N-CSRS

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 811-22818

Westchester Capital Funds

 (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, 2015

Item 1. Reports to Stockholders.

June 30, 2015­

 Semi-Annual Report

THE MERGER FUND

WCM ALTERNATIVES:

EVENT-DRIVEN FUND

GLOBAL MERGER ACTIVITY

Quarterly volume of announced global mergers

and acquisitions January 2005 – June 2015 (Unaudited)

Source: Bloomberg, Global Financial Advisory Mergers & Acquisitions Rankings First Six-Months 2015

DEAL COMPOSITION

The Merger Fund (Unaudited)

Type of Buyer		Deal Terms*
Strategic	99.6%	Cash	36.2%
Financial	0.4%	Stock and Stub1	25.9%
		Cash & Stock	16.9%
By Deal Type		Undetermined2	8.5%
Friendly	97.5%	Stock with Flexible
Hostile	2.5%	Exchange Ratio (Collar)	6.4%
		Stock with Fixed Exchange Ratio	6.1%

*  Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2015.

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.

2

PORTFOLIO COMPOSITION

The Merger Fund (Unaudited)

By Sector

By Region

* Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2015.

3

PORTFOLIO COMPOSITION

WCM Alternatives: Event-Driven Fund (Unaudited)

By Sector

By Region

* Data expressed as a percentage of long common stock, corporate bonds and swap contract positions as of June 30, 2015.

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.

4

The Merger Fund and WCM Alternatives: Event-Driven Fund

EXPENSE EXAMPLE

June 30, 2015 (Unaudited)

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs 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 invested at the beginning of the period and held for the period 1/1/15 — 6/30/15.

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 each 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.

5

The Merger Fund and WCM Alternatives: Event-Driven Fund

EXPENSE EXAMPLE

June 30, 2015 (Unaudited)

				Expenses
				Paid
	Beginning	Ending		During
	Account	Account	Annualized	Period
	Value	Value	Expense	1/1/15 —
	1/1/15	6/30/15	Ratio	6/30/15*
The Merger Fund
Investor Class
Actual+(1)	$1,000.00	$1,007.00	1.72%	$8.56
Hypothetical+(2)	$1,000.00	$1,016.27	1.72%	$8.60
Institutional Class
Actual++(3)	$1,000.00	$1,008.30	1.40%	$6.97
Hypothetical++(2)	$1,000.00	$1,017.85	1.40%	$7.00
WCM Alternatives: Event-Driven Fund
Institutional Class
Actual+++(4)	$1,000.00	$1,007.90	2.07%	$10.31
Hypothetical+++(2)	$1,000.00	$1,014.53	2.07%	$10.34

* 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 $6.57 and $6.61, 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 $4.98 and $5.01, 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 Institutional Class would have been $8.66 and $8.70, respectively.

(1) Ending account values and expenses paid during the period based on a 0.70% return.  This actual return is net of expenses.

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

(3) Ending account values and expenses paid during the period based on a 0.83% return.  This actual return is net of expenses.

(4) Ending account values and expenses paid during the period based on a 0.79% return.  This actual return is net of expenses.

6

The Merger Fund

SCHEDULE OF INVESTMENTS

June 30, 2015 (Unaudited)

Shares			Value
COMMON STOCKS — 90.64%
		APPAREL RETAIL — 1.52%
	1,640,585	ANN, Inc. (a)(e)	$	79,223,850
		APPLICATION SOFTWARE — 1.34%
	1,102,168	Advent Software, Inc.		48,726,847
	442,782	Informatica Corporation (a)		21,461,644
				70,188,491
		AUTOMOBILE MANUFACTURERS — 1.98%
	3,099,400	General Motors Company (f)		103,303,002
		BROADCASTING — 1.24%
	1,162,337	CBS Corporation Class B (f)		64,509,703
		CABLE & SATELLITE TV — 10.12%
	2,191,806	DIRECTV (a)(e)		203,377,679
	1,557,782	DISH Network Corporation Class A (a)(f)		105,477,419
	531,148	Liberty Global plc Series C (a)(b)		26,892,023
	12,659,437	Sirius XM Holdings, Inc. (a)		47,219,700
	816,637	Time Warner Cable, Inc. (f)		145,500,214
				528,467,035
		CASINOS & GAMING — 0.06%
	171,231	International Game Technology plc (a)(b)		3,041,063
		CONSTRUCTION & FARM MACHINERY
		& HEAVY TRUCKS — 1.27%
	3,372,700	The Manitowoc Company, Inc. (f)		66,104,920
		DATA PROCESSING & OUTSOURCED SERVICES — 1.33%
	1,060,400	Computer Sciences Corporation (f)		69,604,656
		DIVERSIFIED BANKS — 0.24%
	451,964	Square 1 Financial, Inc. Class A (a)		12,361,215
		DIVERSIFIED CHEMICALS — 5.51%
	2,294,100	The Dow Chemical Company (f)		117,389,097
	934,100	E.I. Du Pont de Nemours & Company (f)		59,735,695
	5,014,793	Huntsman Corporation (f)		110,676,482
				287,801,274
		DIVERSIFIED METALS & MINING — 0.15%
	241,080	RTI International Metals, Inc. (a)		7,598,842
		ELECTRICAL COMPONENTS & EQUIPMENT — 1.89%
	1,644,515	Polypore International, Inc. (a)		98,473,558
		GENERAL MERCHANDISE STORES — 3.05%
	2,018,406	Family Dollar Stores, Inc.		159,070,577

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

7

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Shares			Value
		HEALTH CARE SERVICES — 1.93%
	1,071,817	Omnicare, Inc.	$	101,018,752
		HEALTH CARE TECHNOLOGY — 4.04%
	3,452,053	Catamaran Corporation (a)(b)(e)		210,851,397
		HOUSEHOLD PRODUCTS — 1.87%
	508,400	Energizer Holdings, Inc. (f)		66,880,020
	392,200	The Procter & Gamble Company		30,685,728
				97,565,748
		INDUSTRIAL CONGLOMERATES — 0.39%
	772,100	General Electric Company		20,514,697
		INDUSTRIAL MACHINERY — 3.06%
	1,122,900	Pall Corporation		139,744,905
	151,300	SPX Corporation		10,952,607
	249,500	The Timken Company		9,124,215
				159,821,727
		INTEGRATED OIL & GAS — 1.01%
	699,780	BG Group plc — ADR (h)		11,742,308
	26,400	BP plc — ADR		1,054,944
	515,041	Occidental Petroleum Corporation		40,054,739
				52,851,991
		INTERNET RETAIL — 0.91%
	4,147,068	Orbitz Worldwide, Inc. (a)(f)		47,359,517
		INTERNET SOFTWARE & SERVICES — 3.94%
	1,423,200	eBay, Inc. (a)(f)		85,733,568
	3,056,094	Yahoo!, Inc. (a)(f)		120,073,933
				205,807,501
		MANAGED HEALTH CARE — 1.66%
	310,200	Cigna Corporation (f)		50,252,400
	189,600	Humana, Inc.		36,266,688
				86,519,088
		MOVIES & ENTERTAINMENT — 0.02%
	273,282	SFX Entertainment, Inc. (a)		1,227,036
		MULTI-LINE INSURANCE — 4.33%
	2,967,687	American International Group, Inc. (f)		183,462,410
	553,579	HCC Insurance Holdings, Inc.		42,537,011
				225,999,421
		OIL & GAS EQUIPMENT & SERVICES — 1.36%
	1,147,923	Baker Hughes, Inc.		70,826,849

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

8

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Shares			Value
		OIL & GAS EXPLORATION & PRODUCTION — 2.05%
	1,137,800	Anadarko Petroleum Corporation (f)	$	88,816,668
	787,690	Rosetta Resources, Inc. (a)		18,227,147
				107,043,815
		OIL & GAS STORAGE & TRANSPORTATION — 2.78%
	1,008,669	The Williams Companies, Inc. (f)		57,887,514
	1,803,816	Williams Partners LP (f)		87,358,809
				145,246,323
		PACKAGED FOODS & MEATS — 0.83%
	508,000	Kraft Foods Group, Inc. (f)		43,251,120
		PAPER PACKAGING — 1.32%
	1,314,993	MeadWestvaco Corporation		62,054,520
	112,000	Packaging Corporation of America		6,998,880
				69,053,400
		PAPER PRODUCTS — 1.92%
	2,111,100	International Paper Company (f)		100,467,249
		PHARMACEUTICALS — 5.99%
	1,979,459	Hospira, Inc. (a)(e)		175,597,808
	195,300	Perrigo Company plc (b)		36,097,299
	2,421,169	Pfizer, Inc. (f)		81,181,797
	415,300	Zoetis, Inc.		20,025,766
				312,902,670
		REINSURANCE — 0.89%
	363,409	PartnerRe Ltd. (b)(f)		46,698,056
		REITS — 5.32%
	2,108,349	Equity Commonwealth (a)		54,121,319
	1,192,585	Excel Trust, Inc.		18,807,065
	358,540	Home Properties, Inc.		26,191,347
	4,816,400	NorthStar Realty Finance Corporation		76,580,760
	2,029,110	Starwood Property Trust, Inc.		43,767,903
	288,499	Starwood Waypoint Residential Trust		6,854,736
	828,800	Ventas, Inc. (f)		51,460,192
				277,783,322
		RESTAURANTS — 0.79%
	436,800	McDonald’s Corporation		41,526,576
		SEMICONDUCTORS — 4.95%
	2,419,792	Altera Corporation		123,893,350
	2,220,500	Broadcom Corporation Class A		114,333,545
	385,440	Freescale Semiconductor Ltd. (a)(b)(g)		15,406,037

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

9

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Shares			Value
	357,712	Micrel, Inc.	$	4,972,197
				258,605,129
		SPECIALTY CHEMICALS — 3.62%
	824,252	Sigma-Aldrich Corporation		114,859,516
	740,400	W.R. Grace & Company (a)		74,262,120
				189,121,636
		THRIFTS & MORTGAGE FINANCE — 1.84%
	9,751,749	Hudson City Bancorp, Inc.		96,347,280
		TRUCKING — 1.59%
	4,593,568	Hertz Global Holdings, Inc. (a)(f)		83,235,452
		WIRELESS TELECOMMUNICATION SERVICES — 2.53%
	1,122,700	America Movil SAB de C.V. Class L — ADR		23,924,737
	2,501,300	T-Mobile U.S., Inc. (a)(f)		96,975,401
	306,925	Vodafone Group plc — ADR		11,187,416
				132,087,554
		TOTAL COMMON STOCKS (Cost $4,671,765,155)		4,733,481,492
CONTINGENT VALUE RIGHTS — 0.03%
	1,713,496	Casa Ley, S.A. de C.V. (a)(d)(l)		813,910
	77,699	Leap Wireless International, Inc. (a)(d)(l)		320,508
	1,713,496	Property Development Centers LLC (a)(d)(l)		85,675
		TOTAL CONTINGENT VALUE RIGHTS (Cost $0)		1,220,093
Principal Amount
CORPORATE BONDS — 1.94%
		Dresser-Rand Group, Inc.
$	945,000	6.500%, 5/1/2021		1,021,545
		Energy Future Intermediate Holding Company LLC
	11,394,393	11.750%, 3/1/2022 (i)(j)		13,003,851
		Freescale Semiconductor, Inc.
	16,617,000	10.750%, 8/1/2020		17,614,020
		The Manitowoc Company, Inc.
	26,148,000	5.875%, 10/15/2022		28,305,210
		Pinnacle Entertainment, Inc.
	38,907,000	7.500%, 4/15/2021		41,387,322
		TOTAL CORPORATE BONDS (Cost $101,017,837)		101,331,948

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

10

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
PURCHASED CALL OPTIONS — 0.01%
		Avago Technologies Ltd.
	868	Expiration: January 2016, Exercise Price: $175.00	$	234,360
PURCHASED PUT OPTIONS — 1.06%
		America Movil SAB de C.V. Class L — ADR
	3,027	Expiration: August 2015, Exercise Price: $18.00		22,702
	6,455	Expiration: August 2015, Exercise Price: $19.00		112,963
		American International Group, Inc.
	21,798	Expiration: August 2015, Exercise Price: $52.50		425,061
		Anadarko Petroleum Corporation
	5,120	Expiration: August 2015, Exercise Price: $75.00		957,440
	4,551	Expiration: August 2015, Exercise Price: $80.00		1,893,216
		Bayer AG
	287	Expiration: July 2015, Exercise Price: EUR 115.00 (k)		31,996
	2,646	Expiration: September 2015,
		Exercise Price: EUR 120.00 (k)		1,507,397
		BP plc — ADR
	2,317	Expiration: July 2015, Exercise Price: $34.00		3,475
	189	Expiration: July 2015, Exercise Price: $35.00		567
		CBS Corporation Class B
	13,199	Expiration: September 2015, Exercise Price: $50.00		1,036,121
		Charter Communications, Inc. Class A
	896	Expiration: January 2016, Exercise Price: $210.00		3,839,360
		Cigna Corporation
	1,022	Expiration: August 2015, Exercise Price: $140.00		178,850
	692	Expiration: August 2015, Exercise Price: $145.00		138,400
		Computer Sciences Corporation
	6,789	Expiration: September 2015, Exercise Price: $60.00		797,707
		DISH Network Corporation Class A
	9,941	Expiration: September 2015, Exercise Price: $60.00		944,395
	2,834	Expiration: September 2015, Exercise Price: $62.50		425,100
		The Dow Chemical Company
	7,344	Expiration: September 2015, Exercise Price: $43.00		205,632
	3,660	Expiration: September 2015, Exercise Price: $44.00		139,080
	4,929	Expiration: September 2015, Exercise Price: $45.00		224,270
		E.I. Du Pont de Nemours & Company
	1,023	Expiration: July 2015, Exercise Price: $62.50		71,098
	7,297	Expiration: July 2015, Exercise Price: $65.00		1,302,515
		eBay, Inc.
	8,512	Expiration: July 2015, Exercise Price: $50.00		42,560
	2,167	Expiration: July 2015, Exercise Price: $52.50		21,670
	1,319	Expiration: October 2015, Exercise Price: $50.00		56,058

