# EDGAR Filing Document

**Accession Number:** 0001779306
**File Stem:** 0001104659-25-075091
**Filing Date:** 2025-8
**Character Count:** 204436
**Document Hash:** d601c1b87f15d13225358319daacc26a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-25-075091.hdr.sgml**: 20250807

**ACCESSION NUMBER**: 0001104659-25-075091

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 33

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250807

**DATE AS OF CHANGE**: 20250807

**EFFECTIVENESS DATE**: 20250807

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ALTSHARES TRUST
- **CENTRAL INDEX KEY:** 0001779306

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23475
- **FILM NUMBER:** 251192624

**BUSINESS ADDRESS:**
- **STREET 1:** C/O WATER ISLAND CAPITAL, LLC
- **STREET 2:** 104 FIFTH AVENUE, 9TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10011
- **BUSINESS PHONE:** 800-560-8210

**MAIL ADDRESS:**
- **STREET 1:** C/O WATER ISLAND CAPITAL, LLC
- **STREET 2:** 104 FIFTH AVENUE, 9TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10011

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AltShares Trust
- **DATE OF NAME CHANGE:** 20191002

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** wicShares Trust
- **DATE OF NAME CHANGE:** 20190930

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AltShares Trust
- **DATE OF NAME CHANGE:** 20190926

## Series and Classes Contracts Data

### AltShares Merger Arbitrage ETF (Series ID: S000067196)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000216184 | AltShares Merger Arbitrage ETF | ARB             |

### AltShares Event-Driven ETF (Series ID: S000072757)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000229260 | AltShares Event-Driven ETF | EVNT            |

?xml version='1.0' encoding='ASCII'? Consolidated ssr-output-EDGAR XBRL File

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

<u>Investment Company Act file number: 811-23475</u>

ALTSHARES TRUST

(exact name of registrant as specified in charter)

<u>104 Fifth Avenue, 9<sup>th</sup> Floor, New York, NY 10011</u>

(Address of principal executive offices) (Zip code)

John S. Orrico

Water Island Capital, LLC

104 Fifth Avenue

9<sup>th</sup> Floor

<u>New York, NY 10010</u>

(Name and address of agent for service)

Registrant's telephone number, including area code: 855-955-1607

Date of fiscal year end: <u>May 31</u>

Date of reporting period: May 31, 2025

Item 1. **Reports to Shareholders.**

**(a)** **Report pursuant to Rule 30e-1.** 

**TABLE OF CONTENTS**

---

| |
|:---|
|  [AltShares Event-Driven ETF](#classname6fa61fdd-be80-4e19-a488-0ee9ede0bbeb)<br> **[EVNT](#classname6fa61fdd-be80-4e19-a488-0ee9ede0bbeb)**  |
|  [AltShares Merger Arbitrage ETF](#classname705dc0ca-dc92-46bc-b313-88b75adbe56d)<br> **[ARB](#classname705dc0ca-dc92-46bc-b313-88b75adbe56d)**  |

---

# Ticker: EVNT

# AltShares Event-Driven ETF

## Principal Listing Exchange: NYSEArca
![Image](tm2514476d1_ncsrimg010.jpg)

#### Annual Shareholder Report

#### May 31, 2025

## Fund Overview
This annual shareholder report contains important information about AltShares Event-Driven ETF for the period of June 1, 2024 to May 31, 2025. You can find additional information about the Fund, including updated performance information, at www.altsharesetfs.com/evnt. You can also request this information by contacting us at 1-855-955-1607.

## What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| AltShares Event-Driven ETF | $140 | 1.31% |

---

## How did the Fund perform last year and what affected its performance?
The Fund's performance for the fiscal year was driven by the outcomes of the idiosyncratic corporate catalysts in which the Fund invested. Positive performance sourced from both equity-based special situations investments and equity-based merger arbitrage investments, though credit-based investments also contributed to returns. The vast majority of the Fund's performance was generated by investments in US-based catalysts. Industrials and communications services were the top Fund's performing sectors. No sectors detracted from returns for the period. Top contributors included the Fund's positions in Boeing, in the acquisition of United States Steel by Nippon Steel, and in Marcus Corp. Top detractors included the Fund's investments in the acquisition of Cross Country Healthcare by Aya Healthcare, Penn Entertainment, and the acquisition of ChampionX by Schlumberger.

## Fund Performance
The chart below reflects a hypothetical $10,000 investment in the Fund. Performance shown is for the previous 10 years.

### Total Return Based on $10,000 Investment **<sup>\*</sup>**![Growth of 10K Chart](tm2514476d1_ncsrimg003.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **AltShares Event-Driven ETF $16,458** | **S&P 500<sup>®</sup> Index $33,535** | **ICE BofA U.S. 3-Month Treasury Bill Index $12,121** | **Bloomberg U.S. Aggregate Bond Index $11,596** |
| **5/31/15** | $10000 | $10000 | $10000 | $10000 |
| **6/30/15** | $9802 | $9806 | $10000 | $9891 |
| **7/31/15** | $9753 | $10012 | $10000 | $9960 |
| **8/31/15** | $9476 | $9408 | $10001 | $9945 |
| **9/30/15** | $9209 | $9175 | $10001 | $10013 |
| **10/31/15** | $9348 | $9949 | $10001 | $10014 |
| **11/30/15** | $9170 | $9979 | $10001 | $9988 |
| **12/31/15** | $9148 | $9821 | $10005 | $9956 |
| **1/31/16** | $9078 | $9334 | $10005 | $10093 |
| **2/29/16** | $9058 | $9321 | $10007 | $10164 |
| **3/31/16** | $9108 | $9954 | $10012 | $10257 |
| **4/30/16** | $9268 | $9992 | $10015 | $10297 |
| **5/31/16** | $9288 | $10172 | $10016 | $10299 |
| **6/30/16** | $9248 | $10198 | $10019 | $10485 |
| **7/31/16** | $9387 | $10574 | $10022 | $10551 |
| **8/31/16** | $9537 | $10589 | $10024 | $10539 |
| **9/30/16** | $9517 | $10591 | $10029 | $10533 |
| **10/31/16** | $9407 | $10398 | $10031 | $10452 |
| **11/30/16** | $9358 | $10783 | $10033 | $10205 |
| **12/31/16** | $9567 | $10996 | $10037 | $10219 |
| **1/31/17** | $9617 | $11204 | $10042 | $10239 |
| **2/28/17** | $9677 | $11649 | $10046 | $10308 |
| **3/31/17** | $9836 | $11663 | $10048 | $10303 |
| **4/30/17** | $9886 | $11783 | $10054 | $10382 |
| **5/31/17** | $9966 | $11948 | $10060 | $10462 |
| **6/30/17** | $9966 | $12023 | $10068 | $10452 |
| **7/31/17** | $9936 | $12270 | $10077 | $10497 |
| **8/31/17** | $9956 | $12308 | $10086 | $10591 |
| **9/30/17** | $9986 | $12562 | $10095 | $10540 |
| **10/31/17** | $10016 | $12855 | $10104 | $10546 |
| **11/30/17** | $10006 | $13249 | $10112 | $10533 |
| **12/31/17** | $10126 | $13396 | $10123 | $10581 |
| **1/31/18** | $10146 | $14163 | $10135 | $10459 |
| **2/28/18** | $10066 | $13641 | $10145 | $10360 |
| **3/31/18** | $9936 | $13295 | $10159 | $10427 |
| **4/30/18** | $9976 | $13346 | $10173 | $10349 |
| **5/31/18** | $10106 | $13667 | $10188 | $10423 |
| **6/30/18** | $10176 | $13751 | $10205 | $10410 |
| **7/31/18** | $10026 | $14263 | $10221 | $10413 |
| **8/31/18** | $10016 | $14728 | $10240 | $10480 |
| **9/30/18** | $9936 | $14812 | $10255 | $10412 |
| **10/31/18** | $9687 | $13799 | $10273 | $10330 |
| **11/30/18** | $9787 | $14080 | $10294 | $10391 |
| **12/31/18** | $9649 | $12809 | $10313 | $10582 |
| **1/31/19** | $10037 | $13835 | $10333 | $10695 |
| **2/28/19** | $10067 | $14280 | $10352 | $10689 |
| **3/31/19** | $10118 | $14557 | $10374 | $10894 |
| **4/30/19** | $10281 | $15147 | $10394 | $10897 |
| **5/31/19** | $10067 | $14184 | $10418 | $11090 |
| **6/30/19** | $10128 | $15184 | $10440 | $11229 |
| **7/31/19** | $10179 | $15402 | $10460 | $11254 |
| **8/31/19** | $10057 | $15158 | $10481 | $11546 |
| **9/30/19** | $10047 | $15442 | $10500 | $11484 |
| **10/31/19** | $10026 | $15776 | $10520 | $11519 |
| **11/30/19** | $10251 | $16349 | $10533 | $11513 |
| **12/31/19** | $10317 | $16842 | $10548 | $11505 |
| **1/31/20** | $10431 | $16836 | $10562 | $11726 |
| **2/29/20** | $10296 | $15450 | $10578 | $11937 |
| **3/31/20** | $10244 | $13541 | $10609 | $11867 |
| **4/30/20** | $10701 | $15277 | $10610 | $12078 |
| **5/31/20** | $10857 | $16005 | $10610 | $12134 |
| **6/30/20** | $11283 | $16323 | $10611 | $12211 |
| **7/31/20** | $11335 | $17244 | $10613 | $12393 |
| **8/31/20** | $11730 | $18483 | $10614 | $12293 |
| **9/30/20** | $11948 | $17781 | $10615 | $12286 |
| **10/31/20** | $11844 | $17308 | $10616 | $12231 |
| **11/30/20** | $12665 | $19203 | $10618 | $12351 |
| **12/31/20** | $14799 | $19941 | $10619 | $12368 |
| **1/31/21** | $15203 | $19740 | $10620 | $12280 |
| **2/28/21** | $15295 | $20284 | $10621 | $12102 |
| **3/31/21** | $15260 | $21172 | $10621 | $11951 |
| **4/30/21** | $15249 | $22302 | $10621 | $12046 |
| **5/31/21** | $15307 | $22458 | $10622 | $12085 |
| **6/30/21** | $15111 | $22982 | $10621 | $12170 |
| **7/31/21** | $14569 | $23528 | $10622 | $12306 |
| **8/31/21** | $14673 | $24244 | $10622 | $12283 |
| **9/30/21** | $14757 | $23116 | $10623 | $12176 |
| **10/31/21** | $14899 | $24735 | $10622 | $12173 |
| **11/30/21** | $14247 | $24564 | $10623 | $12209 |
| **12/31/21** | $14417 | $25665 | $10624 | $12178 |
| **1/31/22** | $14176 | $24337 | $10623 | $11915 |
| **2/28/22** | $14161 | $23608 | $10625 | $11782 |
| **3/31/22** | $14105 | $24485 | $10628 | $11455 |
| **4/30/22** | $13764 | $22350 | $10630 | $11020 |
| **5/31/22** | $13679 | $22391 | $10637 | $11091 |
| **6/30/22** | $13126 | $20542 | $10639 | $10917 |
| **7/31/22** | $13651 | $22437 | $10645 | $11184 |
| **8/31/22** | $13750 | $21522 | $10662 | $10868 |
| **9/30/22** | $13367 | $19539 | $10688 | $10399 |
| **10/31/22** | $13466 | $21121 | $10705 | $10264 |
| **11/30/22** | $13665 | $22302 | $10740 | $10641 |
| **12/31/22** | $13114 | $21017 | $10778 | $10593 |
| **1/31/23** | $13667 | $22337 | $10812 | $10919 |
| **2/28/23** | $13609 | $21792 | $10847 | $10637 |
| **3/31/23** | $13827 | $22592 | $10894 | $10907 |
| **4/30/23** | $13798 | $22945 | $10929 | $10973 |
| **5/31/23** | $13478 | $23045 | $10971 | $10854 |
| **6/30/23** | $13987 | $24568 | $11021 | $10815 |
| **7/31/23** | $14278 | $25357 | $11065 | $10808 |
| **8/31/23** | $14220 | $24953 | $11115 | $10738 |
| **9/30/23** | $14060 | $23763 | $11166 | $10466 |
| **10/31/23** | $13827 | $23264 | $11216 | $10300 |
| **11/30/23** | $14468 | $25388 | $11266 | $10767 |
| **12/31/23** | $14847 | $26542 | $11319 | $11179 |
| **1/31/24** | $14539 | $26988 | $11367 | $11148 |
| **2/29/24** | $14510 | $28429 | $11414 | $10991 |
| **3/31/24** | $14700 | $29343 | $11465 | $11092 |
| **4/30/24** | $14203 | $28145 | $11514 | $10812 |
| **5/31/24** | $14422 | $29540 | $11570 | $10995 |
| **6/30/24** | $14525 | $30600 | $11617 | $11100 |
| **7/31/24** | $15257 | $30973 | $11669 | $11359 |
| **8/31/24** | $15330 | $31724 | $11725 | $11522 |
| **9/30/24** | $15506 | $32402 | $11776 | $11676 |
| **10/31/24** | $15520 | $32108 | $11820 | $11387 |
| **11/30/24** | $15755 | $33993 | $11865 | $11507 |
| **12/31/24** | $15691 | $33182 | $11913 | $11319 |
| **1/31/25** | $15883 | $34106 | $11957 | $11379 |
| **2/28/25** | $16060 | $33661 | $11995 | $11629 |
| **3/31/25** | $15986 | $31765 | $12035 | $11634 |
| **4/30/25** | $16060 | $31549 | $12077 | $11679 |
| **5/31/25** | $16458 | $33535 | $12121 | $11596 |

---

## Average Annual Total Returns (%)<sup>**Footnote Reference \***</sup>

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| **AltShares Event-Driven ETF NAV Returns** | 14.11% | 8.68% | 5.11% |
| **S&P 500<sup>®</sup> Index** | 13.52% | 15.94% | 12.86% |
| **ICE BofA U.S. 3-Month Treasury Bill Index** | 4.76% | 2.70% | 1.94% |
| **Bloomberg U.S. Aggregate Bond Index** | 5.46% | -0.90% | 1.49% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| **Footnote<sup>\*</sup>** | Past performance is not a good predictor of how the Fund will perform in the future. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Returns shown above include the reinvestment of all dividends and capital gains. Performance of the predecessor mutual fund reflects fee waivers. If fee waivers had not been in place, performance would have been lower. |

---

## Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $5234889 |
| Number of Portfolio Holdings | 93 |
| Total Advisory Fees Paid | $60774 |
| Portfolio Turnover Rate | 480% |

---

On September 20, 2021, the Fund converted from a mutual fund to an exchange-traded fund and performance prior to that date is of the predecessor mutual fund. In addition, performance prior to May 12, 2019 does not reflect the Fund's current investment strategy. The indexes are unmanaged and, therefore, have no expenses. Investors cannot invest directly in an index.

## What did the Fund invest in?
The Fund invested primarily in the equity and debt securities of companies involved in announced corporate events or companies expected to undergo a corporate event.

### Sector Weighting (% of Total Investments)
![Group By Sector Chart](tm2514476d1_ncsrimg007.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Consumer, Cyclical | 21.38% |
| Financials | 17.56% |
| Consumer, Non-cyclical | 16.27% |
| Telecommunication Services | 11.44% |
| Technology | 9.31% |
| Industrials | 8.82% |
| Energy | 7.81% |
| Materials | 4.75% |
| Utilities | 2.66% |

---

### Region Weighting (% of Total Investments)
![Group By Country Chart](tm2514476d1_ncsrimg002.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Americas | 90.63% |
| EMEA | 9.37% |

---

#### Changes in or Disagreements with Accountants
On November 19, 2024, the Fund's Board of Trustees, upon recommendation from the Audit Committee, approved and appointed Cohen & Company, Ltd. as the independent registered public accounting firm for the Fund for the fiscal year ending May 31, 2025. Effective November 25, 2024, Ernst & Young LLP ("EY") ceased to serve as the Fund's independent registered public accounting firm. During the Fund's fiscal years ended May 31, 2024 and 2023, and the interim period ended November 25, 2024, there have been no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedures.

#### Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting, scan the QR code or visit www.altsharesetfs.com/evnt.

## Householding
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact us at 1-855-955-1607, or contact your financial intermediary.

The AltShares Event-Driven ETF is distributed by Foreside Financial Services, LLC, which is not affiliated with Water Island Capital LLC or any of its affiliates.

![Image](tm2514476d1_ncsrimg005.jpg)

# Ticker: EVNT
![QR Code](tm2514476d1_ncsrimg004.jpg)

# AltShares Event-Driven ETF

## Principal Listing Exchange: NYSEArca
Annual Shareholder Report

May 31, 2025

# Ticker: ARB

# AltShares Merger Arbitrage ETF

## Principal Listing Exchange: NYSEArca
![Image](tm2514476d1_ncsrimg010.jpg)

#### Annual Shareholder Report

#### May 31, 2025

## Fund Overview
This annual shareholder report contains important information about AltShares Merger Arbitrage ETF for the period of June 1, 2024 to May 31, 2025. You can find additional information about the Fund, including updated performance information, at www.altsharesetfs.com/arb. You can also request this information by contacting us at 1-855-955-1607.

## What were the Fund costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| AltShares Merger Arbitrage ETF | $57 | 0.55% |

---

## How did the Fund perform last year and what affected its performance?
The Fund's performance for the fiscal year was driven by the outcomes of the idiosyncratic mergers and acquisitions transactions in which the Fund invested. Returns were sourced predominantly from US-targeted transactions. Information technology and financials were the Fund's top performing sectors, while health care was the only sector that detracted from returns. Top contributors included the acquisition of Catalent by Novo Holdings, the acquisition of ANSYS by Synopsys, and the acquisition of Liberty Broadband Corp by Charter Communications. Top detractors included the acquisition of Revance Therapeutics by Crown Laboratories, the acquisition of Cross Country Healthcare by Aya Healthcare, and the acquisition of Surmodics by GTCR Golder Rauner.

## Fund Performance
The chart below reflects a hypothetical $10,000 investment in the Fund. Performance shown is since the inception date of the Fund (5/7/20).

