SEC Info - Virtus Alternative Solutions Trust

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		Alternative Formats (Word, et al.) AlphaSimplex Global Alternatives Fund AlphaSimplex Managed Futures Strategy Fund Disclosure of Fund Expenses Financial Highlights Fund Management Tables Key Investment Terms Message to Shareholders Notes to Financial Statements Report of Independent Registered Public Accounting Firm Statements of Assets and Liabilities Statements of Changes in Net Assets Statements of Operations Table of Contents Tax Information Notice
1	1st Page – Filing Submission
"	Table of Contents
"	Message to Shareholders
"	Disclosure of Fund Expenses
"	Key Investment Terms
"	AlphaSimplex Global Alternatives Fund
"	AlphaSimplex Managed Futures Strategy Fund
"	Statements of Assets and Liabilities
"	Statements of Operations
"	Statements of Changes in Net Assets
"	Financial Highlights
"	Notes to Financial Statements
"	Report of Independent Registered Public Accounting Firm
"	Tax Information Notice
"	Fund Management Tables

ANNUAL REPORT

VIRTUS ALTERNATIVE SOLUTIONS TRUST

December 31, 2023

Virtus AlphaSimplex Global Alternatives Fund*

Virtus AlphaSimplex Managed Futures Strategy Fund

*Prospectus supplement applicable to this fund appears at the back of this annual report.

Not FDIC Insured • No Bank Guarantee • May Lose Value

Table of Contents

Message to Shareholders		1
Disclosure of Fund Expenses		2
Key Investment Terms		4
Fund	Fund Summary	Schedule of Investments
Virtus AlphaSimplex Global Alternatives Fund (“AlphaSimplex Global Alternatives Fund”)	8	17
Virtus AlphaSimplex Managed Futures Strategy Fund (“AlphaSimplex Managed Futures Strategy Fund”)	13	30
Statements of Assets and Liabilities		35
Statements of Operations		37
Statements of Changes in Net Assets		38
Financial Highlights		39
Notes to Financial Statements		41
Report of Independent Registered Public Accounting Firm		55
Tax Information Notice		56
Fund Management Tables		57

Proxy Voting Procedures and Voting Record (Form N-PX)

The subadviser votes proxies, if any, relating to portfolio securities in accordance with procedures that have been approved by the Board of Trustees of the Trust (“Trustees”, or the “Board”). You may obtain a description of these procedures, along with information regarding how the Funds voted proxies during the most recent 12-month period ended June 30, free of charge, by calling toll-free 1-800-243-1574. This information is also available through the Securities and Exchange Commission’s (the “SEC”) website at https://www.sec.gov.

PORTFOLIO HOLDINGS INFORMATION

The Trust files a complete schedule of portfolio holdings for each Fund with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT-P. Form N-PORT-P is available on the SEC’s website at https://www.sec.gov.

This report is not authorized for distribution to prospective investors in the Funds presented in this book unless preceded or accompanied by an effective prospectus which includes information concerning the sales charge, each Fund’s record and other pertinent information.

Table of Contents

MESSAGE TO SHAREHOLDERS

To my fellow shareholders of Virtus Funds:

I am pleased to present this annual report, which reviews the performance of your Fund for the 12 months ended December 31, 2023.

After a challenging 2022, most markets posted positive returns in 2023. Inflation slowed measurably while the U.S. economy showed strength. The efforts of the Federal Reserve (“Fed”) and other central banks to manage inflation appeared more likely to generate an economic “soft landing.” A brief banking crisis in March of 2023 was quickly resolved without impacting economic growth, and investor optimism about the possibilities for artificial intelligence (AI) drove stocks higher. By year-end, interest rates were moderating and the Fed announced that rate cuts might be on the horizon, driving equity markets higher.

Domestic equity indexes demonstrated strong performance for the 12 months ended December 31, 2023. U.S. large-capitalization stocks were up 26.29%, as measured by the S&P 500^® Index, while small-cap stocks returned 16.93%, as measured by the Russell 2000^® Index. International equities also performed well, with developed markets, as measured by the MSCI EAFE^® Index (net), returning 18.24%, while emerging markets, as measured by the MSCI Emerging Markets Index (net), returned 9.83%.

