Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)

As filed with the Securities and Exchange Commission on May 30, 2013

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-3445

THE MERGER FUND

(Exact name of registrant as specified in charter)

100 Summit Lake Drive

Valhalla, New York 10595

(Address of principal executive offices) (Zip code)

Roy Behren and Michael T. Shannon

THE MERGER FUND

100 Summit Lake Drive

Valhalla, New York 10595

(Name and address of agent for service)

Registrant's telephone number, including area code: 1-800-343-8959

Date of fiscal year end: December 31

Date of reporting period: March 31, 2013

Item 1. Schedule of Investments.

The Merger Fund
SCHEDULE OF INVESTMENTS
March 31, 2013
(Unaudited)

Shares			Value
COMMON STOCKS - 65.45%
		ADVERTISING - 1.78%
	1,231,090	Arbitron, Inc. (f)	$	57,701,188
	329,833	Focus Media Holding Ltd. - ADR (e)		8,842,823
	262,300	Lamar Advertising Company Class A (a)(e)		12,750,403
				79,294,414
		AUTOMOBILE MANUFACTURERS - 1.64%
	2,617,800	General Motors Co. (a)(e)		72,827,196
		BROADCASTING & CABLE TV - 3.46%
	1,744,993	Astral Media, Inc. Class A (b)		84,239,264
	1,042,000	CBS Corporation - Class B (non-voting) (f)		48,650,980
	303,100	Discovery Communications, Inc. Class C (a)(e)		21,077,574
				153,967,818
		CABLE & SATELLITE TV - 4.60%
	2,843,758	Comcast Corporation Special Class A (e)		112,669,692
	1,886,893	Virgin Media, Inc.		92,401,150
				205,070,842
		CASINOS & GAMING - 1.58%
	2,797,138	WMS Industries, Inc. (a)(i)		70,515,849
		COAL & CONSUMABLE FUELS - 0.28%
	4,561,835	Uranium One, Inc. (a)(b)		12,573,842
		COMPUTER STORAGE & PERIPHERALS - 0.23%
	1,045,096	Intermec, Inc. (a)(e)		10,273,294
		CONSTRUCTION & ENGINEERING - 0.02%
	169,586	Impregilo S.p.A. (b)		869,973
		CONSTRUCTION & FARM MACHINERY & HEAVY TRUCKS - 0.56%
	722,200	Navistar International Corporation (a)(e)		24,966,454
		CONSUMER FINANCE - 0.91%
	1,972,700	SLM Corporation		40,400,896
		DISTILLERS & VINTNERS - 1.15%
	1,077,900	Constellation Brands, Inc. Class A (a)		51,351,156
		DIVERSIFIED CHEMICALS - 0.90%
	2,167,704	Huntsman Corporation (e)		40,297,617
		DIVERSIFIED METALS & MINING - 1.01%
	1,342,400	Freeport-McMoRan Copper & Gold, Inc. (e)		44,433,440
	310,134	Pilot Gold, Inc. (a)(b)		512,896
				44,946,336
		INDUSTRIAL CONGLOMERATES - 0.08%
	116,100	Tyco International Ltd. (b)		3,715,200
		INDUSTRIAL MACHINERY - 0.53%
	46,552	Gardner Denver, Inc. (e)		3,496,521
	365,700	Ingersoll-Rand plc (b)(e)		20,117,157
				23,613,678
		INTEGRATED OIL & GAS - 5.35%
	1,932,700	BP plc - ADR (f)		81,849,845
	1,511,400	Hess Corporation (e)		108,231,354
	757,600	Murphy Oil Corporation (e)		48,281,848
				238,363,047
		INTEGRATED TELECOMMUNICATION SERVICES - 2.80%
	454,200	AT&T, Inc.		16,664,598
	1,762,700	CenturyLink, Inc. (f)		61,923,651
	934,300	Verizon Communications, Inc.		45,920,845
				124,509,094
		INTERNET RETAIL - 0.16%
	92,768	Liberty Ventures (a)		7,011,406
		MANAGED HEALTH CARE - 4.31%
	4,079,102	Coventry Health Care, Inc. (e)		191,840,167
		MOVIES & ENTERTAINMENT - 0.06%
	87,100	News Corporation Class A		2,658,292
		MULTI-LINE INSURANCE - 3.03%
	2,490,400	American International Group, Inc. (a)		96,677,328
	3,847,500	Genworth Financial, Inc. (a)(e)		38,475,000
				135,152,328
		MULTI-SECTOR HOLDINGS - 0.00%
	19	Leucadia National Corporation		521
		OIL & GAS EXPLORATION & PRODUCTION - 3.60%
	482,800	Anadarko Petroleum Corporation		42,220,860
	714,600	Berry Petroleum Company (f)		33,078,834
	2,379,000	Chesapeake Energy Corporation (f)		48,555,390
	2,224,500	McMoRan Exploration Co. (a)(e)		36,370,575
				160,225,659
		OIL & GAS REFINING & MARKETING - 0.72%
	704,500	Valero Energy Corporation		32,047,705
		OIL & GAS STORAGE & TRANSPORTATION - 2.01%
	832,509	Copano Energy LLC (e)		33,733,265
	1,492,400	Williams Companies, Inc.		55,905,304
				89,638,569
		PACKAGED FOODS & MEATS - 5.83%
	4,108,200	Dean Foods Company (a)(e)		74,481,666
	3,513,600	Dole Food Company, Inc. (a)(e)		38,298,240
	2,030,866	H.J. Heinz Company (e)		146,770,686
				259,550,592
		PHARMACEUTICALS - 2.37%
	92,900	Abbott Laboratories		3,281,228
	92,900	AbbVie, Inc.		3,788,462
	812,500	Eli Lilly & Company (e)		46,141,875
	500	Merck & Co., Inc.		22,115
	1,809,900	Pfizer, Inc.		52,233,714
				105,467,394
		PUBLISHING - 1.43%
	1,227,500	McGraw-Hill Companies, Inc. (d)		63,928,200
		REGIONAL BANKS - 1.04%
	181,900	BB&T Corporation		5,709,841
	333,325	Citizens Republic Bancorp, Inc. (a)		7,516,479
	3,305,900	KeyCorp (e)		32,926,764
				46,153,084
		REINSURANCE - 0.18%
	248,195	Alterra Capital Holdings Ltd. (b)		7,818,143
		SECURITY & ALARM SERVICES - 1.36%
	1,543,100	Corrections Corporation of America		60,288,917
		SEMICONDUCTOR EQUIPMENT - 2.87%
	1,328,500	Cymer, Inc. (a)(g)		127,668,850
		SPECIALIZED FINANCE - 2.81%
	3,240,060	NYSE Euronext (e)		125,195,918
		SPECIALTY STORES - 0.68%
	2,608,300	OfficeMax, Inc.		30,282,363
		THRIFTS & MORTGAGE FINANCE - 1.50%
	7,755,660	Hudson City Bancorp, Inc. (e)		67,008,902
		WIRELESS TELECOMMUNICATION SERVICES - 4.61%
	230,400	Clearwire Corporation Class A (a)		746,496
	12,040,500	MetroPCS Communications, Inc. (a)(e)		131,241,450
	11,794,200	Sprint Nextel Corporation (a)		73,241,982
				205,229,928
		TOTAL COMMON STOCKS
		(Cost $2,667,175,882)		2,914,723,644

