WCF-Quarterly Review Q4 2019 - Westchester Capital2| Page STANDARDIZED PERFORMANCE SUMMARY Mutual Fund Assets: As of December 31, 2019 Merger Arbitrage 1 $3.5 billion Opportunistic

Global

Absolute Return

Catalyst Driven

The Merger Fund®

MERFX/MERIX

Event-Driven FundWCERX/WCEIX

Credit Event FundWCFRX/WCFIX

The Merger Fund VLInsurance Dedicated Vehicle

MERVX

Q1 2020Quarterly Review

OVERALL Morningstar RatingTM

Investor 3333Institutional 33333

Investor 3333Institutional 3333

The Overall Morningstar Rating is derived from a weighted average of the Fund’s 3-, 5-, and 10-year Morningstar Rating metrics. Ratings based on risk-adjusted returns.

Out of 99 market neutral funds as of 3/31/2020

Out of 238 multi-alternativefunds as of 3/31/2020

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STANDARDIZED PERFORMANCE SUMMARYAs of March 31, 2020

Average Annual Total Return (%) Annual Operating Expense Ratio (%)3

NetExpensesexcluding

Gross Net Investment-Expense Expense Related Performance

QTD YTD 1 YR 5 YR 10 YR Life Ratio Ratio1,2 Expenses2,3 Inception Ticker

Merger Arbitrage2

The Merger Fund (Institutional) -2.34 -2.34 1.65 3.07 n/a 3.09 1.72% 1.70% 1.19% 08/01/2013 MERIX

The Merger Fund (Investor) -2.39 -2.39 1.34 2.73 2.70 5.96 2.01% 1.99% 1.48% 01/31/1989 MERFX

Insurance Dedicated Funds2

The Merger Fund VL -2.63 -2.63 1.23 2.60 2.62 4.55 2.46% 1.94% 1.40% 05/26/2004 MERVX

Opportunistic Credit2

Credit Event Fund(Institutional) -15.39 -15.39 -9.53 n/a n/a -3.31 5.40% 1.90% 1.64% 12/29/2017 WCFIX

Credit Event Fund (Investor) -15.44 -15.44 -9.80 n/a n/a -3.57 5.65% 2.15% 1.89% 12/29/2017 WCFRX

Multi Event2

Event-Driven Fund(Institutional) -12.72 -12.72 -7.21 1.10 n/a 1.81 2.17% 2.13% 1.57% 01/02/2014 WCEIX

Event-Driven Fund (Investor) -12.76 -12.76 -7.51 n/a n/a 1.69 2.42% 2.38% 1.82% 03/22/2017 WCERX

QTD YTD 1-YR 5-YR 10-YR 15-YR

US Fund Market Neutral -4.28 -4.28 -3.97 -0.19 0.11 0.32

US Fund Multialternative -9.73 -9.73 -6.72 -1.26 0.58 1.02

US Fund Long/Short Credit -9.12 -9.12 -6.05 -0.29 1.59 2.78

Wilshire Liq Alt. Event Driven -6.00 -6.00 -2.70 0.25 1.12 2.53

S&P 500 Index -19.60 -19.60 -6.98 6.73 10.53 7.58

Barclays Agg. Bond Index 3.15 3.15 8.93 3.36 3.88 4.40

BofAML US 3M Trsy Bill 0.57 0.57 2.25 1.19 0.64 1.39

QTD and YTD performance is not annualized. Performance data quoted represent past performance; past performance does not guarantee futureresults. The performance results portrayed herein reflect the reinvestment of all interest, dividends and distributions. The investment return andprincipal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.Current performance of the Funds may be lower or higher than the performance quoted. Performance data included herein for periods prior to 2011reflect that of Westchester Capital Management, Inc., the Funds’ prior investment advisor. Messrs. Behren and Shannon, the Funds’ current portfoliomanagers, have served as co-portfolio managers of the Funds since 2007. Performance data current to the most recent month-end may be obtainedby calling (800) 343-8959 or by visiting www.westchestercapitalfunds.com. 1Net expense ratios are as of a fund’s most recent prospectus and wereapplicable to investors. 2The Adviser has contractually agreed to waive a portion of its investment advisory fee through April 30, 2021 for The MergerFund®. The Adviser has contractually agreed to limit the annualized expenses through April 30, 2021 for The Merger Fund VL. The Adviser hascontractually agreed to waive a portion of its investment advisory fee and to reimburse other ordinary operating expenses through April 30, 2021 forWCM Alternatives: Event-Driven Fund and WCM Alternatives: Credit Event Fund. 3Investment related expenses include expenses related to shortsales and interest on any borrowing or interest on reverse repurchase agreements, as applicable, and acquired fund fees and expenses.