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

11

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		Energizer Holdings, Inc.
	2,343	Expiration: August 2015, Exercise Price: $115.00	$	257,730
	1,646	Expiration: August 2015, Exercise Price: $120.00		283,935
		General Electric Company
	3,956	Expiration: July 2015, Exercise Price: $25.00		35,604
		General Motors Company
	18,290	Expiration: September 2015, Exercise Price: $32.00		1,792,420
		Hertz Global Holdings, Inc.
	10,317	Expiration: September 2015, Exercise Price: $16.00		619,020
	24,780	Expiration: September 2015, Exercise Price: $19.00		4,770,150
		Humana, Inc.
	505	Expiration: August 2015, Exercise Price: $175.00		282,800
	1,001	Expiration: August 2015, Exercise Price: $185.00		915,915
		Huntsman Corporation
	35,640	Expiration: August 2015, Exercise Price: $18.00		267,300
	11,139	Expiration: August 2015, Exercise Price: $19.00		167,085
		International Paper Company
	8,967	Expiration: July 2015, Exercise Price: $45.00		188,307
	8,442	Expiration: July 2015, Exercise Price: $50.00		2,118,942
		The Manitowoc Company, Inc.
	11,448	Expiration: September 2015, Exercise Price: $17.00		400,680
	12,829	Expiration: September 2015, Exercise Price: $18.00		705,595
		McDonald’s Corporation
	2,816	Expiration: July 2015, Exercise Price: $85.00		8,448
	938	Expiration: July 2015, Exercise Price: $90.00		18,760
		NorthStar Realty Finance Corporation
	18,403	Expiration: August 2015, Exercise Price: $16.00		1,472,240
	20,128	Expiration: September 2015, Exercise Price: $16.00		1,811,520
		Occidental Petroleum Corporation
	4,120	Expiration: August 2015, Exercise Price: $67.50		144,200
		Packaging Corporation of America
	352	Expiration: July 2015, Exercise Price: $60.00		14,080
	455	Expiration: July 2015, Exercise Price: $65.00		127,855
		Perrigo Company plc
	370	Expiration: August 2015, Exercise Price: $155.00		63,825
	331	Expiration: August 2015, Exercise Price: $160.00		92,680
	325	Expiration: August 2015, Exercise Price: $165.00		118,300
		The Procter & Gamble Company
	2,310	Expiration: July 2015, Exercise Price: $75.00		39,270
	1,084	Expiration: August 2015, Exercise Price: $70.00		26,016

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

12

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		Rock-Tenn Company Class A
	1,991	Expiration: August 2015, Exercise Price: $55.00	$	164,257
	1,291	Expiration: October 2015, Exercise Price: $55.00		196,878
		SPDR S&P 500 ETF Trust
	2,239	Expiration: August 2015, Exercise Price: $198.00		577,662
	9,401	Expiration: August 2015, Exercise Price: $208.00		5,236,357
	7,421	Expiration: August 2015, Exercise Price: $210.00		4,845,913
	2,239	Expiration: August 2015, Exercise Price: $211.00		1,578,495
	6,268	Expiration: September 2015, Exercise Price: $189.00		1,582,670
	7,163	Expiration: September 2015, Exercise Price: $207.00		5,107,219
		SPX Corporation
	756	Expiration: September 2015, Exercise Price: $60.00		52,920
		T-Mobile U.S., Inc.
	8,675	Expiration: August 2015, Exercise Price: $25.00		121,450
	5,926	Expiration: August 2015, Exercise Price: $26.00		85,927
	8,132	Expiration: August 2015, Exercise Price: $34.00		459,458
		Ventas, Inc.
	1,872	Expiration: August 2015, Exercise Price: $55.00		46,800
	5,948	Expiration: August 2015, Exercise Price: $60.00		594,800
		W.R. Grace & Company
	5,554	Expiration: September 2015, Exercise Price: $92.50		666,480
		Yahoo!, Inc.
	1,756	Expiration: July 2015, Exercise Price: $37.00		36,876
	8,790	Expiration: July 2015, Exercise Price: $41.00		1,722,840
	1,794	Expiration: July 2015, Exercise Price: $42.00		511,290
	1,285	Expiration: August 2015, Exercise Price: $37.00		117,578
	3,410	Expiration: October 2015, Exercise Price: $37.00		501,270
		Zoetis, Inc.
	969	Expiration: July 2015, Exercise Price: $39.00		12,112
	1,425	Expiration: July 2015, Exercise Price: $40.00		17,813
	985	Expiration: July 2015, Exercise Price: $41.00		12,313
				55,369,688
		TOTAL PURCHASED OPTIONS (Cost $44,803,490)		55,604,048
Principal Amount
ESCROW NOTES — 0.03%
$	1,243,406	AMR Corporation (a)(d)(l)		1,709,683
		TOTAL ESCROW NOTES (Cost $679,555)		1,709,683

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

13

The Merger Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Shares			Value
SHORT-TERM INVESTMENTS — 9.20%
	304,000,000	Fidelity Institutional Government Portfolio,
		Institutional Share Class, 0.01% (c)(f)	$	304,000,000
	176,654,078	The Liquid Asset Portfolio,
		Institutional Share Class, 0.10% (c)		176,654,078
		TOTAL SHORT-TERM INVESTMENTS
		(Cost $480,654,078)		480,654,078
		TOTAL INVESTMENTS
		(Cost $5,298,920,115) — 102.91%	$	5,374,001,342

ADR – American Depository Receipt

ETF – Exchange-Traded Fund

EUR – Euro

plc – Public Limited Company

REITS – Real Estate Investment Trusts

(a) Non-income producing security.

(b) Foreign security.

(c) The rate quoted is the annualized seven-day yield as of June 30, 2015.

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

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

(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, 2015, these securities represented 0.25% of total net assets.

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

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

(l) 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, 2015 (Unaudited)

Shares			Value
COMMON STOCKS — 84.29%
		APPAREL RETAIL — 0.74%
	11,055	ANN, Inc. (a)	$	533,846
		APPLICATION SOFTWARE — 0.99%
	15,753	Advent Software, Inc.		696,440
	297	Informatica Corporation (a)		14,396
				710,836
		AUTO PARTS & EQUIPMENT — 0.81%
	11,800	Johnson Controls, Inc. (f)		584,454
		AUTOMOBILE MANUFACTURERS — 2.44%
	52,600	General Motors Company (f)		1,753,158
		BROADCASTING — 0.68%
	8,800	CBS Corporation Class B (f)		488,400
		CABLE & SATELLITE TV — 3.58%
	6,030	DIRECTV (a)		559,524
	21,478	DISH Network Corporation Class A (a)(f)		1,454,275
	780	Liberty Global plc Series C (a)(b)		39,491
	138,987	Sirius XM Holdings, Inc. (a)(f)		518,422
				2,571,712
		CASINOS & GAMING — 0.01%
	295	International Game Technology plc (a)(b)		5,239
		CONSTRUCTION & FARM MACHINERY
		& HEAVY TRUCKS — 1.35%
	49,400	The Manitowoc Company, Inc. (f)		968,240
		DATA PROCESSING & OUTSOURCED SERVICES — 1.88%
	20,600	Computer Sciences Corporation (f)		1,352,184
		DIVERSIFIED CHEMICALS — 4.88%
	33,200	The Dow Chemical Company (f)		1,698,844
	10,700	E.I. Du Pont de Nemours & Company (f)		684,265
	49,145	Huntsman Corporation (f)		1,084,630
	1,300	Olin Corporation		35,035
				3,502,774
		DIVERSIFIED METALS & MINING — 0.03%
	583	RTI International Metals, Inc. (a)		18,376
		ELECTRICAL COMPONENTS & EQUIPMENT — 0.37%
	4,477	Polypore International, Inc. (a)		268,083
		GENERAL MERCHANDISE STORES — 2.69%
	24,542	Family Dollar Stores, Inc.		1,934,155

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

15

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Shares			Value
		HEALTH CARE EQUIPMENT — 0.85%
	8,700	Baxter International, Inc. (f)	$	608,391
		HEALTH CARE TECHNOLOGY — 1.70%
	20,010	Catamaran Corporation (a)(b)		1,222,211
		HOUSEHOLD PRODUCTS — 2.35%
	8,200	Energizer Holdings, Inc. (f)		1,078,710
	7,800	The Procter & Gamble Company (f)		610,272
				1,688,982
		INDUSTRIAL CONGLOMERATES — 1.33%
	55	CK Hutchison Holdings Ltd. (b)		808
	35,900	General Electric Company (f)		953,863
				954,671
		INDUSTRIAL MACHINERY — 0.75%
	7,200	SPX Corporation (f)		521,208
	500	The Timken Company		18,285
				539,493
		INTEGRATED OIL & GAS — 1.63%
	1,917	BG Group plc — ADR		32,167
	12,200	BP plc — ADR (f)		487,512
	5,100	Hess Corporation (f)		341,088
	4,000	Occidental Petroleum Corporation		311,080
				1,171,847
		INTERNET RETAIL — 1.23%
	77,149	Orbitz Worldwide, Inc. (a)(f)		881,042
		INTERNET SOFTWARE & SERVICES — 5.45%
	25,200	eBay, Inc. (a)(f)		1,518,048
	60,986	Yahoo!, Inc. (a)(f)		2,396,140
				3,914,188
		MANAGED HEALTH CARE — 2.86%
	5,500	Cigna Corporation (f)		891,000
	6,100	Humana, Inc. (f)		1,166,808
				2,057,808
		MOVIES & ENTERTAINMENT — 0.99%
	158,432	SFX Entertainment, Inc. (a)		711,360
		MULTI-LINE INSURANCE — 4.34%
	50,400	American International Group, Inc. (f)		3,115,728
		OIL & GAS EQUIPMENT & SERVICES — 1.71%
	16,989	Baker Hughes, Inc.		1,048,221
	2,150	Dresser-Rand Group, Inc. (a)		183,137
				1,231,358

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

16

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Shares			Value
		OIL & GAS EXPLORATION & PRODUCTION — 1.48%
	9,800	Anadarko Petroleum Corporation (f)	$	764,988
	12,964	Rosetta Resources, Inc. (a)		299,987
				1,064,975
		OIL & GAS STORAGE & TRANSPORTATION — 3.27%
	14,800	The Williams Companies, Inc.		849,372
	30,992	Williams Partners LP (f)		1,500,943
				2,350,315
		OTHER DIVERSIFIED FINANCIAL SERVICES — 1.48%
	19,200	Citigroup, Inc. (f)		1,060,608
		PACKAGED FOODS & MEATS — 1.13%
	9,500	Kraft Foods Group, Inc. (f)		808,830
		PAPER PACKAGING — 1.33%
	15,982	MeadWestvaco Corporation		754,191
	3,200	Packaging Corporation of America		199,968
				954,159
		PAPER PRODUCTS — 1.76%
	26,500	International Paper Company (f)		1,261,135
		PHARMACEUTICALS — 4.76%
	4,154	Hospira, Inc. (a)		368,501
	14,100	Mylan NV (a)(b)(f)		956,826
	4,158	Perrigo Company plc (b)(f)		768,523
	29,800	Pfizer, Inc. (f)		999,194
	6,700	Zoetis, Inc. (f)		323,074
				3,416,118
		REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.00%
	55	Cheung Kong Property Holdings Ltd. (a)(b)		456
		REINSURANCE — 1.05%
	5,891	PartnerRe Ltd. (b)(f)		756,994
		REITS — 7.37%
	123	Blackstone Mortgage Trust, Inc. Class A		3,422
	36,362	CYS Investments, Inc.		281,078
	5,596	Equity Commonwealth (a)		143,649
	7,372	Home Properties, Inc. (g)		538,525
	96,873	NorthStar Realty Finance Corporation (e)		1,540,281
	63,081	Starwood Property Trust, Inc. (e)		1,360,657
	448	Starwood Waypoint Residential Trust		10,644
	16,000	Ventas, Inc. (f)		993,440
	37,578	Wheeler Real Estate Investment Trust, Inc.		76,283
	22,671	Winthrop Realty Trust		343,466
				5,291,445

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

17

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Shares			Value
		RESTAURANTS — 0.91%
	6,900	McDonald’s Corporation (f)	$	655,983
		SEMICONDUCTORS — 5.85%
	41,368	Altera Corporation		2,118,041
	35,975	Broadcom Corporation Class A (e)		1,852,353
	16,861	Micrel, Inc.		234,368
				4,204,762
		SPECIALTY CHEMICALS — 1.80%
	12,900	W.R. Grace & Company (a)(f)		1,293,870
		SYSTEMS SOFTWARE — 1.95%
	31,800	Microsoft Corporation (f)		1,403,970
		THRIFTS & MORTGAGE FINANCE — 0.89%
	64,386	Hudson City Bancorp, Inc.		636,134
		TRUCKING — 1.56%
	62,053	Hertz Global Holdings, Inc. (a)(f)		1,124,400
		WIRELESS TELECOMMUNICATION SERVICES — 2.06%
	14,800	America Movil SAB de C.V. Class L — ADR		315,388
	30,000	T-Mobile U.S., Inc. (a)(f)		1,163,100
	11	Vodafone Group plc — ADR		401
				1,478,889
		TOTAL COMMON STOCKS (Cost $62,297,574)		60,551,579
CLOSED-END FUNDS — 1.15%
	55,988	Eaton Vance Floating-Rate Income Trust		771,515
	149	First Trust MLP and Energy Income Fund		2,749
	2,772	First Trust Senior Floating Rate Income Fund II		36,480
	1,050	Nuveen Energy MLP Total Return Fund		17,293
		TOTAL CLOSED-END FUNDS (Cost $867,366)		828,037
PREFERRED STOCKS — 1.67%
	37,580	Equity Commonwealth, 7.250%, Series E (e)		958,666
	6,025	NorthStar Realty Finance Corporation, 8.750%, Series E		151,890
	2,018	Regions Financial Corporation, 6.375%, Series B		51,883
	717	SLM Corporation, 6.970%, Series A		35,671
		TOTAL PREFERRED STOCKS (Cost $1,199,148)		1,198,110
CONTINGENT VALUE RIGHTS — 0.00%
	5,338	Casa Ley, S.A. de C.V. (a)(d)(m)		2,535
	5,338	Property Development Centers LLC (a)(d)(m)		267
		TOTAL CONTINGENT VALUE RIGHTS (Cost $0)		2,802