WARRANTS - 0.00%
	142,642	Kinross Gold Corporation (a)(b)		26,679
		TOTAL WARRANTS
		(Cost $540,029)		26,679
Principal Amount
CORPORATE BONDS - 3.16%
		American Airlines, Inc.
$	37,695,000	10.500%, 10/15/2012 (j)		44,951,288
	17,723,000	7.500%, 3/15/2016 (Acquired 01/25/13 to 03/20/13, Cost $18,216,248) (h)(j)		20,425,757
		Dean Foods Company
	1,993,000	9.750%, 12/15/2018		2,316,862
		Elan Corporation plc
	16,309,000	6.250%, 10/15/2019 (Acquired 02/28/13 to 03/04/13, Cost $18,773,560) (b)(h)		19,122,302
		McMoRan Exploration Company
	13,460,000	11.875%, 11/15/2014		14,267,600
		MetroPCS Wireless, Inc.
	10,338,000	6.625%, 11/15/2020		10,841,978
		Sealy Mattress Company
	1,270,000	10.875%, 4/15/2016 (Acquired 10/5/12, Cost $1,381,776) (h)		1,344,625
		Virgin Media Finance plc
	7,474,000	5.250%, 2/15/2022 (b)		7,632,823
	19,766,000	4.875%, 2/15/2022 (b)		20,111,905
		TOTAL CORPORATE BONDS
		(Cost $140,569,850)		141,015,140

PURCHASED PUT OPTIONS - 0.64%

Contracts (100 shares per contract)