### Total Return Based on $10,000 Investment **<sup>\*</sup>**![Growth of 10K Chart](tm2514476d1_ncsrimg001.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **AltShares Merger Arbitrage ETF $12,262** | **S&P 500<sup>®</sup> Index $22,440** | **Water Island Merger Arbitrage USD Hedged Index $13,118** | **ICE BofA U.S. 3-Month Treasury Bill Index $11,424** | **Bloomberg U.S. Aggregate Bond Index $9,653** |
| **5/7/20** | $10000 | $10000 | $10000 | $10000 | $10000 |
| **5/31/20** | $9788 | $10710 | $9795 | $10000 | $10101 |
| **6/30/20** | $9764 | $10923 | $9772 | $10002 | $10165 |
| **7/31/20** | $10172 | $11538 | $10205 | $10004 | $10317 |
| **8/31/20** | $10188 | $12368 | $10251 | $10005 | $10234 |
| **9/30/20** | $10172 | $11898 | $10242 | $10006 | $10228 |
| **10/31/20** | $10284 | $11581 | $10363 | $10007 | $10182 |
| **11/30/20** | $10400 | $12849 | $10473 | $10008 | $10282 |
| **12/31/20** | $10420 | $13343 | $10518 | $10009 | $10296 |
| **1/31/21** | $10370 | $13209 | $10487 | $10010 | $10223 |
| **2/28/21** | $10317 | $13573 | $10438 | $10011 | $10075 |
| **3/31/21** | $10366 | $14167 | $10490 | $10011 | $9949 |
| **4/30/21** | $10531 | $14923 | $10676 | $10011 | $10028 |
| **5/31/21** | $10625 | $15028 | $10790 | $10012 | $10061 |
| **6/30/21** | $10601 | $15378 | $10771 | $10011 | $10131 |
| **7/31/21** | $10535 | $15744 | $10720 | $10012 | $10245 |
| **8/31/21** | $10584 | $16222 | $10767 | $10012 | $10225 |
| **9/30/21** | $10601 | $15468 | $10800 | $10013 | $10136 |
| **10/31/21** | $10691 | $16552 | $10826 | $10012 | $10134 |
| **11/30/21** | $10691 | $16437 | $10859 | $10013 | $10164 |
| **12/31/21** | $10753 | $17174 | $10948 | $10014 | $10138 |
| **1/31/22** | $10765 | $16285 | $10919 | $10013 | $9919 |
| **2/28/22** | $10839 | $15797 | $10960 | $10014 | $9809 |
| **3/31/22** | $10909 | $16384 | $11015 | $10017 | $9536 |
| **4/30/22** | $10839 | $14955 | $10984 | $10019 | $9174 |
| **5/31/22** | $10757 | $14983 | $10930 | $10026 | $9233 |
| **6/30/22** | $10753 | $13746 | $10914 | $10028 | $9089 |
| **7/31/22** | $10913 | $15013 | $11082 | $10033 | $9311 |
| **8/31/22** | $11037 | $14401 | $11158 | $10049 | $9048 |
| **9/30/22** | $10959 | $13075 | $11095 | $10074 | $8657 |
| **10/31/22** | $11218 | $14133 | $11332 | $10090 | $8544 |
| **11/30/22** | $11004 | $14923 | $11172 | $10123 | $8859 |
| **12/31/22** | $11032 | $14063 | $11210 | $10159 | $8819 |
| **1/31/23** | $10963 | $14947 | $11178 | $10191 | $9090 |
| **2/28/23** | $10959 | $14582 | $11150 | $10224 | $8855 |
| **3/31/23** | $10894 | $15118 | $11189 | $10268 | $9080 |
| **4/30/23** | $10963 | $15354 | $11272 | $10301 | $9135 |
| **5/31/23** | $10654 | $15420 | $11148 | $10341 | $9036 |
| **6/30/23** | $10886 | $16439 | $11372 | $10388 | $9003 |
| **7/31/23** | $10980 | $16967 | $11470 | $10430 | $8997 |
| **8/31/23** | $11160 | $16697 | $11673 | $10477 | $8940 |
| **9/30/23** | $11242 | $15901 | $11762 | $10525 | $8712 |
| **10/31/23** | $11259 | $15567 | $11779 | $10572 | $8575 |
| **11/30/23** | $11340 | $16988 | $11879 | $10619 | $8963 |
| **12/31/23** | $11478 | $17760 | $12043 | $10669 | $9306 |
| **1/31/24** | $11426 | $18059 | $12000 | $10714 | $9281 |
| **2/29/24** | $11512 | $19023 | $12105 | $10758 | $9150 |
| **3/31/24** | $11606 | $19635 | $12215 | $10807 | $9234 |
| **4/30/24** | $11448 | $18833 | $12064 | $10853 | $9001 |
| **5/31/24** | $11533 | $19767 | $12177 | $10905 | $9153 |
| **6/30/24** | $11550 | $20476 | $12208 | $10950 | $9240 |
| **7/31/24** | $11726 | $20725 | $12410 | $10999 | $9456 |
| **8/31/24** | $11859 | $21228 | $12560 | $11051 | $9592 |
| **9/30/24** | $11889 | $21681 | $12596 | $11099 | $9720 |
| **10/31/24** | $11962 | $21485 | $12691 | $11141 | $9479 |
| **11/30/24** | $11915 | $22746 | $12650 | $11184 | $9579 |
| **12/31/24** | $11941 | $22204 | $12691 | $11229 | $9423 |
| **1/31/25** | $12088 | $22822 | $12870 | $11270 | $9473 |
| **2/28/25** | $12205 | $22524 | $13011 | $11306 | $9681 |
| **3/31/25** | $12210 | $21255 | $13039 | $11344 | $9685 |
| **4/30/25** | $12197 | $21111 | $13042 | $11383 | $9723 |
| **5/31/25** | $12262 | $22440 | $13118 | $11424 | $9653 |

---

## Average Annual Total Returns (%)<sup>**Footnote Reference \***</sup>

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since Inception 5/7/20 |
| **AltShares Merger Arbitrage ETF NAV Returns** | 6.32% | 4.61% | 4.10% |
| **S&P 500<sup>®</sup> Index** | 13.52% | 15.94% | 17.29% |
| **Water Island Merger Arbitrage USD Hedged Index** | 7.73% | 6.02% | 5.50% |
| **ICE BofA U.S. 3-Month Treasury Bill Index** | 4.76% | 2.70% | 2.66% |
| **Bloomberg U.S. Aggregate Bond Index** | 5.46% | -0.90% | -0.77% |

---

---

| | |
|:---|:---|
| Footnote | Description |
| **Footnote<sup>\*</sup>** | Past performance is not a good predictor of how the Fund will perform in the future. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. Returns shown above include the reinvestment of all dividends and capital gains. Performance reflects fee waivers. If fee waivers had not been in place, performance would have been lower. |

---

## Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $86658295 |
| Number of Portfolio Holdings | 103 |
| Total Advisory Fees Paid | $421399 |
| Portfolio Turnover Rate | 431% |

---

The indexes are unmanaged and, therefore, have no expenses. Investors cannot invest directly in an index.

## What did the Fund invest in?
The Fund invested primarily in the equity securities of companies involved in publicly announced mergers and acquisitions. The Fund seeks to provide investment results that correspond, before fees and expenses, to the performance of the Water Island Merger Arbitrage USD Hedged Index.

### Sector Weighting (% of Total Investments)
![Group By Sector Chart](tm2514476d1_ncsrimg008.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Consumer, Cyclical | 23.68% |
| Consumer, Non-cyclical | 21.61% |
| Telecommunication Services | 15.27% |
| Financials | 12.50% |
| Industrials | 11.40% |
| Utilities | 8.24% |
| Technology | 3.76% |
| Materials | 3.26% |
| Energy | 0.28% |

---

### Region Weighting (% of Total Investments)
![Group By Country Chart](tm2514476d1_ncsrimg009.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Americas | 83.35% |
| EMEA | 16.65% |

---

#### Changes in or Disagreements with Accountants
On November 19, 2024, the Fund's Board of Trustees, upon recommendation from the Audit Committee, approved and appointed Cohen & Company, Ltd. as the independent registered public accounting firm for the Fund for the fiscal year ending May 31, 2025. Effective November 25, 2024, Ernst & Young LLP ("EY") ceased to serve as the Fund's independent registered public accounting firm. During the Fund's fiscal years ended May 31, 2024 and 2023, and the interim period ended November 25, 2024, there have been no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedures.

#### Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting, scan the QR code or visit www.altsharesetfs.com/arb.

## Householding
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact us at 1-855-955-1607, or contact your financial intermediary.

The AltShares Merger Arbitrage ETF is distributed by Foreside Financial Services, LLC, which is not affiliated with Water Island Capital LLC or any of its affiliates.

![Image](tm2514476d1_ncsrimg005.jpg)

# Ticker: ARB
![QR Code](tm2514476d1_ncsrimg006.jpg)

# AltShares Merger Arbitrage ETF

## Principal Listing Exchange: NYSEArca
Annual Shareholder Report

May 31, 2025

**(b)** **Notice pursuant to Rule 30e-3.** 

Not applicable.

Item 2. **Code of Ethics.**

(a) The Registrant, as of the end of the period covered by the report, has adopted
a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer
or controller or any persons performing similar functions on behalf of the Registrant.

(b) Not applicable.

(c) During the period covered by this report, no amendments were made to the provisions of the code of ethics
adopted in 2(a) above.

(d) During the period covered by this report, no implicit or explicit waivers to the provisions of the code
of ethics adopted in 2(a) above were granted.

(e) Not applicable.

(f) The Registrant's Code of Ethics is attached as an Exhibit hereto.

Item 3. **Audit Committee Financial Expert.**

(a)(1) The Registrant's board of trustees has determined that the Registrant has at least one audit committee financial expert serving on the audit committee

(a)(2) The audit committee financial expert is Francis X. Tracy, who is independent as defined in Form N-CSR Item 3(a)(2).

Item 4. **Principal Accountant Fees and Services.**

The following fees paid to EY, the Registrant's former principal accounting firm, are for services rendered for the fiscal year ended May 31, 2024, and fees paid to Cohen & Company, Ltd. ("Cohen"), the Registrant's current principal accounting firm, are for services rendered for the fiscal year ended May 31, 2025.

(a) <u>Audit Fees</u>: For the Registrant's fiscal years ended May 31, 2025 and May 31, 2024, the aggregate
fees billed for professional services rendered by Cohen and EY for the audit of the Registrant's annual financial statements were
$34,000 and $34,600, respectively.

(b) <u>Audit-Related Fees</u>: For the Registrant's fiscal years ended May 31, 2025 and May 31, 2024,
the aggregate fees billed for assurance and related services by Cohen and EY that are reasonably related to the performance of the audit
of the Registrant's financial statements and are not reported under paragraph (a) of this Item were $0 and $0, respectively.

(c) <u>Tax Fees</u>: For the Registrant's fiscal years ended May 31, 2025 and May 31, 2024, aggregate
fees of $10,000 and $14,757, respectively, were billed for professional services rendered by Cohen and EY for tax compliance, tax advice,
and tax planning. Services for which fees in the Tax Fees category are billed include Cohen's and EY's review of the registrant's
U.S. federal income tax returns and the required state corporate income tax returns, as well as Cohen's and EY's review of
excise tax distribution calculations and EY's identification and analyzation of the passive foreign investment company status of
foreign corporate equities.

(d) <u>All Other Fees</u>: For the Registrant's fiscal years ended May 31, 2025 and May 31, 2024, no
fees were billed to the Registrant by Cohen and EY for services other than the services reported in paragraphs (a) through (c) of this
item.

(e)(1) <u>Audit Committee's Pre-Approval Policies and Procedures</u>: All services to be performed by the Registrant's principal auditors must be pre-approved by the Registrant's audit committee.

(e)(2) No services described in paragraphs (b) through (d) were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) The aggregate non-audit fees billed by Cohen and EY for the fiscal years ended May 31, 2025 and May 31,
2024 were $10,000 and $14,757, respectively.

(h) Not applicable.

(i) Not applicable.

(j) Not applicable.

Item 5. **Audit Committee of Listed Registrants.** 

(a) The registrant has a separately-designated standing Audit Committee. Francis X. Tracy and Nancy M. Morris,
each of whom is an independent trustee, are the

members of the Audit Committee.

(b) Not applicable.

Item 6. **Investments.**

(a) The Schedule of Investments is included as part of the registrant's Financial Statements filed
under Item 7(a) of this Form.

(b) Not applicable.

Item 7. **Financial Statements and Financial Highlights for Open-End Management Investment Companies.**

(a) The registrant's Financial Statements are attached herewith.

![](j25144762_aa001.jpg)

AltShares Trust

ADVISED BY WATER ISLAND CAPITAL

**AltShares Trust Annual Financial Statements and Additional Information**

**May 31, 2025**

**AltShares Merger Arbitrage ETF** **(NYSE Arca, Inc. Symbol: ARB)**

**AltShares Event-Driven ETF** **(NYSE Arca, Inc. Symbol: EVNT)**

------

![](j25144762_ba002.jpg)

**TABLE OF CONTENTS**

---

| | |
|:---|:---|
| Item 7: Portfolio of Investments |  |
| [AltShares Merger Arbitrage ETF](#AltSharesMergerArbitrageETF-2) | 1 |
| [AltShares EventDriven ETF](#AltSharesEvent-DrivenETF-2) | 7 |
| Financial Statements and Financial Highlights |  |
| [Statements of Assets and Liabilities](#StatementsofAssetsandLiabilities-2) | 13 |
| [Statements of Operations](#StatementsofOperations-2) | 14 |
| [Statements of Changes in Net Assets](#StatementsofChangesinNetAssets-2) | 15 |
| Financial Highlights |  |
| [AltShares Merger Arbitrage ETF](#AltSharesMergerArbitrage-2) | 16 |
| [AltShares Event-Driven ETF](#AltSharesEvent-Driven-2) | 17 |
| [Notes to Financial Statements](#NotestoFinancialStatements-2) | 18 |
| [Report of Independent Registered Public Accounting Firm](#ReportofIndependentRegisteredPublicAccountingFirm-2) | 28 |
| [Other Information](#OtherInformation-2) | 29 |
| Item 8. Changes in and Disagreements with Accountants |  |
| Item 9. Proxy Disclosures |  |
| Item 10. Remuneration Paid to Directors, Officers, and Others |  |
| Item 11. Statement Regarding the Basis for the Board's Approval of Investment Advisory Contract |  |

---

------

AltShares Merger Arbitrage ETF Portfolio of Investments

*May 31, 2025*

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value** |
| **COMMON STOCKS - 92.63%** | **COMMON STOCKS - 92.63%** | **COMMON STOCKS - 92.63%** |
| **Advertising - 1.64%** | **Advertising - 1.64%** | **Advertising - 1.64%** |
| Interpublic Group of Cos., Inc. | 59459 | $1424638 |
| **Aerospace & Defense - 4.40%** | **Aerospace & Defense - 4.40%** | **Aerospace & Defense - 4.40%** |
| Triumph Group, Inc.<sup>(a)</sup> | 147841 | 3812819 |
| **Apparel - 5.37%** | **Apparel - 5.37%** | **Apparel - 5.37%** |
| Skechers USA, Inc., Class A<sup>(a)</sup> | 75001 | 4653062 |
| **Banks - 1.06%** | **Banks - 1.06%** | **Banks - 1.06%** |
| HarborOne Bancorp, Inc.<sup>(b)</sup> | 61172 | 696137 |
| Southern States Bancshares, Inc.<sup>(b)</sup> | 6406 | 220943 |
|  |  | 917080 |
| **Biotechnology - 6.16%** | **Biotechnology - 6.16%** | **Biotechnology - 6.16%** |
| Inozyme Pharma, Inc.<sup>(a)(b)</sup> | 199176 | 790729 |
| SpringWorks Therapeutics, Inc.<sup>(a)</sup> | 97452 | 4551983 |
|  |  | 5342712 |
| **Capital Market - 0.78%** | **Capital Market - 0.78%** | **Capital Market - 0.78%** |
| Bridge Investment Group Holdings, Inc., Class A<sup>(b)</sup> | 73191 | 673357 |
| **Commercial Services - 6.93%** | **Commercial Services - 6.93%** | **Commercial Services - 6.93%** |
| Cross Country Healthcare, Inc.<sup>(a)(b)</sup> | 108702 | 1432692 |
| Dun & Bradstreet Holdings, Inc.<sup>(b)</sup> | 432994 | 3901276 |
| Global Blue Group Holding AG<sup>(a)</sup> | 89964 | 668433 |
|  |  | 6002401 |
| **Distribution/Wholesale - 3.90%** | **Distribution/Wholesale - 3.90%** | **Distribution/Wholesale - 3.90%** |
| H&E Equipment Services, Inc. | 35678 | 3376566 |
| **Diversified Financial Services - 4.29%** | **Diversified Financial Services - 4.29%** | **Diversified Financial Services - 4.29%** |
| CI Financial Corp. | 162389 | 3719085 |
| **Electric - 7.68%** | **Electric - 7.68%** | **Electric - 7.68%** |
| Innergex Renewable Energy, Inc. | 278381 | 2770929 |
| TXNM Energy, Inc.<sup>(b)</sup> | 68583 | 3887970 |
|  |  | 6658899 |
| **Electronics - 3.23%** | **Electronics - 3.23%** | **Electronics - 3.23%** |
| FARO Technologies, Inc.<sup>(a)(b)</sup> | 66114 | 2801250 |
| **Entertainment - 2.23%** | **Entertainment - 2.23%** | **Entertainment - 2.23%** |
| Everi Holdings, Inc.<sup>(a)(b)</sup> | 136816 | 1930474 |
| **Environmental Control - 2.07%** | **Environmental Control - 2.07%** | **Environmental Control - 2.07%** |
| Renewi PLC | 153666 | 1795052 |
| **Food - 5.17%** | **Food - 5.17%** | **Food - 5.17%** |
| Kellanova | 54172 | 4476232 |
| **Healthcare - Products - 1.90%** | **Healthcare - Products - 1.90%** | **Healthcare - Products - 1.90%** |
| Biotage AB | 111610 | 1650817 |
| **Home Builders - 1.34%** | **Home Builders - 1.34%** | **Home Builders - 1.34%** |
| Landsea Homes Corp.<sup>(a)</sup> | 103000 | 1160810 |
| **Insurance - 2.21%** | **Insurance - 2.21%** | **Insurance - 2.21%** |
| ProAssurance Corp.<sup>(a)</sup> | 82637 | 1916352 |
| **Internet - 7.32%** | **Internet - 7.32%** | **Internet - 7.32%** |
| Deliveroo PLC<sup>(a)(c)</sup> | 773725 | 1829549 |
| Just Eat Takeaway.com N.V.<sup>(a)(c)</sup> | 204134 | 4511675 |
|  |  | 6341224 |
| **Iron/Steel - 3.04%** | **Iron/Steel - 3.04%** | **Iron/Steel - 3.04%** |
| Radius Recycling, Inc.<sup>(b)</sup> | 88923 | 2633010 |

---

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

------

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

*May 31, 2025*

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value** |
| **COMMON STOCKS - 92.63% (Continued)** | **COMMON STOCKS - 92.63% (Continued)** | **COMMON STOCKS - 92.63% (Continued)** |
| **Lodging - 4.28%** | **Lodging - 4.28%** | **Lodging - 4.28%** |
| Playa Hotels & Resorts NV<sup>(a)</sup> | 275434 | $3707342 |
| **Oil & Gas Services - 0.26%** | **Oil & Gas Services - 0.26%** | **Oil & Gas Services - 0.26%** |
| ChampionX Corp. | 9500 | 228665 |
| **Pharmaceuticals - 0.00%<sup>(d)</sup>** | **Pharmaceuticals - 0.00%<sup>(d)</sup>** | **Pharmaceuticals - 0.00%<sup>(d)</sup>** |
| Calliditas Therapeutics AB<sup>(a)(e)(f)</sup> | 1 | 22 |
| **Retail - 4.98%** | **Retail - 4.98%** | **Retail - 4.98%** |
| H&T Group PLC | 450 | 3844 |
| Walgreens Boots Alliance, Inc.<sup>(b)</sup> | 383192 | 4310910 |
|  |  | 4314754 |
| **Savings & Loans - 2.72%** | **Savings & Loans - 2.72%** | **Savings & Loans - 2.72%** |
| Brookline Bancorp, Inc.<sup>(b)</sup> | 82992 | 857308 |
| Pacific Premier Bancorp, Inc. | 70661 | 1498013 |
|  |  | 2355321 |
| **Software - 3.51%** | **Software - 3.51%** | **Software - 3.51%** |
| AvidXchange Holdings, Inc.<sup>(a)(b)</sup> | 310489 | 3039687 |
| **Telecommunications - 5.23%** | **Telecommunications - 5.23%** | **Telecommunications - 5.23%** |
| Frontier Communications Parent, Inc.<sup>(a)(b)</sup> | 125109 | 4532699 |
| GCI Liberty, Inc.<sup>(a)(e)</sup> | 2728 |  |
|  |  | 4532699 |
| **Transportation - 0.93%** | **Transportation - 0.93%** | **Transportation - 0.93%** |
| Andlauer Healthcare Group, Inc. | 20699 | 806180 |
| **TOTAL COMMON STOCKS**<br> (Cost $79,548,660) | **TOTAL COMMON STOCKS**<br> (Cost $79,548,660) | 80270510 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Yield** | **Shares** | **Value** |
| **SHORT-TERM INVESTMENTS - 5.56%** | **SHORT-TERM INVESTMENTS - 5.56%** | **SHORT-TERM INVESTMENTS - 5.56%** | **SHORT-TERM INVESTMENTS - 5.56%** |
| **Money Market Funds**  | **Money Market Funds**  | **Money Market Funds**  | **Money Market Funds**  |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class | 4.227<br> %<sup>(g)</sup> | 2411491 | $2411491 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 4.373<br> %<sup>(g)</sup> | 2411492 | 2411492 |
|  |  |  | 4822983 |
| **TOTAL SHORT-TERM INVESTMENTS**<br> (Cost $4,822,983) | **TOTAL SHORT-TERM INVESTMENTS**<br> (Cost $4,822,983) | **TOTAL SHORT-TERM INVESTMENTS**<br> (Cost $4,822,983) | 4822983 |
| **Total Investments - 98.19%**<br> (Cost $84,371,643) | **Total Investments - 98.19%**<br> (Cost $84,371,643) | **Total Investments - 98.19%**<br> (Cost $84,371,643) | 85093493 |
| **Other Assets in Excess of Liabilities - 1.81%<sup>(h)</sup>** | **Other Assets in Excess of Liabilities - 1.81%<sup>(h)</sup>** | **Other Assets in Excess of Liabilities - 1.81%<sup>(h)</sup>** | 1564802 |
| **NET ASSETS - 100.00%** | **NET ASSETS - 100.00%** | **NET ASSETS - 100.00%** | $86658295 |

---

**Portfolio Footnotes**

*<sup>(a)</sup> Non-income-producing security.*

*<sup>(b)</sup> Security, or a portion of security, is being held as collateral for swaps, short sales or forward foreign currency exchange contracts. At May 31, 2025, the aggregate fair market value of those securities was $22,900,320, representing 26.43% of net assets.*

*<sup>(c)</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of May 31, 2025, these securities had a total value of $6,341,224 or 7.32% of net assets.*

*<sup>(d)</sup> Less than 0.005% of net assets.*

*<sup>(e)</sup> Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of May 31, 2025, the total fair market value of these securities was $22, representing 0.0% of net assets.*

*See Notes to Financial Statements.*

www.altsharesetfs.com \| 1-855-955-1607

------

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

*May 31, 2025*

*<sup>(f)</sup> Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $22 or 0.0% of net assets.*

---

| | | |
|:---|:---|:---|
| **Restricted Security** | **Acquisition<br>Date** | **Acquisition<br>Cost** |
| Calliditas Therapeutics AB | 09/18/2024 | $20 |
| **Total** |  | $**20** |

