AltShares Trust

02/05/2026 | Press release | Distributed by Public on 02/05/2026 13:24

Semi-Annual Report by Investment Company (Form N-CSRS)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-23475

ALTSHARES TRUST

(exact name of registrant as specified in charter)

104 Fifth Avenue, 9th Floor, New York, NY 10011

(Address of principal executive offices) (Zip code)

John S. Orrico

Water Island Capital, LLC

104 Fifth Avenue

9th Floor

New York, NY 10011

(Name and address of agent for service)

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

Date of fiscal year end: May 31

Date of reporting period: November 30, 2025

Item 1. Reports to Shareholders.

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

TABLE OF CONTENTS

AltShares Event-Driven ETF
EVNT

   

AltShares Merger Arbitrage ETF
ARB

   

Ticker: EVNT

AltShares Event-Driven ETF

Principal Listing Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report

November 30, 2025

Fund Overview

This semi-annual shareholder report contains important information about the AltShares Event-Driven ETF for the period of June 1, 2025 to November 30, 2025. You can find additional information about the Fund, including updated performance information, at www.altsharesetfs.com/evnt. You can also request this information by contacting us at 1-855-955-1607.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investmentFootnote Reference*
AltShares Event-Driven ETF
$75
1.45%
Footnote Description
Footnote*
Annualized.

Key Fund Statistics

Total Net Assets
$8,961,862
Number of Portfolio Holdings
132
Portfolio Turnover RateFootnote Reference**
214%
Footnote Description
Footnote**
Not annualized.

What did the Fund invest in?

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

Sector Weighting (% of Total Investments)

Value
Value
Financials
22.21%
Technology
20.11%
Consumer, Non-cyclical
20.07%
Telecommunication Services
15.30%
Industrials
13.46%
Consumer, Cyclical
5.23%
Utilities
3.62%

Region Weighting (% of Total Investments)

Value
Value
Americas
86.92%
EMEA
13.08%

Additional Information

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

Householding

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

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

Ticker: EVNT

AltShares Event-Driven ETF

Semi-Annual Shareholder Report

November 30, 2025

Ticker: ARB

AltShares Merger Arbitrage ETF

Principal Listing Exchange: NYSE Arca, Inc.

Semi-Annual Shareholder Report

November 30, 2025

Fund Overview

This semi-annual shareholder report contains important information about the AltShares Merger Arbitrage ETF for the period of June 1, 2025 to November 30, 2025. You can find additional information about the Fund, including updated performance information, at www.altsharesetfs.com/arb. You can also request this information by contacting us at 1-855-955-1607.

What were the Fund costs for the last six months?

(based on a hypothetical $10,000 investment)

Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investmentFootnote Reference*
AltShares Merger Arbitrage ETF
$28
0.55%
Footnote Description
Footnote*
Annualized.

Key Fund Statistics

Total Net Assets
$98,243,113
Number of Portfolio Holdings
150
Portfolio Turnover RateFootnote Reference**
212%
Footnote Description
Footnote**
Not annualized.

What did the Fund invest in?

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

Sector Weighting (% of Total Investments)

Value
Value
Financials
29.00%
Consumer, Non-cyclical
22.43%
Technology
17.81%
Industrials
12.37%
Consumer, Cyclical
5.58%
Telecommunication Services
4.26%
Utilities
4.06%
Materials
4.05%
Energy
0.44%

Region Weighting (% of Total Investments)

Value
Value
Americas
86.36%
EMEA
13.64%

Additional Information

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

Householding

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

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

Ticker: ARB

AltShares Merger Arbitrage ETF

Semi-Annual Shareholder Report

November 30, 2025

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

Not applicable.

Item 2. Code of Ethics.

Not applicable to semi-annual report.

Item 3. Audit Committee Financial Expert.

Not applicable to semi-annual report.

Item 4. Principal Accountant Fees and Services.

Not applicable to semi-annual report.

Item 5. Audit Committee of Listed Registrants.

Not applicable to semi-annual report.

Item 6. Investments.

(a) The Schedule of Investments is included as part of the registrant's Financial Statements filed under Item 7(a) of this Form.
(b) Not applicable.

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

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

AltShares Trust

ADVISED BY WATER ISLAND CAPITAL

AltShares Trust Semi-Annual Financial Statements and Additional Information

November 30, 2025

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

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

TABLE OF CONTENTS

Item 7: Portfolio of Investments

AltShares Merger Arbitrage ETF

1

AltShares EventDriven ETF

8

Financial Statements and Financial Highlights

Statements of Assets and Liabilities

14

Statements of Operations

15

Statements of Changes in Net Assets

16

Financial Highlights

AltShares Merger Arbitrage ETF

17

AltShares Event-Driven ETF

18

Notes to Financial Statements

19

Other Information

29

Item 8. Changes in and Disagreements with Accountants

Item 9. Proxy Disclosures

Item 10. Remuneration Paid to Directors, Officers, and Others

Item 11. Statement Regarding the Basis for the Board's Approval of Investment Advisory Contract

AltShares Merger Arbitrage ETF Portfolio of Investments

November 30, 2025 (Unaudited)

Shares

Value

COMMON STOCKS - 97.43%

Advertising - 1.71%

Omnicom Group, Inc.

23,398

$

1,675,765

Apparel - 2.35%

Hanesbrands, Inc.(a)(b)​

357,284

2,311,628

Banks - 8.30%

Banca Popolare di Sondrio SpA

121,325

2,093,463

Cadence Bank

59,076

2,353,588

Comerica, Inc.(b)​

38,740

3,113,921

MidWestOne Financial Group, Inc.(b)​

14,876

588,643

8,149,615

Beverages - 2.37%

JDE Peet's NV

63,544

2,330,743

Biotechnology - 6.24%

Akero Therapeutics, Inc.(a)​

26,353

1,432,549

Astria Therapeutics, Inc.(a)​

88,638

1,121,271

Avidity Biosciences, Inc.(a)​

41,571

2,980,641

CureVac NV(a)​

109,288

599,991

6,134,452

Commercial Services - 1.15%

Heidrick & Struggles International, Inc.

19,218

1,131,364

Computers & Computer Services - 2.91%

Cantaloupe, Inc.(a)(b)​

108,345

1,156,041

Integral Ad Science Holding Corp.(a)​

165,990

1,706,377

2,862,418

Diversified Financial Services - 5.20%

Air Lease Corp.

35,817

2,289,781

Forge Global Holdings, Inc.(a)(b)​

25,524

1,132,244

Guardian Capital Group Ltd., Class A

11,647

560,780

International Money Express, Inc.(a)​

74,021

1,128,080

5,110,885

Electric - 3.43%

Northwestern Energy Group, Inc.(b)​

14,877

1,027,852

TXNM Energy, Inc.(b)​

40,125

2,345,306

3,373,158

Electronics - 2.31%

Spectris PLC

41,497

2,272,161

Entertainment - 0.57%

Soho House & Co., Inc.(a)​

63,390

561,635

Healthcare - Products - 7.75%

Exact Sciences Corp.(a)​

29,259

2,963,644

Hologic, Inc.(a)(b)​

40,139

3,009,221

STAAR Surgical Co.(a)(b)​

61,715

1,637,916

7,610,781

Healthcare - Services - 1.16%

dentalcorp Holdings Ltd.

145,837

1,140,893

Insurance - 4.66%

Brighthouse Financial, Inc.(a)(b)​

34,757

2,278,321

Just Group PLC

410,556

1,166,411

ProAssurance Corp.(a)(b)​

46,962

1,130,845

4,575,577

Internet - 0.33%

TrueCar, Inc.(a)​

151,999

323,758

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
1

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

Shares

Value

COMMON STOCKS - 97.43% (Continued)

Machinery - Diversified - 3.03%

Chart Industries, Inc.(a)(b)​

14,597

$

2,977,058

Media - 2.85%

TEGNA, Inc.

114,721

2,239,354

WideOpenWest, Inc.(a)​

108,078

559,844

2,799,198

Metal Fabricate & Hardware - 0.63%

Olympic Steel, Inc.(b)​

15,870

617,184

Mining - 2.29%

New Gold, Inc.(a)(b)​

269,624

2,251,360

Miscellaneous Manufacturing - 1.74%

Hillenbrand, Inc.(b)​

53,767

1,711,941

Office Furnishings - 1.73%

Steelcase, Inc., Class A

104,158

1,696,734

Oil & Gas - 0.52%

Berry Corp.(b)​

150,106

508,859

Packaging & Containers - 2.35%

Sealed Air Corp.