In fixed income markets, the yield on the 10-year Treasury made a round trip in 2023, closing at 3.88% on December 31, 2023, from 3.88% on December 31, 2022. The broader U.S. fixed income market, as represented by the Bloomberg U.S. Aggregate Bond Index, returned 5.53% for the 12-month period, while non-investment grade bonds, as measured by the Bloomberg U.S. Corporate High Yield Bond Index, were up 13.45%.

Thank you for entrusting the Virtus Funds with your assets. Please call our customer service team at 800-243-1574 if you have questions about your account or require assistance. We appreciate your business and remain committed to your long-term financial success.

Sincerely,

George R. Aylward
President, Virtus Alternative Solutions Trust
February 2024

Refer to the Fund Summary section for your Fund’s performance. 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 above.

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VIRTUS ALTERNATIVE SOLUTIONS TRUST

DISCLOSURE OF FUND EXPENSES (Unaudited)

FOR THE SIX-MONTH PERIOD OF July 1, 2023 TO December 31, 2023

We believe it is important for you to understand the impact of costs on your investment. All mutual funds have operating expenses. As a shareholder of a Virtus Alternative Solutions Trust Fund discussed in this shareholder report (each, a “Fund”), you may incur two types of costs: (1) transaction costs, including sales charges on purchases of Class A shares and contingent deferred sales charges on Class C shares; and (2) ongoing costs, including investment advisory fees, distribution and service fees, and other expenses. Class I shares and Class R6 shares are sold without sales charges and do not incur distribution and service fees. Class R6 shares also do not incur shareholder servicing fees. For further information regarding applicable sales charges, see Note 1 in the Notes to Financial Statements. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period. The Annualized Expense Ratios may be different from the expense ratios in the Financial Highlights which are for the fiscal year ended December 31, 2023.

Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges or contingent deferred sales charges. Therefore, the accompanying tables are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

		Beginning Account Value July 1, 2023	Ending Account Value December 31, 2023	Annualized Expense Ratio	Expenses Paid During Period*
AlphaSimplex Global Alternatives Fund
	Class A	$ 1,000.00	$ 1,004.00	1.49 %	$ 7.53
	Class C	1,000.00	1,000.00	2.24	11.29
	Class I	1,000.00	1,004.80	1.24	6.27
	Class R6	1,000.00	1,003.80	1.19	6.01
AlphaSimplex Managed Futures Strategy Fund
	Class A	1,000.00	935.70	1.70	8.29
	Class C	1,000.00	932.50	2.45	11.93
	Class I	1,000.00	936.90	1.45	7.08
	Class R6	1,000.00	937.60	1.33	6.50

^*

Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period.

For Funds which may invest in other funds, the annualized expense ratios noted above do not reflect fees and expenses associated with any underlying funds. If such fees and expenses had been included, the expenses would have been higher.

You can find more information about a Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to that Fund’s prospectus.

Hypothetical Example for Comparison Purposes

The table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other mutual funds.

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VIRTUS ALTERNATIVE SOLUTIONS TRUST

DISCLOSURE OF FUND EXPENSES (Unaudited) (Continued)

FOR THE SIX-MONTH PERIOD OF July 1, 2023 TO December 31, 2023

		Beginning Account Value July 1, 2023	Ending Account Value December 31, 2023	Annualized Expense Ratio	Expenses Paid During Period*
AlphaSimplex Global Alternatives Fund
	Class A	$ 1,000.00	$ 1,017.69	1.49 %	$ 7.58
	Class C	1,000.00	1,013.91	2.24	11.37
	Class I	1,000.00	1,018.95	1.24	6.31
	Class R6	1,000.00	1,019.21	1.19	6.06
AlphaSimplex Managed Futures Strategy Fund
	Class A	1,000.00	1,016.64	1.70	8.64
	Class C	1,000.00	1,012.85	2.45	12.43
	Class I	1,000.00	1,017.90	1.45	7.38
	Class R6	1,000.00	1,018.50	1.33	6.77

^*

Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period.

