# EDGAR Filing Document

**Accession Number:** 0001589756
**File Stem:** 0000940400-26-023142
**Filing Date:** 2026-6
**Character Count:** 113221
**Document Hash:** cf84a0c292703e2afd224251626e21d1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-023142.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-023142

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**PERIOD START**: 20261231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22906
- **FILM NUMBER:** 261049137

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

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

**VIRTUS AlphaSimplex Managed Futures Strategy Fund**

**CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)**

**March 31, 2026**

($ reported in thousands)

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

---

| | | |
|:---|:---|:---|
|  | **Par Value** | **Value** |
| **Short-Term Investments—83.4%** | **Short-Term Investments—83.4%** | **Short-Term Investments—83.4%** |
| **Certificates of Deposits—47.2%** | **Certificates of Deposits—47.2%** | **Certificates of Deposits—47.2%** |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (SOFR + <br> 0.360%) <br>3.990%, 5/7/26<sup>(1)</sup> <br>| $40000 | &nbsp;&nbsp; $40009 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (SOFR <br> + 0.260%) <br>3.890%, 5/21/26<sup>(1)</sup> <br>| 25000 | &nbsp;&nbsp; 25005 |
| &nbsp;&nbsp;&nbsp; BNP Paribas S.A. <br>3.850%, 7/13/26<br>| 13000 | &nbsp;&nbsp; 12999 |
| &nbsp;&nbsp;&nbsp; Crédit Agricole Corporate <br> and Investment Bank <br>4.050%, 6/1/26<br>| 16000 | &nbsp;&nbsp; 16008 |
| &nbsp;&nbsp;&nbsp; Crédit Agricole Corporate <br> and Investment Bank <br>3.980%, 9/25/26<br>| 20000 | &nbsp;&nbsp; 20000 |
| &nbsp;&nbsp;&nbsp; DG Bank <br>3.800%, 8/4/26<br>| 30000 | &nbsp;&nbsp; 29992 |
| &nbsp;&nbsp;&nbsp; DNB Bank ASA <br>3.710%, 5/6/26<br>| 25000 | &nbsp;&nbsp; 25001 |
| &nbsp;&nbsp;&nbsp; DNB Bank ASA <br>3.670%, 7/13/26<br>| 12000 | &nbsp;&nbsp; 11994 |
| &nbsp;&nbsp;&nbsp; First Abu Dhabi Bank USA <br> N.V. <br>3.970%, 5/5/26<br>| 20500 | &nbsp;&nbsp; 20503 |
| &nbsp;&nbsp;&nbsp; Mizuho Bank Ltd. <br>3.780%, 8/20/26<br>| 9000 | &nbsp;&nbsp; 8993 |
| &nbsp;&nbsp;&nbsp; MUFG Bank, Ltd. <br>3.710%, 5/7/26<br>| 34500 | &nbsp;&nbsp; 34500 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp <br>3.700%, 7/9/26<br>| 10500 | &nbsp;&nbsp; 10494 |
| &nbsp;&nbsp;&nbsp; Oversea-Chinese Banking <br> Corp., Ltd. <br>3.760%, 6/18/26<br>| 25000 | &nbsp;&nbsp; 24991 |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada <br>4.300%, 4/22/26<br>| 32000 | &nbsp;&nbsp; 32009 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Banking <br> Corp. <br>3.750%, 6/25/26<br>| 30000 | &nbsp;&nbsp; 29982 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Banking <br> Corp. <br>3.950%, 7/1/26<br>| 15000 | &nbsp;&nbsp; 14998 |
| &nbsp;&nbsp;&nbsp; Svenska Handelsbanken <br>3.790%, 9/4/26<br>| 21000 | &nbsp;&nbsp; 20991 |
| &nbsp;&nbsp;&nbsp; Swedbank AB <br>3.980%, 10/30/26<br>| 10500 | &nbsp;&nbsp; 10494 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank <br>4.310%, 4/10/26<br>| 27000 | &nbsp;&nbsp; 27003 |
| &nbsp;&nbsp;&nbsp; Westpac Banking Corp. <br> (SOFR + 0.400%) <br>4.030%, 4/20/26<sup>(1)</sup> <br>| 32000 | &nbsp;&nbsp; 32006 |
| **Total Certificates of Deposits** <br>**(Identified Cost $448,006)** | **Total Certificates of Deposits** <br>**(Identified Cost $448,006)** | &nbsp;&nbsp; **447972** |

---

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

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **Money Market Mutual Fund—8.1%** | **Money Market Mutual Fund—8.1%** | **Money Market Mutual Fund—8.1%** |
| &nbsp;&nbsp;&nbsp; Dreyfus Government Cash <br> Management Fund - <br> Institutional Shares <br> (seven-day effective <br> yield 3.531%)<sup>(2)</sup> <br>| 76884906 | &nbsp;&nbsp; $76885 |
| **Total Money Market Mutual Fund** <br>**(Identified Cost $76,885)** | **Total Money Market Mutual Fund** <br>**(Identified Cost $76,885)** | &nbsp;&nbsp; **76885** |