---

*<sup>(g)</sup> Rate shown is the 7-day effective yield as of May 31, 2025.*

*<sup>(h)</sup> Includes cash held as collateral for short sales.*

---

| | | |
|:---|:---|:---|
| **SCHEDULE OF SECURITIES SOLD SHORT** | **Shares** | **Value** |
| **SECURITIES SOLD SHORT - (0.67%)** | **SECURITIES SOLD SHORT - (0.67%)** | **SECURITIES SOLD SHORT - (0.67%)** |
| **COMMON STOCKS SOLD SHORT - (0.67%)** | **COMMON STOCKS SOLD SHORT - (0.67%)** | **COMMON STOCKS SOLD SHORT - (0.67%)** |
| **Advertising - (0.06%)** | **Advertising - (0.06%)** | **Advertising - (0.06%)** |
| Omnicom Group, Inc. | (644) | $(47295) |
| **Banks - (0.61%)** | **Banks - (0.61%)** | **Banks - (0.61%)** |
| Eastern Bankshares, Inc. | (35295) | (529425) |
| **TOTAL SECURITIES SOLD SHORT**<br> (Proceeds $577,214) | **TOTAL SECURITIES SOLD SHORT**<br> (Proceeds $577,214) | $(576720) |

---

**EQUITY SWAP CONTRACTS**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty/<br>Payment Frequency** | **Reference<br>Obligation** | **Rate Paid/Received<br>by the Fund** | **Termination<br>Date** | **Upfront <br>Payments <br>Made** | **Upfront <br>Payments <br>Received** | **Market <br>Value** | **Notional<br>Amount** | **Notional<br>Amount** | **Unrealized<br>Appreciation** |
| Morgan Stanley & Co./ <br>Upon Termination | Apollo Global Management, Inc. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>05/06/2026 | $— | $— | $35837 | USD | 709084 | $35837 |
| Morgan Stanley & Co./ <br>Upon Termination | Berkshire Hills Bancorp, Inc. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>05/06/2026 |  |  | 86635 | USD | 942435 | 86635 |
| Morgan Stanley & Co./ <br>Upon Termination | Columbia Banking System, Inc. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>05/06/2026 |  |  | 76215 | USD | 1608373 | 76215 |
| Morgan Stanley & Co./ <br>Upon Termination | Herc Holdings, Inc. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>05/06/2026 |  |  | 9982 | USD | 255942 | 9982 |
|  |  |  |  |  |  | $208669 |  |  | $208669 |
| **Swap Counterparty/<br>Payment Frequency** | **Reference<br>Obligation** | **Rate Paid/Received<br>by the Fund** | **Termination<br>Date** | **Upfront <br>Payments <br>Made** | **Upfront <br>Payments <br>Received** | **Market <br>Value** | **Notional<br>Amount** | **Notional<br>Amount** | **Unrealized<br>Depreciation** |
| Morgan Stanley & Co./ <br>Upon Termination | FB Financial Corp. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>05/06/2026 | $— | $— | $(4501) | USD | 218511 | $(4501) |
| Morgan Stanley & Co./ <br>Upon Termination | Omnicom Group, Inc. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>05/06/2026 |  |  | (5511) | USD | 1471299 | (5511) |
|  |  |  |  |  |  | $(10012) |  |  | $(10012) |

---

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

------

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

*May 31, 2025*

**OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Currency <br>Purchased** | **Currency <br>Purchased** | **Currency Sold** | **Currency Sold** | **Counterparty** | **Settlement <br>Date** | **Unrealized <br>Appreciation** |
| CAD | 2903350 | USD | 2054147 | Morgan Stanley & Co. | 06/16/2025 | $62933 |
| USD | 27012 | DKK | 177000 | Morgan Stanley & Co. | 06/16/2025 | 47 |
| EUR | 706630 | USD | 799192 | Morgan Stanley & Co. | 06/16/2025 | 3800 |
| USD | 115280 | EUR | 100930 | Morgan Stanley & Co. | 06/16/2025 | 587 |
| GBP | 2390700 | USD | 3164779 | Morgan Stanley & Co. | 06/16/2025 | 56523 |
| USD | 285890 | GBP | 211600 | Morgan Stanley & Co. | 06/16/2025 | 774 |
| NOK | 6083900 | USD | 577871 | Morgan Stanley & Co. | 06/16/2025 | 18149 |
| SEK | 1765700 | USD | 183837 | Morgan Stanley & Co. | 06/16/2025 | 484 |
| USD | 270896 | SEK | 2581420 | Morgan Stanley & Co. | 06/16/2025 | 1423 |
|  |  |  |  |  |  | $144720 |
| **Currency<br>Purchased** | **Currency<br>Purchased** | **Currency Sold** | **Currency Sold** | **Counterparty** | **Settlement <br>Date** | **Unrealized <br>Depreciation** |
| USD | 9288509 | CAD | 13130940 | Morgan Stanley & Co. | 06/16/2025 | $(286383) |
| DKK | 12902200 | USD | 1968730 | Morgan Stanley & Co. | 06/16/2025 | (3131) |
| USD | 1870717 | DKK | 12725200 | Morgan Stanley & Co. | 06/16/2025 | (67918) |
| USD | 5232432 | EUR | 4749620 | Morgan Stanley & Co. | 06/16/2025 | (164886) |
| USD | 6380064 | GBP | 4850100 | Morgan Stanley & Co. | 06/16/2025 | (155107) |
| USD | 572983 | NOK | 6083900 | Morgan Stanley & Co. | 06/16/2025 | (23037) |
| SEK | 6209300 | USD | 651783 | Morgan Stanley & Co. | 06/16/2025 | (3598) |
| USD | 2162663 | SEK | 21220090 | Morgan Stanley & Co. | 06/16/2025 | (52487) |
|  |  |  |  |  |  | $(756547) |

---

The following is a summary of investments classified by country exposure:

---

| | |
|:---|:---|
| **Country** | **% of Net Assets<sup>(a)</sup>** |
| United States | 73.43% |
| Netherlands | 9.49% |
| Canada | 8.42% |
| United Kingdom | 4.18% |
| Sweden | 1.90% |
| Switzerland | 0.77% |
| Other Assets in Excess of Liabilities | 1.81% |
|  | 100.00% |

---

*<sup>(a)</sup> These percentages represent long positions only and are not net of short positions.*

***Abbreviations:***

*AB - Aktiebolag is the Swedish term for a limited company.*

*AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.*

*bps - Basis Points. 100 Basis Points is equal to 1 percentage point.*

*CAD - Canadian dollar*

*DKK - Danish krone*

*EUR - Euro*

*GBP - British pound*

*NOK - Norwegian krone*

*NV - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.*

*PLC - Public Limited Company*

*SEK - Swedish krona*

*USD - United States Dollar*

*See Notes to Financial Statements.*

www.altsharesetfs.com \| 1-855-955-1607

------

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

*May 31, 2025*

The following table summarizes AltShares Merger Arbitrage ETF's investments and derivative financial instruments categorized in the fair value hierarchy as of May 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Fair Value\*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** | **Assets** | **Assets** | **Assets** | **Assets** |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Advertising | $1424638 | $— | $— | $1424638 |
| Aerospace & Defense | 3812819 |  |  | 3812819 |
| Apparel | 4653062 |  |  | 4653062 |
| Banks | 917080 |  |  | 917080 |
| Biotechnology | 5342712 |  |  | 5342712 |
| Capital Market | 673357 |  |  | 673357 |
| Commercial Services | 6002401 |  |  | 6002401 |
| Distribution/Wholesale | 3376566 |  |  | 3376566 |
| Diversified Financial Services | 3719085 |  |  | 3719085 |
| Electric | 6658899 |  |  | 6658899 |
| Electronics | 2801250 |  |  | 2801250 |
| Entertainment | 1930474 |  |  | 1930474 |
| Environmental Control | 1795052 |  |  | 1795052 |
| Food | 4476232 |  |  | 4476232 |
| Healthcare - Products | 1650817 |  |  | 1650817 |
| Home Builders | 1160810 |  |  | 1160810 |
| Insurance | 1916352 |  |  | 1916352 |
| Internet | 6341224 |  |  | 6341224 |
| Iron/Steel | 2633010 |  |  | 2633010 |
| Lodging | 3707342 |  |  | 3707342 |
| Oil & Gas Services | 228665 |  |  | 228665 |
| Pharmaceuticals |  |  | 22 | 22 |
| Retail | 4314754 |  |  | 4314754 |
| Savings & Loans | 2355321 |  |  | 2355321 |
| Software | 3039687 |  |  | 3039687 |
| Telecommunications | 4532699 |  | 0 | 4532699 |
| Transportation | 806180 |  |  | 806180 |
| Short-Term Investments | 4822983 |  |  | 4822983 |
| TOTAL | $85093471 | $— | $22 | $85093493 |
| **Other Financial Instruments\*\*\*** | **Other Financial Instruments\*\*\*** | **Other Financial Instruments\*\*\*** | **Other Financial Instruments\*\*\*** | **Other Financial Instruments\*\*\*** |
| **Assets** | **Assets** | **Assets** | **Assets** | **Assets** |
| Forward Foreign Currency Exchange Contracts | $— | $144720 | $— | $144720 |
| Equity Swaps | 208669 |  |  | 208669 |
| **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** |
| Common Stocks\*\* | (576720) |  |  | (576720) |
| Forward Foreign Currency Exchange Contracts |  | (756547) |  | (756547) |
| Equity Swaps | (10012) |  |  | (10012) |
| TOTAL | $(378063) | $(611827) | $— | $(989890) |

---

*\* Refer to Note 2 where leveling hierarchy is defined.*

*\*\* Refer to Portfolio of Investments for sector information.*

*\*\*\* Other financial instruments are instruments such as securities sold short, equity swaps and forward foreign currency exchange contracts.*

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

------

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

*May 31, 2025*

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund's assets and liabilities during the period ended May 31, 2025:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Investments <br>in Securities** | **Balance as of <br>May 31, 2024** | **Realized <br>Gain <br>(Loss)** | **Change in <br>Unrealized <br>Appreciation <br>(Depreciation)** | **Purchases** | **Sales <br>Proceeds** | **Transfers <br>out of <br>Level 3** | **Balance as of <br>May 31,<br>2025** | **Net change in <br>Unrealized <br>Appreciation <br>(Depreciation) <br>from <br>investments <br>still held <br>as of <br>May 31, <br>2025** |
| Common Stock | $0 | $— | $2 | $20 | $— | $— | $22 | $2 |
| Total | $0 | $— | $2 | $20 | $— | $— | $22 | $2 |

---

The following table summarizes the quantitative inputs used for investments categorized as Level 3 of the fair value hierarchy as of May 31, 2025:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Investments in <br>Securities** | **Fair Value at <br>May 31, 2025** | **Valuation <br>Technique** | **Unobservable <br>Input** | **Range of <br>Values** | **Range of <br>Values** | **Weighted <br>Average** | **Weighted <br>Average** |
| Common Stocks | $22 | Transaction price | Deal Value | 208  | SEK | 208  | SEK |

---

*See Notes to Financial Statements.*

www.altsharesetfs.com \| 1-855-955-1607

------

AltShares Event-Driven ETF Portfolio of Investments

*May 31, 2025*

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value** |
| **COMMON STOCKS - 85.32%** | **COMMON STOCKS - 85.32%** | **COMMON STOCKS - 85.32%** |
| **Aerospace & Defense - 2.80%** | **Aerospace & Defense - 2.80%** | **Aerospace & Defense - 2.80%** |
| Triumph Group, Inc.<sup>(a)</sup> | 5677 | $146410 |
| **Apparel - 5.10%** | **Apparel - 5.10%** | **Apparel - 5.10%** |
| Skechers USA, Inc., Class A<sup>(a)</sup> | 2986 | 185251 |
| VF Corp.<sup>(b)</sup> | 6580 | 81987 |
|  |  | 267238 |
| **Biotechnology - 5.25%** | **Biotechnology - 5.25%** | **Biotechnology - 5.25%** |
| Aura Biosciences, Inc.<sup>(a)</sup> | 8778 | 51439 |
| SpringWorks Therapeutics, Inc.<sup>(a)</sup> | 4783 | 223414 |
|  |  | 274853 |
| **Commercial Services - 3.66%** | **Commercial Services - 3.66%** | **Commercial Services - 3.66%** |
| Cross Country Healthcare, Inc.<sup>(a)</sup> | 1467 | 19335 |
| Dun & Bradstreet Holdings, Inc. | 19132 | 172379 |
|  |  | 191714 |
| **Distribution/Wholesale - 4.97%** | **Distribution/Wholesale - 4.97%** | **Distribution/Wholesale - 4.97%** |
| H&E Equipment Services, Inc.<sup>(b)</sup> | 2750 | 260260 |
| **Diversified Financial Services - 2.62%** | **Diversified Financial Services - 2.62%** | **Diversified Financial Services - 2.62%** |
| CI Financial Corp. | 5981 | 136979 |
| **Electric - 1.62%** | **Electric - 1.62%** | **Electric - 1.62%** |
| TXNM Energy, Inc. | 1493 | 84638 |
| **Electronics - 2.42%** | **Electronics - 2.42%** | **Electronics - 2.42%** |
| FARO Technologies, Inc.<sup>(a)(b)</sup> | 2986 | 126517 |
| **Entertainment - 3.81%** | **Entertainment - 3.81%** | **Entertainment - 3.81%** |
| Caesars Entertainment, Inc.<sup>(a)(b)</sup> | 2151 | 57819 |
| Penn Entertainment, Inc.<sup>(a)(b)</sup> | 9566 | 141864 |
|  |  | 199683 |
| **Healthcare - Services - 3.23%** | **Healthcare - Services - 3.23%** | **Healthcare - Services - 3.23%** |
| Amedisys, Inc.<sup>(a)(b)</sup> | 1797 | 169044 |
| **Insurance - 7.43%** | **Insurance - 7.43%** | **Insurance - 7.43%** |
| Enstar Group Ltd.<sup>(a)(b)</sup> | 540 | 180905 |
| ProAssurance Corp.<sup>(a)</sup> | 8967 | 207945 |
|  |  | 388850 |
| **Internet - 2.52%** | **Internet - 2.52%** | **Internet - 2.52%** |
| Just Eat Takeaway.com NV<sup>(a)(c)</sup> | 5981 | 132189 |
| **Iron/Steel - 4.81%** | **Iron/Steel - 4.81%** | **Iron/Steel - 4.81%** |
| U.S. Steel Corp.<sup>(d)</sup> | 4684 | 252093 |
| **Lodging - 1.90%** | **Lodging - 1.90%** | **Lodging - 1.90%** |
| Marcus Corp.<sup>(b)</sup> | 644 | 11901 |
| Playa Hotels & Resorts NV<sup>(a)</sup> | 6500 | 87490 |
|  |  | 99391 |
| **Media - 1.87%** | **Media - 1.87%** | **Media - 1.87%** |
| Paramount Global, Class B<sup>(d)</sup> | 8073 | 97683 |
| **Oil & Gas - 5.17%** | **Oil & Gas - 5.17%** | **Oil & Gas - 5.17%** |
| Hess Corp. | 1752 | 231597 |
| Weatherford International PLC | 894 | 38978 |
|  |  | 270575 |
| **Oil & Gas Services - 2.75%** | **Oil & Gas Services - 2.75%** | **Oil & Gas Services - 2.75%** |
| ChampionX Corp. | 5981 | 143963 |
| **Pharmaceuticals - 1.49%** | **Pharmaceuticals - 1.49%** | **Pharmaceuticals - 1.49%** |
| Amneal Pharmaceuticals, Inc.<sup>(a)(b)</sup> | 8967 | 65638 |
| Bayer AG, ADR | 1764 | 12472 |
|  |  | 78110 |

---

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

------

AltShares Event-Driven ETF Portfolio of Investments (continued)

*May 31, 2025*

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value** |
| **COMMON STOCKS - 85.32% (Continued)** | **COMMON STOCKS - 85.32% (Continued)** | **COMMON STOCKS - 85.32% (Continued)** |
| **Real Estate - 1.81%** | **Real Estate - 1.81%** | **Real Estate - 1.81%** |
| McGrath RentCorp | 45 | $5057 |
| Redfin Corp.<sup>(a)</sup> | 8967 | 89580 |
|  |  | 94637 |
| **Real Estate Investment Trusts - 0.88%** | **Real Estate Investment Trusts - 0.88%** | **Real Estate Investment Trusts - 0.88%** |
| InterRent Real Estate Investment Trust | 4648 | 46231 |
| **Retail - 2.80%** | **Retail - 2.80%** | **Retail - 2.80%** |
| Dick's Sporting Goods, Inc. | 499 | 89491 |
| Foot Locker, Inc.<sup>(a)(b)</sup> | 2396 | 56929 |
|  |  | 146420 |
| **Savings & Loans - 2.91%** | **Savings & Loans - 2.91%** | **Savings & Loans - 2.91%** |
| Pacific Premier Bancorp, Inc.<sup>(b)</sup> | 7179 | 152195 |
| **Semiconductors - 0.67%** | **Semiconductors - 0.67%** | **Semiconductors - 0.67%** |
| Intel Corp.<sup>(b)</sup> | 1797 | 35131 |
| **Software - 7.79%** | **Software - 7.79%** | **Software - 7.79%** |
| ANSYS, Inc.<sup>(a)(b)</sup> | 407 | 134644 |
| AvidXchange Holdings, Inc.<sup>(a)(b)</sup> | 14079 | 137833 |
| E2open Parent Holdings, Inc.<sup>(a)</sup> | 19000 | 60990 |
| Informatica, Inc., Class A<sup>(a)(d)</sup> | 3095 | 74311 |
|  |  | 407778 |
| **Telecommunications - 2.82%** | **Telecommunications - 2.82%** | **Telecommunications - 2.82%** |
| Juniper Networks, Inc.<sup>(b)</sup> | 4103 | 147421 |
| **Transportation - 2.22%** | **Transportation - 2.22%** | **Transportation - 2.22%** |
| Andlauer Healthcare Group, Inc. | 2986 | 116298 |
| **TOTAL COMMON STOCKS**<br> (Cost $4,468,899) | **TOTAL COMMON STOCKS**<br> (Cost $4,468,899) | 4466301 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **<sup></sup>** | **Maturity <br>Date** | **<br>Rate** | **Principal <br>Amount** | **<br>Value** |
| **CORPORATE BONDS - 14.61%** | **CORPORATE BONDS - 14.61%** | **CORPORATE BONDS - 14.61%** | **CORPORATE BONDS - 14.61%** | **CORPORATE BONDS - 14.61%** |
| **Auto Parts & Equipment - 1.18%** | **Auto Parts & Equipment - 1.18%** | **Auto Parts & Equipment - 1.18%** | **Auto Parts & Equipment - 1.18%** | **Auto Parts & Equipment - 1.18%** |
| Dana, Inc. | 06/15/2028 | 5.625% | $62000 | $61706 |
| **Commercial Services - 1.80%** | **Commercial Services - 1.80%** | **Commercial Services - 1.80%** | **Commercial Services - 1.80%** | **Commercial Services - 1.80%** |
| Boost Newco Borrower LLC<sup>(c)</sup> | 01/15/2031 | 7.500% | 89000 | 94167 |
| **Diversified Financial Services - 1.47%** | **Diversified Financial Services - 1.47%** | **Diversified Financial Services - 1.47%** | **Diversified Financial Services - 1.47%** | **Diversified Financial Services - 1.47%** |
| Nationstar Mortgage Holdings, Inc.<sup>(c)</sup> | 08/15/2028 | 5.500% | 77000 | 76832 |
| **Electric - 1.08%** | **Electric - 1.08%** | **Electric - 1.08%** | **Electric - 1.08%** | **Electric - 1.08%** |
| Calpine Corp.<sup>(c)</sup> | 03/15/2028 | 5.125% | 57000 | 56505 |
| **Entertainment - 1.92%** | **Entertainment - 1.92%** | **Entertainment - 1.92%** | **Entertainment - 1.92%** | **Entertainment - 1.92%** |
| Everi Holdings, Inc.<sup>(c)</sup> | 07/15/2029 | 5.000% | 100000 | 100754 |
| **Healthcare - Products - 1.07%** | **Healthcare - Products - 1.07%** | **Healthcare - Products - 1.07%** | **Healthcare - Products - 1.07%** | **Healthcare - Products - 1.07%** |
| Bausch & Lomb Corp.<sup>(c)</sup> | 10/01/2028 | 8.375% | 54000 | 55828 |
| **Insurance - 0.71%** | **Insurance - 0.71%** | **Insurance - 0.71%** | **Insurance - 0.71%** | **Insurance - 0.71%** |
| AssuredPartners, Inc.<sup>(c)</sup> | 01/15/2029 | 5.625% | 37000 | 36975 |
| **Machinery - Diversified - 1.51%** | **Machinery - Diversified - 1.51%** | **Machinery - Diversified - 1.51%** | **Machinery - Diversified - 1.51%** | **Machinery - Diversified - 1.51%** |
| TK Elevator Holdco GmbH<sup>(c)</sup> | 07/15/2028 | 7.625% | 79000 | 79110 |
| **Telecommunications - 3.87%** | **Telecommunications - 3.87%** | **Telecommunications - 3.87%** | **Telecommunications - 3.87%** | **Telecommunications - 3.87%** |
| Frontier Communications Holdings LLC<sup>(c)</sup> | 05/15/2030 | 8.750% | 193000 | 202800 |
| **TOTAL CORPORATE BONDS**<br> (Cost $761,113) |  |  |  | 764677 |