For Funds which may invest in other funds, the annualized expense ratios noted above do not reflect fees and expenses associated with any underlying funds. If such fees and expenses had been included, the expenses would have been higher.

You can find more information about a Fund’s expenses in the Financial Statements section that follows. For additional information on operating expenses and other shareholder costs, refer to that Fund’s prospectus.

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VIRTUS ALTERNATIVE SOLUTIONS TRUST

KEY INVESTMENT TERMS (Unaudited)

December 31, 2023

Alternative Risk

The Fund’s alternative risk premia component attempts to provide uncorrelated returns reflective of the diversifying and opportunistic trading strategies employed by hedge funds.

American Depositary Receipt (“ADR”)

Represents shares of foreign companies traded in U.S. dollars on U.S. exchanges that are held by a U.S. bank or a trust. Foreign companies use ADRs in order to make it easier for Americans to buy their shares.

Barclay Fund of Funds Index

The Barclay Fund of Funds Index is a measure of the average return of all FoFs in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month.

Bloomberg U.S. Aggregate Bond Index

The Bloomberg U.S. Aggregate Bond Index measures the U.S. investment-grade fixed-rate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Bloomberg U.S. Corporate High Yield Bond Index

The Bloomberg U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Brent Crude

Brent crude is the most traded of all of the oil benchmarks, and is defined as crude mostly drilled from the North Sea oilfields: Brent, Forties, Oseberg and Ekofisk (collectively known as BFOE). This oil type is widely used as it is both sweet and light, making it easy to refine into diesel fuel and gasoline.

Bundesobligation (“BOBL”)

A BOBL futures contract is a standardized futures contract based on a basket of medium-term debt issued by the German Federal Government.

Canadian Overnight Repo Rate Average (“CORRA”)

The Canadian Overnight Repo Rate Average is the compounded daily rate during the referenced quarter. CORRA measures the cost of overnight general collateral funding in Canadian dollars using Government of Canada treasury bills and bonds as collateral for repurchase transactions.

Cotation Assistee en Continu (“CAC”)

Cotation Assistee en Continu (continuous assisted trading) is used as a benchmark index for funds investing in the French stock market. The index provides the direction of the Euronext Paris, the largest stock exchange in France.

Deutsche Boerse AG German Stock Index (“DAX”)

The DAX is a total return index of 40 selected German blue chip stocks traded on the Frankfurt Stock Exchange. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Dow Jones Industrial Average (“DJIA”)

The Dow Jones Industrial Average is a stock market index of 30 prominent companies listed on stock exchanges in the United States.

European Interbank Offered Rate (“EURIBOR”)

The European Interbank Offered Rate is the rate at which wholesale funds in euro could be obtained by credit institutions in current and former EU and EFTA countries in the unsecured money market.

European Climate Exchange (“ECX”)

The European Climate Exchange manage the product development and marketing for ECX Carbon Financial Instruments, listed and admitted for trading on the ICE Futures Europe electronic platform.

EURO STOXX 50^® Index

The EURO STOXX 50 is a stock index of Eurozone stocks designed by STOXX, an index provider owned by Deutsche Börse Group. The index is composed of 50 stocks from 11 countries in the Eurozone. EURO STOXX 50 represents Eurozone blue-chip companies considered as leaders in their respective sectors.

Exchange-Traded Fund (“ETF”)

An open-end fund that is traded on a stock exchange. Most ETFs have a portfolio of stocks or bonds that track a specific market index.

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VIRTUS ALTERNATIVE SOLUTIONS TRUST

KEY INVESTMENT TERMS (Unaudited) (Continued)

December 31, 2023

Federal Reserve (the “Fed”)

The central bank of the U.S., responsible for controlling money supply, interest rates, and credit with the goal of keeping the U.S. economy and currency stable. Governed by a seven-member board, the system includes 12 regional Federal Reserve Banks, 25 branches, and all national and state banks that are part of the system.

Financial Times Stock Exchange (“FTSE”)

The Financial Times Stock Exchange Group is a financial organization that specializes in the management of asset exchanges and creating index offerings for the global financial markets.

