Westchester Monthly Update
Our monthly event-driven market review and strategies update.
The Merger Fund® VL
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The Merger Fund® VL
Variable Insurance Fund
Alternative
Event Driven
The Merger Fund® VL
Image specific to each asset class and market style grouping.
CUSIP
Inception
Morningstar Category
NAV
$
(as of )
Total Assets by Fund
$
Total Assets by Class
$
Investment Overview
The Fund seeks to deliver consistent, positive absolute returns with lower volatility to traditional stocks by investing in publicly announced mergers, acquisitions, takeovers, and other corporate reorganizations globally. The highly specialized team seeks to profit from the timely completion of corporate transactions with minimal correlation to traditional stocks and bonds and positive correlation to interest rates, all while striving to minimize drawdowns in volatile markets.
Investment Partner
Westchester Capital Management, LLC
For over 30 years, Westchester Capital Management has endeavored to deliver consistent, absolute returns through the disciplined execution of event-driven alternative investment strategies.
Learn more about Westchester Capital Management, LLC
Investment Professionals
Roy D. Behren
Co-President and Co-Chief Investment Officer
Industry start date: 1987
Start date as fund Portfolio Manager: 2007
Michael T. Shannon, CFA
Co-President and Co-Chief Investment Officer
Industry start date: 1988
Start date as fund Portfolio Manager: 2007
Key Features
Portfolio Diversifier and Potential Volatility Dampener
Merger arbitrage strategies have historically provided attractive absolute returns with lower volatility and minimal correlation relative to traditional stock and bond strategies, making for a powerful portfolio diversifier.
A Pioneer in Liquid Alternative Investments
Westchester Capital Management launched their flagship strategy, The Merger Fund®, in 1989. Since then, they have been providing investors access to a proven array of alternative strategies, like The Merger Fund® VL, with the goal of identifying publicly announced, event-driven opportunities.
Proven Expertise
A leader in global event driven investing for over 30 years, Westchester has evaluated more than 10,000 announced transactions, and invested in over 5,000 mergers, acquisitions, and corporate reorganizations, of which more than 98% were completed.
Position Summary
(as of 03/28/2024)| Average position size | 1.55% |
| Number of long positions(1) | 59 |
| Number of short positions(1) | 12 |
| Percent Invested | 91.58% |
| Short positions as a % of net assets | 29.81% |
View Important Disclosure
(1) It is important to note that long positions, net of short positions ("Net Exposure"), is not an accurate indicator of the Fund's directional exposure and has limited informational value. The Fund's Net Exposure is dependent upon the structure and consideration paid to the target company in each of our investments. A portfolio with a greater concentration of cash deals, for example, will have a higher Net Exposure calculation than a portfolio composed primarily of stock - for - stock transactions, yet both portfolios will have the same level of market correlation, or directional exposure. Our positions are typically fully hedged to neutralize such exposure, in order to minimize equity market correlation and volatility.
Top 10 Positions
(as of 03/28/2024)| Pioneer Natural Resources Company | |
| Hess Corporation | |
| WestRock Company | |
| United States Steel Corporation | |
| NFP Corp. | |
| Amedisys, Inc. | |
| Capri Holdings Limited | |
| Altaba Inc. | |
| Juniper Networks, Inc. | |
| Catalent, Inc. | |
| Top 10 Positions as % of Fund | 39.94% |
Holdings are subject to change.
Deal Terms (% Long Positions)
(as of 03/28/2024)Deal terms, regional exposure, sector exposure, and top positions are subject to change.
Deal terms reflect the classification of the type of transaction. Cash reflects an all-cash proposal by one company to buy another’s outstanding shares; cash and stock involves a cash proposal and additional stock in the acquiring company; stock with a fixed exchange ratio refers to a strategy whereby the acquired company safeguards itself from fluctuation in share prices; stock with stub represents remaining equity left over after a company converts its bonds to stub stocks because of the takeover or bankruptcy; and risk reversal is a hedging strategy that protects a long or short position by using put and call options. *The compensation is undetermined because the compensation to be received (e.g., stock, cash, escrow notes, other) will be determined at a later date, potentially at the option of the Fund's investment adviser.
Sector Exposure (% Long Positions ex-SPACs)
| Energy | |
| Health Care | |
| Materials | |
| Consumer Discretionary | |
| Information Technology | |
| Financials | |
| Industrials | |
| Consumer Staples | |
| Communication Services | |
| Utilities | |
| Real Estate |
Regional Exposure (% Long Positions)
| United States | |
| United Kingdom | |
| Japan | |
| Europe ex-U.K. | |
| North America Offshore | |
| Australia | |
| Asia ex-Japan | |
| Canada |
Growth of $10,000 Investment
From to
This chart assumes an initial investment of $10,000 made on for Class ddd shares including any applicable sales charges. Performance assumes reinvestment of dividends and capital gain distributions.
Performance
As of
As of
Performance data quoted represents past results. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost.
Returns for periods of less than one year are cumulative total returns.
Sales Charge and Expenses
Risk Statistics3
(as of )| Fund | Index | |
|---|---|---|
| R2 | ||
| Beta | ||
| Alpha | ||
| Std Dev |
Risk Considerations
Fundamental Risk of Investing: There can be no assurance that the portfolio will achieve its investment objectives. An investment in the portfolio is subject to the risk of loss of principal; shares may decrease in value.
Merger-arbitrage & Event-driven Investing: Merger-arbitrage and event-driven investing involve the risk that the adviser's evaluation of the outcome of a proposed event, whether it be a merger, reorganization, regulatory issue, or other event, will prove incorrect and that the Fund's return on the investment may be negative.