---

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

---

| | | |
|:---|:---|:---|
|  | **Par Value** |  |
| **Commercial Paper—6.1%** | **Commercial Paper—6.1%** | **Commercial Paper—6.1%** |
| &nbsp;&nbsp;&nbsp; Banque Et Caisse Epargne <br>0.000%, 6/1/26<sup>(3)</sup> <br>| $12000 | &nbsp;&nbsp; 11922 |
| &nbsp;&nbsp;&nbsp; Skandinaviska Enskilda <br> Banken Ab <br>0.000%, 4/27/26<sup>(3)</sup> <br>| 46000 | &nbsp;&nbsp; 45871 |
| **Total Commercial** <br> **Paper** <br>**(Identified Cost $57,797)**<br>|  | &nbsp;&nbsp; **57793** |
| **U.S. Government Securities—22.0%** | **U.S. Government Securities—22.0%** | **U.S. Government Securities—22.0%** |
| U.S. Treasury Bills |  |  |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/2/26<sup>(3)</sup> <br>| 20000 | &nbsp;&nbsp; 19998 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/7/26<sup>(3)</sup> <br>| 15000 | &nbsp;&nbsp; 14991 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/9/26<sup>(3)</sup> <br>| 40000 | &nbsp;&nbsp; 39968 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/14/26<sup>(3)</sup> <br>| 15000 | &nbsp;&nbsp; 14980 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/16/26<sup>(3)</sup> <br>| 20000 | &nbsp;&nbsp; 19970 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/21/26<sup>(3)</sup> <br>| 10000 | &nbsp;&nbsp; 9980 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/23/26<sup>(3)</sup> <br>| 10000 | &nbsp;&nbsp; 9978 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/28/26<sup>(3)</sup> <br>| 10000 | &nbsp;&nbsp; 9973 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 4/30/26<sup>(3)</sup> <br>| 25000 | &nbsp;&nbsp; 24927 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 5/5/26<sup>(3)</sup> <br>| 20000 | &nbsp;&nbsp; 19931 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>0.000%, 6/18/26<sup>(3)</sup> <br>| 25000 | &nbsp;&nbsp; 24805 |
| **Total U.S. Government Securities** <br>**(Identified Cost $209,501)** | **Total U.S. Government Securities** <br>**(Identified Cost $209,501)** | &nbsp;&nbsp; **209501** |
| **Total Short-Term Investments** <br>**(Identified Cost $792,189)** | **Total Short-Term Investments** <br>**(Identified Cost $792,189)** | &nbsp;&nbsp; **792151** |
| **TOTAL INVESTMENTS—83.4%** <br>**(Identified Cost $792,189)** | **TOTAL INVESTMENTS—83.4%** <br>**(Identified Cost $792,189)** | &nbsp;&nbsp; **$792151** |
| Other assets and liabilities, net—16.6% | Other assets and liabilities, net—16.6% | &nbsp;&nbsp; 157491 |
| **NET ASSETS—100.0%** | **NET ASSETS—100.0%** | &nbsp;&nbsp; **$949642** |

---

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

---

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

---

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

---

| | |
|:---|:---|
| **Footnote Legend:** | **Footnote Legend:** |
| <sup>(1)</sup> <br>| Variable rate security. Rate disclosed is as of <br> March 31, 2026. Information in parenthesis <br> represents benchmark and reference rate for each <br> security. Certain variable rate securities are not <br> based on a published reference rate and spread but <br> are determined by the issuer or agent and are based <br> on current market conditions, or, for <br> mortgage-backed securities, are impacted by the <br> individual mortgages which are paying off over <br> time. These securities do not indicate a reference <br> rate and spread in their descriptions.<br>|
| <sup>(2)</sup> <br>| Shares of this fund are publicly offered, and its <br> prospectus and annual report are publicly available.<br>|
| <sup>(3)</sup> <br>| Issued with a zero coupon. Income is recognized <br> through the accretion of discount.<br>|

---

*See Notes to Consolidated Schedule of Investments*

------

**VIRTUS AlphaSimplex Managed Futures Strategy Fund**

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

**March 31, 2026**

($ reported in thousands)