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

18

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Principal Amount			Value
BANK LOANS — 0.06%
		Energy Future Intermediate Holding Company LLC
$	40,905	4.250%, 6/19/2016 (k)	$	41,033
		TOTAL BANK LOANS (Cost $41,246)		41,033
CORPORATE BONDS — 2.54%
		Energy Future Intermediate Holding Company LLC
	614,905	11.750%, 3/1/2022 (i)(j)		701,760
		The Manitowoc Company, Inc.
	174,000	5.875%, 10/15/2022		188,355
		NCR Corporation
	714,000	5.000%, 7/15/2022		726,495
		Pinnacle Entertainment, Inc. (h)
	83,000	7.500%, 4/15/2021		88,291
		US Foods, Inc.
	113,000	8.500%, 6/30/2019		117,847
		TOTAL CORPORATE BONDS (Cost $1,795,356)		1,822,748
Contracts (100 shares per contract)
PURCHASED CALL OPTIONS — 0.01%
		Avago Technologies Ltd.
	11	Expiration: January 2016, Exercise Price: $175.00		2,970
PURCHASED PUT OPTIONS — 1.21%
		America Movil SAB de C.V. Class L — ADR
	28	Expiration: August 2015, Exercise Price: $18.00		210
	101	Expiration: August 2015, Exercise Price: $19.00		1,767
		American International Group, Inc.
	442	Expiration: August 2015, Exercise Price: $52.50		8,619
		Anadarko Petroleum Corporation
	88	Expiration: August 2015, Exercise Price: $75.00		16,456
	14	Expiration: August 2015, Exercise Price: $77.50		3,990
	23	Expiration: August 2015, Exercise Price: $80.00		9,568
		Baxter International, Inc.
	29	Expiration: July 2015, Exercise Price: $60.00		217
	23	Expiration: August 2015, Exercise Price: $60.00		219
	29	Expiration: August 2015, Exercise Price: $65.00		986
		Bayer AG
	3	Expiration: July 2015, Exercise Price: EUR 115.00 (l)		335
	6	Expiration: September 2015,
		Exercise Price: EUR 100.00 (l)		702

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

19

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		Bayer AG (continued)
	22	Expiration: September 2015,
		Exercise Price: EUR 120.00 (l)	$	12,533
		BP plc — ADR
	16	Expiration: July 2015, Exercise Price: $34.00		24
	31	Expiration: July 2015, Exercise Price: $39.00		1,209
		CBS Corporation Class B
	98	Expiration: September 2015, Exercise Price: $50.00		7,693
		Charter Communications, Inc. Class A
	11	Expiration: January 2016, Exercise Price: $210.00		47,135
		Cigna Corporation
	7	Expiration: August 2015, Exercise Price: $140.00		1,225
	19	Expiration: August 2015, Exercise Price: $145.00		3,800
		Citigroup, Inc.
	58	Expiration: July 2015, Exercise Price: $52.50		2,030
	84	Expiration: September 2015, Exercise Price: $49.00		3,864
		Computer Sciences Corporation
	138	Expiration: September 2015, Exercise Price: $60.00		16,215
		DISH Network Corporation Class A
	137	Expiration: September 2015, Exercise Price: $60.00		13,015
	38	Expiration: September 2015, Exercise Price: $62.50		5,700
		The Dow Chemical Company
	17	Expiration: September 2015, Exercise Price: $43.00		476
	8	Expiration: September 2015, Exercise Price: $44.00		304
	46	Expiration: September 2015, Exercise Price: $45.00		2,093
	195	Expiration: September 2015, Exercise Price: $48.00		18,817
		E.I. Du Pont de Nemours & Company
	18	Expiration: July 2015, Exercise Price: $62.50		1,251
	78	Expiration: July 2015, Exercise Price: $65.00		13,923
		eBay, Inc.
	28	Expiration: July 2015, Exercise Price: $50.00		140
	82	Expiration: July 2015, Exercise Price: $52.50		820
	89	Expiration: October 2015, Exercise Price: $50.00		3,782
		Energizer Holdings, Inc.
	43	Expiration: August 2015, Exercise Price: $115.00		4,730
	20	Expiration: August 2015, Exercise Price: $120.00		3,450
		General Electric Company
	190	Expiration: July 2015, Exercise Price: $25.00		1,710
		General Motors Company
	69	Expiration: September 2015, Exercise Price: $31.00		4,485
	365	Expiration: September 2015, Exercise Price: $32.00		35,770

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

20

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		Hertz Global Holdings, Inc.
	293	Expiration: September 2015, Exercise Price: $16.00	$	17,580
	202	Expiration: September 2015, Exercise Price: $19.00		38,885
		Hess Corporation
	38	Expiration: August 2015, Exercise Price: $57.50		1,520
		Humana, Inc.
	10	Expiration: July 2015, Exercise Price: $195.00		11,300
	13	Expiration: August 2015, Exercise Price: $175.00		7,280
	21	Expiration: August 2015, Exercise Price: $185.00		19,215
	7	Expiration: August 2015, Exercise Price: $190.00		7,770
		Huntsman Corporation
	368	Expiration: August 2015, Exercise Price: $18.00		2,760
	213	Expiration: August 2015, Exercise Price: $19.00		3,195
		International Paper Company
	134	Expiration: July 2015, Exercise Price: $45.00		2,814
	84	Expiration: July 2015, Exercise Price: $50.00		21,084
		Johnson Controls, Inc.
	78	Expiration: October 2015, Exercise Price: $48.00		14,625
		The Manitowoc Company, Inc.
	111	Expiration: September 2015, Exercise Price: $17.00		3,885
	251	Expiration: September 2015, Exercise Price: $18.00		13,805
		McDonald’s Corporation
	60	Expiration: July 2015, Exercise Price: $85.00		180
		Microsoft Corporation
	45	Expiration: July 2015, Exercise Price: $36.00		45
	130	Expiration: July 2015, Exercise Price: $41.00		1,040
	78	Expiration: July 2015, Exercise Price: $42.00		1,170
	37	Expiration: October 2015, Exercise Price: $41.00		3,552
		Mylan NV
	57	Expiration: July 2015, Exercise Price: $67.50		10,203
	15	Expiration: July 2015, Exercise Price: $70.00		5,670
	35	Expiration: October 2015, Exercise Price: $65.00		13,562
		NorthStar Realty Finance Corporation
	139	Expiration: August 2015, Exercise Price: $16.00		11,120
	636	Expiration: September 2015, Exercise Price: $16.00		57,240
		Occidental Petroleum Corporation
	41	Expiration: August 2015, Exercise Price: $67.50		1,435
		Olin Corporation
	10	Expiration: August 2015, Exercise Price: $25.00		475
		Packaging Corporation of America
	9	Expiration: July 2015, Exercise Price: $60.00		360
	14	Expiration: July 2015, Exercise Price: $65.00		3,934

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

21

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		PartnerRe Ltd.
	6	Expiration: August 2015, Exercise Price: $120.00	$	1,020
		Perrigo Company plc
	5	Expiration: August 2015, Exercise Price: $155.00		863
	10	Expiration: August 2015, Exercise Price: $160.00		2,800
	8	Expiration: August 2015, Exercise Price: $165.00		2,912
		The Procter & Gamble Company
	37	Expiration: July 2015, Exercise Price: $75.00		629
	28	Expiration: August 2015, Exercise Price: $70.00		672
		Rock-Tenn Company Class A
	28	Expiration: August 2015, Exercise Price: $55.00		2,310
	15	Expiration: October 2015, Exercise Price: $55.00		2,288
		SPDR S&P 500 ETF Trust
	30	Expiration: August 2015, Exercise Price: $198.00		7,740
	126	Expiration: August 2015, Exercise Price: $208.00		70,182
	108	Expiration: August 2015, Exercise Price: $210.00		70,524
	30	Expiration: August 2015, Exercise Price: $211.00		21,150
	84	Expiration: September 2015, Exercise Price: $189.00		21,210
	96	Expiration: September 2015, Exercise Price: $207.00		68,448
		SPX Corporation
	35	Expiration: September 2015, Exercise Price: $60.00		2,450
		T-Mobile U.S., Inc.
	19	Expiration: August 2015, Exercise Price: $25.00		266
	17	Expiration: August 2015, Exercise Price: $26.00		247
	210	Expiration: August 2015, Exercise Price: $34.00		11,865
		Ventas, Inc.
	19	Expiration: August 2015, Exercise Price: $55.00		475
	121	Expiration: August 2015, Exercise Price: $60.00		12,100
		W.R. Grace & Company
	97	Expiration: September 2015, Exercise Price: $92.50		11,640
		Yahoo!, Inc.
	14	Expiration: July 2015, Exercise Price: $37.00		294
	93	Expiration: July 2015, Exercise Price: $41.00		18,228
	16	Expiration: July 2015, Exercise Price: $42.00		4,560
	35	Expiration: August 2015, Exercise Price: $37.00		3,203
	63	Expiration: October 2015, Exercise Price: $36.00		7,119
	30	Expiration: October 2015, Exercise Price: $37.00		4,410
		Zoetis, Inc.
	7	Expiration: July 2015, Exercise Price: $40.00		87
	51	Expiration: July 2015, Exercise Price: $41.00		638
				875,297
		TOTAL PURCHASED OPTIONS (Cost $708,094)		878,267

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

22

WCM Alternatives: Event-Driven Fund

SCHEDULE OF INVESTMENTS (continued)

June 30, 2015 (Unaudited)

Shares			Value
SHORT-TERM INVESTMENTS — 6.39%
	4,155,000	Fidelity Institutional Government Portfolio,
		Institutional Share Class, 0.01% (c)(f)	$	4,155,000
	437,728	The Liquid Asset Portfolio,
		Institutional Share Class, 0.10% (c)		437,728
		TOTAL SHORT-TERM INVESTMENTS
		(Cost $4,592,728)		4,592,728
		TOTAL INVESTMENTS
		(Cost $71,501,512) — 97.32%	$	69,915,304

ADR – American Depository Receipt

ETF – Exchange-Traded Fund

EUR – Euro

MLP – Master Limited Partnership

plc – Public Limited Company

REITS – Real Estate Investment Trusts

(a) Non-income producing security.

(b) Foreign security.

(c) The rate quoted is the annualized seven-day yield as of June 30, 2015.

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

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

(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, 2015, these securities represented 0.98% of total net assets.

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

(k) Variable rate.

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

(m) 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.

23

The Merger Fund

SCHEDULE OF SECURITIES SOLD SHORT

June 30, 2015 (Unaudited)

Shares			Value
COMMON STOCKS
	682,619	Alcoa, Inc.	$	7,611,202
	2	Alexion Pharmaceuticals, Inc.		361
	396,586	Alibaba Group Holding Ltd. — ADR		32,627,130
	65,211	American Airlines Group, Inc.		2,604,201
	106,887	ARRIS Group, Inc. (b)(c)		3,248,296
	1,115,598	Ascena Retail Group, Inc.		18,580,285
	4,753,759	AT&T, Inc.		168,853,520
	436,591	Avago Technologies Ltd.		58,036,042
	318,139	Charter Communications, Inc. Class A		54,481,304
	582	Cheung Kong Property Holdings Ltd. (a)		4,828
	582	CK Hutchison Holdings Ltd. (a)		8,552
	476,643	Dollar Tree, Inc.		37,650,030
	40,614	Equinix, Inc. (b)(c)		10,275,342
	1,198,984	Halliburton Company		51,640,241
	1	Harris Corporation		77
	529,841	Liberty Global plc Class A (a)		28,648,503
	819,630	M&T Bank Corporation		102,396,376
	135,708	NXP Semiconductors NV (a)		13,326,525
	271,063	PacWest Bancorp		12,674,906
	155,841	Royal Dutch Shell plc Class B — ADR		8,937,481
	333,206	XL Group plc (a)		12,395,263
		TOTAL SECURITIES SOLD SHORT
		(Proceeds $598,790,107)	$	624,000,465

ADR – American Depository Receipt

plc – Public Limited Company

(a) Foreign security.

(b) Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.

(c) 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.

24

WCM Alternatives: Event-Driven Fund

SCHEDULE OF SECURITIES SOLD SHORT

June 30, 2015 (Unaudited)

Shares			Value
COMMON STOCKS
	1,648	Alcoa, Inc.	$	18,375
	1	Alexion Pharmaceuticals, Inc.		181
	12,387	Alibaba Group Holding Ltd. — ADR		1,019,079
	1,354	ARRIS Group, Inc. (b)(c)		41,148
	7,516	Ascena Retail Group, Inc.		125,179
	10,808	AT&T, Inc.		383,900
	7,022	Avago Technologies Ltd.		933,435
	5,294	Charter Communications, Inc. Class A		906,598
	5,664	Dollar Tree, Inc.		447,399
	853	Equinix, Inc. (b)(c)		215,809
	7,717	Halliburton Company		332,371
	2	Harris Corporation		154
	859	Liberty Global plc Class A (a)		46,446
	5,409	M&T Bank Corporation		675,746
	427	Royal Dutch Shell plc Class B — ADR		24,488
	800	Time Warner Cable, Inc.		142,536
	1,223	XL Group plc (a)		45,496
		TOTAL SECURITIES SOLD SHORT
		(Proceeds $5,391,513)	$	5,358,340

ADR – American Depository Receipt

plc – Public Limited Company

(a) Foreign security.

(b) Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.

(c) 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.