		Abbott Laboratories
	929	Expiration: May 2013, Exercise Price: $29.00		3,716
		AbbVie, Inc.
	929	Expiration: May 2013, Exercise Price: $30.00		2,322
		American International Group, Inc.
	5,532	Expiration: April 2013, Exercise Price: $32.00		11,064
	2,350	Expiration: May 2013, Exercise Price: $30.00		14,100
	17,022	Expiration: May 2013, Exercise Price: $31.00		127,665
		Anadarko Petroleum Corporation
	545	Expiration: May 2013, Exercise Price: $62.50		5,450
	546	Expiration: May 2013, Exercise Price: $65.00		6,825
	2,624	Expiration: May 2013, Exercise Price: $72.50		98,400
	1,113	Expiration: August 2013, Exercise Price: $60.00		36,729
		AT&T, Inc.
	942	Expiration: April 2013, Exercise Price: $30.00		942
	773	Expiration: June 2013, Exercise Price: $31.00		8,503
		BB&T Corporation
	909	Expiration: June 2013, Exercise Price: $26.00		12,271
		Berry Petroleum Company
	7,146	Expiration: April 2013, Exercise Price: $40.00		17,865
		BP plc - ADR
	12,884	Expiration: April 2013, Exercise Price: $38.00		77,304
		CBS Corporation Class B (non-voting)
	5,211	Expiration: June 2013, Exercise Price: $35.00		52,110
		CenturyLink, Inc.
	17,627	Expiration: July 2013, Exercise Price: $29.00		396,607
		Chesapeake Energy Corporation
	23,790	Expiration: April 2013, Exercise Price: $15.00		95,160
		Constellation Brands, Inc. Class A
	1,009	Expiration: April 2013, Exercise Price: $35.00		30,270
	2,546	Expiration: April 2013, Exercise Price: $37.50		101,840
		Corrections Corporation of America
	1,597	Expiration: June 2013, Exercise Price: $28.00		83,843
	2,019	Expiration: September 2013, Exercise Price: $28.00		65,618
		Dean Foods Company
	24,415	Expiration: June 2013, Exercise Price: $12.00		61,038
	16,667	Expiration: June 2013, Exercise Price: $14.00		208,338
		Dole Food Company, Inc.
	10,710	Expiration: April 2013, Exercise Price: $9.00		53,550
	24,426	Expiration: July 2013, Exercise Price: $8.00		244,260
		Eli Lilly & Company
	4,046	Expiration: April 2013, Exercise Price: $44.00		6,069
	2,720	Expiration: April 2013, Exercise Price: $49.00		6,800
		Financial Select Sector SPDR Fund
	4,643	Expiration: April 2013, Exercise Price: $18.00		88,217
		Freeport-McMoRan Copper & Gold, Inc.
	2,467	Expiration: June 2013, Exercise Price: $27.00		51,807
		General Motors Co.
	3,321	Expiration: June 2013, Exercise Price: $19.00		23,247
	8,927	Expiration: June 2013, Exercise Price: $20.00		98,197
	3,678	Expiration: June 2013, Exercise Price: $21.00		40,458
	3,095	Expiration: June 2013, Exercise Price: $22.00		46,425
	7,157	Expiration: September 2013, Exercise Price: $21.00		236,181
		Genworth Financial, Inc.
	38,475	Expiration: June 2013, Exercise Price: $4.00		76,950
		Hess Corporation
	1,910	Expiration: May 2013, Exercise Price: $52.50		17,190
	13,204	Expiration: May 2013, Exercise Price: $57.50		244,274
		Huntsman Corporation
	18,908	Expiration: May 2013, Exercise Price: $12.00		47,270
	5,382	Expiration: May 2013, Exercise Price: $13.00		40,365
	2,780	Expiration: May 2013, Exercise Price: $15.00		34,750
	3,614	Expiration: August 2013, Exercise Price: $14.00		99,385
		Ingersoll-Rand plc
	3,657	Expiration: September 2013, Exercise Price: $40.00		146,280
		KeyCorp
	33,059	Expiration: June 2013, Exercise Price: $7.00		33,059
		Lamar Advertising Company Class A
	1,311	Expiration: July 2013, Exercise Price: $31.00		26,220
		Materials Select Sector SPDR Trust
	317	Expiration: June 2013, Exercise Price: $41.00		74,812
		McGraw-Hill Companies, Inc.
	1,451	Expiration: April 2013, Exercise Price: $38.00		7,255
	2,320	Expiration: May 2013, Exercise Price: $35.00		11,600
	4,895	Expiration: May 2013, Exercise Price: $37.50		48,950
		Merck & Co., Inc.
	5,738	Expiration: April 2013, Exercise Price: $35.00		2,869
		Murphy Oil Corporation
	1,766	Expiration: April 2013, Exercise Price: $45.00		4,415
	4,421	Expiration: April 2013, Exercise Price: $50.00		11,052
	1,426	Expiration: April 2013, Exercise Price: $55.00		3,565
		Navistar International Corporation
	7,422	Expiration: April 2013, Exercise Price: $12.00		18,555
		News Corporation Class A
	14,161	Expiration: April 2013, Exercise Price: $20.00		35,402
		OfficeMax, Inc.
	19,287	Expiration: May 2013, Exercise Price: $9.00		48,218
	6,796	Expiration: May 2013, Exercise Price: $10.00		67,960
		Pfizer, Inc.
	604	Expiration: April 2013, Exercise Price: $22.00		604
	10,314	Expiration: April 2013, Exercise Price: $24.00		15,471
		SLM Corporation
	6,924	Expiration: April 2013, Exercise Price: $12.00		6,924
	7,322	Expiration: April 2013, Exercise Price: $15.00		14,644
	5,738	Expiration: July 2013, Exercise Price: $13.00		48,773
		SPDR S&P 500 ETF Trust
	10,219	Expiration: May 2013, Exercise Price: $155.00		2,135,771
		Sprint Nextel Corporation
	27,525	Expiration: August 2013, Exercise Price: $10.00		13,074,375
	18,788	Expiration: January 2014, Exercise Price: $10.00		9,300,060
		Tyco International Ltd.
	1,161	Expiration: April 2013, Exercise Price: $24.00		1,741
		Valero Energy Corporation
	6,144	Expiration: June 2013, Exercise Price: $28.00		27,648
	2,059	Expiration: June 2013, Exercise Price: $34.00		44,268
	2,039	Expiration: June 2013, Exercise Price: $38.00		126,418
		Verizon Communications, Inc.
	1,661	Expiration: July 2013, Exercise Price: $38.00		21,593
		Vivendi SA
	5,334	Expiration: May 2013, Exercise Price: EUR 12.00		34,186
		Williams Companies, Inc.
	14,924	Expiration: May 2013, Exercise Price: $28.00		59,696
		TOTAL PURCHASED PUT OPTIONS
		(Cost $46,471,133)		28,425,759