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

---

| | |
|:---|:---|
| **Counterparties:** |  |
| UBS AG | UBS AG |

---

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

---

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

---

ZAR South African Rand

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

---

| | |
|:---|:---|
| **Country Weightings**<sup>†</sup>  | **Country Weightings**<sup>†</sup>  |
| United States | 44<br> %<br>|
| Canada | 16 |
| Japan | 11 |
| Sweden | 7 |
| Norway | 5 |
| France | 5 |
| Australia | 4 |
| Other | 8 |
| Total | 100<br> %<br>|
| <sup>†</sup> % of total investments as of March 31, 2026. | <sup>†</sup> % of total investments as of March 31, 2026. |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Exchange-traded futures contracts as of March 31, 2026 were as follows:** | **Exchange-traded futures contracts as of March 31, 2026 were as follows:** | **Exchange-traded futures contracts as of March 31, 2026 were as follows:** | **Exchange-traded futures contracts as of March 31, 2026 were as follows:** | **Exchange-traded futures contracts as of March 31, 2026 were as follows:** | **Exchange-traded futures contracts as of March 31, 2026 were as follows:** |
| **Issue** | **Expiration** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Contracts** <br>**Purchased/(Sold)**<br>| **Notional Value** | &nbsp;&nbsp; **Value /** <br>**Unrealized** <br>**Appreciation**<br>| &nbsp;&nbsp; **Value /** <br>**Unrealized** <br>**Depreciation**<br>|
| **Long Contracts:** |  |  |  |  |  |
| CAC 40<sup>®</sup> 10 Euro Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp; $1809 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $(17)<br>|
| FTSE China A50 Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp; 3372 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (23)<br>|
| FTSE Taiwan Index Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp; 12192 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (818)<br>|
| Hang Seng Index Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp; 3788 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (71)<br>|
| IBEX 35 Index Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp; 11963 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp; — |
| MSCI Singapore IX ETS Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp; 7946 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp; — |
| OMXS 30 Index Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp; 15700 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (309)<br>|
| Brazil Real Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1342 | &nbsp;&nbsp;&nbsp; 25686 | &nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp;&nbsp; — |
| Copper Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp; 10947 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (530)<br>|
| Gasoline RBOB Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp; 30681 | &nbsp;&nbsp;&nbsp; 4920 | &nbsp;&nbsp;&nbsp; — |
| Low Sulphur Gas Oil Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp; 23050 | &nbsp;&nbsp;&nbsp; 6446 | &nbsp;&nbsp;&nbsp; — |
| NY Harbor ULSD Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp; 21425 | &nbsp;&nbsp;&nbsp; 5322 | &nbsp;&nbsp;&nbsp; — |
| SGX Iron Ore Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1664 | &nbsp;&nbsp;&nbsp; 17552 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (194)<br>|
| Silver Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp; 7866 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (433)<br>|
| WTI Crude Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp; 27677 | &nbsp;&nbsp;&nbsp; 7057 | &nbsp;&nbsp;&nbsp; — |
| Australian Dollar Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1592 | &nbsp;&nbsp;&nbsp; 109569 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (2794)<br>|
| Brent Crude Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp; 29112 | &nbsp;&nbsp;&nbsp; 7268 | &nbsp;&nbsp;&nbsp; — |
| DJIA Mini E-CBOT Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp; 8618 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (58)<br>|
| Euro STOXX 50<sup>®</sup> Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp; 9146 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (195)<br>|
| FTSE 100 Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp; 25109 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (198)<br>|
| FTSE/JSE Top 40 Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp; 3790 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (24)<br>|
| FTSE/MIB Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp; 9570 | &nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp; — |
| Gold Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp; 21054 | &nbsp;&nbsp;&nbsp; 809 | &nbsp;&nbsp;&nbsp; — |
| Lean Hogs Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp; 6891 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp; — |
| Live Cattle Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp; 17808 | &nbsp;&nbsp;&nbsp; 751 | &nbsp;&nbsp;&nbsp; — |
| LME Copper Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp; 15109 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (966)<br>|
| LME Nickel Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp; 14865 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (665)<br>|
| LME Aluminium Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446 | &nbsp;&nbsp;&nbsp; 38826 | &nbsp;&nbsp;&nbsp; 3993 | &nbsp;&nbsp;&nbsp; — |
| LME Zinc Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp; 16620 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (640)<br>|
| MSCI EAFE<sup>®</sup> Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp; 20018 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (145)<br>|
| MSCI Emerging Markets Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp;&nbsp; 12800 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (142)<br>|
| Nasdaq 100<sup>®</sup> E-Mini Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp; 10523 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (305)<br>|
| Nikkei 225 Stock Average Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp; 8704 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (532)<br>|
| Palladium Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp; 5504 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (969)<br>|
| Russell 2000<sup>®</sup> E-Mini Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp; 11054 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp; — |
| S&P 500<sup>®</sup> E-Mini Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp; 12484 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (220)<br>|
| S&P Mid 400<sup>®</sup> E-Mini Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp; 20379 | &nbsp;&nbsp;&nbsp; 192 | &nbsp;&nbsp;&nbsp; — |
| S&P/TSX 60 Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp; 39223 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (129)<br>|
| SPI 200 Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp; 6020 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (90)<br>|
| STOXX Europe 600 Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp; 6677 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (115)<br>|
| TOPIX Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp; 12585 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (507)<br>|