25

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
CALL OPTIONS WRITTEN
		America Movil SAB de C.V. Class L — ADR
	3,784	Expiration: August 2015, Exercise Price: $20.00	$	548,680
	7,443	Expiration: August 2015, Exercise Price: $21.00		595,440
		American International Group, Inc.
	924	Expiration: August 2015, Exercise Price: $55.00		669,900
	27,935	Expiration: August 2015, Exercise Price: $57.50		14,107,175
		Anadarko Petroleum Corporation
	5,689	Expiration: August 2015, Exercise Price: $85.00		512,010
	5,689	Expiration: August 2015, Exercise Price: $90.00		193,426
		AT&T, Inc.
	1,358	Expiration: July 2015, Exercise Price: $34.00		222,712
		Bayer AG
	2,940	Expiration: September 2015,
		Exercise Price: EUR 130.00 (b)		1,779,773
		BP plc — ADR
	26	Expiration: July 2015, Exercise Price: $39.00		3,497
	237	Expiration: July 2015, Exercise Price: $40.00		17,301
		CBS Corporation Class B
	8,249	Expiration: September 2015, Exercise Price: $55.00		2,400,459
	8,250	Expiration: September 2015, Exercise Price: $57.50		1,419,000
		Charter Communications, Inc. Class A
	896	Expiration: January 2016, Exercise Price: $210.00		112,000
		Cigna Corporation
	1,278	Expiration: August 2015, Exercise Price: $155.00		1,744,470
	1,824	Expiration: August 2015, Exercise Price: $160.00		1,851,360
		Computer Sciences Corporation
	8,991	Expiration: September 2015, Exercise Price: $65.00		3,056,940
	1,613	Expiration: September 2015, Exercise Price: $67.50		415,348
		DISH Network Corporation Class A
	8,830	Expiration: September 2015, Exercise Price: $67.50		3,443,700
	6,747	Expiration: September 2015, Exercise Price: $70.00		1,902,654
		The Dow Chemical Company
	15,891	Expiration: September 2015, Exercise Price: $49.00		5,482,395
	7,050	Expiration: September 2015, Exercise Price: $50.00		1,959,900
		E.I. Du Pont de Nemours & Company
	1,233	Expiration: July 2015, Exercise Price: $70.00		12,330
	4,945	Expiration: July 2015, Exercise Price: $72.50		9,890
		eBay, Inc.
	7,930	Expiration: July 2015, Exercise Price: $55.00		4,401,150
	4,543	Expiration: July 2015, Exercise Price: $57.50		1,540,077
	1,759	Expiration: October 2015, Exercise Price: $57.50		879,500

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

26

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		Energizer Holdings, Inc.
	798	Expiration: August 2015, Exercise Price: $125.00	$	770,070
	4,286	Expiration: August 2015, Exercise Price: $130.00		2,914,480
		Equinix, Inc.
	415	Expiration: September 2015,
		Exercise Price: $250.00 (a)(b)		506,300
		General Electric Company
	7,721	Expiration: July 2015, Exercise Price: $27.00		239,351
		General Motors Company
	22,863	Expiration: September 2015, Exercise Price: $36.00		994,540
		Halliburton Company
	867	Expiration: July 2015, Exercise Price: $42.50		117,045
		Hertz Global Holdings, Inc.
	12,896	Expiration: September 2015, Exercise Price: $19.00		1,547,520
	33,039	Expiration: September 2015, Exercise Price: $21.00		1,651,950
		Humana, Inc.
	561	Expiration: August 2015, Exercise Price: $185.00		914,991
	1,335	Expiration: August 2015, Exercise Price: $195.00		1,361,700
		Huntsman Corporation
	46,960	Expiration: August 2015, Exercise Price: $22.00		4,696,000
	1,057	Expiration: August 2015, Exercise Price: $23.00		58,135
		International Paper Company
	10,557	Expiration: July 2015, Exercise Price: $52.50		10,557
	10,554	Expiration: July 2015, Exercise Price: $55.00		21,108
		Kraft Foods Group, Inc.
	2,515	Expiration: September 2015, Exercise Price: $82.50		1,081,450
	2,565	Expiration: September 2015, Exercise Price: $85.00		692,550
		The Manitowoc Company, Inc.
	16,622	Expiration: September 2015, Exercise Price: $19.00		2,576,410
	17,105	Expiration: September 2015, Exercise Price: $20.00		1,753,262
		McDonald’s Corporation
	4,368	Expiration: July 2015, Exercise Price: $95.00		679,224
		Noble Energy, Inc.
	4,269	Expiration: August 2015, Exercise Price: $40.00		1,494,150
		Occidental Petroleum Corporation
	5,150	Expiration: August 2015, Exercise Price: $75.00		2,214,500
		Orbitz Worldwide, Inc.
	3,514	Expiration: August 2015, Exercise Price: $12.00		3,514
		Packaging Corporation of America
	440	Expiration: July 2015, Exercise Price: $67.50		8,800
	680	Expiration: July 2015, Exercise Price: $75.00		3,400

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

27

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		PartnerRe Ltd.
	434	Expiration: August 2015, Exercise Price: $140.00	$	104,160
		Perrigo Company plc
	1,132	Expiration: August 2015, Exercise Price: $170.00		2,320,600
	414	Expiration: August 2015, Exercise Price: $180.00		587,880
	407	Expiration: August 2015, Exercise Price: $185.00		476,190
		Pfizer, Inc.
	11,245	Expiration: August 2015, Exercise Price: $34.00		612,853
	12,966	Expiration: September 2015, Exercise Price: $34.00		907,620
		The Procter & Gamble Company
	2,568	Expiration: July 2015, Exercise Price: $82.50		7,704
	1,354	Expiration: August 2015, Exercise Price: $77.50		259,291
		Rock-Tenn Company Class A
	4,356	Expiration: July 2015, Exercise Price: $60.00		642,510
	3,176	Expiration: August 2015, Exercise Price: $60.00		801,940
	1,614	Expiration: October 2015, Exercise Price: $65.00		205,785
		Royal Dutch Shell plc Class B
	67	Expiration: July 2015, Exercise Price: GBP 19.50 (b)		1,579
		Sirius XM Holdings, Inc.
	18,434	Expiration: July 2015, Exercise Price: $4.00		18,434
	66,925	Expiration: September 2015, Exercise Price: $4.00		401,550
		SPX Corporation
	1,513	Expiration: September 2015, Exercise Price: $65.00		1,323,875
		Time Warner Cable, Inc.
	593	Expiration: October 2015, Exercise Price: $175.00		486,260
		T-Mobile U.S., Inc.
	11,852	Expiration: August 2015, Exercise Price: $32.00		8,444,550
	5,422	Expiration: August 2015, Exercise Price: $37.00		1,669,976
	5,421	Expiration: August 2015, Exercise Price: $38.00		1,330,856
		Ventas, Inc.
	2,340	Expiration: August 2015, Exercise Price: $65.00		169,650
	5,948	Expiration: August 2015, Exercise Price: $70.00		104,090
		Vivendi SA
	4,108	Expiration: August 2015, Exercise Price: EUR 22.00 (b)		540,420
		Vodafone Group plc — ADR
	3	Expiration: July 2015, Exercise Price: $34.00		771
	3,066	Expiration: July 2015, Exercise Price: $36.00		324,996
		W.R. Grace & Company
	7,404	Expiration: September 2015, Exercise Price: $100.00		2,961,600
		The Williams Companies, Inc.
	3,146	Expiration: August 2015, Exercise Price: $46.00		3,759,470
	6,662	Expiration: August 2015, Exercise Price: $48.00		6,645,345
	5,052	Expiration: August 2015, Exercise Price: $50.00		4,092,120

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

28

The Merger Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		Williams Partners LP
	1,038	Expiration: August 2015, Exercise Price: $50.00	$	166,080
	4,035	Expiration: September 2015, Exercise Price: $50.00		706,125
		Yahoo!, Inc.
	2,509	Expiration: July 2015, Exercise Price: $41.00		75,270
	8,409	Expiration: July 2015, Exercise Price: $45.00		25,227
	2,243	Expiration: July 2015, Exercise Price: $46.00		4,486
	1,285	Expiration: August 2015, Exercise Price: $40.00		200,460
	4,263	Expiration: October 2015, Exercise Price: $41.00		788,655
		Zoetis, Inc.
	2,411	Expiration: July 2015, Exercise Price: $44.00		1,048,785
	1,163	Expiration: July 2015, Exercise Price: $45.00		412,865
	579	Expiration: July 2015, Exercise Price: $46.00		165,015
				118,387,137
PUT OPTIONS WRITTEN
		SPDR S&P 500 ETF Trust
	9,401	Expiration: August 2015, Exercise Price: $202.00		3,295,051
	11,898	Expiration: August 2015, Exercise Price: $204.00		4,854,384
	13,431	Expiration: September 2015, Exercise Price: $198.00		5,694,744
		Vivendi SA
	2,069	Expiration: July 2015, Exercise Price: EUR 21.50 (b)		46,132
		Vodafone Group plc — ADR
	3,030	Expiration: July 2015, Exercise Price: $33.00		37,875
				13,928,186
		TOTAL OPTIONS WRITTEN
		(Premiums received $161,023,744)	$	132,315,323

ADR – American Depository Receipt

ETF – Exchange-Traded Fund

EUR – Euro

GBP – British Pound

plc – Public Limited Company

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

(b) 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, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
CALL OPTIONS WRITTEN
		America Movil SAB de C.V. Class L — ADR
	35	Expiration: August 2015, Exercise Price: $20.00	$	5,075
	113	Expiration: August 2015, Exercise Price: $21.00		9,040
		American International Group, Inc.
	8	Expiration: August 2015, Exercise Price: $55.00		5,800
	566	Expiration: August 2015, Exercise Price: $57.50		285,830
		Anadarko Petroleum Corporation
	98	Expiration: August 2015, Exercise Price: $82.50		14,798
	16	Expiration: August 2015, Exercise Price: $85.00		1,440
	27	Expiration: August 2015, Exercise Price: $90.00		918
		AT&T, Inc.
	18	Expiration: July 2015, Exercise Price: $34.00		2,952
		Baxter International, Inc.
	85	Expiration: August 2015, Exercise Price: $70.00		14,025
		Bayer AG
	7	Expiration: September 2015,
		Exercise Price: EUR 120.00 (b)		8,334
	24	Expiration: September 2015,
		Exercise Price: EUR 130.00 (b)		14,529
		BP plc — ADR
	83	Expiration: July 2015, Exercise Price: $40.00		6,059
	39	Expiration: July 2015, Exercise Price: $42.00		429
		CBS Corporation Class B
	61	Expiration: September 2015, Exercise Price: $55.00		17,751
	61	Expiration: September 2015, Exercise Price: $57.50		10,492
		Charter Communications, Inc. Class A
	11	Expiration: January 2016, Exercise Price: $210.00		1,375
		Cigna Corporation
	9	Expiration: August 2015, Exercise Price: $155.00		12,285
	46	Expiration: August 2015, Exercise Price: $160.00		46,690
		Citigroup, Inc.
	64	Expiration: July 2015, Exercise Price: $55.00		8,384
	127	Expiration: September 2015, Exercise Price: $55.00		28,956
		Computer Sciences Corporation
	171	Expiration: September 2015, Exercise Price: $65.00		58,140
	35	Expiration: September 2015, Exercise Price: $67.50		9,012
		DISH Network Corporation Class A
	123	Expiration: September 2015, Exercise Price: $67.50		47,970
	91	Expiration: September 2015, Exercise Price: $70.00		25,662

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

30

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		The Dow Chemical Company
	35	Expiration: September 2015, Exercise Price: $49.00	$	12,075
	67	Expiration: September 2015, Exercise Price: $50.00		18,626
	230	Expiration: September 2015, Exercise Price: $52.50		34,040
		E.I. Du Pont de Nemours & Company
	19	Expiration: July 2015, Exercise Price: $70.00		190
	54	Expiration: July 2015, Exercise Price: $72.50		108
		eBay, Inc.
	26	Expiration: July 2015, Exercise Price: $55.00		14,430
	108	Expiration: July 2015, Exercise Price: $57.50		36,612
	118	Expiration: October 2015, Exercise Price: $57.50		59,000
		Energizer Holdings, Inc.
	11	Expiration: August 2015, Exercise Price: $125.00		10,615
	71	Expiration: August 2015, Exercise Price: $130.00		48,280
		Equinix, Inc.
	9	Expiration: September 2015,
		Exercise Price: $250.00 (a)(b)		10,980
		General Electric Company
	359	Expiration: July 2015, Exercise Price: $27.00		11,129
		General Motors Company
	86	Expiration: September 2015, Exercise Price: $33.00		13,330
	457	Expiration: September 2015, Exercise Price: $36.00		19,879
		Halliburton Company
	113	Expiration: July 2015, Exercise Price: $42.50		15,255
		Hertz Global Holdings, Inc.
	352	Expiration: September 2015, Exercise Price: $19.00		42,240
	269	Expiration: September 2015, Exercise Price: $21.00		13,450
		Hess Corporation
	51	Expiration: August 2015, Exercise Price: $65.00		20,017
		Humana, Inc.
	10	Expiration: July 2015, Exercise Price: $210.00		1,850
	15	Expiration: August 2015, Exercise Price: $185.00		24,465
	9	Expiration: August 2015, Exercise Price: $195.00		9,180
	27	Expiration: August 2015, Exercise Price: $200.00		20,790
		Huntsman Corporation
	598	Expiration: August 2015, Exercise Price: $22.00		59,800
	7	Expiration: August 2015, Exercise Price: $23.00		385
		International Paper Company
	161	Expiration: July 2015, Exercise Price: $52.50		161
	105	Expiration: July 2015, Exercise Price: $55.00		210
		Johnson Controls, Inc.
	118	Expiration: October 2015, Exercise Price: $52.50		14,750

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

31

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		Kraft Foods Group, Inc.
	33	Expiration: September 2015, Exercise Price: $82.50	$	14,190
	62	Expiration: September 2015, Exercise Price: $85.00		16,740
		The Manitowoc Company, Inc.
	160	Expiration: September 2015, Exercise Price: $19.00		24,800
	334	Expiration: September 2015, Exercise Price: $20.00		34,235
		McDonald’s Corporation
	69	Expiration: July 2015, Exercise Price: $95.00		10,730
		Microsoft Corporation
	175	Expiration: July 2015, Exercise Price: $45.00		7,175
	97	Expiration: July 2015, Exercise Price: $47.00		776
	46	Expiration: October 2015, Exercise Price: $45.00		7,544
		Mylan NV
	44	Expiration: July 2015, Exercise Price: $70.00		6,116
	58	Expiration: July 2015, Exercise Price: $72.00		5,580
	39	Expiration: October 2015, Exercise Price: $72.50		13,943
		Noble Energy, Inc.
	70	Expiration: August 2015, Exercise Price: $40.00		24,500
		Occidental Petroleum Corporation
	51	Expiration: August 2015, Exercise Price: $75.00		21,930
		Olin Corporation
	13	Expiration: August 2015, Exercise Price: $30.00		390
		Orbitz Worldwide, Inc.
	55	Expiration: August 2015, Exercise Price: $12.00		55
		Packaging Corporation of America
	11	Expiration: July 2015, Exercise Price: $67.50		220
	21	Expiration: July 2015, Exercise Price: $75.00		105
		PartnerRe Ltd.
	8	Expiration: August 2015, Exercise Price: $130.00		2,660
	6	Expiration: August 2015, Exercise Price: $140.00		1,440
		Perrigo Company plc
	19	Expiration: August 2015, Exercise Price: $170.00		38,950
	5	Expiration: August 2015, Exercise Price: $180.00		7,100
	17	Expiration: August 2015, Exercise Price: $185.00		19,890
		Pfizer, Inc.
	35	Expiration: August 2015, Exercise Price: $34.00		1,908
	298	Expiration: September 2015, Exercise Price: $34.00		20,860
		The Procter & Gamble Company
	42	Expiration: July 2015, Exercise Price: $82.50		126
	35	Expiration: August 2015, Exercise Price: $77.50		6,703