---

*See Notes to Financial Statements.*

www.altsharesetfs.com \| 1-855-955-1607

------

AltShares Event-Driven ETF Portfolio of Investments (continued)

*May 31, 2025*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **<sup></sup>** | **Maturity <br>Date** | **<br>Rate** | **Principal <br>Amount** | **<br>Value** |
| **CONVERTIBLE CORPORATE BONDS - 0.52%** | **CONVERTIBLE CORPORATE BONDS - 0.52%** | **CONVERTIBLE CORPORATE BONDS - 0.52%** | **CONVERTIBLE CORPORATE BONDS - 0.52%** | **CONVERTIBLE CORPORATE BONDS - 0.52%** |
| **Internet - 0.52%** | **Internet - 0.52%** | **Internet - 0.52%** | **Internet - 0.52%** | **Internet - 0.52%** |
| fuboTV, Inc. | 02/15/2026 | 3.250% | 28000 | $27247 |
| **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $27,298) |  |  |  | 27247 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value** |
| **RIGHTS<sup>(a)</sup> - 0.09%** | **RIGHTS<sup>(a)</sup> - 0.09%** | **RIGHTS<sup>(a)</sup> - 0.09%** |
| Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029<sup>(e)(f)</sup> | 2000 | $916 |
| Contra Abiomed, Inc. CVR, Expires 12/31/2030<sup>(e)(f)</sup> | 200 | 320 |
| Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027<sup>(e)(f)</sup> | 415 | 1105 |
| Contra CinCor Pharma, Inc. CVR, Expires 12/31/2027<sup>(e)(f)</sup> | 639 | 2427 |
| **TOTAL RIGHTS**<br> (Cost $3,791) | **TOTAL RIGHTS**<br> (Cost $3,791) | 4768 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **<sup></sup>** | **Expiration<br>Date** | **Exercise <br>Price** | **Notional <br>Amount** | **<sup></sup>Contracts** | **<sup></sup>Value** |
| **PURCHASED OPTIONS<sup>(a)</sup> - 0.00%<sup>(g)</sup>** | **PURCHASED OPTIONS<sup>(a)</sup> - 0.00%<sup>(g)</sup>** | **PURCHASED OPTIONS<sup>(a)</sup> - 0.00%<sup>(g)</sup>** | **PURCHASED OPTIONS<sup>(a)</sup> - 0.00%<sup>(g)</sup>** | **PURCHASED OPTIONS<sup>(a)</sup> - 0.00%<sup>(g)</sup>** | **PURCHASED OPTIONS<sup>(a)</sup> - 0.00%<sup>(g)</sup>** |
| **Put Options Purchased - 0.00%<sup>(g)</sup>** | **Put Options Purchased - 0.00%<sup>(g)</sup>** | **Put Options Purchased - 0.00%<sup>(g)</sup>** | **Put Options Purchased - 0.00%<sup>(g)</sup>** | **Put Options Purchased - 0.00%<sup>(g)</sup>** | **Put Options Purchased - 0.00%<sup>(g)</sup>** |
| Dana, Inc. | 09/2025 | $9.00 | $6652 | 4 | $0 |
| Paramount Global | 07/2025 | 9.00 | 60500 | 50 | 0 |
| **TOTAL PUT OPTIONS PURCHASED**<br> (Cost $6,097) |  |  |  |  | 0 |
| **Call Options Purchased - 0.00%<sup>(g)</sup>** | **Call Options Purchased - 0.00%<sup>(g)</sup>** | **Call Options Purchased - 0.00%<sup>(g)</sup>** | **Call Options Purchased - 0.00%<sup>(g)</sup>** | **Call Options Purchased - 0.00%<sup>(g)</sup>** | **Call Options Purchased - 0.00%<sup>(g)</sup>** |
| Herc Holdings, Inc. | 06/2025 | 140.00 | 12400 | 1 | 105 |
| Informatica, Inc. | 07/2025 | 25.00 | 50421 | 21 | 105 |
| **TOTAL CALL OPTIONS PURCHASED**<br> (Cost $1,437) |  |  |  |  | 210 |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $7,534) |  |  |  |  | 210 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Yield** | **Shares** | **Value** |
| **SHORT-TERM INVESTMENTS - 7.73%** | **SHORT-TERM INVESTMENTS - 7.73%** | **SHORT-TERM INVESTMENTS - 7.73%** | **SHORT-TERM INVESTMENTS - 7.73%** |
| **Money Market Funds**  | **Money Market Funds**  | **Money Market Funds**  | **Money Market Funds**  |
| Morgan Stanley Institutional Liquidity Fund - Government Portfolio, Institutional Class | 4.227<br> %<sup>(h)</sup> | 202361 | $202361 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | 4.373<br> %<sup>(h)</sup> | 202361 | 202361 |
|  |  |  | 404722 |
| **TOTAL SHORT-TERM INVESTMENTS**<br> (Cost $404,722) | **TOTAL SHORT-TERM INVESTMENTS**<br> (Cost $404,722) | **TOTAL SHORT-TERM INVESTMENTS**<br> (Cost $404,722) | 404722 |
| **Total Investments - 108.27%**<br> (Cost $5,673,357) | **Total Investments - 108.27%**<br> (Cost $5,673,357) | **Total Investments - 108.27%**<br> (Cost $5,673,357) | 5667925 |
| **Liabilities in Excess of Other Assets - (8.27%)<sup>(i)</sup>** | **Liabilities in Excess of Other Assets - (8.27%)<sup>(i)</sup>** | **Liabilities in Excess of Other Assets - (8.27%)<sup>(i)</sup>** | (433036) |
| **NET ASSETS - 100.00%** | **NET ASSETS - 100.00%** | **NET ASSETS - 100.00%** | $5234889 |

---

**Portfolio Footnotes**

*<sup>(a)</sup> Non-income-producing security.*

*<sup>(b)</sup> Security, or a portion of security, is being held as collateral for swaps, short sales or forward foreign currency exchange contracts. At May 31, 2025, the aggregate fair market value of those securities was $971,106, representing 18.55% of net assets.*

*<sup>(c)</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of May 31, 2025, these securities had a total value of $835,160 or 15.95% of net assets.*

*<sup>(d)</sup> Underlying security for a written/purchased call/put option.*

*<sup>(e)</sup> Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of May 31, 2025, the total fair market value of these securities was $4,768, representing 0.09% of net assets.*

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

------

AltShares Event-Driven ETF Portfolio of Investments (continued)

*May 31, 2025*

*<sup>(f)</sup> Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $4,768 or 0.09% of net assets.*

---

| | | |
|:---|:---|:---|
| **Restricted Security** | **Acquisition <br>Date** | **Acquisition <br>Cost** |
| Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029 | 03/07/2023 | $740 |
| Contra Abiomed, Inc. CVR, Expires 12/31/2030 | 12/21/2022 | 204 |
| Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027 | 01/09/2023 | 892 |
| Contra CinCor Pharma, Inc. CVR, Expires 12/31/2027 | 02/23/2023 | 1955 |
| **Total** |  | $**3791** |

---

*<sup>(g)</sup> Less than 0.005% of net assets.*

*<sup>(h)</sup> Rate shown is the 7-day effective yield as of May 31, 2025.*

*<sup>(i)</sup> Includes cash held as collateral for short sales.*

---

| | | |
|:---|:---|:---|
| **SCHEDULE OF SECURITIES SOLD SHORT** | **Shares** | **Value** |
| **SECURITIES SOLD SHORT - (0.98%)** | **SECURITIES SOLD SHORT - (0.98%)** | **SECURITIES SOLD SHORT - (0.98%)** |
| **COMMON STOCKS SOLD SHORT - (0.98%)** | **COMMON STOCKS SOLD SHORT - (0.98%)** | **COMMON STOCKS SOLD SHORT - (0.98%)** |
| **Software - (0.98%)** | **Software - (0.98%)** | **Software - (0.98%)** |
| Synopsys, Inc. | (111) | $(51502) |
| **TOTAL SECURITIES SOLD SHORT**<br> (Proceeds $56,371) | **TOTAL SECURITIES SOLD SHORT**<br> (Proceeds $56,371) | $(51502) |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **WRITTEN OPTIONS** | **Expiration<br>Date** | **Exercise<br>Price** | **Notional <br>Amount** | **Contracts** | **Value** |
| **Written Call Options**  | **Written Call Options**  | **Written Call Options**  | **Written Call Options**  | **Written Call Options**  | **Written Call Options**  |
| Paramount Global  | 07/2025 | $12.00 | $(13310) | (11) | $(506) |
|  | 06/2025 | 12.00 | (107690) | (89) | (3560) |
| U.S. Steel Corp. | 06/2025 | 44.00 | (16146) | (3) | (3540) |
|  | 06/2025 | 45.00 | (16146) | (3) | (2850) |
|  | 06/2025 | 43.00 | (16146) | (3) | (3387) |
|  | 06/2025 | 41.00 | (16146) | (3) | (3909) |
|  | 06/2025 | 42.00 | (16146) | (3) | (3675) |
|  | 06/2025 | 50.00 | (53820) | (10) | (4600) |
| **TOTAL WRITTEN CALL OPTIONS**<br> (Premiums received $11,876) | **TOTAL WRITTEN CALL OPTIONS**<br> (Premiums received $11,876) | **TOTAL WRITTEN CALL OPTIONS**<br> (Premiums received $11,876) | **TOTAL WRITTEN CALL OPTIONS**<br> (Premiums received $11,876) | **TOTAL WRITTEN CALL OPTIONS**<br> (Premiums received $11,876) | (26027) |
| **TOTAL WRITTEN OPTIONS**<br> (Premiums received $11,876) | **TOTAL WRITTEN OPTIONS**<br> (Premiums received $11,876) | **TOTAL WRITTEN OPTIONS**<br> (Premiums received $11,876) | **TOTAL WRITTEN OPTIONS**<br> (Premiums received $11,876) | **TOTAL WRITTEN OPTIONS**<br> (Premiums received $11,876) | $(26027) |

---

**EQUITY SWAP CONTRACTS**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty/<br>Payment Frequency** | **Reference<br>Obligation** | **Rate Paid/Received<br>by the Fund** | **Termination<br>Date** | **Upfront <br>Payments <br>Made** | **Upfront <br>Payments <br>Received** | **<br>Market <br>Value** | **Notional<br>Amount** | **Notional<br>Amount** | **Unrealized<br>Appreciation** |
| Morgan Stanley & Co./ <br>Upon Termination | Columbia Banking System, Inc. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>10/03/2025 | $— | $— | $8107 | USD | 138183 | $8107 |
| Morgan Stanley & Co./ <br>Upon Termination | Herc Holdings, Inc. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>10/03/2025 |  |  | 1421 | USD | 36505 | 1421 |
| Morgan Stanley & Co./ <br>Upon Termination | Rocket Cos., Inc. | Received 1 Month-Federal Rate <br>Minus 1633bps (12.000%) | <br>10/03/2025 |  |  | 11555 | USD | 101409 | 11555 |
| Morgan Stanley & Co./ <br>Upon Termination | Schlumberger NV | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>10/03/2025 |  |  | 28779 | USD | 97635 | 28779 |
| Morgan Stanley & Co./ <br>Upon Termination | Synopsys, Inc. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>10/03/2025 |  |  | 3549 | USD | 15215 | 3549 |
| Morgan Stanley & Co./ <br>Upon Termination | Chevron Corp. | Received 1 Month-Federal Rate <br>Minus 40bps (3.930%) | <br>10/03/2025 |  |  | 31375 | USD | 265660 | 31375 |
|  |  |  |  |  |  | $84786 |  |  | $84786 |

---

*See Notes to Financial Statements.*

www.altsharesetfs.com \| 1-855-955-1607

------

AltShares Event-Driven ETF Portfolio of Investments (continued)

*May 31, 2025*

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty/<br>Payment Frequency** | **Reference<br>Obligation** | **Rate Paid/Received<br>by the Fund** | **Termination<br>Date** | **Upfront <br>Payments <br>Made** | **Upfront <br>Payments <br>Received** | **Market <br>Value** | **Notional<br>Amount** | **Notional<br>Amount** | **Unrealized<br>Depreciation** |
| Morgan Stanley & Co./ <br>Upon Termination | Bayer AG | Paid 1 Month-Federal Rate <br>Plus 50bps (4.830%) | <br>10/23/2026 | $— | $— | $(794) | USD | 62840 | $(794) |
| Morgan Stanley & Co./ <br>Upon Termination | McGrath RentCorp | Paid 1 Month-Federal Rate <br>Plus 50bps (4.830%) | <br>10/23/2026 |  |  | (1030) | USD | 25917 | (1030) |
|  |  |  |  |  |  | $(1824) |  |  | $(1824) |

---

**OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Currency <br>Purchased** | **Currency <br>Purchased** | **Currency Sold** | **Currency Sold** | **Counterparty** | **Settlement <br>Date** | **Unrealized <br>Depreciation** |
| USD | 301248 | CAD | 420990 | Morgan Stanley & Co. | 06/16/2025 | $(5732) |
| USD | 247893 | EUR | 222910 | Morgan Stanley & Co. | 06/16/2025 | (5415) |
|  |  |  |  |  |  | $(11147) |

---

The following is a summary of investments classified by country exposure:

---

| | |
|:---|:---|
| **Country** | **% of Net Assets<sup>(a)</sup>** |
| United States | 91.33% |
| Canada | 6.79% |
| Netherlands | 4.19% |
| Bermuda | 3.46% |
| Germany | 1.75% |
| Ireland | 0.75% |
| Liabilities in Excess of Other Assets | (8.27%) |
|  | 100.00% |

---

*<sup>(a)</sup> These percentages represent long positions only and are not net of short positions.*

***Abbreviations:***

*ADR - American Depositary Receipt*

*AG - Aktiengesellschaft is a German term that refers to a corporation that is limited by shares, i.e., owned by shareholders.*

*bps - Basis Points. 100 Basis Points is equal to 1 percentage point.*

*CAD - Canadian dollar*

*CVR - Contingent Value Rights*

*EUR - Euro*

*LLC - Limited Liability Company*

*Ltd. - Limited*

*NV - Naamloze Vennootschap is the Dutch term for a public limited liability corporation.*

*PLC - Public Limited Company*

*USD - United States Dollar*

The following table summarizes AltShares Event-Driven ETF's investments and derivative financial instruments categorized in the fair value hierarchy as of May 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Fair Value\*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** | **Assets** | **Assets** | **Assets** | **Assets** |
| Common Stocks\*\* | $4466301 | $— | $— | $4466301 |
| Corporate Bonds\*\* |  | 764677 |  | 764677 |
| Convertible Corporate Bonds\*\* |  | 27247 |  | 27247 |
| Rights |  |  | 4768 | 4768 |
| Purchased Options | 210 |  |  | 210 |
| Short-Term Investments | 404722 |  |  | 404722 |
| TOTAL | $4871233 | $791924 | $4768 | $5667925 |

---

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

------

AltShares Event-Driven ETF Portfolio of Investments (continued)

*May 31, 2025*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Other Financial Instruments\*\*\*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** | **Assets** | **Assets** | **Assets** | **Assets** |
| Equity Swaps | $84786 | $— | $— | $84786 |
| **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** |
| Common Stocks\*\* | (51502) |  |  | (51502) |
| Written Options | (26027) |  |  | (26027) |
| Forward Foreign Currency Exchange Contracts |  | (11147) |  | (11147) |
| Equity Swaps | (1824) |  |  | (1824) |
| TOTAL | $5433 | $(11147) | $— | $(5714) |

---

*\* Refer to Note 2 where leveling hierarchy is defined.*

*\*\* Refer to Portfolio of Investments for sector information.*

*\*\*\* Other financial instruments are instruments such as written options, securities sold short, equity swaps and forward foreign currency exchange contracts.*

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund's assets and liabilities during the period ended May 31, 2025:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Investments <br>in Securities** | **Balance as of <br>May 31, 2024** | **Realized <br>Gain <br>(Loss)** | **Change in <br>Unrealized <br>Appreciation <br>(Depreciation)** | **Purchases** | **Sales <br>Proceeds** | **Transfers <br>into <br>Level 3** | **Transfers <br>out of <br>Level 3** | **Balance as of <br>May 31,<br>2025** | **Net change in <br>Unrealized <br>Appreciation <br>(Depreciation) <br>from <br>investments <br>still held <br>as of <br>May 31, <br>2025** |
| Rights | $4394 | $— | $374 | $— | $— | $— | $— | $4768 | $374 |
| Total | $4394 | $— | $374 | $— | $— | $— | $— | $4768 | $374 |

---

The following table summarizes the quantitative inputs used for investments categorized as Level 3 of the fair value hierarchy as of May 31, 2025:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Investments in <br>Securities** | **Fair Value at <br>May 31, 2025** | **Valuation <br>Technique** | **Unobservable <br>Input** | **Range of <br>Values** | **Weighted <br>Average** |
| Rights | $4768 | Broker Quote  | Discount Rate, Probability, <br>Broker Quote | 10%, 20.25% -<br>48.60%, $1.60 | 10%, 39.16%, $1.60 |

---

*See Notes to Financial Statements.*

www.altsharesetfs.com \| 1-855-955-1607

------

&nbsp;&nbsp;&nbsp;&nbsp;Statements of Assets and Liabilities

*May 31, 2025*

---

| | | |
|:---|:---|:---|
| | **AltShares <br>Merger <br>Arbitrage ETF** | **AltShares <br>Event-Driven ETF** |
| **ASSETS** | **ASSETS** | **ASSETS** |
| Investments: | Investments: | Investments: |
| At cost of investments | $84371643 | $5673357 |
| At fair value of investments (Note 2) | 85093493 | 5667925 |
| Cash | 22 |  |
| Cash denominated in foreign currency (Cost $1,944,400 and $0) | 1955439 |  |
| Deposits with brokers for securities sold short (Note 2) | 785719 | 50504 |
| Receivable for investment securities sold | 2246 | 1039359 |
| Receivable for capital shares sold |  | 1006826 |
| Unrealized appreciation on forward foreign currency exchange contracts (Note 9) | 144720 |  |
| Unrealized appreciation on swap contracts | 208669 | 84786 |
| Dividends and interest receivable | 55455 | 17011 |
| Total Assets | 88245763 | 7866411 |
| **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| Securities sold short, at value (Note 2) (proceeds $577,214 and $56,371) | 576720 | 51502 |
| Due to bank |  | 103047 |
| Written options, at value (Note 2) (premiums received $0 and $11,876) |  | 26027 |
| Payable for investment securities purchased | 204736 | 1540107 |
| Unrealized depreciation on forward foreign currency exchange contracts (Note 9) | 756547 | 11147 |
| Unrealized depreciation on swap contracts | 10012 | 1824 |
| Payable for capital shares redeemed |  | 892462 |
| Payable to Adviser (Note 5) | 39453 | 5406 |
| Total Liabilities | 1587468 | 2631522 |
| **NET ASSETS** | $86658295 | $5234889 |
| **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** | **NET ASSETS CONSIST OF:** |
| Paid-in capital | $87550356 | $5048493 |
| Distributable earnings (accumulated losses) | (892061) | 186396 |
| **NET ASSETS** | $86658295 | $5234889 |
| **PRICING OF SHARES:** | **PRICING OF SHARES:** | **PRICING OF SHARES:** |
| Net assets | $86658295 | $5234889 |
| Shares of beneficial interest outstanding <br>(unlimited number of shares authorized, no par value) | 3064000 | 469320 |
| Net asset value per share | $28.28 | $11.15 |

---

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

------

&nbsp;&nbsp;&nbsp;&nbsp;Statements of Operations

*For the Year Ended May 31, 2025*

---

| | | |
|:---|:---|:---|
| | **AltShares <br>Merger <br>Arbitrage ETF** | **AltShares <br>Event-Driven ETF** |
| **INVESTMENT INCOME** | **INVESTMENT INCOME** | **INVESTMENT INCOME** |
| Dividend income | $949897 | $38484 |
| Foreign taxes withheld on dividends | (17439) | (571) |
| Interest income |  | 50939 |
| Rebates on short sales, net of fees | 147292 | 8262 |
| Total Investment Income | 1079750 | 97114 |
| **EXPENSES** | **EXPENSES** | **EXPENSES** |
| Investment advisory fees (Note 5) | 574635 | 60774 |
| Dividend expense | 2146 | 2525 |
| Other expenses | 1500 | 275 |
| Total Expenses | 578281 | 63574 |
| Fees waived or reimbursed by the Adviser (Note 5) | (153236) |  |
| Net Expenses | 425045 | 63574 |
| **NET INVESTMENT INCOME** | 654705 | 33540 |
| **REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCIES** | **REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCIES** | **REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCIES** |
| Net realized gains (losses) from: | Net realized gains (losses) from: | Net realized gains (losses) from: |
| Investments | 4451333 | 340129 |
| Purchased option contracts |  | (24824) |
| Swap contracts | (898504) | (25155) |
| Securities sold short | 123906 | 6580 |
| Written option contracts |  | 38257 |
| Forward currency contracts | 60945 | 3882 |
| Foreign currency transactions (Note 9) | 269 | (2760) |
| Net change in unrealized appreciation (depreciation) on: | Net change in unrealized appreciation (depreciation) on: | Net change in unrealized appreciation (depreciation) on: |
| Investments | 836726 | 189889 |
| Securities sold short | 90483 | 4314 |
| Foreign currency transactions (Note 9) | 13481 | 39 |
| Purchased option contracts |  | (6206) |
| Written option contracts |  | (14699) |
| Swap contracts | (74636) | 99634 |
| Forward currency contracts | (668668) | (12171) |
| **NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS AND FOREIGN CURRENCIES** | 3935335 | 596909 |
| **NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS** | $4590040 | $630449 |