---

*See Notes to Consolidated Schedule of Investments*

------

**VIRTUS AlphaSimplex Managed Futures Strategy Fund**

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

**March 31, 2026**

($ reported in thousands)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Exchange-traded futures contracts as of March 31, 2026 were as follows (continued):** | **Exchange-traded futures contracts as of March 31, 2026 were as follows (continued):** | **Exchange-traded futures contracts as of March 31, 2026 were as follows (continued):** | **Exchange-traded futures contracts as of March 31, 2026 were as follows (continued):** | **Exchange-traded futures contracts as of March 31, 2026 were as follows (continued):** | **Exchange-traded futures contracts as of March 31, 2026 were as follows (continued):** |
| **Issue** | **Expiration** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Contracts**<br> **Purchased/(Sold)**<br>| **Notional Value** | &nbsp;&nbsp; **Value /**<br> **Unrealized**<br> **Appreciation**<br>| &nbsp;&nbsp; **Value /**<br> **Unrealized**<br> **Depreciation**<br>|
| KC HRW Wheat Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp; $3082 | &nbsp;&nbsp;&nbsp; $75 | &nbsp;&nbsp;&nbsp; $— |
| Platinum Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp; 8078 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (796)<br>|
| Soybean Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 571 | &nbsp;&nbsp;&nbsp; 33860 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (346)<br>|
| Soybean Meal Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp;&nbsp; 9775 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (208)<br>|
| Soybean Oil Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773 | &nbsp;&nbsp;&nbsp; 31946 | &nbsp;&nbsp;&nbsp; 3894 | &nbsp;&nbsp;&nbsp; — |
| Wheat Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp; 2819 | &nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp; — |
|  |  |  |  | &nbsp;&nbsp;&nbsp; $41308 | &nbsp;&nbsp;&nbsp; $(12439)<br>|
| **Short Contracts:** |  |  |  |  |  |
| HSCEI Index Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (30)<br>| &nbsp;&nbsp;&nbsp; (1599)<br>| &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp; — |
| IFSC Nifty 50 Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (396)<br>| &nbsp;&nbsp;&nbsp; (17805)<br>| &nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp;&nbsp; — |
| Indian Rupee Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2193)<br>| &nbsp;&nbsp;&nbsp; (46395)<br>| &nbsp;&nbsp;&nbsp; 683 | &nbsp;&nbsp;&nbsp; — |
| Korean Won Future | April 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (155)<br>| &nbsp;&nbsp;&nbsp; (2542)<br>| &nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp; — |
| Natural Gas Future | May 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (183)<br>| &nbsp;&nbsp;&nbsp; (5278)<br>| &nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp;&nbsp; — |
| 2 Year U.S. Treasury Note Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1784)<br>| &nbsp;&nbsp;&nbsp; (370082)<br>| &nbsp;&nbsp;&nbsp; 514 | &nbsp;&nbsp;&nbsp; — |
| 3 Year Australian Bond Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2337)<br>| &nbsp;&nbsp;&nbsp; (167135)<br>| &nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp;&nbsp; — |
| 5 Year U.S. Treasury Note Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1031)<br>| &nbsp;&nbsp;&nbsp; (111533)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (295)<br>|
| 10 Year Australian Bond Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (891)<br>| &nbsp;&nbsp;&nbsp; (66241)<br>| &nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp; — |
| 10 Year Canadian Bond Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (149)<br>| &nbsp;&nbsp;&nbsp; (12854)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (87)<br>|
| 10 Year Euro-Bund Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (387)<br>| &nbsp;&nbsp;&nbsp; (56089)<br>| &nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp; — |
| 10 Year Japanese Bond Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (24)<br>| &nbsp;&nbsp;&nbsp; (19706)<br>| &nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp; — |
| 10 Year U.K. Gilt Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (255)<br>| &nbsp;&nbsp;&nbsp; (29631)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (74)<br>|
| 10 Year U.S. Treasury Note Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (353)<br>| &nbsp;&nbsp;&nbsp; (39200)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (200)<br>|
| 10 Year U.S. Ultra Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (94)<br>| &nbsp;&nbsp;&nbsp; (10671)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (54)<br>|
| 30 Year Euro-BUXL Bond Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (141)<br>| &nbsp;&nbsp;&nbsp; (17970)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (174)<br>|
| 30 Year U.S. Treasury Bond Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (10)<br>| &nbsp;&nbsp;&nbsp; (1139)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (8)<br>|
| British Pound Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (138)<br>| &nbsp;&nbsp;&nbsp; (11407)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (28)<br>|
| Canadian Dollar Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (989)<br>| &nbsp;&nbsp;&nbsp; (71208)<br>| &nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp; — |
| DAX Index Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (7)<br>| &nbsp;&nbsp;&nbsp; (4619)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (26)<br>|
| Euro FX Currency Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (835)<br>| &nbsp;&nbsp;&nbsp; (120924)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (674)<br>|
| Euro-BOBL Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1167)<br>| &nbsp;&nbsp;&nbsp; (155701)<br>| &nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp;&nbsp; — |
| Euro-BTP Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1163)<br>| &nbsp;&nbsp;&nbsp; (142289)<br>| &nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp;&nbsp; — |
| Euro-BTP Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (138)<br>| &nbsp;&nbsp;&nbsp; (18548)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (65)<br>|
| Euro-OAT Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (320)<br>| &nbsp;&nbsp;&nbsp; (43900)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (90)<br>|
| Euro-Schatz Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2592)<br>| &nbsp;&nbsp;&nbsp; (316823)<br>| &nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp;&nbsp; — |
| Japanese Yen Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1831)<br>| &nbsp;&nbsp;&nbsp; (144969)<br>| &nbsp;&nbsp;&nbsp; 1050 | &nbsp;&nbsp;&nbsp; — |
| LME Copper Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (18)<br>| &nbsp;&nbsp;&nbsp; (5550)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (62)<br>|
| LME Nickel Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (40)<br>| &nbsp;&nbsp;&nbsp; (4101)<br>| &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp; — |
| LME Aluminium Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (122)<br>| &nbsp;&nbsp;&nbsp; (10621)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (617)<br>|
| LME Zinc Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (93)<br>| &nbsp;&nbsp;&nbsp; (7540)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (340)<br>|
| U.S. Treasury Ultra Bond Future | June 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (53)<br>| &nbsp;&nbsp;&nbsp; (6178)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (47)<br>|
| Cocoa Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (287)<br>| &nbsp;&nbsp;&nbsp; (9663)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (46)<br>|
| Cocoa Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (145)<br>| &nbsp;&nbsp;&nbsp; (4821)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (89)<br>|
| Coffee 'C' Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (46)<br>| &nbsp;&nbsp;&nbsp; (5016)<br>| &nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp; — |
| Corn Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (102)<br>| &nbsp;&nbsp;&nbsp; (2388)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (105)<br>|
| Cotton No. 2 Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (232)<br>| &nbsp;&nbsp;&nbsp; (8367)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (161)<br>|
| Sugar #11World Future | July 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (328)<br>| &nbsp;&nbsp;&nbsp; (5760)<br>| &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp; — |
| 3-Month CORRA Future | September 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (440)<br>| &nbsp;&nbsp;&nbsp; (77038)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (150)<br>|
| 3-Month EURIBOR Future | September 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1646)<br>| &nbsp;&nbsp;&nbsp; (462576)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (50)<br>|
| 3-Month SOFR Future | September 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2235)<br>| &nbsp;&nbsp;&nbsp; (538272)<br>| &nbsp;&nbsp;&nbsp; 948 | &nbsp;&nbsp;&nbsp; — |
| 3-Month SONIA Index Future | September 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1146)<br>| &nbsp;&nbsp;&nbsp; (362792)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (210)<br>|
| 90-Day Bank Bill Future | September 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1392)<br>| &nbsp;&nbsp;&nbsp; (949315)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (20)<br>|
| ECX Emission Future | December 2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (73)<br>| &nbsp;&nbsp;&nbsp; (6118)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (265)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp; 7964 | &nbsp;&nbsp;&nbsp; (3937)<br>|
| **Total** |  |  |  | &nbsp;&nbsp;&nbsp; $49272 | &nbsp;&nbsp;&nbsp; $(16376)<br>|