Q1 2020 Quarterly Review

Past performance is not indicative of future results.

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Fellow Shareholders,

Few adjectives can exaggerate investors’/citizens’/states’/countries’/the world’s experience during the firstquarter of 2020. Before we discuss investments, we are compelled to acknowledge that this is a once in lifetimeevent and our own commercial interests pale in comparison to the toll on families and people’s lives. We join themultitude of voices expressing sympathy but also the confidence that we will get through this, and we pause toacknowledge those affected by the pandemic while we recover and rebuild.

The financial markets were not spared from the resulting chaos of the COVID-19 pandemic, with stocks down asmuch as 30%, unprecedented economic disruptions, and widespread panic in bonds and commodities as well.Even the weak broader index performance masked larger declines by most stocks, since FAANG1 and relatedsecurities quickly recovered to reflect gains on the year. Prices of almost all assets melted down indiscriminately,beginning in March, as investors sought refuge in cash. The level of correlation was astonishing, as almost allnon-cash assets dropped in unison, regardless of sector, industry or whether they were likely to be affected by thepandemic. This included securities of companies involved in mergers, acquisitions or other reorganizations,whether or not the transaction was ultimately impacted. Volatility has ramped significantly as well, which is bothgood and bad for our strategies. Good, opportunity-wise, because we are generally sellers of volatility in the formof listed options and we own arbitrage spreads; bad because the value we received for selling such volatility atprior lower levels has temporarily caused negative marks-to-market on many existing positions.

As discussed, event-driven and merger arbitrage investments in all parts of the capital structure sold-offdramatically in March as investors assumed a “risk-off” posture. The CBOE Volatility Index (“VIX”), often referred toas the fear index, spiked from mid-teens to almost 90 in the space of a few weeks, a higher level even than 2008.

CBOE Volatility Index (^VIX)

While the long-term average of the VIX is just under 20, there have been periods of both lower and higher thanaverage volatility. A relevant comparison would be the Financial Crisis of 2008.

“Many of us who experienced the last financial crisis havebeen watching the unraveling of the current crisis with asense of déjà vu and cannot help but draw comparisons to2008. ….. the extent of the downturn has surprised almosteveryone. It wasn’t just that we were surprised by the 30+percent decline in the major market indices, but it was thevelocity and voracity of the decline that shook us. Thisyear, it took the VIX only 51 days to get to the same levelit did in 2008 when the index needed 208 days to reach alevel of about 80. The tremendous speed in the increaseof volatility is what left many of us nauseous.”– Clemens Kownatzki – Seeking Alpha, 4/1/2020

__________1 FAANG is an acronym used in reference to the stocks of the five tech companies Facebook, Amazon, Apple, Netflix and Alphabet (the G refers to

Alphabet’s core company Google)

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Merger and acquisition (“M&A”) transaction volume slowed significantly in the first four months of the year. Whilethere were 2,528 U.S. announced mergers valued at $252.9 billion as of March 28, this represents a 9% drop in thenumber of deals compared to the same period in 2019, according to data from Refinitiv. This was the slowest firstquarter for M&A since 2014.2 We expect new deal volume to remain quiescent until the economy opens back up.Our conversations with bankers indicate, however, that there continues to be activity in the pipeline as well aspent-up demand for transactions. In other words, companies are still dating but marriages are on hold, notcancelled. Private equity firms, which collectively hold more than $2 trillion in dry powder, are likely to be activebuyers as well.3

Even in this environment, we will remain disciplined regarding deal selection. We will not stretch ourinvestment parameters in the event that cash temporarily builds in the fund. As always, risk-return considerationswill be paramount.