53,779

2,309,808

Pharmaceuticals - 6.01%

Calliditas Therapeutics AB(a)(c)(d)​

1

22

Cidara Therapeutics, Inc.(a)​

13,363

2,938,257

Merus NV(a)​

30,807

2,961,785

5,900,064

Real Estate - 1.96%

Anywhere Real Estate, Inc.(a)(b)​

135,022

1,924,064

Real Estate Investment Trusts - 2.16%

City Office REIT, Inc.(b)​

59,905

407,953

Paramount Group, Inc.(a)​

259,337

1,709,031

2,116,984

Retail - 1.75%

Denny's Corp.(a)(b)​

91,586

565,086

ODP Corp.(a)​

41,134

1,150,518

1,715,604

Savings & Loans - 0.27%

First Savings Financial Group, Inc.(b)​

8,563

266,823

Semiconductors - 3.17%

Alphawave IP Group PLC(a)​

467,542

1,284,344

Veeco Instruments, Inc.(a)(b)​

62,705

1,832,867

3,117,211

Software - 12.44%

CSG Systems International, Inc.

21,794

1,716,713

Dayforce, Inc.(a)​

43,199

2,985,051

Electronic Arts, Inc.(b)​

14,793

2,988,630

Jamf Holding Corp.(a)​

130,935

1,692,989

PROS Holdings, Inc.(a)​

72,869

1,693,476

SEMrush Holdings, Inc., Class A(a)​

96,961

1,147,049

12,223,908

Telecommunications - 0.00%(e)​

GCI Liberty, Inc.(a)(d)​

2,728

-

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
2

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

Shares

Value

COMMON STOCKS - 97.43% (Continued)

Transportation - 3.48%

Cool Co. Ltd.

35,397

$

346,537

Norfolk Southern Corp.(b)​

10,515

3,071,326

3,417,863

Water - 0.61%

Essential Utilities, Inc.

15,077

596,898

TOTAL COMMON STOCKS
(Cost $94,128,838)

95,716,394

Yield

Shares

Value

SHORT-TERM INVESTMENTS - 0.02%

Money Market Funds

Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class

3.918

%(f)​

11,367

$

11,367

State Street Institutional U.S. Government Money Market Fund, Premier Class

4.046

%(f)​

11,367

11,367

22,734

TOTAL SHORT-TERM INVESTMENTS
(Cost $22,734)

22,734

Total Investments - 97.45%
(Cost $94,151,572)

95,739,128

Other Assets in Excess of Liabilities - 2.55%(g)​

2,503,985

NET ASSETS - 100.00%

$

98,243,113

Portfolio Footnotes

(a) ​Non-income-producing security.

(b) ​Security, or a portion of security, is being held as collateral for swaps, short sales or forward foreign currency exchange contracts. At November 30, 2025, the aggregate fair market value of those securities was $24,692,430, representing 25.13% of net assets.

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

Restricted Security

Acquisition
Date 		Acquisition
Cost

Calliditas Therapeutics AB

09/18/2024

$

20

Total

$

20

(d) ​Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of November 30, 2025, the total fair market value of these securities was $22, representing 0.0% of net assets.

(e) ​Less than 0.005% of net assets.

(f) ​Rate shown is the 7-day effective yield as of November 30, 2025.

(g) ​Includes cash held as collateral for short sales.

SCHEDULE OF SECURITIES SOLD SHORT

Shares

Value

SECURITIES SOLD SHORT - (17.22%)

COMMON STOCKS SOLD SHORT - (17.22%)

Banks - (8.66%)

BPER Banca SpA

(175,919

)

$

(2,118,205

)

Fifth Third Bancorp

(72,301

)

(3,142,201

)

First Merchants Corp.

(7,251

)

(267,127

)

Huntington Bancshares, Inc.

(146,213

)

(2,383,272

)

Nicolet Bankshares, Inc.

(4,723

)

(595,004

)

(8,505,809

)

Biotechnology - (1.03%)

BioCryst Pharmaceuticals, Inc.

(52,296

)

(375,485

)

BioNTech SE, ADR

(6,158

)

(635,198

)

(1,010,683

)

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
3

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

SCHEDULE OF SECURITIES SOLD SHORT

Shares

Value

COMMON STOCKS SOLD SHORT - (17.22%) (Continued)

Metal Fabricate & Hardware - (0.63%)

Ryerson Holding Corp.

(27,145

)

$

(622,435

)

Mining - (2.35%)

Coeur Mining, Inc.

(133,607

)

(2,307,393

)

Real Estate - (2.05%)

Compass, Inc., Class A

(193,892

)

(2,020,354

)

Semiconductors - (1.89%)

Axcelis Technologies, Inc.

(22,417

)

(1,855,455

)

(1,855,455

)

Water - (0.61%)

American Water Works Co., Inc.

(4,598

)

(598,062

)

TOTAL SECURITIES SOLD SHORT
(Proceeds $15,824,943)

$

(16,920,191

)

EQUITY SWAP CONTRACTS

Swap Counterparty/
Payment Frequency 		Reference
Obligation 		Rate Paid/Received
by the Fund 		Termination
Date 		Upfront
Payments
Made 		Upfront
Payments
Received 		Market
Value 		Notional
Amount 		Unrealized
Appreciation
Morgan Stanley & Co./
Upon Termination

Omnicom Group, Inc.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
05/06/2026

$

-

$

-

$

46,912

USD

1,720,395

$

46,912

Morgan Stanley & Co./
Upon Termination

HNI Corp.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
05/06/2026

-

-

43,842

USD

990,608

43,842

Morgan Stanley & Co./
Upon Termination

Gildan Activewear, Inc.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
05/06/2026

-

-

28,785

USD

2,068,869

28,785

Morgan Stanley & Co./
Upon Termination

California Resources Corp.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
05/06/2026

-

-

49,754

USD

562,331

49,754

$

169,293

$

169,293

Swap Counterparty/
Payment Frequency 		Reference
Obligation 		Rate Paid/Received
by the Fund 		Termination
Date 		Upfront
Payments
Made 		Upfront
Payments
Received 		Market
Value 		Notional
Amount 		Unrealized
Depreciation
Morgan Stanley & Co./
Upon Termination

NB Bancorp, Inc.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
05/06/2026

$

-

$

-

$

(6,309

)

USD

54,050

$

(6,309

)

Morgan Stanley & Co./
Upon Termination

Black Hills Corp.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
05/06/2026

-

-

(191,560

)

USD

888,936

(191,560

)

Morgan Stanley & Co./
Upon Termination

Union Pacific Corp.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
05/06/2026

-

-

(106,499

)

USD

2,328,617

(106,499

)

$

(304,368

)

$

(304,368

)

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
4

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

Currency
Purchased

Currency Sold

Counterparty

Settlement
Date 		Unrealized
Appreciation

CAD

2,464,500

USD

1,752,374

Morgan Stanley & Co.

12/15/2025

$

12,870

USD

2,031,522

CAD

2,800,510

Morgan Stanley & Co.

12/15/2025

25,602

CHF

1,012,800

USD

1,262,176

Morgan Stanley & Co.

12/15/2025

557

USD

1,311,780

CHF

1,038,100

Morgan Stanley & Co.

12/15/2025

17,503

DKK

3,361,000

USD

521,547

Morgan Stanley & Co.

12/15/2025

951

USD

1,909,583

DKK

12,102,100

Morgan Stanley & Co.

12/15/2025

28,207

EUR

607,270

USD

704,378

Morgan Stanley & Co.

12/15/2025

561

USD

5,604,939

EUR

4,755,380

Morgan Stanley & Co.

12/15/2025

84,736

GBP

1,594,400

USD

2,098,994

Morgan Stanley & Co.

12/15/2025

12,787

USD

8,916,494

GBP

6,578,300

Morgan Stanley & Co.

12/15/2025

203,546

USD

23

SEK

210

Morgan Stanley & Co.

12/15/2025

0

$

387,320

Currency
Purchased

Currency Sold

Counterparty

Settlement
Date 		Unrealized
Depreciation

CAD

225,570

USD

162,520

Morgan Stanley & Co.

12/15/2025

$

(952

)

USD

1,622,280

CAD

2,269,150

Morgan Stanley & Co.

12/15/2025

(3,042

)

CHF

25,300

USD

31,602

Morgan Stanley & Co.

12/15/2025

(59

)

DKK

8,864,400

USD

1,381,361

Morgan Stanley & Co.

12/15/2025

(3,313

)

USD

19,108

DKK

123,300

Morgan Stanley & Co.

12/15/2025

(60

)

EUR

2,283,850

USD

2,677,904

Morgan Stanley & Co.

12/15/2025

(26,735

)

USD

191,872

EUR

166,050

Morgan Stanley & Co.

12/15/2025

(884

)

GBP

2,444,200

USD

3,265,984

Morgan Stanley & Co.

12/15/2025

(28,644

)

USD

235,331

GBP

179,100

Morgan Stanley & Co.