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

32

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
		Rock-Tenn Company Class A
	28	Expiration: July 2015, Exercise Price: $60.00	$	4,130
	71	Expiration: August 2015, Exercise Price: $60.00		17,928
	18	Expiration: October 2015, Exercise Price: $65.00		2,295
		Royal Dutch Shell plc Class B
	1	Expiration: July 2015, Exercise Price: GBP 19.50 (b)		23
		Sirius XM Holdings, Inc.
	44	Expiration: July 2015, Exercise Price: $4.00		44
	164	Expiration: September 2015, Exercise Price: $4.00		984
		SPX Corporation
	72	Expiration: September 2015, Exercise Price: $65.00		63,000
		Time Warner Cable, Inc.
	7	Expiration: October 2015, Exercise Price: $175.00		5,740
		T-Mobile U.S., Inc.
	33	Expiration: August 2015, Exercise Price: $32.00		23,513
	104	Expiration: August 2015, Exercise Price: $37.00		32,032
	158	Expiration: August 2015, Exercise Price: $38.00		38,789
		Ventas, Inc.
	67	Expiration: August 2015, Exercise Price: $65.00		4,857
	93	Expiration: August 2015, Exercise Price: $70.00		1,628
		Vivendi SA
	113	Expiration: August 2015, Exercise Price: EUR 22.00 (b)		14,865
		W.R. Grace & Company
	129	Expiration: September 2015, Exercise Price: $100.00		51,600
		The Williams Companies, Inc.
	56	Expiration: August 2015, Exercise Price: $46.00		66,920
	83	Expiration: August 2015, Exercise Price: $48.00		82,793
	81	Expiration: August 2015, Exercise Price: $50.00		65,610
		Williams Partners LP
	14	Expiration: August 2015, Exercise Price: $50.00		2,240
	62	Expiration: September 2015, Exercise Price: $50.00		10,850
		Yahoo!, Inc.
	19	Expiration: July 2015, Exercise Price: $41.00		570
	10	Expiration: July 2015, Exercise Price: $44.00		40
	88	Expiration: July 2015, Exercise Price: $45.00		264
	19	Expiration: July 2015, Exercise Price: $46.00		38
	35	Expiration: August 2015, Exercise Price: $40.00		5,460
	70	Expiration: October 2015, Exercise Price: $40.00		15,610
	37	Expiration: October 2015, Exercise Price: $41.00		6,845
		Zoetis, Inc.
	37	Expiration: July 2015, Exercise Price: $45.00		13,135
	30	Expiration: July 2015, Exercise Price: $46.00		8,550
				1,976,812

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

33

WCM Alternatives: Event-Driven Fund

SCHEDULE OF OPTIONS WRITTEN (continued)

June 30, 2015 (Unaudited)

Contracts (100 shares per contract)			Value
PUT OPTIONS WRITTEN
		SPDR S&P 500 ETF Trust
	126	Expiration: August 2015, Exercise Price: $202.00	$	44,163
	168	Expiration: August 2015, Exercise Price: $204.00		68,544
	180	Expiration: September 2015, Exercise Price: $198.00		76,320
		Vivendi SA
	271	Expiration: July 2015, Exercise Price: EUR 21.50 (b)		6,042
		Vodafone Group plc — ADR
	87	Expiration: July 2015, Exercise Price: $33.00		1,088
				196,157
		TOTAL OPTIONS WRITTEN
		(Premiums received $2,705,798)	$	2,172,969

ADR – American Depository Receipt

ETF – Exchange-Traded Fund

EUR – Euro

GBP – British Pound

plc – Public Limited Company

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

(b) 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

The Merger Fund

SCHEDULE OF FORWARD CURRENCY EXCHANGE CONTRACTS*

June 30, 2015 (Unaudited)

				USD					USD
				Value at					Value at		Unrealized
Settlement	Currency to			June 30,		Currency to			June 30,		Appreciation
Date	be Delivered			2015		be Received			2015		(Depreciation)**
7/22/15		23,196,065	AUD	$	17,873,416		17,656,136	USD	$	17,656,136	$	(217,280	)
7/22/15		17,839,262	USD		17,839,262		23,196,065	AUD		17,873,416		34,154
8/26/15		3,427,097	AUD		2,635,708		2,678,105	USD		2,678,105		42,397
10/21/15		12,528,999	AUD		9,607,015		9,604,710	USD		9,604,710		(2,305	)
12/22/15		2,627,932	AUD		2,008,405		2,047,159	USD		2,047,159		38,754
7/8/15		10,076,415	EUR		11,234,932		11,257,082	USD		11,257,082		22,150
7/8/15		302	USD		302		266	EUR		297		(5	)
7/10/15		62,471,000	EUR		69,655,411		67,793,925	USD		67,793,925		(1,861,486	)
7/10/15		26,328,597	USD		26,328,597		24,134,000	EUR		26,909,505		580,908
8/17/15		76,252,982	EUR		85,068,361		81,097,334	USD		81,097,334		(3,971,027	)
8/25/15		4,421,952	EUR		4,933,741		4,851,987	USD		4,851,987		(81,754	)
1/20/16		4,953,366	EUR		5,542,446		5,354,942	USD		5,354,942		(187,504	)
7/15/15		801,759	GBP		1,259,631		1,227,366	USD		1,227,366		(32,265	)
7/15/15		1,224,043	USD		1,224,043		801,759	GBP		1,259,631		35,588
7/22/15		9,944,909	GBP		15,623,464		15,199,707	USD		15,199,707		(423,757	)
7/22/15		15,655,773	USD		15,655,773		9,944,909	GBP		15,623,464		(32,309	)
10/22/15		28,305,459	GBP		44,438,990		43,886,765	USD		43,886,765		(552,225	)
12/4/15		4,296,636	GBP		6,743,809		6,590,765	USD		6,590,765		(153,044	)
3/23/16		22,946,107	GBP		35,997,841		34,616,618	USD		34,616,618		(1,381,223	)
4/21/16		14,396,286	GBP		22,582,346		22,317,813	USD		22,317,813		(264,533	)
				$	396,253,493				$	387,846,727	$	(8,406,766	)

AUD – Australian Dollar

EUR – Euro

GBP – British Pound

USD – U.S. Dollar

* JPMorgan Chase & Co. Inc. is the counterparty for all open forward currency exchange contracts held by the Fund as of June 30, 2015.

** 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

WCM Alternatives: Event-Driven Fund

SCHEDULE OF FORWARD CURRENCY EXCHANGE CONTRACTS*

June 30, 2015 (Unaudited)

				USD					USD
				Value at					Value at		Unrealized
Settlement	Currency to			June 30,		Currency to			June 30,		Appreciation
Date	be Delivered			2015		be Received			2015		(Depreciation)**
7/22/15		722,697	AUD	$	556,864		557,133	USD	$	557,133	$	269
7/22/15		555,905	USD		555,905		722,697	AUD		556,864		959
8/26/15		21,102	AUD		16,229		16,490	USD		16,490		261
10/21/15		299,125	AUD		229,364		234,190	USD		234,190		4,826
7/8/15		266,010	EUR		296,594		298,304	USD		298,304		1,710
7/8/15		554	USD		554		488	EUR		544		(10	)
7/10/15		637,500	EUR		710,815		695,560	USD		695,560		(15,255	)
7/10/15		192,738	USD		192,738		176,500	EUR		196,798		4,060
8/17/15		782,457	EUR		872,915		845,642	USD		845,642		(27,273	)
8/25/15		18,320	EUR		20,440		20,101	USD		20,101		(339	)
1/20/16		27,928	EUR		31,249		30,192	USD		30,192		(1,057	)
7/15/15		19,900	GBP		31,265		30,464	USD		30,464		(801	)
7/15/15		30,381	USD		30,381		19,900	GBP		31,264		883
7/22/15		36,456	GBP		57,272		55,451	USD		55,451		(1,821	)
7/22/15		57,391	USD		57,391		36,456	GBP		57,272		(119	)
10/22/15		457,290	GBP		717,936		709,015	USD		709,015		(8,921	)
12/4/15		81,417	GBP		127,788		124,787	USD		124,787		(3,001	)
3/23/16		320,656	GBP		503,045		490,047	USD		490,047		(12,998	)
4/21/16		260,503	GBP		408,631		402,564	USD		402,564		(6,067	)
				$	5,417,376				$	5,352,682	$	(64,694	)

AUD – Australian Dollar

EUR – Euro

GBP – British Pound

USD – U.S. Dollar

* JPMorgan Chase & Co. Inc. is the counterparty for all open forward currency exchange contracts held by the Fund as of June 30, 2015.

** 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.

36

The Merger Fund

SCHEDULE OF SWAP CONTRACTS

June 30, 2015 (Unaudited)

									Unrealized
	Termination								Appreciation			Counter-
	Date	Security	Shares			Notional			(Depreciation)*			party
LONG TOTAL RETURN SWAP CONTRACTS
	12/16/15	Bayer AG		294,900		$	41,421,061		$	(1,592,756	)	JPM
	4/8/16	BG Group plc		5,274,756			87,810,393			(4,626,172	)	JPM
	10/1/15	CBS Corporation Class B		487,662			27,065,241			1,160,464		BAML
	10/16/15	CSR plc		3,145,051			43,189,853			1,648,298		JPM
	10/6/15	DIRECTV		1,446,334			134,205,332			7,016,624		JPM
	10/2/15	Dresser-Rand Group, Inc.		266,436			22,695,019			1,177,439		JPM
	12/16/15	E.ON SE		276,372			3,697,368			(959,697	)	JPM
	9/29/15	Hillgrove Resources Ltd.		1,642,462			285,132			(721,011	)	JPM
	5/28/16	iiNET Ltd.		464,398			3,411,082			(112,530	)	JPM
	6/3/16	iiNET Ltd.		847,539			6,225,317			(44,845	)	BAML
	10/16/15	Jazztel plc		5,865,614			85,010,813			(2,080,102	)	JPM
	4/24/16	Pace plc		2,282,772			13,353,600			(1,467,939	)	JPM
	5/19/16	Pace plc		959,972			5,615,574			(587,129	)	BAML
	4/15/16	Pirelli & C. S.p.A.		322,275			5,439,635			113,982		JPM
	12/31/15	SAI Global Ltd.		760,521			2,446,878			(1,166,112	)	JPM
	6/2/16	Telecity Group plc		2,514,635			40,617,258			(1,312,682	)	BAML
	4/17/16	Time Warner Cable, Inc.		4,743			845,060			131,161		JPM
	6/29/16	Vivendi SA		410,800			10,361,825			(209,620	)	JPM
	5/15/16	XL Group plc		333,206			12,395,263			12,395,263		JPM
SHORT TOTAL RETURN SWAP CONTRACTS
	4/24/16	ARRIS Group, Inc. (a)		(239,602	)		(7,281,505	)		1,102,157		JPM
	5/19/16	ARRIS Group, Inc. (a)		(125,338	)		(3,809,022	)		397,369		BAML
	1/16/16	AT&T, Inc.		(183,680	)		(6,524,314	)		(388,969	)	JPM
	3/12/16	Holcim Ltd.		(688	)		(50,775	)		240		JPM
	4/7/16	International Game
		Technology plc		(26,423	)		(469,272	)		121,743		JPM
	4/7/16	International Game
		Technology plc		(143,980	)		(2,557,085	)		950,536		BAML
	4/8/16	Royal Dutch Shell plc
		Class B		(2,281,687	)		(64,782,365	)		5,093,511		JPM
									$	16,039,223

BAML – Bank of America Merrill Lynch & Co., Inc.

JPM – JPMorgan Chase & Co., Inc.

plc – Public Limited Company

* Based on the net swap contract value held at 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 Valuation Group 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

WCM Alternatives: Event-Driven Fund

SCHEDULE OF SWAP CONTRACTS

June 30, 2015 (Unaudited)

							Unrealized
	Termination						Appreciation			Counter-
	Date	Security	Shares		Notional		(Depreciation)*			party
LONG TOTAL RETURN SWAP CONTRACTS
	9/17/15	American International
		Group, Inc.		7,212	$	445,846	$	41,634		JPM
	8/27/15	Anadarko Petroleum
		Corporation		4,300		335,658		(122,260	)	JPM
	1/10/16	Apollo Residential
		Mortgage, Inc.		2,996		44,011		(3,492	)	JPM
	4/22/16	Bayer AG		3,643		511,689		(19,760	)	JPM
	4/8/16	BG Group plc		56,690		943,735		(41,522	)	JPM
	4/16/16	BG Group plc — ADR		25,069		420,658		(30,449	)	JPM
	4/17/16	Catamaran Corporation		27,863		1,701,872		41,089		JPM
	10/1/15	CBS Corporation Class B		3,390		188,145		(6,752	)	BAML
	10/16/15	CSR plc		50,810		697,755		20,846		JPM
	4/20/16	DIRECTV		41,133		3,816,731		174,664		JPM
	12/16/15	E.ON SE		1,145		15,318		(3,975	)	JPM
	12/2/15	Equinix, Inc.		307		77,671		9,907		JPM
	4/17/16	Equity Commonwealth		22,674		582,042		(9,390	)	BAML
	9/29/15	General Motors Company		11,500		383,295		(1,737	)	BAML
	6/10/16	HCC Insurance Holdings, Inc.		4,281		328,952		(1,047	)	JPM
	4/17/16	Hospira, Inc.		22,176		1,967,233		21,129		JPM
	9/24/15	Huntsman Corporation		8,400		185,388		(43,450	)	JPM
	6/11/16	Huntsman Corporation		4,612		101,787		(3,720	)	BAML
	5/20/16	iiNET Ltd.		31,322		230,065		(11,466	)	JPM
	9/23/15	Jazztel plc		60,189		872,324		18,996		JPM
	12/1/15	Occidental Petroleum
		Corporation		1,184		92,080		(24,403	)	JPM
	6/30/16	Omnicare, Inc.		10,073		949,380		111		BAML
	4/24/16	Pace plc		50,145		293,335		(31,347	)	JPM
	5/19/16	Pace plc		11,303		66,120		(6,823	)	BAML
	6/30/16	Pall Corporation		13,849		1,723,508		(486	)	BAML
	3/24/16	Pfizer, Inc.		3,600		120,708		(3,749	)	JPM
	4/15/16	Pirelli & C. S.p.A.		1,817		30,669		644		JPM
	4/21/16	Polypore International, Inc.		17,287		1,035,146		21,055		JPM
	12/18/15	QEP Midstream Partners LP		7,697		134,928		13,420		JPM
	8/5/15	SAI Global Ltd.		4,683		15,067		(5,628	)	JPM
	4/17/16	Sigma-Aldrich Corporation		11,381		1,585,942		10,025		JPM
	6/2/16	Telecity Group plc		45,503		734,980		(24,667	)	BAML
	8/12/15	Time Warner Cable, Inc.		2,036		362,754		50,765		BAML
	4/17/16	Time Warner Cable, Inc.		9,152		1,630,612		174,415		JPM
	6/29/16	Vivendi SA		11,300		285,026		(5,766	)	JPM
	5/15/16	XL Group plc		1,221		45,421		45,421		JPM

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

38

WCM Alternatives: Event-Driven Fund

SCHEDULE OF SWAP CONTRACTS (continued)

June 30, 2015 (Unaudited)

									Unrealized
	Termination								Appreciation			Counter-
	Date	Security	Shares			Notional			(Depreciation)*			party
SHORT TOTAL RETURN SWAP CONTRACTS
	4/24/16	ARRIS Group, Inc. (a)		(6,132	)		(186,351	)	$	26,764		JPM
	5/19/16	ARRIS Group, Inc. (a)		(1,453	)		(44,157	)		4,589		BAML
	4/17/16	AT&T, Inc.		(53,159	)		(1,888,208	)		(133,897	)	JPM
	6/30/16	Charter Communications, Inc.
		Class A		(235	)		(40,244	)		(57	)	BAML
	3/12/16	Holcim Ltd.		(2	)		(148	)		1		JPM
	4/7/16	International Game
		Technology plc		(65	)		(1,154	)		301		JPM
	4/7/16	International Game
		Technology plc		(230	)		(4,085	)		1,395		BAML
	4/8/16	Royal Dutch Shell plc Class B		(24,519	)		(696,151	)		42,171		JPM
	4/16/16	Royal Dutch Shell plc
		Class B — ADR		(5,582	)		(320,128	)		40,544		JPM
	12/18/15	Tesoro Logistics LP		(2,190	)		(125,093	)		1,232		JPM
									$	225,275

ADR – American Depository Receipt

BAML – Bank of America Merrill Lynch & Co., Inc.