---

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

*See Notes to Consolidated Schedule of Investments*

------

**VIRTUS AlphaSimplex Managed Futures Strategy Fund**

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

**March 31, 2026**

($ reported in thousands)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts as of March 31, 2026 were as follows:** | **Forward foreign currency exchange contracts as of March 31, 2026 were as follows:** | **Forward foreign currency exchange contracts as of March 31, 2026 were as follows:** | **Forward foreign currency exchange contracts as of March 31, 2026 were as follows:** | **Forward foreign currency exchange contracts as of March 31, 2026 were as follows:** | **Forward foreign currency exchange contracts as of March 31, 2026 were as follows:** | **Forward foreign currency exchange contracts as of March 31, 2026 were as follows:** | **Forward foreign currency exchange contracts as of March 31, 2026 were as follows:** |
| **Currency** <br>**Purchased**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency** <br>**Amount** <br>**Purchased**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency** <br>**Sold**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Currency** <br>**Amount** <br>**Sold**<br>| **Counterparty** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Settlement** <br>**Date**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Unrealized** <br>**Appreciation**<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Unrealized** <br>**Depreciation**<br>|
| CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39375 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51308 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(1644) <br>|
| CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 594000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87010 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (302) <br>|
| MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1545000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87257 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1635) <br>|
| NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 888000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92474 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (827) <br>|
| NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117700 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70142 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2320) <br>|
| PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240500 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65853 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1085) <br>|
| SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 616000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67902 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2576) <br>|
| SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110250 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87312 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1092) <br>|
| TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195600 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4149 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (117) <br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58027 | CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45625 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 479 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14267 | CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98000 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (38) <br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24907 | MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449000 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34775 | NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338000 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (109) <br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97790 | NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168400 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57806 | PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215000 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (95) <br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74162 | SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 696000 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95039 | SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121500 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —<br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428 | TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21000 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5) <br>|
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49006 | ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 840000 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (343) <br>|
| ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1274000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77460 | UBS AG | 06/17/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2613) <br>|
| **Total** |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $1631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(14801) <br>|

---

The following table summarizes the value of the Fund's investments as of March 31, 2026, based on the inputs used to value them (See Security Valuation Note 1 in the Notes to Schedule of Investments):

---

| | | | |
|:---|:---|:---|:---|
|  | Total <br>Value at <br>March 31, 2026<br>| Level 1 <br>Quoted Prices<br>| Level 2 <br>Significant <br>Observable <br>Inputs<br>|
| Assets: |  |  |  |
| Debt Instruments: |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Government Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $209501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $209501 |
| &nbsp;&nbsp;&nbsp; Commercial Paper | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57793 |
| &nbsp;&nbsp;&nbsp; Certificates of Deposits | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447972 |
| Money Market Mutual Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Other Financial Instruments: |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Exchange Contracts<sup>\*</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1631 |
| Total Assets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 843054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 716897 |
| Liabilities: |  |  |  |
| Other Financial Instruments: |  |  |  |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Exchange Contracts<sup>\*</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (14801)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (14801)<br>|
| &nbsp;&nbsp;&nbsp; Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (16376)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (16376)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| Total Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (31177)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (16376)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (14801)<br>|
| Total Investments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $811877 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $109781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $702096 |

---

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

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

There were no securities valued using significant unobservable inputs (Level 3) at March 31, 2026.

There were no transfers into or out of Level 3 related to securities held at March 31, 2026.

*See Notes to Consolidated Schedule of Investments*

------

**VIRTUS ALPHASIMPLEX MANAGED FUTURES STRATEGY FUND**

**NOTES TO FINANCIAL STATEMENTS(Unaudited)**

**March 31, 2026**

**Note 1. Security Valuation**

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

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

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

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

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

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

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

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

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

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

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

investing in those securities.

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

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Greenfield

  - **State:** MA

  - **Foreign country:** US

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

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $967589321.01

**Total Liabilities:** $16604684.07

**Net Assets:** $950984636.94

**Amount of Assets Invested in Other Investment Companies:** $154941789.06

**Cash Not Reported:** $212567234.95

**Currency Risk Metrics (dv01):**

- 

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

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

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

- **3-Month:** -4134.12000000 | **1-Year:** -3545.44000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241136 | 3.94%                | 4.17%                | -1.45%               |
| Class ID C000241135 | 4.03%                | 4.12%                | -1.44%               |
| Class ID C000241137 | 4.01%                | 3.99%                | -1.46%               |
| Class ID C000241138 | 4.01%                | 4.10%                | -1.43%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $-146561.37                                |
| Month 2  | $0.00                    | $-103514.57                                |
| Month 3  | $16.84                   | $-114448.39                                |