12/15/2025

(1,887

)

$

(65,576

)

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

Country

% of Net Assets(a)​

United States

80.14

%

Netherlands

6.00

%

United Kingdom

4.81

%

Canada

4.02

%

Italy

2.13

%

Bermuda

0.35

%

Sweden

0.00

%(b)​

Other Assets in Excess of Liabilities

2.55

%

100.00

%

(a) ​These percentages represent long positions only and are not net of short positions.

(b) ​Less than 0.005% of net assets.

Abbreviations:

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

ADR - American Depositary Receipt

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

CAD - Canadian dollar

CHF - Swiss franc

DKK - Danish krone

EUR - Euro

GBP - British pound

Ltd. - Limited

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

PLC - Public Limited Company

REIT - Real Estate Investment Trust

SE - SE Regulation. A European Company which can operate on a Europe-wide basis and be governed by Community law directly applicable in all Member States

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
5

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

SEK - Swedish krona

SpA - Societa per Azione

USD - United States Dollar

The following table summarizes AltShares Merger Arbitrage ETF's investments and derivative financial instruments categorized in the fair value hierarchy as of November 30, 2025:

Investments in Securities at Fair Value*

Level 1

Level 2

Level 3

Total

Assets

Common Stocks

Advertising

$

1,675,765

$

-

$

-

$

1,675,765

Apparel

2,311,628

-

-

2,311,628

Banks

8,149,615

-

-

8,149,615

Beverages

2,330,743

-

-

2,330,743

Biotechnology

6,134,452

-

-

6,134,452

Commercial Services

1,131,364

-

-

1,131,364

Computers & Computer Services

2,862,418

-

-

2,862,418

Diversified Financial Services

5,110,885

-

-

5,110,885

Electric

3,373,158

-

-

3,373,158

Electronics

2,272,161

-

-

2,272,161

Entertainment

561,635

-

-

561,635

Healthcare - Products

7,610,781

-

-

7,610,781

Healthcare - Services

1,140,893

-

-

1,140,893

Insurance

4,575,577

-

-

4,575,577

Internet

323,758

-

-

323,758

Machinery - Diversified

2,977,058

-

-

2,977,058

Media

2,799,198

-

-

2,799,198

Metal Fabricate & Hardware

617,184

-

-

617,184

Mining

2,251,360

-

-

2,251,360

Miscellaneous Manufacturing

1,711,941

-

-

1,711,941

Office Furnishings

1,696,734

-

-

1,696,734

Oil & Gas

508,859

-

-

508,859

Packaging & Containers

2,309,808

-

-

2,309,808

Pharmaceuticals

5,900,042

-

22

5,900,064

Real Estate

1,924,064

-

-

1,924,064

Real Estate Investment Trusts

2,116,984

-

-

2,116,984

Retail

1,715,604

-

-

1,715,604

Savings & Loans

266,823

-

-

266,823

Semiconductors

3,117,211

-

-

3,117,211

Software

12,223,908

-

-

12,223,908

Telecommunications

-

-

0

0

Transportation

3,417,863

-

-

3,417,863

Water

596,898

-

-

596,898

Short-Term Investments

22,734

-

-

22,734

TOTAL

$

95,739,106

$

-

$

22

$

95,739,128

Other Financial Instruments***

Assets

Forward Foreign Currency Exchange Contracts

$

-

$

387,320

$

-

$

387,320

Equity Swaps

169,293

-

-

169,293

Liabilities

Common Stocks**

(16,920,191

)

-

-

(16,920,191

)

Forward Foreign Currency Exchange Contracts

-

(65,576

)

-

(65,576

)

Equity Swaps

(304,368

)

-

-

(304,368

)

TOTAL

$

(17,055,266

)

$

321,744

$

-

$

(16,733,522

)

* Refer to Note 2 where leveling hierarchy is defined.

** Refer to Portfolio of Investments for sector information.

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

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
6

AltShares Merger Arbitrage ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund's assets and liabilities during the period ended November 30, 2025:

Investments
in Securities 		Balance as of
May 31, 2025 		Realized
Gain
(Loss) 		Change in
Unrealized
Appreciation
(Depreciation)

Purchases

Sales
Proceeds 		Transfers
into
Level 3 		Transfers
out of
Level 3 		Balance as of
November 30,
2025 		Net change in
Unrealized
Appreciation
(Depreciation)
from
investments
still held
as of
November 30,
2025

Common Stock

$

22

$

-

$

-

$

-

$

-

$

-

$

-

$

22

$

-

Warrants

-

-

-

-

-

-

-

-

-

Total

$

22

$

-

$

-

$

-

$

-

$

-

$

-

$

22

$

-

The following table summarizes the quantitative inputs used for investments categorized as Level 3 of the fair value hierarchy as of November 30, 2025:

Investments in
Securities 		Fair Value at
November 30, 2025 		Valuation
Technique 		Unobservable
Input 		Range of
Values 		Weighted
Average

Common Stocks

$

22

Transaction Price

Deal Value

208

SEK

208

SEK

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
7

AltShares Event-Driven ETF Portfolio of Investments

November 30, 2025 (Unaudited)

Shares

Value

COMMON STOCKS - 65.33%

Aerospace & Defense - 1.05%

Boeing Co.(a)​

500

$

94,500

Banks - 3.43%

Cadence Bank(b)​

3,703

147,528

Comerica, Inc.

1,029

82,711

FineMark Holdings, Inc.(a)​

2,122

76,816

307,055

Biotechnology - 3.95%

Astria Therapeutics, Inc.(a)(b)​

9,482

119,947

Aura Biosciences, Inc.(a)​

3,750

24,750

Avidity Biosciences, Inc.(a)(b)(c)​

2,400

172,080

Viking Therapeutics, Inc.(a)​

1,000

36,810

353,587

Commercial Services - 0.26%

Cross Country Healthcare, Inc.(a)​

2,304

23,639

Computers & Computer Services - 5.46%

CyberArk Software Ltd.(a)(b)​

875

401,266

Integral Ad Science Holding Corp.(a)​

8,563

88,028

489,294

Cosmetics/Personal Care - 0.39%

Kenvue, Inc.(b)​

2,000

34,700

Diversified Financial Services - 2.63%

Air Lease Corp.

2,300

147,039

Forge Global Holdings, Inc.(a)​

2,000

88,720

235,759

Electric - 2.61%

TXNM Energy, Inc.(b)​

4,010

234,385

Entertainment - 1.25%

Cineplex, Inc.(a)​

9,239

81,932

Penn Entertainment, Inc.(a)​

2,000

29,680

111,612

Food - 0.29%

TreeHouse Foods, Inc.(a)​

1,096

26,183

Healthcare - Products - 4.33%

Exact Sciences Corp.(a)​

1,661

168,243

Hologic, Inc.(a)(b)(c)​

2,933

219,887

388,130

Insurance - 5.82%

Aspen Insurance Holdings Ltd., Class A(a)(b)​

8,922

330,560

ProAssurance Corp.(a)(b)​

7,926

190,858

521,418

Machinery - Diversified - 3.64%

Chart Industries, Inc.(a)(b)​

1,600

326,320

Media - 1.67%

Walt Disney Co.

400

41,788

Warner Bros Discovery, Inc.(a)(c)​

4,500

108,000

149,788

Miscellaneous Manufacturing - 1.42%

Hillenbrand, Inc.(b)(c)​

4,010

127,678

Packaging & Containers - 2.01%

Sealed Air Corp.(b)​

4,195

180,175

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
8

AltShares Event-Driven ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

Shares

Value

COMMON STOCKS - 65.33% (Continued)

Pharmaceuticals - 6.84%

Avadel Pharmaceuticals PLC(a)(b)​

8,630

$

185,459

Bayer AG, ADR

6,764

59,557

Cidara Therapeutics, Inc.(a)(c)​

800

175,904

Merus NV(a)(c)​

2,000

192,280

613,200

Real Estate - 0.24%

McGrath RentCorp

207

21,338

Real Estate Investment Trusts - 1.73%

Paramount Group, Inc.(a)​

9,927

65,419

Plymouth Industrial REIT, Inc.

4,073

89,362

154,781

Retail - 2.30%

Dick's Sporting Goods, Inc.

1,000

206,570

Semiconductors - 1.92%

Qorvo, Inc.(a)(b)​

2,000

171,780

Software - 8.69%

CSG Systems International, Inc.(b)​

1,352

106,497

Electronic Arts, Inc.(b)​

1,798

363,250

Jamf Holding Corp.(a)(b)​

10,000

129,300

PROS Holdings, Inc.(a)(b)​

7,727

179,575

778,622

Transportation - 3.40%

Norfolk Southern Corp.(b)​

1,043

304,650

TOTAL COMMON STOCKS
(Cost $5,769,253)

5,855,164


Maturity
Date

Rate

Principal
Amount

Value

CORPORATE BONDS - 12.02%

Auto Parts & Equipment - 0.69%

Dana, Inc.

