBS Corporation Class B
	7	Expiration: September 2014, Exercise Price: $50.00	$	210
	5	Expiration: September 2014, Exercise Price: $52.50		225
	6	Expiration: September 2014, Exercise Price: $55.00		450
		CenterPoint Energy, Inc.
	6	Expiration: August 2014, Exercise Price: $17.50		30
		Chemtura Corporation
	15	Expiration: September 2014, Exercise Price: $17.50		187
	15	Expiration: September 2014, Exercise Price: $20.00		225
		Citigroup, Inc.
	4	Expiration: July 2014, Exercise Price: $41.00		20
	4	Expiration: July 2014, Exercise Price: $43.00		40
	7	Expiration: September 2014, Exercise Price: $45.00		553
		CommonWealth REIT
	25	Expiration: July 2014, Exercise Price: $22.50		187
		DISH Network Corporation Class A
	15	Expiration: September 2014, Exercise Price: $52.50		1,275
		The Dow Chemical Company
	4	Expiration: September 2014, Exercise Price: $44.00		116
	14	Expiration: September 2014, Exercise Price: $49.00		1,456
		E.I. Du Pont de Nemours & Company
	21	Expiration: July 2014, Exercise Price: $57.50		74
	2	Expiration: October 2014, Exercise Price: $55.00		54
		Endo International plc
	4	Expiration: July 2014, Exercise Price: $50.00		50
		Ensco plc Class A
	7	Expiration: September 2014, Exercise Price: $46.00		105
		Equinix, Inc.
	2	Expiration: September 2014, Exercise Price: $185.00		315
		General Electric Company
	32	Expiration: August 2014, Exercise Price: $25.00		544
		General Motors Company
	17	Expiration: September 2014, Exercise Price: $30.00		340
	6	Expiration: September 2014, Exercise Price: $33.00		312
		Halliburton Company
	3	Expiration: July 2014, Exercise Price: $49.00		3
		Hertz Global Holdings, Inc.
	2	Expiration: August 2014, Exercise Price: $25.00		108
		Hess Corporation
	19	Expiration: August 2014, Exercise Price: $77.50		114

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

20

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		The Hillshire Brands Company
	17	Expiration: July 2014, Exercise Price: $32.00	$	42
	7	Expiration: July 2014, Exercise Price: $33.00		18
		Huntsman Corporation
	11	Expiration: August 2014, Exercise Price: $22.00		110
	43	Expiration: August 2014, Exercise Price: $23.00		430
		International Paper Company
	6	Expiration: July 2014, Exercise Price: $40.00		9
	7	Expiration: October 2014, Exercise Price: $40.00		105
	2	Expiration: October 2014, Exercise Price: $41.00		36
		Iron Mountain, Inc.
	16	Expiration: July 2014, Exercise Price: $22.50		40
	7	Expiration: October 2014, Exercise Price: $20.00		35
		Keurig Green Mountain, Inc.
	20	Expiration: July 2014, Exercise Price: $80.00		60
	20	Expiration: July 2014, Exercise Price: $85.00		110
	20	Expiration: July 2014, Exercise Price: $105.00		440
	20	Expiration: July 2014, Exercise Price: $110.00		1,080
		Lamar Advertising Company Class A
	6	Expiration: July 2014, Exercise Price: $47.00		75
	6	Expiration: July 2014, Exercise Price: $48.00		60
		Lorillard, Inc.
	2	Expiration: July 2014, Exercise Price: $50.00		8
		Mallinckrodt plc
	2	Expiration: July 2014, Exercise Price: $50.00		10
	12	Expiration: July 2014, Exercise Price: $55.00		90
		The Manitowoc Company, Inc.
	7	Expiration: August 2014, Exercise Price: $29.00		280
		National Oilwell Varco, Inc.
	10	Expiration: August 2014, Exercise Price: $65.00		105
	6	Expiration: August 2014, Exercise Price: $70.00		90
	1	Expiration: August 2014, Exercise Price: $72.50		18
		Newmont Mining Corporation
	7	Expiration: July 2014, Exercise Price: $23.00		21
		Noble Corporation plc
	16	Expiration: September 2014, Exercise Price: $26.00		192
	5	Expiration: September 2014, Exercise Price: $28.00		120
	14	Expiration: September 2014, Exercise Price: $29.00		476
		Occidental Petroleum Corporation
	2	Expiration: August 2014, Exercise Price: $82.50		15
	2	Expiration: August 2014, Exercise Price: $85.00		24
	6	Expiration: August 2014, Exercise Price: $87.50		90
	2	Expiration: November 2014, Exercise Price: $87.50		184

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

21

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Pfizer, Inc.
	4	Expiration: July 2014, Exercise Price: $27.00	$	4
	4	Expiration: September 2014, Exercise Price: $24.00		16
	7	Expiration: September 2014, Exercise Price: $25.00		42
		QEP Resources, Inc.
	25	Expiration: September 2014, Exercise Price: $25.00		225
	5	Expiration: September 2014, Exercise Price: $27.00		63
		SLM Corporation
	28	Expiration: July 2014, Exercise Price: $20.00		42
	7	Expiration: July 2014, Exercise Price: $21.00		11
	10	Expiration: October 2014, Exercise Price: $21.00		110
		SPDR S&P 500 ETF Trust
	5	Expiration: August 2014, Exercise Price: $189.00		535
	4	Expiration: August 2014, Exercise Price: $190.00		492
	7	Expiration: August 2014, Exercise Price: $191.00		973
	6	Expiration: December 2014, Exercise Price: $160.00		588
	6	Expiration: December 2014, Exercise Price: $181.00		1,950
		Sprint Corporation
	53	Expiration: August 2014, Exercise Price: $6.00		133
	25	Expiration: August 2014, Exercise Price: $7.00		275
		The Timken Company
	5	Expiration: September 2014, Exercise Price: $55.00		137
		Time Warner Cable, Inc.
	6	Expiration: July 2014, Exercise Price: $120.00		60
		T-Mobile U.S., Inc.
	34	Expiration: August 2014, Exercise Price: $28.00		952
		Transocean, Ltd.
	9	Expiration: August 2014, Exercise Price: $38.00		153
		Verizon Communications, Inc.
	1	Expiration: August 2014, Exercise Price: $45.00		14
	2	Expiration: August 2014, Exercise Price: $46.00		48
	3	Expiration: September 2014, Exercise Price: $45.00		87
		Vodafone Group plc — ADR
	1	Expiration: July 2014, Exercise Price: $30.00		4
	2	Expiration: October 2014, Exercise Price: $32.00		186
		Walgreen Company
	4	Expiration: September 2014, Exercise Price: $60.00		122
	4	Expiration: September 2014, Exercise Price: $65.00		362
		Weyerhaeuser Company
	17	Expiration: July 2014, Exercise Price: $24.00		128
	4	Expiration: July 2014, Exercise Price: $26.00		20

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

22

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		The Williams Companies, Inc.
	5	Expiration: July 2014, Exercise Price: $38.00	$	8
	3	Expiration: August 2014, Exercise Price: $39.00		15
		Yahoo!, Inc.
	6	Expiration: July 2014, Exercise Price: $29.00		12
	12	Expiration: July 2014, Exercise Price: $33.00		384
				23,717
		TOTAL PURCHASED OPTIONS
		(Cost $94,028)		25,455
Shares
SHORT-TERM INVESTMENTS — 10.11%
	475,000	Fidelity Institutional Government Portfolio,
		Institutional Share Class, 0.01% (c)(e)		475,000
	286,414	The Liquid Asset Portfolio,
		Institutional Share Class, 0.06% (c)(e)		286,414
		TOTAL SHORT-TERM INVESTMENTS
		(Cost $761,414)		761,414
		TOTAL INVESTMENTS
		(Cost $7,400,300) — 102.26%	$	7,703,164

ADR – American Depository Receipt

ETF – Exchange-Traded Fund

EUR – Euro

plc – Public Limited Company

REIT – Real Estate Investment Trust

(a) Non-income producing security.

(b) Foreign security.

(c) The rate quoted is the annualized seven-day yield as of June 30, 2014.

(d) All or a portion of the shares have been committed as collateral for open securities sold short.

(e) All or a portion of the shares have been committed as collateral for written option contracts.

(f) All or a portion of the shares have been committed as collateral for swap contracts.

(g) All or a portion of the shares have been committed as collateral for forward currency exchange contracts.

(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of June 30, 2014, these securities represented 0.97% of total net assets.

(i) Default or other conditions exist and the security is not presently accruing income.

(j) Level 2 Security. Please see Note 2 on the Notes to the Financial Statements.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”).  GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

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

23

SCHEDULES OF SECURITIES SOLD SHORT

June 30, 2014 (Unaudited)

The Merger Fund

Shares			Value
	607,300	Actavis plc (a)	$	135,458,265
	65,211	American Airlines Group, Inc.		2,801,464
	4,484,078	Applied Materials, Inc.		101,115,959
	1,910,605	AT&T, Inc.		67,558,993
	842,504	Comcast Corporation Class A		45,225,615
	649,901	Comcast Corporation Special Class A		34,659,220
	607,152	Liberty Global plc Class A (a)		26,848,261
	744,518	Liberty Global plc Series C (a)		31,500,557
	776,580	M&T Bank Corporation		96,334,749
	170,901	Mallinckrodt plc		13,675,498
	723,300	Martin Marietta Materials, Inc.		95,511,765
	1,658,963	Medtronic, Inc.		105,775,481
	85,814	Valeant Pharmaceuticals International, Inc. (a)		10,822,862
		TOTAL SECURITIES SOLD SHORT (Proceeds $693,207,103)	$	767,288,689

WCM Alternatives: Event-Driven Fund

Shares			Value
	900	Actavis plc (a)	$	200,745
	6,706	Applied Materials, Inc.		151,220
	3,054	AT&T, Inc.		107,989
	2,664	CI Financial Corporation		87,506
	3,000	Civeo Corporation		75,090
	961	Comcast Corporation Class A		51,587
	647	Comcast Corporation Special Class A		34,505
	200	Equinix, Inc.		42,018
	861	Liberty Global plc Class A (a)		38,073
	1,104	Liberty Global plc Series C (a)		46,710
	500	M&T Bank Corporation		62,025
	273	Mallinckrodt plc (a)		21,846
	800	Martin Marietta Materials, Inc.		105,640
	2,268	Medtronic, Inc.		144,608
	1,500	Oil States International, Inc.		96,135
	128	Valeant Pharmaceuticals International, Inc. (a)		16,143
		TOTAL SECURITIES SOLD SHORT (Proceeds $1,181,169)	$	1,281,840

plc – Public Limited Company

(a) Foreign security.