Shares
SHORT-TERM INVESTMENTS - 32.99%
		MONEY MARKET FUNDS - 32.99%
	259,000,000	BlackRock Liquidity Funds TempFund Portfolio, 0.09% (c)(e)		259,000,000
	259,000,000	Fidelity Institutional Government Portfolio, 0.01% (c)(f)		259,000,000
	259,000,000	Fidelity Institutional Money Market Portfolio, 0.10% (c)(g)		259,000,000
	173,374,976	First American Government Obligations Fund, 0.02% (c)(d)		173,374,976
	259,000,000	Goldman Sachs Financial Square Money Market Fund, 0.10% (c)(d)		259,000,000
	486,761	Invesco Prime Portfolio Money Market, 0.09% (c)(e)		486,761
	259,000,000	The Liquid Asset Portfolio, 0.11% (c)(e)		259,000,000
		TOTAL SHORT-TERM INVESTMENTS
		(Cost $1,468,861,737)		1,468,861,737
		TOTAL INVESTMENTS
		(Cost $4,323,618,631) - 102.24%	$	4,553,052,959

ADR -		American Depository Receipt
ETF -		Exchange-Traded Fund
EUR -		Euro
plc -		Public Limited Company
(a)		Non-income producing security.
(b)		Foreign security.
(c)		The rate quoted is the annualized seven-day yield as of March 31, 2013.
(d)		All or a portion of the shares have been committed as collateral for open securities sold short.
(e)		All or a portion of the shares have been committed as collateral for written option contracts.
(f)		All or a portion of the shares have been committed as collateral for swap contracts.
(g)		All or a portion of the shares have been committed as collateral for forward currency exchange contracts.
(h)		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 March 31, 2013, these securities represented 0.92% of total net assets.
(i)		Affiliated company.
(j)		Defaulted or other conditions exist and the security is not presently accruing income.

(k)		The cost basis of investments for federal income tax purposes at March 31, 2013 was as follows*:

Cost of investments	$	4,362,925,022
Gross unrealized appreciation		289,573,072
Gross unrealized depreciation		(99,445,135	)
Net unrealized appreciation	$	190,127,937

*Because tax adjustments are calculated annually, the above table reflects the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous

fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.

(l)	Investment Valuation - Securities listed on the NASDAQ Global Market and the NASDAQ Global Select Market are valued at the NASDAQ Official Closing Price (“NOCP”).
	Investments in registered investment companies are valued at the reported net asset value (“NAV”). Other listed securities are valued at the last sale price on the exchange on which such securities are primarily
	traded or, in the case of options, at the last sale price. The securities valued using quoted prices in active markets are classified as Level 1 investments. Securities not listed on an exchange, but for which
	market transaction prices are reported, are valued at the last sale price as of the close of the New York Stock Exchange. Non-exchange listed securities that do not trade on a particular day are valued
	at the mean of the closing bid and asked prices. These securities are classified as Level 2 investments. In pricing corporate bonds and other debt securities, that are not obligations of the U.S. Government
	or its agencies, the mean of the reported closing bid and ask prices is used. These securities are classified as Level 2 investments. When pricing options, if no sales are reported or if the last sale is outside
	the bid and asked parameters, the higher of the ¬ intrinsic value of the option or the mean between the last reported bid and asked prices will be used. Options for which there is an active market are classified
	as Level 1 investments, but options not listed on an exchange are classified as Level 2 investments. Investments in United States government securities (other than short-term securities) are valued at the
	mean of the quoted bid and asked prices in the over-the-counter market. Short-term debt investments are carried at amortized cost, which approximates market value. Money Market Funds are valued at the
	reported NAV.

	The Adviser monitors and reviews the pricing of securities daily and makes determinations of fair value when such procedures call for judgment and analysis. Securities for which there are no market
	quotations readily available or such quotations are unreliable are valued at fair value as determined in good faith by the Adviser in accordance with procedures adopted by the Board of Trustees and under
	the supervision of the Board of Trustees. Fair valuation prices are reviewed on a day to day basis by a committee overseen by the Chief Compliance Officer. The factors for fair valuation the Adviser may
	consider include, among other things: fundamental analytical data; the nature and duration of restrictions on disposition; an evaluation of forces that influence the market in which the securities are purchased
	and sold; intrinsic value and public trading in similar securities of the issuer or comparable issuers. When fair-value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ
	from quoted or published prices for the same securities. Generally, the fair value of a security is the price that would be received for a security in an orderly transaction between market participants. These
	securities are generally classified as Level 2 or 3 depending on the priority of significant inputs. At March 31, 2013, fair valued securities in good faith represent 0.00% of net assets using the absolute value
	of swap contracts.