06/15/2028

5.625

%

$

62,000

$

62,028

Commercial Services - 1.05%

Boost Newco Borrower LLC(d)​

01/15/2031

7.500

%

89,000

94,514

Electric - 0.64%

Calpine Corp.(d)​

03/15/2028

5.125

%

57,000

57,160

Healthcare - Products - 0.63%

Bausch & Lomb Corp.(d)​

10/01/2028

8.375

%

54,000

56,295

Machinery - Diversified - 0.56%

Chart Industries, Inc.(d)​

01/01/2030

7.500

%

48,000

50,013

Media - 0.97%

TEGNA, Inc.

09/15/2029

5.000

%

88,000

87,187

Retail - 0.45%

Papa John's International, Inc.(d)​

09/15/2029

3.875

%

42,000

40,322

Telecommunications - 7.03%

CommScope LLC(d)​

12/15/2031

9.500

%

129,000

130,866

EchoStar Corp.

11/30/2030

6.750

%

206,000

213,939

Frontier Communications Holdings LLC(d)​

05/15/2030

8.750

%

193,000

201,771

Lumen Technologies, Inc.(d)​

04/15/2029

4.125

%

84,000

83,055

629,631

TOTAL CORPORATE BONDS
(Cost $1,068,680)

1,077,150

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
9

AltShares Event-Driven ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)


Maturity
Date

Rate

Principal
Amount

Value

CONVERTIBLE CORPORATE BONDS - 1.72%

Computers & Computer Services - 1.08%

Rapid7, Inc.

03/15/2029

1.250

%

$

108,530

$

97,221

Investment Company Security - 0.64%

Gladstone Capital Corp.

10/01/2030

5.875

%

58,000

56,908

TOTAL CONVERTIBLE CORPORATE BONDS
(Cost $154,886)

154,129

Shares

Value

RIGHTS(a)​ - 0.04%

Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029(e)(f)​

2,000

$

960

Contra Abiomed, Inc. CVR, Expires 12/31/2030(e)(f)​

200

320

Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027(e)(f)​

415

1,158

Metsera, Inc. CVR, Expires 12/31/2031(e)(f)​

203

998

TOTAL RIGHTS
(Cost $2,831)

3,436


Expiration
Date 		Exercise
Price 		Notional
Amount

Contracts

Value

PURCHASED OPTIONS(a)​ - 0.02%

Put Options Purchased - 0.02%

Avidity Biosciences, Inc.

01/2026

$

65.00

$

78,870

11

$

275

01/2026

60.00

93,210

13

325

Cidara Therapeutics, Inc.

02/2026

160.00

21,988

1

20

Hillenbrand, Inc.

04/2026

25.00

89,152

28

700

01/2026

30.00

12,736

4

0

01/2026

25.00

19,104

6

60

Hologic, Inc.

03/2026

72.50

37,485

5

125

Merus NV

03/2026

65.00

86,526

9

0

TOTAL PURCHASED OPTIONS
(Cost $3,342)

1,505

Yield

Shares

Value

SHORT-TERM INVESTMENTS - 20.58%

Money Market Funds

Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class

3.918

%(g)​

922,466

$

922,466

State Street Institutional U.S. Government Money Market Fund, Premier Class

4.046

%(g)​

922,466

922,466

1,844,932

TOTAL SHORT-TERM INVESTMENTS
(Cost $1,844,932)

1,844,932

Total Investments - 99.71%
(Cost $8,843,924)

8,936,316

Other Assets in Excess of Liabilities - 0.29%(h)​

25,546

NET ASSETS - 100.00%

$

8,961,862

Portfolio Footnotes

(a)​ Non-income-producing security.

(b)​ Security, or a portion of security, is being held as collateral for swaps, short sales or forward foreign currency exchange contracts. At November 30, 2025, the aggregate fair market value of those securities was $2,324,407, representing 25.94% of net assets.

(c)​ Underlying security for a written/purchased call/put option.

(d)​ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of November 30, 2025, these securities had a total value of $713,996 or 7.97% of net assets.

(e)​ Restricted securities (including private placements) - The Fund may own investment securities that have other legal or contractual limitations. At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $3,436 or 0.04% of net assets.

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
10

AltShares Event-Driven ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

Restricted Security

Acquisition
Date 		Acquisition
Cost

Concert Pharmaceuticals, Inc. CVR, Expires 12/31/2029

03/07/2023

$

740

Contra Abiomed, Inc. CVR, Expires 12/31/2030

12/21/2022

204

Contra Albireo Pharma, Inc. CVR, Expires 12/31/2027

01/09/2023

892

Metsera, Inc. CVR, Expires 12/31/2031

11/14/2025

995

Total

$

2,831

(f)​ Security fair valued using significant unobservable inputs and classified as a Level 3 security. As of November 30, 2025, the total fair market value of these securities was $3,436, representing 0.04% of net assets.

(g)​ Rate shown is the 7-day effective yield as of November 30, 2025.

(h)​ Includes cash held as collateral for short sales.

SCHEDULE OF SECURITIES SOLD SHORT

Shares

Value

SECURITIES SOLD SHORT - (10.70%)

COMMON STOCKS SOLD SHORT - (10.70%)

Banks - (5.35%)

Commerce Bancshares, Inc.

(1,428

)

$

(76,984

)

Fifth Third Bancorp

(5,831

)

(253,415

)

Huntington Bancshares, Inc.

(9,121

)

(148,672

)

(479,071

)

Biotechnology - (0.27%)

BioCryst Pharmaceuticals, Inc.

(3,430

)

(24,627

)

Computers & Computer Services - (0.04%)

Rapid7, Inc.

(247

)

(3,873

)

Internet - (4.06%)

Palo Alto Networks, Inc.

(1,915

)

(364,099

)

Investment Company Security - (0.12%)

Gladstone Capital Corp.

(490

)

(10,403

)

Semiconductors - (0.86%)

Skyworks Solutions, Inc.

(1,169

)

(77,096

)

(77,096

)

TOTAL SECURITIES SOLD SHORT
(Proceeds $985,913)

$

(959,169

)

WRITTEN OPTIONS

Expiration
Date 		Exercise
Price 		Notional
Amount

Contracts

Value

Written Call Options

Warner Bros Discovery, Inc.

12/2025

$

23.00

$

(48,000

)

(20

)

$

(3,800

)

12/2025

25.00

(48,000

)

(20

)

(1,360

)

12/2025

24.00

(12,000

)

(5

)

(570

)

TOTAL WRITTEN OPTIONS
(Premiums received $4,246)

$

(5,730

)

EQUITY SWAP CONTRACTS

Swap Counterparty/
Payment Frequency 		Reference
Obligation 		Rate Paid/Received
by the Fund 		Termination
Date 		Upfront
Payments
Made 		Upfront
Payments
Received
Market
Value 		Notional
Amount 		Unrealized
Appreciation
Morgan Stanley & Co./
Upon Termination

Commerce Bancshares, Inc.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
10/01/2027

$

-

$

-

$

20,732

USD

166,044

$

20,732

Morgan Stanley & Co./
Upon Termination

Bayer AG

Paid 1 Month-Federal Rate
Plus 50bps (4.380%)
10/23/2026

-

-

13,455

USD

51,817

13,455

Morgan Stanley & Co./
Upon Termination

BioCryst Pharmaceuticals, Inc.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
10/01/2027

-

-

194

USD

15,670

194

Morgan Stanley & Co./
Upon Termination

Comerica, Inc.

Paid 1 Month-Federal Rate
Plus 50bps (4.380%)
10/23/2026

-

-

8,132

USD

160,344

8,132

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
11

AltShares Event-Driven ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

Swap Counterparty/
Payment Frequency 		Reference
Obligation 		Rate Paid/Received
by the Fund 		Termination
Date 		Upfront
Payments
Made 		Upfront
Payments
Received
Market
Value 		Notional
Amount 		Unrealized
Appreciation
Morgan Stanley & Co./
Upon Termination

Caesars Entertainment, Inc.

Paid 1 Month-Federal Rate
Minus 50bps (4.380%)
10/23/2026

$

-

$

-

$

1,585

USD

10,050

$

1,585

Morgan Stanley & Co./
Upon Termination

FineMark Holdings, Inc.