FTSB/MIB Index

The FTSB MIB Index is the primary benchmark for the Italian equity market. It measures the performance of the top 40 Italian equities seeking to replicate the broad sector weights of the Italian Stock Market.

Hang Seng China Enterprises Index (“HSCEI”)

The HSCEI is a market capitalisation-weighted stock index which is compiled and calculated by Hang Seng Indexes Company Limited. The HSCEI serves as a benchmark that reflects the overall performance of mainland China securities listed in Hong Kong. The index is unmanaged, its returns do not reflect any fees, expenses or sales charges, and it is not available for direct investment.

Hedge Fund Replication Component

The Fund’s hedge fund replication component seeks to take on exposures that reflect the liquid, broad market exposures of the hedge fund industry as identified by a proprietary quantitative process.

Italian Buonie (“BTP”)

Buoni del Tesoro Poliennali (BTP) is a interest rate futures contract on the notion long-term Italian government bond with a remaining term comprised of a remaining term between 8.5 and 11 years and a 6% coupon.

Johannesburg Stock Exchange (“JSE”)

Johannesburg Stock Exchange is a South Africa-based stock exchange. It offers markets with regulation, trading and clearing systems, settlement assurance as well as risk management.

Kansas City Hard Red Winter (“KC HRW”)

Kansas City Hard Red Winter is the national crop of hard red winter wheat, the predominate class of wheat produced in the United States. Traditionally used int eh production of bread, all purpose flour and baked goods.

London Metal Exchange (“LME”)

The London Metal Exchange is a commodities exchange that deals in metals futures and options.

Master Limited Partnership (“MLP”)

A type of limited partnership that is publicly traded. The partnership must derive most of its cash flows from real estate, natural resources and commodities.

MSCI Emerging Markets Index (net)

The MSCI Emerging Markets Index (net) is a free float-adjusted market capitalization-weighted index designed to measure equity market performance in the global emerging markets. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

MSCI EAFE^® Index (net)

The MSCI EAFE^® (Europe, Australasia, Far East) Index (net) is a free float-adjusted market capitalization-weighted index that measures developed foreign market equity performance, excluding the U.S. and Canada. The index is calculated on a total return basis with net dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Nordic Exchange Stockholm Index (“OMXS”)

The Nordic Exchange Stockholm Index consists of the 30 most actively traded stocks on the Stockholm Stock Exchange and is a market weighted price index.

Obligations Assimilables Du Tresor (“OAT”)

Euro-OAT is a long-term fixed income futures contract based on notional long-term bonds issue by the French Government.

Osaka Stock Exchange (“OSE”)

The Osaka Stock Exchange is an electronic exchange that provides markets for equities, stock index futures, stock index options and security options contracts.

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VIRTUS ALTERNATIVE SOLUTIONS TRUST

KEY INVESTMENT TERMS (Unaudited) (Continued)

December 31, 2023

Public Limited Company (“PLC”)

A public limited company is a company that is legally allowed to offer it’s shares for sale to the public.

Real Estate Investment Trust (“REIT”)

A publicly traded company that owns, develops and operates income-producing real estate such as apartments, office buildings, hotels, shopping centers and other commercial properties.

Reformulated Gasoline Blendstock for Oxygenate Blending (“RBOB”)

Reformulated Gasoline Blendstock for Oxygenate Blending is motor gasoline blending components intended for blending with oxygenates to produce finished reformulated gasoline.

Risk Assets

Risk assets are those that tend to demonstrate price volatility, such as equities, high yield bonds, currencies, and commodities.

Russell 2000^® Index

The Russell 2000^® Index is a market capitalization-weighted index of the 2,000 smallest companies in the Russell Universe, which comprises the 3,000 largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

S&P 500^® Index

The S&P 500^® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Secured Overnight Financing Rate (“SOFR”)

A broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities.

SG Trend Index

The SG Trend Index is equal-weighted, reconstituted and rebalanced annually, and calculates the net daily rate of return for a pool of Commodity Trading Advisors selected from the larger managers that are open to new investment. AlphaSimplex Group, LLC is part of this Index.

