# EDGAR Filing Document

**Accession Number:** 0001589756
**File Stem:** 0000940400-25-011191
**Filing Date:** 2025-11
**Character Count:** 100720
**Document Hash:** ad2d2a0cf85e7b61eb1ace63a49a7010
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-011191.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0000940400-25-011191

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VIRTUS ALTERNATIVE SOLUTIONS TRUST
- **CENTRAL INDEX KEY:** 0001589756

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22906
- **FILM NUMBER:** 251531613

**BUSINESS ADDRESS:**
- **STREET 1:** 101 MUNSON STREET
- **CITY:** GREENFIELD
- **STATE:** MA
- **ZIP:** 01301
- **BUSINESS PHONE:** 860.263.4790

**MAIL ADDRESS:**
- **STREET 1:** ONE FINANCIAL PLAZA
- **STREET 2:** 26TH FLOOR
- **CITY:** HARTFORD
- **STATE:** CT
- **ZIP:** 06103

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VIRTUS ALTERNATIVE SOLUTIONS FUNDS
- **DATE OF NAME CHANGE:** 20140204

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VIRTUS ALTERNATIVES TRUST I
- **DATE OF NAME CHANGE:** 20131022

## Series and Classes Contracts Data

### Virtus AlphaSimplex Managed Futures Strategy Fund (Series ID: S000079778)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000241135 | Class R6     | AMFNX           |
| C000241136 | Class A      | AMFAX           |
| C000241137 | Class C      | ASFCX           |
| C000241138 | Class I      | ASFYX           |

## Nport-Ex

**VIRTUS AlphaSimplex Managed Futures Strategy Fund**

**CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)**

**September 30, 2025**

($ reported in thousands)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Par Value** | **Value** |
| **Short-Term Investments—82.8%** | **Short-Term Investments—82.8%** | **Short-Term Investments—82.8%** |
| **Certificates of Deposits—52.2%** | **Certificates of Deposits—52.2%** | **Certificates of Deposits—52.2%** |
| &nbsp;&nbsp;&nbsp; Bank of America N.A. <br>4.240%, 2/17/26<br>| $35000 | &nbsp;&nbsp; $35025 |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (SOFR + <br> 0.360%) <br>4.490%, 5/7/26<sup>(1)</sup> <br>| 40000 | &nbsp;&nbsp; 40032 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (SOFR + <br> 0.330%) <br>4.460%, 11/6/25<sup>(1)</sup> <br>| 11000 | &nbsp;&nbsp; 11002 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (SOFR + <br> 0.260%) <br>4.390%, 5/21/26<sup>(1)</sup> <br>| 25000 | &nbsp;&nbsp; 25005 |
| &nbsp;&nbsp;&nbsp; BNP Paribas S.A. <br>4.390%, 11/4/25<br>| 11000 | &nbsp;&nbsp; 11002 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of <br> Commerce (SOFR + <br> 0.200%) <br>4.330%, 12/8/25<sup>(1)</sup> <br>| 30000 | &nbsp;&nbsp; 30008 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of <br> Commerce (SOFR + <br> 0.370%) <br>4.500%, 1/23/26<sup>(1)</sup> <br>| 10000 | &nbsp;&nbsp; 10008 |
| &nbsp;&nbsp;&nbsp; Commonwealth Bank of <br> Australia (SOFR + <br> 0.310%) <br>4.550%, 10/3/25<sup>(1)</sup> <br>| 49000 | &nbsp;&nbsp; 49001 |
| &nbsp;&nbsp;&nbsp; Cooperatieve Centrale <br> Raiffeisen-Boerenleenbank <br> BA <br>4.360%, 11/6/25<br>| 11000 | &nbsp;&nbsp; 11001 |
| &nbsp;&nbsp;&nbsp; DG Bank <br>4.160%, 3/3/26<br>| 40000 | &nbsp;&nbsp; 40021 |
| &nbsp;&nbsp;&nbsp; DNB Bank ASA <br>4.070%, 10/7/25<br>| 55000 | &nbsp;&nbsp; 55000 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Trust and <br> Banking Corp. <br>4.100%, 10/1/25<br>| 38000 | &nbsp;&nbsp; 38000 |
| &nbsp;&nbsp;&nbsp; Mizuho Bank Ltd. <br>4.270%, 2/25/26<br>| 43000 | &nbsp;&nbsp; 43022 |
| &nbsp;&nbsp;&nbsp; Mizuho Bank Ltd. <br>4.450%, 1/9/26<br>| 7000 | &nbsp;&nbsp; 7005 |
| &nbsp;&nbsp;&nbsp; MUFG Bank, Ltd. <br>4.450%, 11/10/25<br>| 25000 | &nbsp;&nbsp; 25008 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (SOFR + <br> 0.270%) <br>4.400%, 11/14/25<sup>(1)</sup> <br>| 25000 | &nbsp;&nbsp; 25007 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (SOFR + <br> 0.240%) <br>4.370%, 12/5/25<sup>(1)</sup> <br>| 11000 | &nbsp;&nbsp; 11004 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp <br>3.980%, 3/25/26<br>| 20000 | &nbsp;&nbsp; 19998 |
| &nbsp;&nbsp;&nbsp; Oversea-Chinese Banking <br> Corp., Ltd. (SOFR + <br> 0.200%) <br>4.360%, 12/17/25<sup>(1)</sup> <br>| 14000 | &nbsp;&nbsp; 14002 |
| &nbsp;&nbsp;&nbsp; Oversea-Chinese Banking <br> Corp., Ltd. <br>4.080%, 2/11/26<br>| 25000 | &nbsp;&nbsp; 24998 |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada (SOFR <br> + 0.260%) <br>4.390%, 3/17/26<sup>(1)</sup> <br>| 15000 | &nbsp;&nbsp; 15006 |