Paid 1 Month-Federal Rate
Plus 50bps (4.380%)
10/23/2026

-

-

1,745

USD

138,639

1,745

Morgan Stanley & Co./
Upon Termination

Skyworks Solutions, Inc.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
10/01/2027

-

-

2,722

USD

52,164

2,722

$

48,565

$

48,565

Swap Counterparty/
Payment Frequency 		Reference
Obligation 		Rate Paid/Received
by the Fund 		Termination
Date 		Upfront
Payments
Made 		Upfront
Payments
Received 		Market
Value 		Notional
Amount 		Unrealized
Depreciation
Morgan Stanley & Co./
Upon Termination

NB Bancorp, Inc.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
10/01/2027

$

-

$

-

$

(1,626

)

USD

24,374

$

(1,626

)

Morgan Stanley & Co./
Upon Termination

McGrath RentCorp

Paid 1 Month-Federal Rate
Plus 50bps (4.380%)
10/23/2026

-

-

(2,518

)

USD

25,917

(2,518

)

Morgan Stanley & Co./
Upon Termination

TEGNA, Inc.

Paid 1 Month-Federal Rate
Plus 50bps (4.380%)
10/23/2026

-

-

(1,371

)

USD

179,823

(1,371

)

Morgan Stanley & Co./
Upon Termination

Union Pacific Corp.

Received 1 Month-Federal Rate
Minus 40bps (3.480%)
10/01/2027

-

-

(11,173

)

USD

229,432

(11,173

)

$

(16,688

)

$

(16,688

)

OUTSTANDING FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

Currency
Purchased

Currency Sold

Counterparty

Settlement
Date 		Unrealized
Appreciation

CAD

356,330

USD

253,299

Morgan Stanley & Co.

12/15/2025

$

1,930

USD

387,722

CAD

535,850

Morgan Stanley & Co.

12/15/2025

3,910

USD

213,070

EUR

180,710

Morgan Stanley & Co.

12/15/2025

3,295

$

9,135

Currency
Purchased

Currency Sold

Counterparty

Settlement
Date 		Unrealized
Depreciation

CAD

92,660

USD

66,843

Morgan Stanley & Co.

12/15/2025

$

(475

)

USD

28,804

CAD

40,340

Morgan Stanley & Co.

12/15/2025

(90

)

EUR

180,710

USD

211,887

Morgan Stanley & Co.

12/15/2025

(2,113

)

$

(2,678

)

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

Country

% of Net Assets(a)​

United States

85.11

%

Israel

4.48

%

Bermuda

3.69

%

Netherlands

2.15

%

Ireland

2.07

%

Canada

1.55

%

Germany

0.66

%

Other Assets in Excess of Liabilities

0.29

%

100.00

%

(a) ​These percentages represent long positions only and are not net of short positions.

Abbreviations:

ADR - American Depositary Receipt

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

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

CAD - Canadian dollar

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
12

AltShares Event-Driven ETF Portfolio of Investments (continued)

November 30, 2025 (Unaudited)

CVR - Contingent Value Rights

EUR - Euro

LLC - Limited Liability Company

Ltd. - Limited

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

PLC - Public Limited Company

REIT - Real Estate Investment Trust

USD - United States Dollar

The following table summarizes AltShares Event-Driven ETF's investments and derivative financial instruments categorized in the fair value hierarchy as of November 30, 2025:

Investments in Securities at Fair Value*

Level 1

Level 2

Level 3

Total

Assets

Common Stocks**

$

5,855,164

$

-

$

-

$

5,855,164

Corporate Bonds**

-

1,077,150

-

1,077,150

Convertible Corporate Bonds**

-

154,129

-

154,129

Rights

-

-

3,436

3,436

Purchased Options

1,505

-

-

1,505

Short-Term Investments

1,844,932

-

-

1,844,932

TOTAL

$

7,701,601

$

1,231,279

$

3,436

$

8,936,316

Other Financial Instruments***

Assets

Forward Foreign Currency Exchange Contracts

$

-

$

9,135

$

-

$

9,135

Equity Swaps

48,565

-

-

48,565

Liabilities

Common Stocks**

(959,169

)

-

-

(959,169

)

Written Options

(5,730

)

-

-

(5,730

)

Forward Foreign Currency Exchange Contracts

-

(2,678

)

-

(2,678

)

Equity Swaps

(16,688

)

-

-

(16,688

)

TOTAL

$

(933,022

)

$

6,457

$

-

$

(926,565

)

* Refer to Note 2 where leveling hierarchy is defined.

** Refer to Portfolio of Investments for sector information.

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

The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund's assets and liabilities during the period ended November 30, 2025:

Investments
in Securities 		Balance as of
May 31, 2025 		Realized
Gain
(Loss) 		Change in
Unrealized
Appreciation
(Depreciation)

Purchases

Sales
Proceeds 		Transfers
into
Level 3 		Transfers
out of
Level 3 		Balance as of
November 30,
2025 		Net change in
Unrealized
Appreciation
(Depreciation)
from
investments
still held
as of
November 30,
2025

Rights

$

4,768

$

4,435

$

(371

)

$

994

$

6,390

$

-

$

-

$

3,436

$

101

Total

$

4,768

$

4,435

$

(371

)

$

994

$

6,390

$

-

$

-

$

3,436

$

101

The following table summarizes the quantitative inputs used for investments categorized as Level 3 of the fair value hierarchy as of November 30, 2025:

Investments in
Securities

Fair Value at
November 30, 2025

Valuation
Technique

Unobservable
Input

Range of
Values

Weighted
Average

Rights

$

3,436

Broker Quote

Discount Rate, Probability,
Broker Quote

10%, 20.25% - 65%,
$0.63 - $1.60

10%, 39.16%, $0.96

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
13

Statements of Assets and Liabilities

November 30, 2025 (Unaudited)

AltShares
Merger
Arbitrage ETF 		AltShares
Event-Driven ETF

ASSETS

Investments:

At cost of investments

$

94,151,572

$

8,843,924

At fair value of investments (Note 2)

95,739,128

8,936,316

Cash

2,350,407

-

Cash denominated in foreign currency (Cost $1,258,334 and $0)

1,260,762

-

Deposits with brokers for securities sold short (Note 2)

15,184,957

976,251

Receivable for investment securities sold

1,943,909

98,958

Unrealized appreciation on forward foreign currency exchange contracts (Note 9)

387,320

9,135

Unrealized appreciation on swap contracts

169,293

48,565

Dividends and interest receivable

85,979

31,063

Total Assets

117,121,755

10,100,288

LIABILITIES

Securities sold short, at value (Note 2) (proceeds $15,824,943 and $985,913)

16,920,191

959,169

Written options, at value (Note 2) (premiums received $0, and $4,246)

-

5,730

Payable for investment securities purchased

1,544,652

139,435

Unrealized depreciation on forward foreign currency exchange contracts (Note 9)

65,576

2,678

Unrealized depreciation on swap contracts

304,368

16,688

Payable to Adviser (Note 5)

43,855

8,996

Payable for swap dividends

-

5,730

Total Liabilities

18,878,642

1,138,426

NET ASSETS

$

98,243,113

$

8,961,862

NET ASSETS CONSIST OF:

Paid-in capital

$

96,804,057

$

8,345,637

Distributable earnings

1,439,056

616,225

NET ASSETS

$

98,243,113

$

8,961,862

PRICING OF SHARES:

Net assets

$

98,243,113

$

8,961,862

Shares of beneficial interest outstanding
(unlimited number of shares authorized, no par value)

3,384,000

749,320

Net asset value per share

$

29.03

$

11.96

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
14

Statements of Operations

For the Six Months Ended November 30, 2025 (Unaudited)

AltShares
Merger
Arbitrage ETF 		AltShares
Event-Driven ETF

INVESTMENT INCOME

Dividend income

$

447,785

$

27,529

Foreign taxes withheld on dividends

(5,126

)

(341

)

Interest income

270

32,734

Rebates on short sales, net of fees

152,523

6,206

Total Investment Income

595,452

66,128

EXPENSES

Investment advisory fees (Note 5)

336,911

41,997

Dividend expense

451

6,653

Total Expenses

337,362

48,650

Fees waived or reimbursed by the Adviser (Note 5)

(89,015

)

-

Net Expenses

248,347

48,650

NET INVESTMENT INCOME

347,105

17,478

REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCIES

Net realized gains (losses) from:

Investments

1,649,905

424,062

Purchased option contracts

-

(14,914

)

Swap contracts

(1,303,150

)

(22,700

)

Securities sold short

2,051,324

(90,662

)

Written option contracts

-

30,066

Forward currency contracts

(729,621

)

(12,071

)

Foreign currency transactions (Note 9)

(42,321

)

(278

)

Net change in unrealized appreciation (depreciation) on:

Investments

865,706

92,337

Securities sold short

(1,095,742

)

21,875

Foreign currency transactions (Note 9)

(11,928

)

(37

)

Purchased option contracts

-

5,487

Written option contracts

-

12,667

Swap contracts

(333,732

)

(51,085

)