---

*See Notes to Financial Statements.*

www.altsharesetfs.com \| 1-855-955-1607

------

&nbsp;&nbsp;&nbsp;&nbsp;Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **AltShares Merger Arbitrage ETF** | **AltShares Merger Arbitrage ETF** | **AltShares Event-Driven ETF** | **AltShares Event-Driven ETF** |
| | **Year Ended<br>May 31, 2025** | **Year Ended<br>May 31, 2024** | **Year Ended<br>May 31, 2025** | **Year Ended<br>May 31, 2024** |
| **FROM OPERATIONS** | **FROM OPERATIONS** | **FROM OPERATIONS** | **FROM OPERATIONS** | **FROM OPERATIONS** |
| Net investment income | $654705 | $939515 | $33540 | $14178 |
| Net realized gains (losses) from: | Net realized gains (losses) from: | Net realized gains (losses) from: | Net realized gains (losses) from: | Net realized gains (losses) from: |
| Investments | 4451333 | 2856542 | 340129 | 215576 |
| Purchased option contracts |  |  | (24824) | (26722) |
| Swap contracts | (898504) | (1976079) | (25155) | (65219) |
| Securities sold short | 123906 | 157513 | 6580 | (9780) |
| Written option contracts |  | 33766 | 38257 | 13299 |
| Forward currency contracts | 60945 | 304137 | 3882 | 4161 |
| Foreign currency transactions | 269 | 69703 | (2760) | (891) |
| Net change in unrealized appreciation (depreciation) on: | Net change in unrealized appreciation (depreciation) on: | Net change in unrealized appreciation (depreciation) on: | Net change in unrealized appreciation (depreciation) on: | Net change in unrealized appreciation (depreciation) on: |
| Investments | 836726 | 2788146 | 189889 | 29040 |
| Securities sold short | 90483 | (89989) | 4314 | 148 |
| Foreign currency transactions | 13481 | 619 | 39 | 87 |
| Purchased option contracts |  |  | (6206) | (106) |
| Written option contracts |  | (38305) | (14699) | (10430) |
| Swap contracts | (74636) | 246917 | 99634 | (1346) |
| Forward currency contracts | (668668) | 41582 | (12171) | 5885 |
| Net increase in net assets resulting from operations | 4590040 | 5334067 | 630449 | 167880 |
| **FROM DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:** | **FROM DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:** |
| Distributions from distributable earnings | (897830) |  | (34793) | (18643) |
| Decrease in net assets from distributions to shareholders | (897830) |  | (34793) | (18643) |
| **FROM CAPITAL SHARE TRANSACTIONS (NOTE 8):** | **FROM CAPITAL SHARE TRANSACTIONS (NOTE 8):** | **FROM CAPITAL SHARE TRANSACTIONS (NOTE 8):** | **FROM CAPITAL SHARE TRANSACTIONS (NOTE 8):** | **FROM CAPITAL SHARE TRANSACTIONS (NOTE 8):** |
| Proceeds from shares sold | 54556586 | 49037487 | 1006826 | 1603802 |
| Payments for shares redeemed | (42719975) | (42487500) | (892462) |  |
| Net increase in net assets from capital share transactions | 11836611 | 6549987 | 114364 | 1603802 |
| **TOTAL INCREASE IN NET ASSETS** | 15528821 | 11884054 | 710020 | 1753039 |
| **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** | **NET ASSETS** |
| Beginning of year | 71129474 | 59245420 | 4524869 | 2771830 |
| End of year | $86658295 | $71129474 | $5234889 | $4524869 |

---

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

------

AltShares Merger Arbitrage ETF Financial Highlights

**Selected Per Share Data and Ratios for a Share Outstanding Throughout the Periods Presented:**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Year Ended May 31,** | **Year Ended May 31,** | **Year Ended May 31,** | **Year Ended May 31,** | **Year Ended May 31,** |
| | **2025** | **2024** | **2023** | **2022** | **2021** |
| **Net asset value, beginning of period** | $26.90 | $24.85 | $26.12 | $25.81 | $24.47 |
| **Income (loss) from investment operations** | **Income (loss) from investment operations** | **Income (loss) from investment operations** | **Income (loss) from investment operations** | **Income (loss) from investment operations** | **Income (loss) from investment operations** |
| Net investment income (loss)<sup>(a)</sup> | 0.24 | 0.36 | 0.15 | (0.01) | (0.04) |
| Net realized and unrealized gains (losses) on investments <br>and foreign currencies | 1.45 | 1.69 | (0.34) | 0.32 | 2.11 |
| Total from investment operations | 1.69 | 2.05 | (0.19) | 0.31 | 2.07 |
| **Less distributions** | **Less distributions** | **Less distributions** | **Less distributions** | **Less distributions** | **Less distributions** |
| From net investment income | (0.31) |  | (1.08) |  |  |
| From net realized gains |  |  |  |  | (0.73) |
| Total distributions | (0.31) |  | (1.08) |  | (0.73) |
| **Net asset value, end of period** | $28.28 | $26.90 | $24.85 | $26.12 | $25.81 |
| **Total return<sup>(b)</sup>** | 6.32% | 8.25% | (0.88)% | 1.20% | 8.55% |
| **Net assets, end of period (in 000s)** | $86658 | $71129 | $59245 | $78216 | $6555 |
| **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
| Gross expenses<sup>(c)(d)</sup> | 0.75% | 0.83% | 0.76% | 0.76% | 0.86% |
| Net expenses after advisory fees waived and expenses reimbursed<sup>(c)(d)(e)</sup> | 0.55% | 0.63% | 0.56% | 0.60<br> %<sup>(f)</sup> | 0.86% |
| Net investment income (loss) | 0.85% | 1.37% | 0.56% | (0.02)% | (0.14)% |
| **Portfolio turnover rate** | 431% | 550% | 449% | 414% | 594% |

---

*<sup>(a)</sup> Per share amounts were calculated using average shares outstanding for the year.*

*<sup>(b)</sup> Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.*

*<sup>(c)</sup> Dividend expense totaled 0.00%, 0.08%, 0.01%, 0.01% and 0.03% of average net assets for the years ended May 31, 2025, 2024, 2023, 2022, 2021, respectively. Interest rebate expense and line of credit interest expense totaled 0.00%, 0.00%, 0.00%, 0.00% and 0.08% of average net assets for the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively.*

*<sup>(d)</sup> See Note 5 for a discussion of waiver details.*

*<sup>(e)</sup> Excluding dividend and interest expenses, the Fund's net expenses after advisory fees waived and expenses reimbursed would have been 0.55%, 0.55%, 0.55%, 0.59% and 0.75% of average net assets for the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively.*

*<sup>(f)</sup> Reflects the Adviser's contractual advisory fee limit.*

*See Notes to Financial Statements.*

www.altsharesetfs.com \| 1-855-955-1607

------

AltShares Event-Driven ETF Financial Highlights

**Selected Per Share Data and Ratios for a Share Outstanding Throughout the Periods Presented:**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Year Ended May 31,** | **Year Ended May 31,** | **Year Ended May 31,** | **Year Ended May 31,** | **Year Ended May 31,** |
| | **2025** | **2024** | **2023** | **2022<sup>(a)</sup>** | **2021<sup>(a)</sup>** |
| **Net asset value, beginning of period** | $9.85 | $9.26 | $9.64 | $13.27 | $10.45 |
| **Income (loss) from investment operations** | **Income (loss) from investment operations** | **Income (loss) from investment operations** | **Income (loss) from investment operations** | **Income (loss) from investment operations** | **Income (loss) from investment operations** |
| Net investment income (loss)<sup>(b)</sup> | 0.07 | 0.04 | 0.03 | (0.02) | (0.22) |
| Net realized and unrealized gains (losses) on investments <br>and foreign currencies | 1.31 | 0.61 | (0.18) | (1.20) | 4.32 |
| Total from investment operations | 1.38 | 0.65 | (0.15) | (1.22) | 4.10 |
| **Less distributions** | **Less distributions** | **Less distributions** | **Less distributions** | **Less distributions** | **Less distributions** |
| From net investment income | (0.07) | (0.06) | (0.01) |  | (0.45) |
| From net realized gains | (0.01) |  | (0.22) | (2.41) | (0.83) |
| Total distributions | (0.08) | (0.06) | (0.23) | (2.41) | (1.28) |
| **Net asset value, end of period** | $11.15 | $9.85 | $9.26 | $9.64 | $13.27 |
| **Total return<sup>(c)</sup>** | 14.01% | 7.01% | (1.47)% | (10.57)% | 40.98<br> %<sup>(d)</sup> |
| **Net assets, end of period (in 000s)** | $5235 | $4525 | $2772 | $2789 | $3699 |
| **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** | **RATIOS TO AVERAGE NET ASSETS:** |
| Gross expenses<sup>(e)</sup> | 1.31% | 1.30% | 1.28% | 3.20% | 6.88% |
| Net expenses after advisory fees waived and expenses reimbursed<sup>(e)(f)</sup> | 1.31% | 1.30% | 1.28% | 1.52% | 2.30% |
| Net investment income (loss) | 0.69% | 0.41% | 0.31% | (0.20)% | (1.79)% |
| **Portfolio turnover rate** | 480% | 407% | 400% | 231% | 329% |

---

*<sup>(a)</sup> The Fund has adopted the performance history and assumed the financial information of its Predecessor Mutual Fund, the Water Island Long/Short Fund – Class I. The financial information shown is for the Predecessor Mutual Fund for the periods prior to September 20, 2021, the inception date of the Fund. (Note 1)*

*<sup>(b)</sup> Per share amounts were calculated using average shares outstanding for the year.*

*<sup>(c)</sup> Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.*

*<sup>(d)</sup> Total return is a measure of the change in the value of an investment in the Fund over the years covered, which assumes any dividends or capital gains distributions are reinvested in shares of the Fund. Returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares.*

*<sup>(e)</sup> Dividend expense totaled 0.05%, 0.05%, 0.03%, 0.17% and 0.09% of average net assets for the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively. Interest rebate expense and line of credit interest expense totaled 0.00%, 0.00%, 0.00%, 0.11% and 0.77% of average net assets for the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively.*

*<sup>(f)</sup> Excluding dividend and interest expenses, the Fund's net expenses after advisory fees waived and expenses reimbursed would have been 1.26%, 1.25%, 1.25%, 1.24% and 1.44% of average net assets for the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively.*

*See Notes to Financial Statements.*

Annual Report \| May 31, 2025

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AltShares Trust ETF Funds Notes to Financial Statements

*May 31, 2025*

1. ORGANIZATION

The AltShares Trust (the "Trust") is a Delaware statutory trust which was organized on June 6, 2019 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company issuing its shares in series. Each series represents a distinct portfolio with its own investment objective and policies. The two series presently authorized are the AltShares Merger Arbitrage ETF (the "Merger Arbitrage ETF") and the AltShares Event-Driven ETF (the "Event-Driven ETF"), each a "Fund" and collectively the "Funds." The Merger Arbitrage ETF commenced operations on May 7, 2020. The investment objective of the Merger Arbitrage ETF is to seek to provide investment results that closely correspond, before fees and expenses, to the performance of its underlying index, the Water Island Merger Arbitrage USD Hedged Index (the "Underlying Index"). The Event-Driven ETF commenced operations on September 20, 2021. The investment objective of the Event-Driven ETF is to seek to achieve capital appreciation over a full market cycle with lower volatility than the broad equity market. The Event-Driven ETF is the successor fund to the Water Island Long/Short Fund (the "Predecessor Mutual Fund") an open-end mutual fund (incepted December 31, 2014) that was a series of The Arbitrage Funds, a registered investment company advised by Water Island Capital, LLC. Effective as of the close of business on September 17, 2021, the Event-Driven ETF acquired the assets and assumed the liabilities, obligations, and the performance, financial, and other historical information of the Predecessor Mutual Fund. Historical information presented for the Event-Driven ETF for periods prior to September 20, 2021 is based on Class I of the Predecessor Mutual Fund. Water Island Capital, LLC acts as the Funds' investment adviser (the "Adviser"). The Adviser is responsible for overseeing the management and business affairs of the Funds, and has discretion to purchase and sell securities in accordance with the Funds' objectives, policies, and restrictions, subject to the authority of and supervision by the Trust's Board of Trustees (the "Board"). The Adviser continuously reviews, supervises, and administers the Funds' investment programs. The Funds, together with the series of The Arbitrage Funds, an open-end management investment company also advised by the Adviser, are part of a family of investment companies referred to as the Water Island Capital-Advised Funds.

Each Fund is a non-diversified exchange-traded fund ("ETF"). ETFs are funds that trade like other publicly-traded securities and may be designed to track an index or to be actively managed. The Merger Arbitrage ETF is passively managed and the Event-Driven ETF is actively managed. Shares of the Funds are listed and traded on the NYSE Arca, Inc. (the "NYSE"). Market price for the shares may be different from the net asset value ("NAV"). The Funds issue and redeem shares on a continuous basis at NAV only in blocks of 10,000 shares, called "Creation Units." Creation Units are issued and redeemed principally in-kind for securities included in a specified universe, with cash included to balance to the Creation Unit total. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of the Funds. Shares of the Funds may only be purchased or redeemed by certain financial institutions ("Authorized Participants"). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participation Agreement with the Funds' distributor. Most retail investors do not qualify as Authorized Participants to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

Each Fund currently offers one class of shares, which has no front-end sales load and no deferred sales charge. A purchase (i.e., creation) or redemption transaction fee is imposed for the transfer and other transaction costs associated with the purchase or redemption of Creation Units. The standard fixed creation transaction fee for each Fund is $250. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate the Funds for the transaction costs associated with such cash transactions. Variable fees received by the Funds are displayed in the capital shares transaction section of the Statements of Changes in Net Assets. Each Fund may issue an unlimited number of shares of beneficial interest, with no par value. All shares of the Funds have equal rights and privileges.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the Funds. These policies are in conformity with U.S. generally accepted accounting principles ("GAAP"). The Funds are considered investment companies for financial reporting purposes under GAAP and Accounting Standards Codification Topic 946 — *Financial Services — Investment Companies*.

**Use of Estimates** — The preparation of financial statements in conformity with GAAP required management to make estimates and assumptions that affected the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

**Valuation of Investments** — The Funds' portfolio securities are valued as of the close of trading of the New York Stock Exchange ("NYSE") (normally 4:00 p.m., Eastern standard time). Common stocks, mutual funds and other securities, including open short positions that are traded on a securities exchange, are valued at the last quoted sales price at the close of regular trading on the day the valuation is made. Securities which are quoted by NASDAQ are valued at the NASDAQ Official Closing Price. Price information on listed stocks is taken from the exchange where the security is primarily traded. Redeemable securities issued by open-end investment companies are valued at the investment company's respective net asset value, with the exception of exchange-traded open-end investment companies, which are priced as common stocks. Market quotations of foreign securities from the principal markets in which they trade may not be reliable if events or circumstances that may affect the value of portfolio securities occur between the time of the market quotation and the close of trading on the NYSE. If a significant event that affects the valuation of a foreign security occurs between the close of a foreign security's primary exchange and the time the Funds calculate the NAV, the Funds may fair value the foreign security to account for this discrepancy. Securities which are listed on an exchange but which are not traded on the valuation date will be valued at last bid if held long, and last ask if held short. All other equity securities for which over-the-counter (OTC) market quotations are readily available generally are valued at the mean of the current bid and asked prices. Exchange traded options are priced at the last traded price on the exchange in which they are traded. If a sales price is unavailable, then an exchange traded option would be priced at its bid price if held long or at its ask price if sold short. When there is no bid price available, options will typically be valued at zero. When there is no bid price available, put and call options will typically be valued at zero. Foreign currency forward contracts are valued at the current day's interpolated foreign exchange rate, as calculated using the current day's spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent source.

www.altsharesetfs.com \| 1-855-955-1607

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AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

Debt securities are normally priced based upon an evaluated bid provided by independent, third-party pricing services, if available. Evaluated bids are market-based measurements that represent the third-party pricing service's good faith opinion as to what the holder would receive in an orderly transaction (typically in an institutional round lot position) under current market conditions. The third-party pricing services may use a variety of inputs in arriving at an evaluated bid price, including actual market transactions, quotations from dealers and trading systems, or other inputs and methodologies designed to identify the market value for such securities. Bank loans are valued at the mean of the current bid and ask prices. Single name swap agreements are valued using a market-based price based on the underlying terms of the agreement obtained from a third-party pricing service or broker-dealer. Other swap agreements (such as baskets of securities) are valued based on the terms of the swap agreement as provided by an independent third party. If a third-party valuation is not available, these other swap agreements are valued based on the valuation provided by the counterparty.

Other assets and securities for which no quotations are readily available are valued at fair value using methods determined in good faith by the Adviser, whom the Board designated as each Fund's valuation designee. Some of the more common reasons that may necessitate that a security be valued at fair value include: the security's trading has been halted or suspended; the security has been delisted from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; the security has been acquired through completion of a merger/tender or the security's primary pricing source is not able or willing to provide a price. Common methods of fair valuation include the purchase price of a security or the terms of a deal that has closed. For non-routine fair valuations, the Adviser considers various factors in determining the fair value of a portfolio security or asset, such as fundamental business data relating to the issuer, borrower, or counterparty; the type, size, and cost of the investment; information regarding any transactions in or offers for the investment; the price and extent of public trading in other securities of the issuer or comparable companies; coupon payments, yield or cash flow data; business prospects of the issuer, borrower, or counterparty or of the industry of the issuer, borrower, or counterparty; or other relevant factors including, but not limited to, deal value. Foreign securities are translated from the local currency into U.S. dollars using currency exchange rates supplied by a quotation service.

**Fair Value Measurements** — In accordance with the authoritative guidance on fair value measurements under GAAP, the Funds disclose fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The guidance establishes three levels of the fair value hierarchy as follows:

Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;

Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumption about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3, whose fair value measurement considers several inputs, may include Level 1 or Level 2 inputs as components of the overall fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

For the year ended May 31, 2025, there were no significant changes to the Funds' fair value methodologies. Transfers for Level 3 securities, if any, are shown as part of the leveling table in the Funds' Portfolio of Investments.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, but not limited to, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is generally greatest for instruments categorized in Level 3. Due to the inherent uncertainty of valuation, the determination of values may differ significantly from values that would have been realized had a ready market for investments existed, and the differences could be material.

**Security Transactions** — Security transactions are accounted for on trade date. Gains and losses on securities sold are determined on a specific identification basis.

**Short Positions** — The Funds may sell securities short for investment or hedging purposes. Subsequent fluctuations in the market prices of securities sold short may require purchasing the securities at prices which may differ from the market value reflected on the Portfolio of Investments. As collateral for their short positions, the Funds maintain assets consisting of cash, cash equivalents or liquid securities. The amount of the collateral is required to be adjusted daily to reflect changes in the value of the securities sold short. The Funds are liable for any dividends and interest payable on securities while those securities are in a short position. The Funds may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The dividends on short sales and rebate income/fees are shown on the Statements of Operations.

**Collateral** — The Funds maintain a margin account with a broker that is used to hold proceeds received from short sales as well as daily mark-to-market adjustments. The balance is shown in the Statements of Assets and Liabilities as 'Deposits with brokers for securities sold short'. Further, short sales, swap, and forward contracts require the Funds to maintain additional collateral with the broker/counterparty and to pledge assets or cash which is held in a segregated tri-party account. Securities pledged as collateral are designated in the Schedule of Investments and cash collateral as 'Segregated cash for collateral' in the Statements of Assets and Liabilities.

Annual Report \| May 31, 2025

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AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

**Derivative Instruments and Hedging Activities** — The following discloses the Funds' use of derivative instruments and hedging activities.

Each Fund may enter into various types of derivative contracts, including, but not limited to, swap contracts, forward foreign currency exchange contracts, and purchased and written option contracts. In doing so, the Funds will employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity or debt securities: they require little or no initial cash investment; they can focus exposure on only certain selected risk factors; and they may not require the ultimate receipt or delivery of the underlying security (or securities) to satisfy the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of effecting a similar response to market factors. The Funds may, but are not required to, seek to reduce their currency risk by hedging part or all of its exposure to various foreign currencies.