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

24

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
CALL OPTIONS WRITTEN
		Agilent Technologies, Inc.
	829	Expiration: August 2014, Exercise Price: $55.00	$	298,440
	8,833	Expiration: November 2014, Exercise Price: $55.00		4,372,335
		Allergan, Inc.
	4,690	Expiration: September 2014, Exercise Price: $155.00		9,215,850
	1,446	Expiration: September 2014, Exercise Price: $160.00		2,299,140
		Alstom SA
	4,170	Expiration: July 2014, Exercise Price: EUR 28.00 (a)		62,809
	2,769	Expiration: August 2014, Exercise Price: EUR 29.00 (a)		60,666
	4,050	Expiration: September 2014, Exercise Price: EUR 27.00 (a)		537,929
	8,081	Expiration: September 2014, Exercise Price: EUR 28.00 (a)		630,722
		American International Group, Inc.
	4,603	Expiration: August 2014, Exercise Price: $49.00		2,830,845
	2,640	Expiration: August 2014, Exercise Price: $50.00		1,333,200
	23,506	Expiration: August 2014, Exercise Price: $52.50		6,581,680
		Anadarko Petroleum Corporation
	4,532	Expiration: August 2014, Exercise Price: $95.00		6,945,290
	6,847	Expiration: August 2014, Exercise Price: $97.50		9,140,745
		Ashland, Inc.
	2,592	Expiration: July 2014, Exercise Price: $95.00		3,561,408
		AT&T, Inc.
	1,956	Expiration: October 2014, Exercise Price: $33.00		466,506
		B/E Aerospace, Inc.
	5,297	Expiration: October 2014, Exercise Price: $90.00		3,390,080
	1,121	Expiration: October 2014, Exercise Price: $95.00		425,980
		BP plc — ADR
	2,133	Expiration: July 2014, Exercise Price: $48.00		1,017,441
	2,713	Expiration: August 2014, Exercise Price: $50.00		813,900
		CBOE Volatility Index
	3,727	Expiration: July 2014, Exercise Price: $19.00		55,905
	1,865	Expiration: July 2014, Exercise Price: $20.00		27,975
	5,035	Expiration: July 2014, Exercise Price: $21.00		25,175
	8,394	Expiration: August 2014, Exercise Price: $22.00		209,850
		CBS Corporation Class B
	2,856	Expiration: September 2014, Exercise Price: $55.00		2,213,400
	8,212	Expiration: September 2014, Exercise Price: $57.50		4,927,200
	4,504	Expiration: September 2014, Exercise Price: $60.00		1,936,720
		CenterPoint Energy, Inc.
	11,141	Expiration: August 2014, Exercise Price: $22.50		3,620,825
		Chemtura Corporation
	4,497	Expiration: September 2014, Exercise Price: $22.50		1,753,830
	15,094	Expiration: September 2014, Exercise Price: $25.00		3,033,894

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

25

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Comcast Corporation Special Class A
	378	Expiration: October 2014, Exercise Price: $45.00	$	321,300
	2,837	Expiration: October 2014, Exercise Price: $47.00		1,914,975
	2,732	Expiration: October 2014, Exercise Price: $48.00		1,584,560
		CommonWealth REIT
	1,997	Expiration: July 2014, Exercise Price: $25.00		289,565
	22,543	Expiration: July 2014, Exercise Price: $27.50		225,430
		CONSOL Energy, Inc.
	217	Expiration: July 2014, Exercise Price: $39.00		153,419
		Corrections Corporation of America
	7,314	Expiration: September 2014, Exercise Price: $33.00		786,255
		DISH Network Corporation Class A
	9,135	Expiration: September 2014, Exercise Price: $57.50		8,952,300
		The Dow Chemical Company
	2,675	Expiration: September 2014, Exercise Price: $50.00		762,375
	10,975	Expiration: September 2014, Exercise Price: $52.50		1,602,350
		E.I. Du Pont de Nemours & Company
	13,087	Expiration: July 2014, Exercise Price: $65.00		1,354,504
	1,713	Expiration: October 2014, Exercise Price: $65.00		385,425
		Endo International plc
	1,289	Expiration: July 2014, Exercise Price: $55.00		1,936,078
		Ensco plc Class A
	3,199	Expiration: September 2014, Exercise Price: $49.00		2,159,325
	5,234	Expiration: September 2014, Exercise Price: $50.00		3,140,400
		Equinix, Inc.
	464	Expiration: September 2014, Exercise Price: $190.00		1,030,080
	843	Expiration: September 2014, Exercise Price: $195.00		1,551,120
	1,880	Expiration: September 2014, Exercise Price: $200.00		2,857,600
		General Motors Company
	2,257	Expiration: September 2014, Exercise Price: $35.00		514,596
	6,313	Expiration: September 2014, Exercise Price: $36.00		1,070,053
	13,168	Expiration: September 2014, Exercise Price: $37.00		1,566,992
		Halliburton Company
	337	Expiration: July 2014, Exercise Price: $55.00		539,537
		Hertz Global Holdings, Inc.
	2,020	Expiration: August 2014, Exercise Price: $27.00		434,300
		Hess Corporation
	15,906	Expiration: August 2014, Exercise Price: $87.50		18,570,255
		The Hillshire Brands Company
	1,019	Expiration: August 2014, Exercise Price: $52.50		1,044,475
	4,647	Expiration: August 2014, Exercise Price: $57.50		2,439,675
	4,190	Expiration: October 2014, Exercise Price: $45.00		7,416,300
	4,797	Expiration: October 2014, Exercise Price: $47.00		7,675,200

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

26

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Huntsman Corporation
	33,428	Expiration: August 2014, Exercise Price: $24.00	$	14,206,900
	17,773	Expiration: August 2014, Exercise Price: $25.00		5,865,090
	478	Expiration: August 2014, Exercise Price: $28.00		50,190
		International Paper Company
	2,180	Expiration: July 2014, Exercise Price: $45.00		1,199,000
	3,320	Expiration: October 2014, Exercise Price: $45.00		1,850,900
	12,279	Expiration: October 2014, Exercise Price: $46.00		5,801,827
		Iron Mountain, Inc.
	5,898	Expiration: October 2014, Exercise Price: $25.00		6,163,410
	11,938	Expiration: October 2014, Exercise Price: $32.50		4,178,300
		Koninklijke KPN NV
	44,856	Expiration: August 2014, Exercise Price: EUR 2.70 (a)		798,482
	9,179	Expiration: August 2014, Exercise Price: EUR 2.80 (a)		125,688
	12,191	Expiration: September 2014, Exercise Price: EUR 2.60 (a)		367,254
	36,573	Expiration: September 2014, Exercise Price: EUR 2.70 (a)		851,346
		Lamar Advertising Company Class A
	7,582	Expiration: July 2014, Exercise Price: $49.00		3,070,710
	23,816	Expiration: July 2014, Exercise Price: $50.00		7,478,224
		Liberty Global plc Class A
	668	Expiration: July 2014, Exercise Price: $72.50		937,204
		Lorillard, Inc.
	1,867	Expiration: July 2014, Exercise Price: $55.00		1,129,535
		Mallinckrodt plc
	696	Expiration: July 2014, Exercise Price: $55.00		1,741,392
	6,019	Expiration: July 2014, Exercise Price: $65.00		9,130,823
		The Manitowoc Company, Inc.
	3,436	Expiration: August 2014, Exercise Price: $31.00		936,310
		Market Vectors Gold Miners ETF
	2,744	Expiration: September 2014, Exercise Price: $20.50		1,660,120
		National Oilwell Varco, Inc.
	22	Expiration: August 2014, Exercise Price: $75.00		36,520
	15,708	Expiration: August 2014, Exercise Price: $77.50		21,991,200
	1,324	Expiration: August 2014, Exercise Price: $80.00		1,568,940
		Navient Corporation
	1,492	Expiration: August 2014, Exercise Price: $17.50		100,710
		Newmont Mining Corporation
	10,220	Expiration: July 2014, Exercise Price: $25.00		817,600
		Noble Corporation plc
	3,171	Expiration: September 2014, Exercise Price: $29.00		1,498,298
	25,879	Expiration: September 2014, Exercise Price: $32.00		6,003,928

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

27

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		NorthStar Realty Finance Corporation
	13,727	Expiration: September 2014, Exercise Price: $14.00	$	4,804,450
	24,371	Expiration: September 2014, Exercise Price: $15.00		6,336,460
	18,386	Expiration: September 2014, Exercise Price: $16.00		3,217,550
		Occidental Petroleum Corporation
	8,846	Expiration: August 2014, Exercise Price: $95.00		7,519,100
	2,014	Expiration: November 2014, Exercise Price: $97.50		1,565,885
		Oil States International, Inc.
	523	Expiration: July 2014, Exercise Price: $100.00		758,350
		Pfizer, Inc.
	5,206	Expiration: July 2014, Exercise Price: $30.00		78,090
	6,023	Expiration: July 2014, Exercise Price: $31.00		18,069
	3,690	Expiration: September 2014, Exercise Price: $28.00		686,340
	5,496	Expiration: September 2014, Exercise Price: $29.00		599,064
		QEP Resources, Inc.
	28,721	Expiration: September 2014, Exercise Price: $31.00		11,201,190
		Sirius XM Holdings, Inc.
	11,885	Expiration: September 2014, Exercise Price: $3.50		178,275
	158,979	Expiration: December 2014, Exercise Price: $3.50		3,497,538
		SLM Corporation
	8,509	Expiration: July 2014, Exercise Price: $24.00		1,723,073
	3,358	Expiration: July 2014, Exercise Price: $25.00		354,269
	6,216	Expiration: July 2014, Exercise Price: $26.00		217,560
	6,944	Expiration: October 2014, Exercise Price: $25.00		1,038,128
	13,888	Expiration: October 2014, Exercise Price: $26.00		1,180,480
		Sprint Corporation
	85,113	Expiration: August 2014, Exercise Price: $8.00		7,234,605
		Time Warner Cable, Inc.
	4,839	Expiration: July 2014, Exercise Price: $135.00		5,976,165
	2,141	Expiration: July 2014, Exercise Price: $140.00		1,659,275
	1,398	Expiration: October 2014, Exercise Price: $140.00		1,384,020
		The Timken Company
	7,049	Expiration: September 2014, Exercise Price: $62.50		4,581,850
		T-Mobile U.S., Inc.
	9,122	Expiration: August 2014, Exercise Price: $30.00		3,762,825
	20,362	Expiration: August 2014, Exercise Price: $31.00		6,923,080
		Transocean, Ltd.
	3,091	Expiration: August 2014, Exercise Price: $41.00		1,360,040
	467	Expiration: August 2014, Exercise Price: $44.00		96,202
		Verizon Communications, Inc.
	1,320	Expiration: August 2014, Exercise Price: $47.00		254,760
	1,957	Expiration: August 2014, Exercise Price: $48.00		227,991
	1,098	Expiration: August 2014, Exercise Price: $49.00		68,076

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

28

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Vivendi SA
	29,446	Expiration: September 2014, Exercise Price: EUR 19.00 (a)	$	645,132
		Vodafone Group plc — ADR
	15	Expiration: July 2014, Exercise Price: $34.00		450
	2,351	Expiration: July 2014, Exercise Price: $37.00		11,755
	1,873	Expiration: October 2014, Exercise Price: $35.00		144,221
	3,291	Expiration: October 2014, Exercise Price: $37.00		125,058
		Walgreen Company
	4,877	Expiration: September 2014, Exercise Price: $70.00		3,011,548
		Weyerhaeuser Company
	10,189	Expiration: July 2014, Exercise Price: $28.00		5,186,201
	2,866	Expiration: July 2014, Exercise Price: $29.00		1,189,390
		The Williams Companies, Inc.
	10	Expiration: July 2014, Exercise Price: $42.00		16,850
	162	Expiration: August 2014, Exercise Price: $43.00		249,075
		Yahoo!, Inc.
	5,465	Expiration: July 2014, Exercise Price: $32.00		1,803,450
	6,630	Expiration: July 2014, Exercise Price: $36.00		510,510
				335,024,485

PUT OPTIONS WRITTEN

	CBOE Volatility Index
1,863	Expiration: July 2014, Exercise Price: $12.00		74,520
1,865	Expiration: July 2014, Exercise Price: $13.00		207,015
5,492	Expiration: July 2014, Exercise Price: $14.00		1,065,448
8,394	Expiration: August 2014, Exercise Price: $13.00		839,400
	SPDR S&P 500 ETF Trust
9,344	Expiration: August 2014, Exercise Price: $183.00		499,904
2,803	Expiration: August 2014, Exercise Price: $184.00		170,983
9,342	Expiration: December 2014, Exercise Price: $170.00		1,625,508
			4,482,778
	TOTAL OPTIONS WRITTEN
	(Premiums received $233,955,065)	$	339,507,263

ADR – American Depository Receipt

ETF – Exchange-Traded Fund

EUR – Euro

plc – Public Limited Company

REIT – Real Estate Investment Trust

(a) Level 2 Security. Please see Note 2 on the Notes to the Financial Statements.