Forward currency contracts

933,571

17,604

NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS AND FOREIGN CURRENCIES

1,984,012

412,351

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

$

2,331,117

$

429,829

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
15

Statements of Changes in Net Assets

AltShares Merger Arbitrage ETF

AltShares Event-Driven ETF

Six Months Ended
November 30, 2025
(Unaudited) 		Year Ended
May 31, 2025 		Six Months Ended
November 30, 2025
(Unaudited) 		Year Ended
May 31, 2025

FROM OPERATIONS

Net investment income

$

347,105

$

654,705

$

17,478

$

33,540

Net realized gains (losses) from:

Investments

1,649,905

4,451,333

424,062

340,129

Purchased option contracts

-

-

(14,914

)

(24,824

)

Swap contracts

(1,303,150

)

(898,504

)

(22,700

)

(25,155

)

Securities sold short

2,051,324

123,906

(90,662

)

6,580

Written option contracts

-

-

30,066

38,257

Forward currency contracts

(729,621

)

60,945

(12,071

)

3,882

Foreign currency transactions

(42,321

)

269

(278

)

(2,760

)

Net change in unrealized appreciation (depreciation) on:

Investments

865,706

836,726

92,337

189,889

Securities sold short

(1,095,742

)

90,483

21,875

4,314

Foreign currency transactions

(11,928

)

13,481

(37

)

39

Purchased option contracts

-

-

5,487

(6,206

)

Written option contracts

-

-

12,667

(14,699

)

Swap contracts

(333,732

)

(74,636

)

(51,085

)

99,634

Forward currency contracts

933,571

(668,668

)

17,604

(12,171

)

Net increase in net assets resulting from operations

2,331,117

4,590,040

429,829

630,449

FROM DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

Distributions from distributable earnings

-

(897,830

)

-

(34,793

)

Decrease in net assets from distributions to shareholders

-

(897,830

)

-

(34,793

)

FROM CAPITAL SHARE TRANSACTIONS (NOTE 8):

Proceeds from shares sold

36,059,544

54,556,586

3,297,144

1,006,826

Payments for shares redeemed

(26,805,843

)

(42,719,975

)

-

(892,462

)

Net increase in net assets from capital share transactions

9,253,701

11,836,611

3,297,144

114,364

TOTAL INCREASE IN NET ASSETS

11,584,818

15,528,821

3,726,973

710,020

NET ASSETS

Beginning of period

86,658,295

71,129,474

5,234,889

4,524,869

End of period

$

98,243,113

$

86,658,295

$

8,961,862

$

5,234,889

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
16

AltShares Merger Arbitrage ETF Financial Highlights

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

Six Months
Ended
November 30,
2025

Year Ended May 31,

(Unaudited)

2025

2024

2023

2022

2021

Net asset value, beginning of period

$

28.28

$

26.90

$

24.85

$

26.12

$

25.81

$

24.47

Income (loss) from investment operations

Net investment income (loss)(a)​

0.11

0.24

0.36

0.15

(0.01

)

(0.04

)

Net realized and unrealized gains (losses) on investments
and foreign currencies

0.64

1.45

1.69

(0.34

)

0.32

2.11

Total from investment operations

0.75

1.69

2.05

(0.19

)

0.31

2.07

Less distributions

From net investment income

-

(0.31

)

-

(1.08

)

-

-

From net realized gains

-

-

-

-

-

(0.73

)

Total distributions

-

(0.31

)

-

(1.08

)

-

(0.73

)

Net asset value, end of period

$

29.03

$

28.28

$

26.90

$

24.85

$

26.12

$

25.81

Total return(b)​

2.65

%(c)​

6.32

%

8.25

%

(0.88

)%

1.20

%

8.55

%

Net assets, end of period (in 000s)

$

98,243

$

86,658

$

71,129

$

59,245

$

78,216

$

6,555

RATIOS TO AVERAGE NET ASSETS:

Gross expenses(d)(e)​

0.75

%(f)​

0.75

%

0.83

%

0.76

%

0.76

%

0.86

%

Net expenses after advisory fees waived and expenses reimbursed(d)(e)(g)​

0.55

%(f)​

0.55

%

0.63

%

0.56

%

0.60

%(h)​

0.86

%

Net investment income (loss)

0.77

%(f)​

0.85

%

1.37

%

0.56

%

(0.02

)%

(0.14

)%

Portfolio turnover rate

212

%(c)​

431

%

550

%

449

%

414

%

594

%

(a)​ Per share amounts were calculated using average shares outstanding for the period.

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

(c)​ Not annualized.

(d)​ Dividend expense totaled 0.00% (annualized), 0.00%, 0.08%, 0.01%, 0.01% and 0.03% of average net assets for the period ended Novmeber 30, 2025 and the years ended May 31, 2025, 2024, 2023, 2022, 2021, respectively. Interest rebate expense and line of credit interest expense totaled 0.00% (annualized), 0.00%, 0.00%, 0.00%, 0.00% and 0.08% of average net assets for the period ended November 30, 2025 and the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively.

(e)​ See Note 5 for a discussion of waiver details.

(f)​ Annualized.

(g)​ Excluding dividend and interest expenses, the Fund's net expenses after advisory fees waived and expenses reimbursed would have been 0.55% (annualized), 0.55%, 0.55%, 0.55%, 0.59% and 0.75% of average net assets for the period ended November 30, 2025 and the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively.

(h)​ Reflects the Adviser's contractual advisory fee limit.

See Notes to Financial Statements.

Semi-Annual Report | November 30, 2025
17

AltShares Event-Driven ETF Financial Highlights

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

Six Months
Ended
November 30,
2025

Year Ended May 31,

(Unaudited)

2025

2024

2023

2022(a)​

2021(a)​

Net asset value, beginning of period

$

11.15

$

9.85

$

9.26

$

9.64

$

13.27

$

10.45

Income (loss) from investment operations

Net investment income (loss)(b)​

0.03

0.07

0.04

0.03

(0.02

)

(0.22

)

Net realized and unrealized gains (losses) on investments
and foreign currencies

0.78

(i)​

1.31

0.61

(0.18

)

(1.20

)

4.32

Total from investment operations

0.81

1.38

0.65

(0.15

)

(1.22

)

4.10

Less distributions

From net investment income

-

(0.07

)

(0.06

)

(0.01

)

-

(0.45

)

From net realized gains

-

(0.01

)

-

(0.22

)

(2.41

)

(0.83

)

Total distributions

-

(0.08

)

(0.06

)

(0.23

)

(2.41

)

(1.28

)

Net asset value, end of period

$

11.96

$

11.15

$

9.85

$

9.26

$

9.64

$

13.27

Total return(c)​

7.26

%(e)(i)​

14.01

%

7.01

%

(1.47

)%

(10.57

)%

40.98

%(d)​

Net assets, end of period (in 000s)

$

8,962

$

5,235

$

4,525

$

2,772

$

2,789

$

3,699

RATIOS TO AVERAGE NET ASSETS:

Gross expenses(f)​

1.45

%(g)​

1.31

%

1.30

%

1.28

%

3.20

%

6.88

%

Net expenses after advisory fees waived and expenses reimbursed(f)(h)​

1.45

%(g)​

1.31

%

1.30

%

1.28

%

1.52

%

2.30

%

Net investment income (loss)

0.52

%(g)​

0.69

%

0.41

%

0.31

%

(0.20

)%

(1.79

)%

Portfolio turnover rate

214

%(e)​

480

%

407

%

400

%

231

%

329

%

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

(b)​ Per share amounts were calculated using average shares outstanding for the period.

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

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

(e)​ Not annualized.

(f)​ Dividend expense totaled 0.20% (annualized), 0.05%, 0.05%, 0.03%, 0.17% and 0.09% of average net assets for the period ended Novmeber 30, 2025 and the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively. Interest rebate expense and line of credit interest expense totaled 0.00% (annualized), 0.00%, 0.00%, 0.00%, 0.11% and 0.77% of average net assets for the period ended November 30, 2025 and the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively.

(g)​ Annualized.

(h)​ Excluding dividend and interest expenses, the Fund's net expenses after advisory fees waived and expenses reimbursed would have been 1.25% (annualized), 1.26%, 1.25%, 1.25%, 1.24% and 1.44% of average net assets for the period ended November 30, 2025 and the years ended May 31, 2025, 2024, 2023, 2022 and 2021, respectively.

(i) ​The Adviser has reimbursed the Fund $1,125 for a trading error. The impact was deemed immaterial to net realized and unrealized gain on investments and the Fund's total return, representing less than $0.005 per share.