---

---

| | | |
|:---|:---|:---|
|  | **Par Value** | **Value** |
| **Certificates of Deposits—continued** | **Certificates of Deposits—continued** | **Certificates of Deposits—continued** |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada <br>4.300%, 4/22/26<br>| $32000 | &nbsp;&nbsp; $32049 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Banking <br> Corp. (SOFR + 0.260%) <br>4.390%, 11/18/25<sup>(1)</sup> <br>| 25000 | &nbsp;&nbsp; 25005 |
| &nbsp;&nbsp;&nbsp; Svenska Handelsbanken <br> (SOFR + 0.330%) <br>4.490%, 11/5/25<sup>(1)</sup> <br>| 25000 | &nbsp;&nbsp; 25007 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank <br>4.310%, 4/10/26<br>| 27000 | &nbsp;&nbsp; 27035 |
| &nbsp;&nbsp;&nbsp; Westpac Banking Corp. <br> (SOFR + 0.400%) <br>4.530%, 4/20/26<sup>(1)</sup> <br>| 32000 | &nbsp;&nbsp; 32033 |
| **Total Certificates of Deposits** <br>**(Identified Cost $681,012)** | **Total Certificates of Deposits** <br>**(Identified Cost $681,012)** | &nbsp;&nbsp; **681284** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Shares** |  |
| **Money Market Mutual Fund—0.7%** | **Money Market Mutual Fund—0.7%** | **Money Market Mutual Fund—0.7%** |
| &nbsp;&nbsp;&nbsp; Dreyfus Government Cash <br> Management Fund - <br> Institutional Shares <br> (seven-day effective yield <br> 4.041%)<sup>(2)</sup> <br>| 9567528 | &nbsp;&nbsp; 9568 |
| **Total Money Market Mutual Fund** <br>**(Identified Cost $9,568)** | **Total Money Market Mutual Fund** <br>**(Identified Cost $9,568)** | &nbsp;&nbsp; **9568** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Par Value** |  |
| **Commercial Paper—8.1%** | **Commercial Paper—8.1%** | **Commercial Paper—8.1%** |
| &nbsp;&nbsp;&nbsp; Credit Agricole Corporate & <br> Investment Bank <br>0.000%, 10/6/25<br>| $60000 | &nbsp;&nbsp; 59959 |
| &nbsp;&nbsp;&nbsp; Skandinaviska Enskilda <br> Banken Ab <br>0.000%, 4/27/26<br>| 46000 | &nbsp;&nbsp; 44950 |
| **Total Commercial** <br> **Paper** <br>**(Identified Cost $104,924)**<br>|  | &nbsp;&nbsp; **104909** |
| **U.S. Government Securities—21.8%** | **U.S. Government Securities—21.8%** | **U.S. Government Securities—21.8%** |
| U.S. Treasury Bills |  |  |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 10/2/25<sup>(3)</sup> <br>| 52000 | &nbsp;&nbsp; 51994 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 10/7/25<sup>(3)</sup> <br>| 31000 | &nbsp;&nbsp; 30979 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 10/9/25<sup>(3)</sup> <br>| 5000 | &nbsp;&nbsp; 4995 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 11/20/25<sup>(3)</sup> <br>| 8000 | &nbsp;&nbsp; 7956 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 12/9/25<sup>(3)</sup> <br>| 10000 | &nbsp;&nbsp; 9926 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 12/11/25<sup>(3)</sup> <br>| 30000 | &nbsp;&nbsp; 29772 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 12/18/25<sup>(3)</sup> <br>| 35000 | &nbsp;&nbsp; 34707 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 12/26/25<sup>(3)</sup> <br>| 25000 | &nbsp;&nbsp; 24770 |

---

---

| | | |
|:---|:---|:---|
|  | **Par Value** | **Value** |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 1/6/26<sup>(3)</sup> <br>| $90000 | &nbsp;&nbsp; $89071 |
| **Total U.S. Government Securities** <br>**(Identified Cost $284,118)** | **Total U.S. Government Securities** <br>**(Identified Cost $284,118)** | &nbsp;&nbsp; **284170** |
| **Total Short-Term Investments** <br>**(Identified Cost $1,079,622)** | **Total Short-Term Investments** <br>**(Identified Cost $1,079,622)** | &nbsp;&nbsp; **1079931** |
| **TOTAL INVESTMENTS—82.8%** <br>**(Identified Cost $1,079,622)** | **TOTAL INVESTMENTS—82.8%** <br>**(Identified Cost $1,079,622)** | &nbsp;&nbsp; **$1079931** |
| Other assets and liabilities, net—17.2% | Other assets and liabilities, net—17.2% | &nbsp;&nbsp; 224719 |
| **NET ASSETS—100.0%** | **NET ASSETS—100.0%** | &nbsp;&nbsp; **$1304650** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviations:** | **Abbreviations:** |
| BNP | BNP Paribas |
| BTP | Italian Buonie |
| CAC | Cotation Assistée en Continu |
| CORRA | Canadian Overnight Repo Rate Average |
| DAX | Deutsche Boerse AG German Stock Index |
| DJIA | Dow Jones Industrial Average |
| EAFE | Europe, Australasia and Far East |
| ECX | European Climate Exchange |
| EURIBOR | Euro Interbank Offered Rate  |
| FTSE | Financial Times Stock Exchange |
| HSCEI | Hang Seng China Enterprises Index |
| IBEX | Spanish Stock Exchange |
| JSE | Johannesburg Stock Exchange Limited |
| LME | London Metal Exchange |
| MIB | Milano Indice di Borsa |
| MSCI | Morgan Stanley Capital International |
| OAT | Obligations Assimilables du Trésor |
| OMXS | Nordic Exchange Stockholm Index |
| RBOB | Reformulated Gasoline Blendstock for <br> Oxygenate Blending<br>|
| S&P | Standard & Poor's |
| SGX | Singapore Exchange |
| SOFR | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Index Average |
| STOXX | Stock Index of the Eurozone |
| TOPIX | Tokyo Stock Price Index |
| ULSD | Ultra Low Sulfur Diesel |
| WTI | West Texas Intermediate |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Footnote Legend:** | **Footnote Legend:** |
| <sup>(1)</sup> <br>| Variable rate security. Rate disclosed is as of <br> September 30, 2025. Information in parenthesis <br> represents benchmark and reference rate for each <br> security. Certain variable rate securities are not <br> based on a published reference rate and spread but <br> are determined by the issuer or agent and are based <br> on current market conditions, or, for <br> mortgage-backed securities, are impacted by the <br> individual mortgages which are paying off over <br> time. These securities do not indicate a reference <br> rate and spread in their descriptions.<br>|
| <sup>(2)</sup> <br>| Shares of this fund are publicly offered, and its <br> prospectus and annual report are publicly available.<br>|
| <sup>(3)</sup> <br>| Issued with a zero coupon. Income is recognized <br> through the accretion of discount.<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