Share Price Index (“SPI”)

A share price index measures how the value of the stocks in the index are changing.

Singapore Exchange (“SGX”)

The Singapore Exchange is Asia’s leading and trusted securities and derivatives market infrastructure, operating equity, fixed income, currency and commodity markets.

Spanish Stock Exchange (“IBEX”)

IBEX is the benchmark stock market index of the dominate Spanish stock exchange, Bolsa de Madrid (BME).

Standard & Poor’s Depositary Receipt (SPDR^®)

A portfolio of stocks tracking an index, commonly held by ETFs that offer investors a manner in which to experience the investment performance of the index without owning each individual security.

Sterling Overnight Index Average (“SONIA”)

The Sterling Overnight Index Average is the effective overnight interest rate paid by banks for unsecured transactions in the British sterling market. It is used for overnight funding for trades that occur in off-hours and represents the depth of overnight business in the marketplace.

Stock Index of the Eurozone (“STOXX”)

The Stock index of the Eurozone is a globally integrated index provider, covering the world markets across all asset classes – developing, maintaining, distributing and marketing a comprehensive global family of strictly rules-based and transparent indices.

The Credit Suisse Managed Futures Liquid Index

The Credit Suisse Managed Futures Liquid Index seeks to gain broad exposure to the Managed Futures strategy using a pre-defined quantitative methodology to invest in a range of asset classes, including equities, fixed income, commodities and currencies. The indexes are calculated on a total return basis with net dividends reinvested. The indexes are unmanaged, and are not available for direct investment.

Tokyo Stock Price Index (“TOPIX”)

The Tokyo Stock Price Index is a free-float adjusted market capitalization weighted index comprised of domestic common stocks listed on the Tokyo Stock Exchange.

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VIRTUS ALTERNATIVE SOLUTIONS TRUST

KEY INVESTMENT TERMS (Unaudited) (Continued)

December 31, 2023

TSX 60 Index

The S&P/TSX 60 Index is a stock market index of 60 large companies listed on the Toronto Stock Exchange. It is designed to measure the large-cap segment of the Canadian equity market and structured to reflect the sector weights of the S&P/TSX Composite. The index has components across nine sectors of the Canadian economy.

Ultra Low Sulfur Diesel (“ULSD”)

Ultra Low Sulfur Diesel is a cleaner-burning diesel fuel that contains 97% less sulfur than low-sulfur diesel. Since 2006, almost all of the petroleum-based diesel fuel available in Europe and North America has been of an Ultra Low Sulfur Diesel.

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	Ticker Symbols:
	Class A: GAFAX
	Class C: GAFCX
	Class I: GAFYX
	Class R6: GAFNX

AlphaSimplex Global Alternatives Fund

Fund Summary (Unaudited)

Portfolio Manager Commentary by
AlphaSimplex Group, LLC

■	The Fund is diversified and pursues an absolute return strategy that seeks to provide capital appreciation consistent with the risk-return characteristics of a diversified portfolio of hedge funds. The secondary goal of the fund is to achieve these returns with less volatility than major equity indices. There is no guarantee that the Fund will meet its objective.
■	For the fiscal year ended December 31, 2023, the Fund’s Class A shares at NAV returned 3.57%^†, Class C shares at NAV returned 2.75%^†, Class I shares at NAV returned 3.79%^† and Class R6 shares at NAV returned 3.80%^†. For the same period, Barclays Fund of Funds Index, the Fund’s style-specific benchmark appropriate for comparison, returned 5.72%.

^† See footnote 3 on page 12.

All performance figures assume reinvestment of distributions and exclude the effect of sales charges. 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 above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.

How did the markets perform during the Fund’s fiscal year ended December 31, 2023?

Looking at the year as a whole, investors saw equities rally as bond yields went up and then came back down again. While the beginning of 2023 seemed ripe for a recession, by the middle of the year the story had changed to “higher for longer” – that is, markets expected inflation and interest rates to stay high for longer than previously expected.