Short Sales: The portfolio may engage in short sales, and may incur a loss if the price of a borrowed security increases before the date on which the portfolio replaces the security.
Special Purpose Acqusition Company (SPAC): The value of a SPAC's securities is particularly dependent on the ability of its management to identify and complete a profitable acquisition. There is no guarantee that the SPACs in which the Fund invests will complete an acquisition or that any acquisitions completed by the SPACs in which the fund invests will be profitable. The values of investments in SPACs may be highly volatile and these investments may also have little or no liquidity
Foreign Investing: Investing in foreign securities subjects the portfolio to additional risks such as increased volatility; currency fluctuations; less liquidity; less publicly available information about the foreign investment; and political, regulatory, economic, and market risk.
Portfolio Turnover: The portfolio's principal investment strategies may result in a consistently high portfolio turnover rate. A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when the portfolio is held in a taxable account.
Credit & Interest: Debt instruments are subject to various risks, including credit and interest rate risk. The issuer of a debt security may fail to make interest and/or principal payments. Values of debt instruments may rise or fall in response to changes in interest rates, and this risk may be enhanced with longer-term maturities.
Derivatives: Derivatives may include, among other things, futures, options, forwards and swap agreements and may be used in order to hedge portfolio risks, create leverage, or attempt to increase returns. Investments in derivatives may result in increased volatility and the portfolio may incur a loss greater than its principal investment.
Hedging: The portfolio's hedging strategy will be subject to the portfolio's investment adviser's ability to correctly assess the degree of correlation between the performance of the instruments used in the hedging strategy and the performance of the investments in the portfolio being hedged.
Technology Concentration: Because the portfolio is presently heavily weighted in the technology sector, it will be impacted by that sector's performance more than a portfolio with broader sector diversification.
Sector Focused Investing: Events negatively affecting a particular industry or market sector in which the portfolio focuses its investments may cause the value of the portfolio to decrease.
Market Volatility: The value of the securities in the portfolio may go up or down in response to the prospects of individual companies and/or general economic conditions. Local, regional, or global events such as war or military conflict, terrorism, pandemic, or recession could impact the portfolio, including hampering the ability of the portfolio's manager(s) to invest its assets as intended.
Prospectus: For additional information on risks, please see the fund's prospectus.
The investments for the Virtus Variable Insurance Funds (the “Funds”) are managed by the same portfolio manager(s) who manage one or more other funds that have similar names, investment objectives, and investment styles as the Funds. You should be aware that the Funds are likely to differ from the other mutual funds in size, cash flow pattern, and tax matters. Accordingly, the holdings and performance of the Funds can be expected to vary from those of the other mutual funds.
Shares of the Funds are sold only through the currently effective prospectuses and are not available to the general public. Shares of the Funds may be purchased only by life insurance companies to be used with their separate accounts which fund variable annuity and variable life insurance policies or qualified retirement plans and are also available as an underlying investment fund for certain qualified retirement plans. The performance information for the Funds does not reflect fees and expenses of the insurance companies. If such fees and expenses were deducted, performance would be lower.
Please carefully consider the investment objectives, risks, charges, and expenses of the Virtus Variable Insurance Funds before investing. For this and other information about any Virtus Variable Insurance Fund, call 1-800-367-5877 or visit Virtus.com for a prospectus and/or summary prospectus. Read it carefully before you invest or send money.
Morningstar Disclosures:
The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights
© year Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.
1 Yields/Distributions: Distribution Yield (at NAV) is calculated by annualizing the latest month's distribution and dividing by the NAV on the last business day of the period. SEC Yield represents the net investment income earned by a fund over a 30-day period (7-day period for Money Market Funds), expressed as an annual percentage rate based on the fund's public offering share price at the end of the 30-day period (7-day period for Money Market Funds).
2 Distribution History: Distributions are represented on a cash basis and may be reclassified at year end for tax purposes. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. STCG: Short Term Capital Gain, LTCG: Long Term Capital Gain
3 Risk Statistics: R2 is a statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index. Beta is a quantitative measure of the volatility of a given portfolio to the overall market. Alpha is a risk adjusted measure of an investment's excess return relative to a benchmark. A positive Alpha indicates that the investment produced a return greater than expected for the risk (as measured by Beta) taken. Standard Deviation measures variability of returns around the average return for an investment fund. Higher standard deviation suggests greater risk. Risk Statistics are calculated using 36 monthly returns.
4 Characteristics: For Equity Funds: Avg. Weighted Market Cap (bn): The sum of each security's weight within the fund (or index) multiplied by the security's market capitalization. Trailing P/E-Negative Earnings: Per-share stock price divided by the latest 12-months Earnings per Share; Price/Cash Flow: Per-share stock price divided by the per-share operating cash flow; Price/Book: Per-share stock price divided by the latest 12-month per-share Book Value; 3-Year EPS Growth Rate: Average of earnings per share growth for latest 3-year period. The 3-Year EPS Growth Rate is not a forecast of the fund's performance.
4 Characteristics: For Fixed Income Funds: Effective Duration represents the interest rate sensitivity of a fixed income fund. For example, if a fund's effective duration is five years, a 1% increase in interest rates would result in a 5% decline in the fund's price. Similarly, a 1% decline in interest rates would result in a 5% gain in the fund's price.
Not insured by FDIC/NCUSIF or any federal government agency. No bank guarantee. Not a deposit. May lose value.