*See Notes to Consolidated Schedule of Investments*

------

**VIRTUS AlphaSimplex Managed Futures Strategy Fund**

**CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)**

**September 30, 2025**

($ reported in thousands)

---

| | |
|:---|:---|
| **Foreign Currencies:** | **Foreign Currencies:** |
| CHF | Swiss Franc |
| CNH | Chinese Yuan Offshore |
| MXN | Mexican Peso |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PLN | Polish Zloty |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| TRY | Turkish Lira |
| USD | United States Dollar |
| ZAR | South African Rand |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Country Weightings**<sup>†</sup>  | **Country Weightings**<sup>†</sup>  |
| United States | 36<br> %<br>|
| Canada | 18 |
| Japan | 13 |
| Australia | 7 |
| Sweden | 6 |
| Finland | 5 |
| Norway | 5 |
| Other | 10 |
| Total | 100<br> %<br>|
| <sup>†</sup> % of total investments as of September 30, 2025. | <sup>†</sup> % of total investments as of September 30, 2025. |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Exchange-traded futures contracts as of September 30, 2025 were as follows:** | **Exchange-traded futures contracts as of September 30, 2025 were as follows:** | **Exchange-traded futures contracts as of September 30, 2025 were as follows:** | **Exchange-traded futures contracts as of September 30, 2025 were as follows:** | **Exchange-traded futures contracts as of September 30, 2025 were as follows:** | **Exchange-traded futures contracts as of September 30, 2025 were as follows:** |
| **Issue** | **Expiration** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Contracts** <br>**Purchased/(Sold)**<br>| **Notional Value** | &nbsp;&nbsp; **Value /** <br>**Unrealized** <br>**Appreciation**<br>| &nbsp;&nbsp; **Value /** <br>**Unrealized** <br>**Depreciation**<br>|
| **Long Contracts:** |  |  |  |  |  |
| CAC 40<sup>®</sup> 10 Euro Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp; $15016 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $(12)<br>|
| FTSE China A50 Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2240 | &nbsp;&nbsp;&nbsp; 33858 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (244)<br>|
| FTSE Taiwan Index Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp;&nbsp; 31646 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (173)<br>|
| Hang Seng Index Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp; 30606 | &nbsp;&nbsp;&nbsp; 397 | &nbsp;&nbsp;&nbsp; — |
| HSCEI Index Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp; 22826 | &nbsp;&nbsp;&nbsp; 265 | &nbsp;&nbsp;&nbsp; — |
| IBEX 35 Index Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp; 38599 | &nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp;&nbsp; — |
| MSCI Singapore IX ETS Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp; 26738 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (23)<br>|
| OMXS 30 Index Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 711 | &nbsp;&nbsp;&nbsp; 20127 | &nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp; — |
| Brazil Real Future | November 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1368 | &nbsp;&nbsp;&nbsp; 25520 | &nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp; — |
| Gasoline RBOB Future | November 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp; 9204 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (123)<br>|
| Low Sulphur Gas Oil Future | November 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp; 25488 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp; — |
| NY Harbor ULSD Future | November 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp;&nbsp; 19718 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (91)<br>|
| SGX Iron Ore Future | November 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1379 | &nbsp;&nbsp;&nbsp; 14284 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (295)<br>|
| WTI Crude Future | November 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp; 5613 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (31)<br>|
| 2 Year U.S. Treasury Note Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 948 | &nbsp;&nbsp;&nbsp; 197562 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (441)<br>|
| 3 Year Australian Bond Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp;&nbsp; 26723 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (102)<br>|
| 5 Year U.S. Treasury Note Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1493 | &nbsp;&nbsp;&nbsp; 163029 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (570)<br>|
| 10 Year Australian Bond Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp; 12976 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (75)<br>|
| 10 Year Canadian Bond Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 808 | &nbsp;&nbsp;&nbsp; 71098 | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp; — |
| 10 Year U.S. Treasury Note Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1046 | &nbsp;&nbsp;&nbsp; 117675 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (575)<br>|
| 10 Year U.S. Ultra Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp; 70773 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (457)<br>|
| 30 Year U.S. Treasury Bond Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp; 26234 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (145)<br>|
| Australian Dollar Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp; 32448 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (189)<br>|
| Brent Crude Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp; 12480 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (141)<br>|
| British Pound Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1237 | &nbsp;&nbsp;&nbsp; 103993 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (1136)<br>|
| Cocoa Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp; 1687 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (12)<br>|
| Coffee 'C' Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp; 11245 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp; — |
| Copper Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp; 3157 | &nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp; — |
| DAX Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp; 22552 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp; — |
| DJIA Mini E-CBOT Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp;&nbsp; 65598 | &nbsp;&nbsp;&nbsp; 576 | &nbsp;&nbsp;&nbsp; — |
| ECX Emission Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp; 19202 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (150)<br>|
| Euro FX Currency Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1290 | &nbsp;&nbsp;&nbsp; 190146 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (594)<br>|
| Euro STOXX 50<sup>®</sup> Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 517 | &nbsp;&nbsp;&nbsp; 33633 | &nbsp;&nbsp;&nbsp; 504 | &nbsp;&nbsp;&nbsp; — |
| Euro-BTP Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268 | &nbsp;&nbsp;&nbsp; 37707 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp; — |
| FTSE 100 Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 450 | &nbsp;&nbsp;&nbsp; 56935 | &nbsp;&nbsp;&nbsp; 435 | &nbsp;&nbsp;&nbsp; — |
| FTSE/JSE Top 40 Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp;&nbsp; 12244 | &nbsp;&nbsp;&nbsp; 398 | &nbsp;&nbsp;&nbsp; — |
| FTSE/MIB Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp; 30433 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (155)<br>|
| Gold Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp;&nbsp; 112710 | &nbsp;&nbsp;&nbsp; 8693 | &nbsp;&nbsp;&nbsp; — |
| Lean Hogs Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp; 8340 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp; — |
| Live Cattle Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp; 37564 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (853)<br>|
| LME Copper Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp; 13767 | &nbsp;&nbsp;&nbsp; 356 | &nbsp;&nbsp;&nbsp; — |
| LME Aluminium Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp; 15573 | &nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp; — |
| LME Zinc Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp; 2845 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp; — |