### Schedule of Portfolio Investments

| Name                                                             | Title                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States Treasury Bills                                     | B 0 04/21/26                                                                           | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9979844.40   | 1.05%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-827016.09   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Banque et Caisse d'Epargne de l'Etat, Luxembourg                 | Banque et Caisse d'Epargne de l'Etat, Luxembourg 0% CP 01/06/2026                      | CUSIP: 0667K1F14<br>LEI: R7CQUF1DQM73HUTV1078 | Long             | STIV             | CORP              | LU        |  12000000 | PA      | $11921839.20  | 1.25%             | 2026-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                                           | MSCI EAFE Index Futures - ICUS, Jun26                                                  | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               | CORP              | US        |       138 | NC      | $-143175.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | Soybean Oil Futures, Jul-2026,ETH                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |       773 | NC      | $3896392.35   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| MUFG Bank Ltd New York Branch                                    | MUFG Bank Ltd New York Branch 3.71% CP 07/05/2026                                      | CUSIP: 55381BSD1<br>LEI: N/A                  | Long             | STIV             | CORP              | JP        |  34500000 | PA      | $34499803.35  | 3.63%             | 2026-05-07      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                               | TOPIX TRADE FUTURE, JUN 2026                                                           | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |        57 | NC      | $-506590.84   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                                      | Gold Futures, Jun-2026,ETH                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |        45 | NC      | $808887.60    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                               | Platinum Futures, Jul-2026,ETH                                                         | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        82 | NC      | $-795234.01   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-108608.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                                 | ASX SPI 200 Index Futures                                                              | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DE               | CORP              | AU        |        41 | NC      | $-89814.24    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | EURO(FGBX) Buxl Futures                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |      -141 | NC      | $-173927.96   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | Euro(FGBM) Bobl Futures                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |     -1167 | NC      | $302676.11    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | British Pound Futures, Jun-2026,ETH                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      -138 | NC      | $-25550.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                               | Long Gilt Future - ICEU                                                                | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |      -255 | NC      | $-72621.42    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | Soybean Meal Futures, Jul-2026,ETH                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |       311 | NC      | $-205173.49   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/09/26                                                                           | CUSIP: 912797SL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $39967906.80  | 4.20%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                               | London Cocoa Future - ICEU, Jul26                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |      -145 | NC      | $-89104.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                           | S&P/TSX 60 Index Standard Futures                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               | CORP              | CA        |       143 | NC      | $-128594.64   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                                               | 10-YEAR JGB TRADE FUTURE, JUN 2026                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |       -24 | NC      | $192873.58    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                               | Palladium Futures, Jun-2026,ETH                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        37 | NC      | $-969075.87   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of Nova Scotia                                              | BNS F 05/21/26 YCD                                                                     | CUSIP: 06418NJH6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | STIV             | CORP              | CA        |  25000000 | PA      | $25005095.00  | 2.63%             | 2026-05-21      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA NEW YORK BRANCH | Credit Agricole Corporate & Investment Bank New York Branch 4.05% CP 01/06/2026        | CUSIP: 22536JY74<br>LEI: 254900BN8XS34XZDJ223 | Long             | STIV             | CORP              | US        |  16000000 | PA      | $16007585.60  | 1.68%             | 2026-06-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                                 | ASX 90 Day Bank Accepted Bills Futures                                                 | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |     -1392 | NC      | $-18432.57    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DNB Bank Asa New York Branch                                     | DNB Bank Asa New York Branch 3.71% CP 06/05/2026                                       | CUSIP: 23345HVV7<br>LEI: N/A                  | Long             | STIV             | CORP              | NO        |  25000000 | PA      | $25001010.00  | 2.63%             | 2026-05-06      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | TRY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-116678.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/14/26                                                                           | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14980337.55  | 1.58%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | KC HRW Wheat Futures, Jul-2026,ETH                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        95 | NC      | $75778.35     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2613289.61  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1084899.75  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | STOXX Europe 600 Index Futures(FXXP) Index Fut                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |       200 | NC      | $-114429.15   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| DNB Bank Asa New York Branch                                     | DNB Bank Asa New York Branch 3.67% CP 13/07/2026                                       | CUSIP: 23345HXC7<br>LEI: N/A                  | Long             | STIV             | CORP              | NO        |  12000000 | PA      | $11994091.20  | 1.26%             | 2026-07-13      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| EURONEXT PARIS SA                                                | CAC 40 Index Future, Apr 2026                                                          | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |        20 | NC      | $-16343.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                                       | MSCI Singapore Index Futures, April 2026                                               | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |       234 | NC      | $39537.22     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                                 | ASX 3 Year Treasury Bond Futures                                                       | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |     -2337 | NC      | $553995.62    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                                        | LME ZINC FUTURE JUN26                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |       205 | NC      | $-639919.50   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| BORSA ITALIANA S.P.A.                                            | FTSE 2026, MIB Index Future Jun                                                        | CUSIP: 000000000<br>LEI: 8156005391EE905D3124 | N/A              | DE               | CORP              | IT        |        38 | NC      | $93554.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                               | Henry Hub Natural Gas Futures, May-2026,ETH                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |      -183 | NC      | $756463.46    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                                           | Cotton No. 2 Futures - NYCC                                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |      -232 | NC      | $-159743.54   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                                        | LME PRI ALUM FUTR JUN26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |      -122 | NC      | $-617422.50   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1643663.53  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Brazilian Real Futures, May-2026,ETH                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      1342 | NC      | $230433.48    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                           | Ten-Year Government of Canada Bond Futures                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |      -149 | NC      | $-84630.86    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2575671.24  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Euro FX Futures, Jun-2026,ETH                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      -835 | NC      | $-672130.45   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Three-Month SOFR Futures, Sep-2026,ETH                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |     -2235 | NC      | $955597.90    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Svenska Handelsbanken AB New York Branch                         | Svenska Handelsbanken AB New York Branch 3.79% CP 04/09/2026                           | CUSIP: 86959TUJ3<br>LEI: N/A                  | Long             | STIV             | CORP              | SE        |  21000000 | PA      | $20990961.60  | 2.21%             | 2026-09-04      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/23/26                                                                           | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9977818.70   | 1.05%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-343089.26   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Agricole Corporate and Investment Bank                    | Credit Agricole Corporate and Investment Bank 3.98% CP 25/09/2026                      | CUSIP: 22536XDR2<br>LEI: 1VUV7VQFKUOQSJ21A208 | Long             | STIV             | CORP              | FR        |  20000000 | PA      | $19999926.00  | 2.10%             | 2026-09-25      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| DG Bank New York Branch                                          | DG Bank New York Branch 3.8% CD 04/08/2026 USD                                         | CUSIP: 23344JFD2<br>LEI: 5493005PGG4HB3CD7345 | Long             | STIV             | CORP              | DE        |  30000000 | PA      | $29991606.00  | 3.15%             | 2026-08-04      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2320605.08  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                                        | LME COPPER FUTURE JUN26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |       -18 | NC      | $-62332.