	The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining
	the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:

	Level 1 — Quoted prices in active markets for identical securities.
	Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
	Level 3 — Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs
	are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.

	The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

	The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund
	as of March 31, 2013. These assets and liabilities are measured on a recurring basis.

The following is a summary of the inputs used to value the Fund’s net assets as of March 31, 2013.

Investments at Fair Value	Level 1		Level 2		Level 3			Total
Assets
Common Stocks *	$	2,914,723,644	$	-	$	-		$	2,914,723,644
Warrants		26,679		-		-			26,679
Corporate Bonds		-		141,015,140		-			141,015,140
Purchased Put Options		28,391,573		34,186		-			28,425,759
Short-Term Investments		1,468,861,737		-		-			1,468,861,737
Forward Currency Exchange Contracts **		-		5,492,873		-			5,492,873

Liabilities
Common Stocks Sold Short	$	486,899,239	$	-	$	-		$	486,899,239
Written Option Contracts		215,908,459		1,537,331		-			217,445,790
Swap Contracts **		-		16,464,078		-	***		16,464,078
Forward Currency Exchange Contracts **		-		3,807,098		-			3,807,098

*		Please refer to the Schedule of Investments to view common stocks segregated by industry type.
**		Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument.
***		Value is less than $0.50.

		The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on computable securities, trading volume and maturity date. The Fund did not have
		transfers into or out of Level 1 or Level 2 during the period.

		The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.

Description	Investments
Balance as of December 31, 2012	$	420,840
Realized gain		390,743
Change in unrealized depreciation		(420,840	)
Net sales		(390,743	)
Balance as of March 31, 2013	$	-	***

Significant unobservable valuation inputs developed by the Board of Directors for material Level 3 investments as of March 31, 2013, are as follows:

Description	Fair Value at March 31, 2013			Valuation Technique	Unobservable Input	Range
Swap Contracts	$	-	***	Projected Final	Discount of Projected
				Distribution (1)	Distribution		0.00 - 0.00

*** Value is less than $0.50.

(1) This Level 3 security has completed its corporate action. The security is being kept open for the potential of an additional distribution, but due to the unpredictability of the distribution, the security is being priced conservatively at zero.

(m)	Disclosures about Derivative Instruments and Hedging Activities at March 31, 2013.

	The Fund has adopted authoritative standards regarding disclosure about derivatives and hedging activities intended to improve financial reporting of derivative instruments.
	Fair values of derivative instruments as of March 31, 2013 are as follows:

Asset Derivatives

Liability Derivatives

Derivatives

Description

Fair Value

Description

Fair Value

Equity Contracts:

Purchased Options

Schedule of Investments

28,425,759

N/A

Written Option Contracts

N/A

Schedule of Options Written

217,445,790

Swap Contracts

Schedule of Swap Contracts

16,464,078

Foreign Exchange Contracts:

Forward Foreign Currency

Exchange Contracts

Schedule of Forward Currency Exchange Contracts

5,492,873

Schedule of Forward Currency Exchange Contracts

3,807,098

Total

33,918,632

237,716,966

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC ("S&P"). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Serves, LLC.

The Merger Fund
SCHEDULE OF SECURITIES SOLD SHORT
March 31, 2013
(Unaudited)

Shares			Value
	1,584,789	Aetna, Inc.	$	81,014,414
	1,528,270	ASML Holding N.V. - ADR		103,937,643
	2,843,758	Comcast Corporation Special Class A		119,466,274
	303,100	Discovery Communications, Inc. Class A		23,866,094
	58,170	Expedia, Inc.		3,490,782
	456,655	FirstMerit Corporation		7,548,507
	267,124	IntercontinentalExchange, Inc.		43,559,910
	90,932	Kinder Morgan Energy Partners, L.P.		8,162,966
	288,245	Kinder Morgan Management, LLC		25,322,323
	172,554	Liberty Global, Inc. Class A		12,665,463
	222,028	Liberty Global, Inc. Series C		15,237,782
	320,391	M & T Bank Corporation		33,051,536
	10,710	Markel Corporation		5,392,485
	79,647	TripAdvisor, Inc.		4,183,060
		TOTAL SECURITIES SOLD SHORT
		(Proceeds $398,180,182)	$	486,899,239

ADR -		American Depository Receipt

The Merger Fund
SCHEDULE OF OPTIONS WRITTEN
March 31, 2013
(Unaudited)

Contracts (100 Shares per contract)