---

*See Notes to Consolidated Schedule of Investments*

------

**VIRTUS AlphaSimplex Managed Futures Strategy Fund**

**CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)**

**September 30, 2025**

($ reported in thousands)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Exchange-traded futures contracts as of September 30, 2025 were as follows (continued):** | **Exchange-traded futures contracts as of September 30, 2025 were as follows (continued):** | **Exchange-traded futures contracts as of September 30, 2025 were as follows (continued):** | **Exchange-traded futures contracts as of September 30, 2025 were as follows (continued):** | **Exchange-traded futures contracts as of September 30, 2025 were as follows (continued):** | **Exchange-traded futures contracts as of September 30, 2025 were as follows (continued):** |
| **Issue** | **Expiration** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Contracts**<br> **Purchased/(Sold)**<br>| **Notional Value** | &nbsp;&nbsp; **Value /**<br> **Unrealized**<br> **Appreciation**<br>| &nbsp;&nbsp; **Value /**<br> **Unrealized**<br> **Depreciation**<br>|
| MSCI EAFE<sup>®</sup> Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 522 | &nbsp;&nbsp;&nbsp; $72696 | &nbsp;&nbsp;&nbsp; $216 | &nbsp;&nbsp;&nbsp; $— |
| MSCI Emerging Markets Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp; 60847 | &nbsp;&nbsp;&nbsp; 901 | &nbsp;&nbsp;&nbsp; — |
| Nasdaq 100<sup>®</sup> E-Mini Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp; 79188 | &nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp; — |
| Nikkei 225 Stock Average Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp; 39549 | &nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp;&nbsp; — |
| Palladium Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp; 8754 | &nbsp;&nbsp;&nbsp; 909 | &nbsp;&nbsp;&nbsp; — |
| Russell 2000<sup>®</sup> E-Mini Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346 | &nbsp;&nbsp;&nbsp; 42480 | &nbsp;&nbsp;&nbsp; 664 | &nbsp;&nbsp;&nbsp; — |
| S&P 500<sup>®</sup> E-Mini Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp; 111189 | &nbsp;&nbsp;&nbsp; 1329 | &nbsp;&nbsp;&nbsp; — |
| S&P Mid 400<sup>®</sup> E-Mini Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp; 32533 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (191)<br>|
| S&P/TSX 60 Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 478 | &nbsp;&nbsp;&nbsp; 121779 | &nbsp;&nbsp;&nbsp; 2673 | &nbsp;&nbsp;&nbsp; — |
| Silver Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp; 50838 | &nbsp;&nbsp;&nbsp; 6968 | &nbsp;&nbsp;&nbsp; — |
| Soybean Oil Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp;&nbsp; 7750 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (634)<br>|
| SPI 200 Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp;&nbsp; 57832 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (340)<br>|
| STOXX Europe 600 Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp;&nbsp; 12546 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp; — |
| TOPIX Index Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp; 40143 | &nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp; — |
| U.S. Treasury Ultra Bond Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp; 5283 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (56)<br>|
| Platinum Future | January 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp; 12846 | &nbsp;&nbsp;&nbsp; 1405 | &nbsp;&nbsp;&nbsp; — |
| 3-Month CORRA Future | March 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1325 | &nbsp;&nbsp;&nbsp; 232699 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp; — |
|  |  |  |  | &nbsp;&nbsp;&nbsp; $30695 | &nbsp;&nbsp;&nbsp; $(7808)<br>|
| **Short Contracts:** |  |  |  |  |  |
| Indian Rupee Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1467)<br>| &nbsp;&nbsp;&nbsp; (32969)<br>| &nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp; — |
| Korean Won Future | October 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (44)<br>| &nbsp;&nbsp;&nbsp; (784)<br>| &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp; — |
| Natural Gas Future | November 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (278)<br>| &nbsp;&nbsp;&nbsp; (9182)<br>| &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp; — |
| Soybean Future | November 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (85)<br>| &nbsp;&nbsp;&nbsp; (4257)<br>| &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp; — |
| 10 Year Euro-Bund Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (408)<br>| &nbsp;&nbsp;&nbsp; (61587)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (323)<br>|
| 10 Year Japanese Bond Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (30)<br>| &nbsp;&nbsp;&nbsp; (27546)<br>| &nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp; — |
| 10 Year U.K. Gilt Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (482)<br>| &nbsp;&nbsp;&nbsp; (58886)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (823)<br>|
| 30 Year Euro-BUXL Bond Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (306)<br>| &nbsp;&nbsp;&nbsp; (41128)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (906)<br>|
| Canadian Dollar Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1339)<br>| &nbsp;&nbsp;&nbsp; (96542)<br>| &nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp;&nbsp; — |
| Cocoa Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (23)<br>| &nbsp;&nbsp;&nbsp; (1463)<br>| &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp; — |
| Corn Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (882)<br>| &nbsp;&nbsp;&nbsp; (18324)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (222)<br>|
| Cotton No. 2 Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (400)<br>| &nbsp;&nbsp;&nbsp; (13154)<br>| &nbsp;&nbsp;&nbsp; 326 | &nbsp;&nbsp;&nbsp; — |
| Euro-BOBL Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (749)<br>| &nbsp;&nbsp;&nbsp; (103598)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (88)<br>|
| Euro-OAT Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (660)<br>| &nbsp;&nbsp;&nbsp; (94031)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (934)<br>|
| Euro-Schatz Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3085)<br>| &nbsp;&nbsp;&nbsp; (387476)<br>| &nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp;&nbsp; — |
| Japanese Yen Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (760)<br>| &nbsp;&nbsp;&nbsp; (64733)<br>| &nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp; — |
| KC HRW Wheat Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (394)<br>| &nbsp;&nbsp;&nbsp; (9806)<br>| &nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp; — |
| LME Nickel Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (100)<br>| &nbsp;&nbsp;&nbsp; (9224)<br>| &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp; — |
| Soybean Meal Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (926)<br>| &nbsp;&nbsp;&nbsp; (25308)<br>| &nbsp;&nbsp;&nbsp; 1424 | &nbsp;&nbsp;&nbsp; — |
| Wheat Future | December 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (904)<br>| &nbsp;&nbsp;&nbsp; (22962)<br>| &nbsp;&nbsp;&nbsp; 1297 | &nbsp;&nbsp;&nbsp; — |
| 3-Month EURIBOR Future | March 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2327)<br>| &nbsp;&nbsp;&nbsp; (669412)<br>| &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp; — |
| 3-Month SOFR Future | March 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1228)<br>| &nbsp;&nbsp;&nbsp; (296270)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (122)<br>|
| 3-Month SONIA Index Future | March 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2801)<br>| &nbsp;&nbsp;&nbsp; (906450)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (72)<br>|
| 90-Day Bank Bill Future | March 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (963)<br>| &nbsp;&nbsp;&nbsp; (631904)<br>| &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp; — |
| Sugar #11World Future | March 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1208)<br>| &nbsp;&nbsp;&nbsp; (22459)<br>| &nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp;&nbsp; — |
|  |  |  |  | &nbsp;&nbsp;&nbsp; 5609 | &nbsp;&nbsp;&nbsp; (3490)<br>|
| **Total** |  |  |  | &nbsp;&nbsp;&nbsp; $36304 | &nbsp;&nbsp;&nbsp; $(11298)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts as of September 30, 2025 were as follows:** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows:** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows:** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows:** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows:** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows:** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows:** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows:** |
| **Currency** <br>**Purchased**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency** <br>**Amount** <br>**Purchased**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency** <br>**Sold**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency** <br>**Amount** <br>**Sold**<br>| **Counterparty** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Settlement** <br>**Date**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Unrealized** <br>**Appreciation**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Unrealized** <br>**Depreciation**<br>|
| CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40875 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52115 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(288) <br>|
| CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25761 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (89) <br>|
| MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1727500 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91942 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 720000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72558 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (395) <br>|
| NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7500 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4506 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (145) <br>|