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

29

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
CALL OPTIONS WRITTEN
		Agilent Technologies, Inc.
	1	Expiration: August 2014, Exercise Price: $55.00	$	360
	6	Expiration: November 2014, Exercise Price: $55.00		2,970
		Allergan, Inc.
	7	Expiration: September 2014, Exercise Price: $155.00		13,755
	2	Expiration: September 2014, Exercise Price: $160.00		3,180
		Alstom SA
	7	Expiration: July 2014, Exercise Price: EUR 28.00 (a)		105
	6	Expiration: August 2014, Exercise Price: EUR 29.00 (a)		131
	9	Expiration: September 2014, Exercise Price: EUR 27.00 (a)		1,195
	18	Expiration: September 2014, Exercise Price: EUR 28.00 (a)		1,405
		American International Group, Inc.
	17	Expiration: August 2014, Exercise Price: $49.00		10,455
	4	Expiration: August 2014, Exercise Price: $50.00		2,020
	31	Expiration: August 2014, Exercise Price: $52.50		8,680
		Anadarko Petroleum Corporation
	17	Expiration: August 2014, Exercise Price: $95.00		26,053
		Ashland, Inc.
	5	Expiration: July 2014, Exercise Price: $95.00		6,870
		AT&T, Inc.
	3	Expiration: October 2014, Exercise Price: $33.00		716
		B/E Aerospace, Inc.
	11	Expiration: October 2014, Exercise Price: $90.00		7,040
	2	Expiration: October 2014, Exercise Price: $95.00		760
		BP plc — ADR
	6	Expiration: July 2014, Exercise Price: $50.00		1,698
	5	Expiration: August 2014, Exercise Price: $50.00		1,500
		CBOE Volatility Index
	5	Expiration: July 2014, Exercise Price: $19.00		75
	2	Expiration: July 2014, Exercise Price: $20.00		30
	13	Expiration: July 2014, Exercise Price: $21.00		65
	11	Expiration: August 2014, Exercise Price: $22.00		275
		CBS Corporation Class B
	4	Expiration: September 2014, Exercise Price: $55.00		3,100
	11	Expiration: September 2014, Exercise Price: $57.50		6,600
	7	Expiration: September 2014, Exercise Price: $60.00		3,010
		CenterPoint Energy, Inc.
	30	Expiration: August 2014, Exercise Price: $22.50		9,750
		Chemtura Corporation
	20	Expiration: September 2014, Exercise Price: $22.50		7,800
	19	Expiration: September 2014, Exercise Price: $25.00		3,819

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

30

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Citigroup, Inc.
	6	Expiration: July 2014, Exercise Price: $46.00	$	918
	5	Expiration: July 2014, Exercise Price: $47.00		440
	10	Expiration: September 2014, Exercise Price: $48.00		1,205
		Comcast Corporation Special Class A
	4	Expiration: October 2014, Exercise Price: $47.00		2,700
	4	Expiration: October 2014, Exercise Price: $48.00		2,320
		CommonWealth REIT
	4	Expiration: July 2014, Exercise Price: $25.00		580
	39	Expiration: July 2014, Exercise Price: $27.50		390
		DISH Network Corporation Class A
	16	Expiration: September 2014, Exercise Price: $57.50		15,680
		The Dow Chemical Company
	6	Expiration: September 2014, Exercise Price: $50.00		1,710
	18	Expiration: September 2014, Exercise Price: $52.50		2,628
		E.I. Du Pont de Nemours & Company
	27	Expiration: July 2014, Exercise Price: $65.00		2,794
	2	Expiration: October 2014, Exercise Price: $65.00		450
		Endo International plc
	4	Expiration: July 2014, Exercise Price: $55.00		6,008
		Ensco plc Class A
	4	Expiration: September 2014, Exercise Price: $49.00		2,700
	8	Expiration: September 2014, Exercise Price: $50.00		4,800
		Equinix, Inc.
	4	Expiration: September 2014, Exercise Price: $200.00		6,080
		General Electric Company
	32	Expiration: August 2014, Exercise Price: $27.00		864
		General Motors Company
	17	Expiration: September 2014, Exercise Price: $35.00		3,876
	8	Expiration: September 2014, Exercise Price: $36.00		1,356
	39	Expiration: September 2014, Exercise Price: $37.00		4,641
		Hertz Global Holdings, Inc.
	2	Expiration: August 2014, Exercise Price: $27.00		430
		Hess Corporation
	26	Expiration: August 2014, Exercise Price: $87.50		30,355
		The Hillshire Brands Company
	1	Expiration: August 2014, Exercise Price: $52.50		1,025
	8	Expiration: August 2014, Exercise Price: $57.50		4,200
	6	Expiration: October 2014, Exercise Price: $45.00		10,620
	6	Expiration: October 2014, Exercise Price: $47.00		9,600
		Huntsman Corporation
	14	Expiration: August 2014, Exercise Price: $24.00		5,950
	65	Expiration: August 2014, Exercise Price: $25.00		21,450

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

31

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		International Paper Company
	7	Expiration: July 2014, Exercise Price: $45.00	$	3,850
	3	Expiration: October 2014, Exercise Price: $45.00		1,672
	8	Expiration: October 2014, Exercise Price: $46.00		3,780
		Iron Mountain, Inc.
	8	Expiration: October 2014, Exercise Price: $25.00		8,360
	21	Expiration: October 2014, Exercise Price: $32.50		7,350
		Koninklijke KPN NV
	61	Expiration: September 2014, Exercise Price: EUR 2.60 (a)		1,838
	184	Expiration: September 2014, Exercise Price: EUR 2.70 (a)		4,283
		Lamar Advertising Company Class A
	58	Expiration: July 2014, Exercise Price: $50.00		18,212
		Liberty Global plc Class A
	1	Expiration: July 2014, Exercise Price: $72.50		1,403
		Lorillard, Inc.
	2	Expiration: July 2014, Exercise Price: $55.00		1,210
		The Manitowoc Company, Inc.
	9	Expiration: August 2014, Exercise Price: $31.00		2,452
		Market Vectors Gold Miners ETF
	3	Expiration: September 2014, Exercise Price: $20.50		1,815
		National Oilwell Varco, Inc.
	20	Expiration: August 2014, Exercise Price: $77.50		28,000
	2	Expiration: August 2014, Exercise Price: $80.00		2,370
		Navient Corporation
	2	Expiration: August 2014, Exercise Price: $17.50		135
		Newmont Mining Corporation
	21	Expiration: July 2014, Exercise Price: $25.00		1,680
		Noble Corporation plc
	23	Expiration: September 2014, Exercise Price: $29.00		10,867
	24	Expiration: September 2014, Exercise Price: $32.00		5,568
		NorthStar Realty Finance Corporation
	18	Expiration: September 2014, Exercise Price: $14.00		6,300
	55	Expiration: September 2014, Exercise Price: $15.00		14,300
	14	Expiration: September 2014, Exercise Price: $16.00		2,450
		Occidental Petroleum Corporation
	12	Expiration: August 2014, Exercise Price: $95.00		10,200
	4	Expiration: November 2014, Exercise Price: $97.50		3,110
		Oil States International, Inc.
	1	Expiration: July 2014, Exercise Price: $100.00		1,450

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

32

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Pfizer, Inc.
	5	Expiration: July 2014, Exercise Price: $30.00	$	75
	10	Expiration: July 2014, Exercise Price: $31.00		30
	5	Expiration: September 2014, Exercise Price: $28.00		930
	7	Expiration: September 2014, Exercise Price: $29.00		763
		QEP Resources, Inc.
	37	Expiration: September 2014, Exercise Price: $31.00		14,430
		Sirius XM Holdings, Inc.
	53	Expiration: September 2014, Exercise Price: $3.50		795
	252	Expiration: December 2014, Exercise Price: $3.50		5,544
		SLM Corporation
	28	Expiration: July 2014, Exercise Price: $23.00		8,610
	7	Expiration: July 2014, Exercise Price: $24.00		1,418
	18	Expiration: July 2014, Exercise Price: $25.00		1,899
	2	Expiration: July 2014, Exercise Price: $26.00		70
	4	Expiration: October 2014, Exercise Price: $25.00		598
	7	Expiration: October 2014, Exercise Price: $26.00		595
		Sprint Corporation
	60	Expiration: August 2014, Exercise Price: $8.00		5,100
	30	Expiration: August 2014, Exercise Price: $9.00		1,050
		Time Warner Cable, Inc.
	7	Expiration: July 2014, Exercise Price: $135.00		8,645
	6	Expiration: July 2014, Exercise Price: $140.00		4,650
	2	Expiration: October 2014, Exercise Price: $140.00		1,980
		The Timken Company
	8	Expiration: September 2014, Exercise Price: $62.50		5,200
		T-Mobile U.S., Inc.
	45	Expiration: August 2014, Exercise Price: $31.00		15,300
		Transocean, Ltd.
	12	Expiration: August 2014, Exercise Price: $41.00		5,280
		Verizon Communications, Inc.
	2	Expiration: August 2014, Exercise Price: $48.00		233
	4	Expiration: August 2014, Exercise Price: $49.00		248
	7	Expiration: September 2014, Exercise Price: $49.00		637
		Vivendi SA
	38	Expiration: September 2014, Exercise Price: EUR 19.00 (a)		833
		Vodafone Group plc — ADR
	2	Expiration: July 2014, Exercise Price: $37.00		10
	2	Expiration: October 2014, Exercise Price: $35.00		154
		Walgreen Company
	11	Expiration: September 2014, Exercise Price: $70.00		6,793
		Weyerhaeuser Company
	4	Expiration: July 2014, Exercise Price: $29.00		1,660

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

33

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2014 (Unaudited)

Contracts (100 shares per contract)			Value
		Yahoo!, Inc.
	6	Expiration: July 2014, Exercise Price: $32.00	$	1,980
	14	Expiration: July 2014, Exercise Price: $36.00		1,078
				508,430
PUT OPTIONS WRITTEN
		CBOE Volatility Index
	3	Expiration: July 2014, Exercise Price: $12.00		120
	2	Expiration: July 2014, Exercise Price: $13.00		222
	14	Expiration: July 2014, Exercise Price: $14.00		2,716
	10	Expiration: August 2014, Exercise Price: $13.00		1,000
		Keurig Green Mountain, Inc.
	39	Expiration: July 2014, Exercise Price: $92.50		254
	39	Expiration: July 2014, Exercise Price: $97.50		273
		SPDR S&P 500 ETF Trust
	12	Expiration: August 2014, Exercise Price: $183.00		642
	3	Expiration: August 2014, Exercise Price: $184.00		183
	12	Expiration: December 2014, Exercise Price: $170.00		2,088
				7,498
		TOTAL OPTIONS WRITTEN
		(Premiums received $384,747)	$	515,928

ADR – American Depository Receipt

ETF – Exchange-Traded Fund

EUR – Euro

plc – Public Limited Company

REIT – Real Estate Investment Trust

(a) Level 2 Security. Please see Note 2 on the Notes to the Financial Statements.

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

34

SCHEDULES OF FORWARD CURRENCY EXCHANGE CONTRACTS*

June 30, 2014 (Unaudited)

The Merger Fund

				U.S.					U.S.		Unrealized
Settlement	Currency to			$ Value at		Currency to			$ Value at		Appreciation
Date	be Delivered			June 30, 2014		be Received			June 30, 2014		(Depreciation)**
8/20/14		2,627,932	Australian Dollars	$	2,468,588		2,417,697	U.S. Dollars	$	2,417,697	$	(50,891	)
8/21/14		10,485,213	Australian Dollars		9,848,797		9,736,269	U.S. Dollars		9,736,269		(112,528	)
9/24/14		14,758,792	Australian Dollars		13,830,641		13,554,475	U.S. Dollars		13,554,475		(276,166	)
8/20/14		831,510	Canadian Dollars		778,242		761,456	U.S. Dollars		761,456		(16,786	)
7/17/14		30,621,059	Euros		41,932,358		41,691,019	U.S. Dollars		41,691,019		(241,339	)
7/23/14		66,573,000	Euros		91,166,759		91,812,190	U.S. Dollars		91,812,190		645,431
7/23/14		2,200,304	U.S. Dollars		2,200,304		1,619,000	Euros		2,217,100		16,796
9/26/14		84,323,150	Euros		115,502,357		115,017,620	U.S. Dollars		115,017,620		(484,737	)
10/22/14		15,853,782	Euros		21,718,243		21,633,781	U.S. Dollars		21,633,781		(84,462	)
8/20/14		74,371,269	Hong Kong Dollars		9,591,816		9,590,848	U.S. Dollars		9,590,848		(968	)
				$	309,038,105				$	308,432,455	$	(605,650	)

WCM Alternatives: Event-Driven Fund

				U.S.					U.S.		Unrealized
Settlement	Currency to			$ Value at		Currency to			$ Value at		Appreciation
Date	be Delivered			June 30, 2014		be Received			June 30, 2014		(Depreciation)**
7/16/14		70,516	Australian Dollars	$	66,409		65,058	U.S. Dollars	$	65,058	$	(1,351	)
7/16/14		65,727	U.S. Dollars		65,727		70,516	Australian Dollars		66,409		682
8/21/14		40,527	Australian Dollars		38,067		37,274	U.S. Dollars		37,274		(793	)
7/9/14		49,402	Canadian Dollars		46,287		45,512	U.S. Dollars		45,512		(775	)
7/9/14		45,151	U.S. Dollars		45,151		49,402	Canadian Dollars		46,287		1,136
7/17/14		64,095	Euros		87,771		87,254	U.S. Dollars		87,254		(517	)
7/23/14		141,400	Euros		193,637		195,136	U.S. Dollars		195,136		1,499
7/23/14		4,757	U.S. Dollars		4,757		3,500	Euros		4,793		36
9/26/14		138,750	Euros		190,054		189,256	U.S. Dollars		189,256		(798	)
10/22/14		22,737	Euros		31,147		31,000	U.S. Dollars		31,000		(147	)
8/20/14		88,001	Hong Kong Dollars		11,350		11,349	U.S. Dollars		11,349		(1	)
7/9/14		107,600	Japanese Yen		1,062		1,059	U.S. Dollars		1,059		(3	)
				$	781,419				$	780,387	$	(1,032	)

* JPMorgan Chase & Co. Inc. is the counterparty for all open forward currency exchange contracts held by the Fund as of June 30, 2014.