See Notes to Financial Statements.

www.altsharesetfs.com | 1-855-955-1607
18

AltShares Trust ETF Funds Notes to Financial Statements

November 30, 2025 (Unaudited)

1. ORGANIZATION

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

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

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

2. SIGNIFICANT ACCOUNTING POLICIES

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

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

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

Semi-Annual Report | November 30, 2025
19

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

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

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

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

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

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

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

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

For the period ended November 30, 2025, there were no significant changes to the Funds' fair value methodologies. Transfers for Level 3 securities, if any, are shown as part of the leveling table in the Funds' Portfolio of Investments.

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

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

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

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

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20

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Foreign currency exchange contracts held by the Funds at November 30, 2025 are disclosed in the Portfolio of Investments.

During the period ended November 30, 2025, the Funds entered into foreign currency exchange contracts to hedge currency risk.

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

Semi-Annual Report | November 30, 2025
21

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

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

Warrants and rights held by the Funds at November 30, 2025 are disclosed in the Portfolio of Investments.

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

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

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

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

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

Swap agreements held by the Funds at November 30, 2025 are disclosed in the Portfolio of Investments.

During the period ended November 30, 2025, the Funds entered into swap agreements to invest outside the U.S. more efficiently and to hedge positions within the U.S.

www.altsharesetfs.com | 1-855-955-1607
22

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

Fair Value and Activity of Derivative Instruments - Fair values of derivatives presented in the financial statements are not netted with the fair value of other derivatives or with any collateral amounts posted by the Funds or any counterparty on the Statements of Assets and Liabilities. The fair value of derivative instruments for the Funds as of November 30, 2025, was as follows:

Merger Arbitrage ETF

Derivatives Not
Accounted For As
Hedging Instruments 		Asset Derivatives
Statements of Assets and
Liabilities Location

Fair Value

Liability Derivatives
Statements of Assets and
Liabilities Location

Fair Value

Forward Foreign Currency Exchange Contracts

 		Unrealized appreciation on
forward foreign currency
exchange contracts

$

387,320

Unrealized depreciation on
forward foreign currency
exchange contracts

$

65,576

Equity Contracts (swap contracts)
 		Unrealized appreciation on
swap contracts

169,293

Unrealized depreciation on
swap contracts

304,368

$

556,613

$

369,944

Event-Driven ETF

Derivatives Not
Accounted For As
Hedging Instruments 		Asset Derivatives
Statements of Assets and
Liabilities Location

Fair Value

Liability Derivatives
Statements of Assets and
Liabilities Location

Fair Value

Forward Foreign Currency Exchange Contracts

 		Unrealized appreciation on
forward foreign currency
exchange contracts

$

9,135

Unrealized depreciation on
forward foreign currency
exchange contracts

$

2,678

Equity Contracts (swap contracts)
 		Unrealized appreciation on
swap contracts

48,565

Unrealized depreciation on
swap contracts

16,688

Equity Contracts (purchased option contracts)
 		Investments: at fair value of
unaffiliated investments

1,505

-

Equity Contracts (written option contracts)

-

Written options, at value

5,730

$

59,205

$

25,096

The effect of derivative instruments on the Funds' Statements of Operations for the six months ended November 30, 2025, was as follows:

Merger Arbitrage ETF

Derivatives Not
Accounted For As
Hedging Instruments 		Location Of Gains/(Loss) On
Derivatives Recognized In Income 		Realized
Gain/(Loss)
On Derivatives
Recognized In
Income 		Change in
Unrealized
Gain/(Loss)
On Derivatives
Recognized In
Income
Forward Foreign Currency Exchange Contracts

 		Net realized gains (losses) from:
Forward currency contracts / Net change in unrealized
appreciation (depreciation) on: Forward currency contracts

$

(729,621

)

$

933,571

Swap Contracts

 		Net realized gains (losses) from:
Swap contracts / Net change in unrealized appreciation
(depreciation) on: Swap contracts

(1,303,150

)

(333,732

)

$

(2,032,771

)

$

599,839

Event-Driven ETF

Derivatives Not
Accounted For As
Hedging Instruments 		Location Of Gains/(Loss) On
Derivatives Recognized In Income 		Realized
Gain/(Loss)
On Derivatives
Recognized In
Income 		Change in
Unrealized
Gain/(Loss)
On Derivatives
Recognized In
Income
Forward Foreign Currency Exchange Contracts

 		Net realized gains (losses) from:
Forward currency contracts / Net change in unrealized
appreciation (depreciation) on: Forward currency contracts

$

(12,071

)

$

17,604

Swap Contracts

 		Net realized gains (losses) from:
Swap contracts / Net change in unrealized appreciation
(depreciation) on: Swap contracts

(22,700

)

(51,085

)

Equity Contracts (purchased option contracts)

 		Net realized gains (losses) from:
Purchased option contracts / Net change in unrealized
appreciation (depreciation) on: Purchased option contracts

(14,914

)

5,487

Semi-Annual Report | November 30, 2025
23

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

Derivatives Not
Accounted For As
Hedging Instruments 		Location Of Gains/(Loss) On
Derivatives Recognized In Income 		Realized
Gain/(Loss)
On Derivatives
Recognized In
Income 		Change in
Unrealized
Gain/(Loss)
On Derivatives
Recognized In
Income
Equity Contracts (written option contracts)

 		Net realized gains (losses) from:
Written option contracts / Net change in unrealized
appreciation (depreciation) on: Written option contracts

$

30,066

$

12,667

$

(19,619

)

$

(15,327

)

Volume of derivative instruments held by the Funds during the six months ended November 30, 2025, was as follows:

Merger Arbitrage ETF

Derivative Type

Unit of Measurement

Monthly Average

Swap Contracts

Notional Quantity

$

15,326,641

Forward Foreign Currency Exchange Contracts

Net Contracts to Deliver/(Receive)

(13,183,654

)

Event-Driven ETF

Derivative Type

Unit of Measurement

Monthly Average

Swap Contracts

Notional Quantity

$

1,405,484

Forward Foreign Currency Exchange Contracts

Net Contracts to Deliver/(Receive)

(362,439

)

Purchased Option Contracts

Contracts

44

Written Option Contracts

Contracts

(72

)

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

The Funds held financial instruments such as equity swaps that are subject to enforceable netting arrangements or other similar agreements as of November 30, 2025. All other derivative contracts held by the Funds were not subject to netting agreements.

The following tables present financial instruments held by the Funds that are subject to enforceable netting arrangements or other similar agreements as of November 30, 2025:

Merger Arbitrage ETF

Gross

Gross
Amounts
Offset in the 		Net Amounts
Presented in 		Gross Amounts Not Offset in the
Statements of Assets and Liabilities

Description

Amounts of
Recognized
Assets 		Statements of
Assets and
Liabilities 		the Statements
of Assets and
Liabilities 		Financial
Instruments 		Cash
Collateral
Received

Net Amount

Equity Swaps

$

169,293

$

(169,293

)

$

-

$

-

$

-

$

-

Total

$

169,293

$

(169,293

)

$

-

$

-

$

-

$

-

Gross

Gross
Amounts
Offset in the 		Net Amounts
Presented in 		Gross Amounts Not Offset in the
Statements of Assets and Liabilities

Description

Amounts of
Recognized
Liabilities 		Statements of
Assets and
Liabilities 		the Statements
of Assets and
Liabilities 		Financial
Instruments 		Cash
Collateral
Pledged

Net Amount

Equity Swaps

$

304,368

$

(169,293

)

$

135,075

$

(135,075

)

$

-

$

-

Total

$

304,368

$

(169,293

)

$

135,075

$

(135,075

)

$

-

$

-

Event-Driven ETF

Gross
Gross 		Amounts
Offset in the 		Net Amounts
Presented in 		Gross Amounts Not Offset in the
Statements of Assets and Liabilities

Description

Amounts of
Recognized
Assets 		Statements of
Assets and
Liabilities 		the Statements
of Assets and
Liabilities 		Financial
Instruments 		Cash
Collateral
Received

Net Amount

Equity Swaps

$

48,565

$

(16,688

)

$

31,877

$

(31,877

)

$

-

$

-

Total

$

48,565

$

(16,688

)

$

31,877

$

(31,877

)

$

-

$

-

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24

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

Gross

Gross
Amounts
Offset in the 		Net Amounts
Presented in 		Gross Amounts Not Offset in the
Statements of Assets and Liabilities

Description

Amounts of
Recognized
Liabilities 		Statements of
Assets and
Liabilities 		the Statements
of Assets and
Liabilities 		Financial
Instruments 		Cash
Collateral
Pledged

Net Amount

Equity Swaps

$

16,688

$

(16,688

)

$

-

$

-

$

-

$

-

Total

$

16,688

$

(16,688

)

$

-

$

-

$

-

$

-

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

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

Cash - The Funds may invest a portion of their assets in cash or cash items. These cash items and other high-quality debt securities may include money market instruments, such as securities issued by the U.S. Government and its agencies, bankers' acceptances, commercial paper, bank certificates of deposit and investment companies that invest primarily in such instruments. As of November 30, 2025, cash held by the Funds represented cash held at a third-party custodian.