---

*See Notes to Consolidated Schedule of Investments*

------

**VIRTUS AlphaSimplex Managed Futures Strategy Fund**

**CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)**

**September 30, 2025**

($ reported in thousands)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts as of September 30, 2025 were as follows (continued):** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows (continued):** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows (continued):** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows (continued):** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows (continued):** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows (continued):** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows (continued):** | **Forward foreign currency exchange contracts as of September 30, 2025 were as follows (continued):** |
| **Currency**<br> **Purchased**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency**<br> **Amount**<br> **Purchased**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency**<br> **Sold**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency**<br> **Amount**<br> **Sold**<br>| **Counterparty** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Settlement**<br> **Date**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Unrealized**<br> **Appreciation**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Unrealized**<br> **Depreciation**<br>|
| PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 287500 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79295 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(298) <br>|
| SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 596000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64068 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (452) <br>|
| SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57750 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45427 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (397) <br>|
| TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3278 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42677 | CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 302000 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46251 | NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78300 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1125500 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64127 | UBS AG | 12/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| **Total** |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $3124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(2064) <br>|

---

The following table summarizes the value of the Fund's investments as of September 30, 2025, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):

---

| | | | |
|:---|:---|:---|:---|
|  | Total <br>Value at <br>September 30, 2025<br>| Level 1 <br>Quoted Prices<br>| Level 2 <br>Significant <br>Observable <br>Inputs<br>|
| Assets: |  |  |  |
| Debt Instruments: |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Government Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $284170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $284170 |
| &nbsp;&nbsp;&nbsp; Commercial Paper | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104909 |
| &nbsp;&nbsp;&nbsp; Certificates of Deposits | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 681284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 681284 |
| Money Market Mutual Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Other Financial Instruments: |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Exchange Contracts<sup>\*</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3124 |
| Total Assets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1119359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45872 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1073487 |
| Liabilities: |  |  |  |
| Other Financial Instruments: |  |  |  |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Exchange Contracts<sup>\*</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2064)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2064)<br>|
| &nbsp;&nbsp;&nbsp; Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11298)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11298)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Total Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (13362)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11298)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2064)<br>|
| Total Investments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1105997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $34574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1071423 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>\*</sup> Forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by level and counterparty.

There were no securities valued using significant unobservable inputs (Level 3) at September 30, 2025.

There were no transfers into or out of Level 3 related to securities held at September 30, 2025.