**Risk of Investing in Derivatives** — In pursuit of their investment objectives, the Funds may use derivatives which may increase or decrease their exposure to the following market risk factors:

*Equity Risk:* Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. Investments in securities issued by small and medium capitalization companies tend to be less liquid and more volatile than stocks of companies with relatively large market capitalizations. To the extent the Funds invest in securities of small and medium capitalization companies, they may be more vulnerable to adverse business events than larger, more established companies.

*Interest Rate Risk:* Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of fixed income investments, and a decline in general interest rates will tend to increase the value of such investments. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

*Foreign Exchange Rate Risk:* Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the value of the foreign currency denominated security will increase as the dollar depreciates against the currency. Adverse changes in exchange rates may erode or reverse any gains produced by foreign currency denominated investments and may widen any losses.

*Credit Risk:* Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

The Funds' use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Funds are using derivatives to decrease or hedge exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected, resulting in losses for the combined or hedged positions.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Funds to increase their market value exposure relative to their net assets and can substantially increase the volatility of the Funds' performance.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative instruments and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.

Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell the derivative in the open market or otherwise close out the derivative in a timely manner, and counterparty credit risk, which is the risk that the counterparty to a transaction will not fulfill its obligation to the Funds. Associated risks can be different for each type of derivative and are discussed by derivative type in the notes that follow.

**Tracking Error Risk** — As a passively managed Fund, the Merger Arbitrage ETF seeks to track the performance of its respective Underlying Index, although it may not be successful in doing so. The divergence between the performance of the Fund and the Underlying Index, positive or negative, is called "tracking error." Tracking error can be caused by many factors and it may be significant.

**Shares of the Funds May Trade at Prices Other Than NAV** — Shares of the Funds may be bought and sold in the secondary market at market prices. Although it is expected that the market price of the shares of the Funds will approximate the Funds' NAV, there may be times when the market price and the NAV vary significantly. An investor may pay more than NAV when buying shares of the Funds in the secondary market, and an investor may receive less than NAV when selling those shares in the secondary market. The market price of Fund shares may deviate, sometimes significantly, from NAV during periods of market volatility or market disruption.

Please refer to each Fund's prospectus for a more complete description of the principal risks of investing in the Funds.

**Foreign Currency Exchange Contracts** — The Funds may enter into forward foreign currency exchange contracts as a way of managing foreign exchange rate risk. The Funds may enter into these contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The objective of the Funds' foreign currency hedging transactions is to reduce risk that the U.S. dollar value of the Funds' securities denominated in foreign currency will decline in value due to changes in foreign currency exchange rates.

Foreign currency exchange contracts held by the Funds at May 31, 2025 are disclosed in the Portfolio of Investments.

During the year ended May 31, 2025, the Funds entered into foreign currency exchange contracts to hedge currency risk.

**Warrants/Rights** — The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. The Funds typically use warrants and rights to adjust risk and return of their overall investment positions. Risks associated with the use of warrants and rights arise from the potential inability to enter into trading transactions because of an illiquid secondary

www.altsharesetfs.com \| 1-855-955-1607

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AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

market and from unexpected movements in security values. Warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than other types of derivatives. In addition, the terms of warrants or rights may limit the Funds' ability to exercise the warrants or rights at such times and in such quantities as the Funds would otherwise wish. Warrants and rights generally pay no dividends and confer no voting or other rights other than to purchase the underlying security.

Warrants and rights held by the Funds at May 31, 2025 are disclosed in the Portfolio of Investments.

**Swaps** — The Funds may enter into swap agreements, in which the Funds and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination, for hedging and non-hedging purposes. These transactions would be entered into in an attempt to obtain a particular return when it is considered desirable to do so, possibly at a lower cost to the Funds than if the Funds had invested directly in the asset that yielded the desired return. Swap agreements may be executed in a multilateral or other trade facility program, such as a registered exchange ("centrally cleared swaps") or may be privately negotiated in the over-the-counter market. The duration of a swap agreement typically ranges from a few weeks to more than one year. The gross returns to be exchanged or "swapped" between the parties are generally calculated with respect to a "notional amount" (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a "basket" of securities representing a particular index). In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the "CCP") and the Funds' counterparty on the swap agreement becomes the CCP.

Swap agreements are contracts in which one party agrees to make either periodic payments or a net payment upon termination based on the change in market value of underlying assets, which may include a specified security, basket of securities, defined portfolios of bonds, loans and mortgages, or securities indexes during the specified period in return for payments based on a fixed or variable interest rate or the total return from other underlying assets or indices. Swap agreements may be used to obtain exposure to a security or market index without owning or taking physical custody of such security or component securities of a market index. Swap agreements may effectively add leverage to the Funds' portfolio because, in addition to its total net assets, the Funds would be subject to investment exposure on the notional amount of the swap. Swaps are a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually an identified reference rate such as the SOFR (Secured Overnight Financing Rate) or the Federal Funds Rate, is spread to reflect the non-balance sheet nature of the product. Swaps can be designed with any underlying asset agreed upon between two parties. Typically no notional amounts are exchanged with swaps. Swap agreements entail the risk that a party will default on its payment obligations to the Funds thereunder. Swap agreements also entail the risk that the Funds will not be able to meet their obligation to the counterparty. Generally, the Funds will enter into swaps on a net basis (i.e., the two payment streams are netted out with the Funds receiving or paying, as the case may be, only the net amount of the two payments).

Most swap agreements entered into by the Funds calculate the obligations of the parties to the agreement on a "net basis." Consequently, the Funds' current obligations (or rights) under a swap agreement will generally be equal only to the net present value of amounts to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the "net amount"). The Funds' current obligations under a swap agreement will be accrued daily (offset against amounts owed to the Funds). Any net amount accrued but not yet paid to the Funds by the counterparty under a swap agreement (i.e., the Funds' current rights under the swap agreement) is recorded as unrealized appreciation until the amount is paid to the Funds. The Funds' maximum risk of loss from counterparty credit risk is generally limited to the net payment to be received by the Funds and/or the termination value at the end of the contract.

Whether the Funds' use of swap agreements will be successful in furthering their investment objectives will depend on the Adviser's ability to correctly predict whether certain types of investments are likely to produce greater returns than other investments. Swap agreements that cannot be terminated or sold within seven days may be considered to be illiquid investments. Moreover, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. Although centrally cleared swaps typically present less counterparty risk than non-centrally cleared swaps, the Funds that have entered into centrally cleared swaps are subject to the risk of the failure of the CCP. The Funds will enter into swap agreements only with counterparties that meet certain standards for creditworthiness (generally, such counterparties would have to be eligible counterparties under the terms of the Funds' repurchase agreement guidelines) or that are centrally cleared. Certain restrictions imposed on the Funds by the Internal Revenue Code of 1986, as amended (the "Code"), may limit the Funds' ability to use swap agreements. It is possible that developments in the swap market, including additional government regulation, could adversely affect the Funds' ability to terminate existing swap agreements or to realize amounts to be received under such agreements.

International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Master Agreements") govern over-the-counter financial derivative transactions entered into by the Funds and counterparty. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements.

Swap agreements held by the Funds at May 31, 2025 are disclosed in the Portfolio of Investments.

During the year ended May 31, 2025, the Funds entered into swap agreements to invest outside the U.S. more efficiently and to hedge positions within the U.S.

Annual Report \| May 31, 2025

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AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

**Fair Value and Activity of Derivative Instruments** — Fair values of derivatives presented in the financial statements are not netted with the fair value of other derivatives or with any collateral amounts posted by the Funds or any counterparty on the Statements of Assets and Liabilities. The fair value of derivative instruments for the Funds as of May 31, 2025, was as follows:

**Merger Arbitrage ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Derivatives Not<br>Accounted For As<br>Hedging Instruments** | **Asset Derivatives<br>Statements of Assets and <br>Liabilities Location** | **Fair Value** | **Liability Derivatives<br>Statements of Assets and <br>Liabilities Location** | **Fair Value** |
| Forward Foreign Currency Exchange Contracts<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; | Unrealized appreciation on<br>forward foreign currency <br>exchange contracts | $144720 | Unrealized depreciation on<br>forward foreign currency<br>exchange contracts | $756547 |
| Equity Contracts (swap contracts)<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; | Unrealized appreciation on <br>swap contracts | 208669 | Unrealized depreciation on<br>swap contracts | 10012 |
|  |  | $353389 |  | $766559 |

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**Event-Driven ETF**

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| | | | | |
|:---|:---|:---|:---|:---|
| **Derivatives Not<br>Accounted For As<br>Hedging Instruments** | **Asset Derivatives<br>Statements of Assets and<br>Liabilities Location** | **Fair Value** | **Liability Derivatives<br>Statements of Assets and<br>Liabilities Location** | **Fair Value** |
| Forward Foreign Currency Exchange Contracts<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; | Unrealized appreciation on <br>forward foreign currency <br>exchange contracts | $— | Unrealized depreciation on<br> forward foreign currency <br>exchange contracts | $11147 |
| Equity Contracts (swap contracts)<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; | Unrealized appreciation on<br>swap contracts | 84786 | Unrealized depreciation on<br>swap contracts | 1824 |
| Equity Contracts (purchased option contracts)<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; | Investments: at fair value of<br>investments | 210 |  |  |
| Equity Contracts (written option contracts) |  |  | Written options, at value | 26027 |
|  |  | $84996 |  | $38998 |

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The effect of derivative instruments on the Funds' Statements of Operations for the year ended May 31, 2025, was as follows:

**Merger Arbitrage ETF**

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| | | | |
|:---|:---|:---|:---|
| **Derivatives Not <br>Accounted For As <br>Hedging Instruments** | **Location Of Gains/(Loss) On <br>Derivatives Recognized In Income** | **Realized <br>Gain/(Loss) <br>On Derivatives <br>Recognized In <br>Income** | **Change in <br>Unrealized <br>Gain/(Loss) <br>On Derivatives <br>Recognized In <br>Income** |
| Forward Foreign Currency Exchange Contracts<br> &nbsp;&nbsp;&nbsp;&nbsp; <br> &nbsp;&nbsp;&nbsp;&nbsp; | Net realized gains (losses) from:<br>Forward currency contracts / Net change in unrealized <br>appreciation (depreciation) on: Forward currency contracts | $60945 | $(668668) |
| Swap Contracts<br> &nbsp;&nbsp;&nbsp;&nbsp; <br> &nbsp;&nbsp;&nbsp;&nbsp; | Net realized gains (losses) from:<br>Swap contracts / Net change in unrealized appreciation<br>(depreciation) on: Swap contracts | (898504) | (74636) |
|  |  | $(837559) | $(743304) |

---

**Event-Driven ETF**

---

| | | | |
|:---|:---|:---|:---|
| **Derivatives Not <br>Accounted For As <br>Hedging Instruments** | **Location Of Gains/(Loss) On <br>Derivatives Recognized In Income** | **Realized <br>Gain/(Loss) <br>On Derivatives <br>Recognized In <br>Income** | **Change in <br>Unrealized <br>Gain/(Loss) <br>On Derivatives <br>Recognized In <br>Income** |
| Forward Foreign Currency Exchange Contracts<br> &nbsp;&nbsp;&nbsp;&nbsp;<br> &nbsp;&nbsp;&nbsp;&nbsp; | Net realized gains (losses) from:<br>Forward currency contracts / Net change in unrealized<br>appreciation (depreciation) on: Forward currency contracts | $3882 | $(12171) |
| Swap Contracts<br> &nbsp;&nbsp;&nbsp;&nbsp;<br> &nbsp;&nbsp;&nbsp;&nbsp; | Net realized gains (losses) from:<br>Swap contracts / Net change in unrealized appreciation <br>(depreciation) on: Swap contracts | (25155) | 99634 |
| Equity Contracts (purchased option contracts)<br> &nbsp;&nbsp;&nbsp;&nbsp;<br> &nbsp;&nbsp;&nbsp;&nbsp; | Net realized gains (losses) from:<br>Purchased option contracts / Net change in unrealized <br>appreciation (depreciation) on: Purchased option contracts | (24824) | (6206) |
| Equity Contracts (written option contracts)<br> &nbsp;&nbsp;&nbsp;&nbsp;<br> &nbsp;&nbsp;&nbsp;&nbsp; | Net realized gains (losses) from:<br>Written option contracts / Net change in unrealized<br>appreciation (depreciation) on: Written option contracts | 38257 | (14699) |
|  |  | $(7840) | $66558 |

---

www.altsharesetfs.com \| 1-855-955-1607

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AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

Volume of derivative instruments held by the Funds during the year ended May 31, 2025, was as follows:

**Merger Arbitrage ETF**

---

| | | |
|:---|:---|:---|
| **Derivative Type** | **Unit of Measurement** | **Monthly Average** |
| Swap Contracts | Notional Quantity | $27743977 |
| Forward Foreign Currency Exchange Contracts | Net Contracts to Deliver/(Receive) | (10300083) |

---

**Event-Driven ETF**

---

| | | |
|:---|:---|:---|
| **Derivative Type** | **Unit of Measurement** | **Monthly Average** |
| Swap Contracts | Notional Quantity | $1071557 |
| Forward Foreign Currency Exchange Contracts | Net Contracts to Deliver/(Receive) | (192737) |
| Purchased Option Contracts | Contracts | 51 |
| Written Option Contracts | Contracts | (98) |

---

Certain derivative contracts are executed under either standardized netting agreements or, for exchange-traded derivatives, the relevant contracts for a particular exchange which contain enforceable netting provisions. A derivative netting arrangement creates an enforceable right of set-off that becomes effective, and affects the realization of settlement on individual assets, liabilities and collateral amounts, only following a specified event of default or early termination. Default events may include the failure to make payments or deliver securities timely, material adverse changes in financial condition or insolvency, the breach of minimum regulatory capital requirements, or loss of license, charter or other legal authorization necessary to perform under the contract.

The Funds held financial instruments such as equity swaps that are subject to enforceable netting arrangements or other similar agreements as of May 31, 2025. All other derivative contracts held by the Funds were not subject to netting agreements.

The following tables present financial instruments held by the Funds that are subject to enforceable netting arrangements or other similar agreements as of May 31, 2025:

**Merger Arbitrage ETF**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Amounts Not Offset in the <br>Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the <br>Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the <br>Statements of Assets and Liabilities** |
|<br>**Description** | **Gross** <br>**Amounts of <br>Recognized <br>Assets** | **Gross <br>Amounts<br>Offset in the**<br>**Statements of <br>Assets and <br>Liabilities** | **Net Amounts<br>Presented in**<br>**the Statements <br>of Assets and <br>Liabilities** | **Financial <br>Instruments** | **Cash <br>Collateral <br>Received** | **Net Amount** |
| Equity Swaps | $208669 | $(10012) | $198657 | $(198657) | $— | $— |
| Total | $208669 | $(10012) | $198657 | $(198657) | $— | $— |
|  | **Gross**  | **Gross<br>Amounts<br>Offset in the** | **Net Amounts <br>Presented in** | **Gross Amounts Not Offset in the <br>Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the <br>Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the <br>Statements of Assets and Liabilities** |
| **Description** | **Amounts of <br>Recognized <br>Liabilities** | **Statements of<br>Assets and<br>Liabilities** | **the Statements<br>of Assets and<br>Liabilities** | **Financial <br>Instruments** | **Cash <br>Collateral <br>Pledged** | **Net Amount** |
| Equity Swaps | $10012 | $(10012) | $— | $— | $— | $— |
| Total | $10012 | $(10012) | $— | $— | $— | $— |

---

**Event-Driven ETF**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Gross Amounts Not Offset in the<br>Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the<br>Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the<br>Statements of Assets and Liabilities** |
|<br>**Description** | **Gross** <br>**Amounts of <br>Recognized<br>Assets** | **Gross <br>Amounts<br>Offset in the**<br>**Statements of<br>Assets and<br>Liabilities** | **Net Amounts <br>Presented in**<br>**the Statements<br>of Assets and <br>Liabilities** | **Financial <br>Instruments** | **Cash <br>Collateral<br>Received** | **Net Amount** |
| Equity Swaps | $84786 | $(1824) | $82962 | $(82962) | $— | $— |
| Total | $84786 | $(1824) | $82962 | $(82962) | $— | $— |
|  | **Gross**  | **Gross <br>Amounts<br>Offset in the** | **Net Amounts<br>Presented in** | **Gross Amounts Not Offset in the<br>Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the<br>Statements of Assets and Liabilities** | **Gross Amounts Not Offset in the<br>Statements of Assets and Liabilities** |
| **Description** | **Amounts of <br>Recognized <br>Liabilities** | **Statements of<br>Assets and<br>Liabilities** | **the Statements<br>of Assets and<br>Liabilities** | **Financial<br>Instruments** | **Cash<br>Collateral<br>Pledged** | **Net Amount** |
| Equity Swaps | $1824 | $(1824) | $— | $— | $— | $— |
| Total | $1824 | $(1824) | $— | $— | $— | $— |

---

**Investment Income** — Interest income, adjusted for amortization of premium and accretion of discount, if any, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date, net of any non-reclaimable tax withholdings. Distributions from real estate investment trusts ("REITs") may be characterized as ordinary income, net capital gain, or a return of capital to the Funds. The proper characterization of REIT distributions is generally not known until after the end of each calendar year. As such, estimates are used in reporting the character of income and distributions for financial statement purposes when information is not available.

Annual Report \| May 31, 2025

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AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

**Dividends and Distributions to Shareholders** — Dividends arising from net investment income and net capital gain distributions, if any, are declared and paid at least annually to shareholders of the Funds. Dividends arising from net investment income, if any, are declared daily and paid monthly, and net capital gain distributions, if any, are declared and paid at least annually to shareholders.

**Cash** — The Funds may invest a portion of their assets in cash or cash items. These cash items and other high-quality debt securities may include money market instruments, such as securities issued by the U.S. Government and its agencies, bankers' acceptances, commercial paper, bank certificates of deposit and investment companies that invest primarily in such instruments. As of May 31, 2025, cash held by the Funds represented cash held at a third-party custodian.

**Federal Income Tax** — It is the Funds' policy to continue to comply with the special provisions of Subchapter M of the Code, as amended, applicable to regulated investment companies. As provided therein, in any fiscal year in which a fund so qualifies and distributes at least 90% of its taxable net income, a fund (but not the shareholders) will be relieved of Federal income tax on the income distributed. Accordingly, no provision for income taxes has been made.

As of and during the year ended May 31, 2025, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and, if applicable, penalties for any uncertain tax positions. Interest and penalty expense will be recorded as a component of interest or other tax expense. No interest or penalties were recorded during the year ended May 31, 2025. The Funds file U.S. federal, state, and local tax returns as required. The Funds' tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

3. INVESTMENT TRANSACTIONS

During the year ended May 31, 2025, cost of purchases and proceeds from sales and maturities of investment securities, excluding short-term investments, U.S. government securities, equity swap contracts, purchased and written option contracts and securities sold short, were as follows:

---

| | | |
|:---|:---|:---|
| | **Merger Arbitrage<br>ETF** | **Event-Driven <br>ETF** |
| Purchases | $316349559 | $20416513 |
| Sales and Maturities | 298564840 | 19981799 |

---

4. IN-KIND TRANSACTIONS

The consideration for the purchase of Creation Units of the Funds often consists of the in-kind deposit of a designated portfolio of equity securities, which constitutes an optimized representation of the securities held in each Fund's investment portfolio and an amount of cash. Investors purchasing and redeeming Creation Units are subject to a standard creation transaction fee and a standard redemption transaction fee paid to the custodian to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Purchasers and redeemers of Creation Units for cash are subject to an additional variable charge paid to the Funds that will offset the transaction costs to the Funds of buying or selling portfolio securities. In addition, purchasers and redeemers of shares in Creation Units are responsible for payment of the costs of transferring securities to or out of the Funds. From time to time, the Adviser may cover the cost of any transaction fees when believed to be in the best interests of the Funds.

The in-kind transaction activity for the year ended May 31, 2025 was $45,711,325 and $722,151 of in-kind purchases of securities and $40,741,813 and $817,577 of in-kind sales of securities for the Merger Arbitrage ETF and Event-Driven ETF, respectively. The realized gain (loss) for the year ended May 31, 2025 of in-kind sales of securities was $3,520,943 and $64,510 for the Merger Arbitrage ETF and Event-Driven ETF, respectively.

5. ADVISORY FEES

**Investment Advisory Agreement**

The Funds' investments are managed by the Adviser according to the terms of Investment Advisory Agreement. Under the Investment Advisory Agreement between the Adviser and the Funds, each Fund pays the Adviser an annual advisory fee based on its average daily net assets for the services and facilities the Adviser provides, payable at the annual rates set forth below:

---

| | |
|:---|:---|
| **Fund** | **Advisory Fee** |
| Merger Arbitrage ETF | 0.75% |
| Event-Driven ETF | 1.25% |

---

The Adviser agrees to pay all expenses of the Trust, except for the (i) the compensation payable to the Adviser under the Investment Advisory Agreement, (ii) payments under a Fund's Rule 12b-1 plan, if applicable, (iii) brokerage and similar portfolio management expenses, (iv) acquired fund fees and expenses, (v) liquidation or termination expenses, (vi) taxes (including, but not limited to, income, excise, transaction, transfer and withholding taxes), (vii) interest (including borrowing costs and dividend interest expenses on securities sold short), (viii) any securities-lending related fees and expenses, and (ix) litigation expenses and other extraordinary expenses (including litigation to which the Trust or the Funds may be party and indemnification of the trustees and officers with respect thereto).