JPM – JPMorgan Chase & Co., Inc.

plc – Public Limited Company

* Based on the net swap contract value held at 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 Valuation Group 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.

39

The Merger Fund and WCM Alternatives: Event-Driven Fund

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2015 (Unaudited)

			WCM Alternatives:
	The Merger Fund		Event-Driven Fund
ASSETS:
Investments, at value (Cost $5,298,920,115 and
$71,501,512, respectively)	$	5,374,001,342	$	69,915,304
Cash held in foreign currency (Cost $92 and
$2,380, respectively)		90		2,374
Receivable from brokers		598,790,107		5,391,513
Deposits at brokers		141,336,739		5,569,459
Receivable for investments sold		60,724,642		3,575,401
Receivable for forward
currency exchange contracts		753,951		12,968
Receivable for swap contracts		16,039,223		225,275
Receivable for fund shares issued		10,568,689		303,702
Dividends and interest receivable		6,000,593		97,519
Swap dividends receivable		3,546,941		35,077
Receivable for closed swap contracts		—		9,971
Prepaid expenses and other receivables		205,760		19,190
Total Assets		6,211,968,077		85,157,753
LIABILITIES:
Securities sold short, at value (proceeds of
$598,790,107 and $5,391,513, respectively)		624,000,465		5,358,340
Written option contracts, at value
(premiums received $161,023,744 and
$2,705,798, respectively)		132,315,323		2,172,969
Payable to the investment adviser		3,742,164		27,088
Distribution fees payable		1,823,187		—
Payable to independent trustees		4,984		40
Payable for forward currency exchange contracts		9,160,717		77,662
Payable for investments purchased		209,588,318		5,573,420
Payable for fund shares redeemed		5,966,072		—
Dividends and interest payable		1,110,783		11,035
Swap dividends payable		53,313		—
Accrued expenses and other liabilities		2,108,942		97,145
Total Liabilities		989,874,268		13,317,699
NET ASSETS	$	5,222,093,809	$	71,840,054

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

40

The Merger Fund and WCM Alternatives: Event-Driven Fund

STATEMENTS OF ASSETS AND LIABILITIES (continued)

June 30, 2015 (Unaudited)

				WCM Alternatives:
	The Merger Fund			Event-Driven Fund
NET ASSETS CONSISTS OF:
Accumulated undistributed
net investment income (loss)	$	(31,598,397	)	$	85,639
Accumulated net realized loss on
investments, securities sold short, written option
contracts expired or closed, swap contracts,
foreign currency translation and forward
currency exchange contracts		(150,547,228	)		(102,070	)
Net unrealized appreciation (depreciation) on:
Investments		75,081,227			(1,586,208	)
Securities sold short		(25,210,358	)		33,173
Written option contracts		28,708,421			532,829
Swap contracts		16,039,223			225,275
Foreign currency translation		(2	)		(6	)
Forward currency exchange contracts		(8,406,766	)		(64,694	)
Net unrealized appreciation (depreciation)		86,211,745			(859,631	)
Paid-in capital		5,318,027,689			72,716,116
Total Net Assets	$	5,222,093,809		$	71,840,054
Investor Class
Net assets	$	3,958,348,740
Shares outstanding		251,550,752
Net asset value and offering price per share*	$	15.74
Institutional Class
Net assets	$	1,263,745,069		$	71,840,054
Shares outstanding		80,465,503			7,030,153
Net asset value and offering price per share*	$	15.71		$	10.22

* 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.

41

The Merger Fund and WCM Alternatives: Event-Driven Fund

STATEMENTS OF OPERATIONS

For the Six Months Ended June 30, 2015 (Unaudited)

				WCM Alternatives:
	The Merger Fund			Event-Driven Fund
INVESTMENT INCOME:
Interest	$	5,332,540		$	49,819
Dividend income on long positions (net of
foreign withholding taxes of $217,972
and $639, respectively)		14,439,945			183,348
Total investment income		19,772,485			233,167
EXPENSES:
Investment advisory fees		26,305,454			199,724
Distribution fees (Investor Class)		4,586,364			—
Sub transfer agent fees (Investor Class)		2,591,192			—
Sub transfer agent fees (Institutional Class)		245,794			15,312
Administration fees		801,485			9,113
Transfer agent and shareholder
servicing agent fees		372,372			9,782
Professional fees		371,817			72,290
Reports to shareholders		298,925			11,615
Fund accounting expense		216,815			12,639
Custody fees		198,933			15,902
Miscellaneous expenses		128,311			4,250
Federal and state registration fees		118,092			20,688
Trustees’ fees and expenses		114,776			7,580
Borrowing expense on securities sold short		1,455,370			10,879
Dividends on securities sold short		8,922,589			41,147
Total expenses before
expense waiver by Adviser		46,728,289			430,921
Less: Expense reimbursed by Adviser		(3,601,021	)		(100,879	)
Net expenses		43,127,268			330,042
NET INVESTMENT LOSS		(23,354,783	)		(96,875	)

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

42

The Merger Fund and WCM Alternatives: Event-Driven Fund

STATEMENTS OF OPERATIONS (continued)

For the Six Months Ended June 30, 2015 (Unaudited)

				WCM Alternatives:
	The Merger Fund			Event-Driven Fund
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Realized gain (loss) on:
Investments	$	(51,795	)	$	(401,949	)
Securities sold short		(61,961,680	)		(46,238	)
Written option contracts expired or closed		38,108,162			84,869
Swap contracts		(46,601,064	)		30,675
Foreign currency translation		(3,902,089	)		(10,928	)
Forward currency exchange contracts		52,282,354			125,152
Net realized loss		(22,126,112	)		(218,419	)
Change in unrealized
appreciation (depreciation) on:
Investments		(41,507,841	)		(1,557,784	)
Securities sold short		85,669,665			234,036
Written option contracts		38,743,194			562,770
Swap contracts		24,348,398			419,421
Foreign currency translation		(316,326	)		(750	)
Forward currency exchange contracts		(23,912,242	)		(106,563	)
Net unrealized appreciation (depreciation)		83,024,848			(448,870	)
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS		60,898,736			(667,289	)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS	$	37,543,953		$	(764,164	)

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

43

The Merger Fund

STATEMENTS OF CHANGES IN NET ASSETS

	Six Months Ended			Year Ended
	June 30, 2015			December 31, 2014
	(Unaudited)
Net investment income (loss)	$	(23,354,783	)	$	112,981,998
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		(22,126,112	)		120,234,533
Change in unrealized appreciation (depreciation)
on investments, securities sold short, written
option contracts, swap contracts, foreign
currency translation and forward
currency exchange contracts		83,024,848			(161,043,838	)
Net increase in net assets
resulting from operations		37,543,953			72,172,693
Investor Class —
Distributions to shareholders from: (Note 5)
Net investment income		—			(100,172,106	)
Net realized gains		—			(53,847,251	)
Total dividends and distributions —
Investor Class		—			(154,019,357	)
Institutional Class —
Distributions to shareholders from: (Note 5)
Net investment income		—			(38,051,350	)
Net realized gains		—			(18,089,631	)
Total dividends and distributions —
Institutional Class		—			(56,140,981	)
Net increase (decrease) in net assets from
capital share transactions (Note 4)		(217,022,065	)		524,390,262
Net increase (decrease) in net assets		(179,478,112	)		386,402,617
NET ASSETS:
Beginning of period		5,401,571,921			5,015,169,304
End of period (including accumulated
undistributed net investment loss of
$(31,598,397) and $(8,243,614), respectively)	$	5,222,093,809		$	5,401,571,921

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

44

WCM Alternatives: Event-Driven Fund

STATEMENTS OF CHANGES IN NET ASSETS

				For the Period from
				January 2, 2014^
	Six Months Ended			through
	June 30, 2015			December 31, 2014
	(Unaudited)
Net investment income (loss)	$	(96,875	)	$	42,259
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		(218,419	)		582,734
Change in unrealized depreciation on
investments, securities sold short, written option
contracts, swap contracts, foreign currency
translation and forward currency
exchange contracts		(448,870	)		(410,761	)
Net increase (decrease) in net assets
resulting from operations		(764,164	)		214,232
Institutional Class —
Distributions to shareholders from: (Note 5)
Net realized gains		—			(294,148	)
Total dividends and distributions —
Institutional Class		—			(294,148	)
Net increase in net assets from
capital share transactions (Note 4)		60,518,863			12,165,271
Net increase in net assets		59,754,699			12,085,355
NET ASSETS:
Beginning of period		12,085,355			—
End of period (including accumulated
undistributed net investment income of
$85,639 and $182,514, respectively)	$	71,840,054		$	12,085,355

^ Commencement of operations January 2, 2014.

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

45

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			Year Ended			August 1, 2013*
	Ended			December 31,			through
	June 30, 2015			2014^			December 31, 2013
	(Unaudited)
Per Share Data:
Net Asset Value,
beginning of period	$	15.58		$	15.97		$	16.06
Income from
investment operations:
Net investment income (loss)(1)(2)		(0.05	)		0.37			0.03
Net realized and unrealized
gain (loss) on investments		0.18			(0.10	)		0.31
Total from investment operations		0.13			0.27			0.34
Less distributions:
Distributions from net
investment income		—			(0.45	)		(0.35	)
Distributions from
net realized gains		—			(0.21	)		(0.08	)
Total dividends and distributions		—			(0.66	)		(0.43	)
Net Asset Value, end of period	$	15.71		$	15.58		$	15.97
Total Return		0.83	%(3)		1.63	%		2.20	%(3)

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

46

The Merger Fund

FINANCIAL HIGHLIGHTS (continued)

Institutional Class

							For the Period from
	Six Months			Year Ended			August 1, 2013*
	Ended			December 31,			through
	June 30, 2015			2014			December 31, 2013
	(Unaudited)
Supplemental data and ratios:
Net assets, end of period (000’s)	$	1,263,745		$	1,332,078		$	172,247
Ratio of gross expenses
to average net assets:
Before expense waiver		1.53	%(4)		1.44	%		1.32	%(4)
After expense waiver		1.40	%(4)		1.28	%		1.19	%(4)
Ratio of dividends and borrowing
expense on securities sold short
to average net assets		0.40	%(4)		0.29	%		0.19	%(4)
Ratio of operating expense to
average net assets excluding
dividends and borrowing expense
on securities sold short		1.00	%(4)		0.99	%		1.00	%(4)
Ratio of net investment income
(loss) to average net assets:
Before expense waiver		(0.78	)(4)		2.14	%		0.29	%(4)
After expense waiver		(0.65	)(4)		2.30	%		0.42	%(4)
Portfolio turnover rate(5)		66	%(3)		137	%		194	%(3)

(1) Net investment income before dividends and borrowing expense on securities sold short for the six months ended June 30, 2015, the year ended December 31, 2014, and for the period ended December 31, 2013 was $(0.02), $0.42 and $0.04, respectively.

(2) Net investment income (loss) 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.

* Commencement of operations.