** Unrealized appreciation is a receivable and unrealized depreciation is a payable on the Statement of Assets and Liabilities.

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

35

The Merger Fund

SCHEDULE OF SWAP CONTRACTS

June 30, 2014 (Unaudited)

								Unrealized
Termination								Appreciation
Date	Security	Shares			Notional			(Depreciation)*			Counterparty
LONG TOTAL RETURN SWAP CONTRACTS
4/30/15	Alstom SA		2,310,000		$	84,217,102		$	(9,373,487	)	JPMorgan Chase & Co. Inc.
3/26/15	Endo International plc		1			70			17		Merrill Lynch & Co. Inc.
7/3/14	GrainCorp, Ltd.		1,742,832			13,804,606			(919,452	)	JPMorgan Chase & Co. Inc.
10/18/14	Hillgrove Resources, Ltd.		13,139,699			978,776			(25,623	)	JPMorgan Chase & Co. Inc.
12/19/14	Koninklijke KPN NV		11,437,680			41,675,589			822,502		JPMorgan Chase & Co. Inc.
6/4/15	SAI Global, Ltd.		1,941,706			9,356,072			134,300		JPMorgan Chase & Co. Inc.
8/20/14	Vivendi SA		4,240,900			103,772,279			(7,134,539	)	JPMorgan Chase & Co. Inc.
1/28/15	Ziggo NV (a)		1,441,253			66,737,912			3,466,873		JPMorgan Chase & Co. Inc.
SHORT TOTAL RETURN SWAP CONTRACTS
3/26/15	AMEC plc		(454,299	)		(9,446,421	)		(1,048,517	)	JPMorgan Chase & Co. Inc.
								$	(14,077,926	)

plc – Public Limited Company

* Based on the net value of each counterparty, unrealized appreciation is a receivable and unrealized depreciation is a payable on the Statement of Assets and Liabilities.

(a) Security fair valued by the Adviser in good faith in accordance with the policies adopted by the Board of Trustees.

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

36

WCM Alternatives: Event-Driven Fund

SCHEDULE OF SWAP CONTRACTS

June 30, 2014 (Unaudited)

								Unrealized
Termination								Appreciation
Date	Security	Shares			Notional			(Depreciation)*			Counterparty
LONG TOTAL RETURN SWAP CONTRACTS
4/30/15	Alstom SA		4,900		$	178,642		$	(20,099	)	JPMorgan Chase & Co. Inc.
1/10/15	Apollo Residential Mortgage, Inc.		2,996			50,093			3,368		JPMorgan Chase & Co. Inc.
5/5/15	CBS Corporation Class B		1,700			105,638			6,930		Merrill Lynch & Co. Inc.
3/17/15	Chemtura Corporation		1,900			49,647			80		Merrill Lynch & Co. Inc.
6/2/15	Civeo Corporation		3,200			80,096			13,559		JPMorgan Chase & Co. Inc.
1/15/15	Equinix, Inc.		500			105,045			15,244		JPMorgan Chase & Co. Inc.
3/14/15	Forest Laboratories, Inc.		2,440			241,560			8,396		Merrill Lynch & Co. Inc.
1/13/15	General Motors Company		2,600			94,380			(10,437	)	Merrill Lynch & Co. Inc.
3/14/15	Hess Corporation		2,600			257,114			48,178		Merrill Lynch & Co. Inc.
6/11/15	Huntsman Corporation		7,900			221,990			(3,184	)	Merrill Lynch & Co. Inc.
5/30/15	Iron Mountain, Inc.		2,900			102,805			12,508		Merrill Lynch & Co. Inc.
3/3/15	Koninklijke KPN NV		24,500			89,271			3,334		JPMorgan Chase & Co. Inc.
1/15/15	Lamar Advertising Company Class A		1,800			95,400			3,994		JPMorgan Chase & Co. Inc.
1/10/15	Noble Corporation plc		2,200			73,832			(6,638	)	Merrill Lynch & Co. Inc.
6/2/15	Oil States International, Inc.		1,600			102,544			13,876		JPMorgan Chase & Co. Inc.
5/28/15	PetroLogistics LP		4,967			71,326			364		Merrill Lynch & Co. Inc.
3/24/15	Pfizer, Inc.		3,600			106,848			(6,996	)	JPMorgan Chase & Co. Inc.
1/13/15	QEP Resources, Inc.		2,300			79,350			10,972		Merrill Lynch & Co. Inc.
5/27/15	SAI Global, Ltd.		7,505			36,163			893		JPMorgan Chase & Co. Inc.
1/13/15	Time Warner Cable, Inc.		700			103,110			10,334		Merrill Lynch & Co. Inc.
3/3/15	Toko, Inc.		269			815			(213	)	JPMorgan Chase & Co. Inc.
1/16/15	Vivendi SA		7,100			173,733			(14,831	)	JPMorgan Chase & Co. Inc.
1/28/15	Ziggo NV (a)		2,067			95,713			5,363		JPMorgan Chase & Co. Inc.
SHORT TOTAL RETURN SWAP CONTRACTS
5/19/15	Actavis plc		(125	)		(27,881	)		(1,866	)	Merrill Lynch & Co. Inc.
3/20/15	AMEC plc		(1,460	)		(30,358	)		(3,674	)	JPMorgan Chase & Co. Inc.
								$	89,455

plc – Public Limited Company

* Based on the net value of each counterparty, unrealized appreciation is a receivable and unrealized depreciation is a payable on the Statement of Assets and Liabilities.

(a) Security fair valued by the Adviser in good faith in accordance with the policies adopted by the Board of Trustees.

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

37

The Merger Fund and WCM Alternatives: Event-Driven Fund

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2014 (Unaudited)

			WCM Alternatives:
	The Merger Fund		Event-Driven Fund
ASSETS:
Investments, at value (Cost $5,531,536,736 and $7,400,300, respectively)	$	5,941,087,980	$	7,703,164
Cash		1,272		—
Cash held in foreign currency (Cost $145)		—		145
Receivable from brokers		693,207,103		1,181,169
Deposits at brokers		41,957,261		143,880
Receivable for investments sold		123,664,478		321,234
Receivable for forward currency exchange contracts		662,227		3,353
Receivable for swap contracts		—		89,455
Receivable for fund shares issued		15,464,859		—
Receivable from investment adviser		—		41,590
Dividends and interest receivable		9,978,336		11,091
Swap dividends receivable		9,396,196		17,624
Prepaid expenses and other receivables		232,839		77,000
Total Assets		6,835,652,551		9,589,705
LIABILITIES:
Securities sold short, at value
(proceeds of $693,207,103 and $1,181,169, respectively)		767,288,689		1,281,840
Written option contracts, at value
(premiums received $233,955,065 and $384,747, respectively)		339,507,263		515,928
Payable to the investment adviser		3,896,278		—
Payable for forward currency exchange contracts		1,267,877		4,385
Payable for swap contracts		14,077,926		—
Payable for investments purchased		122,978,372		205,234
Payable for fund shares redeemed		4,239,786		—
Distribution fees payable		2,112,097		—
Dividends payable		1,617,125		1,319
Swap dividends payable		217,609		699
Payable to independent trustees		5,140		—
Accrued expenses and other liabilities		1,504,965		47,561
Total Liabilities		1,258,713,127		2,056,966
NET ASSETS	$	5,576,939,424	$	7,532,739

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

38

The Merger Fund and WCM Alternatives: Event-Driven Fund

STATEMENTS OF ASSETS AND LIABILITIES (continued)

June 30, 2014 (Unaudited)

				WCM Alternatives:
	The Merger Fund			Event-Driven Fund
NET ASSETS CONSISTS OF:
Accumulated undistributed net investment income	$	111,563,877		$	93,475
Accumulated net realized gain (loss) on investments, securities sold short,
written option contracts expired or closed, swap contracts, foreign currency
translation and forward currency exchange contracts		(153,270,439	)		53,910
Net unrealized appreciation (depreciation) on:
Investments		409,551,244			302,864
Securities sold short		(74,081,586	)		(100,671	)
Written option contracts		(105,552,198	)		(131,181	)
Swap contracts		(14,077,926	)		89,455
Forward currency exchange contracts		(605,650	)		(1,032	)
Net unrealized appreciation		215,233,884			159,435
Paid-in capital		5,403,412,102			7,225,919
Total Net Assets	$	5,576,939,424		$	7,532,739
Investor Class
Net assets	$	5,270,549,383			N/A
Shares outstanding		319,945,836			N/A
Net asset value and offering price per share*	$	16.47			N/A
Institutional Class
Net assets	$	306,390,041		$	7,532,739
Shares outstanding		18,627,328			716,552
Net asset value and offering price per share*	$	16.45		$	10.51

* The redemption price per share may vary based on the length of time a shareholder holds Fund shares.

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

39

The Merger Fund and WCM Alternatives: Event-Driven Fund

STATEMENTS OF OPERATIONS

For the Six Months Ended June 30, 2014 (Unaudited)

				WCM Alternatives:
	The Merger Fund			Event-Driven Fund^
INVESTMENT INCOME:
Interest	$	6,397,114		$	2,341
Dividend income on long positions (net of foreign withholding
taxes of $57,767 and $87, respectively)		143,141,394			153,480
Total investment income		149,538,508			155,821
EXPENSES:
Investment advisory fees		26,037,781			36,278
Distribution fees (Investor Class)		4,252,880			—
Sub transfer agent fees (Investor Class)		2,466,639			—
Sub transfer agent fees (Institutional Class)		107,019			1,615
Administration fees		793,851			901
Transfer agent and shareholder servicing agent fees		362,868			9,382
Reports to shareholders		333,460			5,352
Professional fees		333,065			56,346
Fund accounting expense		219,166			10,384
Custody fees		200,046			13,516
Federal and state registration fees		146,952			1,545
Trustees’ fees and expenses		138,685			7,450
Miscellaneous expenses		124,778			3,337
Organizational expenses		—			128,249
Deferred expenses		—			67,381
Borrowing expense on securities sold short		1,502,518			7,687
Dividends on securities sold short		3,593,841			4,161
Total expenses before expense waiver by adviser		40,613,549			353,584
Less: Expense reimbursed by Adviser		(3,534,103	)		(291,238	)
Net expenses		37,079,446			62,346
NET INVESTMENT INCOME		112,459,062			93,475
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Realized gain (loss) on:
Investments		2,289,273			(6,083	)
Securities sold short		(2,028,598	)		6,016
Written option contracts expired or closed		(14,059,989	)		(11,284	)
Swap contracts		13,173,623			63,176
Foreign currency translation		(41,401	)		(15	)
Forward currency exchange contracts		(10,367,393	)		2,100
Net realized gain (loss)		(11,034,485	)		53,910
Change in unrealized appreciation (depreciation) on:
Investments		119,128,462			302,864
Securities sold short		(36,710,518	)		(100,671	)
Written option contracts		(35,475,774	)		(131,181	)
Swap contracts		(6,105,629	)		89,455
Foreign currency translation		(237	)		—
Forward currency exchange contracts		10,166,845			(1,032	)
Net unrealized appreciation		51,003,149			159,435
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS		39,968,664			213,345
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	152,427,726		$	306,820

^ Commencement of operations January 2, 2014.