MERGER ARBITRAGE

Although the impact of COVID-19 on financial markets and the global economy was significant, we are pleasedto report that our merger arbitrage strategy performed in line with expectations, significantly outperforming thebroader markets. The Merger Fund® Institutional and Investor share classes declined 2.34% and 2.39%,respectively for the quarter, and The Merger Fund VL lost 2.63%, once again with only a fraction of the volatilityof the overall market.4

Despite chaotic conditions, none of our deals were terminated or renegotiated during the quarter. However, ourperformance was impacted by widening transaction spreads, exacerbated by investor panic and forcedliquidations from several over-leveraged or terminated hedge funds. At the bottom of its NAV drawdown,The Merger Fund®’s net asset value (NAV) was marked down by 6.90% from peak to trough. However, as ourinvestors have seen through multiple market panics and cycles over the past 30 years, unlike traditionalinvestments, our Funds do not require a broad market bounce-back to recoup such drawdowns. In fact as ofMay 8, the date of this letter, The Merger Fund® – Institutional is up approximately 0.60% for the year-to-date.

While the reasons for this market decline are unprecedented, our risk management processes worked asdesigned. As a result, our losses have been similar to those in our prior worst-performing periods.

Despite the headwinds, 78 of our holdings produced gains in the January–March period, with many of thedetractors recouping some of the negative marks already in early April. We are encouraged by the bounce back aswell as the upside potential currently embedded in the Fund’s portfolio.

The biggest contributors were the Macro Portfolio Hedge (0.22%), the Stars Group/Flutter Entertainment (0.12%),and Tech Data Corporation (0.12%). Our largest detractors were Caesars Entertainment (-0.44%), TallgrassEnergy LP (-0.40%, but the merger subsequently completed in mid-April), and Raytheon Co/United TechnologiesCorp (-0.40%, as the implied value of the UTX “stub companies”, Carrier Global and Otis Elevator, were impacted).

Overall, we remain confident that the vast majority of deals we hold, mostly strategic in nature, will be successfullycompleted. This is not to say that no deal breaks will occur; however, we think it is important to note that theparties to the agreement cannot simply ‘walk away’ without consequence. Amidst the volatility of traditionalmarkets, many deals have closed in the last couple of weeks, including Sprint/T-Mobile, Raytheon/United

__________2 Luisa Beltran, “M&A Deals Plunge Amid the Coronavirus Crisis,” Barron’s, March 31, 2020.3 Myriam Balezou, Crystal Tse & Nabila Ahmed, “Dealmakers Look Beyond Virus for M&A Opportunities,” Bloomberg, April 7, 2020.4 The 3-yr standard deviation for The Merger Fund® is 3.11 (MERIX) and 3.12 (MERFX) vs. the S&P 500 15.21.



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Technologies, Ra Pharma/UCB, and Forty Seven/Gilead, Tallgrass Energy/Blackstone, as well as CypressSemiconductor/Infineon and Mellanox/Nvidia. Furthermore, other deals for which the market had reflectedpessimism, have had positive developments and appear to be moving forward, such as Caesars/Eldorado,Delphi/BorgWarner Inc. and Qiagen NV/Thermo Fisher Scientific.

Regarding the outlook for new deals, while activity has fallen off, our experience has been that as the dust settlesafter this crisis/recession/bear market, new waves of deal activity typically materialize as companies with resilientbusiness models and strong balance sheets acquire underperforming peers or seek to expand into new markets.As shown below, merger activity rebounded nicely after both the market correction of 2002 and the 2008financial crisis.

Deal Activity

Note: Mergers with an equity value in excess of $400 million involving publicly-traded targets in the U.S.Source: UBS Special Sits, Bloomberg

We believe opportunities will arise and we will be patient. Continued volatility should help bolster risk premiumsavailable for us to capitalize upon.



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Statistical Summary

DEAL TERMSCash 65.74%

Stock with Fixed Exchange Ratio 16.07%

Cash & Stock 9.31%

Stock & Stub 8.38%

Undetermined 0.49%

Stock with Flexible Exchange Ratio 0.01%

TYPE OF BUYERStrategic 92.62%

Financial 7.38%

BY DEAL TYPEFriendly 100.00%

Hostile 0.00%

EVENT-DRIVEN

Sub-Strategy Allocations Contribution*Arbitrage 60.30% -3.74%

Special Situations: 12.63% -0.74%

Credit: 13.11% -3.58%

Restructuring: 13.96% -2.71%

Total: 100% -10.77%

*WCEIX is used for performance calculation

Amidst the Dow Jones Industrial Average down 23% and the S&P 500 down 20%, their worst quarters in the11+ years since 2008, our Event-Driven Fund was weak as well. The Institutional and Investor share classesdeclined 12.72% and 12.76% respectively, after rebounding from an anomalous drawdown of almost 22% inMarch (which has never happened before, nor has the country ever completely shut down for several months).That drawdown amounts to an approximately four standard deviation monthly move – larger than 99.9% of theestimated declines since inception in 2014 – a less than 0.1% likely occurrence. This was more than our clientsexpected and was disappointing for us as stewards of our clients’ assets.