Value

CALL OPTIONS WRITTEN
		Abbott Laboratories
	929	Expiration May 2013, Exercise Price: $34.00	$	147,711
		AbbVie, Inc.
	929	Expiration May 2013, Exercise Price: $35.00		536,962
		American International Group, Inc.
	5,532	Expiration April 2013, Exercise Price: $37.00		1,128,528
	2,350	Expiration May 2013, Exercise Price: $35.00		994,050
	17,022	Expiration May 2013, Exercise Price: $36.00		5,702,370
		Anadarko Petroleum Corporation
	545	Expiration May 2013, Exercise Price: $72.50		831,125
	546	Expiration May 2013, Exercise Price: $75.00		727,545
	2,624	Expiration May 2013, Exercise Price: $80.00		2,269,760
	1,113	Expiration August 2013, Exercise Price: $72.50		1,850,362
		AT&T, Inc.
	3,769	Expiration April 2013, Exercise Price: $35.00		646,383
	773	Expiration June 2013, Exercise Price: $36.00		88,895
		BB&T Corporation
	1,819	Expiration June 2013, Exercise Price: $30.00		331,967
		Berry Petroleum Company
	7,146	Expiration April 2013, Exercise Price: $45.00		1,125,495
		BP plc - ADR
	7,480	Expiration April 2013, Exercise Price: $43.00		299,200
	11,847	Expiration April 2013, Exercise Price: $44.00		201,399
		CBS Corporation Class B (non-voting)
	10,421	Expiration June 2013, Exercise Price: $40.00		7,346,805
		CenturyLink, Inc.
	17,627	Expiration July 2013, Exercise Price: $34.00		3,349,130
		Chesapeake Energy Corporation
	14,570	Expiration April 2013, Exercise Price: $17.00		5,026,650
	9,220	Expiration April 2013, Exercise Price: $18.00		2,286,560
		Clearwire Corporation Class A
	2,304	Expiration June 2013, Exercise Price: $3.00		69,120
		Constellation Brands, Inc. Class A
	9,770	Expiration July 2013, Exercise Price: $45.00		5,324,650
		Corrections Corporation of America
	1,739	Expiration June 2013, Exercise Price: $33.00		1,060,790
	7,358	Expiration June 2013, Exercise Price: $34.00		3,752,580
	1,359	Expiration June 2013, Exercise Price: $35.00		553,113
	4,975	Expiration September 2013, Exercise Price: $37.00		1,567,125
		Dean Foods Company
	5,512	Expiration June 2013, Exercise Price: $15.00		1,846,520
	18,903	Expiration June 2013, Exercise Price: $16.00		4,725,750
	16,667	Expiration June 2013, Exercise Price: $17.00		2,916,725
		Dole Food Company, Inc.
	6,973	Expiration April 2013, Exercise Price: $10.00		627,570
	3,737	Expiration April 2013, Exercise Price: $11.00		74,740
	24,426	Expiration July 2013, Exercise Price: $10.00		3,175,380
		Eli Lilly & Company
	8,125	Expiration April 2013, Exercise Price: $52.50		3,534,375
		Freeport-McMoRan Copper & Gold, Inc.
	10,134	Expiration May 2013, Exercise Price: $31.00		2,503,098
	3,290	Expiration June 2013, Exercise Price: $31.00		898,170
		General Motors Co.
	7,379	Expiration June 2013, Exercise Price: $25.00		2,398,175
	4,869	Expiration June 2013, Exercise Price: $26.00		1,217,250
	3,095	Expiration June 2013, Exercise Price: $27.00		569,480
	3,678	Expiration June 2013, Exercise Price: $29.00		319,986
	7,157	Expiration September 2013, Exercise Price: $27.00		1,850,085
		Genworth Financial, Inc.
	38,475	Expiration June 2013, Exercise Price: $8.00		8,445,263
		H.J. Heinz Company
	18,674	Expiration June 2013, Exercise Price: $75.00		186,740
	1,634	Expiration September 2013, Exercise Price: $75.00		24,510
		Hess Corporation
	15,114	Expiration May 2013, Exercise Price: $65.00		11,373,285
		Huntsman Corporation
	6	Expiration May 2013, Exercise Price: $14.00		2,754
	8,389	Expiration May 2013, Exercise Price: $16.00		2,369,893
	5,382	Expiration May 2013, Exercise Price: $17.00		1,076,400
	2,780	Expiration May 2013, Exercise Price: $18.00		375,300
	3,614	Expiration August 2013, Exercise Price: $18.00		704,730
		Ingersoll-Rand plc
	3,657	Expiration September 2013, Exercise Price: $52.50		1,810,215
		IntercontinentalExchange, Inc.
	2,576	Expiration June 2013, Exercise Price: $110.00		13,670,832
	271	Expiration June 2013, Exercise Price: $120.00		1,167,197
		KeyCorp
	33,059	Expiration June 2013, Exercise Price: $9.00		3,520,784
		Lamar Advertising Company Class A
	2,623	Expiration July 2013, Exercise Price: $37.00		3,252,520
		Liberty Global, Inc. Class A
	1,738	Expiration July 2013, Exercise Price: $55.00		3,197,920
	2,826	Expiration July 2013, Exercise Price: $60.00		3,956,400
		M & T Bank Corporation
	47	Expiration April 2013, Exercise Price: $85.00		85,352
	3,268	Expiration April 2013, Exercise Price: $95.00		2,666,688
		McGraw-Hill Companies, Inc.
	1,451	Expiration April 2013, Exercise Price: $43.00		1,317,508
	7,343	Expiration May 2013, Exercise Price: $40.00		8,885,030
	3,481	Expiration May 2013, Exercise Price: $42.50		3,411,380
		McMoRan Exploration Co.
	22,245	Expiration May 2013, Exercise Price: $16.00		1,201,230
		Merck & Co., Inc.
	5	Expiration April 2013, Exercise Price: $41.00		1,638
		MetroPCS Communications, Inc.
	21,459	Expiration May 2013, Exercise Price: $9.00		4,366,907
	81,955	Expiration May 2013, Exercise Price: $10.00		10,244,375
	16,991	Expiration August 2013, Exercise Price: $10.00		2,548,650
		Murphy Oil Corporation
	1,766	Expiration April 2013, Exercise Price: $55.00		1,541,718
	2,161	Expiration April 2013, Exercise Price: $57.50		1,361,430
	3,649	Expiration April 2013, Exercise Price: $60.00		1,423,110
		Navistar International Corporation
	7,222	Expiration April 2013, Exercise Price: $16.00		13,411,254
		News Corporation Class A
	871	Expiration April 2013, Exercise Price: $24.00		570,505
		OfficeMax, Inc.
	19,287	Expiration August 2013, Exercise Price: $11.00		2,507,310
	6,796	Expiration August 2013, Exercise Price: $12.00		509,700
		Pfizer, Inc.
	604	Expiration April 2013, Exercise Price: $26.00		172,744
	10,314	Expiration April 2013, Exercise Price: $27.00		1,933,875
	7,181	Expiration June 2013, Exercise Price: $27.00		1,472,105
		SLM Corporation
	6,667	Expiration April 2013, Exercise Price: $16.00		2,986,816
	7,322	Expiration April 2013, Exercise Price: $17.00		2,562,700
	5,738	Expiration July 2013, Exercise Price: $18.00		1,546,391
		Sprint Nextel Corporation
	17,788	Expiration May 2013, Exercise Price: $5.50		1,271,842
		TNT Express NV
	21,305	Expiration April 2013, Exercise Price: EUR 5.60 (a)		546,196
		Tyco International Ltd.
	1,161	Expiration April 2013, Exercise Price: $29.00		357,007
		Valero Energy Corporation
	2,947	Expiration June 2013, Exercise Price: $32.00		4,030,022
	2,059	Expiration June 2013, Exercise Price: $39.00		1,472,185
	2,039	Expiration June 2013, Exercise Price: $42.00		999,110
		Verizon Communications, Inc.
	5,491	Expiration July 2013, Exercise Price: $42.00		3,926,065
	1,164	Expiration July 2013, Exercise Price: $43.00		715,860
	2,688	Expiration July 2013, Exercise Price: $45.00		1,115,520
		Vivendi SA
	5,334	Expiration May 2013, Exercise Price: EUR 16.00 (a)		485,458
		Williams Companies, Inc.
	14,924	Expiration May 2013, Exercise Price: $34.00		5,633,810
		Xstrata plc
	2,560	Expiration April 2013, Exercise Price: GBP 11.00 (a)(b)		505,677
				216,797,490
PUT OPTIONS WRITTEN
		SPDR S&P 500 ETF Trust
	6,505	Expiration May 2013, Exercise Price: $148.00		507,390
		Sprint Nextel Corporation
	9,394	Expiration January 2014, Exercise Price: $4.00		140,910
				648,300
		TOTAL OPTIONS WRITTEN
		(Premiums received $148,026,893)	$	217,445,790