This story was interrupted by the U.S. banking crisis in the first quarter of 2023, during which yields plummeted as investors pulled money from banks and fueled a flight to safety into short-term assets. The stock market declined sharply, at least at first. The U.S. dollar sold off, especially against European currencies, and there was a dramatic rise in gold prices. However, markets recovered from this shock relatively quickly, and the second quarter saw a

return of strong market trends, including rising equity prices and bond yields. These trends continued into the third quarter, which was relatively quiet compared with the turbulent first half of the year. The narrative once again changed sharply in the fourth quarter, when improving inflation data led to a rally in equity prices, a decline in bond yields, and a substantial reversal in the U.S. dollar.

This rally in risk assets reversed several longer-term trends from earlier in 2023. Despite a rise in interest rates during the first three quarters of the year, equities never significantly corrected in 2023.

What factors affected the Fund’s performance during its fiscal year?

The Fund posted positive performance for the 12 months ended December 31, 2023. Gains came primarily from the Fund’s hedge fund replication models, while the alternative risk premia models detracted from performance.

Within the Fund’s hedge fund replication models, gains came primarily from long equity positions, with additional gains from currencies. These gains outweighed losses from commodities and fixed income. In equities, gains were driven by U.S. equities, with additional gains from Japan, as measured by the Tokyo Stock Price Index (TOPIX), Europe, as measured by the EURO STOXX 50® Index, and international markets, as measured by the MSCI EAFE® Index. Currency gains came primarily from short positions in the Japanese yen, with additional gains from the Mexican peso and Brazilian real. Commodity losses came primarily from energies, especially oil, as measured by Brent Crude, with additional losses from agricultural commodities and metals. Fixed income was more mixed, with losses from German government debt and Ultra 10-year bonds, among others, outweighing gains from U.S. 10-year Treasury notes.

Within the alternative risk premia component of the Fund, losses were driven by the structural/flow and trend/momentum models, while the value and event categories contributed positively. Carry/curve models were essentially flat over the year. In the structural/flow category, losses came from currency flow, commodity contrarian models, and low-volatility models. Within the trend/momentum models, equity positions contributed positively, but these gains were outweighed by losses in fixed income and currencies as trends in these assets

reversed over the course of the year. In the carry/curve category, losses from fixed income curve models slightly outweighed gains from commodity model and bond carry models. Gains in the value category came from the equity profitability model, while the earnings, activist, and merger arbitrage models were the largest contributors to gains within the event category.

The Fund’s cash portfolio positively impacted performance during the reporting period.

The Fund is designed to target an average annual volatility of 9% or less¹ – greater than the typical volatility of bonds, but less than the typical volatility of stocks. The Fund’s realized volatility in 2023 was 5.4%, which was consistent with our expectations and lower than the long-term realized volatility for the Fund.

¹ The Fund seeks to target a relatively stable level of annualized volatility (as measured by standard deviation), but the targeted volatility is subject to change. There is no guarantee that the target will be achieved and the realized volatility level of the Fund can be higher or lower than its target volatility at any given point in time. Volatility is not an indicator of expected return or a measure of protection against loss.

The preceding information is the opinion of portfolio management only through the end of the period stated on the cover. Any such opinions are subject to change at any time based upon market or other conditions and should not be relied upon as investment advice. Past performance is no guarantee of future results, and there is no guarantee that market forecasts will be realized.

Leverage: When the Fund leverages its portfolio, the Fund may be less liquid and/or may liquidate positions at an unfavorable time, and the value of the Fund’s shares will be more volatile and sensitive to market movements.

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.

For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.

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AlphaSimplex Global Alternatives Fund (Continued)

Equity Securities: The market price of equity securities may be adversely affected by financial market, industry, or issuer-specific events. Focus on a particular style or on small, medium, or large-sized companies may enhance that risk.

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.

Quantitative Model: Investments selected using quantitative models may perform differently from the market as a whole or from their expected performance. There can be no assurance that use of a quantitative model will enable the portfolio to achieve positive returns or outperform the market.

Commodity and Commodity-Linked Instruments: Commodity and commodity-linked instruments may experience a return different than the commodity they attempt to track and may also be exposed to counterparty risk.

Currency Rate: Fluctuations in the exchange rates between the U.S. dollar and foreign currencies may negatively affect the value of the portfolio’s shares.