Approximately 40% of our portfolio was invested in non-merger-related, catalyst-driven opportunities. Thesesituations tend to have slightly higher risk-reward expectations, and the current circumstances may delay the “datewith destiny” for reaching the expected value of the investment thesis for these events. Unlike merger agreementsthat have termination dates and legal ramifications for walking away from a deal, many of these events are at thecompanies’ discretion; the catalysts may change if the company believes its business model would be negativelyimpacted by developments as severe as COVID-19. CEOs might strategically delay or cancel a proposed spin-off,split-off, or other events which can nullify our investment opportunity/thesis. In such an instance, we wouldtypically exit the position pursuant to our risk management process. This happens rarely, and although it cost the

Strategy allocations result from our bottom-up process; our

investment decisions are based on each opportunity’s unique

characteristics. Every investment is based on public

information rather than speculation, has a defined timeline and

a calculable expected return. The strategy is designed to

“go where the events are.” We do not weight the portfolio

according to pre-determined allocations to macro-factors such

as strategy, sector, or geography.

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fund money, few positions were impacted: 7-Eleven parent company Seven & i Holdings Co. scrapped plans toacquire Marathon Petroleum Corp.’s Speedway gas station business for $22 billion in March, as the coronavirusoutbreak and resulting valuation concerns impacted negotiations; and Xerox dropped its hostile bid for HewlettPackard in late March, also citing the global health crisis. Corporate reorganizations also traded down, forexample: MSG, which was splitting into two separate sports and entertainment companies; IAC Interactive whichis undertaking an exchange offer for its interest in Match Group, the owner of dating website Match.com; andEBay which is entertaining offers for its classified add business after selling its StubHub ticket business.

The Fund invested in a total of 188 transactions during the quarter and added 31 new positions. We ended thequarter 172% invested with 172 positions in a broad variety of industries. The biggest contributor to performanceunsurprisingly was our Macro Portfolio Hedge, which we utilize as a directional market hedge (0.22%); followed byCypress Semiconductor Corp/Infineon Technologies (0.17%) and Qiagen NV/Thermo Fisher Scientific (0.14%).The largest detractors were Delphi Technologies PLC/BorgWarner Inc. (-1.41%), Government Sponsored Entities(-1.39%) and Caesars Entertainment (-0.71%), two of which were merger arbitrage investments.

Similar to The Merger Fund®, the Event-Driven Fund has begun recovering some of its drawdown, and as ofMay 8, the date of this letter, the Fund has cut its loss by 2/3 and is down by 8.3% year-to-date. We continue to beoptimistic regarding our event book as well, and maintain confidence that these situations help us obtain positiveresults similar to our merger arbitrage positions. Examples include our GSE preferred stock position and ourlong-running investment in Altaba (the former Yahoo) that is scheduled to complete its liquidation later this year,as well as many of the credit situations where our investment thesis remains viable in this environment.

CREDIT EVENT

CREDIT QUALITY5

A+ 1.59%

BB 11.99%

BB- 1.97%

B+ 10.30%

B 8.86%

B- 23.34%

<CCC+ 16.55%

Not rated 25.40%

Figures may not add due to rounding.

The impact and severity of the market drawdown across virtually all asset classes was the fastest and certainlyamong the most severe meltdowns in history. The shock to the credit markets was severe, and caused atremendous dislocation in bid-ask spreads, which resulted in significant negative marks-to-market for many debtinstruments. Concerns about Covid-19 significantly impacted operational forecasts, and therefore credit quality.Trading markets in many debt securities temporarily froze on several days, similar to what was seen during theFinancial Crisis and the “Taper Tantrum” of 2013. These factors impacted our Credit Event portfolio, which hashistorically provided one of the most attractive risk/reward profiles of any of our strategies.

__________5 Credit ratings are expressed as letters ranging from ‘AAA’, (highest), to ‘D’, (lowest). NR (Not Rated) includes holdings that are not rated by any

agency. Each agency evaluates a bond issuer’s financial strength, or its ability to pay a bond’s principal and interest in a timely fashion. The Advisorreceives credit quality ratings on portfolio holdings from the S&P.