ADR -		American Depository Receipt
ETF -		Exchange-Traded Fund
EUR -		Euro
GBP -		British Pound
plc -		Public Limited Company
(a)		Level 2 Security. Please see footnote (1) on the schedule of investments for more information.
(b)		1000 shares per contract.

The Merger Fund
SCHEDULE OF FORWARD CURRENCY EXCHANGE CONTRACTS*
March 31, 2013
(Unaudited)

Settlement Date	Currency to be Delivered			U.S. $ Value at March 31, 2013		Currency to be Received			U.S. $ Value at March 31, 2013		Unrealized Appreciation (Depreciation)
5/8/2013		47,308,505	Australian Dollars	$	49,103,109		48,583,311	U.S. Dollars	$	48,583,311	$	(519,798	)
5/8/2013		861,471	U.S. Dollars		861,471		840,009	Australian Dollars		871,874		10,403
6/26/2013		2,627,932	Australian Dollars		2,717,473		2,715,442	U.S. Dollars		2,715,442		(2,031	)
7/10/2013		18,764,786	Australian Dollars		19,383,356		19,283,562	U.S. Dollars		19,283,562		(99,794	)
4/12/2013		64,516,775	British Pounds		98,021,829		96,312,577	U.S. Dollars		96,312,577		(1,709,252	)
4/25/2013		28,160,000	British Pounds		42,781,201		42,489,216	U.S. Dollars		42,489,216		(291,985	)
6/12/2013		86,896,140	Canadian Dollars		85,391,541		84,889,914	U.S. Dollars		84,889,914		(501,627	)
6/13/2013		15,012,896	Canadian Dollars		14,752,623		14,641,053	U.S. Dollars		14,641,053		(111,570	)
6/20/2013		931,002	Canadian Dollars		914,720		911,719	U.S. Dollars		911,719		(3,001	)
4/25/2013		8,052,876	Euros		10,324,465		10,577,820	U.S. Dollars		10,577,820		253,355
4/26/2013		35,216,029	Euros		45,150,202		45,842,818	U.S. Dollars		45,842,818		692,616
4/26/2013		30,500,906	U.S. Dollars		30,500,906		23,355,340	Euros		29,943,703		(557,203	)
5/22/2013		8,534,400	Euros		10,944,006		10,973,233	U.S. Dollars		10,973,233		29,227
4/15/2013		3,371,307,000	Japanese Yen		35,817,608		40,324,880	U.S. Dollars		40,324,880		4,507,272
4/15/2013		35,820,510	U.S. Dollars		35,820,510		3,371,307,000	Japanese Yen		35,817,608		(2,902	)
5/15/2013		2,591,112	Malaysian Ringgit		833,919		825,984	U.S. Dollars		825,984		(7,935	)
				$	483,318,939				$	485,004,714	$	1,685,775