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

40

The Merger Fund

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended			Year Ended
	June 30, 2014			December 31, 2013
	(Unaudited)
Net investment income	$	112,459,062		$	10,208,898
Net realized gain (loss) on investments, securities sold short,
written option contracts expired or closed, swap contracts,
foreign currency translation and forward currency exchange contracts		(11,034,485	)		54,708,515
Change in unrealized appreciation on investments, securities
sold short, written option contracts, swap contracts, foreign
currency translation and forward currency exchange contracts		51,003,149			104,413,773
Net increase in net assets resulting from operations		152,427,726			169,331,186
Investor Class — Distributions to shareholders from: (Note 5)
Net investment income		—			(92,012,011	)
Net realized gains		—			(23,510,808	)
Total dividends and distributions — Investor Class		—			(115,522,819	)
Institutional Class — Distributions to shareholders from: (Note 5)
Net investment income		—			(3,843,231	)
Net realized gains		—			(865,809	)
Total dividends and distributions — Institutional Class		—			(4,709,040	)
Net increase in net assets from capital share transactions (Note 4)		409,342,394			550,380,118
Net increase in net assets		561,770,120			599,479,445
NET ASSETS:
Beginning of period		5,015,169,304			4,415,689,859
End of period (including accumulated undistributed net investment
income (loss) of $111,563,877 and $(895,185), respectively)	$	5,576,939,424		$	5,015,169,304

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

41

WCM Alternatives: Event-Driven Fund

STATEMENT OF CHANGES IN NET ASSETS

	For the Period from
	January 2, 2014^
	through
	June 30, 2014
	(Unaudited)
Net investment income	$	93,475
Net realized gain on investments, securities sold short,
written option contracts expired or closed, swap contracts,
foreign currency translation and forward currency exchange contracts		53,910
Change in unrealized appreciation on investments, securities
sold short, written option contracts, swap contracts, foreign
currency translation and forward currency exchange contracts		159,435
Net increase in net assets resulting from operations		306,820
Institutional Class — Distributions to shareholders from: (Note 5)
Total dividends and distributions — Institutional Class		—
Net increase in net assets from capital share transactions (Note 4)		7,225,919
Net increase in net assets		7,532,739
NET ASSETS:
Beginning of period		—
End of period (including accumulated undistributed net investment
income of $93,475)	$	7,532,739

^ Commencement of operations January 2, 2014.

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

42

The Merger Fund

FINANCIAL HIGHLIGHTS

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

Institutional Class

				For the Period from
	Six Months			August 1, 2013^
	Ended			through
	June 30, 2014			December 31, 2013
	(Unaudited)
Per Share Data:
Net Asset Value, beginning of period	$	15.97		$	16.06
Income from investment operations:
Net investment income(1)(2)		0.36			0.03
Net realized and unrealized gain on investments		0.12			0.31
Total from investment operations		0.48			0.34
Less distributions:
From net investment income		—			(0.35	)
From net realized gains		—			(0.08	)
Total dividends and distributions		—			(0.43	)
Net Asset Value, end of period	$	16.45		$	15.97
Total Return		2.94	%(3)		2.20	%(3)
Supplemental data and ratios:
Net assets, end of period (000’s)	$	306,390		$	172,247
Ratio of gross expenses to average net assets:
Before expense waiver		1.41	%(4)		1.32	%(4)
After expense waiver		1.27	%(4)		1.19	%(4)
Ratio of dividends and borrowing expense
on securities sold short to average net assets		0.20	%(4)		0.19	%(4)
Ratio of operating expense to average
net assets excluding dividends and
borrowing expense on securities sold short		1.07	%(4)		1.00	%(4)
Ratio of net investment income to average net assets:
Before expense waiver		4.34	%(4)		0.29	%(4)
After expense waiver		4.48	%(4)		0.42	%(4)
Portfolio turnover rate(5)		62.49	%(3)		194.47	%(3)

(1)  Net investment income before dividends and borrowing expense on securities sold short for the six months ended June 30, 2014 and the period ended December 31, 2013 was $0.37 and $0.04, respectively.

(2) Net investment income per share has been calculated based on average shares outstanding during the period.

(3) Not annualized.

(4) Annualized.

(5) The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short positions). The denominator includes the average long positions throughout the period for the Fund as a whole.

^ Commencement of operations.

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

43

The Merger Fund

FINANCIAL HIGHLIGHTS

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

Investor Class

	Six Months									Three Months
	Ended			Year Ended						Ended			Year Ended
	June 30,			December 31,						December 31,			September 30,
	2014			2013			2012				2011*			2011			2010(1)			2009(1)
	(Unaudited)
Per Share Data:
Net Asset Value,
beginning of period	$	16.01		$	15.83		$	15.59		$	15.59		$	15.93		$	15.26		$	14.79
Income from
investment operations:
Net investment income (loss)(2)		0.35	(3)		0.04	(3)		(0.05	)(3)		(0.02	)(3)		(0.18	)(3)		(0.02	)(4)		0.24	(4)
Net realized and unrealized
gain on investments		0.11			0.53			0.61			0.47			0.13			0.69			0.58
Total from
investment operations		0.46			0.57			0.56			0.45			(0.05	)		0.67			0.82
Redemption fees		—			—			0.00	(5)		0.00	(5)		0.00	(5)		0.00	(5)		0.00	(5)
Less distributions:
From net investment income		—			(0.31	)		(0.26	)		(0.08	)		—			(0.00	)(5)		(0.06	)
From net realized gains		—			0.08			(0.06	)		(0.37	)		(0.29	)		—			(0.05	)
From return of capital		—			—			—			—			—			—			(0.24	)
Total dividends
and distributions		—			(0.39	)		(0.32	)		(0.45	)		(0.29	)		(0.00	)(5)		(0.35	)
Net Asset Value,
end of period	$	16.47		$	16.01		$	15.83		$	15.59		$	15.59		$	15.93		$	15.26
Total Return		2.87	%(6)		3.61	%		3.61	%		2.90	%(6)		(0.34	)%		4.39	%		5.78	%

Footnotes To Financial Highlights On Following Page

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

44

The Merger Fund

FINANCIAL HIGHLIGHTS (continued)

Investor Class

	Six Months									Three Months
	Ended			Year Ended						Ended			Year Ended
	June 30,			December 31,						December 31,			September 30,
	2014			2013			2012				2011*			2011			2010(1)			2009(1)
	(Unaudited)
Supplemental data and ratios:
Net assets, end of
period (in millions)	$	5,271		$	4,843		$	4,416		$	5,027		$	4,914		$	3,574		$	1,811
Ratio of gross expenses
to average net assets:
Before expense waiver		1.57	%(7)		1.61	%		1.82	%		1.77	%(7)		2.08	%		2.64	%		4.22	%
After expense waiver		1.43	%(7)		1.48	%		1.69	%		1.64	%(7)		1.96	%		2.57	%		4.22	%
Ratio of dividends and
borrowing expense on
securities sold short
to average net assets		0.20	%(7)		0.22	%		0.42	%		0.31	%(7)		0.62	%		1.16	%		2.68	%
Ratio of operating expense
to average net assets
excluding dividends and
borrowing expense
on securities sold short		1.23	%(7)		1.26	%		1.27	%		1.33	%(7)		1.34	%		1.41	%		1.54	%
Ratio of net investment income
(loss) to average net assets:
Before expense waiver		4.18	%(7)		0.09	%		(0.47	)%		(0.72	)%(7)		(1.25	)%		(1.35	)%		(2.49	)%
After expense waiver		4.32	%(7)		0.22	%		(0.34	)%		(0.59	)%(7)		(1.13	)%		(1.28	)%		(2.49	)%
Portfolio turnover rate(8)		62.49	%(6)		194.47	%		240.32	%		48.13	%(6)		292.79	%		192.21	%		318.45	%

(1) Performance data included for periods prior to 2011 reflect that of Westchester Capital Management, Inc. the Fund’s prior investment adviser. See Note 1 for additional information.

(2) Net investment income (loss) before dividends and borrowing expense on securities sold short for the six months ended June 30, 2014, years ended December 31, 2013, 2012, the three months ended December 31, 2011 and the years ended September 30, 2011, 2010 and 2009 was $0.36, $0.07, $0.01, $(0.01), $(0.08), $0.12 and $0.55, respectively.

(3) Net investment income (loss) per share has been calculated based on average shares outstanding during the period.

(4) Net investment income (loss) per share is calculated using ending balance after consideration of adjustments for permanent book and tax differences.

(5) Amount is less than $0.005 per share.

(6) Not annualized.

(7) Annualized.

(8) The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short positions).  The denominator includes the average long positions throughout the period.

* Stub period from October 1, 2011 through December 31, 2011.

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

45

WCM Alternatives: Event-Driven Fund

FINANCIAL HIGHLIGHTS

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

Institutional Class

	For the Period from
	January 2, 2014^
	through
	June 30, 2014
	(Unaudited)
Per Share Data:
Net Asset Value, beginning of period	$	10.00
Income from investment operations:
Net investment income(1)(2)		0.16
Net realized and unrealized gain on investments		0.35
Total from investment operations		0.51
Net Asset Value, end of period	$	10.51
Total Return		5.10	%(4)
Supplemental data and ratios:
Net assets, end of period (000’s)	$	7,533
Ratio of gross expenses to average net assets:
Before expense waiver		12.18	%(5)
After expense waiver		2.15	%(5)
Ratio of dividends and borrowing expense on
securities sold short to average net assets		0.41	%(5)
Ratio of operating expenses to average net assets excluding
dividends and borrowing expense on securities sold short		1.74	%(5)
Ratio of net investment income (loss) to average net assets:
Before expense waiver		(6.81	)%(5)
After expense waiver		3.22	%(5)
Portfolio turnover rate(3)		92.49	%(4)

(1) Net investment income before dividends and borrowing expense on securities sold short for the period ended June 30, 2014 was $0.18.

(2) Net investment income per share has been calculated based on average shares outstanding during the period.

(3) The numerator for the portfolio turnover rate includes the lesser of purchases or sales (excluding short positions). The denominator includes the average long positions throughout the period for the Fund as a whole.

(4) Not annualized.

(5) Annualized.

^ Commencement of operations.

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

46

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS

June 30, 2014 (Unaudited)

Note 1 — ORGANIZATION

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

Westchester Capital Funds (“WCF”) is an open-end series management investment company organized under the laws of the Commonwealth of Massachusetts on March 20, 2013, and registered under the 1940 Act. WCM Alternatives: Event-Driven Fund (“EDF”), a series of WCF, is a no-load, open-end, non-diversified investment company with two classes of shares, Investor Class shares and Institutional Class shares. The Institutional Class inception date was January 2, 2014. Investor Class shares have not yet commenced operations. The investment objective of EDF is to seek to provide attractive risk-adjusted returns with low relative volatility in virtually all market environments. Risk-adjusted return is a concept that considers not only an investment’s return, but also the amount of potential risk involved in producing that return.

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

47

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were available to be issued. The presentation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and assumptions.

A. Investment Valuation

The following is a summary of the Funds’ pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Funds.

Securities listed on the NASDAQ are valued at the NASDAQ Official Closing Price (“NOCP”). Investments in registered open-end investment companies other than exchange-traded funds are valued at their reported net asset value (“NAV”). Equity securities that are traded on a national securities exchange are valued at the last sale price at the close of that exchange. The securities valued using quoted prices in active markets are classified as Level 1 investments. Securities not listed on an exchange, but for which market transaction prices are reported, are valued at the last sale price as of the close of the New York Stock Exchange. If such a security does not trade on a particular day, then the mean between the closing bid and asked prices will be used. These securities are classified as Level 2 investments. In pricing corporate bonds and other debt securities that are not obligations of the U.S. Government or its agencies, the mean of the bid and asked prices provided by a third party is used. These are classified as Level 2 investments. As a secondary source, an individual broker bid may be used to value debt securities if the Adviser reasonably believes such bid is an actionable bid in that the broker would be willing to transact at that price. These securities are generally classified as Level 2 or Level 3 investments.