SUB-STRATEGY ALLOCATION

M&A Credit 37%

Other Catalyst Credit 37%

Relative Value Credit 13%

Restructuring/Reorg Credit 12%

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The WCM Alternatives: Credit Event Fund Institutional and Investor share classes ended the quarter down15.39% and 15.44%, respectively, which surprised us, even in light of the Black Swan event occurring in thecapital markets.

As an example, the Leveraged Loan Index declined 16% from 97c to 82c in Q1. This has not been seen since theGreat Recession. In the last 10 years, the Leveraged Loan Index has hovered around 95c and only briefly touched90c three times. Likewise, the High Yield Index declined 13% and the closed end fund world suffered from poorof liquidity; discounts to Net Asset Value widened to extreme levels on top of already dislocated prices on termloans and municipal bonds in the funds.

Reflecting the reflexive sell-down, the largest detractor during the quarter was in what we consider our “safest”investment, Special Purpose Acquisition Companies, commonly known as SPACs (-2.39%). We have written aboutthese on multiple occasions. SPACs are vehicles that hold cash or treasuries in trust, accruing interest until thesponsor finds an acquisition target. The shareholder ultimately has the right to claim the cash in trust as well as theoptionality to participate in upside associated with an announced merger transaction. Absent outright fraud, theworst-case for the instrument would typically be the return of principal with interest (a “rate of return”) oralternatively if the SPAC executes a successful acquisition the SPAC may trade higher.

To provide some granularity, category detractors included closed end funds (-1.80%), SPACs (-2.39%),GSEs (FannieMae and Freddie Mac) (-1.64%), and preferred securities (-1.00%). Single name detractors wereDelphi Technologies (-2.00%), Bombardier (-1.65%), Genesis Energy (-1.28%), Global AT&T (-1.06%), andCEC Entertainment (parent of Chuck E. Cheese, scheduled to be acquired in a now-terminated acquisition)(-0.83%), among others.

Generally speaking, if the events that we forecast are successfully concluded, we should recoup our losses on theinvestments that remain in the portfolio. To that end, we view some of the opportunistic avenues to include:

• Closed end funds, which remain attractive, with discounts remain historically wide. Over the last severalmonths, we have pivoted our closed end fund focus away from term loans and into extremely dislocatedmunicipal bond funds. We believe these should generate value as a) the discount to NAV narrows andb) municipal bonds revert to historically normalized levels.

• SPACs, which we believe will ultimately generate mid-single digit returns.

• GSEs, which are down tremendously, but our research indicates that deregulation and privatization ofthe GSEs may be delayed, but not canceled, could create significant value for our positions in theirpreferred securities.

• With regard to single credit names, we believe that there is no impairment in names such as GenesisEnergy (which is down almost 30%), Bombardier (which is conducting an asset sale), or Global AT&T(which is being acquired). When the underlying events occur, we believe the bonds should be madeat least whole, plus coupon.

Generally, our goal is to remain disciplined when the assumptions and risk-reward forecasts change an investmentthesis. Accordingly, we realized losses in CEC Entertainment and Delphi Technologies, which will not be recouped,but have redeployed the capital into other attractive investments.

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IN CLOSING

Although market turbulence can be unsettling, we hope the deep experience of our investment team and staff willprovide you with confidence in the event of continued economic uncertainty. We will remain accessible throughoutthis crisis, and should you have any questions, please feel free to reach out to us directly. We look forward to amore optimistic update, most importantly for the country, but also for your investment with us.

Roy Behren Mike Shannon

OUR COMPANY

WCM manages a total of six SEC-registered mutual funds. Our vehicles span the spectrum from lower-return,lower-volatility expectations to additional volatility with potentially higher return expectations:

SEC ‘40-Act Funds Ticker Strategy InceptionThe Merger Fund® Merger Arbitrage

Investor Share Class MERFX 1989

Institutional Share Class MERIX 2013

WCM Alternatives: Event-Driven Fund Event-Driven

Investor Share Class WCERX 2017

Institutional Share Class WCEIX 2014

WCM Alternatives: Credit Event Fund Opportunistic Credit

Investor Share Class WCFRX 2017

Institutional Share Class WCFIX 2017

Variable Annuity TrustThe Merger Fund VL MERVX Merger Arbitrage 2004

Sub-advised SEC ‘40-Act FundsJNL/Westchester Capital Event Driven Fund Event-Driven 2015

