Consolidated Schedule of Investments - Virtus AlphaSimplex Managed Futures ETF
April 30, 2026 (unaudited)
| Security Description | Principal | Value | ||||||
| U.S. GOVERNMENT SECURITIES – 78.6% | ||||||||
| U.S. Treasury Bill | ||||||||
| 0.00%, 05/05/26(1) | $ | 2,500,000 | $ | 2,499,018 | ||||
| 0.00%, 05/07/26(1) | 1,500,000 | 1,499,102 | ||||||
| 0.00%, 05/12/26(1) | 1,000,000 | 998,909 | ||||||
| 0.00%, 05/14/26(1) | 1,300,000 | 1,298,321 | ||||||
| 0.00%, 05/19/26(1) | 1,400,000 | 1,397,490 | ||||||
| 0.00%, 05/21/26(1) | 1,400,000 | 1,397,222 | ||||||
| 0.00%, 05/26/26(1) | 1,400,000 | 1,396,519 | ||||||
| 0.00%, 05/28/26(1) | 2,200,000 | 2,194,118 | ||||||
| 0.00%, 06/02/26(1) | 1,900,000 | 1,893,937 | ||||||
| 0.00%, 06/04/26(1) | 1,500,000 | 1,494,912 | ||||||
| 0.00%, 06/09/26(1) | 1,000,000 | 996,111 | ||||||
| 0.00%, 06/11/26(1) | 2,000,000 | 1,991,811 | ||||||
| 0.00%, 06/16/26(1) | 1,400,000 | 1,393,572 | ||||||
| 0.00%, 06/18/26(1) | 2,000,000 | 1,990,392 | ||||||
| 0.00%, 06/23/26(1) | 1,900,000 | 1,889,850 | ||||||
| Total U.S. Government Securities | ||||||||
| (Cost $24,331,080) | 24,331,284 | |||||||
| TOTAL INVESTMENTS - 78.6% | ||||||||
| (Cost $24,331,080) | 24,331,284 | |||||||
| Other Assets in Excess of Liabilities - 21.4% | 6,635,730 | |||||||
| Net Assets - 100.0% | $ | 30,967,014 | ||||||
| (1) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
At April 30, 2026, open exchange-traded futures contracts were as follows:
| Description | Expiration
Date | Number
of Contracts | Notional Amount | Unrealized
Appreciation/(Depreciation) | ||||||||||
| Long Contracts | ||||||||||||||
| Australian Dollar Future | 6/15/2026 | 89 | $ | 6,401,325 | $ | 105,701 | ||||||||
| Brent Crude Future | 5/29/2026 | 15 | 1,656,000 | 249,001 | ||||||||||
| British Pound Future | 6/15/2026 | 1 | 85,006 | 608 | ||||||||||
| Copper Future | 7/29/2026 | 14 | 2,093,175 | (36,470 | ) | |||||||||
| Corn Future | 7/14/2026 | 21 | 498,487 | 3,301 | ||||||||||
| EURO STOXX 50® Index Future | 6/19/2026 | 32 | 2,193,324 | 11,402 | ||||||||||
| Gold Future | 6/26/2026 | 3 | 1,388,880 | 8,831 | ||||||||||
| MSCI Emerging Markets Index Future | 6/19/2026 | 30 | 2,451,300 | 178,680 | ||||||||||
| S&P 500® E-Mini Future | 6/18/2026 | 7 | 2,535,312 | 27,157 | ||||||||||
| TOPIX Index Future | 6/11/2026 | 9 | 2,152,343 | 5,227,500 | ||||||||||
| WTI Crude Future | 5/19/2026 | 14 | 1,470,980 | 192,084 | ||||||||||
| $ | 5,967,795 | |||||||||||||
| Short Contracts | ||||||||||||||
| Canadian Dollar Future | 6/16/2026 | (72) | $ | 5,310,000 | $ | (92,254 | ) | |||||||
| Euro FX Currency Future | 6/15/2026 | (18) | 2,646,000 | (29,480 | ) | |||||||||
| Euro-Bund Future | 6/08/2026 | (100) | 14,712,924 | (8,307 | ) | |||||||||
| Japanese Yen Future | 6/15/2026 | (126) | 10,105,200 | (118,997 | ) | |||||||||
| Long Gilt Future | 6/26/2026 | (59) | 6,951,802 | 86,764 | ||||||||||
| U.S. Treasury 10 Year Notes Future | 6/18/2026 | (63) | 6,967,406 | 14,423 | ||||||||||
Consolidated Schedule of Investments - Virtus AlphaSimplex Managed Futures ETF
April 30, 2026 (unaudited)
| U.S. Treasury 2 Year Notes Future | 6/30/2026 | (65) | 13,463,125 | 33,598 | ||||||||||
| U.S. Treasury Ultra Bond Future | 6/18/2026 | (21) | 2,415,656 | 24,195 | ||||||||||
| $ | (90,058 | ) |
| Abbreviations: |
| MSCI — Morgan Stanley Capital International |
| S&P — Standard & Poor’s |
| STOXX — Stock Index of the Eurozone |
| TOPIX — Tokyo Stock Price Index |
| WTI — West Texas Intermediate |
Fair Value Measurements
The Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. Level 3 includes unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of April 30, 2026.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| U.S. Government Securities | $ | — | $ | 24,331,284 | $ | — | $ | 24,331,284 | ||||||||
| Futures | 6,163,245 | — | — | 6,163,245 | ||||||||||||
| Total | $ | 6,163,245 | $ | 24,331,284 | $ | — | $ | 30,494,529 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Futures | $ | 285,508 | $ | — | $ | — | $ | 285,508 | ||||||||
| Total | $ | 285,508 | $ | — | $ | — | $ | 285,508 | ||||||||