*See Notes to Consolidated Schedule of Investments*

------

**VIRTUS ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND**

**NOTES TO FINANCIAL STATEMENTS(Unaudited)**

**September 30, 2025**

**Note 1. Security Valuation**

The Fund's Board of Trustees has designated the investment adviser as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940. The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Fund's policy is to recognize transfers into or out of Level 3 at the end of the reporting period.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – prices determined using significant unobservable inputs (including the investment adviser's Valuation Committee's own assumptions in determining the fair value of investments).

A description of the valuation techniques applied to the Fund's major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Illiquid, restricted equity securities and illiquid private placements are internally fair valued by the investment adviser's Valuation Committee, and are generally categorized as Level 3 in the hierarchy.

Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that the Fund calculates its net asset value ("NAV") at the close of regular trading on the New York Stock Exchange ("NYSE") (generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases, the Fund fair values non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, Exchange-Traded Funds ("ETFs"), and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt instruments, including convertible bonds, restricted securities, and leveraged loans are valued based on either evaluated or composite quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing that considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, activity of the underlying equities, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt instruments that are internally fair valued by the investment adviser's Valuation Committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives, such as options and futures, that are actively traded are valued at the last posted settlement price from the exchange where they are principally traded and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, swaps, swaptions, options and equity linked instruments, are valued based on model prices provided by independent pricing services or from dealer quotes. Depending on the derivative type and the specific terms of the transaction, these models vary and include observable inputs in actively quoted markets including but not limited to: underlying reference entity details, indices, spreads, interest rates, yield curves, dividend and exchange rates. These instruments are generally categorized as Level 2 in the hierarchy. Centrally cleared swaps listed or traded on a bilateral or trade facility platform, such as a registered exchange, are valued at the last posted settlement price determined by the respective exchange. These securities are generally categorized as Level 2 within the hierarchy.

Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds and ETFs are valued as of the close of regular trading on the NYSE each business day. Each is categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Fund's net assets by each major security type is disclosed at the end of the Consolidated Schedule of Investments for the Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with

investing in those securities.

*For additional information about significant accounting policies, refer to the Fund's most recent semi or annual financial statements.*

------

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Virtus Alternative Solutions Trust

- **b. Investment Company Act file number:** 811-22906

- **c. CIK number of Registrant:** 0001589756

- **d. LEI of Registrant:** 549300LL1U2Z63VKA167

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 101 Munson Street

  - **City:** Greenfield

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 01301-9668

  - **Telephone number:** 800-243-1574

**Item A.2. Information about the Series.**

- **a. Name of Series:** Virtus AlphaSimplex Managed Futures Strategy Fund

- **b. EDGAR series identifier (if any):** S000079778

- **c. LEI of Series:** 5493000L5NBK9FMRPQ24

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $1315660222.16

**Total Liabilities:** $11902729.35

**Net Assets:** $1303757492.81

**Amount of Assets Invested in Other Investment Companies:** $88988927.58

**Cash Not Reported:** $293818116.02

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -2552.14000000 | **1-Year:** -19068.85000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241136 | -0.70%               | 2.12%                | 3.33%                |
| Class ID C000241135 | -0.69%               | 2.09%                | 3.41%                |
| Class ID C000241137 | -0.92%               | 2.01%                | 3.49%                |
| Class ID C000241138 | -0.69%               | 1.96%                | 3.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $34394.04                | $-92507.00                                 |
| Month 2  | $0.00                    | $167869.08                                 |
| Month 3  | $5669.75                 | $80586.17                                  |