*JPMorgan Chase & Co. Inc. is the counterparty for all open forward currency exchange contracts held by the Fund as of March 31, 2013.

The Merger Fund
SCHEDULE OF SWAP CONTRACTS
March 31, 2013
(Unaudited)


Termination Date	Security	Shares			Notional			Unrealized Appreciation (Depreciation)*			Counterparty
LONG SWAP CONTRACTS
7/12/2013	Aegis Group plc		26,881,989		$	97,516,028		$	(2,289,617	)	JPMorgan Chase & Co. Inc.
9/19/2013	Australian Infrastructure Fund		14,431,210			45,982,742			(215,436	)	JPMorgan Chase & Co. Inc.
5/1/2013	Charter Hall Office REIT Contingent Consideration (a)		2,032,447			-	**		-	**	JPMorgan Chase & Co. Inc.
11/20/2013	CNH Global N.V.		790,254			32,558,465			(5,270,773	)	Merrill Lynch & Co. Inc.
11/30/2013	GrainCorp Ltd.		1,597,003			19,620,300			(469,537	)	JPMorgan Chase & Co. Inc.
8/17/2013	Grupo Modelo, S.A. de C.V.		7,789,943			70,741,251			573,378		JPMorgan Chase & Co. Inc.
10/18/2013	Hillgrove Resources Ltd.		13,139,699			1,317,780			98,929		JPMorgan Chase & Co. Inc.
2/21/2014	Impregilo S.p.A.		1,843,633			9,419,508			(236,972	)	JPMorgan Chase & Co. Inc.
3/15/2014	MISC Berhad		488,889			841,882			31,191		JPMorgan Chase & Co. Inc.
5/17/2013	TNT Express NV		2,130,500			15,364,420			(7,784,336	)	JPMorgan Chase & Co. Inc.
3/19/2014	Uranium One, Inc.		687,430			1,893,657			41,876		Merrill Lynch & Co. Inc.
3/26/2014	Videndi SA		533,400			10,941,885			(114,638	)	JPMorgan Chase & Co. Inc.
2/19/2014	Xstrata plc		43,473			707,945			(58,063	)	The Goldman Sachs Group, Inc.
9/7/2013	Xstrata plc		8,529,141			138,894,502			(4,962,604	)	JPMorgan Chase & Co. Inc.

SHORT SWAP CONTRACTS
11/20/2013	Fiat Industrial S.p.A		(3,025,546	)		(34,201,165	)		(1,710,603	)	Merrill Lynch & Co. Inc.
2/19/2014	Glencore International plc		(123,598	)		(668,239	)		54,009		The Goldman Sachs Group, Inc.
4/10/2013	Glencore International plc		(18,208,694	)		(98,446,215	)		5,849,118		JPMorgan Chase & Co. Inc.
								$	(16,464,078	)
plc -	Public Limited Company
REIT -	Real Estate Investment Trust
*	Based on the net value of each broker, unrealized appreciation is a receivable and unrealized depreciation is a payable.
**	Value is less than $0.50.
(a)	Security fair valued by the Adviser in good faith in accordance with the policies adopted by the Board of Trustees.

Item 2. Controls and Procedures.

(a)

The Registrant’s President/Principal Executive Officer and Treasurer/Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) as of a date within 90 days of the filing date of the report, as required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

(b)

There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 3. Exhibits.

Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.

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.

(Registrant) The Merger Fund

By (Signature and Title) /s/ Michael T. Shannon

Michael T. Shannon, Co-President

Date 5/22/2013

By (Signature and Title) /s/ Roy Behren

Roy Behren, Co-President and Treasurer

Date 5/22/2013

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 (Signature and Title)* /s/ Michael T. Shannon

Michael T. Shannon, Co-President

Date 5/22/2013

By (Signature and Title)* /s/ Roy Behren

Roy Behren, Co-President and Treasurer

Date 5/22/2013

* Print the name and title of each signing officer under his or her signature.

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