The Adviser may from time to time voluntarily waive and/or reimburse fees or expenses of the Merger Arbitrage ETF in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, if any). Any such voluntary waiver or reimbursement may be eliminated by the Adviser at any time. Effective September 30, 2022, the Adviser voluntarily agreed to reduce the advisory fee for the Merger Arbitrage ETF to 0.55% of the Fund's average daily net assets when the Fund's assets are under $100 million, and to reduce the advisory fee to 0.65% of the Fund's average daily net assets when the Fund's assets are $100 million or more but less than $200 million. Under the voluntary agreement, no waiver will apply once the Fund's net assets reach $200 million. This voluntary arrangement may be eliminated by the Adviser at any time.

The Advisory Agreement provides that it may be terminated at any time, without the payment of any penalty by the Board of Trustees or by a majority of the outstanding Shares on 60 days' written notice to the Adviser, and by the Adviser upon 60 days' written notice to the Funds. The Advisory Agreement automatically terminates if it is assigned.

www.altsharesetfs.com \| 1-855-955-1607

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AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

6. ADMINISTRATOR, CUSTODIAN, TRANSFER AGENT AND DISTRIBUTOR

State Street Bank and Trust Company ("State Street") serves as Administrator for the Trust pursuant to an administration agreement ("Administration Agreement"). Under the Administration Agreement, State Street is responsible for certain administrative services associated with day-to-day operations of each Fund. State Street also serves as Custodian for the Funds pursuant to a custodian agreement ("Custodian Agreement"). As Custodian, State Street holds the Funds' assets and, as Fund Accounting Agent, calculates the net asset value of the Funds. State Street acts as a transfer agent for the Funds' authorized and issued shares of beneficial interest, and as dividend disbursing agent of the Trust. As compensation for these services, State Street receives certain out-of-pocket costs, transaction fees and asset-based fees which are accrued daily and paid monthly to State Street by the Adviser.

Foreside Financial Services, LLC (the "Distributor") serves as the Funds' distributor pursuant to a distribution agreement. The Adviser has agreed to compensate the Distributor to the extent that the Funds are not authorized to so compensate the Distributor.

7. RELATED PARTIES

As of May 31, 2025, the officers of the Trust were also employees of the Adviser.

8. CAPITAL SHARE TRANSACTIONS

Proceeds and payments on capital shares as shown in the Statements of Changes in Net Assets are the result of the following capital share transactions for the periods shown:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Year Ended<br>May 31, 2025** | **Year Ended<br>May 31, 2025** | **Year Ended<br>May 31, 2024** | **Year Ended<br>May 31, 2024** |
|<br>**Merger Arbitrage ETF** | **Shares** | **Value** | **Shares** | **Value** |
| Proceeds from shares sold | 1950000 | $54556586 | 1860000 | $49037487 |
| Payments for shares redeemed | (1530000) | (42719975) | (1600000) | (42487500) |
| Net increase | 420000 | $11836611 | 260000 | $6549987 |
|  | **Year Ended<br>May 31, 2025** | **Year Ended<br>May 31, 2025** | **Year Ended<br>May 31, 2024** | **Year Ended<br>May 31, 2024** |
| **Event-Driven ETF** | **Shares** | **Value** | **Shares** | **Value** |
| Proceeds from shares sold | 90000 | $1006826 | 160000 | $1603802 |
| Payments for shares redeemed | (80000) | (892462) |  |  |
| Net increase | 10000 | $114364 | 160000 | $1603802 |

---

9. FOREIGN CURRENCY TRANSLATION

Amounts denominated in or expected to settle in foreign currencies are translated to U.S. dollars based on exchange rates on the basis outlined below:

**A.** The market values of investment securities and other assets and liabilities are translated at the closing rate of exchange each day.

**B.** Purchases and sales of investment securities and income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions.

**C.** The Funds do not isolate that portion of the results of operations caused by changes in foreign exchange rates on investments from those caused by changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses on investments. Reported net realized foreign exchange gains or losses arise from 1) purchases and sales of foreign currencies; 2) currency gains or losses realized between the trade and settlement dates on security transactions; and 3) the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books, and the U.S. dollar equivalent of the amounts actually received or paid. Reported net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, resulting from changes in exchange rates.

10. CONTINGENCIES AND COMMITMENTS

The Funds indemnify the Trust's officers and trustees for certain liabilities that might arise from their performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

11. FEDERAL TAX INFORMATION

In order to avoid imposition of the excise tax applicable to regulated investment companies, it is each Fund's intention to declare as dividends in each calendar year at least 98.0% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts from prior years.

The amount of distributions from net investment income and net realized gains, if any, are determined in accordance with Federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. These "book/tax" differences are either temporary or permanent in nature and permanent differences are charged or credited to undistributed net investment income (loss), accumulated net realized gain (loss) or paid-in capital as appropriate in the period that the differences arise.

Permanent differences between the Funds' financial statements and income tax reporting requirements are primarily attributable to utilization of earnings and profits on shareholder redemptions and redemptions in-kind. These have no effect on the Funds' net assets or net asset value per share.

Annual Report \| May 31, 2025

------

AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

---

| | | |
|:---|:---|:---|
| **Fund** | **Distributable Earnings<br>(Accumulated Loss)** | **Paid-in Capital** |
| Merger Arbitrage ETF | $(3376075) | $3376075 |
| Event-Driven ETF | (86693) | 86693 |

---

The tax character of dividends and distributions declared and paid during the years ended May 31, 2025 and May 31, 2024 was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Year<br>Ended** | **Ordinary<br>Income** | **Long-Term<br>Capital Gains\*** | **Total<br>Distributions** |
| Merger Arbitrage ETF | 5/31/2025 | $897830 | $— | $897830 |
|  | 5/31/2024 |  |  |  |
| Event-Driven ETF | 5/31/2025 | $34793 | $— | $34793 |
|  | 5/31/2024 | 18643 |  | 18643 |

---

*\* The Funds designate these distributions as long-term capital gains dividends per IRC code section 852(b)(3)(C).*

As of May 31, 2025, the components of distributable earnings on a tax basis were as follows:

---

| | | |
|:---|:---|:---|
| | **Merger Arbitrage ETF** | **Event-Driven ETF** |
| Undistributed ordinary income | $— | $161924 |
| Accumulated capital gains/losses |  |  |
| Unrealized appreciation/(depreciation) | 625236 | 24794 |
| Capital loss carryover and late year ordinary loss deferrals | (1517297) |  |
| Other Temporary Differences |  | (322) |
| Total distributable earnings (accumulated loss) | $(892061) | $186396 |

---

As of May 31, 2025, the cost and aggregate gross unrealized appreciation/(depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Gross <br>Appreciation<br>(excess of value<br>over tax cost)** | **Gross<br>Depreciation<br>(excess of tax cost<br>over value)** | **Net Unrealized<br>Appreciation** | **Aggregate Cost<br>of Investments<br>for Income Tax<br>Purposes** |
| Merger Arbitrage ETF | $1585860 | $(973135) | $612725 | $84480768 |
| Event-Driven ETF | 118208 | (93453) | 24755 | 5643170 |

---

The differences between book-basis and tax-basis net unrealized appreciation/(depreciation) for the Funds are attributable to wash sales, straddle loss deferrals, partnership basis adjustments, premium amortization, unsettled short sales, swap (payable) receivables and forward contracts mark to market.

**Capital Losses**

As of May 31, 2025, the Merger Arbitrage ETF and the Event-Driven ETF had deferred capital loss carryforwards of $991,081 and $0, respectively, which may reduce the Funds' taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus may reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Funds of any liability for federal tax.

The Merger Arbitrage ETF and the Event-Driven ETF utilized $49,470 and $14,531, respectively, of capital loss carryforwards during the year ended May 31, 2025.

**Late Year Losses**

Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year. The Merger Arbitrage ETF elected to defer late year losses of $526,216 as of the year ending May 31, 2025.

12. RECENT ACCOUNTING PRONOUNCEMENTS

In December 2023, the FASB issued Accounting Standard Update No. 2023-09, Income Taxes (ASC 740) Improvements to Income Tax Disclosures ("ASU 2023-09"). The primary purpose of the amendments within ASU 2023-09 is to enhance the transparency and decision usefulness of income tax disclosures. The amendments in ASU 2023-09 require that public business entities on an annual basis (1) disclose specific categories in the rate reconciliation and (2) provide additional information for reconciling items that meet a quantitative threshold. The amendments in ASU 2023-09 are effective for public business entities beginning after December 15, 2024. Early adoption is permitted for annual financial statements that have not yet been issued or made available for issuance. The amendments in ASU 2023-09 should be applied on a prospective basis. Management is currently assessing the impact this ASU will have on our financial statements as well as the method by which we will adopt the new standard. The Adviser does not expect the guidance to have a material impact to the financial statements.

13. OPERATING SEGMENTS

The Funds have adopted the Financial Accounting Standards Board (FASB) Accounting Standards Update (ASU) 2023-07, Segment Reporting (Topic 280) – Improvements to Reportable Segment Disclosures. The update is limited to disclosure requirements and does not impact the Funds' financial positions or results of operations. The Funds operate as a single operating segment, which is an investment portfolio. The Funds' Investment Manager serves as the Chief Operating Decision Maker (CODM), evaluating fund-wide results and performance under a unified investment strategy. The CODM uses these measures to assess fund performance and allocate resources effectively. Internal reporting provided to the CODM aligns with the accounting policies and measurement principles used in the financial statements.

www.altsharesetfs.com \| 1-855-955-1607

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AltShares Trust ETF Funds Notes to Financial Statements (continued)

*May 31, 2025*

14. CHANGE IN ACCOUNTANT

On November 19, 2024, the Board, upon recommendation from the Audit Committee, approved and appointed Cohen & Company, Ltd. as the independent registered public accounting firm for the Funds for the fiscal year ending May 31, 2025. Effective November 25, 2024, Ernst & Young LLP ("EY") ceased to serve as the Funds' independent registered public accounting firm. During the Funds' fiscal years ended May 31, 2024 and 2023, and the interim period ended November 25, 2024, there have been no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedures.

15. SUBSEQUENT EVENTS

Management has evaluated subsequent events for the Funds through the date the financial statements were issued, and has concluded that there are no recognized subsequent events relevant for financial statement disclosure.

Annual Report \| May 31, 2025

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&nbsp;&nbsp;&nbsp;&nbsp;Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees of

AltShares Trust

**Opinion on the Financial Statements**

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of AltShares Trust comprising AltShares Merger Arbitrage ETF and AltShares Event-Driven ETF (the "Funds") as of May 31, 2025, the related statements of operations and changes in net assets, and the financial highlights for the year then ended, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of May 31, 2025, the results of their operations, changes in net assets, and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.

The Funds' financial statements and financial highlights for the years ended May 31, 2024, and prior, were audited by other auditors whose report dated July 30, 2024, expressed an unqualified opinion on those financial statements and financial highlights.

**Basis for Opinion**

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the Funds' auditor since 2025.

![](j25144762_ha003.jpg)

COHEN & COMPANY, LTD.

Philadelphia, Pennsylvania

July 29, 2025

www.altsharesetfs.com \| 1-855-955-1607

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AltShares Trust ETF Funds Other Information

*May 31, 2025 (Unaudited)*

**Changes in and Disagreements with Accountants for Open-end Management Investment Companies (Item 8 of Form N-CSR)**

**(a) Previous independent registered public accounting firm:** At a meeting held on November 19, 2024, the Funds' Board of Trustees (the "Board"), upon recommendation from the Audit Committee, approved and appointed Cohen & Company, Ltd. ("Cohen") as the independent registered public accounting firm for the Funds for the fiscal year ending May 31, 2025. Effective November 25, 2024, Ernst & Young LLP ("EY"), the independent registered public accounting firm for the Funds' fiscal year ended May 31, 2024, ceased to serve as the Fund's independent registered public accounting firm. EY's audit reports on the Funds' financial statements as of and for the fiscal years ended May 31, 2024 and 2023 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds' fiscal years ended May 31, 2024 and 2023, and the subsequent interim period through November 25, 2024, there were no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedures, which disagreements if not resolved to the satisfaction of EY would have caused them to make reference in connection with their opinion to the subject matter of the disagreement. During the Funds' fiscal years ended May 31, 2024 and 2023 and the subsequent interim period through November 25, 2024, there were no reportable events of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

**(b) New independent registered public accounting firm:** On November 19, 2024, the Board, upon recommendation from the Audit Committee, engaged Cohen as the new independent registered public accounting firm for the Funds for the fiscal year ending May 31, 2025. During the Funds' fiscal years ended May 31, 2024 and May 31, 2023, and the subsequent interim period through November 25, 2024, the Funds have not consulted with Cohen regarding the application of accounting principles to a specified transaction (either completed or proposed), the type of audit opinion that might be rendered on the Funds' financial statements; or any matter that was either: (i) the subject of a "disagreement," as defined in Item 304(a)(1)(iv) of Regulation S-K and the instructions thereto; or (ii) a "reportable event," as defined in Item 304(a)(1)(v) of Regulation S-K.

**Proxy Disclosures for Open-end Management Investment Companies (Item 9 of Form N-CSR)**

Not applicable.

**Remuneration Paid to Directors, Officers, and Others of Open-end Management Investment Companies (Item 10 of Form N-CSR)**

Each Board member serves as a Board member of each Fund within AltShares Trust. The Board members are not compensated directly by the Funds. The Board members are paid by the Adviser from the unitary management fees paid to the Adviser by each Fund.

**Statement Regarding the Basis for the Board's Approval of Investment Advisory Contract (Item 11 of Form N-CSR)**

As required under the Investment Company Act of 1940 (the "1940 Act"), the Board of Trustees (the "Board") of AltShares Trust (the "Trust"), which is comprised of AltShares Merger Arbitrage ETF and AltShares Event-Driven ETF (each, a "Fund" and, collectively, the "Funds"), determines annually whether to continue each Fund's investment advisory agreement with Water Island Capital, LLC, the investment adviser to each Fund (the "Adviser"). In considering the renewal of the agreements, the Board, including a majority of those Trustees who are not "interested persons" of the Funds (the "Independent Trustees"), as defined in the 1940 Act, met with representatives of the Adviser on May 12, 2025 and May 20, 2025 and in separate executive sessions in advance of and at the May 20, 2025 meeting (collectively, the "Meetings") and approved the continuation of the agreements after concluding that the continuation of the agreements was in the best interests of each Fund and its shareholders.

The Board requested and received materials relating to the agreements in advance of the Meetings. Among other things, the Board considered expense and performance comparisons with other funds in each Fund's peer group as determined by Broadridge Financial Solutions Inc. ("Broadridge"), an independent provider of fund industry data. The Board also considered additional substantial material prepared by the Funds' management, which generally included information including each Fund's average net assets; management fee and expense ratio; investment performance and risk metrics; information about services provided by the Adviser and profitability information. The Board also considered that it had reviewed the Funds' performance and other information requested by the Independent Trustees and provided by the Adviser and other service providers at the Meetings and throughout the year. In reviewing the agreements, the Board considered that the evaluation process with respect to the Adviser is an ongoing one and, in this regard, noted that it would continue to consider information at each regularly scheduled meeting regarding, among other matters, the services provided by the Adviser to the Funds.

In evaluating the agreements, the Board, including the Independent Trustees advised by independent legal counsel, considered the factors it deemed relevant, including, among other matters: (1) the nature, extent, and quality of the services provided by the Adviser; (2) the investment performance of the Funds; (3) the costs of the services provided and the Adviser's profitability with respect to its services to the Funds; (4) the extent to which economies of scale could be realized by the Adviser as each Fund grows and whether fee levels enable Fund shareholders to share in the benefits of potential economies of scale, if any; and (5) other benefits derived by the Adviser from its relationship with the Funds. In their deliberations, the Trustees did not identify any single factor which alone was responsible for the Board's decision to approve the agreement with respect to each Fund, and each Trustee may have given different weights to different factors and, thus, each Trustee may have had a different basis for his or her decision. In connection with its deliberations, the Board considered information provided by the Adviser throughout the year at regular Board meetings and between Board meetings, presentations from portfolio managers, as well as information furnished at or in advance of the Meetings.

**Nature, Extent, and Quality of Services**

Based on the written and oral reports received by the Board prior to and at the Meetings, including in executive session, the Board considered the nature, quality, and extent of the services provided by the Adviser under the advisory agreements. The Board also noted information received at regular meetings and at other times throughout the year related to the services rendered by the Adviser. The Trustees further noted their familiarity with the Adviser prior to the inception of the Funds based on their service as board members of a separate registered, open-end management investment company sponsored and advised by the Adviser.

The Board reviewed information regarding the overall organization and business functions of the Adviser, and considered the background and experience of the Adviser's senior management and the qualifications, backgrounds and responsibilities of the portfolio managers primarily responsible for the day-to-day portfolio management of the Funds and the extent of the resources devoted to each Fund's investment program. In this regard, the Independent Trustees held executive sessions with management in advance of and at the Meetings regarding changes to the Adviser's organizational structure and personnel that went into effect on March 1, 2025, and the rationale for those changes. The Board also considered that the Adviser provides a number of additional services to each Fund, including oversight of Fund service providers, duties with respect to the Funds' valuations, and operation of the Funds' compliance program. The Board considered the steps that the Adviser had taken during the past year to improve performance, including, without limitation, changes in personnel, enhancements in technology,

Annual Report \| May 31, 2025

------

AltShares Trust ETF Funds Other Information (continued)

*May 31, 2025 (Unaudited)*

and the Adviser's focus on evaluating risk and performance for the Funds. The Board also received and considered available information about the nature, extent and quality of services and fee rates offered to other clients of the Adviser for advisory services. In this regard, the Board noted that the AltShares Merger Arbitrage ETF uses a passively managed, rules-based investment approach and that there are no other accounts managed by the Adviser with a passive investment strategy. The Board also considered that the Adviser assumes significant entrepreneurial risk in sponsoring new funds and that the Adviser also bears and assumes significant ongoing risks, including investment, operational, enterprise, litigation, regulatory and compliance risks, with respect to the Funds.

**Investment Advisory Fee Rates and Expenses and Performance**

The Board reviewed and considered the contractual advisory fee rate for each Fund in light of the nature, extent and quality of the advisory services provided by the Adviser. The Board received and considered information on the contractual advisory fee rate and gross and net total operating expense ratios for each Fund in comparison to those of a group of funds within the Fund's Morningstar category selected independently by Broadridge (the "Peer Group") as well as to a larger group of funds selected by Broadridge in the same Morningstar category (the "Category"). For each Fund, the Board considered information provided by Broadridge on the Fund's effective advisory fee – that is, the contractual advisory fee in comparison with the contractual advisory fee that would have been charged by other funds within a Peer Group and Category assuming the other funds were similar in size to the Fund. The contractual advisory fee analysis does not take into account any fee waivers or expense reimbursements. The comparisons place a fund in various quartiles, with the first quartile being the lowest cost funds.

The performance of each Fund for the periods ended March 31, 2025, was compared to the performance of the funds within the Fund's Peer Group as well as to a larger group of funds selected by Broadridge in the same Morningstar category, regardless of asset size ("Performance Category"). The comparisons placed each Fund in various quartiles, with the first quartile being the best performing funds. The Board also received and considered additional information provided by the Adviser on comparisons of the performance of each Fund relative to its target index, in the case of AltShares Merger Arbitrage ETF, or to its performance benchmark index, in the case of AltShares Event-Driven ETF, and to additional securities indices and funds that the Adviser deemed relevant to the Board's considerations. The Independent Trustees also reviewed performance in relation to certain measures of the degree of investment risk undertaken by the portfolio managers.

In evaluating the Funds' performance, the Board generally considered long-term performance to be more important than short-term performance and also took into account factors including general market conditions; the "style" in which the Funds are managed, as applicable, and whether that style is in or out of favor in the market; the relative sizes of the Funds; and fund cash flows.

The Board received a description of Broadridge's methodology for determining peer groups, and factored into its evaluation of each Fund's performance, fees and expenses the limitations inherent in the methodology for constructing peer groups and determining, from year to year, which funds should be included in which peer groups, among other things. The Board recognized these inherent limitations and, taking into account commentary and information from management, also recognized that comparisons between a Fund and other funds in a peer category may not be as relevant in certain circumstances, given that in some cases a Fund may notably differ (for example, in its management techniques, product structure or relative size) when compared to other funds in the peer group. The Board considered information provided by Broadridge that each Fund's product structure and investment focus limited the number of potential peers, and therefore the number of funds included in each Fund's peer group was relatively small, which, among other factors, can limit the relevance of the comparisons. While recognizing these inherent limitations, the Board believed the analysis conducted by Broadridge provided a useful measure of comparative performance.