Exchange-traded options are valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price. If no sales are reported or if the last sale is outside the bid and asked parameters, the higher of the intrinsic value of the option or the mean between the last reported bid and asked prices is used. Non-exchange-traded options will be valued at the higher of the intrinsic value of the option or at the price supplied by the counterparty. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange are classified as Level 2 investments. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 PM bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at amortized cost.

Securities for which there are no market quotations readily available or for which such quotations are unreliable are valued at fair value as determined in accordance with procedures adopted by the Trustees and under the supervision of the Board of Trustees. The factors for fair

48

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

valuation the Adviser may consider include, among other things: fundamental analytical data; the nature and duration of restrictions on disposition; an evaluation of forces that influence the market in which the securities are purchased and sold; public trading in similar securities of the issuer or comparable issuers. When fair-value pricing is employed, the prices of securities used by each Fund to calculate its NAV may differ from quoted or published prices for the same securities. These securities are generally classified as Level 2 or 3 depending on the inputs as described below. At June 30, 2014, securities fair valued in good faith based on the absolute value of long investments and on the absolute value of unrealized gains or losses on swap contracts represented 0.11% of net assets for TMF and 0.07% for EDF.

The Funds have performed analyses of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the three broad levels listed below:

Level 1 —	Quoted prices in active markets for identical securities.
Level 2 —	Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 —	Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

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

The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of June 30, 2014. These assets and liabilities are measured on a recurring basis.

	Level 1		Level 2		Level 3		Total
The Merger Fund
Assets
Common Stocks*	$	4,909,873,005	$	—	$	—	$	4,909,873,005
Contingent Value Rights		—		—		194,247		194,247
Warrants		3,342		—		—		3,342
Corporate Bonds		—		195,708,197		—		195,708,197
Municipal Bonds		—		6,004,884		—		6,004,884
Purchased Option Contracts		15,471,684		359,968		—		15,831,652
Escrow Notes		—		—		2,300,301		2,300,301
Short-Term Investments		811,172,352		—		—		811,172,352
Forward Currency Exchange Contracts**		—		662,227		—		662,227
Liabilities
Common Stocks Sold Short	$	767,288,689	$	—	$	—	$	767,288,689
Written Option Contracts		335,427,235		4,080,028		—		339,507,263
Swap Contracts**		—		14,077,926		—		14,077,926
Forward Currency Exchange Contracts**		—		1,267,877		—		1,267,877

49

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

	Level 1		Level 2		Level 3		Total
WCM Alternatives: Event-Driven Fund
Assets
Common Stocks*	$	6,298,799	$	—	$	—	$	6,298,799
Preferred Stocks		345,017		—		—		345,017
Closed-End Funds		169,499		—		—		169,499
Corporate Bonds		—		102,980		—		102,980
Purchased Option Contracts		24,724		731		—		25,455
Short-Term Investments		761,414		—		—		761,414
Swap Contracts**		—		89,455		—		89,455
Forward Currency Exchange Contracts**		—		3,353		—		3,353
Liabilities
Common Stocks Sold Short	$	1,281,840	$	—	$	—	$	1,281,840
Written Option Contracts		506,138		9,790		—		515,928
Forward Currency Exchange Contracts**		—		4,385		—		4,385

* Please refer to the Schedules of Investments to view common stocks segregated by industry type.

** Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument.

The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and ask prices, prices on comparable securities and other significant inputs.  The Funds did not have transfers into or out of Level 1, Level 2 or Level 3 during the period. EDF did not hold any Level 3 securities at the end of the period.

Level 3 Reconciliation Disclosure

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

The Merger Fund

Description	Investments
Balance as of December 31, 2013	$	19,482,377
Change in unrealized depreciation		(5,115,781	)
Purchases		194,247
Sales		(12,066,295	)
Balance as of June 30, 2014	$	2,494,548

Significant unobservable valuation inputs developed by the Board of Trustees for material Level 3 investments as of June 30, 2014, are as follows:

	Fair Value at	Valuation	Unobservable
Description	June 30, 2014	Technique	Input	Range
Escrow Notes	$2,300,301	Broker Quote	No Active Market	1.80 – 1.90
Escrow Notes	$—	Projected Final Distribution(1)	Final Distribution	0.00
Contingent Value Rights	$194,247	Broker Quote	No Active Market	2.40 – 2.60

(1) This Level 3 security was received through a corporate action and is being priced at an estimate of the expected final distribution.

50

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

B. Securities Sold Short

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

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

C.  Transactions with Brokers for Securities Sold Short

The Funds’ receivables from brokers for proceeds on securities sold short and deposits at brokers for securities sold short are with two securities dealers. The Funds do not require the brokers to maintain collateral in support of the receivable from the brokers for proceeds on securities sold short. The Funds are required by the brokers to maintain collateral at the brokers for securities sold short. The receivable from brokers on the Statement of Assets and Liabilities represents the collateral for securities sold short. The Funds maintain cash deposits at brokers beyond the receivable for short sales. These cash deposits are presented as deposits at brokers on the Statement of Assets and Liabilities. These transactions may involve market risk in excess of the amount of receivable or payable reflected on the Statement of Assets and Liabilities.

D.  Federal Income Taxes

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

The Funds have reviewed all open tax years in major jurisdictions and concluded that there is no impact on the Funds’ net assets and there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on a tax return. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next six months. As of

51

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

June 30, 2014, TMF’s open Federal and New York tax years include the tax years ended September 30, 2010 through December 31, 2013. The Funds have no tax examination in progress.

E.  Written Option Contracts

The Funds are subject to equity price risk in the normal course of pursuing their investment objectives. The Funds write (sell) call options, including to hedge portfolio investments. Uncovered put options can also be written by the Funds as part of a merger arbitrage strategy involving a pending corporate reorganization or for other investment purposes. When a Fund writes (sells) an option, an amount equal to the premium received by the Fund is included in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently priced daily to reflect the current value of the option written. By writing an option, a Fund may become obligated during the term of the option to deliver or purchase the securities underlying the option at the exercise price if the option is exercised. Exchange-traded written option contracts are valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay upon the option being exercised) or the last reported composite sale price.  If no sale is reported or if the last sale is outside the bid and asked parameters, the higher of the intrinsic value of the option or the mean between the last reported bid and asked prices will be used.  When an option expires on its stipulated expiration date or the Funds enter into a closing purchase transaction, the Funds realize gains or losses if the cost of the closing purchase transaction differs from the premium received when the option was sold without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is eliminated. When an option is exercised, the premium originally received decreases the cost basis of the security (or increases the proceeds on a sale of the security), and the Funds realize gains or losses from the sale of the underlying security. Written option contracts sold on an exchange typically involve less credit risk than over-the-counter options. These contracts may involve market risk in excess of the amount of receivable or payable reflected on the Statement of Assets and Liabilities. Refer to Note 2 Q. for further derivative disclosures.

F.  Purchased Option Contracts

The Funds are subject to equity price risk in the normal course of pursuing their investment objectives. The Funds purchase put or call options for hedging purposes, volatility management purposes, or otherwise to gain, or reduce, long or short exposure to one or more asset classes or issuers. Premiums paid for option contracts purchased are included in the Statement of Assets and Liabilities as an asset. Exchange-traded purchased option contracts are valued daily at the higher of the intrinsic value of the option (i.e., what a Fund can receive upon exercising the option) or the last reported composite sale price. If no sale is reported or if the last sale is outside the bid and asked parameters, the option contract purchased is valued at the higher of the intrinsic value of the option or the mean between the last reported bid and asked prices on the day of valuation. When option contracts expire or are closed, realized gains or losses are recognized without regard to any unrealized gains or losses on the underlying securities that may be held by the Funds. Purchased options sold on an exchange typically include less credit risk than over-the-counter options. Refer to Note 2 Q. for further derivative disclosures.

52

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

G.  Forward Currency Exchange Contracts

The Funds are subject to foreign currency exchange rate risk in the normal course of pursuing their investment objectives. The Funds may use forward currency exchange contracts to hedge against changes in the value of foreign currencies. The Funds may enter into forward currency exchange contracts obligating the Funds to deliver and receive a currency at a specified future date. Forward contracts are valued daily, and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time the forward contract expires. Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. The Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk quarterly. The counterparty risk to the Funds includes the amount of any net unrealized gain on the contract.

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

H.  Equity Swap Contracts

The Funds are subject to equity price risk and interest rate risk in the normal course of pursuing their investment objectives. The Funds may enter into both long and short equity swap contracts with multiple broker-dealers. A long equity swap contract entitles the Funds to receive from the counterparty any appreciation and dividends paid on an individual security, while obligating the Funds to pay the counterparty any depreciation on the security as well as interest on the notional amount of the contract at a rate equal to LIBOR plus an agreed upon spread (generally between 25 to 100 basis points). A short equity swap contract obligates the Funds to pay the counterparty any appreciation and dividends paid on an individual security, while entitling the Funds to receive from the counterparty any depreciation on the security, and to pay to or receive from the counterparty interest on the notional value of the contract at a rate equal to LIBOR less an agreed upon spread (generally between 25 to 100 basis points).

The Funds may also enter into equity swap contracts whose value may be determined by the spread between a long equity position and a short equity position. This type of swap contract obligates the Funds to pay the counterparty an amount tied to any increase in the spread between the two securities over the term of the contract. The Funds are also obligated to pay the counterparty any dividends paid on the short equity holding as well as any net financing costs. This type of swap contract entitles the Funds to receive from the counterparty any gains based on a decrease in the spread as well as any dividends paid on the long equity holding and any net interest income.

53

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

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

Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. The Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk quarterly. The counterparty risk to the Funds includes the risk of loss of the full amount of any net unrealized gain on the contract, along with dividends receivable on long equity contracts and interest receivable on short equity contracts. Additionally, risk may arise from unanticipated movements in interest rates or in the value of the underlying securities. These contracts may involve market risk in excess of the amount of receivable or payable reflected on the Statement of Assets and Liabilities. Refer to Note 2 Q. for further derivative disclosures.

I.  Distributions to Shareholders

Dividends from net investment income and net realized capital gains, if any, are declared and paid at least annually. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from GAAP. These differences are due primarily to wash sale-loss deferrals, constructive sales, straddle-loss deferrals, adjustments on swap contracts, and unrealized gains or losses on Section 1256 contracts, which were realized, for tax purposes, at December 31, 2013.

J.  Foreign Securities

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include revaluation of currencies and adverse political and economic developments. Moreover, securities of many foreign companies and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government.

K.  Foreign Currency Translations

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

L.  Cash and Cash Equivalents

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

54

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

M.  Guarantees and Indemnifications

In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. The Funds have not historically incurred material expenses in respect of those provisions.

N.  Other

Transactions are recorded for financial statement purposes on the trade date. Realized gains and losses from security transactions are recorded on the identified cost basis. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest is accounted for on the accrual basis and includes amortization of premiums and discounts on the effective interest method. Expenses include $1,502,518 and $7,687 of borrowing expense on securities sold short for TMF and EDF, respectively. The Funds may utilize derivative instruments such as options, swaps, futures, forward contracts and other instruments with similar characteristics to the extent that they are consistent with the Funds’ investment objectives and limitations. The use of these instruments may involve additional investment risks, including the possibility of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities.

O. Counterparty Risk

The Funds help manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties.

P.  The Right to Offset

Financial assets and liabilities as well as cash collateral received by the counterparties and posted are offset by the counterparty, and the net amount is reported in the Statement of Assets and Liabilities when the Funds believe there exists a legally enforceable right to offset the recognized amounts.

Q.  Derivatives

The Funds have adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Funds’ Statement of Assets and Liabilities and Statement of Operations. With respect to TMF, for the six months ended June 30, 2014: long option contracts (1,458,568 contracts) were purchased and $124,445,338 in premiums were paid, written option contracts (2,750,153 contracts) were opened and $575,903,197 in premiums were received, equity swap contracts were opened with a notional value of $682,411,186 and closed with a notional value of $403,469,981 and an average of 13 forward currency exchange contract positions were open. With respect to EDF, for the period ended June 30, 2014: long option contracts (2,728 contracts) were purchased and $282,566 in premiums were paid, written option contracts (5,117 contracts) were opened and $1,042,077 in premiums were received, equity swap contracts were opened with a notional value of $4,101,300 and closed with a notional value of $1,779,857 and an average of 10 forward currency exchange contract positions were open.