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                               | Three Month SONIA - ICEU                                                               | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |     -1146 | NC      | $-208566.27   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                               | Three Month Euro (Euribor) Future - ICEU                                               | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |     -1646 | NC      | $-47563.23    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | 5-Year T-Note Futures, Jun-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1031 | NC      | $-291730.24   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | Short(FBTS) Term Euro                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |     -1163 | NC      | $553166.58    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                               | Crude Oil Futures, May-2026,ETH                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |       273 | NC      | $7058626.28   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Nordea Bank ABP (New York Branch)                                | Nordea Bank ABP (New York Branch) 3.7% CP 09/07/2026                                   | CUSIP: 65558WSD1<br>LEI: N/A                  | Long             | STIV             | CORP              | FI        |  10500000 | PA      | $10493776.65  | 1.10%             | 2026-07-09      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/02/26                                                                           | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19997984.00  | 2.10%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                                        | LME COPPER FUTURE JUN26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |        49 | NC      | $-966148.50   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | 10-Year T-Note Futures, Jun-2026,ETH                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -353 | NC      | $-198086.94   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                                       | SGX IODEX Iron Ore Futures, May-2026                                                   | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DCO              | CORP              | SG        |      1664 | NC      | $-188198.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NASDAQ OMX NORDIC                                                | OMX Stockholm 30 Index Price Return Cash Settled Monthly Future SEK,Dec-2030,Composite | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | SE        |       509 | NC      | $-307121.10   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/30/26                                                                           | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24926902.50  | 2.62%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                               | Brent Crude Futures - North Sea, Jun26                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |       280 | NC      | $7269052.82   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-38145.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                               | RBOB Gasoline Futures, May-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |       228 | NC      | $4921144.24   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | USD/TRY FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5070.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | Corn Futures, Jul-2026,ETH                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |      -102 | NC      | $-101999.41   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -94 | NC      | $-52947.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $479354.85    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | Chicago SRW Wheat Futures, Jul-2026,ETH                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        90 | NC      | $82312.72     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1092384.80  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | E-mini S&P 500 Futures, Jun-2026,ETH                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        38 | NC      | $-219359.27   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $24367.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                                      | Silver Futures, May-2026,ETH                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |        21 | NC      | $-433197.05   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | Euro(FOAT) OAT Futures                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |      -320 | NC      | $-87602.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                                        | LME ZINC FUTURE JUN26                                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |       -93 | NC      | $-339670.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Oversea-Chinese Banking Corp Ltd.                                | Oversea-Chinese Banking Corp Ltd. 3.76% CP 18/06/2026                                  | CUSIP: 69033NMJ1<br>LEI: 5493007O3QFXCPOGWK22 | Long             | STIV             | CORP              | SG        |  25000000 | PA      | $24990840.00  | 2.63%             | 2026-06-18      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada New York Branch                             | Royal Bank of Canada New York Branch 4.3% CP 22/04/2026                                | CUSIP: 78015JKG1<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  32000000 | PA      | $32009558.40  | 3.37%             | 2026-04-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                               | LS Gas Oil Futures - ULSD-ARA                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |       186 | NC      | $6446321.97   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                                       | SGX FTSE Taiwan Index Futures, April 2026                                              | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |       118 | NC      | $-817730.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Skandinaviska Enskilda Banken AB (publ)                          | Skandinaviska Enskilda Banken AB (publ) 0% CP 27/04/2026                               | CUSIP: 83050UDT2<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | STIV             | CORP              | SE        |  46000000 | PA      | $45871595.60  | 4.82%             | 2026-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $753329.75    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA New York Branch                                   | BNP Paribas SA New York Branch 3.85% CP 13/07/2026                                     | CUSIP: 05593DN90<br>LEI: N/A                  | Long             | STIV             | CORP              | FR        |  13000000 | PA      | $12998949.60  | 1.37%             | 2026-07-13      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $21905.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Swedbank Sparbanken Svenge Ab                                    | Swedbank Sparbanken Svenge Ab 3.98% CP 30/10/2026                                      | CUSIP: 87019W4D4<br>LEI: N/A                  | Long             | STIV             | CORP              | SE        |  10500000 | PA      | $10494494.85  | 1.10%             | 2026-10-30      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | Long(FBTP) Term Euro                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |      -138 | NC      | $-63104.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | E-mini Russell 2000 Index Futures, Jun-2026,ETH                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        88 | NC      | $68105.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | Euro(FGBL) Bund Futures                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |      -387 | NC      | $118011.59    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Live Cattle Futures, Jun-2026,ETH                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |       183 | NC      | $752093.78    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                                      | Copper Futures, May-2026,ETH                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |        78 | NC      | $-529645.85   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                                        | LME PRI ALUM FUTR JUN26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |       446 | NC      | $3992696.00   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                                        | LME NICKEL FUTURE JUN26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |       145 | NC      | $-664798.98   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | Soybean Futures, Jul-2026,ETH                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |       571 | NC      | $-343581.63   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Japanese Yen Futures, Jun-2026,ETH                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |     -1831 | NC      | $1052724.06   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd New York Branch                   | Sumitomo Mitsui Trust Bank Ltd New York Branch 3.75% CP 25/06/2026                     | CUSIP: 86564TMM2<br>LEI: 254900S1KUTSTBKJ6286 | Long             | STIV             | CORP              | JP        |  30000000 | PA      | $29982435.00  | 3.15%             | 2026-06-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                                           | Sugar No. 11 Futures - NYCC, Jul26                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |      -328 | NC      | $22419.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                                 | ASX 10 Year Treasury Bond Futures                                                      | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |      -891 | NC      | $186656.