Westchester Merger Arbitrage Strategy of the

JNL Multi-Manager Alternative Fund Merger Arbitrage 2016

Quarterly statistical summaries for all of our vehicles are provided within two weeks of the end of the quarter-typically one month prior to the release of the quarterly letter. They are available electronically on our website,and we would be happy to provide a scheduled email as soon as the data becomes available. For convenience,investors can arrange for e-alerts of important Fund communications. Through our website atwww.westchestercapitalfunds.com, you can check direct account balances, make purchases and sales, and sign upfor notification of trade confirmations, statements, and shareholder communications via e-mail.

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IMPORTANT DISCLOSURES

Before investing in The Merger Fund®, WCM Alternatives: Event-Driven Fund, and/or WCM Alternatives: CreditEvent Fund, carefully consider the investment objectives, risks, charges, and expenses. For a prospectus or summaryprospectus containing this and other information, please call (800) 343-8959. Please read the prospectus carefullybefore investing. The Merger Fund VL is available through variable products offered by third-party insurancecompanies. For a prospectus containing information for any variable annuity or variable life product that invests inThe Merger Fund VL, contact your financial advisor or the offering insurance company for a contract prospectus andprospectus for the underlying funds. Please read it carefully before investing. Shares of JNL/Westchester CapitalEvent-Driven Fund are offered to separate accounts of participating life insurance companies for the purpose offunding variable annuity contracts and variable life insurance policies. Shares of the fund are not offered directly tothe public. For a prospectus containing information for any variable annuity or variable life product that invests in theFund, contact your financial advisor or the offering insurance company for a contract prospectus and prospectus forthe underlying funds. Please read it carefully before investing. Variable annuities are long-term, tax-deferredinvestments designed for retirement, involve investment risks and may lose value. Earnings are taxable as ordinaryincome when distributed and may be subject to a 10% federal tax penalty if withdrawn before age 59½. Optionalbenefit costs are added to the ongoing fees and expenses of the variable annuity.

Variable annuities (VA650, VA660) are issued by Jackson National Life Insurance Company® (Home Office: Lansing,Michigan) and in New York (VA650NY, VA660NY) by Jackson National Life Insurance Company of New York®

(Home Office: Purchase, New York). Variable annuities are distributed by Jackson National Life Distributors LLC,member FINRA. May not be available in all states and state variations may apply. These products have limitationsand restrictions, including withdrawal charges, recapture charges and excess interest adjustments (interest rateadjustments in New York) where applicable. Jackson® issues other annuities with similar features, benefits,limitations, and charges. Contact Jackson for more information. Jackson is the marketing name for JacksonNational Life Insurance Company and Jackson National Life Insurance Company of New York.Fund holdings and sector allocations are subject to change and should not be considered a recommendation to buy or sell any security. The TenLargest Positions as a Percent of Net Assets for The Merger Fund® as of March 31, 2020, were: Allergan PLC (7.12%), Altaba Inc. (4.98%), Tiffany &Co. (4.72%), Osram Licht AG (4.47%), QIAGEN N.V. (4.29%), Wright Medical Group N.V. (3.83%), Cypress Semiconductor Corporation (3.79%),WABCO Holdings Inc. (3.01%), The Stars Group Inc. (2.81%), Tech Data Corporation (2.77%). The Ten Largest Positions as a Percent of Net Assets forThe Merger Fund VL as of March 31, 2020 were: Allergan PLC (7.06%), Altaba Inc. (4.97 %), Tiffany & Co. (4.66%), Osram Licht AG (4.42%), QIAGENN.V. (4.23%), Cypress Semiconductor Corporation (3.85 %), Wright Medical Group N.V. (3.79%), Sprint Corporation (3.11%), WABCO Holdings Inc.(2.98%), Tech Data Corporation (2.76%). The Ten Largest Positions as a Percent of Net Assets for WCM Alternatives: Event-Driven Fund as ofMarch 31, 2020, were: Allergan PLC (8.45%), Altaba Inc. (7.24%), Cypress Semiconductor Corporation (5.58%), Osram Licht AG (4.84%), Tiffany & Co.(4.76%), QIAGEN N.V. (4.38%), Wright Medical Group N.V. (4.34%), United Technologies Corporation (3.59%), TD Ameritrade Holding Corp. (3.35%),Sprint Corporation (3.19%). The Ten Largest Positions as a Percent of Net Assets for WCM Alternatives: Credit Event Fund as of March 31, 2020,were: Altaba Inc. (6.81%), Refinitiv US Holdings Inc. (6.31%), RentPath LLC (5.71%), APX Group (5.34%), Global A&T Electronics Ltd. (5.20%),Claire’s Stores (5.09%), Nielsen Finance LLC (4.36%), The Stars Group Holdings (4.05%), Bombardier Inc. (4.04%), Heritage Power (3.57%).