### Schedule of Portfolio Investments

| Name                                        | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ROYAL BK CDA N Y BRH INSTL 22APR26          | ROYAL BK CDA N Y BRH INSTL 22APR26                     | CUSIP: 78015JKG1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |  32000000 | PA      | $32048662.40  | 2.46%             | 2026-04-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| EURONEXT PARIS SA                           | CAC40 10 EURO                                          | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |       162 | NC      | $-11972.96    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OVERSEA-CHINESE BK CO NY                    | Oversea-Chinese Banking Corp Ltd/New York              | CUSIP: 69033NHF5<br>LEI: 5493007O3QFXCPOGWK22 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $14002410.80  | 1.07%             | 2025-12-17      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | DJIA MINI E-CBOT                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               | CORP              | US        |       281 | NC      | $576079.61    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMONWEALTH BK AUSTR NY                    | Commonwealth Bank of Australia/New York NY             | CUSIP: 20271EK65<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | US        |  49000000 | PA      | $49000882.00  | 3.76%             | 2025-10-03      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52000000 | PA      | $51994191.60  | 3.99%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       615 | NC      | $-456127.29   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                   | LME ZINC                                               | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |        39 | NC      | $50078.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE ENDEX MARKETS B.V.                      | ECX EMISSION                                           | CUSIP: 000000000<br>LEI: 549300CZW488L20NT866 | N/A              | DCO              | CORP              | NL        |       216 | NC      | $-137511.05   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | USD/NZD FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-144654.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                      | S&P/TSX 60 IX                                          | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               | CORP              | CA        |       478 | NC      | $2674056.17   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                      | COFFEE 'C'                                             | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |        80 | NC      | $60753.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | BRAZIL REAL                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      1368 | NC      | $150048.09    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24      | 90-DAY BANK BILL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |      -963 | NC      | $3642.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                    | GOLD 100 OZ                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |       291 | NC      | $8693382.21   | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                      | SUGAR #11 (WORLD)                                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |     -1208 | NC      | $194014.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.          | GASOLINE RBOB                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |       114 | NC      | $-123165.98   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | NASDAQ 100 E-MINI                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |       159 | NC      | $1400422.61   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                  | HSCEI                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |       371 | NC      | $265646.78    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797RB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31000000 | PA      | $30978985.72  | 2.38%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797QE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4995487.20   | 0.38%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DG BK N Y BRH INSTL CTF DEP 03MAR26         | DG BK N Y BRH INSTL CTF DEP 03MAR26                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |  40000000 | PA      | $40020652.00  | 3.07%             | 2026-03-03      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | JAPAN YEN CURR                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      -760 | NC      | $253410.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| COOPERATIEVECENTRALERAIFF06NOV25            | COOPERATIEVECENTRALERAIFF06NOV25                       | CUSIP: 21684X3D6<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |  11000000 | PA      | $11001452.00  | 0.84%             | 2025-11-06      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                          | LONG GILT                                              | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |      -482 | NC      | $-821172.65   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT AGRICOLE CIB NY                      | CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK/NEW YORK | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  60000000 | PA      | $59959170.00  | 4.60%             | 2025-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                   | LME COPPER                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |        55 | NC      | $356195.75    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                  | INR/USD                                                | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DFE              | CORP              | SG        |     -1467 | NC      | $191270.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                          | 3MO EURO EURIBOR                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |     -2327 | NC      | $32599.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | TRY/USD FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $39539.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797QZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $34706767.55  | 2.66%             | 2025-12-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1493 | NC      | $-568114.36   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | USD/CNH FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $77520.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                    | SILVER                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |       218 | NC      | $6967995.24   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                   | LME NICKEL                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |      -100 | NC      | $97542.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | USD/NZD FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $717765.39    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | LIVE CATTLE                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |       400 | NC      | $-851674.04   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA BANK ABP NEW YORK                    | Nordea Bank Abp/New York NY                            | CUSIP: 65558WJE9<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $25006477.50  | 1.92%             | 2025-11-14      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | SOYBEAN OIL                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |       261 | NC      | $-632244.07   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | EURO FX CURR                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      1290 | NC      | $-592979.78   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO STOXX 50                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |       517 | NC      | $504218.72    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUXL 30Y BND                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |      -306 | NC      | $-905082.02   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |     -1228 | NC      | $-117489.58   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MEFF RENTA VARIABLE (MADRID)                | IBEX 35 INDX                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | ES        |       212 | NC      | $441439.28    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | BP CURRENCY                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      1237 | NC      | $-1135046.18  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| WESTPAC BANKING CORP NY                     | Westpac Banking Corp/NY                                | CUSIP: 96130AZV3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | US        |  32000000 | PA      | $32033321.60  | 2.46%             | 2026-04-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                      | 3M CORRA                                               | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |      1325 | NC      | $100192.24    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OVERSEA CHINESE BK INSTL CT 11FEB26         | OVERSEA CHINESE BK INSTL CT 11FEB26                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |  25000000 | PA      | $24998455.00  | 1.92%             | 2026-02-11      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                      | MSCI EMGMKT                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               | CORP              | US        |       895 | NC      | $903301.93    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CORN                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |      -882 | NC      | $-213848.98   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                  | FTSE TAIWAN INDEX                                      | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |       370 | NC      | $-172540.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | C$ CURRENCY                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |     -1339 | NC      | $412047.58    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | SOYBEAN                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |       -85 | NC      | $51979.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                          | COCOA - IC                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |       -23 | NC      | $25835.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                          | LOW SU GASOIL G                                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |       371 | NC      | $89638.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA BK ABP NEW YORK BRH 25MAR26          | NORDEA BK ABP NEW YORK BRH 25MAR26                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | FI        |  20000000 | PA      | $19998446.00  | 1.53%             | 2026-03-25      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| BNPPNYYCD4.390011/04/25                     | BNPPNYYCD4.390011/04/25                                | CUSIP: 05593DGJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11000000 | PA      | $11002174.70  | 0.84%             | 2025-11-04      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24      | AUST 3YR BOND                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |       378 | NC      | $-101382.28   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SUMITOMO MITSUI BANK NY                     | Sumitomo Mitsui Banking Corp/New York                  | CUSIP: 86565GNN6<br>LEI: 549300MS3WYYVQ4HXM15 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $25004810.00  | 1.92%             | 2025-11-18      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24      | SPI 200                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | AU        |       394 | NC      | $-339137.79   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797RW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9925927.20   | 0.76%             | 2025-12-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797NU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24769938.75  | 1.90%             | 2025-12-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                      | COTTON NO.2                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |      -400 | NC      | $327192.98    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                  | IODEX IO                                               | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DCO              | CORP              | SG        |      1379 | NC      | $-290513.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | CHF/USD FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-288076.17   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.          | NATURAL GAS                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |      -278 | NC      | $47559.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | E-MINI RUSS 2000                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |       346 | NC      | $664810.98    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | SEK/USD FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-451555.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.          | WTI CRUDE                                              | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        90 | NC      | $-31032.