*AltShares Merger Arbitrage ETF*

AltShares Merger Arbitrage ETF's performance was compared to that of funds comprising the Morningstar Event Driven Category. The Fund's net total return ranked in the third quartile of the Performance Category for the one-year period and in the second quartile for the three-year period. The Board also received and considered information regarding the tracking error achieved by the Adviser with respect to the Fund's performance relative to its target index, the Water Island Merger Arbitrage USD Hedged Index, as well as comparisons of the Fund's performance to additional securities indices and funds that the Adviser deemed relevant to the Board's considerations. The Board considered that the Fund had underperformed its target index over the three-year period, and further considered the Adviser's explanation of the reasons for the underperformance and the steps that the Adviser had undertaken to improve the tracking error in the future. The Board also reviewed performance in relation to certain measures of the degree of investment risk undertaken by the Fund. In evaluating the Fund's performance, the Board considered that a contractual expense limitation was in effect until September 30, 2022 which limited the Fund's advisory fee to 0.55% of the Fund's average daily net assets, and that without this expense limitation and certain voluntary fee waivers undertaken by the Adviser, the Fund's performance would have been lower. The Trustees recognized the Fund's relatively short track record of investment performance.

The Fund's effective advisory fee was in the first quartile of its Category and at the median of its Peer Group, and the Fund's net total operating expense ratio (i.e., the Fund's total operating expenses, net of waivers/reimbursements) was in the first quartile for the Category and below the median of the Peer Group. The Board noted that the Category included actively managed funds, while the Fund is passively managed; the Board further noted that the Fund's adjusted expense ratio (i.e., expenses net of any interest or dividends on short positions) is in line with passively managed merger arbitrage ETF peers. The Board further noted that the impact of certain voluntary fee waivers undertaken by the Adviser. In light of the Fund's current size and fee rate, the Board concluded that the fee structure was reasonable.

*AltShares Event-Driven ETF*

AltShares Event-Driven ETF's performance was compared to that of funds comprising the Morningstar Event Driven Category. The Fund's net total return ranked in the first quartile of the Performance Category for the one-, three-, five- and ten-year periods. The Fund's performance was also compared to the ICE BofA U.S. 3-Month Treasury Bill Index, as well as to additional securities indices and funds that the Adviser deemed relevant to the Board's considerations. The Fund outperformed the ICE BofA U.S. 3-Month Treasury Bill Index for the one-, three-, five- and ten-year periods and since inception. Due to regulatory requirements, the Fund's prospectus compares the Fund's performance to the Standard & Poor's 500® Index as a broad-based securities market index and includes the ICE BofA U.S. 3-Month Treasury Bill Index as an additional index. Taking into account the Fund's non-correlated alternative investment strategy, the Board considered the ICE BofA U.S. 3-Month Treasury Bill Index to be a more appropriate benchmark for evaluating the Fund's relative returns. The Board also reviewed performance in relation to certain measures of the degree of investment risk undertaken by the Fund. The Trustees recognized that the Fund succeeded to the assets and operations of its predecessor mutual fund in a conversion transaction that closed on September 17, 2021, and therefore the Fund has a relatively shorter track record of investment performance during its operation as an exchange traded fund. The Trustees further recognized that high, double-digit returns that the predecessor mutual fund had achieved during favorable market conditions were atypical and may not be repeatable.

www.altsharesetfs.com \| 1-855-955-1607

------

AltShares Trust ETF Funds Other Information (continued)

*May 31, 2025 (Unaudited)*

The Fund's effective advisory fee was in the third quartile of its Category and Peer Group and the Fund's net total operating expense ratio (i.e., the Fund's total operating expenses, net of any waivers/reimbursements) was in the second quartile for the Category and below the median for the Peer Group. It was noted that the median average net asset size of the funds in the Category and Peer Group was significantly larger than that of the Fund. In light of the Fund's current size and fee rate, the Board concluded that the fee structure was reasonable.

**Adviser Profitability**

The Board considered information on the Adviser's profitability in serving as the investment adviser to the Funds. The Board considered that the Adviser had agreed to bear most of each Fund's expenses under a unitary fee arrangement, as specified in the advisory agreements, that each Fund had gathered relatively limited assets since its inception, and that the Adviser had subsidized the Fund's operations. Based on these and other factors, the Board determined that profitability was not a material factor to be considered in connection with the renewal of the agreements.

**Economies of Scale**

The Board considered whether the Adviser would realize economies of scale with respect to its services to each Fund as the Fund grows larger, including the extent to which this would be reflected in the level of fees paid by each Fund to the Adviser. The Board noted that the advisory fee rate for each Fund does not include breakpoints, and that it was difficult, given the relatively short operating history of AltShares Merger Arbitrage ETF and relatively smaller asset size of each Fund, to accurately evaluate potential economies of scale. The Board also considered that potential economies of scale may be shared with the Funds in manners other than fee breakpoints or fee waivers, including reinvestments in the Adviser's business, additional new product offerings, and pricing to scale from inception, among others. The Board noted that each Fund has a relatively short operating history as an exchange traded fund (ETF), has not gathered significant assets since its inception, and the Adviser has generally subsidized the expense of each Fund's operations. Based on this and other information, the Board determined that under the circumstances, economies of scale was not a material factor to be considered in connection with the renewal of the agreements.

**Other Benefits**

The Board evaluated the ancillary (or fall-out) benefits being received by the Adviser as a result of its relationship with the Funds. In particular, the Board considered the Adviser's accrual of soft dollar credits in connection with trading transactions for the Funds. The Board also considered that the potential benefits to be derived by the Adviser included the ability to increase its assets under management and, as a result, to have access to additional research resources and benefit to its reputation. The Board concluded that the fall-out benefits derived by the Adviser were consistent with the types of benefits generally derived by investment advisers to funds. The Board deemed these and any other potential fall-out benefits to be not material to the consideration of the advisory agreements.

**Other Factors and Broader Review**

As discussed above, the Board considered detailed materials received from the Adviser as part of the annual review and at quarterly meetings throughout the year. The Board also reviews and assesses the quality of the services that the Funds receive throughout the year. In this regard, the Board reviews reports of the Adviser at least quarterly, which include, among other things, detailed portfolio and market reviews, detailed Fund performance and risk reports and compliance reports along with various reports and information evaluating the Adviser's supervisory oversight of third-party service providers to the Funds.

**Conclusion**

The Board reviewed a memorandum from independent legal counsel discussing the legal standards applicable to its consideration of the advisory agreements. The Independent Trustees met in executive session with members of the Adviser's senior management and Independent Trustee counsel to review such standards and recent developments in this area of the law. The Board noted that it would continue to monitor the Funds at its regular meetings, during executive sessions of the Independent Trustees, and outside of the Board meetings. Based on its review, including consideration of each of the factors referenced above, the Board determined, in the exercise of its reasonable business judgment, that each Fund's advisory arrangement, as outlined in its advisory agreement, was fair and reasonable in light of the services performed, expenses incurred and such other matters as the Board considered relevant.

Annual Report \| May 31, 2025

------

![](j25144762_za004.jpg)

**AltShares Trust**

**AltShares Merger Arbitrage ETF**

**AltShares Event-Driven ETF**

1 855-955-1607

www.altsharesetfs.com

**Adviser**

*Water Island Capital, LLC*

104 Fifth Avenue, 9th Floor

New York, NY 10011

**Distributor**

*Foreside Financial Services, LLC*

Three Canal Plaza, Suite 100

Portland, ME 04101

**Transfer Agent**

*State Street Bank and* 

*Trust Company*

One Congress Building,

One Congress Street, Suite 1

Boston, MA 02114-2016

**Custodian**

*State Street Bank and* 

*Trust Company*

One Congress Building,

One Congress Street, Suite 1

Boston, MA 02114-2016

**This material must be preceded or accompanied by a prospectus. Please read it carefully before investing.**

------

(b) The registrant's Financial Highlights are included as part of the Financial Statements filed under
Item 7(a) of this Form.

Item 8. **Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

See disclosure under the heading "Other Information" under Item 7(a).

Item 9. **Proxy Disclosures for Open-End Management Investment Companies.**

Not applicable.

Item 10. **Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

See disclosure under the heading "Other Information" under Item 7(a).

Item 11. **Statement Regarding Basis for Approval of Investment Advisory Contract.**

See disclosure under the heading "Other Information" under Item 7(a).

Item 12. **Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.**

Not applicable to this registrant.

Item 13. **Portfolio Managers of Closed-End Management Investment Companies.**

Not applicable to this registrant.

Item 14. **Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.**

Not applicable to this registrant.

Item 15. **Submission of Matters to a Vote of Security Holders.**

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees.

Item 16. **Controls and Procedures.**

(a) The registrant's principal executive and principal financial
officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) as
of a date within 90 days of the filing date of this report, are effective, based on their evaluation of these controls and procedures
required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under
the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There was no change in the registrant's internal control over financial reporting (as defined in
Rule 30a-3(d) under the Investment Company Act of 1940, as amended) during the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 17. **Disclosure of Securities Lending Activities for Closed-End Management Investment Companies**

Not applicable to this registrant.

Item 18. **Recovery of Erroneously Awarded Compensation.**

Not applicable.

Item 19. **Exhibits.**

[(a)(1)](tm2514476d1_ex99-codeeth.htm) [The code of ethics that applies to the registrant's principal executive officer and principal financial officer is attached hereto as EX-19.A.1.](tm2514476d1_ex99-codeeth.htm)

(a)(2) Not applicable.

---

| | |
|:---|:---|
| [(a)(3)](tm2514476d1_ex99-cert.htm) | [Separate certifications for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are attached hereto as exhibit Ex-99.CERT.](tm2514476d1_ex99-cert.htm) |

---

(a)(4) Not applicable.

[(a)(5)](tm2514476d1_ex99-indpubacct.htm) [There was a change in the Registrant's independent public accountant (Exhibit attached).](tm2514476d1_ex99-indpubacct.htm)

[(b)](tm2514476d1_ex99-906cert.htm) [The certifications by the registrant's principal executive officer and principal financial officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Ex-99.906CERT.](tm2514476d1_ex99-906cert.htm)

SIGNATURES

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

ALTSHARES TRUST

---

| | |
|:---|:---|
| By: | /s/ John S. Orrico |
|  | John S. Orrico |
|  | President (Principal Executive Officer) |
| Date: | August 7, 2025 |

---

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

---

| | |
|:---|:---|
| By: | /s/ John S. Orrico |
|  | John S. Orrico |
|  | President (Principal Executive Officer) |
| Date: | August 7, 2025 |

---

---

| | |
|:---|:---|
| By: | /s/ Jonathon Hickey |
|  | Jonathon Hickey |
|  | Chief Financial Officer (Principal Financial Officer) |
| Date: | August 7, 2025 |

---

## Ex-99.Codeeth

**Ex-99.CODEETH**

**EX-19.A.1**

**A** **LTSHARES TRUST**

**CODE OF ETHICS FOR PRINCIPAL EXECUTIVE** 

**AND SENIOR FINANCIAL OFFICERS**

**I.** **Covered Officers/Purpose of the Code** 

This Code of Ethics (the "Code") for AltShares Trust (the "Company") applies to the Company's Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer (the "Covered Officers" each of whom are set forth in Exhibit A) for the purpose of promoting:

&nbsp;&nbsp;&nbsp;&nbsp;· honest and ethical conduct, including the ethical handling of actual or
apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;· full, fair, accurate, timely and understandable disclosure in reports and
documents that a registrant files with, or submits to, the U.S. Securities and Exchange Commission ("SEC") and in other public
communications made by the Company;

&nbsp;&nbsp;&nbsp;&nbsp;· compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;· the prompt internal reporting of violations of the Code to an appropriate
person or persons identified in the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;· accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

**II.** **Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest** 

 ****

***Overview*** **.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Company. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Company.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Company and already are subject to conflict of interest provisions in the Investment Company Act of 1940, as amended (the "1940 Act") and the Investment Advisers Act of 1940, as amended (the "Advisers Act"). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Company because of their status as "affiliated persons" of the Company. The Company's and the investment adviser's compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Company and the investment adviser and/or administrator of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Company or for the adviser/administrator, or for both), be involved in establishing policies and implementing decisions that will have different effects on the investment adviser and/or administrator and the Company. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Company and the investment adviser and/or administrator and is consistent with the performance by the Covered Officers of their duties as officers of the Company. Thus, if performed in conformity with the provisions of the 1940 Act and the Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Company's Board of Trustees (the "Board") that the Covered Officers may also be officers or employees of one or more investment companies covered by other codes.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the 1940 Act and the Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Company.

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;· not use his personal influence or personal relationships improperly to influence
investment decisions or financial reporting by the Company whereby the Covered Officer would benefit personally to the detriment of the
Company;

&nbsp;&nbsp;&nbsp;&nbsp;· not cause the Company to take action, or fail to take action, for the individual
personal benefit of the Covered Officer rather than the benefit of the Company;

&nbsp;&nbsp;&nbsp;&nbsp;· not use material non-public knowledge of portfolio transactions made or
contemplated for the Company to trade personally or cause others to trade personally in contemplation of the market effect of such transactions;

&nbsp;&nbsp;&nbsp;&nbsp;· report at least annually any affiliations or other relationships related
to conflicts of interest that the Company's Trustees and Officers Questionnaire covers.

There are some conflict of interest situations that should always be discussed with Counsel for the Company if material. Examples of these include:

&nbsp;&nbsp;&nbsp;&nbsp;· service as a director on the board of any public company;

&nbsp;&nbsp;&nbsp;&nbsp;· the receipt of any non-nominal gifts;

&nbsp;&nbsp;&nbsp;&nbsp;· the receipt of any entertainment from any company with which the Company
have current or prospective business dealings unless such entertainment is business-

related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any questions of impropriety;

&nbsp;&nbsp;&nbsp;&nbsp;· any ownership interest in, or any consulting or employment relationship
with, any of the Company's service providers, other than its investment adviser, principal underwriter, administrator or any affiliated
person thereof;

&nbsp;&nbsp;&nbsp;&nbsp;· a direct or indirect financial interest in commissions, transaction charges
or spreads paid by the Company for effecting portfolio transactions or for selling or redeeming shares other than an interest arising
from the Covered Officer's employment, such as compensation or equity ownership.

**III.** **Disclosure and Compliance** 

&nbsp;&nbsp;&nbsp;&nbsp;· Each
Covered Officer should familiarize himself or herself with the disclosure requirements generally applicable to the Companies.

&nbsp;&nbsp;&nbsp;&nbsp;· Each
Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Company to others, whether within
or outside the Company, including to the Company's directors and auditors, and to governmental regulators and self-regulatory organizations.

&nbsp;&nbsp;&nbsp;&nbsp;· Each
Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the
Company and the adviser/administrator with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports
and documents the Company files with, or submits to, the SEC and in other public communications made by the Company.

&nbsp;&nbsp;&nbsp;&nbsp;· It
is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules
and regulations.

**IV.** **Reporting and Accountability** 

Each Covered Person must:

&nbsp;&nbsp;&nbsp;&nbsp;· upon
adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Company's Chief Compliance
Officer that he or she has received, read, and understands the Code;

&nbsp;&nbsp;&nbsp;&nbsp;· annually
thereafter, affirm to the Company's Chief Compliance Officer that he or she has complied with the requirements of the Code;

&nbsp;&nbsp;&nbsp;&nbsp;· not
retaliate against any other Covered Officer or any employee of the Company or their affiliated persons for reports of potential violations
that are made in good faith; and

&nbsp;&nbsp;&nbsp;&nbsp;· notify
Counsel for the Company promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code.

Counsel for the Company is responsible for applying this Code to specific situations in

which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers sought by a Covered Officer will be considered by the Audit Committee.

The Company will follow these procedures in investigating and enforcing this Code:

&nbsp;&nbsp;&nbsp;&nbsp;· Counsel
for the Company will take all appropriate action to investigate any potential violations reported to him or her;

&nbsp;&nbsp;&nbsp;&nbsp;· if,
after such investigation, Counsel believes that no violation has occurred, Counsel is not required to take any further action;

&nbsp;&nbsp;&nbsp;&nbsp;· any
matter that Counsel believes is a violation will be reported to the Audit Committee;

&nbsp;&nbsp;&nbsp;&nbsp;· if
the Audit Committee concurs that a violation has occurred, it will inform and make a recommendation to the Board, which will consider
appropriate action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to
appropriate personnel of the investment adviser/administrator or its board; or a recommendation to dismiss the Covered Officer;

&nbsp;&nbsp;&nbsp;&nbsp;· the
Board will be responsible for granting waivers, as appropriate; and

&nbsp;&nbsp;&nbsp;&nbsp;· any
changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.

**V.** **Other Policies and Procedures** 

This Code shall be the sole code of ethics adopted by the Company for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Company, the Company's investment adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Company's and its investment adviser's and principal underwriter's codes of ethics under Rule 17j-1 under the 1940 Act are separate requirements applying to the Covered Officers and others, and are not part of this Code.

Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of independent trustees.

**VI.** **Confidentiality** 

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Board and Counsel for the Company.

**VII.** **Internal Use** 

The Code is intended solely for the internal use by the Company and does not constitute an admission, by or on behalf of the Company, as to any fact, circumstance, or legal conclusion.

Adopted: February 6, 2020

**Exhibit A**

**Persons Covered by this Code of Ethics**

John S. Orrico

Jonathon Hickey

**ALTSHARES TRUST**

**CODE OF ETHICS FOR PRINCIPAL EXECUTIVE** 

**AND SENIOR FINANCIAL OFFICERS**

**CERTIFICATE OF COMPLIANCE**

As a Covered Officer as defined in the Code of Ethics for Principal Executive and Senior Financial Officers of AltShares Trust (the "Code"), I hereby certify that I have received and have read and fully understand the Code, and I recognize that I am subject to the Code. I further certify that since any prior certification of the Code, I have complied with the policies and procedures as in effect during that time and agree to comply with the requirements of the Code in the future.

---

| |
|:---|
| Signature |
| Name (Please Print) |
| Title |
| Date |

---

## Ex-99.Cert

**Ex-99.CERT**

I, John S. Orrico, President (Principal Executive Officer) of AltShares Trust, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I
have reviewed this report on Form N-CSR of AltShares Trust;

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

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

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control
over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The
registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's
board of trustees (or persons performing the equivalent functions):

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

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

---

| | |
|:---|:---|
| By: | /s/ John S. Orrico |
|  | John S. Orrico |
|  | President (Principal Executive Officer) |
| Date: | August 7, 2025 |

---

I, Jonathon Hickey, Chief Financial Officer (Principal Financial Officer) of AltShares Trust, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of AltShares Trust;

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

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

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

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

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control
over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying
officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or
persons performing the equivalent functions):

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

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

---

| | |
|:---|:---|
| By: | /s/ Jonathon Hickey |
|  | Jonathon Hickey |
|  | Chief Financial Officer (Principal Financial Officer) |
| Date: | August 7, 2025 |

---

## Ex-99.Ind

**Ex-99.IND PUB ACCT**

---

| | | |
|:---|:---|:---|
| ![](tm2432003d1_ex99-indpuimg01.jpg) | **Ernst & Young LLP<br> Suite 500<br> 700 Nicollet Mall <br> Minneapolis, MN 55402** | **Tel: +1 612 343 1000<br> ey.com** |

---

February 3, 2025

Office of the Chief Accountant

Securities and Exchange Commission

100 F Street, N.E.

Washington, DC 20549

Ladies and Gentlemen:

We have read Item 19(a)(5) of Form N-CSR dated February 5, 2025, of the AltShares Trust ETF Funds and have the following comments:

&nbsp;&nbsp;&nbsp;&nbsp;1. We
 are in agreement with the statement contained in Item 19(a)(5) as included on page 54
 of the AltShares Trust ETF Funds' N-CSR filing.

&nbsp;&nbsp;&nbsp;&nbsp;2. We
 have no basis to agree or disagree with other statements of the registrant contained therein.

Yours very truly,

/s/ Ernst & Young LLP

Minneapolis, MN

**A member firm of Ernst & Young Global Limited**

## Exhibit 99.906

**Ex-99.906CERT**

This certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended May 31, 2025 of AltShares Trust (the "Company").

I, John S. Orrico, the President (Principal Executive Officer) of the Company, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the Form N-CSR fully complies with the requirements of Section 13(a) or Section 15(d), as applicable, of the Securities Exchange Act
of 1934 (15 U.S.C. 78m or 78o(d)); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations
of the Company.

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic form of this written statement required by Section 906, has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.

---

| | |
|:---|:---|
| Dated: | August 7, 2025 |
| By: | /s/ John S. Orrico |
|  | John S. Orrico |
|  | President (Principal Executive Officer) |

---

This certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended May 31, 2025 of AltShares Trust (the "Company").

I, Jonathon Hickey, Chief Financial (Principal Financial Officer) Officer of the Company, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the Form N-CSR fully complies with the requirements of Section 13(a) or Section 15(d), as applicable of the Securities Exchange Act
of 1934 (15 U.S.C. 78m or 78o(d)); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations
of the Company.

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic form of this written statement required by Section 906, has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.

---

| | |
|:---|:---|
| Dated: | August 7, 2025 |
| By: | /s/ Jonathon Hickey |
|  | Jonathon Hickey |
|  | Chief Financial Officer (Principal Financial Officer) |

---