Diversification does not assure a profit, nor does it protect against a loss in a declining market.

Mutual fund investing involves risk. Principal loss is possible. Merger-arbitrage and event-driven investing involve the risk that the adviser’sevaluation of the outcome of a proposed event, whether it be a merger, reorganization, regulatory issue or other events, will prove incorrectand that the Funds’ return on the investment will be negative. Investments in foreign companies may entail political, cultural, regulatory, legal,and tax risks different from those associated with comparable transactions in the United States. The frequency of the Fund’s transactions willvary from year to year, though merger arbitrage portfolios typically have higher turnover rates than portfolios of typical long-only funds.Increased portfolio turnover may result in higher brokerage commissions, dealer mark-ups, and other transaction costs. The higher costsassociated with increased portfolio turnover may offset gains in the Fund’s performance. The Funds’ may enter into short sale transactions for,among other reasons, purposes of protecting against a decline in the market value of the acquiring company’s shares prior to the acquisitioncompletion. If the price of a security sold short increases between the time of the short sale and the time the Fund covers its short position, theFund will incur a loss. The amount of a potential loss on an uncovered short sale transaction is theoretically unlimited. Debt securities mayfluctuate in value due to, among other things, changes in interest rates, general economic conditions, industry fundamentals, market sentimentand the financial condition of the issuer, including the issuer’s credit rating or financial performance. Derivatives may create leverage which willamplify the effect of the performance of those instruments on the Funds and may produce significant losses. The Funds’ hedging strategy will



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be subject to the Funds’ investment adviser’s ability to assess correctly the degree of correlation between the performance of the instrumentsused in the hedging strategy and the performance of the investments in the portfolio being hedged. Investments in lower-rated and non-ratedsecurities present a great risk of loss to principal and interest than higher-rated securities.

The WCM Alternatives: Credit Event Fund is non-diversified and therefore has a greater potential to realize losses upon the occurrence ofadverse events affecting an issuer in its portfolio.

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

The views expressed are as of May 8, 2020, and are a general guide to the views of Westchester Capital Management, are subject to change, are notguaranteed and should not be considered recommendations to buy or sell any security. Distributions are not guaranteed. This document does notreplace portfolio and fund-specific materials.

The Morningstar Rating™ for funds, or “star rating”, is calculated for managed products (including mutual funds, variable annuity, and variable lifesubaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds andopen-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Returnmeasure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations andrewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, and the next35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating™ for a managed product isderived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating™ metrics.

The weights are 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of totalreturns and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall starrating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it isincluded in all three rating periods. As of March 31, 2020, The Merger Fund® was rated against the following numbers of U.S.-domiciled MarketNeutral funds over the following time periods: 99 funds in the last three years, 79 funds in the last five years, and 21 funds in the last ten years. Withrespect to these Market Neutral funds, The Merger Fund® – Investor share class (MERFX) received a Morningstar Rating of 4 stars, 5 stars and 4 starsfor the three-, five- and ten-year periods, respectively. The Merger Fund® – Institutional share class (MERIX) received a Morningstar rating of 5 stars,5 stars and 4 stars for the three-, five- and ten-year periods, respectively. Ten-year ratings are Extended Performance Ratings computed byMorningstar using historical adjusted returns prior to the 8/1/2013 inception date of MERIX and reflect the historical performance of MERFX,(inception date 1/31/1989), adjusted to reflect the fees and expenses of the Institutional shares. As of March 31, 2020, WCM Alternatives:Event-Driven Fund was rated against the following numbers of U.S.-domiciled Multi Alternative funds over the following time periods: 238 funds inthe last three years and 191 funds in the last five years. With respect to these Multi Alternative funds, WCM Alternatives: Event-Driven Fund –Institutional share class (WCEIX) received a Morningstar Rating of 4 stars and 4 stars for the three- and five-year periods, respectively.WCM Alternatives: Event-Driven Fund – Investor share class (WCERX) received a Morningstar Rating of 4 stars and 4 stars for the three- and five-yearperiods, respectively. 5-year ratings are Extended Performance Ratings computed by Morningstar using historical adjusted returns prior to the3/22/2017 inception date of WCERX and reflect the historical performance of WCEIX, (inception date 1/2/2014), adjusted to reflect the fees andexpenses of the Investor shares. © 2019 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar;(2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers areresponsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