­

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

47

The Merger Fund

FINANCIAL HIGHLIGHTS

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

Investor Class

Per Share Data:

Net Asset Value, beginning of period

Income from investment operations:

Net investment income (loss)(2)

Net realized and unrealized gain (loss) on investments

Total from investment operations

Redemption fees

Less distributions:

Distributions from net investment income

Distributions from net realized gains

Total dividends and distributions

Net Asset Value, end of period

Total Return

Supplemental data and ratios:

Net assets, end of period (in millions)

Ratio of gross expenses to average net assets:

Before expense waiver

After expense waiver

Ratio of dividends and borrowing expense on securities sold short

  to average net assets

Ratio of operating expense to average net assets excluding dividends

  and borrowing expense on securities sold short

Ratio of net investment income (loss) to average net assets:

Before expense waiver

After expense waiver

Portfolio turnover rate(8)

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

48

The Merger Fund

SCHEDULE OF INVESTMENTS

June 30, 2015 (Unaudited)

Investor Class

Six Months												Three Months
Ended			Year Ended									Ended			Year Ended
June 30,			December 31,									December 31,			September 30,
2015			2014			2013			2012				2011*			2011			2010(1)
(Unaudited)
$	15.63		$	16.01		$	15.83		$	15.59		$	15.59		$	15.93		$	15.26
	(0.08	)(3)		0.33	(3)		0.04	(3)		(0.05	)(3)		(0.02	)(3)		(0.18	)(3)		(0.02	)(4)
	0.19			(0.10	)		0.53			0.61			0.47			0.13			0.69
	0.11			0.23			0.57			0.56			0.45			(0.05	)		0.67
	—			—			—			0.00	(5)		0.00	(5)		0.00	(5)		0.00	(5)
	—			(0.40	)		(0.31	)		(0.26	)		(0.08	)		—			(0.00	)(5)
	—			(0.21	)		(0.08	)		(0.06	)		(0.37	)		(0.29	)		—
	—			(0.61	)		(0.39	)		(0.32	)		(0.45	)		(0.29	)		(0.00	)(5)
$	15.74		$	15.63		$	16.01		$	15.83		$	15.59		$	15.59		$	15.93
	0.70	%(6)		1.43	%		3.61	%		3.61	%		2.90	%(6)		(0.34	)%		4.39	%
$	3,958		$	4,069		$	4,843		$	4,416		$	5,027		$	4,914		$	3,574
	1.85	%(7)		1.68	%		1.61	%		1.82	%		1.77	%(7)		2.08	%		2.64	%
	1.72	%(7)		1.52	%		1.48	%		1.69	%		1.64	%(7)		1.96	%		2.57	%
	0.40	%(7)		0.29	%		0.22	%		0.42	%		0.31	%(7)		0.62	%		1.16	%
	1.32	%(7)		1.23	%		1.26	%		1.27	%		1.33	%(7)		1.34	%		1.41	%
	(1.10	)%(7)		1.90	%		0.09	%		(0.47	)%		(0.72	)%(7)		(1.25	)%		(1.35	)%
	(0.97	)%(7)		2.06	%		0.22	%		(0.34	)%		(0.59	)%(7)		(1.13	)%		(1.28	)%
	66	%(6)		137	%		194	%		240	%		48	%(6)		293	%		192	%

Footnotes To Financial Highlights On Following Page

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

49

The Merger Fund

FINANCIAL HIGHLIGHTS (continued)

Investor Class

(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, 2015, the years ended December 31, 2014, 2013, 2012, three months ended December 31, 2011 and the years ended September 30, 2011 and 2010 was $(0.05), $0.38, $0.07, $0.01, $(0.01), $(0.08), and $0.12, respectively.
(3)	Net investment income (loss) per share has been calculated based on average shares outstanding during the period.
(4)	Net investment loss per share is calculated using ending balance after consideration of adjustments for permanent book and tax differences.
(5)	Amount 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.

50

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
	Six Months			January 2, 2014^
	Ended			through
	June 30, 2015			December 31, 2014
	(Unaudited)
Per Share Data:
Net Asset Value, beginning of period	$	10.14		$	10.00
Income from investment operations:
Net investment income (loss)(1)(2)		(0.03	)		0.05
Net realized and unrealized gain on investments		0.11			0.34
Total from investment operations		0.08			0.39
Less distributions:
Distributions from net realized gains		—			(0.25	)
Total dividends and distributions		—			(0.25	)
Net Asset Value, end of period	$	10.22		$	10.14
Total Return		0.79	%(3)		3.87	%(3)
Supplemental data and ratios:
Net assets, end of period (000’s)	$	71,840		$	12,085
Ratio of gross expenses to average net assets:
Before expense waiver		2.70	%(4)		7.95	%(4)
After expense waiver		2.07	%(4)		2.39	%(4)
Ratio of dividends and borrowing expense
on securities sold short to average net assets		0.33	%(4)		0.65	%(4)
Ratio of operating expenses to average net assets
excluding dividends and borrowing expense on
securities sold short		1.74	%(4)		1.74	%(4)
Ratio of net investment income (loss)
to average net assets:
Before expense waiver		(1.24	)%(4)		(5.04	)%(4)
After expense waiver		(0.61	)%(4)		0.52	%(4)
Portfolio turnover rate(5)		68	%(3)		212	%(3)

(1) Net investment income before dividends and borrowing expense on securities sold short for the six months ended June 30, 2015 and the year ended December 31, 2014 was $(0.01) and $0.12, respectively.

(2) Net investment income (loss) 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.

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

51

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS

June 30, 2015 (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 reflects the performance of Westchester Capital Management, Inc. Roy Behren and Michael Shannon, TMF’s current portfolio managers, have served as co-portfolio managers of TMF since January 2007. The Investor Class inception date was January 31, 1989, and the Institutional Class inception date was August 1, 2013. The investment objective of TMF is to seek to achieve capital growth by engaging in merger arbitrage. Merger arbitrage is a highly specialized investment approach generally designed to profit from the successful completion of publicly announced mergers, takeovers, tender offers, leveraged buyouts, spin-offs, liquidations and other corporate reorganizations.

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

52

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 1 — ORGANIZATION (continued)

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

Note 2 — SIGNIFICANT ACCOUNTING POLICIES

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

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.

Equity securities that trade on an exchange will typically be valued based on the last reported sale price.  Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by a pricing vendor approved by the Board. These are classified as Level 2 investments.

53

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices.  When the last sale of an exchange-traded option is outside the bid and asked prices, a Fund will typically value the option at the higher of intrinsic value of the option or the mean between the last reported bid and asked prices. 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. Investments in registered open-end investment companies are typically valued at their reported NAV per share. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. Forward currency contracts are valued daily at the prevailing forward exchange rate. These securities are generally classified as Level 2. Total return swap prices are determined using the same methods as would be used to price the underlying security. These securities are generally classified as Level 2.

The Funds typically fair value securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value.  For example, a Fund may fair value a security that primarily trades on an exchange that closes before the NYSE if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE closes.  Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Fund or representatives of the Adviser, acting pursuant to procedures adopted by the Board.  When fair-value pricing is employed, the prices of securities used by the Funds to calculate their NAV may differ from quoted or published prices for the same securities.  In addition, due to the subjective nature of fair-value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below. At June 30, 2015, securities fair valued in good faith based on the absolute

54

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

value of long and short investments, written option contracts, and unrealized appreciation of swap contracts represented 0.35% of net assets for TMF and 0.42% of net assets 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 —	Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

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

The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of June 30, 2015. These assets and liabilities are measured on a recurring basis.

	Level 1		Level 2		Level 3		Total
The Merger Fund
Assets
Common Stocks*	$	4,733,481,492	$	—	$	—	$	4,733,481,492
Contingent Value Rights		—		—		1,220,093		1,220,093
Corporate Bonds		—		101,331,948		—		101,331,948
Purchased Option Contracts		54,064,655		1,539,393		—		55,604,048
Escrow Notes		—		—		1,709,683		1,709,683
Short-Term Investments		480,654,078		—		—		480,654,078
Forward Currency
Exchange Contracts**		—		753,951		—		753,951
Swap Contracts**		—		16,039,223		—		16,039,223
Liabilities
Common Stocks Sold Short	$	610,476,827	$	13,523,638	$	—	$	624,000,465
Written Option Contracts		129,441,119		2,874,204		—		132,315,323
Forward Currency
Exchange Contracts**		—		9,160,717		—		9,160,717

55

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

	Level 1		Level 2		Level 3		Total
WCM Alternatives: Event-Driven Fund
Assets
Common Stocks*	$	60,551,579	$	—	$	—	$	60,551,579
Closed-End Funds		828,037		—		—		828,037
Preferred Stocks		1,198,110		—		—		1,198,110
Contingent Value Rights		—		—		2,802		2,802
Bank Loans		—		41,033		—		41,033
Corporate Bonds		—		1,822,748		—		1,822,748
Purchased Option Contracts		864,697		13,570		—		878,267
Short-Term Investments		4,592,728		—		—		4,592,728
Forward Currency Exchange Contracts**		—		12,968		—		12,968
Swap Contracts**		—		225,275		—		225,275
Liabilities
Common Stocks Sold Short	$	5,101,383	$	256,957	$	—	$	5,358,340
Written Option Contracts		2,118,196		54,773		—		2,172,969
Forward Currency
Exchange Contracts**		—		77,662		—		77,662

*  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. Level 3 securities are valued by broker quotes. At June 30, 2015, the values of the broker quoted securities held by TMF and EDF were approximately $2,929,776 and $2,802, respectively. The inputs for those securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in Note 2A. Investment Valuation. The appropriateness of fair values for these securities is monitored on an ongoing basis by the Valuation Group.

The Funds did not have transfers into or out of Level 1, 2 or 3 securities during the period. Transfers are recorded at the end of the reporting 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, 2014	$	2,822,876
Change in unrealized appreciation		106,900
Balance as of June 30, 2015	$	2,929,776

56

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

WCM Alternatives: Event-Driven Fund

Description	Investments
Balance as of December 31, 2014	$	—
Change in unrealized appreciation		2,802
Balance as of June 30, 2015	$	2,802

The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statements of Operations. The net change in unrealized appreciation (depreciation) on investments related to Level 3 securities held by TMF and EDF at June 30, 2015 totals $106,900 and $2,802, respectively.

B. Securities Sold Short

The Funds sell securities or currencies short for economic hedging purposes or any other investment purpose. For financial statement purposes, an amount equal to the settlement amount is initially included in the 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 segregate liquid assets in an amount equal to the market value of securities sold short, which is reflected in the Schedules of Investments. These assets are required to be adjusted daily to reflect changes in the value of the securities or currencies sold short.

C. Transactions with Brokers

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

57

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

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.

The Funds’ equity swap contracts’ and forward currency exchange contracts’ cash deposits are monitored daily by the Adviser and counterparty. Cash deposits by the Funds are presented as deposits at brokers on the Statements of Assets and Liabilities. These transactions may involve market risk in excess of the amount of receivable or payable reflected on the Statements 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 twelve months. As of June 30, 2015, TMF’s open Federal and New York tax years include the tax years ended December 31, 2011 through December 31, 2014. 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

58

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

priced daily to reflect the current value of the option written. Refer to Note 2 A. for a pricing description. By writing an option, a Fund may become obligated during the term of the option to deliver or purchase the securities underlying the option at the exercise price if the option is exercised. When an option expires on its stipulated expiration date or the Funds enter into a closing purchase transaction, the Funds realize gains or losses if the cost of the closing purchase transaction differs from the premium received when the option was sold without regard to any unrealized appreciation or depreciation on the underlying security, and the liability related to such option is eliminated. When 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. When the Funds purchase an option contract, an amount equal to the premiums paid is included in the Statements of Assets and Liabilities as an investment, and is subsequently priced daily to reflect the value of the purchased option. Refer to Note 2 A. for a pricing description. When option contracts expire or are closed, realized gains or losses are recognized without regard to any unrealized appreciation or depreciation on the underlying securities that may be held by the Funds. 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.

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

59

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

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. Refer to Note 2 O. for further counterparty risk disclosure.

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

60

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Fluctuations in the value of an open contract are recorded daily as net unrealized appreciation or depreciation. The Funds will realize gains or losses upon termination or reset of the contract. Either party, under certain conditions, may terminate the contract prior to the contract’s expiration date. Equity swap contracts are typically valued based on market quotations or pricing service evaluations for the underlying reference asset. The Valuation Group monitors the credit quality of the Funds’ counterparties and may adjust the valuation of a swap in the Valuation Group’s discretion due to, among other things, changes in a counterparty’s credit quality.

Credit risk may arise as a result of the failure of the counterparty to comply with the terms of the contract. Refer to Note 2 O. for further counterparty risk disclosure. 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 the end of the Fund’s fiscal year.

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 fluctuations in currency exchange rates and adverse political, cultural, regulatory, legal, tax, and economic developments as well as different custody and/or settlement practices or delayed settlements in some foreign markets. Moreover, securities of many foreign companies and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government.

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

61

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

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

L. Cash and Cash Equivalents

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

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. Security Transactions, Investment Income and Expenses

Transactions are recorded for financial statement purposes on the trade date. Realized gains and losses from security transactions are recorded on the identified cost basis. Distributions to shareholders are recorded on the ex-dividend date. Dividend income is recorded on the ex-dividend date, except for certain dividends on foreign securities, which are recorded as soon as the Fund is informed after the ex-dividend date. Interest is accounted for on the accrual basis and includes amortization of premiums and discounts on the effective interest method. Expenses include $1,455,370 and $10,879 of borrowing expense on securities sold short for TMF and EDF, respectively.

62

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

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. The Adviser considers the creditworthiness of each counterparty to a contract in evaluating potential credit risk. The counterparty risk for forward currency exchange contracts to the Funds includes the amount of any net unrealized appreciation on the contract. The counterparty risk for equity swaps contracts to the Funds includes the risk of loss of the full amount of any net unrealized appreciation on the contract, along with dividends receivable on long equity contracts and interest receivable on short equity contracts.

P. The Right to Offset

Financial assets and liabilities as well as cash collateral received by the Funds’ 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 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 objective and limitations. The use of these instruments may involve additional investment risks, including the possibility of illiquid markets or imperfect correlation between the value of the instruments and the underlying securities. Derivatives also may create leverage which will amplify the effect of their performance on the Funds and may produce significant losses.

The Funds have adopted authoritative standards regarding disclosure about derivatives and hedging activities and how they affect the Funds’ Statement of Assets and Liabilities and Statement of Operations. With respect to TMF, for the six months ended June 30, 2015: long option contracts (1,073,865 contracts) were purchased and $126,048,449 in premiums were paid, written option contracts (1,882,284 contracts) were opened and $413,859,543 in premiums were received, equity swap contracts were opened with a notional value of $638,344,046 and closed with a notional value of $821,223,517 and an average of 12 forward currency exchange contract positions were open. With respect to EDF, for the six months ended June 30, 2015: long option contracts (12,017 contracts) were purchased and $1,093,614 in premiums were paid, written

63

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

option contracts (19,154 contracts) were opened and $4,446,447 in premiums were received, equity swap contracts were opened with a notional value of $30,938,787 and closed with a notional value of $17,018,664 and an average of 12 forward currency exchange contract positions were open.