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                                     | B 0 06/18/26                                                                           | CUSIP: 912797TD9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24805162.50  | 2.61%             | 2026-06-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL STOCK EXCHANGE OF INDIA LIMITED                         | IFSC NIFTY 50 FUT APR26                                                                | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               | CORP              | IN        |      -396 | NC      | $686504.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-94952.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-301754.34   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                                           | Cocoa Futures - NYCC, Jul26                                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |      -287 | NC      | $-45588.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                                           | Coffee C Futures - NYCC                                                                | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |       -46 | NC      | $136999.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Dreyfus Government Cash Management Funds                         | Dreyfus Government Cash Management Funds SH BEN INT                                    | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |  70415780 | NS      | $70415779.90  | 7.40%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $351902.95    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                                       | KRW_USD (Mini) FX Futures, April 2026                                                  | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DFE              | CORP              | SG        |      -155 | NC      | $72587.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | E-mini Nasdaq-100 Futures, Jun-2026,ETH                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        22 | NC      | $-305116.48   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/07/26                                                                           | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14990962.50  | 1.58%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                     | B 0 05/05/26                                                                           | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19931540.80  | 2.10%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | EURO STOXX 50 Index Futures(FESX) Index Fut                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |       144 | NC      | $-194737.61   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Mizuho Bank, Ltd. New York Branch                                | Mizuho Bank, Ltd. New York Branch 3.78% CP 20/08/2026                                  | CUSIP: 60701AB36<br>LEI: N/A                  | Long             | STIV             | CORP              | JP        |   9000000 | PA      | $8992767.60   | 0.95%             | 2026-08-20      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | 2-Year T-Note Futures, Jun-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1784 | NC      | $518159.13    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| First Abu Dhabi Bank USA NV                                      | First Abu Dhabi Bank USA NV 3.97% CP 05/05/2026                                        | CUSIP: 31851XWW8<br>LEI: N/A                  | Long             | STIV             | CORP              | CW        |  20500000 | PA      | $20503068.85  | 2.16%             | 2026-05-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP NEW YORK BRANCH                             | WSTP F 04/20/26 YCD                                                                    | CUSIP: 96130AZV3<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  32000000 | PA      | $32005596.80  | 3.37%             | 2026-04-20      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                                   | FTSE/JSE TOP 40 JUN26                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | ZA        |        60 | NC      | $-23544.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd New York Branch                   | Sumitomo Mitsui Trust Bank Ltd New York Branch 3.95% CP 01/07/2026                     | CUSIP: 86564TNM1<br>LEI: 254900S1KUTSTBKJ6286 | Long             | STIV             | CORP              | JP        |  15000000 | PA      | $14998317.00  | 1.58%             | 2026-07-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | DAX Futures(FDAX) Index Fut                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |        -7 | NC      | $-25889.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Canadian Dollar Futures, Jun-2026,ETH                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      -989 | NC      | $128950.82    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1635400.48  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                               | NIKKEI 225 TRADE FUTURE, JUN 2026                                                      | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |        27 | NC      | $-532182.35   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | U.S. Treasury Bond Futures, Jun-2026,ETH                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -10 | NC      | $-7396.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE LTD.                                  | HANG SENG INDEX FUTURES, APR-2026                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |        24 | NC      | $-70920.27    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                               | NY Harbor ULSD Futures, May-2026,ETH                                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |       124 | NC      | $5323063.22   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | E-mini S&P MidCap 400 Index Futures, Jun-2026,ETH                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        60 | NC      | $192783.20    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL CHICAGO BRANCH                                  | BMO F 05/07/26 YCD                                                                     | CUSIP: 06367DQL2<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  40000000 | PA      | $40008936.00  | 4.21%             | 2026-05-07      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | E-mini Dow Jones Industrial Average Index Futures, Jun-2026,ETH                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               | CORP              | US        |        37 | NC      | $-57080.87    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                                        | LME NICKEL FUTURE JUN26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |       -40 | NC      | $27122.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/28/26                                                                           | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9972771.20   | 1.05%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE ENDEX MARKETS B.V.                                           | EUA Futures - EUA                                                                      | CUSIP: 000000000<br>LEI: 549300CZW488L20NT866 | N/A              | DCO              | CORP              | NL        |       -73 | NC      | $-261662.60   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                                | Euro(FGBS) Schatz Futures                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |     -2592 | NC      | $1048373.95   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                                       | INR_USD FX Futures, April 2026                                                         | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DFE              | CORP              | SG        |     -2193 | NC      | $687396.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE INC.                                           | Three-Month CORRA Futures, Sep-2026                                                    | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |      -440 | NC      | $-147769.75   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MEFF SOCIEDAD RECTORA DEL MERCADO DE PRODUCTOS DERIVADOS, S.A.U. | IBEX 35 INDX FUTR APR26                                                                | CUSIP: 000000000<br>LEI: 959800T2W59YXMVKRU25 | N/A              | DE               | CORP              | ES        |        61 | NC      | $61517.23     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Australian Dollar Futures, Jun-2026,ETH                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |      1592 | NC      | $-2789868.27  | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| Toronto Dominion Bank New York Branch                            | Toronto Dominion Bank New York Branch 4.31% CP 10/04/2026                              | CUSIP: 89115DLC8<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  27000000 | PA      | $27003164.40  | 2.84%             | 2026-04-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                      | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -53 | NC      | $-46177.37    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                 | Lean Hog Futures, Jun-2026,ETH                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |       164 | NC      | $14015.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE LTD.                                  | HANG SENG CHINA ENTERPRISES INDEX (HSCEI) FUTURES, APR-2026                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |       -30 | NC      | $9985.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bills                                     | B 0 04/16/26                                                                           | CUSIP: 912797QD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19969783.40  | 2.10%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                                           | MSCI Emerging Markets Index Futures - ICUS, Jun26                                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               | CORP              | US        |       176 | NC      | $-140624.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                                       | FTSE CHINA A50 INDEX FUTURE, April 2026                                                | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |       232 | NC      | $-22172.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                                               | FTSE 100 - Stnd Index Future - ICEU, Jun26                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               | CORP              | GB        |       186 | NC      | $-196951.68   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

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

**Signature:** Amy Hackett

**Name of Signer:** Amy Hackett

**Title:** Vice President and Assistant Treasurer