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

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

Definitions: The S&P 500 Index is a broad-based unmanaged index of 500 stocks, which is widely recognized as representative of the equity marketin general; The Bloomberg Barclays Aggregate Bond Index is an intermediate-term index comprised of investment-grade bonds. The BloombergBarclays US Corporate High Yield Bond Index measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities areclassified as high yield if the middle rating of Moody’s, Fitch and S&P are Ba1/BB+/BB+ or below. The Morningstar Category: US Fund MarketNeutral is comprised of a universe of funds with similar investment objectives. The Morningstar Category: The US Fund MultiAlternativeencompasses funds that have a majority of their assets exposed to alternative strategies and include both funds with static allocations to alternativestrategies and funds tactically allocating among alternative strategies and asset classes. The ICE BofA Merrill Lynch US 3-Month Treasury Bill Indexis comprised of a single issue purchased at the beginning of the month and held for a full month. Indices are unavailable for direct investment.The Dow Jones Industrial Average, or simply the Dow, is a stock market index that shows how 30 large, publicly owned companies based in theUnited States have traded during a standard trading session in the stock market. Nasdaq is a global electronic marketplace for buying and selling

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securities, as well as the benchmark index for U.S. technology stocks. Indices are unavailable for direct investment. The Wilshire Liquid AlternativeEvent Driven IndexSM measures the performance of the event-driven strategy component of The Wilshire Liquid Alternative IndexSM. Event-drivenstrategies predominantly invest in companies involved in corporate transactions such as mergers, restructuring, distressed, buy-backs, or other capitalstructure changes. The Wilshire Liquid Alternative Event Driven Index (WLIQAED) is designed to provide a broad measure of the liquid alternativeevent-driven market. HFRX Event Driven Index is comprised of investment Managers who maintain positions in companies currently or prospectivelyinvolved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholderbuybacks, debt exchanges, security issuance or other capital structure adjustments. DOJ or The United States Department of Justice Antitrust Divisionis a law enforcement agency responsible for enforcing the antitrust laws of the United States. Standard Deviation is the degree to which returns varyrelative to the average return: The higher the standard deviation, the greater the variability of the investment. Beta is a measure of the fund’ssensitivity to market movements. A portfolio with a beta greater than 1 is more volatile than the market and a portfolio with a beta less than 1 is lessvolatile than the market; Correlation is calculated using R-Squared; which is a measure that represents the percentage of a fund’s movements that canbe explained by movements in a benchmark index. A fund with low R-squared doesn’t act much like the index; A special purpose acquisitioncompany (SPAC) is a corporation formed by private individuals to facilitate investment through an initial public offering (IPO). The proceeds are usedto buy one or more existing companies Alpha is used in finance as a measure of performance, indicating when a strategy, trader, or portfolio managerhas managed to beat the market return over some period. Alpha, often considered the active return on an investment, gauges the performance of aninvestment against a market index or benchmark that is considered to represent the market’s movement as a whole.

The Merger Fund®, WCM Alternatives: Event-Driven Fund and WCM Alternatives: Credit Event Fund are distributed by Compass Distributors, LLC. TheMerger Fund VL is available through variable products offered by third-party insurance companies and is not affiliated with Compass Distributors, LLC.



Shareholder Services: U.S. Bancorp Fund Services, LLC

P.O. Box 701 ■ Milwaukee ■ Wisconsin 53201

(800) 343-8959

Investment Adviser: Westchester Capital Management, LLC

100 Summit Lake Drive ■ Valhalla ■ New York 10595

(914) 741-5600 ■ Fax (914) 741-2950

Documents

WCF-Quarterly Review Q4 2019 - Westchester Capital2| Page STANDARDIZED PERFORMANCE SUMMARY Mutual Fund Assets: As of December 31, 2019 Merger Arbitrage 1 $3.5 billion Opportunistic