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

As of and during the six months ended November 30, 2025, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and, if applicable, penalties for any uncertain tax positions. Interest and penalty expense will be recorded as a component of interest or other tax expense. No interest or penalties were recorded during the six months ended November 30, 2025. The Funds file U.S. federal, state, and local tax returns as required. The Funds' tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

3. INVESTMENT TRANSACTIONS

During the six months ended November 30, 2025, cost of purchases and proceeds from sales and maturities of investment securities, excluding short-term investments, U.S. government securities, equity swap contracts, purchased and written option contracts and securities sold short, were as follows:

Merger Arbitrage
ETF 		Event-Driven
ETF

Purchases

$

203,148,102

$

13,935,918

Sales and Maturities

177,723,509

14,818,797

4. IN-KIND TRANSACTIONS

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

The in-kind transaction activity for the period ended November 30, 2025 was $30,561,302 and $2,732,836 of in-kind purchases of securities and $25,758,570 and $0 of in-kind sales of securities for the Merger Arbitrage ETF and Event-Driven ETF, respectively. The realized gain (loss) for the period ended November 30, 2025 of in-kind sales of securities was $1,300,233 and $0 for the Merger Arbitrage ETF and Event-Driven ETF, respectively.

5. ADVISORY FEES

Investment Advisory Agreement

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

Fund

Advisory Fee

Merger Arbitrage ETF

0.75

%

Event-Driven ETF

1.25

%

The Adviser agrees to pay all expenses of the Trust, except for the (i) the compensation payable to the Adviser under the Investment Advisory Agreement, (ii) payments under a Fund's Rule 12b-1 plan, if applicable, (iii) brokerage and similar portfolio management expenses, (iv) acquired fund fees and expenses,

Semi-Annual Report | November 30, 2025
25

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

(v) liquidation or termination expenses, (vi) taxes (including, but not limited to, income, excise, transaction, transfer and withholding taxes), (vii) interest (including borrowing costs and dividend interest expenses on securities sold short), (viii) any securities-lending related fees and expenses, and (ix) litigation expenses and other extraordinary expenses (including litigation to which the Trust or the Funds may be party and indemnification of the trustees and officers with respect thereto).

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

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

6. ADMINISTRATOR, CUSTODIAN, TRANSFER AGENT AND DISTRIBUTOR

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

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

7. RELATED PARTIES

As of November 30, 2025, the officers of the Trust were also employees of the Adviser.

8. CAPITAL SHARE TRANSACTIONS

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

Six Months Ended
November 30, 2025
(Unaudited) 		Year Ended
May 31, 2025

Merger Arbitrage ETF

Shares

Value

Shares

Value

Proceeds from shares sold

1,250,000

$

36,059,544

1,950,000

$

54,556,586

Payments for shares redeemed

(930,000

)

(26,805,843

)

(1,530,000

)

(42,719,975

)

Net increase

320,000

$

9,253,701

420,000

$

11,836,611

Six Months Ended
November 30, 2025
(Unaudited) 		Year Ended
May 31, 2025

Event-Driven ETF

Shares

Value

Shares

Value

Proceeds from shares sold

280,000

$

3,297,144

90,000

$

1,006,826

Payments for shares redeemed

-

-

(80,000

)

(892,462

)

Net increase

280,000

$

3,297,144

10,000

$

114,364

9. FOREIGN CURRENCY TRANSLATION

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

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

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

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

www.altsharesetfs.com | 1-855-955-1607
26

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

10. CONTINGENCIES AND COMMITMENTS

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

11. FEDERAL TAX INFORMATION

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

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

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

Fund

Distributable Earnings
(Accumulated Loss)

Paid-in Capital

Merger Arbitrage ETF

$

(3,376,075

)

$

3,376,075

Event-Driven ETF

(88,871

)

88,871

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

Fund

Year
Ended 		Ordinary
Income 		Long-Term
Capital Gains* 		Total
Distributions

Merger Arbitrage ETF

5/31/2025

$

897,830

$

-

$

897,830

5/31/2024

-

-

-

Event-Driven ETF

5/31/2025

$

34,793

$

-

$

34,793

5/31/2024

18,643

-

18,643

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

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

Merger Arbitrage ETF

Event-Driven ETF

Undistributed ordinary income

$

-

$

161,924

Accumulated capital gains/losses

-

-

Unrealized appreciation/(depreciation)

625,236

24,794

Capital loss carryover and late year ordinary loss deferrals

(1,517,297

)

(322

)

Other Temporary Differences

-

-

Total distributable earnings (accumulated loss)

$

(892,061

)

$

186,396

As of November 30, 2025, the cost and aggregate gross unrealized appreciation/(depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:

Fund

Gross
Appreciation
(excess of value
over tax cost) 		Gross
Depreciation
(excess of tax cost
over value) 		Net Unrealized
Appreciation 		Aggregate Cost
of Investments
for Income Tax
Purposes

Merger Arbitrage ETF

$

2,791,440

$

2,112,463

$

678,977

$

78,326,629

Event-Driven ETF

232,847

76,861

155,986

7,858,011

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

Capital Losses

As of May 31, 2025, the Merger Arbitrage ETF and the Event-Driven ETF had deferred capital loss carryforwards of $978,742 and $0, respectively, which may reduce the Funds' taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus may reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Funds of any liability for federal tax.

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

Late Year Losses

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

Semi-Annual Report | November 30, 2025
27

AltShares Trust ETF Funds Notes to Financial Statements (continued)

November 30, 2025 (Unaudited)

12. RECENT ACCOUNTING PRONOUNCEMENTS

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

13. OPERATING SEGMENTS

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

14. SUBSEQUENT EVENTS

The Trust will hold a special meeting of its shareholders on Tuesday, February 3, 2026 at 1:00 p.m., Eastern time. At the meeting, shareholders will be asked to vote on the election of six trustees of the Trust and such other matters as may properly come before the meeting. Three of the six trustee candidates currently serve on the Board of Trustees. Only shareholders of record at the close of business on Tuesday, December 9, 2025, the record date set for the meeting by the Board of Trustees, have the right to notice of and the right to vote at the meeting or any adjournment or postponement thereof.

www.altsharesetfs.com | 1-855-955-1607
28

AltShares Trust ETF Funds Other Information

November 30, 2025 (Unaudited)

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

Not applicable.

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

Not applicable.

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

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

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

Not applicable.

Semi-Annual Report | November 30, 2025
29

AltShares Trust

AltShares Merger Arbitrage ETF

AltShares Event-Driven ETF

1 855-955-1607

www.altsharesetfs.com

Adviser

Water Island Capital, LLC

104 Fifth Avenue, 9th Floor

New York, NY 10011

Distributor

Foreside Financial Services, LLC

Three Canal Plaza, Suite 100

Portland, ME 04101

Transfer Agent

State Street Bank and

Trust Company

One Congress Building,

One Congress Street, Suite 1

Boston, MA 02114-2016

Custodian

State Street Bank and

Trust Company

One Congress Building,

One Congress Street, Suite 1

Boston, MA 02114-2016

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

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

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

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

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

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

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

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

Not applicable to semi-annual report.

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

Not applicable to this registrant.

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

Not applicable to this registrant.

Item 14. Purchases of Equity Securities by Closed-End Management Investment

Company and Affiliated Purchasers.

Not applicable to this registrant.

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

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

Item 16. Controls and Procedures.

(a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of this report, are effective, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

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

Not applicable to this registrant.

Item 18. Recovery of Erroneously Awarded Compensation.

Not applicable.

Item 19. Exhibits.

(a)(1) Not applicable to semi-annual report.
(a)(2) Not applicable.
(a)(3) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are attached hereto as exhibit Ex-99.CERT.
(a)(4) Not applicable.
(a)(5) Not applicable.
(b) The certifications by the registrant's principal executive officer and principal financial officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Ex-99.906CERT.

SIGNATURES

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

ALTSHARES TRUST

By: /s/ John S. Orrico
John S. Orrico
President (Principal Executive Officer)
Date: February 5, 2026

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

By: /s/ John S. Orrico
John S. Orrico
President (Principal Executive Officer)
Date: February 5, 2026
By: /s/ Jonathon Hickey
Jonathon Hickey
Chief Financial Officer (Principal Financial Officer)
Date: February 5, 2026
AltShares Trust published this content on February 05, 2026, and is solely responsible for the information contained herein. Distributed via EDGAR on February 05, 2026 at 19:25 UTC. If you believe the information included in the content is inaccurate or outdated and requires editing or removal, please contact us at [email protected]