Foreign & Emerging Markets: Investing in foreign securities, especially in emerging markets, subjects the portfolio to additional risks such as increased volatility, currency fluctuations, less liquidity, and political, regulatory, economic, and market risk.

Interest Rate: The values of debt instruments may rise or fall in response to changes in interest rates, and this risk may be enhanced for securities with longer maturities.

Credit Risk: If the issuer of a debt instrument fails to pay interest or principal in a timely manner, or negative perceptions exist in the market of the issuer’s ability to make such payments, the price of the security may decline.

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.

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.

Asset Allocation

The following table presents asset allocation within certain industries as a percentage of total investments as of December 31, 2023.

U.S. Government Securities		50%
Common Stocks		31
Software	2%
Oil, Gas & Consumable Fuels	2
Insurance	2
All other Common Stocks	25
Certificates of Deposits		18
Master Limited Partnerships and Related Companies		1
Total		100%

For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.

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AlphaSimplex Global Alternatives Fund (Continued)

Average Annual Total Returns¹for periods ended 12/31/23

	1 Year	5 Years	10 Years
Class A shares at NAV²	3.57 % ³	2.24%	1.10%
Class A shares at POP^4,5	-2.13	1.09	0.53
Class C shares at NAV² without CDSC⁵	2.75 ³	1.48	0.34
Class C shares with CDSC⁵	1.75	1.48	0.34
Class I shares at NAV²	3.79 ³	2.49	1.35
Class R6 shares at NAV²	3.80 ³	2.51	1.37
Barclays Fund of Funds Index⁶	5.72	4.00	2.29
Fund Expense Ratios⁷: Class A shares: Gross 1.76%, Net 1.50%; Class C shares: Gross 2.46%, Net 2.25%; Class I shares: Gross 1.44%, Net 1.25%; Class R6 Shares: Gross 1.37%, Net 1.20%.

All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end.

Growth of $10,000 for periods ended 12/31

This chart assumes an initial investment of $10,000 made on December 31, 2013, for Class A shares and Class C shares including any applicable sales charges or fees. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.

For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.

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AlphaSimplex Global Alternatives Fund (Continued)

Growth of $100,000 for periods ended 12/31

This chart assumes an initial investment of $100,000 made on December 31, 2013 for Class I shares. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.

For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.

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AlphaSimplex Global Alternatives Fund (Continued)

Growth of $2,500,000 for periods ended 12/31

This chart assumes an initial investment of $2,500,000 made on December 31, 2013, for Class R6 shares. The performance of the other share class may be greater or less than that shown based on differences in inception dates, fees, and sales charges. Performance assumes reinvestment of dividends and capital gain distributions.

¹	Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions.
²	“NAV” (Net Asset Value) total returns do not include the effect of any sales charge.
³	Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report.
⁴	“POP” (Public Offering Price) total returns include the effect of the maximum front-end 5.50% sales charge.
⁵	“CDSC” (contingent deferred sales charge) is applied to redemptions of certain classes of shares that do not have a sales charge applied at the time of purchase. CDSC for certain redemptions of Class A shares made within 18 months of a finder’s fee being paid and all Class C shares are 1% within the first year and 0% thereafter.
⁶	Barclay Fund of Funds Index is a measure of the average return of all Fund of Funds (“FoFs”) in the Barclay database. The index is simply the arithmetic average of the net returns of all the FoFs that have reported that month. Index returns are recalculated by Barclay Hedge, Ltd. throughout each month. The fund does not expect to update the index returns provided if subsequent recalculations cause such returns to change. In addition, because of these recalculations, the Barclay Fund of Funds Index returns reported by the fund may differ from the index returns for the same period published by others. The performance of the Index reflects the managed fees and other expenses of both the funds of funds in the Index and the hedge funds in which these fund of funds invest.
⁷	The expense ratios of the Fund are set forth according to the prospectus for the Fund effective May 12, 2023, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through May 19, 2025. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds.

The indexes are unmanaged and not available for direct investment; therefore, its performance does not reflect the expenses associated with active management of an actual portfolio.