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | USD/SGD FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-396969.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                          | USD/PLN FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-298411.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | DAX INDEX                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |        32 | NC      | $34057.23     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN IMP BK COMM NY                     | Canadian Imperial Bank of Commerce/New York NY         | CUSIP: 13606DJR4<br>LEI: 549300H8L46OOZOFHU82 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10007961.00  | 0.77%             | 2026-01-23      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BTP                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       268 | NC      | $136481.01    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Dreyfus Government Cash Management          | Dreyfus Government Cash Management                     | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |    165364 | NS      | $165363.57    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MIZUHO BK LTD NEW YORK BRH 09JAN26          | MIZUHO BK LTD NEW YORK BRH 09JAN26                     | CUSIP: 60710TY21<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7005442.50   | 0.54%             | 2026-01-09      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MIZUHO BK LTD NEW YORK BRH 25FEB26          | MIZUHO BK LTD NEW YORK BRH 25FEB26                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  43000000 | PA      | $43022274.00  | 3.30%             | 2026-02-25      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | S&P MID 400 EMINI                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        99 | NC      | $-190348.53   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA NY                     | Royal Bank of Canada/New York NY                       | CUSIP: 78015JHL4<br>LEI: 549300HXQQQCCUBS2Z23 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $15005487.00  | 1.15%             | 2026-03-17      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                  | KRW/USD MINI                                           | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DFE              | CORP              | SG        |       -44 | NC      | $7347.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797SE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90000000 | PA      | $89070618.60  | 6.83%             | 2026-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24      | AUST 10Y BOND                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |       173 | NC      | $-73887.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL CHICAGO                    | Bank of Montreal/Chicago IL                            | CUSIP: 06367DQL2<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | US        |  40000000 | PA      | $40032448.00  | 3.07%             | 2026-05-07      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | S&P500 EMINI                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |       330 | NC      | $1329825.51   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | AUDUSD CRNCY                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |       490 | NC      | $-187972.80   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BOBL                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |      -749 | NC      | $-86821.91    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TORONTO DOMINION BK N Y BRH 10APR26         | TORONTO DOMINION BK N Y BRH 10APR26                    | CUSIP: 89115DLC8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |  27000000 | PA      | $27035415.90  | 2.07%             | 2026-04-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.          | NY HARB ULSD                                           | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |       202 | NC      | $-90960.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                    | COPPER                                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |        26 | NC      | $179091.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | SOYBEAN MEAL                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |      -926 | NC      | $1429056.56   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | LEAN HOGS                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |       235 | NC      | $50968.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       948 | NC      | $-439069.56   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUS                    | Bank of Nova Scotia/Houston                            | CUSIP: 06418NJH6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $25004767.50  | 1.92%             | 2026-05-21      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                      | MSCI EAFE                                              | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               | CORP              | US        |       522 | NC      | $217438.68    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                      | SKANDINAVISKA ENSKILDA BANKEN AB                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | SE        |  46000000 | PA      | $44949797.00  | 3.45%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                          | NIKKEI 225 (OSE)                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |       130 | NC      | $643878.72    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | NOK/USD FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-394712.99   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                      | CAN 10YR BOND                                          | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |       808 | NC      | $120025.87    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.          | PALLADIUM                                              | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        68 | NC      | $909488.92    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK AMER N A INSTL CTF DEP 17FEB26         | BANK AMER N A INSTL CTF DEP 17FEB26                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  35000000 | PA      | $35024507.00  | 2.69%             | 2026-02-17      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| MUFG BK LTD N Y BRH INSTL C 10NOV25         | MUFG BK LTD N Y BRH INSTL C 10NOV25                    | CUSIP: 55381BJW9<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |  25000000 | PA      | $25008462.50  | 1.92%             | 2025-11-10      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                          | JAPAN 10Y BOND(OSE)                                    | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |       -30 | NC      | $205024.17    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                          | FTSE 100 INDEX                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               | CORP              | GB        |       450 | NC      | $435323.12    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                  | MSCI SING IX ETS                                       | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |       771 | NC      | $-21481.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI TR + BKG CORP N 01OCT25          | MITSUBISHI TR + BKG CORP N 01OCT25                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | JP        |  38000000 | PA      | $38000011.40  | 2.91%             | 2025-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-BUND                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |      -408 | NC      | $-322759.49   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA BANK ABP NEW YORK                    | Nordea Bank Abp/New York NY                            | CUSIP: 65558WJU3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $11004112.90  | 0.84%             | 2025-12-05      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | STOXX EUROPE 600                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |       382 | NC      | $19229.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DNB BK ASA NEW YORK BRH INS 07OCT25         | DNB BK ASA NEW YORK BRH INS 07OCT25                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | NO        |  55000000 | PA      | $54999780.00  | 4.22%             | 2025-10-07      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.          | PLATINUM                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |       160 | NC      | $1405174.06   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BORSA ITALIANA S.P.A.                       | FTSE/MIB INDEX                                         | CUSIP: 000000000<br>LEI: 8156005391EE905D3124 | N/A              | DE               | CORP              | IT        |       122 | NC      | $-155250.52   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| OMX NORDIC EXCHANGE STOCKHOLM               | OMXS30 IND                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | SE        |       711 | NC      | $122286.09    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        44 | NC      | $-55682.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                          | 3MTH SONIA                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |     -2801 | NC      | $-67477.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                          | TOPIX INDX                                             | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |       189 | NC      | $175102.27    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                      | COCOA                                                  | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |        25 | NC      | $-11528.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                   | LME PRI ALUM                                           | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |       236 | NC      | $243834.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       225 | NC      | $-144960.05   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797QR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $7955888.88   | 0.61%             | 2025-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-OAT                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |      -660 | NC      | $-932376.15   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUS                    | Bank of Nova Scotia/Houston                            | CUSIP: 06418NEA6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $11002319.90  | 0.84%             | 2025-11-06      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN NY                    | Svenska Handelsbanken/New York NY                      | CUSIP: 86959TJC1<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | US        |  25000000 | PA      | $25006477.50  | 1.92%             | 2025-11-05      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | KC HRW WHEAT                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |      -394 | NC      | $851764.48    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | USD/CNH FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-89088.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                          | MXN/USD FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1607239.57   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                  | HANG SENG INDEX                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |       177 | NC      | $397599.57    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                          | USD/ZAR FORWARD                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $681240.37    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMP BK COMM NY                     | Canadian Imperial Bank of Commerce/New York NY         | CUSIP: 13606DFW7<br>LEI: 549300H8L46OOZOFHU82 | Long             | DBT              | CORP              | US        |  30000000 | PA      | $30007596.00  | 2.30%             | 2025-12-08      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1046 | NC      | $-574044.23   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                          | BRENT CRUDE                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |       189 | NC      | $-141113.47   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE              | FTSE/JSE TOP 40                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | ZA        |       207 | NC      | $398657.79    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                            | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29772208.20  | 2.28%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                  | FTSE CHINA A50                                         | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |      2240 | NC      | $-239494.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-SCHATZ                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |     -3085 | NC      | $204674.79    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | WHEAT (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |      -904 | NC      | $1300979.80   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-25

**Name of Applicant:** Virtus Alternative Solutions Trust

**Signature:** Amy Hackett

**Name of Signer:** Amy Hackett

**Title:** Vice President and Assistant Treasurer