55

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Statement of Assets and Liabilities

Fair values of derivative instruments as of June 30, 2014:

	Asset Derivatives				Liability Derivatives
	Statement of Assets				Statement of Assets
Derivatives	and Liabilities Location		Fair Value		and Liabilities Location		Fair Value
The Merger Fund
Equity Contracts:
Purchased Option Contracts	Investments		$	15,831,652		N/A	$	—
Written Option Contracts		N/A		—	Written Option Contracts			339,507,263
Swap Contracts	Receivables			—	Payables			14,077,926
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Receivables			662,227	Payables			1,267,877
Total			$	16,493,879			$	354,853,066
WCM Alternatives: Event-Driven Fund
Equity Contracts:
Purchased Option Contracts	Investments		$	25,455		N/A	$	—
Written Option Contracts		N/A		—	Written Option Contracts			515,928
Swap Contracts	Receivables			89,455	Payables			—
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Receivables			3,353	Payables			4,385
Total			$	118,263			$	520,313

Statement of Operations

The effect of derivative instruments on the Statement of Operations for the six-month period ended June 30, 2014:

Amount of Realized Gain (Loss) on Derivatives
							Forward
	Purchased			Written			Currency
	Option			Option			Exchange			Swap
	Contracts			Contracts			Contracts			Contracts		Total
Derivatives
The Merger Fund
Equity Contracts	$	(115,469,914	)	$	(14,059,989	)	$	—		$	13,173,623	$	(116,356,280	)
Foreign Exchange Contracts		—			—			(10,367,393	)		—		(10,367,393	)
Total	$	(115,469,914	)	$	(14,059,989	)	$	(10,367,393	)	$	13,173,623	$	(126,723,673	)
WCM Alternatives: Event-Driven Fund
Equity Contracts	$	(119,514	)	$	(11,284	)	$	—		$	63,176	$	(67,622	)
Foreign Exchange Contracts		—			—			2,100			—		2,100
Total	$	(119,514	)	$	(11,284	)	$	2,100		$	63,176	$	(65,522	)

56

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Change in Unrealized Appreciation (Depreciation) on Derivatives
							Forward
	Purchased			Written			Currency
	Option			Option			Exchange			Swap
	Contracts			Contracts			Contracts			Contracts			Total
Derivatives
The Merger Fund
Equity Contracts	$	(4,997,217	)	$	(35,475,774	)	$	—		$	(6,105,629	)	$	(46,578,620	)
Foreign Exchange Contracts		—			—			10,166,845			—			10,166,845
Total	$	(4,997,217	)	$	(35,475,774	)	$	10,166,845		$	(6,105,629	)	$	(36,411,775	)
WCM Alternatives: Event-Driven Fund
Equity Contracts	$	(68,573	)	$	(131,181	)	$	—		$	89,455		$	(110,299	)
Foreign Exchange Contracts		—			—			(1,032	)		—			(1,032	)
Total	$	(68,573	)	$	(131,181	)	$	(1,032	)	$	89,455		$	(111,331	)

Note 3 — AGREEMENTS

The Funds’ investment adviser is Westchester Capital Management, LLC pursuant to an investment advisory agreement between TMF and the Adviser dated as of January 1, 2011 (the “TMF Advisory Agreement”) and pursuant to an investment advisory agreement between WCF, with respect to EDF, and the Adviser dated as of July 30, 2013 (the “EDF Advisory Agreement” and together with the TMF Advisory Agreement, the “Advisory Agreements”).

Under the terms of the TMF Advisory Agreement, the Adviser is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 1.00% of TMF’s average daily net assets.  The Adviser has agreed until April 29, 2015, to reduce its advisory fee so that the advisory fee will be: (i) 1.0% on an annualized basis of the average daily net assets of TMF on net assets below $1.5 billion; (ii) 0.9% on an annualized basis of the average daily net assets of TMF on net assets between $1.5 billion and $2.0 billion; (iii) 0.8% on an annualized basis of the average daily net assets of TMF on net assets between $2.0 billion and $5.0 billion and (iv) 0.75% on an annualized basis of the average daily net assets of TMF on net assets over $5.0 billion.  Investment advisory fees voluntarily waived by the Adviser on behalf of TMF for the six months ended June 30, 2014 were $3,534,103.

Under the terms of the EDF Advisory Agreement, the Adviser is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 1.25% of EDF’s average daily net assets.  The Adviser has contractually agreed until December 3, 2014 to waive its investment advisory fee and to reimburse EDF for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 1.74% for Institutional Class shares and 1.99% for Investor Class shares. Ordinary operating expenses exclude taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, borrowing expenses, including on securities sold short, dividend expenses on securities sold short, trading or investment expenses, acquired fund fees and expenses, and any extraorinary expenses.  To the extent that the Adviser waives its investment advisory fee for EDF and/or reimburses EDF for other ordinary operating expenses, it may seek reimbursement of a portion or all of such amounts at any time within three fiscal years after the fiscal year in which such

57

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 3 — AGREEMENTS (continued)

amounts were waived or reimbursed, subject to the expense limitation in place at the time such amounts were waived or reimbursed. For the period ended June 30, 2014, the Adviser waived $36,278 and reimbursed expenses of $254,960 to EDF.

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

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

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

Note 4 — SHARES OF BENEFICIAL INTEREST

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

Changes in shares of beneficial interest were as follows:

	Six Months Ended						Year Ended
	June 30, 2014						December 31, 2013
	Shares			Amount			Shares			Amount
The Merger Fund
Investor Class
Issued		67,235,361		$	1,085,852,573			126,186,811		$	2,018,213,379
Issued as reinvestment of dividends		—			—			5,490,093			87,786,581
Redeemed		(49,743,036	)		(803,937,101	)		(108,218,504	)		(1,731,456,383	)
Net increase		17,492,325		$	281,915,472			23,458,400		$	374,543,577

58

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 4 — SHARES OF BENEFICIAL INTEREST (continued)

	Six Months Ended						Year Ended
	June 30, 2014						December 31, 2013
	Shares			Amount			Shares			Amount
The Merger Fund
Institutional Class
Issued		9,251,327		$	150,207,469			11,442,811		$	186,578,128
Issued as reinvestment of dividends		—			—			285,446			4,555,721
Redeemed		(1,406,370	)		(22,780,547	)		(945,886	)		(15,297,308	)
Net increase		7,844,957		$	127,426,922			10,782,371		$	175,836,541

	Period Ended
	June 30, 2014*
	Shares			Amount
WCM Alternatives: Event-Driven Fund
Institutional Class
Issued		758,277		$	7,655,432
Redeemed		(41,725	)		(429,513	)
Net increase		716,552		$	7,225,919

* The Institutional Class inception date was January 2, 2014.

Note 5 — INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION

TMF’s purchases and sales of securities for the six months ended June 30, 2014 (excluding short-term investments, short-term options, forward currency contracts, swap contracts and short positions) in the aggregate were $4,139,262,458 and $2,830,286,539, respectively. EDF’s purchases and sales of securities for the period ended June 30, 2014 (excluding short-term investments, short-term options, forward currency contracts, swap contracts and short positions) in the aggregate were $11,932,973 and $5,343,737, respectively. There were no purchases or sales of U.S. Government securities for the Funds.

At December 31, 2013, the components of accumulated earnings (losses) on a tax basis were as follows:

	The Merger Fund
Cost of investments	$	4,900,927,306
Gross unrealized appreciation		504,656,173
Gross unrealized depreciation		(265,726,359	)
Net unrealized appreciation	$	238,929,814
Undistributed ordinary income	$	—
Undistributed long-term capital gain		—
Total distributable earnings	$	—
Other accumulated losses		(217,830,218	)
Total accumulated gains	$	21,099,596

59

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

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

The tax components of dividends paid during the six months ended June 30, 2014 and the fiscal year ended December 31, 2013 for TMF, and the period ended June 30, 2014 for EDF were as follows:

					WCM Alternatives:
	The Merger Fund				Event-Driven Fund
	2014		2013		2014		2013
Investor Class
Ordinary Income	$	—	$	115,522,819		N/A		N/A
Long-Term Capital Gains		—		—		N/A		N/A
Total Distributions Paid	$	—	$	115,522,819		N/A		N/A
		2014		2013		2014		2013
Institutional Class
Ordinary Income	$	—	$	4,709,040	$	—		N/A
Long-Term Capital Gains		—		—		—		N/A
Total Distributions Paid	$	—	$	4,709,040	$	—		N/A

TMF designated as long-term capital gain dividend, pursuant to Internal Revenue Case Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax year ended December 31, 2013.

As of December 31, 2013, TMF deferred, on a tax basis, post-October ordinary losses of $19,641,643. As of December 31, 2013, TMF did not have a post-October capital loss or a capital loss carryforward.

For the fiscal year ended December 31, 2013, certain dividends paid by TMF may be subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income for the fiscal year ended December 31, 2013 was 50.66% (unaudited) for the Fund.

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends-received deduction for the fiscal year ended December 31, 2013 was 44.00% (unaudited) for TMF.

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(c) for the fiscal year ended December 31, 2013 was 20.27% (unaudited) for TMF.

60

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 6 — WRITTEN OPTION CONTRACTS

The premium amount and the number of written option contracts during the six months ended June 30, 2014 and the period ended June 30, 2014 were as follows:

							WCM Alternatives:
	The Merger Fund						Event-Driven Fund
	Number of			Premium			Number of			Premium
	Contracts			Amount			Contracts			Amount
Options outstanding at December 31, 2013		771,852		$	185,389,161			—		$	—
Options written		2,750,153			575,903,197			5,117			1,042,077
Options closed		(1,776,965	)		(382,134,485	)		(2,001	)		(416,343	)
Options exercised		(348,035	)		(126,337,794	)		(563	)		(201,838	)
Options expired		(229,952	)		(18,865,014	)		(499	)		(39,149	)
Options outstanding at June 30, 2014		1,167,053		$	233,955,065			2,054		$	384,747

Note 7 — DISTRIBUTION PLAN

TMF has adopted an Amended and Restated Plan of Distribution (the “TMF Plan”) dated July 30, 2013, pursuant to Rule 12b-1 under the 1940 Act that applies to TMF’s Investor Class shares.  EDF has adopted a Plan of Distribution (the “EDF Plan” and together with the TMF Plan, the “Plans”) dated July 30, 2013, pursuant to Rule 12b-1 under the 1940 Act that applies to EDF’s Investor Class shares. Under each Plan, the respective Fund will compensate broker dealers or other qualified institutions with whom the Fund has entered into a contract to distribute the Fund’s Investor Class shares. Under each Plan, the amount of such compensation paid in any one year shall not exceed 0.25% annually of the average daily net assets attributable to the respective Fund’s Investor Class shares, which may be payable as a distribution fee or a service fee for providing permitted recordkeeping, subaccounting, subtransfer agency and/or shareholder liaison services. For the six months ended June 30, 2014, TMF incurred $4,252,880 pursuant to the TMF Plan in respect of TMF’s Investor Class shares. As of June 30, 2014, EDF had no outstanding Investor Class shares. Each Plan will remain in effect from year to year provided such continuance is approved at least annually by a vote either of a majority of the relevant Fund’s Trustees, including a majority of the non-interested Trustees, or a majority of the relevant Fund’s outstanding Investor Class shares.