Statement of Assets and Liabilities

Fair values of derivative instruments as of June 30, 2015:

	Asset Derivatives
	Statement of Assets
Derivatives	and Liabilities Location	Fair Value
The Merger Fund
Equity Contracts:
Purchased Option Contracts	Investments	$	55,604,048
Swap Contracts	Receivables		16,039,223
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Receivables		753,951
Total		$	72,397,222
WCM Alternatives: Event-Driven Fund
Equity Contracts:
Purchased Option Contracts	Investments	$	878,267
Swap Contracts	Receivables		225,275
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Receivables		12,968
Total		$	1,116,510
	Liability Derivatives
	Statement of Assets
Derivatives	and Liabilities Location	Fair Value
The Merger Fund
Equity Contracts:
Written Option Contracts	Written Option Contracts	$	132,315,323
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Payables		9,160,717
Total		$	141,476,040
WCM Alternatives: Event-Driven Fund
Equity Contracts:
Written Option Contracts	Written Option Contracts	$	2,172,969
Foreign Exchange Contracts:
Forward Currency Exchange Contracts	Payables		77,662
Total		$	2,250,631

64

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)

Statement of Operations

The effect of derivative instruments on the Statement of Operations for the six month period ended June 30, 2015:

Amount of Realized Gain (Loss) on Derivatives

						Forward
	Purchased			Written		Currency
	Option			Option		Exchange		Swap
Derivatives	Contracts			Contracts		Contracts		Contracts			Total
The Merger Fund
Equity Contracts	$	(92,730,307	)	$	38,108,162	$	—	$	(46,601,064	)	$	(101,223,209	)
Foreign Exchange
Contracts		—			—		52,282,354		—			52,282,354
Total	$	(92,730,307	)	$	38,108,162	$	52,282,354	$	(46,610,064	)	$	(48,940,855	)
WCM Alternatives:
Event-Driven Fund
Equity Contracts	$	(361,568	)	$	84,869	$	—	$	30,675		$	(246,024	)
Foreign Exchange
Contracts		—			—		125,152		—			125,152
Total	$	(361,568	)	$	84,869	$	125,152	$	30,675		$	(120,872	)

Change in Unrealized Appreciation (Depreciation) on Derivatives

					Forward
	Purchased		Written		Currency
	Option		Option		Exchange			Swap
Derivatives	Contracts		Contracts		Contracts			Contracts		Total
The Merger Fund
Equity Contracts	$	30,483,159	$	38,743,194	$	—		$	24,348,398	$	93,574,751
Foreign Exchange
Contracts		—		—		(23,912,242	)		—		(23,912,242	)
Total	$	30,483,159	$	38,743,194	$	(23,912,242	)	$	24,348,398	$	69,662,509
WCM Alternatives:
Event-Driven Fund
Equity Contracts	$	227,639	$	562,770	$	—		$	419,421	$	1,209,830
Foreign Exchange
Contracts		—		—		(106,563	)		—		(106,563	)
Total	$	227,639	$	562,770	$	(106,563	)	$	419,421	$	1,103,267

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

65

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 3 — AGREEMENTS (continued)

Advisory Agreement” and together with the TMF Advisory Agreement, the “Advisory Agreements”).

Under the terms of the TMF Advisory Agreement, the Adviser is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 1.00% of TMF’s average daily net assets. The Adviser has agreed until April 30, 2016 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 (the “TMF Fee Waiver Agreement”). Investment advisory fees waived by the Adviser on behalf of TMF for the six months ended June 30, 2015 were $3,601,021.

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 April 30, 2016 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 (the “EDF Expense Limitation Agreement”). Ordinary operating expenses exclude taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, borrowing expenses, including on securities sold short, dividend expenses on securities sold short, trading or investment expenses, acquired fund fees and expenses, and any extraordinary expenses. To the extent that the Adviser waives its investment advisory fee for EDF 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 amounts were waived or reimbursed, subject to the expense limitation in place at the time such amounts were waived or reimbursed. For the six months ended June 30, 2015, the Adviser waived $100,879 of advisory fees to EDF.

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

66

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 3 — AGREEMENTS (continued)

Year of Expiration	Potential Recovery
12/31/2017	$(451,849)
12/31/2018	$(100,879)

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

U.S. Bancorp Fund Services, LLC, 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
The Merger Fund	June 30, 2015						December 31, 2014
Investor Class	Shares			Amount			Shares			Amount
Issued		36,694,983		$	580,227,808			112,329,963		$	1,820,604,986
Issued as reinvestment
of dividends		—			—			9,346,043			146,265,568
Redeemed		(45,473,862	)		(718,402,262	)		(163,799,886	)		(2,672,660,067	)
Net decrease		(8,778,879	)	$	(138,174,454	)		(42,123,880	)	$	(705,789,513	)
	Six Months Ended						Year Ended
	June 30, 2015						December 31, 2014
Institutional Class	Shares			Amount			Shares			Amount
Issued		14,927,800		$	235,491,347			80,724,530		$	1,327,392,190
Issued as reinvestment
of dividends		—			—			1,555,895			18,031,956
Redeemed		(19,975,352	)		(314,338,958	)		(7,149,741	)		(115,244,371	)
Net increase (decrease)		(5,047,552	)	$	(78,847,611	)		74,730,684		$	1,230,179,775

67

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 4 — SHARES OF BENEFICIAL INTEREST (continued)

	Six Months Ended						Period Ended
Event-Driven Fund	June 30, 2015						December 31, 2014
Institutional Class	Shares			Amount			Shares			Amount
Issued		6,004,700		$	62,231,615			1,300,522		$	13,282,670
Issued as reinvestment
of dividends		—			—			28,980			294,148
Redeemed		(166,408	)		(1,712,752	)		(137,641	)		(1,411,547	)
Net increase		5,838,292		$	60,518,863			1,191,861		$	12,165,271

Note 5 — INVESTMENT TRANSACTIONS AND INCOME TAX INFORMATION

TMF’s purchases and sales of securities for the six months ended June 30, 2015 (excluding short-term investments, short-term options, forward currency contracts, swap contracts and short positions) in the aggregate were $3,808,022,629 and $2,850,322,013, respectively. EDF’s purchases and sales of securities for the six months ended June 30, 2015 (excluding short-term investments, short-term options, forward currency contracts, swap contracts and short positions) in the aggregate were $78,502,134 and $18,195,580, respectively. There were no purchases or sales of U.S. Government securities for the Funds.

At December 31, 2014, the components of accumulated earnings (losses) on a tax basis were as follows:

				WCM Alternatives:
	The Merger Fund			Event-Driven Fund
Cost of investments	$	5,149,994,627		$	10,666,453
Gross unrealized appreciation		461,516,467			371,966
Gross unrealized depreciation		(358,343,293	)		(415,389	)
Net unrealized appreciation (depreciation)	$	103,173,174		$	(43,423	)
Undistributed ordinary income		—			245,569
Undistributed long-term capital gain		—			—
Total distributable earnings	$	—		$	245,569
Other accumulated losses		(236,651,007	)		(314,044	)
Total accumulated losses	$	(133,477,833	)	$	(111,898	)

68

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

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

The tax components of dividends paid during the six months ended June 30, 2015 and the fiscal year ended December 31, 2014 were as follows:

					WCM Alternatives:
	The Merger Fund				Event-Driven Fund
	2015		2014		2015		2014
Investor Class
Ordinary Income	$	—	$	154,019,357		N/A		N/A
Long-Term Capital Gains		—		—		N/A		N/A
Total Distributions Paid	$	—	$	154,019,357		N/A		N/A
		2015		2014		2015		2014
Institutional Class
Ordinary Income	$	—	$	56,140,981	$	—	$	294,148
Long-Term Capital Gains		—		—		—		—
Total Distributions Paid	$	—	$	56,140,981	$	—	$	294,148

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, 2014.

As of December 31, 2014, TMF and EDF did not have any post-October ordinary losses deferred, on a tax basis. As of December 31, 2014, TMF and EDF did not have post-October capital losses or a capital loss carryforwards.

Note 6 — WRITTEN OPTION CONTRACTS

The premium amount and the number of written option contracts during the six months ended June 30, 2015 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, 2014		691,075		$	100,349,065			1,713		$	249,755
Options written		1,882,284			413,859,543			19,154			4,446,447
Options closed		(1,336,977	)		(283,816,231	)		(7,470	)		(1,589,034	)
Options exercised		(345,626	)		(51,615,266	)		(1,518	)		(296,106	)
Options expired		(278,179	)		(17,753,367	)		(2,098	)		(105,264	)
Options outstanding at June 30, 2015		612,577		$	161,023,744			9,781		$	2,705,798

69

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

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, 2015, TMF incurred $4,586,364 pursuant to the TMF Plan in respect of TMF’s Investor Class shares. As of June 30, 2015, 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 — 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.

70

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 8 — OFFSETTING ASSETS AND LIABILITIES (continued)

The Merger Fund

			Gross		Net
			Amounts		Amounts
			Offset		Presented		Gross Amounts not
	Gross		in the		in the		offset in the Statement
	Amounts of		Statement		Statement		of Assets and Liabilities
	Recognized		of Assets		of Assets				Collateral
	Assets/		and		and		Financial		Received/		Net
	Liabilities		Liabilities		Liabilities		Instruments		Pledged		Amount
Assets:
Description
Forward
Currency
Exchange
Contracts	$	753,951	$	—	$	753,951	$	753,951	$	—	$	—
Swap
Contracts —
JPMorgan
Chase &
Co., Inc.		28,800,418		13,324,908		15,475,510		—		—		15,475,510
Swap
Contracts —
Bank of America
Merrill Lynch
& Co. Inc.		2,508,369		1,944,656		563,713		—		—		563,713
	$	32,062,738	$	15,269,564	$	16,793,174	$	753,951	$	—	$	16,039,223

71

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 8 — OFFSETTING ASSETS AND LIABILITIES (continued)

The Merger Fund

			Gross		Net
			Amounts		Amounts
			Offset		Presented		Gross Amounts not
	Gross		in the		in the		offset in the Statement
	Amounts of		Statement		Statement		of Assets and Liabilities
	Recognized		of Assets		of Assets				Collateral
	Assets/		and		and		Financial		Received/		Net
	Liabilities		Liabilities		Liabilities		Instruments		Pledged		Amount
Liabilities:
Description
Forward
Currency
Exchange
Contracts	$	9,160,717	$	—	$	9,160,717	$	753,951	$	8,406,766	$	—
Swap
Contracts —
JPMorgan
Chase &
Co., Inc.		13,324,908		13,324,908		—		—		—		—
Swap
Contracts —
Bank of America
Merrill Lynch
& Co. Inc.		1,944,656		1,944,656		—		—		—		—
Written
Option
Contracts		132,315,323		—		132,315,323		—		132,315,323		—
	$	156,745,604	$	15,269,564	$	141,476,040	$	753,951	$	140,722,089	$	—

72

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 8 — OFFSETTING ASSETS AND LIABILITIES (continued)

WCM Alternatives: Event-Driven Fund

			Gross		Net
			Amounts		Amounts
			Offset		Presented		Gross Amounts not
	Gross		in the		in the		offset in the Statement
	Amounts of		Statement		Statement		of Assets and Liabilities
	Recognized		of Assets		of Assets				Collateral
	Assets/		and		and		Financial		Received/		Net
	Liabilities		Liabilities		Liabilities		Instruments		Pledged		Amount
Assets:
Description
Forward
Currency
Exchange
Contracts	$	12,968	$	—	$	12,968	$	12,968	$	—	$	—
Swap
Contracts —
JPMorgan
Chase &
Co., Inc.		704,258		482,211		222,047		—		—		222,047
Swap
Contracts —
Bank of America
Merrill Lynch
& Co. Inc.		56,860		53,632		3,228		—		—		3,228
	$	774,086	$	535,843	$	238,243	$	12,968	$	—	$	225,275
Liabilities:
Description
Forward
Currency
Exchange
Contracts	$	77,662	$	—	$	77,662	$	12,968	$	64,694	$	—
Swap
Contracts —
JPMorgan
Chase & Co., Inc.		482,211		482,211		—		—		—		—
Swap
Contracts —
Bank of America
Merrill Lynch
& Co. Inc.		53,632		53,632		—		—		—		—
Written
Option
Contracts		2,172,969		—		2,172,969		—		2,172,969		—
	$	2,786,474	$	535,843	$	2,250,631	$	12,968	$	2,237,663	$	—

73

The Merger Fund and WCM Alternatives: Event-Driven Fund

NOTES TO THE FINANCIAL STATEMENTS (continued)

June 30, 2015 (Unaudited)

Note 9 — SUBSEQUENT EVENTS

Management has evaluated events and transactions occurring after June 30, 2015 through the date that the financial statements were issued, and has determined that no additional disclosure in the financial statements is required.

74

ADDITIONAL INFORMATION (Unaudited)

For the fiscal year ended December 31, 2014, 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, 2014 was 31.59% for TMF and 52.76% for EDF.

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends-received deduction for the fiscal year ended December 31, 2014 was 31.54% for TMF and 52.47% for EDF.

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, 2014 was 34.23% for TMF and 100% for EDF.

AVAILABILITY OF PROXY VOTING INFORMATION

Information regarding how the Funds generally votes 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.

75

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

300 Madison Avenue

New York, NY  10017

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.

(a)   Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

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

Not applicable to open-end investment companies.

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

Not applicable to open-end investment companies.

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

Not applicable to open-end investment companies.

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

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

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

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

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

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

(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)  Westchester Capital Funds                  

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

Michael T. Shannon, Co-President

Date      September 2, 2015

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

Roy Behren, Co-President and Treasurer

Date      September 2, 2015

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      September 2, 2015

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

Roy Behren, Co-President and Treasurer

Date      September 2, 2015

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

EX-99.CERT

CERTIFICATIONS

I, Michael T. Shannon, certify that:

1.   I have reviewed this report on Form N-CSR of  Westchester Capital Funds;

2.   Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.   Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.   The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a)   Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)   Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)   Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d)   Disclosed in this report any change in the registrant’s internal control over financial reporting 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; and

5.   The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)   All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b)   Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:     September 2, 2015    /s/Michael T. Shannon Michael T. Shannon Co-President

CERTIFICATIONS

I, Roy Behren, certify that:

1.   I have reviewed this report on Form N-CSR of Westchester Capital Funds;

2.   Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.   Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.   The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a)   Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)   Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c)   Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d)   Disclosed in this report any change in the registrant’s internal control over financial reporting 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; and

5.   The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)   All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b)   Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:     September 2, 2015 /s/Roy Behren Roy Behren Co-President and Treasurer

EX-99.906 CERT

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned officers of the Westchester Capital Funds, does hereby certify, to such officer’s knowledge, that the report on Form N-CSR of the Westchester Capital Funds for the period ended June 30, 2015 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable, and that the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Westchester Capital Funds for the stated period.

/s/Michael T. Shannon Michael T. Shannon Co-President, Westchester Capital Funds	/s/Roy Behren Roy Behren Co-President and Treasurer, Westchester Capital Funds
Dated:     September 2, 2015	Dated:     September 2, 2015

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by the Westchester Capital Funds for purposes of Section 18 of the Securities Exchange Act of 1934.