For information regarding the indexes and certain investment terms, see the Key Investment Terms starting on page 4.

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	Ticker Symbols:
	Class A: AMFAX
	Class C: ASFCX
	Class I: ASFYX
	Class R6: AMFNX

AlphaSimplex Managed Futures Strategy Fund

Fund Summary (Unaudited)

Portfolio Manager Commentary by
AlphaSimplex Group, LLC

■

The Fund is diversified and pursues an absolute return strategy that seeks to provide capital appreciation. There is no guarantee that the Fund will meet its objective.

■

For the fiscal year ended December 31, 2023, the Fund’s Class A shares at NAV returned (10.59)%, Class C shares at NAV returned (11.24)%, Class I shares at NAV returned (10.32)%^† and Class R6 shares at NAV returned (10.33)%. For the same period, Credit Suisse Managed Futures Liquid Index and SG Trend Index, the Fund’s style-specific benchmarks appropriate for comparison, returned (5.91)% and (4.17)%.

^† See footnote 5 on page 16.

All performance figures assume reinvestment of distributions and exclude the effect of sales charges. 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 above. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please visit Virtus.com for performance data current to the most recent month-end.

How did the markets perform during the Fund’s fiscal year ended December 31, 2023?

Looking at the year as a whole, investors saw equities rally as bond yields went up and then came back down again. While the beginning of 2023 seemed ripe for a recession, by the middle of the year the story had changed to “higher for longer” – that is, markets expected inflation and interest rates to stay high for longer than previously expected.

This story was interrupted by the U.S. banking crisis in the first quarter of 2023, during which yields plummeted as investors pulled money from banks and fueled a flight to safety into short-term assets. The stock market declined sharply, at least at first. The U.S. dollar sold off, especially against European currencies, and there was a dramatic rise in gold prices. However, markets recovered from this shock relatively quickly, and the second quarter saw a return of strong market trends, including rising equity prices and bond yields. These trends continued into the third quarter, which was relatively quiet compared with the turbulent first half of the year. The narrative once again changed sharply in the fourth quarter, when improving inflation data led to a

rally in equity prices, a decline in bond yields, and a substantial reversal in the U.S. dollar.

This rally in risk assets reversed several longer-term trends from earlier in 2023. Despite a rise in interest rates during the first three quarters of the year, equities never significantly corrected in 2023.

What factors affected the Fund’s performance during its fiscal year?

The Fund posted negative returns for the 12 months ended December 31, 2023. The Fund’s short positions in fixed income drove losses over the year, especially in international developed market bonds. The largest losses came from Australian and German bonds. Additional losses came from short positions in U.S. bonds and in short-term rates markets.

Energies, particularly oil, as measured by Brent Crude, and precious metals, especially silver, drove losses in commodity markets. Agricultural commodities and base metals also detracted. Gains from short positions in natural gas and from long positions in sugar, cocoa, and live cattle could not make up for those losses. Currency markets were more mixed, with losses primarily from short positions in foreign currencies. The largest losses came from the euro, New Zealand dollar, and Australian dollar. These losses outweighed gains from short positions in the Japanese yen and long positions in the Mexican peso and Polish zloty. Equity gains came from long positions, especially in international developed markets. The largest gains came from Japanese equities and various European stocks, particularly in Italy and Spain. U.S. equities were essentially flat for the year as gains from long positions slightly outweighed losses from short positions. Emerging markets equities detracted from performance.

At the model level, all three of the Fund’s approaches detracted, with the adaptive models slightly underperforming the short-horizon and basic multi-trend models. The Fund’s cash portfolio positively impacted performance during the reporting period.

The Fund is designed to target an average annual volatility of 17% or less.¹ The Fund’s realized volatility in 2023 was 14.0%, which was consistent with our expectations and above the long-term realized volatility for the Fund.

¹The Fund seeks to target a relatively stable level of annualized volatility (as measured by standard deviation), but the targeted volatility is subject to change. There is no guarantee that the target will be

achieved and the realized volatility level of the Fund can be higher or lower than its target volatility at any given point in time. Volatility is not an indicator of expected return or a measure of protection against loss.