Note 8 — TRANSACTIONS WITH AFFILIATES

Pursuant to Section (2)(a)(3) of the 1940 Act, if a Fund owns 5% or more of the outstanding voting securities of an issuer, the issuer is deemed to be an affiliate of the Fund. During the six months ended June 30, 2014, TMF owned the following position in such companies for investment purposes only:

	Share						Share		Market
	Balance at						Balance at		Value at
	Dec. 31,						June 30,		June 30,		Dividend		Interest		Realized
Issuer Name	2013		Purchases		Sales		2014		2014		Income		Income		Gain
Jos. A. Bank
Clothiers, Inc.		—		2,695,217		2,695,217		—	$	—	$	—	$	—	$	3,960,926
									$	—	$	—	$	—	$	3,960,926

61

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 9 — OFFSETTING ASSETS AND LIABILITIES

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

The Merger Fund

							Gross Amounts not offset
							in the Statement
							of Assets and Liabilities
	Gross		Gross Amounts		Net Amounts
	Amounts of		Offset in the		Presented in
	Recognized		Statement		the Statement				Collateral
	Assets/		of Assets		of Assets		Financial		Received/		Net
	Liabilities		and Liabilities		and Liabilities		Instruments		Pledged		Amount
Assets:
Description
Forward Currency
Exchange Contracts	$	662,227	$	—	$	662,227	$	662,227	$	—	$	—
Swap Contracts		4,423,692		4,423,692		—		—		—		—
	$	5,085,919	$	4,423,692	$	662,227	$	662,227	$	—	$	—
Liabilities:
Description
Forward Currency
Exchange Contracts	$	1,267,877	$	—	$	1,267,877	$	662,227	$	605,650	$	—
Swap Contracts		18,501,618		4,423,692		14,077,926		—		14,077,926		—
Written Option Contracts		339,507,263		—		339,507,263		—		339,507,263		—
	$	359,276,758	$	4,423,692	$	354,853,066	$	662,227	$	354,190,839	$	—

62

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2014 (Unaudited)

Note 9 — OFFSETTING ASSETS AND LIABILITIES (continued)

WCM Alternatives: Event-Driven Fund

							Gross Amounts not offset
							in the Statement
							of Assets and Liabilities
	Gross		Gross Amounts		Net Amounts
	Amounts of		Offset in the		Presented in
	Recognized		Statement		the Statement				Collateral
	Assets/		of Assets		of Assets		Financial		Received/		Net
	Liabilities		and Liabilities		and Liabilities		Instruments		Pledged		Amount
Assets:
Description
Forward Currency
Exchange Contracts	$	3,353	$	—	$	3,353	$	3,353	$	—	$	—
Swap Contracts —
JPMorgan Chase & Co. Inc.		59,631		45,813		13,818		—		—		13,818
Swap Contracts —
Merrill Lynch & Co. Inc.		97,762		22,125		75,637		—		—		75,637
	$	160,746	$	67,938	$	92,808	$	3,353	$	—	$	89,455
Liabilities:
Description
Forward Currency
Exchange Contracts	$	4,385	$	—	$	4,385	$	3,353	$	1,032	$	—
Swap Contracts —
JPMorgan Chase & Co. Inc.		45,813		45,813		—		—		—		—
Swap Contracts —
Merrill Lynch & Co. Inc.		22,125		22,125		—		—		—		—
Written Option Contracts		515,928		—		515,928		—		515,928		—
	$	588,251	$	67,938	$	520,313	$	3,353	$	516,960	$	—

63

WCM Alternatives: Event-Driven Fund

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

Prior to the inception of WCM Alternatives: Event-Driven Fund’s (the “Fund” or “EDF”) investment operations, the Board of Trustees of the Fund (the “Board”), including a majority of the Trustees who are not interested persons of the Fund (the “Independent Trustees”), approved  the Fund’s advisory arrangements (the “Agreement”) with Westchester Capital Management LLC (the “Adviser”) for an initial two-year period.  A summary of the material factors and conclusions that formed the basis for the approval by the Board and the Independent Trustees are discussed below.

Review Process

The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Adviser furnish, such information as may reasonably be necessary to evaluate the proposed terms of the Fund’s Agreement.  The Independent Trustees began their formal review process by requesting from the Adviser information they believed necessary to evaluate the proposed terms of the Fund’s Agreement.  The Independent Trustees and Board, in approving the Agreement, did not identify any particular information that was all-important or controlling, and each Trustee attributed different weights to the various factors.  Throughout the review process, the Independent Trustees were advised by their independent counsel.  The Independent Trustees also discussed the proposed approval of the Agreement in a private session with their independent counsel, at which no representatives of the Adviser were present.

The following summary describes the most important, but not all, of the factors considered by the Board and the Independent Trustees.

Materials Reviewed

During the course of its review, the Board received a wide variety of materials relating to the services to be provided by the Adviser and the Fund’s other service providers, including reports on the Adviser’s performance in managing a similarly managed account, the proposed advisory fee structure, and other information relating to the nature, extent and quality of services proposed to be provided by the Adviser to the Fund.  In addition, in connection with its consideration of the Agreement, the Board requested and reviewed supplementary information regarding the estimated total expenses of the Fund, the Adviser’s estimated profitability in respect of the Fund, and information about the personnel expected to provide investment management services to the Fund.  The Board also requested and evaluated advisory fee and expense information for other investment companies with substantially similar investment strategies that was compiled by U.S. Bancorp Fund Services, LLC using categories and data provided by Morningstar, Inc.  The Board and the Independent Trustees also considered information regarding anticipated so-called “fall-out” benefits to the Adviser and its affiliates due to the Adviser’s proposed relationship with the Fund.  In addition to the information presented as part of this process, the members of the Board also considered information they received regarding the Adviser in their roles as members of the board of trustees of the other registered investment companies sponsored and advised by the Adviser.

Nature, Extent and Quality of Services

Nature and Extent of Services – In approving the Agreement for an initial two-year term, the Board and the Independent Trustees evaluated the nature and extent of the services to be provided by the Adviser.  The Board and the Independent Trustees also considered information concerning the Adviser’s investment philosophy and investment outlook with respect to the Fund.  In this context, the

64

WCM Alternatives: Event-Driven Fund

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT (continued)

Board and the Independent Trustees considered the in-house research capabilities of the Adviser as well as other resources available to the Adviser, including research services available to the Adviser as a result of securities transactions to be effected for the Fund and other investment advisory clients of the Adviser.  The Board and the Independent Trustees also considered the managerial and financial resources available to the Adviser.

Quality of Services – The Board and the Independent Trustees considered the quality of the services to be provided by the Adviser and the quality of the resources of the Adviser available to the Fund.  The Board and the Independent Trustees considered the specialized experience, expertise and professional qualifications of the personnel of the Adviser, including that the Adviser had a track record sub-advising a registered mutual fund with principal investment strategies substantially similar to those proposed to be employed on behalf of the Fund.  The Board and the Independent Trustees considered the complexity of managing the Fund’s strategy relative to other types of funds.  The Board and the Independent Trustees also received and reviewed information regarding the quality of non-investment advisory services expected to be provided to the Fund by the Adviser, including certain compliance services.  The Board and the Independent Trustees considered that the scope of the services to be provided to the Fund by the Adviser were consistent with the Fund’s operational requirements.

In their evaluation of the quality of the services to be provided by the Adviser, the Board and the Independent Trustees also considered the performance of the Adviser in managing another registered mutual fund with substantially similar investment strategies to those of the Fund.  The Board and the Independent Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the Adviser’s performance record in managing a fund with similar investment strategies supported the approval of the Agreement.

The Board and the Independent Trustees concluded, within the context of their overall conclusions regarding the Agreement, that, overall, they were satisfied with the proposed nature, extent and quality of the services to be provided by the Adviser.

Management Fees and Expenses

The Board and the Independent Trustees reviewed information, including comparative information, regarding the proposed advisory fees to be paid to the Adviser and the estimated total expenses to be borne by the Fund.  The Board and the Independent Trustees also considered the fees that the Adviser and its affiliates charge another client with substantially similar investment strategies to those of the Fund.  The Board and the Independent Trustees considered information provided by the Adviser describing the differences in services provided to that other client.  The Board and the Independent Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the proposed fees to be charged under the Agreement represent reasonable compensation to the Adviser in light of the services to be provided.

Profitability and Possible Economies of Scale

Profitability – The Board and the Independent Trustees reviewed information regarding the anticipated cost of services provided by the Adviser and the anticipated profitability (before distribution expenses and prior to taxes) of the Adviser’s relationship with the Fund.  The Board reviewed a pro forma profit and loss analysis for the Adviser based on the estimated cost of services to be provided and varying estimated levels of Fund assets over the course of the first two years of

65

WCM Alternatives: Event-Driven Fund

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT (continued)

the Agreement.  In evaluating the Adviser’s expected profitability, the Independent Trustees considered that the information provided by the Adviser was necessarily estimated and that preparing the related profitability information involved certain assumptions and allocations that were imprecise.  The Board and the Independent Trustees recognized that the probative value of estimated profitability information may be limited because a wide range of comparative information often is not generally available and it can be affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, the efficiency of an adviser’s operations, numerous assumptions about allocations and the adviser’s cost of capital.  In addition, the Board and the Independent Trustees considered information regarding the direct and indirect benefits the Adviser receives as a result of its relationship with the Fund, including research expected to be purchased with soft dollar credits earned from portfolio transactions effected on behalf of the Fund (soft dollar arrangements), and reputational benefits.

Economies of Scale – The Board and the Independent Trustees reviewed the extent to which the Adviser may realize economies of scale in managing the Fund.  The Board and the Independent Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the Adviser’s estimated level of profitability from its relationship with the Fund was reasonable and not excessive in light of, among other things, significant start-up and ongoing costs expected to be borne by the Adviser and its expertise and experience in managing event-driven strategies.  The Board and the Independent Trustees noted the Adviser’s representation that some economies of scale may arise from the Adviser’s sub-advisory services it provides to another client with substantially similar investment strategies to those proposed to be employed by the Fund.  However, the Board and the Independent Trustees concluded that the Adviser is unlikely to experience significant economies of scale in connection with the services to be provided to the Fund during the initial two-year term due to the low level of anticipated assets expected to be invested in the Fund during the initial two-year period and the start-up and ongoing costs that are expected to be borne by the Adviser as a result of the proposed expense limitation agreement.  The Board and the Independent Trustees believed that it was not necessary to consider sharing economies of scale, including breakpoints, at this time.  The Trustees also considered that the Adviser proposed an expense limitation that would limit, with certain exceptions, the maximum total annual expenses of the Fund.  The Independent Trustees concluded that those measures were reasonably designed to result in the sharing of economies of scale realized by the Adviser, if any, with the Fund and its shareholders.

Conclusions

Based on the Board’s review, including the Board’s consideration of each of the factors referred to above, the Board and the Independent Trustees concluded that the proposed terms of the Agreement, including the fees payable to the Adviser, are fair and reasonable to the Fund and its shareholders given the scope and quality of the services expected to be provided to the Fund and such other considerations as the Independent Trustees considered relevant in the exercise of their reasonable business judgment and that approval of the Agreement was in the best interests of the Fund and its shareholders.  Accordingly, the Board and Independent Trustees unanimously approved the Agreement for an initial two-year term.

66

The Merger Fund and WCM Alternatives: Event-Driven Fund

AVAILABILITY OF PROXY VOTING INFORMATION

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

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULE

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q.  The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.  Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

67

Investment Adviser

Westchester Capital Management, LLC

100 Summit Lake Drive

Valhalla, NY  10595

(914) 741-5600

www.westchestercapitalfunds.com

Administrator, Transfer Agent, Accountant,

Dividend Paying Agent and Shareholder

Servicing Agent

U.S. Bancorp Fund Services, LLC

615 East Michigan Street

P.O. Box 701

Milwaukee, WI  53201-0701

(800) 343-8959

Custodian

U.S. Bank, N.A.

1555 North Rivercenter Drive, Suite 302

Milwaukee, WI  53212

(800) 343-8959

Distributor

Quasar Distributors, LLC

615 East Michigan Street

Milwaukee, WI  53202

Trustees

Roy Behren

Michael T. Shannon

Barry Hamerling

Richard V. Silver

Christianna Wood

Executive Officers

Roy Behren, Co-President and Treasurer

Michael T. Shannon, Co-President

Bruce Rubin, Vice President and

  Chief Compliance Officer

Abraham R. Cary, Secretary

Counsel

Ropes & Gray LLP

1211 Avenue of the Americas

New York, NY  10036

Independent Registered

Public Accounting Firm

PricewaterhouseCoopers LLP

100 East Wisconsin Avenue

Milwaukee, WI  53202

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

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

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

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

Item 11. Controls and Procedures.

(a)   The Registrant’s Co-Presidents/Chief Executive Officers and Treasurer/Chief Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.  Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the registrant and by the registrant’s service provider.

(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Exhibits.

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

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

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

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

SIGNATURES

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

(Registrant)  The Merger Fund                                                                                                

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

Michael T. Shannon, Co-President

Date  August 28, 2014

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

 Roy Behren, Co-President and Treasurer

Date  August 28, 2014

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

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

Michael T. Shannon, Co-President

Date  August 28, 2014

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

 Roy Behren, Co-President and Treasurer

Date  August 28, 2014

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